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, or performance of -52.5% 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 (86.4%)
• Looking at total return, or performance in of -28.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (78.8%).

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 return (CAGR) over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is -13.9%, which is lower, thus worse compared to the benchmark SPY (13.3%) in the same period.
• Compared with SPY (21.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -10.8% is lower, thus worse.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• The volatility over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 29%, which is higher, thus worse compared to the benchmark SPY (17.2%) in the same period.
• During the last 3 years, the historical 30 days volatility is 29.3%, which is greater, thus worse than the value of 15.4% 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 (11.8%) in the period of the last 5 years, the downside risk of 18.9% of iPath Series B S&P 500 VIX Mid-Term Futures ETN is higher, thus worse.
• Compared with SPY (10.3%) in the period of the last 3 years, the downside volatility of 19.1% is greater, 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 -0.57 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)
• Compared with SPY (1.24) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.45 is lower, thus worse.

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.'

• Compared with the benchmark SPY (0.91) in the period of the last 5 years, the excess return divided by the downside deviation of -0.87 of iPath Series B S&P 500 VIX Mid-Term Futures ETN is smaller, thus worse.
• During the last 3 years, the downside risk / excess return profile is -0.7, which is lower, thus worse than the value of 1.84 from the benchmark.

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 (8.46 ) in the period of the last 5 years, the Ulcer Index of 45 of iPath Series B S&P 500 VIX Mid-Term Futures ETN is greater, thus worse.
• Looking at Ulcer Index in of 27 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.38 ).

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 (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -62 days of iPath Series B S&P 500 VIX Mid-Term Futures ETN is smaller, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -36.4 days, which is smaller, thus worse than the value of -18.8 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'

• Looking at the maximum time in days below previous high water mark of 1038 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 (488 days)
• During the last 3 years, the maximum days under water is 693 days, which is higher, thus worse than the value of 87 days from the benchmark.

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 days under water over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 438 days, which is larger, thus worse compared to the benchmark SPY (119 days) in the same period.
• Compared with SPY (18 days) in the period of the last 3 years, the average days under water of 324 days is larger, thus worse.