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)

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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.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or performance of 93.5% in the last 5 years of VelocityShares Inverse VIX Medium Term ETN, we see it is relatively greater, thus better in comparison to the benchmark SPY (67.3%)
  • During the last 3 years, the total return, or increase in value is 91.5%, which is higher, thus better than the value of 46.1% 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.'

Using this definition on our asset we see for example:
  • The annual performance (CAGR) over 5 years of VelocityShares Inverse VIX Medium Term ETN is 14.1%, which is higher, thus better compared to the benchmark SPY (10.9%) in the same period.
  • During the last 3 years, the annual performance (CAGR) is 24.2%, which is higher, thus better than the value of 13.5% from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (13.2%) in the period of the last 5 years, the 30 days standard deviation of 30.2% of VelocityShares Inverse VIX Medium Term ETN is higher, thus worse.
  • Compared with SPY (12.4%) in the period of the last 3 years, the volatility of 27.7% is higher, 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.'

Using this definition on our asset we see for example:
  • Looking at the downside risk of 34.4% 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 (14.6%)
  • Looking at downside risk in of 32.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (14%).

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.'

Which means for our asset as example:
  • The risk / return profile (Sharpe) over 5 years of VelocityShares Inverse VIX Medium Term ETN is 0.39, which is lower, thus worse compared to the benchmark SPY (0.63) in the same period.
  • Looking at ratio of return and volatility (Sharpe) in of 0.78 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.88).

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.'

Using this definition on our asset we see for example:
  • Looking at the ratio of annual return and downside deviation of 0.34 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 (0.57)
  • Compared with SPY (0.79) in the period of the last 3 years, the excess return divided by the downside deviation of 0.66 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (3.95 ) in the period of the last 5 years, the Downside risk index of 16 of VelocityShares Inverse VIX Medium Term ETN is larger, thus better.
  • Compared with SPY (4 ) in the period of the last 3 years, the Ulcer Index of 15 is larger, 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -37 days of VelocityShares Inverse VIX Medium Term ETN is lower, thus worse.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -37 days is lower, thus worse.

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.'

Which means for our asset as example:
  • The maximum days below previous high over 5 years of VelocityShares Inverse VIX Medium Term ETN is 358 days, which is larger, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Compared with SPY (131 days) in the period of the last 3 years, the maximum days below previous high of 296 days is greater, thus worse.

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.'

Which means for our asset as example:
  • The average time in days below previous high water mark over 5 years of VelocityShares Inverse VIX Medium Term ETN is 121 days, which is higher, thus worse compared to the benchmark SPY (39 days) in the same period.
  • Looking at average days under water in of 74 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (33 days).

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 (%)

  • "Year" returns in the table above are not equal to 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.