iShares MSCI ACWI Index Fund (ACWI)

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 38.5% in the last 5 years of iShares MSCI ACWI Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (62.4%)
• During the last 3 years, the total return, or performance is 29.2%, which is lower, thus worse than the value of 39.3% from the benchmark.

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.'

• Compared with the benchmark SPY (10.2%) in the period of the last 5 years, the annual return (CAGR) of 6.7% of iShares MSCI ACWI Index Fund is smaller, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 8.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (11.7%).

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 volatility of 13.4% in the last 5 years of iShares MSCI ACWI Index Fund, we see it is relatively smaller, thus better in comparison to the benchmark SPY (13.5%)
• Looking at volatility in of 12.4% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (13.2%).

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.'

• Looking at the downside risk of 9.9% in the last 5 years of iShares MSCI ACWI Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.8%)
• During the last 3 years, the downside volatility is 9.2%, which is smaller, thus better than the value of 9.8% 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.'

• Compared with the benchmark SPY (0.57) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.32 of iShares MSCI ACWI Index Fund is smaller, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is 0.52, which is lower, thus worse than the value of 0.69 from the benchmark.

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 (0.78) in the period of the last 5 years, the excess return divided by the downside deviation of 0.43 of iShares MSCI ACWI Index Fund is lower, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is 0.7, which is smaller, thus worse than the value of 0.94 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.'

• Looking at the Ulcer Ratio of 6.15 in the last 5 years of iShares MSCI ACWI Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (3.98 )
• Looking at Ulcer Ratio in of 5.17 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (4.12 ).

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.'

• The maximum DrawDown over 5 years of iShares MSCI ACWI Index Fund is -19.5 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -19.5 days, which is lower, thus worse than the value of -19.3 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.'

• Looking at the maximum days under water of 408 days in the last 5 years of iShares MSCI ACWI Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
• During the last 3 years, the maximum days below previous high is 373 days, which is greater, 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.'

• The average days below previous high over 5 years of iShares MSCI ACWI Index Fund is 140 days, which is greater, thus worse compared to the benchmark SPY (42 days) in the same period.
• During the last 3 years, the average days below previous high is 113 days, which is higher, thus worse than the value of 37 days from the benchmark.