VelocityShares Risk Analysis And Volatility Evaluation

DGAZ -- USA Etf  

USD 21.79  0.18  0.83%

Macroaxis considers VelocityShares not very volatile given 1 month investment horizon. VelocityShares 3x Inv owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0936 which indicates VelocityShares 3x Inv had 0.0936% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for VelocityShares 3x Inv Natural Gas ETN which you can use to evaluate future volatility of the etf. Please operate VelocityShares Semi Deviation of 4.22, Coefficient Of Variation of 1770.45 and Risk Adjusted Performance of 0.0314 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

VelocityShares Market Sensitivity

As returns on market increase, returns on owning VelocityShares are expected to decrease at a much smaller rate. During bear market, VelocityShares is likely to outperform the market.
One Month Beta |Analyze VelocityShares 3x Inv Demand Trend
Check current 30 days VelocityShares correlation with market (DOW)
β = -0.3113
VelocityShares 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 seventeen. 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.

VelocityShares Projected Return Density Against Market

Given the investment horizon of 30 days, VelocityShares 3x Inv Natural Gas ETN has beta of -0.3113 suggesting as returns on benchmark increase, returns on holding VelocityShares 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. Moreover, VelocityShares 3x Inv Natural Gas ETN has an alpha of 0.2553 implying that it can potentially generate 0.2553% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of VelocityShares is 1068.46. The daily returns are destributed with a variance of 17.89 and standard deviation of 4.23. The mean deviation of VelocityShares 3x Inv Natural Gas ETN is currently at 2.99. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.26
β
Beta against DOW=0.31
σ
Overall volatility
=4.23
Ir
Information ratio =0.032

VelocityShares Return Volatility

VelocityShares 3x Inv Natural Gas ETN inherits 4.2302% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.3947% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

VelocityShares Volatility Factors

30 Days Market Risk

Not very volatile

Chance of Distress in 24 months

About average

30 Days Economic Sensitivity

Almost neglects market

Investment Outlook

VelocityShares Investment Opportunity

VelocityShares 3x Inv Natural Gas ETN has a volatility of 4.23 and is 10.85 times more volatile than DOW. 38% of all equities and portfolios are less risky than VelocityShares. Compared to the overall equity markets, volatility of historical daily returns of VelocityShares 3x Inv Natural Gas ETN is lower than 38 (%) of all global equities and portfolios over the last 30 days. Use VelocityShares 3x Inv Natural Gas ETN to enhance returns of your portfolios. The etf experiences moderate upward volatility. Check odds of VelocityShares to be traded at $23.97 in 30 days. As returns on market increase, returns on owning VelocityShares are expected to decrease at a much smaller rate. During bear market, VelocityShares is likely to outperform the market.

VelocityShares correlation with market

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.

VelocityShares Volatility Indicators

VelocityShares 3x Inv Natural Gas ETN Current Risk Indicators

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