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.'

• The total return, or increase in value over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is -28.3%, which is lower, thus worse compared to the benchmark SPY (98.3%) in the same period.
• Looking at total return, or performance in of -48.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (27.2%).

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 performance (CAGR) over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is -6.5%, which is lower, thus worse compared to the benchmark SPY (14.7%) in the same period.
• Looking at annual return (CAGR) in of -19.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (8.4%).

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.'

• Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the volatility of 35.8% of iPath Series B S&P 500 VIX Mid-Term Futures ETN is greater, thus worse.
• During the last 3 years, the 30 days standard deviation is 29.6%, which is higher, thus worse than the value of 17.7% from the benchmark.

DownVol:

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

• Looking at the downside volatility of 21.4% 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 (14.9%)
• Compared with SPY (12.4%) in the period of the last 3 years, the downside deviation of 19.1% is higher, thus worse.

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 risk / return profile (Sharpe) of -0.25 in the last 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.58)
• During the last 3 years, the risk / return profile (Sharpe) is -0.75, which is smaller, thus worse than the value of 0.33 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 (0.82) in the period of the last 5 years, the excess return divided by the downside deviation of -0.42 of iPath Series B S&P 500 VIX Mid-Term Futures ETN is lower, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is -1.16, which is lower, thus worse than the value of 0.47 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 38 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 (9.32 )
• Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 37 is larger, thus worse.

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 (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -68.9 days of iPath Series B S&P 500 VIX Mid-Term Futures ETN is lower, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -61.9 days, which is lower, thus worse than the value of -24.5 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 below previous high over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 1124 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (488 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 561 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.'

• Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average time in days below previous high water mark of 515 days of iPath Series B S&P 500 VIX Mid-Term Futures ETN is greater, thus worse.
• Compared with SPY (177 days) in the period of the last 3 years, the average days below previous high of 219 days is larger, thus worse.