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.
Investment 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 under-perform the VelocityShares 3x. But the etf apears to be less risky and, when comparing its historical volatility, VelocityShares 3x Long Natural Gas ETN is 1.01 times less risky than VelocityShares 3x. The etf trades about -0.1 of its potential returns per unit of risk. The VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER is currently generating about -0.03 of returns per unit of risk over similar time horizon. If you would invest  1,716  in VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER on September 23, 2017 and sell it today you would lose (67)  from holding VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER or give up 3.9% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between VelocityShares 3x and VelocityShares 3x
0.54

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very weak 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

  
0 

Risk-Adjusted Performance

Over the last 30 days VelocityShares 3x Long Natural Gas ETN has generated negative risk-adjusted returns adding no value to investors with long positions.

VelocityShares 3x Long

  
0 

Risk-Adjusted Performance

Over the last 30 days VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER has generated negative risk-adjusted returns adding no value to investors with long positions.