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.'

• The total return, or performance over 5 years of VelocityShares Inverse VIX Medium Term ETN is -33.5%, which is smaller, thus worse compared to the benchmark SPY (129.1%) in the same period.
• Compared with SPY (71.3%) in the period of the last 3 years, the total return, or performance of -59.1% is smaller, thus worse.

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.'

• Compared with the benchmark SPY (18.1%) in the period of the last 5 years, the annual performance (CAGR) of -7.8% of VelocityShares Inverse VIX Medium Term ETN is lower, thus worse.
• Looking at annual performance (CAGR) in of -25.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (19.7%).

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.'

• The historical 30 days volatility over 5 years of VelocityShares Inverse VIX Medium Term ETN is 31.5%, 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 30 days standard deviation of 34.2% is higher, 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.'

• Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside volatility of 25.7% of VelocityShares Inverse VIX Medium Term ETN is larger, thus worse.
• Looking at downside deviation in of 28.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (16.3%).

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 Sharpe Ratio of -0.33 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 (0.83)
• Looking at Sharpe Ratio in of -0.83 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.76).

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 -0.4 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 (1.15)
• During the last 3 years, the excess return divided by the downside deviation is -0.98, which is lower, thus worse than the value of 1.05 from the benchmark.

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.'

• Looking at the Ulcer Ratio of 42 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 (5.59 )
• Compared with SPY (6.38 ) in the period of the last 3 years, the Ulcer Index of 46 is greater, thus worse.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -71.5 days of VelocityShares Inverse VIX Medium Term ETN is lower, thus worse.
• Looking at maximum DrawDown in of -65.6 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 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 time in days below previous high water mark over 5 years of VelocityShares Inverse VIX Medium Term ETN is 946 days, which is higher, thus worse compared to the benchmark SPY (139 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 438 days, which is larger, thus worse than the value of 119 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.'

• Looking at the average days below previous high of 385 days in the last 5 years of VelocityShares Inverse VIX Medium Term ETN, we see it is relatively higher, thus worse in comparison to the benchmark SPY (32 days)
• During the last 3 years, the average days below previous high is 147 days, which is larger, thus worse than the value of 25 days from the benchmark.