VelocityShares 3x Risk Analysis And Volatility Evaluation

UWT -- USA Etf  

USD 33.44  1.06  3.07%

Macroaxis considers VelocityShares 3x not very volatile given 1 month investment horizon. VelocityShares 3x Lng owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1499 which indicates VelocityShares 3x Lng had 0.1499% 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 Lng technical indicators you can presently evaluate if the expected return of 0.979% is justified by implied risk. Please operate VelocityShares 3x Semi Deviation of 6.12, Coefficient Of Variation of 817.48 and Risk Adjusted Performance of 0.0833 to confirm if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

VelocityShares 3x Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, VelocityShares 3x will likely underperform.
One Month Beta |Analyze VelocityShares 3x Lng Demand Trend
Check current 30 days VelocityShares 3x correlation with market (DOW)
β = 2.7693
VelocityShares 3x Large BetaVelocityShares 3x Lng Beta Legend

VelocityShares 3x Lng Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. VelocityShares 3x Lng 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, the etf has beta coefficient of 2.7693 . 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 3x will likely underperform. Moreover, VelocityShares 3x Lng Crude Oil ETN New has an alpha of 0.4366 implying that it can potentially generate 0.4366% 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 667.28. The daily returns are destributed with a variance of 42.67 and standard deviation of 6.53. The mean deviation of VelocityShares 3x Lng Crude Oil ETN New is currently at 4.28. For similar time horizon, the selected benchmark (DOW) has volatility of 0.61
α
Alpha over DOW
=0.44
β
Beta against DOW=2.77
σ
Overall volatility
=6.53
Ir
Information ratio =0.10

Actual Return Volatility

VelocityShares 3x Lng Crude Oil ETN New has volatility of 6.5324% on return distribution over 30 days investment horizon. DOW inherits 0.5992% 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

Very low

30 Days Economic Sensitivity

Hypersensitive to market

Investment Outlook

VelocityShares 3x Investment Opportunity
VelocityShares 3x Lng Crude Oil ETN New has a volatility of 6.53 and is 10.88 times more volatile than DOW. 59% 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 Lng Crude Oil ETN New is higher than 59 (%) of all global equities and portfolios over the last 30 days. Use VelocityShares 3x Lng Crude Oil ETN New 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 $32.1 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, VelocityShares 3x will likely underperform.

VelocityShares 3x correlation with market

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