VelocityShares Inverse VIX Medium Term ETN (ZIV)

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.'

• The total return, or increase in value over 5 years of VelocityShares Inverse VIX Medium Term ETN is -6.2%, which is smaller, thus worse compared to the benchmark SPY (109.8%) in the same period.
• Compared with SPY (42.5%) in the period of the last 3 years, the total return, or performance of 0% is lower, 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.'

• Compared with the benchmark SPY (16%) in the period of the last 5 years, the annual return (CAGR) of -1.3% of VelocityShares Inverse VIX Medium Term ETN is lower, thus worse.
• During the last 3 years, the annual return (CAGR) is 0%, which is lower, thus worse than the value of 12.6% from the benchmark.

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.'

• The volatility over 5 years of VelocityShares Inverse VIX Medium Term ETN is 9.5%, which is lower, thus better compared to the benchmark SPY (17.9%) in the same period.
• During the last 3 years, the 30 days standard deviation is 0%, which is smaller, thus better than the value of 18.4% from the benchmark.

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 deviation over 5 years of VelocityShares Inverse VIX Medium Term ETN is 8.2%, which is lower, 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 12.6% from the benchmark.

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.'

• Looking at the risk / return profile (Sharpe) of -0.4 in the last 5 years of VelocityShares Inverse VIX Medium Term ETN, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.75)
• 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.'

• Compared with the benchmark SPY (1.08) in the period of the last 5 years, the downside risk / excess return profile of -0.46 of VelocityShares Inverse VIX Medium Term ETN is smaller, thus worse.
• During the last 3 years, the downside risk / excess return profile 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.'

• Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Ulcer Index of 13 of VelocityShares Inverse VIX Medium Term ETN is higher, thus worse.
• Compared with SPY (5.54 ) in the period of the last 3 years, the Ulcer Index of 0 is lower, thus better.

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.'

• The maximum drop from peak to valley over 5 years of VelocityShares Inverse VIX Medium Term ETN is -19.3 days, which is higher, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum reduction from previous high in of 0 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-18.8 days).

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 days below previous high of 1236 days of VelocityShares Inverse VIX Medium Term ETN is larger, thus worse.
• 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.'

• The average days below previous high over 5 years of VelocityShares Inverse VIX Medium Term ETN is 610 days, which is greater, thus worse compared to the benchmark SPY (119 days) in the same period.
• Compared with SPY (44 days) in the period of the last 3 years, the average time in days below previous high water mark of 0 days is smaller, thus better.