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.'

• Compared with the benchmark SPY (93.5%) in the period of the last 5 years, the total return, or increase in value of -50.1% of iPath Series B S&P 500 VIX Mid-Term Futures ETN is lower, thus worse.
• Looking at total return, or performance in of -33% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (84.5%).

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 -13%, which is lower, thus worse compared to the benchmark SPY (14.2%) in the same period.
• Looking at annual performance (CAGR) in of -12.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (22.8%).

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 volatility over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 29.2%, which is larger, thus worse compared to the benchmark SPY (17%) in the same period.
• Looking at historical 30 days volatility in of 29.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (15.1%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Compared with the benchmark SPY (11.7%) in the period of the last 5 years, the downside volatility of 19% of iPath Series B S&P 500 VIX Mid-Term Futures ETN is higher, thus worse.
• Compared with SPY (10.1%) in the period of the last 3 years, the downside risk of 19.4% is greater, thus worse.

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 -0.53, which is lower, thus worse compared to the benchmark SPY (0.68) in the same period.
• Compared with SPY (1.35) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.51 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.'

• Looking at the excess return divided by the downside deviation of -0.82 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 (1)
• Looking at excess return divided by the downside deviation in of -0.78 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (2.02).

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 44 , which is greater, thus worse compared to the benchmark SPY (8.45 ) in the same period.
• Looking at Ulcer Ratio in of 31 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.5 ).

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 (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high 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 DrawDown is -40.9 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) in days.'

• 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 994 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days under water is 751 days, which is greater, thus worse than the value of 87 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.'

• Looking at the average days under water of 404 days in the last 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN, we see it is relatively greater, thus worse in comparison to the benchmark SPY (120 days)
• Compared with SPY (20 days) in the period of the last 3 years, the average time in days below previous high water mark of 376 days is greater, thus worse.