Description

The investment seeks to replicate, net of expenses, three times the S&P GSCI Gold index ER. The index comprises futures contracts on a single commodity. The fluctuations in the values of it are intended generally to correlate with changes in the price of gold in global markets.

Statistics (YTD)

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

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (61.3%) in the period of the last 5 years, the total return, or increase in value of 84.6% of VelocityShares 3x Long Gold ETN is greater, thus better.
  • Looking at total return, or performance in of 44.6% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (31.6%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (10%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 13.1% of VelocityShares 3x Long Gold ETN is higher, thus better.
  • Compared with SPY (9.6%) in the period of the last 3 years, the annual return (CAGR) of 13.1% is larger, thus better.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Which means for our asset as example:
  • Looking at the 30 days standard deviation of 30.3% 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 (20.8%)
  • Looking at historical 30 days volatility in of 29% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (24%).

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.'

Using this definition on our asset we see for example:
  • Looking at the downside volatility of 20.1% 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 (15.3%)
  • Looking at downside risk in of 19% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.6%).

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.'

Using this definition on our asset we see for example:
  • The Sharpe Ratio over 5 years of VelocityShares 3x Long Gold ETN is 0.35, which is lower, thus worse compared to the benchmark SPY (0.36) in the same period.
  • Looking at ratio of return and volatility (Sharpe) in of 0.36 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.3).

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.'

Applying this definition to our asset in some examples:
  • Looking at the excess return divided by the downside deviation of 0.52 in the last 5 years of VelocityShares 3x Long Gold ETN, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.49)
  • Looking at excess return divided by the downside deviation in of 0.56 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.4).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Which means for our asset as example:
  • The Downside risk index over 5 years of VelocityShares 3x Long Gold ETN is 14 , which is greater, thus worse compared to the benchmark SPY (7.61 ) in the same period.
  • Looking at Downside risk index in of 4.69 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (8.93 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Using this definition on our asset we see for example:
  • The maximum drop from peak to valley over 5 years of VelocityShares 3x Long Gold ETN is -39.3 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -34.3 days is lower, thus worse.

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.'

Which means for our asset as example:
  • The maximum days under water over 5 years of VelocityShares 3x Long Gold ETN is 566 days, which is higher, thus worse compared to the benchmark SPY (185 days) in the same period.
  • Compared with SPY (185 days) in the period of the last 3 years, the maximum days under water of 566 days is greater, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the average days under water of 194 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 (46 days)
  • During the last 3 years, the average time in days below previous high water mark is 223 days, which is higher, thus worse than the value of 44 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal 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.