REIT Signal Desk

Equity

$390,219

20d vol

15.2%

Unconditional β vs VNQ

0.79

Unconditional β vs TLT

0.44

1d 95% VaR

1.7%

CVaR 95%

2.0%

Max DD (mix)

11.0%

Sharpe

-3.13

Sortino

-2.66

Gateway

52.8%

Cycle weight

21.1%

sunbelt + small-cap + SFR

CSP pledged

$2,250

free $48,750

Dry powder

13.1%

cash + TLT

AVB above single-name cap
MAA above single-name cap
gateway layer above cap
EQR and AVB are one Vivmark claim after 17 Aug 2026. The AVB lot is worth 2.793 shares of that claim. They are not two core compounders.
Index beta VNQ+IYR 13.1% is listed-REIT beta, not the core compounder band.

Sleeves vs prior

Working ranges for a one-cycle book. Outside the range is information, not an automatic trim.

Core

inside prior

52.8% · $206,023

Prior 50–60% · EQR, AVB, ESS, UDR

Gateway lines. EQR and AVB are one Vivmark claim after 17 Aug 2026, not two names. ESS and UDR are separate. VNQ and IYR do not count here. The range is a prior.

Cycle

inside prior

21.1% · $82,471

Prior 20–25% · MAA

One sunbelt name. The range is a prior, not a second core.

Satellite

inside prior

0.0% · $0

Prior 0–10% · empty

One small-cap or SFR, default CSP-only unless promoted

Dry powder

inside prior

13.1% · $51,000

Prior 10–15% · cash

Cash; TLT only when beta/vol vs rates is hot

Index beta VNQ + IYR 13.1% sits outside the core band. Listed-REIT beta, not an EQR-type compounder.

Ranges are a prior from the one-cycle book, not a constraint. A print outside the range is information.

Balance sheet

Scale is units. Fixed is one minus the printed floating share. A blank floating share is not treated as fixed. EQR and AVB are the June 30 standalone sheets, not a combined Vivmark balance sheet.

EQR

Units

84,135

Net debt

$8.19B

ND / EBITDA

4.3×

Floating

10.3%

Fixed

89.7%

WAM

6.1y

AVB

Units

96,461

Net debt

$8.87B

ND / EBITDA

4.6×

Floating

14.3%

Fixed

85.7%

WAM

6.5y

ESS

Units

55,616

Net debt

$7.51B

ND / EBITDA

5.4×

Floating

9.0%

Fixed

91.0%

WAM

6.7y

UDR

Units

53,938

Net debt

$5.81B

ND / EBITDA

5.6×

Floating

11.9%

Fixed

88.1%

WAM

3.9y

MAA

Units

102,873

Net debt

$5.64B

ND / EBITDA

4.5×

Floating

13.4%

Fixed

86.6%

WAM

6.0y

Layer mix

Multifamily layers, not GICS. EQR and AVB are one Vivmark claim. The rest of a gateway book is still apartments.

Gateway class-A52.8%
Sunbelt / garden21.1%
Ballast13.1%
Cash13.1%

GICS still files this as Real Estate 74% · ETF 13% — ignored as a risk cut.

Layer correlation ~6–12m

Baskets of current holdings in each layer. One name in a layer is that name. Not 20-day name noise.

Need more history to build correlations.

One-pager shocks

Cap rates +50bp revalue printed NOI at the implied cap plus 50bp and hold filing debt fixed. That equity change is applied to the position. Occupancy −200bp uses a 0.60 NOI-margin assumption, which is not a print, then leverage. Floating +100bp is your share of the company, not the whole interest bill. Missing snapshots stay n/a. Scenario, not a forecast.

Scenario	P&L	% equity	Names with snapshot
Cap rates +50bp	-$29,773	-7.6%	5 · 2 n/a
Occupancy −200bp	-$13,770	-3.5%	5 · 2 n/a
Rates +100bp on floating debt	-$1,124	-0.3%	5 · 2 n/a

Exact revalue: NOI / (implied cap + 50bp) − filing net debt, as a percent of the equity in that cap, summed on names that have the cap. June 30 caps stay on the June 30 equity. Scenario, not a forecast.

Name correlation

Still here as a reference. Layer mix is the risk cut.

	EQR	AVB	ESS	UDR	MAA	VNQ	IYR
EQR	1.00	1.00	0.69	0.75	0.71	0.58	0.60
AVB	1.00	1.00	0.69	0.75	0.71	0.58	0.60
ESS	0.69	0.69	1.00	0.84	0.70	0.58	0.61
UDR	0.75	0.75	0.84	1.00	0.79	0.56	0.60
MAA	0.71	0.71	0.70	0.79	1.00	0.59	0.62
VNQ	0.58	0.58	0.58	0.56	0.59	1.00	0.97
IYR	0.60	0.60	0.61	0.60	0.62	0.97	1.00

What-if · TRIM AVB

Size $40,656 (100% of suggested). Base 1d 95% VaR 1.7% → what-if 1.5%