Vornado Realty Trust Preferred Stock Market Value
| VNO-P-M Preferred Stock | 17.02 0.05 0.29% |
| Symbol | Vornado |
Vornado Realty 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Vornado Realty's preferred stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Vornado Realty.
| 01/08/2023 |
| 12/28/2024 |
If you would invest 0.00 in Vornado Realty on January 8, 2023 and sell it all today you would earn a total of 0.00 from holding Vornado Realty Trust or generate 0.0% return on investment in Vornado Realty over 720 days.
Vornado Realty Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Vornado Realty's preferred stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Vornado Realty Trust upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 4.47 | |||
| Value At Risk | (1.50) | |||
| Potential Upside | 1.38 |
Vornado Realty Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vornado Realty's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vornado Realty's standard deviation. In reality, there are many statistical measures that can use Vornado Realty historical prices to predict the future Vornado Realty's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.10) | |||
| Total Risk Alpha | (0.12) | |||
| Treynor Ratio | (0.67) |
Vornado Realty Trust Backtested Returns
Vornado Realty Trust owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0877, which indicates the firm had a -0.0877% return per unit of risk over the last 3 months. Vornado Realty Trust exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Vornado Realty's Risk Adjusted Performance of (0.08), coefficient of variation of (1,007), and Variance of 0.7794 to confirm the risk estimate we provide. The entity has a beta of 0.15, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Vornado Realty's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vornado Realty is expected to be smaller as well. At this point, Vornado Realty Trust has a negative expected return of -0.0787%. Please make sure to validate Vornado Realty's kurtosis, as well as the relationship between the rate of daily change and market facilitation index , to decide if Vornado Realty Trust performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.16 |
Very weak predictability
Vornado Realty Trust has very weak predictability. Overlapping area represents the amount of predictability between Vornado Realty time series from 8th of January 2023 to 3rd of January 2024 and 3rd of January 2024 to 28th of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Vornado Realty Trust price movement. The serial correlation of 0.16 indicates that over 16.0% of current Vornado Realty price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.16 | |
| Spearman Rank Test | -0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 1.55 |
Vornado Realty Trust lagged returns against current returns
Autocorrelation, which is Vornado Realty preferred stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Vornado Realty's preferred stock expected returns. We can calculate the autocorrelation of Vornado Realty returns to help us make a trade decision. For example, suppose you find that Vornado Realty has exhibited high autocorrelation historically, and you observe that the preferred stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Vornado Realty regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Vornado Realty preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vornado Realty preferred stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vornado Realty preferred stock over time.
Current vs Lagged Prices |
| Timeline |
Vornado Realty Lagged Returns
When evaluating Vornado Realty's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vornado Realty preferred stock have on its future price. Vornado Realty autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Vornado Realty autocorrelation shows the relationship between Vornado Realty preferred stock current value and its past values and can show if there is a momentum factor associated with investing in Vornado Realty Trust.
Regressed Prices |
| Timeline |
Building efficient market-beating portfolios requires time, education, and a lot of computing power!
The Portfolio Architect is an AI-driven system that provides multiple benefits to our users by leveraging cutting-edge machine learning algorithms, statistical analysis, and predictive modeling to automate the process of asset selection and portfolio construction, saving time and reducing human error for individual and institutional investors.
Try AI Portfolio Architect