Vornado Realty Trust Preferred Stock Market Value
| VNO-PN Preferred Stock | USD 18.05 0.25 1.37% |
| 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.
| 12/13/2022 |
| 12/02/2024 |
If you would invest 0.00 in Vornado Realty on December 13, 2022 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 is related to or competes with Vornado Realty, Vornado Realty, Vornado Realty, Empire State, Empire State, COPT Defense, and Eerly Govt. Vornados portfolio is concentrated in the nations key market New York City along with the premier asset in both Chicago ... More
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.
| Downside Deviation | 0.8931 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 5.86 | |||
| Value At Risk | (1.26) | |||
| Potential Upside | 1.82 |
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 | 0.1061 | |||
| Jensen Alpha | 0.0831 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | 0.3776 |
Vornado Realty Trust Backtested Returns
As of now, Vornado Preferred Stock is very steady. Vornado Realty Trust owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.11, which indicates the firm had a 0.11% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Vornado Realty Trust, which you can use to evaluate the volatility of the company. Please validate Vornado Realty's Semi Deviation of 0.7204, risk adjusted performance of 0.1061, and Coefficient Of Variation of 736.38 to confirm if the risk estimate we provide is consistent with the expected return of 0.1%. Vornado Realty has a performance score of 8 on a scale of 0 to 100. The entity has a beta of 0.33, which indicates possible diversification benefits within a given portfolio. 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. Vornado Realty Trust right now has a risk of 0.94%. Please validate Vornado Realty value at risk, kurtosis, market facilitation index, as well as the relationship between the semi variance and rate of daily change , to decide if Vornado Realty will be following its existing price patterns.
Auto-correlation | 0.25 |
Poor predictability
Vornado Realty Trust has poor predictability. Overlapping area represents the amount of predictability between Vornado Realty time series from 13th of December 2022 to 8th of December 2023 and 8th of December 2023 to 2nd 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 0.25 indicates that over 25.0% of current Vornado Realty price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.25 | |
| Spearman Rank Test | -0.21 | |
| Residual Average | 0.0 | |
| Price Variance | 2.28 |
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 |
Pair Trading with Vornado Realty
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Vornado Realty position performs unexpectedly, the other equity 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 Vornado Realty will appreciate offsetting losses from the drop in the long position's value.Moving together with Vornado Preferred Stock
| 0.79 | VNO-PL | Vornado Realty Trust | PairCorr |
| 0.97 | VNO-PM | Vornado Realty Trust | PairCorr |
| 0.91 | VNO-PO | Vornado Realty Trust | PairCorr |
| 0.83 | HPP-PC | Hudson Pacific Properties | PairCorr |
Moving against Vornado Preferred Stock
| 0.67 | RC | Ready Capital Corp | PairCorr |
| 0.53 | AHT-PF | Ashford Hospitality Trust | PairCorr |
| 0.51 | AHT-PG | Ashford Hospitality Trust | PairCorr |
| 0.47 | AHT-PH | Ashford Hospitality Trust | PairCorr |
| 0.43 | CIO-PA | City Office REIT | PairCorr |
The ability to find closely correlated positions to Vornado Realty could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Vornado Realty when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Vornado Realty - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Vornado Realty Trust to buy it.
The correlation of Vornado Realty is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Vornado Realty moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Vornado Realty Trust moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Vornado Realty can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Other Information on Investing in Vornado Preferred Stock
Vornado Realty financial ratios help investors to determine whether Vornado Preferred Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Vornado with respect to the benefits of owning Vornado Realty security.