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 increase in value of -32.7% 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 (91.7%)
• During the last 3 years, the total return, or performance is 57.7%, which is larger, thus better than the value of 47.9% 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.'

• Compared with the benchmark SPY (13.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -7.6% of iPath Series B S&P 500 VIX Mid-Term Futures ETN is lower, thus worse.
• Compared with SPY (13.9%) in the period of the last 3 years, the annual return (CAGR) of 16.4% is higher, thus better.

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.'

• Looking at the historical 30 days volatility of 35.8% 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 (19%)
• Looking at 30 days standard deviation in of 40.6% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (22.8%).

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 (13.8%) in the period of the last 5 years, the downside risk of 21.2% of iPath Series B S&P 500 VIX Mid-Term Futures ETN is larger, thus worse.
• Looking at downside risk in of 22.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (16.7%).

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.'

• Compared with the benchmark SPY (0.6) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.28 of iPath Series B S&P 500 VIX Mid-Term Futures ETN is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 0.34 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.5).

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.'

• Compared with the benchmark SPY (0.82) in the period of the last 5 years, the downside risk / excess return profile of -0.48 of iPath Series B S&P 500 VIX Mid-Term Futures ETN is lower, thus worse.
• Looking at ratio of annual return and downside deviation in of 0.62 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.68).

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 (5.82 ) in the period of the last 5 years, the Downside risk index of 54 of iPath Series B S&P 500 VIX Mid-Term Futures ETN is greater, thus worse.
• Compared with SPY (7.14 ) in the period of the last 3 years, the Downside risk index of 17 is greater, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -70.3 days of iPath Series B S&P 500 VIX Mid-Term Futures ETN is lower, thus worse.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -27.8 days is higher, thus better.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum days under water over 5 years of iPath Series B S&P 500 VIX Mid-Term Futures ETN is 1208 days, which is higher, thus worse compared to the benchmark SPY (139 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 520 days, which is higher, thus worse than the value of 139 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.'

• Looking at the average days under water of 584 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 (36 days)
• Compared with SPY (45 days) in the period of the last 3 years, the average time in days below previous high water mark of 204 days is greater, thus worse.