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
1.35
High Beta (Aggressive Leverage)
Annualized Alpha (α)
+2.41%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
0.12 vs 0.04
+0.08 Spread
Max Drawdown (1-Yr)
-32.9% vs -11.4%
-21.5% vs VNQ
| Quantitative Risk & Return Metric | SLG | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
1.35 | 1.00 | +0.35 (High Beta (Aggressive Leverage)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+2.41% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
0.12 | 0.04 | +0.08 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
0.12 | 0.03 | +0.09 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
38.2% | 13.9% | +24.3% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-32.9% | -11.4% | -21.5% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
1.9% | 4.1% | -2.2% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.24 | Corr: 0.49 | 24% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
50.8% | 51.6% | -0.8% vs Benchmark |
QuantStats Analytical Synthesis: SLG displays a Beta of 1.35 relative to VNQ with 0.24 R² correlation. Annualized volatility is 38.2% (24.3% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +2.41% (Outperforming VNQ) with a Sharpe ratio of 0.12 against 0.04 for VNQ, and a maximum drawdown of -32.9%.