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
0.99
Index Tracking (Market Neutral)
Annualized Alpha (α)
-54.75%
Trailing VNQ
Sharpe Ratio (vs VNQ)
-1.44 vs 0.04
-1.48 Spread
Max Drawdown (1-Yr)
-53.6% vs -11.4%
-42.2% vs VNQ
| Quantitative Risk & Return Metric | MPT | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.99 | 1.00 | -0.01 (Index Tracking (Market Neutral)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
-54.75% | 0.00% (Baseline) | Trailing VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
-1.44 | 0.04 | -1.48 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
-1.48 | 0.03 | -1.51 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
37.6% | 13.9% | +23.7% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-53.6% | -11.4% | -42.2% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
-43.4% | 4.1% | -47.5% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.14 | Corr: 0.37 | 14% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
39.6% | 51.6% | -12.0% vs Benchmark |
QuantStats Analytical Synthesis: MPT displays a Beta of 0.99 relative to VNQ with 0.14 R² correlation. Annualized volatility is 37.6% (23.7% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at -54.75% (Trailing VNQ) with a Sharpe ratio of -1.44 against 0.04 for VNQ, and a maximum drawdown of -53.6%.