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 TrendCheck current 30 days VelocityShares 3x correlation with market (DOW)|
β = -1.6901
VelocityShares 3x Long Technical Analysis
Projected Return Density Against MarketConsidering 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).
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