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
0.73
Defensive (Low Sensitivity)
Annualized Alpha (α)
+25.97%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
1.22 vs 0.04
+1.18 Spread
Max Drawdown (1-Yr)
-12.3% vs -11.4%
-0.9% vs VNQ
| Quantitative Risk & Return Metric | LTC | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.73 | 1.00 | -0.27 (Defensive (Low Sensitivity)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+25.97% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
1.22 | 0.04 | +1.18 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
1.19 | 0.03 | +1.16 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
20.6% | 13.9% | +6.7% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-12.3% | -11.4% | -0.9% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
31.6% | 4.1% | +27.5% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.24 | Corr: 0.49 | 24% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
54.8% | 51.6% | +3.2% vs Benchmark |
QuantStats Analytical Synthesis: LTC displays a Beta of 0.73 relative to VNQ with 0.24 R² correlation. Annualized volatility is 20.6% (6.7% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +25.97% (Outperforming VNQ) with a Sharpe ratio of 1.22 against 0.04 for VNQ, and a maximum drawdown of -12.3%.