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.'

• Looking at the total return of -30.9% 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 (102%)
• During the last 3 years, the total return, or increase in value is -50.6%, which is lower, thus worse than the value of 31.5% from the benchmark.

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.'

• The compounded annual growth rate (CAGR) over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is -7.1%, which is lower, thus worse compared to the benchmark SPY (15.1%) in the same period.
• Looking at annual return (CAGR) in of -21% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (9.6%).

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.'

• The historical 30 days volatility over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 35.8%, which is larger, thus worse compared to the benchmark SPY (20.9%) in the same period.
• During the last 3 years, the volatility is 29.6%, which is higher, thus worse than the value of 17.6% 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 risk over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 21.5%, which is higher, thus worse compared to the benchmark SPY (14.9%) in the same period.
• During the last 3 years, the downside deviation is 19.1%, which is larger, thus worse than the value of 12.4% from the benchmark.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is -0.27, which is smaller, thus worse compared to the benchmark SPY (0.6) in the same period.
• Looking at risk / return profile (Sharpe) in of -0.79 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.4).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The excess return divided by the downside deviation over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is -0.45, which is lower, thus worse compared to the benchmark SPY (0.84) in the same period.
• Compared with SPY (0.57) in the period of the last 3 years, the excess return divided by the downside deviation of -1.23 is smaller, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Looking at the Ulcer Index of 39 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 (9.32 )
• Looking at Ulcer Index in of 37 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -68.9 days of iPath Series B S&P 500 VIX Mid-Term Futures ETN is smaller, thus worse.
• Looking at maximum drop from peak to valley in of -61.9 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 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) in days.'

• 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 1128 days of iPath Series B S&P 500 VIX Mid-Term Futures ETN is larger, thus worse.
• During the last 3 years, the maximum days under water is 565 days, which is larger, thus worse than the value of 488 days from the benchmark.

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.'

• Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average days under water of 519 days of iPath Series B S&P 500 VIX Mid-Term Futures ETN is higher, thus worse.
• Looking at average days under water in of 221 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (177 days).