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

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Looking at the total return of -34.3% 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 (122.1%)
• Looking at total return in of 46.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (64.6%).

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.'

• Looking at the annual return (CAGR) of -8.1% 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 (17.3%)
• Looking at annual performance (CAGR) in of 13.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (18.1%).

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.'

• Looking at the historical 30 days volatility of 34.9% 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 (18.7%)
• During the last 3 years, the historical 30 days volatility is 39.5%, which is larger, thus worse than the value of 22.5% from the benchmark.

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.'

• The downside volatility over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 20.8%, which is greater, thus worse compared to the benchmark SPY (13.6%) in the same period.
• During the last 3 years, the downside deviation is 22.5%, which is greater, thus worse than the value of 16.4% from the benchmark.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is -0.3, which is lower, thus worse compared to the benchmark SPY (0.79) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.28 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.69).

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.'

• The downside risk / excess return profile over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is -0.51, which is lower, thus worse compared to the benchmark SPY (1.09) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 0.49, which is smaller, thus worse than the value of 0.95 from the benchmark.

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 Ulcer Ratio of 43 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 (5.58 )
• Looking at Ulcer Ratio in of 18 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (6.83 ).

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.'

• Looking at the maximum drop from peak to valley of -59.8 days 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 (-33.7 days)
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -34.6 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 1226 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 (139 days)
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 343 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.'

• 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 599 days, which is higher, thus worse compared to the benchmark SPY (33 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 144 days, which is larger, thus worse than the value of 35 days from the benchmark.