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, or performance over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 29.5%, which is lower, thus worse compared to the benchmark SPY (81.5%) in the same period.
• During the last 3 years, the total return, or performance is 51.5%, which is greater, thus better than the value of 48.1% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The annual return (CAGR) over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 5.3%, which is lower, thus worse compared to the benchmark SPY (12.7%) in the same period.
• Compared with SPY (14%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 14.9% is higher, thus better.

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 (20.5%) in the period of the last 5 years, the volatility of 36.4% of iPath Series B S&P 500 VIX Mid-Term Futures ETN is greater, thus worse.
• During the last 3 years, the historical 30 days volatility is 40.1%, which is greater, thus worse than the value of 23.8% from the benchmark.

DownVol:

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

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside deviation of 21.2% of iPath Series B S&P 500 VIX Mid-Term Futures ETN is greater, thus worse.
• Compared with SPY (17.3%) in the period of the last 3 years, the downside volatility of 22.9% is larger, thus worse.

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.'

• Looking at the risk / return profile (Sharpe) of 0.08 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 (0.5)
• Compared with SPY (0.48) in the period of the last 3 years, the Sharpe Ratio of 0.31 is lower, thus worse.

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.'

• The excess return divided by the downside deviation over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 0.13, which is lower, thus worse compared to the benchmark SPY (0.68) in the same period.
• Compared with SPY (0.66) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.54 is smaller, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (7.13 ) in the period of the last 5 years, the Ulcer Index of 22 of iPath Series B S&P 500 VIX Mid-Term Futures ETN is greater, thus worse.
• Looking at Ulcer Ratio in of 22 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (8.25 ).

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.'

• The maximum reduction from previous high over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is -35.9 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -35.9 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'

• Compared with the benchmark SPY (150 days) in the period of the last 5 years, the maximum days under water of 645 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 603 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (150 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 days below previous high over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 312 days, which is larger, thus worse compared to the benchmark SPY (41 days) in the same period.
• Compared with SPY (36 days) in the period of the last 3 years, the average time in days below previous high water mark of 253 days is higher, thus worse.