VelocityShares 3x Long Gold ETN (UGLD)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return, or performance of 10.7% 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 (115.6%)
• During the last 3 years, the total return, or performance is 0%, which is lower, thus worse than the value of 42.9% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The annual performance (CAGR) over 5 years of VelocityShares 3x Long Gold ETN is 2.1%, which is smaller, thus worse compared to the benchmark SPY (16.6%) in the same period.
• During the last 3 years, the annual return (CAGR) is 0%, which is smaller, thus worse than the value of 12.7% from the benchmark.

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.'

• Compared with the benchmark SPY (17.9%) in the period of the last 5 years, the 30 days standard deviation of 8.5% of VelocityShares 3x Long Gold ETN is lower, thus better.
• Looking at volatility in of 0% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (18.6%).

DownVol:

'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 volatility over 5 years of VelocityShares 3x Long Gold ETN is 6%, which is smaller, thus better compared to the benchmark SPY (12.5%) in the same period.
• During the last 3 years, the downside risk is 0%, which is lower, thus better than the value of 12.7% from the benchmark.

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.'

• The Sharpe Ratio over 5 years of VelocityShares 3x Long Gold ETN is -0.05, which is smaller, thus worse compared to the benchmark SPY (0.79) in the same period.
• Compared with SPY (0.55) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0 is smaller, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The excess return divided by the downside deviation over 5 years of VelocityShares 3x Long Gold ETN is -0.07, which is lower, thus worse compared to the benchmark SPY (1.13) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0, which is lower, thus worse than the value of 0.8 from the benchmark.

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.'

• The Ulcer Ratio over 5 years of VelocityShares 3x Long Gold ETN is 1.88 , which is smaller, thus better compared to the benchmark SPY (8.46 ) in the same period.
• Compared with SPY (5.79 ) in the period of the last 3 years, the Ulcer Index of 0 is lower, 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.'

• Looking at the maximum drop from peak to valley of -13.5 days in the last 5 years of VelocityShares 3x Long Gold ETN, we see it is relatively larger, thus better in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum drop from peak to valley is 0 days, which is greater, thus better than the value of -18.8 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum days below previous high of 1216 days 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 (488 days)
• Looking at maximum days below previous high in of 0 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (199 days).

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. 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 (119 days) in the period of the last 5 years, the average days below previous high of 593 days of VelocityShares 3x Long Gold ETN is greater, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 0 days, which is lower, thus better than the value of 46 days from the benchmark.