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 TrendCheck current 30 days VelocityShares 3x correlation with market (DOW)|
β = 4.245
Projected Return Density Against MarketGiven 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
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