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

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is -35.2%, which is lower, thus worse compared to the benchmark SPY (107.1%) in the same period.
• Compared with SPY (38.2%) in the period of the last 3 years, the total return, or performance of -56.9% is lower, 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 (15.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -8.3% of iPath Series B S&P 500 VIX Mid-Term Futures ETN is lower, thus worse.
• Compared with SPY (11.4%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -24.6% 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 36%, which is larger, thus worse compared to the benchmark SPY (20.9%) in the same period.
• During the last 3 years, the volatility is 29.4%, which is larger, thus worse than the value of 17.5% from the benchmark.

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.'

• The downside risk over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 21.6%, which is higher, thus worse compared to the benchmark SPY (14.9%) in the same period.
• Looking at downside volatility in of 19.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.2%).

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.'

• Compared with the benchmark SPY (0.63) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.3 of iPath Series B S&P 500 VIX Mid-Term Futures ETN is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of -0.92 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.51).

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 -0.5 in the last 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.88)
• Compared with SPY (0.73) in the period of the last 3 years, the downside risk / excess return profile of -1.4 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.'

• Looking at the Downside risk index of 41 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 (9.32 )
• Looking at Downside risk index in of 40 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

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 -69 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -62 days is smaller, 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). 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'

• Looking at the maximum days below previous high of 1182 days in the last 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (488 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 619 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.'

• The average time in days below previous high water mark over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 564 days, which is larger, thus worse compared to the benchmark SPY (123 days) in the same period.
• Compared with SPY (178 days) in the period of the last 3 years, the average days below previous high of 262 days is greater, thus worse.