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
0.96
Index Tracking (Market Neutral)
Annualized Alpha (α)
-17.97%
Trailing VNQ
Sharpe Ratio (vs VNQ)
-0.64 vs 0.04
-0.68 Spread
Max Drawdown (1-Yr)
-30.0% vs -11.4%
-18.6% vs VNQ
| Quantitative Risk & Return Metric | WY | VNQ (Benchmark) | Institutional Delta / Spread |
|---|---|---|---|
|
Beta (β) vs VNQ
Covariance sensitivity to US REIT market
|
0.96 | 1.00 | -0.04 (Index Tracking (Market Neutral)) |
|
Annualized Alpha (α)
Excess CAPM risk-adjusted performance
|
-17.97% | 0.00% (Baseline) | Trailing VNQ |
|
Sharpe Ratio (Rf = 4.5%)
Annualized excess return per unit of volatility
|
-0.64 | 0.04 | -0.68 |
|
Sortino Ratio
Downside semi-variance risk-adjusted return
|
-0.7 | 0.03 | -0.73 |
|
Annualized Volatility (σ)
Standard deviation of daily price returns × √252
|
27.5% | 13.9% | +13.6% (Higher Volatility) |
|
Maximum Drawdown (1-Year)
Peak-to-trough capital decline over trailing 12M
|
-30.0% | -11.4% | -18.6% vs VNQ |
|
1-Year Trailing Return (CAGR)
Compounded annual growth rate
|
-15.6% | 4.1% | -19.7% 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
|
46.4% | 51.6% | -5.2% vs Benchmark |
QuantStats Analytical Synthesis: WY displays a Beta of 0.96 relative to VNQ with 0.24 R² correlation. Annualized volatility is 27.5% (13.6% higher than VNQ at 13.9%). Trailing 12-month Alpha stands at -17.97% (Trailing VNQ) with a Sharpe ratio of -0.64 against 0.04 for VNQ, and a maximum drawdown of -30.0%.