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
0.94
Index Tracking (Market Neutral)
Annualized Alpha (α)
-23.49%
Trailing VNQ
Sharpe Ratio (vs VNQ)
-1.23 vs 0.04
-1.27 Spread
Max Drawdown (1-Yr)
-22.2% vs -11.4%
-10.8% vs VNQ
| Quantitative Risk & Return Metric | VICI | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.94 | 1.00 | -0.06 (Index Tracking (Market Neutral)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
-23.49% | 0.00% (Baseline) | Trailing VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
-1.23 | 0.04 | -1.27 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
-1.21 | 0.03 | -1.24 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
18.9% | 13.9% | +5.0% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-22.2% | -11.4% | -10.8% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
-18.6% | 4.1% | -22.7% Spread |
|
R-Squared (R²) & Correlation
Statistical correlation coefficient against VNQ
|
R² 0.48 | Corr: 0.69 | 48% variance explained by VNQ |
|
Trading Session Win Rate
Percentage of positive daily closing sessions
|
47.2% | 51.6% | -4.4% vs Benchmark |
QuantStats Analytical Synthesis: VICI displays a Beta of 0.94 relative to VNQ with 0.48 R² correlation. Annualized volatility is 18.9% (5.0% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at -23.49% (Trailing VNQ) with a Sharpe ratio of -1.23 against 0.04 for VNQ, and a maximum drawdown of -22.2%.