VelocityShares Inverse VIX Medium Term ETN (ZIV)

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.'

• Compared with the benchmark SPY (122.1%) in the period of the last 5 years, the total return of -30.5% of VelocityShares Inverse VIX Medium Term ETN is lower, thus worse.
• During the last 3 years, the total return is -62.3%, which is smaller, thus worse than the value of 64.6% from the benchmark.

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 annual return (CAGR) over 5 years of VelocityShares Inverse VIX Medium Term ETN is -7%, which is lower, thus worse compared to the benchmark SPY (17.3%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is -27.8%, which is smaller, thus worse than the value of 18.1% 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 31.8%, which is higher, thus worse compared to the benchmark SPY (18.7%) in the same period.
• Compared with SPY (22.5%) in the period of the last 3 years, the volatility of 35% is greater, thus worse.

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.'

• Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside risk of 25.9% of VelocityShares Inverse VIX Medium Term ETN is higher, thus worse.
• During the last 3 years, the downside deviation is 29.5%, which is greater, thus worse than the value of 16.4% from the benchmark.

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 -0.3 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 (0.79)
• During the last 3 years, the risk / return profile (Sharpe) is -0.87, which is lower, thus worse than the value of 0.69 from the benchmark.

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 ratio of annual return and downside deviation of -0.37 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 (1.09)
• Compared with SPY (0.95) in the period of the last 3 years, the excess return divided by the downside deviation of -1.03 is lower, 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.'

• Compared with the benchmark SPY (5.58 ) in the period of the last 5 years, the Ulcer Index of 40 of VelocityShares Inverse VIX Medium Term ETN is larger, thus worse.
• Looking at Ulcer Ratio in of 44 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (6.83 ).

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.'

• Looking at the maximum drop from peak to valley of -71.5 days 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 (-33.7 days)
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -66.9 days is lower, thus worse.

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.'

• Looking at the maximum days under water of 890 days in the last 5 years of VelocityShares Inverse VIX Medium Term ETN, we see it is relatively greater, thus worse in comparison to the benchmark SPY (139 days)
• During the last 3 years, the maximum days under water is 710 days, which is larger, thus worse than the value of 139 days from the benchmark.

AveDuration:

'The Average 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. 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 time in days below previous high water mark over 5 years of VelocityShares Inverse VIX Medium Term ETN is 344 days, which is higher, thus worse compared to the benchmark SPY (33 days) in the same period.
• Looking at average days below previous high in of 338 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (35 days).