Vornado Realty Trust (VNO)
Quantitative Summary
DeterministicAt 9.2x earnings — a 80% discount to the sector average of 47.4x — VNO is in the lower valuation range. Strong operational fundamentals (Piotroski 7/9) with Altman Z of 0.5.
Generated deterministically from quant metrics and financial statements. Not a recommendation.
Algorithmic Teardown
AI-GeneratedThe fundamental economics of Vornado Realty Trust present a stark dichotomy between high profitability metrics and capital allocation efficiency. While the DuPont decomposition reveals an ROE driven almost entirely by leverage rather than operational momentum—evidenced by a 50% net margin offsetting minimal asset turnover at 0.12x—the return on invested capital of 7.0% falls short of the estimated cost of equity, resulting in a negative spread of -1.6%. This value-destructive dynamic is compounded by an Altman Z-Score of 0.5, signaling elevated distress risk that contrasts sharply with the resilient Piotroski F-Score of 7/9, suggesting strong balance sheet fundamentals despite potential liquidity pressures.
Valuation metrics highlight a significant divergence from sector norms and historical benchmarks. Trading at a P/E multiple of 6.5x against a sector average of 84.5x implies that the market is pricing in substantial downside or structural deterioration rather than standard real estate recovery scenarios, even though current profitability factors remain robust with an RMW score of 0.560. A DCF analysis incorporating these constraints would likely yield a fair value significantly below current levels if growth assumptions align with the modest 1.3% revenue expansion, indicating that the low multiple may reflect compensation for the high cost of capital and distress risk rather than pure undervaluation.
Risk-adjusted performance data further complicates the investment thesis, as evidenced by an annualized Fama-French Alpha of -54.35%, which suggests consistent underperformance relative to a market-cap-weighted benchmark after adjusting for size, value, and profitability factors. Although the stock exhibits a positive tilt toward the value factor (HML: 0.186) and insider flow shows $5,633,750 in net buying over the last quarter—potentially signaling management confidence—the negative alpha and low Z-Score indicate that these signals must be weighed heavily against the underlying capital destruction risks inherent in the current operational model.
Generated by LLM from quantitative data inputs. May contain inaccuracies. Not investment advice.
Valuation Context
Currently trading 1% below its 5-year average P/E of 6.5x.
Price Chart with Moving Averages
Technical Setup
AI GeneratedThe stock is trading below both its 50-day and 200-day moving averages, indicating it remains in a downward trend relative to recent historical performance. The RSI at 31.5 suggests that the near-term momentum may be weak but approaching oversold territory, potentially hinting at some support or reversal possibility.
Quant Health Deep Dive
Profitability & Value Creation
DuPont Analysis — ROE Decomposition
Breaking down Return on Equity to see how the company generates its ROE — efficiency, margins, or leverage.
Balance Sheet Health
Insider Activity (Last 90 Days)
Open-market buys vs sells by company insiders. Source: yfinance.
Earnings Surprise History
EPS estimates vs actuals for the most recent reported quarters. Source: yfinance.
Dividend History
| Date | Amount | Change |
|---|---|---|
| 2025-12-18 | $0.7400 | 0.0% |
| 2024-12-16 | $0.7400 | +146.7% |
| 2023-12-14 | $0.3000 | -20.0% |
| 2023-01-27 | $0.3750 | -29.2% |
| 2022-11-04 | $0.5300 | 0.0% |
| 2022-08-05 | $0.5300 | 0.0% |
| 2022-05-06 | $0.5300 | 0.0% |
| 2022-01-28 | $0.5300 | 0.0% |
| 2021-11-05 | $0.5300 | 0.0% |
| 2021-08-06 | $0.5300 | 0.0% |
| 2021-05-07 | $0.5300 | 0.0% |
| 2021-01-29 | $0.5300 | 0.0% |
Dividend and split data from SEC filings and market data. Amounts are per share, not adjusted for splits. Source: yfinance.
Risk Profile
Sharpe = risk-adjusted return (higher is better). Max drawdown = largest peak-to-trough decline. 1,200+ trading days.
Underwater (Drawdown from Peak)
How far below the all-time high the price has been over time. Deeper = more pain for holders.
Rolling 60-Day Beta vs S&P 500 (VOO)
How the stock's sensitivity to market moves changes over time. β > 1 = more volatile than the market.
Fama-French 5-Factor Exposure
Academic factor model decomposition — what's really driving this stock's returns.
Fama-French 5-Factor Model. Data: Kenneth French Data Library. Regression over 3 years of daily returns.
Fundamentals
Passive Flow Attribution
ETF Draft EffectWhen investors buy or sell ETFs like MDYV or VNQ, the fund manager is mechanically forced to buy or sell VNO shares regardless of Vornado Realty Trust's individual fundamentals. We estimate $366M of passive capital is structurally linked to VNO through 7 tracked ETFs. Passive flows have a limited but growing influence on VNO's daily trading dynamics.
Passive exposure = Σ (ETF AUM × stock weight in ETF) across 7 tracked ETFs. Actual passive ownership is larger (includes mutual funds). Not investment advice.
ETF Contagion Visualizer
Simulate a price drop in Vornado Realty Trust to visualize passive redemption contagion across ETFs and collateral stocks.
If Vornado Realty Trust (VNO) experiences a significant drawdown, ETF redemptions can create collateral selling pressure on co-held stocks. Our model identifies Vanguard Real Estate II Index Fund Institutional Plus Shares (VRTPX) as the most exposed collateral stock, sharing 1 ETFs with VNO. This is the "Passive Contagion" effect described in the Inelastic Market Hypothesis.
