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:

'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.'

Using this definition on our asset we see for example:
  • Looking at the total return of 5% 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 (110.8%)
  • Looking at total return, or increase in value in of 0% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (52.4%).

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.'

Which means for our asset as example:
  • Looking at the annual performance (CAGR) of 1% 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 (16.1%)
  • During the last 3 years, the compounded annual growth rate (CAGR) is 0%, which is lower, thus worse than the value of 15.2% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Which means for our asset as example:
  • Looking at the 30 days standard deviation of 6.7% in the last 5 years of VelocityShares 3x Long Gold ETN, we see it is relatively smaller, thus better in comparison to the benchmark SPY (17.9%)
  • Compared with SPY (18.2%) in the period of the last 3 years, the 30 days standard deviation of 0% is lower, thus better.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (12.4%) in the period of the last 5 years, the downside volatility of 4.9% of VelocityShares 3x Long Gold ETN is smaller, thus better.
  • Compared with SPY (12.2%) in the period of the last 3 years, the downside deviation 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.'

Applying this definition to our asset in some examples:
  • The ratio of return and volatility (Sharpe) over 5 years of VelocityShares 3x Long Gold ETN is -0.22, which is smaller, thus worse compared to the benchmark SPY (0.76) in the same period.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0, which is lower, thus worse than the value of 0.7 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The downside risk / excess return profile over 5 years of VelocityShares 3x Long Gold ETN is -0.31, which is lower, thus worse compared to the benchmark SPY (1.1) in the same period.
  • Compared with SPY (1.04) in the period of the last 3 years, the ratio of annual return and downside deviation of 0 is smaller, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the Downside risk index of 1.77 in the last 5 years of VelocityShares 3x Long Gold ETN, we see it is relatively smaller, thus better in comparison to the benchmark SPY (8.49 )
  • During the last 3 years, the Downside risk index is 0 , which is smaller, thus better than the value of 5.54 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.'

Which means for our asset as example:
  • The maximum reduction from previous high over 5 years of VelocityShares 3x Long Gold ETN is -11.3 days, which is greater, thus better compared to the benchmark SPY (-24.5 days) in the same period.
  • Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum drop from peak to valley of 0 days is higher, thus better.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 1231 days of VelocityShares 3x Long Gold ETN is greater, thus worse.
  • During the last 3 years, the maximum days below previous high is 0 days, which is lower, thus better than the value of 199 days from the benchmark.

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:
  • Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days under water of 605 days of VelocityShares 3x Long Gold ETN is larger, thus worse.
  • Looking at average 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 (45 days).

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 and do not account for slippage, fees or taxes.