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.'

• Compared with the benchmark SPY (135.8%) in the period of the last 5 years, the total return of -58.1% of iPath Series B S&P 500 VIX Mid-Term Futures ETN is lower, thus worse.
• Compared with SPY (27.3%) in the period of the last 3 years, the total return of -47.6% is lower, thus worse.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• The annual return (CAGR) over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is -16%, which is lower, thus worse compared to the benchmark SPY (18.8%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is -19.5%, which is smaller, thus worse than the value of 8.4% from the benchmark.

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.'

• Compared with the benchmark SPY (17.6%) in the period of the last 5 years, the historical 30 days volatility of 31% of iPath Series B S&P 500 VIX Mid-Term Futures ETN is greater, thus worse.
• Compared with SPY (17%) in the period of the last 3 years, the 30 days standard deviation of 29.5% 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.'

• Looking at the downside risk of 19.9% in the last 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN, we see it is relatively larger, thus worse in comparison to the benchmark SPY (12.1%)
• Looking at downside risk in of 19.2% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.1%).

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 Sharpe Ratio over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is -0.6, which is smaller, thus worse compared to the benchmark SPY (0.93) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.75, which is smaller, thus worse than the value of 0.35 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 downside risk / excess return profile of -0.93 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 (1.34)
• Compared with SPY (0.49) in the period of the last 3 years, the excess return divided by the downside deviation of -1.14 is smaller, thus worse.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• 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 larger, thus worse in comparison to the benchmark SPY (8.3 )
• During the last 3 years, the Ulcer Ratio is 44 , which is higher, thus worse than the value of 8.65 from the benchmark.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -66.9 days of iPath Series B S&P 500 VIX Mid-Term Futures ETN is smaller, thus worse.
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum drop from peak to valley of -62 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 1192 days 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 (488 days)
• Looking at maximum days under water in of 699 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (325 days).

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.'

• Looking at the average days under water of 569 days in the last 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN, we see it is relatively larger, thus worse in comparison to the benchmark SPY (119 days)
• Compared with SPY (89 days) in the period of the last 3 years, the average days under water of 332 days is larger, thus worse.