VelocityShares 3x Risk Analysis And Volatility Evaluation

DGAZ -- USA Etf  

USD 24.81  0.20  0.80%

Macroaxis considers VelocityShares 3x to be not very risky. VelocityShares 3x Inv owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.1153 which indicates VelocityShares 3x Inv had -0.1153% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. VelocityShares 3x Inv Natural Gas ETN exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate VelocityShares 3x Coefficient Of Variation of 446.79 and Risk Adjusted Performance of 0.01 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

VelocityShares 3x Inv Technical Analysis

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.

Projected Return Density Against Market

Given the investment horizon of 30 days, VelocityShares 3x has beta of 0.0 suggesting unless we do not have required data, the returns on DOW and VelocityShares 3x are completely uncorrelated. Furthermore, VelocityShares 3x Inv Natural Gas ETNIt does not look like VelocityShares 3x alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
Given the investment horizon of 30 days, the coefficient of variation of VelocityShares 3x is -867.43. The daily returns are destributed with a variance of 8.72 and standard deviation of 2.95. The mean deviation of VelocityShares 3x Inv Natural Gas ETN is currently at 2.16. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
Alpha over DOW
Beta against DOW=0.00
Overall volatility
Information ratio =0.22

Actual Return Volatility

VelocityShares 3x Inv Natural Gas ETN inherits 2.9536% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.4392% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Market Risk Breakdown

VelocityShares 3x Volatility Factors

30 Days Market Risk

Not very risky

Chance of Distress in 24 months

Very low

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

VelocityShares 3x Investment Opportunity
VelocityShares 3x Inv Natural Gas ETN has a volatility of 2.95 and is 2.05 times more volatile than DOW. 27% 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 27 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

VelocityShares 3x Current Risk Indicators
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