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
0.62
Defensive (Low Sensitivity)
Annualized Alpha (α)
-17.79%
Trailing VNQ
Sharpe Ratio (vs VNQ)
-0.81 vs 0.04
-0.85 Spread
Max Drawdown (1-Yr)
-23.1% vs -11.4%
-11.7% vs VNQ
| Quantitative Risk & Return Metric | REFI | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.62 | 1.00 | -0.38 (Defensive (Low Sensitivity)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
-17.79% | 0.00% (Baseline) | Trailing VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
-0.81 | 0.04 | -0.85 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
-0.73 | 0.03 | -0.76 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
23.8% | 13.9% | +9.9% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-23.1% | -11.4% | -11.7% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
-16.1% | 4.1% | -20.2% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.13 | Corr: 0.36 | 13% 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: REFI displays a Beta of 0.62 relative to VNQ with 0.13 R² correlation. Annualized volatility is 23.8% (9.9% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at -17.79% (Trailing VNQ) with a Sharpe ratio of -0.81 against 0.04 for VNQ, and a maximum drawdown of -23.1%.