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.'

• The total return, or increase in value over 5 years of iShares MSCI ACWI Index Fund is 94.2%, which is lower, thus worse compared to the benchmark SPY (122.1%) in the same period.
• Compared with SPY (64.6%) in the period of the last 3 years, the total return, or performance of 47.5% is lower, 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.'

• The annual return (CAGR) over 5 years of iShares MSCI ACWI Index Fund is 14.2%, which is lower, thus worse compared to the benchmark SPY (17.3%) in the same period.
• Compared with SPY (18.1%) in the period of the last 3 years, the annual return (CAGR) of 13.9% is smaller, thus worse.

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 30 days standard deviation of 17.9% in the last 5 years of iShares MSCI ACWI Index Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (18.7%)
• Looking at volatility in of 21.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (22.5%).

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 (13.6%) in the period of the last 5 years, the downside risk of 13.2% of iShares MSCI ACWI Index Fund is smaller, thus better.
• Compared with SPY (16.4%) in the period of the last 3 years, the downside risk of 15.9% is lower, thus better.

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.'

• Looking at the risk / return profile (Sharpe) of 0.66 in the last 5 years of iShares MSCI ACWI Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.79)
• Compared with SPY (0.69) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.53 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 ratio of annual return and downside deviation of 0.89 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 (1.09)
• During the last 3 years, the downside risk / excess return profile is 0.71, which is lower, thus worse than the value of 0.95 from the benchmark.

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.'

• Looking at the Ulcer Ratio of 6.26 in the last 5 years of iShares MSCI ACWI Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (5.58 )
• During the last 3 years, the Ulcer Ratio is 7.08 , which is larger, thus worse than the value of 6.83 from the benchmark.

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 -33.5 days of iShares MSCI ACWI Index Fund is higher, thus better.
• Looking at maximum reduction from previous high in of -33.5 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-33.7 days).

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 days under water over 5 years of iShares MSCI ACWI Index Fund is 373 days, which is larger, thus worse compared to the benchmark SPY (139 days) in the same period.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 138 days is lower, thus better.

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 below previous high of 81 days 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 (33 days)
• During the last 3 years, the average time in days below previous high water mark is 37 days, which is larger, thus worse than the value of 35 days from the benchmark.