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.'

• Compared with the benchmark SPY (86%) in the period of the last 5 years, the total return, or increase in value of 0% of VelocityShares Inverse VIX Medium Term ETN is smaller, thus worse.
• Looking at total return, or increase in value in of 0% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (84.9%).

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 performance (CAGR) over 5 years of VelocityShares Inverse VIX Medium Term ETN is 0%, which is lower, thus worse compared to the benchmark SPY (13.3%) in the same period.
• Looking at annual return (CAGR) in of 0% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (22.9%).

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the 30 days standard deviation of 0% of VelocityShares Inverse VIX Medium Term ETN is lower, thus better.
• Looking at 30 days standard deviation in of 0% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (15.3%).

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 risk over 5 years of VelocityShares Inverse VIX Medium Term ETN is 0%, which is smaller, thus better compared to the benchmark SPY (11.8%) in the same period.
• Looking at downside deviation in of 0% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10.2%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Looking at the risk / return profile (Sharpe) of 0 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 (0.63)
• Compared with SPY (1.34) in the period of the last 3 years, the Sharpe Ratio of 0 is lower, thus worse.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Looking at the downside risk / excess return profile of 0 in the last 5 years of VelocityShares Inverse VIX Medium Term ETN, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.92)
• Looking at ratio of annual return and downside deviation in of 0 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (2.01).

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 Index over 5 years of VelocityShares Inverse VIX Medium Term ETN is 0 , which is lower, thus better compared to the benchmark SPY (8.45 ) in the same period.
• Looking at Downside risk index in of 0 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (3.23 ).

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of 0 days of VelocityShares Inverse VIX Medium Term ETN is larger, thus better.
• 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 larger, 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.'

• 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 0 days of VelocityShares Inverse VIX Medium Term ETN is smaller, thus better.
• During the last 3 years, the maximum days below previous high is 0 days, which is lower, thus better than the value of 87 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.'

• Looking at the average days under water of 0 days in the last 5 years of VelocityShares Inverse VIX Medium Term ETN, we see it is relatively lower, thus better in comparison to the benchmark SPY (118 days)
• During the last 3 years, the average days below previous high is 0 days, which is lower, thus better than the value of 17 days from the benchmark.