Macroaxis considers VelocityShares 3x to be relatively risky. VelocityShares 3x Long owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.1244 which indicates VelocityShares 3x Long had -0.1244% 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 Long 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
(777.01) and Risk Adjusted Performance of (0.025634) to confirm risk estimate we provide.
|Investment Horizon||30 Days Login to change|
VelocityShares 3x Market Sensitivity
|As returns on market increase, returns on owning VelocityShares 3x are expected to decrease by larger amounts. On the other hand, during market turmoil, VelocityShares 3x is expected to significantly outperform it.One Month Beta |Analyze VelocityShares 3x Long Demand TrendCheck current 30 days VelocityShares 3x correlation with market (DOW)|
β = -4.1783
Projected Return Density Against MarketGiven the investment horizon of 30 days, VelocityShares 3x Long Natural Gas ETN has beta of -4.1783 . This entails as returns on its benchmark rise, returns on holding VelocityShares 3x Long Natural Gas ETN are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, VelocityShares 3x is expected to outperform its benchmark. Moreover, VelocityShares 3x Long Natural Gas ETN has an alpha of 0.2849 implying that it can potentially generate 0.2849% excess return over DOW after adjusting for the inherited market risk (beta).
Given the investment horizon of 30 days, the coefficient of variation of VelocityShares 3x is -803.86. The daily returns are destributed with a variance of 13.44 and standard deviation of 3.67. The mean deviation of VelocityShares 3x Long Natural Gas ETN is currently at 2.79. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27