VelocityShares 3x Risk Analysis

VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER -- USA Etf  

USD 20.6  0.7  3.29%

Macroaxis considers VelocityShares 3x not very volatile given 1 month investment horizon. VelocityShares 3x Long owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1247 which indicates VelocityShares 3x Long had 0.1247% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of a etf is to use all available market data together with company specific technical indicators that cannot be diversified away. By inspecting VelocityShares 3x Long technical indicators you can presently evaluate if the expected return of 0.5121% is justified by implied risk. Please operate VelocityShares 3x Semi Deviation of 3.9, Coefficient Of Variation of 858.02 and Risk Adjusted Performance of 0.0642 to confirm if our risk estimates are consistent with your expectations.
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 = -1.6901
VelocityShares 3x Large Negative 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.

Projected Return Density Against Market

Considering 30-days investment horizon, VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER has beta of -1.6901 . This entails as returns on its benchmark rise, returns on holding VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER 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 Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER has an alpha of 0.8861 implying that it can potentially generate 0.8861% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of VelocityShares 3x is 802.23. The daily returns are destributed with a variance of 16.88 and standard deviation of 4.11. The mean deviation of VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER is currently at 3.33. For similar time horizon, the selected benchmark (DOW) has volatility of 0.47
α
Alpha over DOW
=0.89
βBeta against DOW=1.69
σ
Overall volatility
=4.11
 IrInformation ratio =0.0509

Actual Return Volatility

VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER has volatility of 4.1081% on return distribution over 30 days investment horizon. DOW inherits 0.4705% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

VelocityShares 3x Volatility Factors

30 Days Market Risk

Not very volatile

Chance of Distress in 24 months

30 Days Economic Sensitivity

Very regressive towards market

Largest Trends

VelocityShares 3x Largest Period Trend

Investment Outlook

VelocityShares 3x Investment Opportunity
VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER has a volatility of 4.11 and is 8.74 times more volatile than DOW. 38% 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 Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER is lower than 38 (%) of all global equities and portfolios over the last 30 days. Use VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER to protect against small markets fluctuations. The etf experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of VelocityShares 3x to be traded at $19.78 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

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