VelocityShares 3x Risk Analysis

VelocityShares 3x Inv Natural Gas ETN -- USA Etf  

USD 25.05  0.97  3.73%

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 Trend
Check current 30 days VelocityShares 3x correlation with market (DOW)
β = 0.2847
VelocityShares 3x Small BetaVelocityShares 3x Inv Beta Legend

Projected Return Density Against Market

Given 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
=0.16
βBeta against DOW=0.28
σ
Overall volatility
=3.84
 IrInformation ratio =0.0062

Actual Return Volatility

VelocityShares 3x Inv Natural Gas ETN inherits 3.8424% 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

Quite high

30 Days Economic Sensitivity

Slowly supersedes market

Largest Trends

VelocityShares 3x Largest Period Trend

Investment Outlook

VelocityShares 3x Investment Opportunity
VelocityShares 3x Inv Natural Gas ETN has a volatility of 3.84 and is 14.77 times more volatile than DOW. 36% 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 36 (%) 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 unexpected downward movement. The market is reacting to new fundamentals. Check odds of VelocityShares 3x to be traded at $24.05 in 30 days. 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.

VelocityShares 3x correlation with market

Significant 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.