Macroaxis considers VelocityShares 3x not very volatile given 1 month investment horizon. VelocityShares 3x Long owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0694 which indicates VelocityShares 3x Long had 0.0694% 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. We have found twenty-one technical indicators for VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER which you can use to evaluate future volatility of the etf. Please operate VelocityShares 3x Semi Deviation of 3.86, Coefficient Of Variation of 2193.98 and Risk Adjusted Performance of 0.0314 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 at a much smaller rate. During bear market, VelocityShares 3x is likely to outperform the market.One Month Beta |Analyze VelocityShares 3x Long Demand TrendCheck current 30 days VelocityShares 3x correlation with market (DOW)|
β = -0.2219
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 -0.2219 . This entails as returns on benchmark increase, returns on holding VelocityShares 3x are expected to decrease at a much smaller rate. During bear market, however, VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER is likely to outperform the market. Moreover, VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER has an alpha of 0.2156 implying that it can potentially generate 0.2156% 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 1441.17. The daily returns are destributed with a variance of 17.81 and standard deviation of 4.22. The mean deviation of VelocityShares 3x Long Crude Oil ETNs linked to the SP GSCI Crude Oil Index ER is currently at 3.3. For similar time horizon, the selected benchmark (DOW) has volatility of 0.5