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
0.84
Defensive (Low Sensitivity)
Annualized Alpha (α)
+13.66%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
0.69 vs 0.04
+0.65 Spread
Max Drawdown (1-Yr)
-13.6% vs -11.4%
-2.2% vs VNQ
| Quantitative Risk & Return Metric | OLP | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.84 | 1.00 | -0.16 (Defensive (Low Sensitivity)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+13.66% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
0.69 | 0.04 | +0.65 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
0.74 | 0.03 | +0.71 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
19.2% | 13.9% | +5.3% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-13.6% | -11.4% | -2.2% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
17.4% | 4.1% | +13.3% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.37 | Corr: 0.61 | 37% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
50.4% | 51.6% | -1.2% vs Benchmark |
QuantStats Analytical Synthesis: OLP displays a Beta of 0.84 relative to VNQ with 0.37 R² correlation. Annualized volatility is 19.2% (5.3% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +13.66% (Outperforming VNQ) with a Sharpe ratio of 0.69 against 0.04 for VNQ, and a maximum drawdown of -13.6%.