VelocityShares 3x Backtesting

DGAZ -- USA Etf  

USD 27.50  0.88  3.31%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of VelocityShares 3x Inv Natural Gas ETN and determine expected loss or profit from investing in VelocityShares 3x over given investment horizon. Additionally see VelocityShares 3x Hype Analysis, VelocityShares 3x Correlation, Portfolio Optimization, VelocityShares 3x Volatility as well as analyze VelocityShares 3x Alpha and Beta and VelocityShares 3x Performance.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

VelocityShares 3x 'What if' Analysis

June 21, 2018
0.00
No Change 0.00  0.0%
In 31 days
July 21, 2018
0.00
If you would invest  0.00  in VelocityShares 3x on June 21, 2018 and sell it all today you would earn a total of 0.00 from holding VelocityShares 3x Inv Natural Gas ETN or generate 0.0% return on investment in VelocityShares 3x over 30 days. VelocityShares 3x is related to or competes with United States, United States, PowerShares DB, VelocityShares 3x, PowerShares DB, ProShares UltraShort, and VelocityShares 3x. The investment seeks to replicate, net of expenses, three times the opposite of this GSCI Natural Gas Index ER

VelocityShares 3x Upside/Downside Indicators

Downside Deviation3.47
Information Ratio0.2679
Maximum Drawdown10.51
Value At Risk4.34
Potential Upside6.02
  

VelocityShares 3x Market Premium Indicators

Risk Adjusted Performance0.1525
Jensen Alpha1.03
Total Risk Alpha0.312
Sortino Ratio0.2475
Treynor Ratio1.18

VelocityShares 3x Inv Backtested Returns

VelocityShares 3x is not very risky given 1 month investment horizon. VelocityShares 3x Inv owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.3229 which indicates VelocityShares 3x Inv had 0.3229% of return per unit of risk over the last 1 month. Our philosophy towards measuring risk of a etf is to use both market data as well as company specific technical data. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 1.0527% are justified by taking the suggested risk. Use VelocityShares 3x Inv Semi Deviation of 2.51, Coefficient Of Variation of 332.31 and Risk Adjusted Performance of 0.1525 to evaluate company specific risk that cannot be diversified away. The entity has beta of -0.8095 which indicates as returns on market increase, returns on owning VelocityShares 3x are expected to decrease at a much smaller rate. During bear market, VelocityShares 3x is likely to outperform the market.. Although it is vital to follow to VelocityShares 3x Inv current price movements, it is good to be conservative about what you can actually do with the information regarding equity historical returns. Macroaxis philosophy towards measuring future performance of any etf is to look not only at its past charts but also at the business as a whole, including all fundamental and technical indicators. To evaluate if VelocityShares 3x Inv Natural Gas ETN expected return of 1.0527 will be sustainable into the future, we have found twenty-one different technical indicators which can help you to check if the expected returns are sustainable.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.65 

Good predictability

VelocityShares 3x Inv Natural Gas ETN has good predictability. Overlapping area represents the amount of predictability between VelocityShares 3x time series from June 21, 2018 to July 6, 2018 and July 6, 2018 to July 21, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of VelocityShares 3x Inv price movement. The serial correlation of 0.65 indicates that roughly 65.0% of current VelocityShares 3x price fluctuation can be explain by its past prices.
Correlation Coefficient 0.65
Spearman Rank Test 0.67
Price Variance 1.04
Lagged Price Variance 1.13

VelocityShares 3x Inv lagged returns against current returns

 Current and Lagged Values 
      Timeline 

VelocityShares 3x regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

VelocityShares 3x Lagged Returns

 Regressed Prices 
      Timeline 

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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for VelocityShares 3x and United States Oil. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Additionally see VelocityShares 3x Hype Analysis, VelocityShares 3x Correlation, Portfolio Optimization, VelocityShares 3x Volatility as well as analyze VelocityShares 3x Alpha and Beta and VelocityShares 3x Performance. Please also try Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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