VelocityShares 3x Risk Analysis

VelocityShares 3x Long Natural Gas ETN -- USA Etf  

USD 10.36  0.03  0.29%

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 Trend
Check current 30 days VelocityShares 3x correlation with market (DOW)
β = -4.1783
VelocityShares 3x Large Negative BetaVelocityShares 3x Long Beta Legend

Projected Return Density Against Market

Given 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
= 0.28 
βBeta against DOW=(4.18) 
σ
Overall volatility
= 3.67 
 IrInformation ratio =(0.18) 

Actual Return Volatility

VelocityShares 3x Long Natural Gas ETN inherits 3.6657% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2695% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

VelocityShares 3x Volatility Factors

30 Days Market Risk

Relatively risky

Chance of Distress in 24 months

High

30 Days Economic Sensitivity

Completely opposite to market

Largest Trends

VelocityShares 3x Largest Period Trend

Investment Outlook

VelocityShares 3x Investment Opportunity
VelocityShares 3x Long Natural Gas ETN has a volatility of 3.67 and is 13.59 times more volatile than DOW. 34% 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 Long Natural Gas ETN is lower than 34 (%) of all global equities and portfolios over the last 30 days. Use VelocityShares 3x Long Natural Gas ETN to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of VelocityShares 3x to be traded at $10.88 in 30 days. 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.

VelocityShares 3x correlation with market

Very good 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.

Volatility Indicators

VelocityShares 3x Current Risk Indicators