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
0.98
Index Tracking (Market Neutral)
Annualized Alpha (α)
+58.77%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
2.01 vs 0.04
+1.97 Spread
Max Drawdown (1-Yr)
-17.3% vs -11.4%
-5.9% vs VNQ
| Quantitative Risk & Return Metric | OUT | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.98 | 1.00 | -0.02 (Index Tracking (Market Neutral)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+58.77% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
2.01 | 0.04 | +1.97 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
2.57 | 0.03 | +2.54 |
|
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
|
-17.3% | -11.4% | -5.9% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
81.1% | 4.1% | +77.0% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.22 | Corr: 0.47 | 22% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
53.6% | 51.6% | +2.0% vs Benchmark |
QuantStats Analytical Synthesis: OUT displays a Beta of 0.98 relative to VNQ with 0.22 R² correlation. Annualized volatility is 29.4% (15.5% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +58.77% (Outperforming VNQ) with a Sharpe ratio of 2.01 against 0.04 for VNQ, and a maximum drawdown of -17.3%.