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
1.32
High Beta (Aggressive Leverage)
Annualized Alpha (α)
+30.33%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
1.1 vs 0.04
+1.06 Spread
Max Drawdown (1-Yr)
-15.7% vs -11.4%
-4.3% vs VNQ
| Quantitative Risk & Return Metric | MAC | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
1.32 | 1.00 | +0.32 (High Beta (Aggressive Leverage)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+30.33% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
1.1 | 0.04 | +1.06 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
1.02 | 0.03 | +0.99 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
29.4% | 13.9% | +15.5% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-15.7% | -11.4% | -4.3% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
38.5% | 4.1% | +34.4% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.39 | Corr: 0.63 | 39% 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: MAC displays a Beta of 1.32 relative to VNQ with 0.39 R² correlation. Annualized volatility is 29.4% (15.4% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +30.33% (Outperforming VNQ) with a Sharpe ratio of 1.10 against 0.04 for VNQ, and a maximum drawdown of -15.7%.