VelocityShares 3x Risk Analysis

VelocityShares 3x Inv Natural Gas ETN -- USA Etf  

USD 27.50  1.90  6.46%

Macroaxis considers VelocityShares 3x to be not very risky. VelocityShares 3x Inv owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0408 which indicates VelocityShares 3x Inv had -0.0408% of return per unit of risk over the last 2 months. Macroaxis philosophy towards measuring risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. VelocityShares 3x Inv Natural Gas ETN exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate VelocityShares 3x Coefficient Of Variation of 1,277 and Risk Adjusted Performance of 0.13 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

VelocityShares 3x Market Sensitivity

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.
2 Months Beta |Analyze VelocityShares 3x Inv Demand Trend
Check current 30 days VelocityShares 3x correlation with market (DOW)
β = -0.4579
VelocityShares 3x Almost negative betaVelocityShares 3x Inv Beta Legend

VelocityShares 3x Inv Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. VelocityShares 3x Inv Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Given the investment horizon of 30 days, VelocityShares 3x Inv Natural Gas ETN has beta of -0.4579 suggesting as returns on benchmark increase, returns on holding VelocityShares 3x are expected to decrease at a much smaller rate. During bear market, however, VelocityShares 3x Inv Natural Gas ETN is likely to outperform the market. Additionally, VelocityShares 3x Inv Natural Gas ETN has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of VelocityShares 3x is -2449.91. The daily returns are destributed with a variance of 11.78 and standard deviation of 3.43. The mean deviation of VelocityShares 3x Inv Natural Gas ETN is currently at 2.75. For similar time horizon, the selected benchmark (DOW) has volatility of 1.68
α
Alpha over DOW
=0.33
β
Beta against DOW=0.46
σ
Overall volatility
=3.43
Ir
Information ratio =0.05

Actual Return Volatility

VelocityShares 3x Inv Natural Gas ETN inherits 3.4326% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.4105% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

VelocityShares 3x Volatility Factors

60 Days Market Risk

Not very risky

Chance of Distress in 24 months

Very low

60 Days Economic Sensitivity

Almost neglects market

Investment Outlook

VelocityShares 3x Investment Opportunity
VelocityShares 3x Inv Natural Gas ETN has a volatility of 3.43 and is 2.43 times more volatile than DOW. 31% of all equities and portfolios are less risky than VelocityShares 3x. Compared to the overall equity markets, volatility of historical daily returns of VelocityShares 3x Inv Natural Gas ETN is lower than 31 (%) of all global equities and portfolios over the last 30 days. Use VelocityShares 3x Inv Natural Gas ETN to protect against small markets fluctuations. The etf experiences very speculative upward sentiment.. Check odds of VelocityShares 3x to be traded at $26.13 in 30 days. 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.

VelocityShares 3x correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding VelocityShares 3x Inv Natural and equity matching DJI index in the same portfolio.

Volatility Indicators

VelocityShares 3x Current Risk Indicators
Additionally see Investing Opportunities. Please also try Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..