VelocityShares 3x Long Gold ETN (UGLD)

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.'

• The total return, or increase in value over 5 years of VelocityShares 3x Long Gold ETN is 47.4%, which is lower, thus worse compared to the benchmark SPY (101.9%) in the same period.
• Compared with SPY (33.5%) in the period of the last 3 years, the total return of 0% is smaller, thus worse.

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.'

• The annual return (CAGR) over 5 years of VelocityShares 3x Long Gold ETN is 8.1%, which is smaller, thus worse compared to the benchmark SPY (15.1%) in the same period.
• Looking at annual performance (CAGR) in of 0% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (10.1%).

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.'

• Looking at the volatility of 21.5% in the last 5 years of VelocityShares 3x Long Gold ETN, we see it is relatively greater, thus worse in comparison to the benchmark SPY (21%)
• During the last 3 years, the 30 days standard deviation is 0%, which is smaller, thus better than the value of 17.5% from the benchmark.

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.'

• The downside risk over 5 years of VelocityShares 3x Long Gold ETN is 13.9%, which is smaller, thus better compared to the benchmark SPY (15%) in the same period.
• Compared with SPY (12.3%) in the period of the last 3 years, the downside volatility of 0% is lower, thus better.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark SPY (0.6) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.26 of VelocityShares 3x Long Gold ETN is lower, thus worse.
• During the last 3 years, the Sharpe Ratio is 0, which is lower, thus worse than the value of 0.44 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the ratio of annual return and downside deviation of 0.4 in the last 5 years of VelocityShares 3x Long Gold ETN, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.84)
• Looking at excess return divided by the downside deviation in of 0 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.62).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Ulcer Ratio of 3.45 of VelocityShares 3x Long Gold ETN is lower, thus better.
• During the last 3 years, the Ulcer Ratio is 0 , which is smaller, thus better than the value of 10 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum drop from peak to valley over 5 years of VelocityShares 3x Long Gold ETN is -34.3 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum DrawDown is 0 days, which is larger, thus better than the value of -24.5 days from the benchmark.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 1129 days of VelocityShares 3x Long Gold ETN is higher, thus worse.
• Compared with SPY (488 days) in the period of the last 3 years, the maximum days below previous high of 0 days is lower, thus better.

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.'

• Compared with the benchmark SPY (122 days) in the period of the last 5 years, the average days under water of 517 days of VelocityShares 3x Long Gold ETN is greater, thus worse.
• Compared with SPY (177 days) in the period of the last 3 years, the average time in days below previous high water mark of 0 days is lower, thus better.