iPath Series B S&P 500 VIX Mid-Term Futures ETN (VXZ)

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 increase in value over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is -56.7%, which is lower, thus worse compared to the benchmark SPY (111.1%) in the same period.
• Looking at total return, or performance in of -51.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (66.3%).

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.'

• The annual return (CAGR) over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is -15.5%, which is lower, thus worse compared to the benchmark SPY (16.2%) in the same period.
• Compared with SPY (18.6%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -21.6% is smaller, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The historical 30 days volatility over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 31%, which is larger, thus worse compared to the benchmark SPY (17.6%) in the same period.
• Looking at 30 days standard deviation in of 31.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.8%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark SPY (12.2%) in the period of the last 5 years, the downside volatility of 20.3% of iPath Series B S&P 500 VIX Mid-Term Futures ETN is greater, thus worse.
• Looking at downside deviation in of 20.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (11.8%).

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.'

• The risk / return profile (Sharpe) over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is -0.58, which is lower, thus worse compared to the benchmark SPY (0.77) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is -0.77, which is lower, thus worse than the value of 0.9 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.'

• Compared with the benchmark SPY (1.12) in the period of the last 5 years, the downside risk / excess return profile of -0.89 of iPath Series B S&P 500 VIX Mid-Term Futures ETN is smaller, thus worse.
• Compared with SPY (1.37) in the period of the last 3 years, the ratio of annual return and downside deviation of -1.17 is smaller, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Downside risk index of 43 in the last 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.47 )
• During the last 3 years, the Downside risk index is 47 , which is larger, thus worse than the value of 5.31 from the benchmark.

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.'

• The maximum reduction from previous high over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is -66.9 days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum DrawDown is -62 days, which is lower, thus worse than the value of -18.8 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'

• The maximum days under water over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 1245 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (199 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 752 days is higher, 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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 619 days of iPath Series B S&P 500 VIX Mid-Term Futures ETN is larger, thus worse.
• During the last 3 years, the average days below previous high is 377 days, which is larger, thus worse than the value of 46 days from the benchmark.