Correlation Between Vornado Realty and Brookfield Property

Can any of the company-specific risk be diversified away by investing in both Vornado Realty and Brookfield Property at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Vornado Realty and Brookfield Property into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Vornado Realty Trust and Brookfield Property Partners, you can compare the effects of market volatilities on Vornado Realty and Brookfield Property and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Vornado Realty with a short position of Brookfield Property. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vornado Realty and Brookfield Property.

Diversification Opportunities for Vornado Realty and Brookfield Property

0.73

Correlation Coefficient

Vornado Realty  Brookfield Property

Poor diversification

The 3 months correlation between Vornado and Brookfield is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Vornado Realty Trust and Brookfield Property Partners in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brookfield Property and Vornado Realty is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Vornado Realty Trust are associated (or correlated) with Brookfield Property. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brookfield Property has no effect on the direction of Vornado Realty i.e., Vornado Realty and Brookfield Property go up and down completely randomly.

Pair Corralation between Vornado Realty and Brookfield Property

Assuming the 90 days trading horizon Vornado Realty is expected to generate 2.01 times less return on investment than Brookfield Property. But when comparing it to its historical volatility, Vornado Realty Trust is 1.7 times less risky than Brookfield Property. It trades about 0.11 of its potential returns per unit of risk. Brookfield Property Partners is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest  1,271  in Brookfield Property Partners on August 31, 2024 and sell it today you would earn a total of  169.00  from holding Brookfield Property Partners or generate 13.3% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Vornado Realty Trust  vs.  Brookfield Property Partners

Vornado Realty Trust

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Vornado Realty Trust are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. In spite of very inconsistent basic indicators, Vornado Realty may actually be approaching a critical reversion point that can send shares even higher in December 2024.

Brookfield Property

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Brookfield Property Partners are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of very inconsistent basic indicators, Brookfield Property displayed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Vornado Realty and Brookfield Property

The main advantage of trading using opposite Vornado Realty and Brookfield Property positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vornado Realty position performs unexpectedly, Brookfield Property can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Brookfield Property will offset losses from the drop in Brookfield Property's long position.

The idea behind Vornado Realty Trust and Brookfield Property Partners pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

Check out your portfolio center.

Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Commodity Directory module to find actively traded commodities issued by global exchanges.