VelocityShares 3x Risk Analysis

VelocityShares 3x Inv Natural Gas ETN -- USA Etf  

USD 26.02  0.08  0.31%

Macroaxis considers VelocityShares 3x not very volatile given 1 month investment horizon. VelocityShares 3x Inv owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0793 which indicates VelocityShares 3x Inv had 0.0793% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of a etf is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for VelocityShares 3x Inv Natural Gas ETN which you can use to evaluate future volatility of the etf. Please operate VelocityShares 3x Semi Deviation of 3.87, Coefficient Of Variation of 924.71 and Risk Adjusted Performance of 0.0386 to confirm if our risk estimates are consistent with your expectations.
Investment Horizon     30 Days    Login   to change

VelocityShares 3x Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, VelocityShares 3x will likely underperform.
One Month Beta |Analyze VelocityShares 3x Inv Demand Trend
Check current 30 days VelocityShares 3x correlation with market (DOW)
β = 4.245
VelocityShares 3x Large BetaVelocityShares 3x Inv Beta Legend

Projected Return Density Against Market

Given the investment horizon of 30 days, the etf has beta coefficient of 4.245 suggesting as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, VelocityShares 3x will likely underperform. 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 1261.5. The daily returns are destributed with a variance of 15.5 and standard deviation of 3.94. The mean deviation of VelocityShares 3x Inv Natural Gas ETN is currently at 3.0. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27
α
Alpha over DOW
=(0.38) 
βBeta against DOW= 4.25 
σ
Overall volatility
= 3.94 
 IrInformation ratio = 0.0568 

Actual Return Volatility

VelocityShares 3x Inv Natural Gas ETN inherits 3.9369% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2576% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

VelocityShares 3x Volatility Factors

30 Days Market Risk

Not very volatile

Chance of Distress in 24 months

Above average

30 Days Economic Sensitivity

Hypersensitive to market

Largest Trends

VelocityShares 3x Largest Period Trend

Investment Outlook

VelocityShares 3x Investment Opportunity
VelocityShares 3x Inv Natural Gas ETN has a volatility of 3.94 and is 15.15 times more volatile than DOW. 37% 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 37 (%) 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 normal downward trend and little activity. Check odds of VelocityShares 3x to be traded at $25.76 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, VelocityShares 3x will likely underperform.

VelocityShares 3x correlation with market

Weak 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.