We consider VelocityShares 3x not very volatile. VelocityShares 3x Inv owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0297 which indicates VelocityShares 3x Inv had 0.0297% 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 validate VelocityShares 3x Semi Deviation of 3.88, Coefficient Of Variation of 1780.63 and Risk Adjusted Performance of 0.0245 to confirm if risk estimate we provide are consistent with the epected return of 0.1143%.
|Investment Horizon||30 Days Login to change|
VelocityShares 3x Market Sensitivity
|As returns on market increase, VelocityShares 3x returns are expected to increase less than the market. However during bear market, the loss on holding VelocityShares 3x will be expected to be smaller as well.One Month Beta |Analyze VelocityShares 3x Inv Demand TrendCheck current 30 days VelocityShares 3x correlation with market (DOW)|
β = 0.2847
Projected Return Density Against MarketGiven the investment horizon of 30 days, VelocityShares 3x has beta of 0.2847 suggesting as returns on market go up, VelocityShares 3x average returns are expected to increase less than the benchmark. However during bear market, the loss on holding VelocityShares 3x Inv Natural Gas ETN will be expected to be much smaller as well. Moreover, VelocityShares 3x Inv Natural Gas ETN has an alpha of 0.1551 implying that it can potentially generate 0.1551% excess return over DOW after adjusting for the inherited market risk (beta).
Given the investment horizon of 30 days, the coefficient of variation of VelocityShares 3x is 3362.77. The daily returns are destributed with a variance of 14.76 and standard deviation of 3.84. The mean deviation of VelocityShares 3x Inv Natural Gas ETN is currently at 2.9. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27