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.'

• Compared with the benchmark SPY (104.4%) in the period of the last 5 years, the total return, or performance of -34% of iPath Series B S&P 500 VIX Mid-Term Futures ETN is smaller, thus worse.
• Compared with SPY (31.6%) in the period of the last 3 years, the total return, or increase in value of -52.7% is smaller, thus worse.

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.'

• Looking at the annual performance (CAGR) of -8% 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 (15.4%)
• Compared with SPY (9.6%) in the period of the last 3 years, the annual performance (CAGR) of -22.2% is smaller, 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 30 days standard deviation over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 36%, which is higher, thus worse compared to the benchmark SPY (20.9%) in the same period.
• Compared with SPY (17.7%) in the period of the last 3 years, the 30 days standard deviation of 30% is larger, thus worse.

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 21.6% 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 (14.9%)
• During the last 3 years, the downside deviation is 19.5%, which is greater, thus worse than the value of 12.3% from the benchmark.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is -0.29, which is lower, thus worse compared to the benchmark SPY (0.62) in the same period.
• Compared with SPY (0.4) in the period of the last 3 years, the Sharpe Ratio of -0.82 is lower, thus worse.

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.'

• The downside risk / excess return profile over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is -0.49, which is lower, thus worse compared to the benchmark SPY (0.86) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is -1.27, which is smaller, thus worse than the value of 0.58 from the benchmark.

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.'

• The Ulcer Ratio over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 40 , which is larger, thus worse compared to the benchmark SPY (9.32 ) in the same period.
• Looking at Ulcer Ratio in of 40 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10 ).

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 reduction from previous high of -68.9 days of iPath Series B S&P 500 VIX Mid-Term Futures ETN is smaller, thus worse.
• During the last 3 years, the maximum reduction from previous high 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 time in days below previous high water mark over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 1175 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 612 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (488 days).

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 time in days below previous high water mark over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 558 days, which is larger, thus worse compared to the benchmark SPY (123 days) in the same period.
• Looking at average days under water in of 257 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (177 days).