Quantitative Risk & Benchmark Performance (QuantStats • VNQ)
Empirical 252-day trading window compared to Vanguard Real Estate ETF (VNQ) benchmark
METHODOLOGY: QUANTSTATS / CAPM
Beta vs VNQ
0.95
Index Tracking (Market Neutral)
Annualized Alpha (α)
+7.18%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
0.41 vs 0.04
+0.37 Spread
Max Drawdown (1-Yr)
-16.2% vs -11.4%
-4.8% vs VNQ
| Quantitative Risk & Return Metric | KIM | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.95 | 1.00 | -0.05 (Index Tracking (Market Neutral)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+7.18% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
0.41 | 0.04 | +0.37 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
0.44 | 0.03 | +0.41 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
18.0% | 13.9% | +4.1% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-16.2% | -11.4% | -4.8% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
10.9% | 4.1% | +6.8% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.54 | Corr: 0.73 | 54% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
49.6% | 51.6% | -2.0% vs Benchmark |
QuantStats Analytical Synthesis: KIM displays a Beta of 0.95 relative to VNQ with 0.54 R² correlation. Annualized volatility is 18.0% (4.1% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +7.18% (Outperforming VNQ) with a Sharpe ratio of 0.41 against 0.04 for VNQ, and a maximum drawdown of -16.2%.