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
0.79
Defensive (Low Sensitivity)
Annualized Alpha (α)
-1.66%
Trailing VNQ
Sharpe Ratio (vs VNQ)
-0.11 vs 0.04
-0.15 Spread
Max Drawdown (1-Yr)
-22.5% vs -11.4%
-11.1% vs VNQ
| Quantitative Risk & Return Metric | NLY | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.79 | 1.00 | -0.21 (Defensive (Low Sensitivity)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
-1.66% | 0.00% (Baseline) | Trailing VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
-0.11 | 0.04 | -0.15 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
-0.11 | 0.03 | -0.14 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
20.3% | 13.9% | +6.4% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-22.5% | -11.4% | -11.1% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
0.2% | 4.1% | -3.9% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.3 | Corr: 0.54 | 30% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
48.4% | 51.6% | -3.2% vs Benchmark |
QuantStats Analytical Synthesis: NLY displays a Beta of 0.79 relative to VNQ with 0.30 R² correlation. Annualized volatility is 20.3% (6.4% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at -1.66% (Trailing VNQ) with a Sharpe ratio of -0.11 against 0.04 for VNQ, and a maximum drawdown of -22.5%.