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 -51.7%, which is smaller, thus worse compared to the benchmark SPY (87%) in the same period.
• Looking at total return in of -26.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (78.1%).

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.'

• Looking at the annual performance (CAGR) of -13.6% 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 (13.4%)
• During the last 3 years, the annual return (CAGR) is -9.7%, which is smaller, thus worse than the value of 21.3% 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 (17.2%) in the period of the last 5 years, the volatility of 28.9% of iPath Series B S&P 500 VIX Mid-Term Futures ETN is higher, thus worse.
• During the last 3 years, the historical 30 days volatility is 29.2%, which is higher, thus worse than the value of 15.4% 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.'

• Looking at the downside deviation of 18.9% 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 (11.8%)
• Compared with SPY (10.3%) in the period of the last 3 years, the downside deviation of 19% is greater, thus worse.

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.'

• Looking at the ratio of return and volatility (Sharpe) of -0.56 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 (0.63)
• Looking at risk / return profile (Sharpe) in of -0.42 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.22).

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 ratio of annual return and downside deviation of -0.85 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 (0.92)
• During the last 3 years, the downside risk / excess return profile is -0.64, which is smaller, thus worse than the value of 1.82 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.'

• The Ulcer Index over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 45 , which is higher, thus worse compared to the benchmark SPY (8.45 ) in the same period.
• Looking at Ulcer Ratio in of 27 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (3.38 ).

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 -62 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum DrawDown in of -36.4 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 days).

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'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 1040 days of iPath Series B S&P 500 VIX Mid-Term Futures ETN is greater, thus worse.
• Looking at maximum time in days below previous high water mark in of 695 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (87 days).

AveDuration:

'The Average 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. 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 440 days, which is greater, thus worse compared to the benchmark SPY (119 days) in the same period.
• Looking at average time in days below previous high water mark in of 326 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (18 days).