??Volatility Tourists? Get Crushed,? exulted a column in?Barron?s?on Friday, referring to losses incurred that day by short volatility ETPs like XIV and SVXY.?

I would approach the data a little differently.?The median monthly return for XIV since inception is 5.0%. The trailing monthly return as of the January 24 close was -5.9%.

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XIV monthly returns, 2010-2014.

As you can see above, investors who are interested in context of more than a few hours don?t have much to get excited about yet. ?Crushed? is maybe used more fairly to describe returns during the 2011 selloff associated with the European banking crisis. However, the rest of the market got hit then, too, and it makes more sense to compare the risk-adjusted returns to these ETPs against the market return over time:

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Rolling 6-month annualized Sharpe ratios for S&P 500 and Inverse SPVIXSTR portfolios, 2011-2014.

You could argue that over this period, owning something like XIV or SVXY hasn?t been much better in risk-adjusted terms than owning SPY. Maybe that fact escapes traders (viz. the hypothetical ?volatility tourists? in the article) eyeing triple-digit absolute returns and not the downside risk. But whether or not the ETPs are compelling investments, their returns are also obviously not worse, in risk-adjusted terms, than owning the broad market.