Pair Correlation Between VelocityShares 3x and VelocityShares 3x

This module allows you to analyze existing cross correlation between VelocityShares 3x Long Natural Gas ETN and VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER. You can compare the effects of market volatilities on VelocityShares 3x and VelocityShares 3x and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in VelocityShares 3x with a short position of VelocityShares 3x. See also your portfolio center. Please also check ongoing floating volatility patterns of VelocityShares 3x and VelocityShares 3x.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 VelocityShares 3x Long Natural  vs   VelocityShares 3x Long Crude O
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, VelocityShares 3x Long Natural Gas ETN is expected to generate 74.64 times more return on investment than VelocityShares 3x. However, VelocityShares 3x is 74.64 times more volatile than VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER. It trades about 0.24 of its potential returns per unit of risk. VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER is currently generating about 0.61 per unit of risk. If you would invest  577  in VelocityShares 3x Long Natural Gas ETN on December 19, 2017 and sell it today you would earn a total of  7,193  from holding VelocityShares 3x Long Natural Gas ETN or generate 1246.62% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between VelocityShares 3x and VelocityShares 3x
0.78

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy95.24%
ValuesDaily Returns

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding VelocityShares 3x Long Natural and VelocityShares 3x Long Crude O in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on VelocityShares 3x Long and VelocityShares 3x is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on VelocityShares 3x Long Natural Gas ETN are associated (or correlated) with VelocityShares 3x. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VelocityShares 3x Long has no effect on the direction of VelocityShares 3x i.e. VelocityShares 3x and VelocityShares 3x go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

VelocityShares 3x Long

  
15 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in VelocityShares 3x Long Natural Gas ETN are ranked lower than 15 (%) of all global equities and portfolios over the last 30 days.

VelocityShares 3x Long

  
40 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER are ranked lower than 40 (%) of all global equities and portfolios over the last 30 days.