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
0.07
Defensive (Low Sensitivity)
Annualized Alpha (α)
+4.87%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
0.04 vs 0.04
+0.00 Spread
Max Drawdown (1-Yr)
-13.7% vs -11.4%
-2.3% vs VNQ
| Quantitative Risk & Return Metric | SELF | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.07 | 1.00 | -0.93 (Defensive (Low Sensitivity)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+4.87% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
0.04 | 0.04 | +0.00 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
0.04 | 0.03 | +0.01 |
|
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
|
-13.7% | -11.4% | -2.3% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
3.4% | 4.1% | -0.7% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.0 | Corr: 0.05 | 0% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
46.0% | 51.6% | -5.6% vs Benchmark |
QuantStats Analytical Synthesis: SELF displays a Beta of 0.07 relative to VNQ with 0.00 R² correlation. Annualized volatility is 19.2% (5.3% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +4.87% (Outperforming VNQ) with a Sharpe ratio of 0.04 against 0.04 for VNQ, and a maximum drawdown of -13.7%.