Description of VelocityShares 3x Long Gold ETN

Credit Suisse AG - VelocityShares 3x Long Gold ETN

Statistics of VelocityShares 3x Long Gold ETN (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Applying this definition to our asset in some examples:
  • The total return, or increase in value over 5 years of VelocityShares 3x Long Gold ETN is -41%, which is lower, thus worse compared to the benchmark SPY (67.3%) in the same period.
  • During the last 3 years, the total return, or increase in value is -15.4%, which is lower, thus worse than the value of 46.1% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (10.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -10% of VelocityShares 3x Long Gold ETN is lower, thus worse.
  • Looking at compounded annual growth rate (CAGR) in of -5.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (13.5%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Using this definition on our asset we see for example:
  • The historical 30 days volatility over 5 years of VelocityShares 3x Long Gold ETN is 39.1%, which is larger, thus worse compared to the benchmark SPY (13.2%) in the same period.
  • Looking at historical 30 days volatility in of 34.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.4%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

Which means for our asset as example:
  • Looking at the downside risk of 38.1% in the last 5 years of VelocityShares 3x Long Gold ETN, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.6%)
  • Looking at downside deviation in of 34.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (14%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.63) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.32 of VelocityShares 3x Long Gold ETN is lower, thus worse.
  • During the last 3 years, the Sharpe Ratio is -0.23, which is lower, thus worse than the value of 0.88 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Applying this definition to our asset in some examples:
  • The downside risk / excess return profile over 5 years of VelocityShares 3x Long Gold ETN is -0.33, which is smaller, thus worse compared to the benchmark SPY (0.57) in the same period.
  • Looking at ratio of annual return and downside deviation in of -0.23 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.79).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Using this definition on our asset we see for example:
  • Looking at the Downside risk index of 38 in the last 5 years of VelocityShares 3x Long Gold ETN, we see it is relatively greater, thus better in comparison to the benchmark SPY (3.95 )
  • Compared with SPY (4 ) in the period of the last 3 years, the Downside risk index of 30 is larger, thus better.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Applying this definition to our asset in some examples:
  • Looking at the maximum drop from peak to valley of -58.3 days in the last 5 years of VelocityShares 3x Long Gold ETN, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-19.3 days)
  • Looking at maximum reduction from previous high in of -48.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 days).

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Which means for our asset as example:
  • The maximum time in days below previous high water mark over 5 years of VelocityShares 3x Long Gold ETN is 1257 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Compared with SPY (131 days) in the period of the last 3 years, the maximum days under water of 678 days is larger, thus worse.

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Which means for our asset as example:
  • Looking at the average days under water of 629 days in the last 5 years of VelocityShares 3x Long Gold ETN, we see it is relatively higher, thus worse in comparison to the benchmark SPY (39 days)
  • Compared with SPY (33 days) in the period of the last 3 years, the average time in days below previous high water mark of 310 days is higher, thus worse.

Performance of VelocityShares 3x Long Gold ETN (YTD)

Historical returns have been extended using synthetic data.

Allocations of VelocityShares 3x Long Gold ETN
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Allocations

Returns of VelocityShares 3x Long Gold ETN (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of VelocityShares 3x Long Gold ETN are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.