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
1.19
High Beta (Aggressive Leverage)
Annualized Alpha (α)
+18.70%
Outperforming VNQ
Sharpe Ratio (vs VNQ)
0.34 vs 0.04
+0.30 Spread
Max Drawdown (1-Yr)
-43.8% vs -11.4%
-32.4% vs VNQ
| Quantitative Risk & Return Metric | TCI | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
1.19 | 1.00 | +0.19 (High Beta (Aggressive Leverage)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
+18.70% | 0.00% (Baseline) | Outperforming VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
0.34 | 0.04 | +0.30 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
0.36 | 0.03 | +0.33 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
59.2% | 13.9% | +45.3% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-43.8% | -11.4% | -32.4% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
7.7% | 4.1% | +3.6% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.08 | Corr: 0.28 | 8% 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: TCI displays a Beta of 1.19 relative to VNQ with 0.08 R² correlation. Annualized volatility is 59.2% (45.3% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at +18.70% (Outperforming VNQ) with a Sharpe ratio of 0.34 against 0.04 for VNQ, and a maximum drawdown of -43.8%.