Contagion model based on shared ETF exposure and constituent weights across 7 tracked ETFs. Estimated selling pressure is a simplified model — actual impact depends on market liquidity, ETF redemption mechanics, and market-maker activity.
VNO Ownership Dynamics
Passive funds hold 1 in every 15 VNO shares, reducing daily market volatility.
Vornado Realty Trust (VNO) exerts measurable gravity on the passive index market, currently representing 0.3% of the MDYV (MDYV) and 0.3% of the Vanguard Real Estate Index Fund ETF Shares (VNQ). Across 7 tracked ETFs, approximately 13M shares (6.7% of float) are held by passive funds and rarely trade on the open market. As passive ownership grows, index inclusion changes may increasingly drive price discovery.
ETFs with Highest VNO Exposure
Float lock-up computed from 7 ETFs tracked by SecuritiesDB. Actual passive ownership is higher (includes mutual funds, pension funds, etc.).
VNO Institutional Volume Profile
252-day volume distribution by price level. The Point of Control (POC) marks — the price where the most institutional volume transacted — an implicit support/resistance floor.
The highest-volume price zone for Vornado Realty Trust over the past year sits near $36.63 (9% of 252-day volume). The current price of $34.22 sits 6.6% below the POC — suggesting potential mean-reversion upside if institutional demand reasserts at this level.
Volume Profile computed from 252 trading days of OHLCV data. Volume allocated to price bins proportionally based on daily high-low range. Not investment advice.
Fails-to-Deliver (FTD) History
SEC-reported settlement failures. Elevated FTDs can indicate high short-selling pressure, operational settlement issues, or naked shorting activity.
| Date | Failed Shares | Close Price | Notional Value |
|---|---|---|---|
| 2026-05-05 | 559 | $29.67 | $16,585.53 |
| 2026-05-04 | 14,915 | $30.20 | $450,433 |
| 2026-04-30 | 646 | $29.35 | $18,960.1 |
| 2026-04-22 | 17,224 | $29.06 | $500,529.44 |
| 2026-04-16 | 14,650 | $28.57 | $418,550.5 |
| 2026-04-15 | 6,565 | $27.97 | $183,623.05 |
| 2026-04-14 | 1,056 | $27.54 | $29,082.24 |
| 2026-04-13 | 7,418 | $27.16 | $201,472.88 |
| 2026-03-31 | 7,711 | $25.18 | $194,162.98 |
| 2026-03-30 | 4,141 | $24.71 | $102,324.11 |
| 2026-03-26 | 4,132 | $25.98 | $107,349.36 |
| 2026-03-13 | 189 | $26.04 | $4,921.56 |
| 2026-03-04 | 2,554 | $27.52 | $70,286.08 |
| 2026-03-03 | 112,760 | $27.38 | $3.1M |
| 2026-03-02 | 6,318 | $27.58 | $174,250.44 |
| 2026-02-20 | 116,950 | $29.38 | $3.4M |
| 2026-02-18 | 2,293 | $29.02 | $66,542.86 |
| 2026-01-29 | 36,011 | $31.20 | $1.1M |
| 2026-01-28 | 589 | $32.09 | $18,901.01 |
| 2026-01-20 | 463 | $33.65 | $15,579.95 |
| 2026-01-16 | 103 | $33.64 | $3,464.92 |
| 2026-01-14 | 56,192 | $33.74 | $1.9M |
| 2025-12-22 | 2,125 | $33.37 | $70,911.25 |
| 2025-12-16 | 69,993 | $34.79 | $2.4M |
| 2025-12-12 | 42 | $35.05 | $1,472.1 |
| 2025-12-09 | 20,573 | $34.08 | $701,127.84 |
| 2025-11-17 | 12,103 | $34.46 | $417,069.38 |
| 2025-11-06 | 13,930 | $35.55 | $495,211.5 |
| 2025-11-04 | 144 | $37.72 | $5,431.68 |
| 2025-10-30 | 5 | $37.64 | $188.2 |
Source: SEC Regulation SHO FTD data. Data is reported with a ~30 day delay. High FTD quantities relative to average daily volume may indicate settlement stress.
Price Correlations
Statistical correlation of daily returns with other stocks. High correlations indicate stocks that move together; negative correlations can offer diversification.
| Peer | 252-Day (1Y) | 126-Day (6M) | Direction |
|---|---|---|---|
| WTGXX | NaN | NaN | |
| SLG | 0.822 | 0.794 | High co-movement |
| BXP | 0.779 | 0.778 | High co-movement |
| VRTPX | 0.610 | 0.493 | Moderate |
| JLL | 0.592 | 0.603 | Moderate |
| CBRE | 0.553 | 0.558 | Moderate |
| HST | 0.541 | 0.553 | Moderate |
| KEY | 0.526 | 0.582 | Moderate |
| FRT | 0.520 | 0.402 | Moderate |
| ONB | 0.518 | 0.527 | Moderate |
Pearson correlation of daily log returns. 252d ≈ 1 trading year. Computed from price history. Not investment advice.
Compare VNO to Peers
Quant metrics computed deterministically from financial statements and price data. Updated: 2026-06-02.
SecuritiesDB provides programmatic data aggregation for informational purposes only. None of the metrics, summaries, or algorithmic flags constitute a recommendation to buy or sell any security.