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
0.87
Index Tracking (Market Neutral)
Annualized Alpha (α)
+61.61%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
2.19 vs 0.04
+2.15 Spread
Max Drawdown (1-Yr)
-14.3% vs -11.4%
-2.9% vs VNQ
| Quantitative Risk & Return Metric | RLJ | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.87 | 1.00 | -0.13 (Index Tracking (Market Neutral)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+61.61% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
2.19 | 0.04 | +2.15 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
2.29 | 0.03 | +2.26 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
28.1% | 13.9% | +14.2% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-14.3% | -11.4% | -2.9% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
85.8% | 4.1% | +81.7% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.18 | Corr: 0.43 | 18% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
57.6% | 51.6% | +6.0% vs Benchmark |
QuantStats Analytical Synthesis: RLJ displays a Beta of 0.87 relative to VNQ with 0.18 R² correlation. Annualized volatility is 28.1% (14.2% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +61.61% (Outperforming VNQ) with a Sharpe ratio of 2.19 against 0.04 for VNQ, and a maximum drawdown of -14.3%.