Description of VelocityShares Inverse VIX Medium Term ETN

Credit Suisse AG - VelocityShares Daily Inverse VIX Medium Term ETN

Statistics of VelocityShares Inverse VIX Medium Term ETN (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:
  • Compared with the benchmark SPY (68.6%) in the period of the last 5 years, the total return, or increase in value of 55.9% of VelocityShares Inverse VIX Medium Term ETN is lower, thus worse.
  • Compared with SPY (51%) in the period of the last 3 years, the total return of 52.2% is higher, thus better.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Applying this definition to our asset in some examples:
  • Looking at the annual return (CAGR) of 9.3% 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 (11%)
  • Looking at annual performance (CAGR) in of 15.1% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (14.8%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the historical 30 days volatility of 30.3% of VelocityShares Inverse VIX Medium Term ETN is larger, thus worse.
  • Compared with SPY (12.8%) in the period of the last 3 years, the 30 days standard deviation of 27.3% is greater, thus worse.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Applying this definition to our asset in some examples:
  • The downside deviation over 5 years of VelocityShares Inverse VIX Medium Term ETN is 34.8%, which is higher, thus worse compared to the benchmark SPY (14.9%) in the same period.
  • Compared with SPY (14.7%) in the period of the last 3 years, the downside deviation of 31.9% is larger, thus worse.

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.'

Which means for our asset as example:
  • The Sharpe Ratio over 5 years of VelocityShares Inverse VIX Medium Term ETN is 0.22, which is smaller, thus worse compared to the benchmark SPY (0.63) in the same period.
  • Looking at risk / return profile (Sharpe) in of 0.46 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.96).

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.'

Using this definition on our asset we see for example:
  • The excess return divided by the downside deviation over 5 years of VelocityShares Inverse VIX Medium Term ETN is 0.2, which is lower, thus worse compared to the benchmark SPY (0.57) in the same period.
  • Compared with SPY (0.83) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.39 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:
  • Compared with the benchmark SPY (3.99 ) in the period of the last 5 years, the Downside risk index of 18 of VelocityShares Inverse VIX Medium Term ETN is higher, thus worse.
  • Compared with SPY (4.1 ) in the period of the last 3 years, the Ulcer Ratio of 19 is higher, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -37 days of VelocityShares Inverse VIX Medium Term ETN is lower, thus worse.
  • During the last 3 years, the maximum drop from peak to valley is -37 days, which is lower, thus worse than the value of -19.3 days from the benchmark.

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'

Applying this definition to our asset in some examples:
  • Looking at the maximum time in days below previous high water mark of 465 days in the last 5 years of VelocityShares Inverse VIX Medium Term ETN, we see it is relatively larger, thus worse in comparison to the benchmark SPY (187 days)
  • During the last 3 years, the maximum days below previous high is 465 days, which is larger, thus worse than the value of 139 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:
  • The average days under water over 5 years of VelocityShares Inverse VIX Medium Term ETN is 155 days, which is greater, thus worse compared to the benchmark SPY (42 days) in the same period.
  • During the last 3 years, the average days under water is 165 days, which is greater, thus worse than the value of 36 days from the benchmark.

Performance of VelocityShares Inverse VIX Medium Term ETN (YTD)

Historical returns have been extended using synthetic data.

Allocations of VelocityShares Inverse VIX Medium Term ETN
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Allocations

Returns of VelocityShares Inverse VIX Medium Term ETN (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of VelocityShares Inverse VIX Medium Term 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.