Global Real Estate (ex-US REITs) (VNQI)

Global Real Estate (ex-US REITs) Tail Risk

Tail-risk stats use daily return distributions rather than simple end-point returns. They show how ugly the left tail has been, how severe the worst 5% of days were, and whether returns were skewed toward outsized upside or downside shocks.

The histogram shows the shape of Global Real Estate (ex-US REITs)'s daily log returns over the Since inception window. Bars left of the 5% VaR marker are the worst 5% of days; the ES marker is the average loss inside that tail. Skew and excess kurtosis describe whether the distribution is symmetric around zero and whether extreme days are more common than a Normal distribution predicts.

VNQI daily return distribution (Since inception)

VNQI daily return distribution (Since inception)

Log-return histogram with Value-at-Risk and Expected Shortfall markers at the 5% left tail.

Days Download PNG

VNQI Since inception

VaR

-1.30%

ES

-2.01%

Skew

0.03

Excess kurtosis

5.02

Days

339

±2σ days

7 / 6

worst-5% daily return and the average loss inside it

Formula $\displaystyle \mathrm{VaR}_{5\%} = Q_{0.05}(R),\quad \mathrm{ES}_{5\%} = \mathbb{E}[R \mid R \le \mathrm{VaR}_{5\%}]$

Less negative daily VaR and Expected Shortfall values mean the left tail was less violent. Skew and excess kurtosis help distinguish between steady compounding and a path dominated by occasional extreme moves.