VelocityShares Risk Analysis And Volatility Evaluation

UGAZ -- USA Etf  

USD 62.80  4.03  6.03%

We consider VelocityShares not too volatile. VelocityShares 3x Long owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0106 which indicates VelocityShares 3x Long had 0.0106% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for VelocityShares 3x Long Natural Gas ETN which you can use to evaluate future volatility of the etf. Please validate VelocityShares Coefficient Of Variation of 3,733 and Risk Adjusted Performance of 0.001584 to confirm if risk estimate we provide are consistent with the epected return of 0.046%.
Horizon     30 Days    Login   to change

VelocityShares Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, VelocityShares will likely underperform.
One Month Beta |Analyze VelocityShares 3x Long Demand Trend
Check current 30 days VelocityShares correlation with market (DOW)
β = 1.6709
VelocityShares Large BetaVelocityShares 3x Long Beta Legend

VelocityShares 3x Long Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. VelocityShares 3x Long 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.

VelocityShares Projected Return Density Against Market

Given the investment horizon of 30 days, the etf has beta coefficient of 1.6709 . This entails as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, VelocityShares will likely underperform. Additionally, VelocityShares 3x Long Natural Gas ETN has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of VelocityShares is 9458.59. The daily returns are destributed with a variance of 18.9 and standard deviation of 4.35. The mean deviation of VelocityShares 3x Long Natural Gas ETN is currently at 3.1. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.27
β
Beta against DOW=1.67
σ
Overall volatility
=4.35
Ir
Information ratio =0.05

VelocityShares Return Volatility

VelocityShares 3x Long Natural Gas ETN inherits 4.3471% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.3914% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

VelocityShares Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Quite high

30 Days Economic Sensitivity

Very susceptible to market

Investment Outlook

VelocityShares Investment Opportunity

VelocityShares 3x Long Natural Gas ETN has a volatility of 4.35 and is 11.15 times more volatile than DOW. 39% of all equities and portfolios are less risky than VelocityShares. Compared to the overall equity markets, volatility of historical daily returns of VelocityShares 3x Long Natural Gas ETN is lower than 39 (%) of all global equities and portfolios over the last 30 days. Use VelocityShares 3x Long Natural Gas ETN to protect against small markets fluctuations. The etf experiences very speculative upward sentiment.. Check odds of VelocityShares to be traded at $59.66 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, VelocityShares will likely underperform.

VelocityShares correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding VelocityShares 3x Long Natural and equity matching DJI index in the same portfolio.

VelocityShares Volatility Indicators

VelocityShares 3x Long Natural Gas ETN Current Risk Indicators

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