VelocityShares Inverse VIX Medium Term ETN (ZIV)

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.'

• Looking at the total return, or performance of 2.7% 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 (106.1%)
• Looking at total return in of 0% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (69.9%).

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 compounded annual growth rate (CAGR) over 5 years of VelocityShares Inverse VIX Medium Term ETN is 0.5%, which is lower, thus worse compared to the benchmark SPY (15.6%) in the same period.
• Looking at annual performance (CAGR) in of 0% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (19.4%).

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 (17.6%) in the period of the last 5 years, the volatility of 4.5% 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 (17.7%).

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 3.4%, which is lower, thus better compared to the benchmark SPY (12.2%) in the same period.
• Compared with SPY (11.6%) in the period of the last 3 years, the downside risk of 0% is lower, thus better.

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.'

• Compared with the benchmark SPY (0.74) in the period of the last 5 years, the Sharpe Ratio of -0.44 of VelocityShares Inverse VIX Medium Term ETN is smaller, thus worse.
• Compared with SPY (0.96) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0 is lower, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the excess return divided by the downside deviation of -0.58 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 (1.08)
• 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 (1.46).

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.'

• The Ulcer Index over 5 years of VelocityShares Inverse VIX Medium Term ETN is 0.33 , which is smaller, thus better compared to the benchmark SPY (8.48 ) in the same period.
• Compared with SPY (5.31 ) in the period of the last 3 years, the Downside risk index of 0 is smaller, thus better.

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.'

• The maximum reduction from previous high over 5 years of VelocityShares Inverse VIX Medium Term ETN is -7.5 days, which is larger, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum drop from peak to valley 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). 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'

• The maximum days below previous high over 5 years of VelocityShares Inverse VIX Medium Term ETN is 1247 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 0 days in the period of the last 3 years, we see it is relatively smaller, 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 621 days, which is higher, thus worse compared to the benchmark SPY (120 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 0 days, which is smaller, thus better than the value of 46 days from the benchmark.