iShares MSCI ACWI Index Fund (ACWI)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (62.7%) in the period of the last 5 years, the total return of 31.2% of iShares MSCI ACWI Index Fund is lower, thus worse.
• Compared with SPY (34.7%) in the period of the last 3 years, the total return of 19.2% is smaller, thus worse.

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 iShares MSCI ACWI Index Fund is 5.6%, which is lower, thus worse compared to the benchmark SPY (10.2%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 6%, which is lower, thus worse than the value of 10.5% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The 30 days standard deviation over 5 years of iShares MSCI ACWI Index Fund is 19.8%, which is lower, thus better compared to the benchmark SPY (20.9%) in the same period.
• Compared with SPY (24.1%) in the period of the last 3 years, the volatility of 23.1% is lower, thus better.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside volatility of 14.7% 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 (15.3%)
• Compared with SPY (17.6%) in the period of the last 3 years, the downside risk of 17.1% is smaller, thus better.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark SPY (0.37) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.16 of iShares MSCI ACWI Index Fund is lower, thus worse.
• Compared with SPY (0.33) in the period of the last 3 years, the Sharpe Ratio of 0.15 is smaller, 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.'

• The excess return divided by the downside deviation over 5 years of iShares MSCI ACWI Index Fund is 0.21, which is smaller, thus worse compared to the benchmark SPY (0.51) in the same period.
• During the last 3 years, the downside risk / excess return profile is 0.21, which is lower, thus worse than the value of 0.45 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.'

• Compared with the benchmark SPY (7.71 ) in the period of the last 5 years, the Ulcer Index of 8.42 of iShares MSCI ACWI Index Fund is greater, thus worse.
• During the last 3 years, the Downside risk index is 9.57 , which is higher, thus worse than the value of 9.08 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -33.5 days of iShares MSCI ACWI Index Fund is greater, thus better.
• During the last 3 years, the maximum reduction from previous high is -33.5 days, which is greater, thus better than the value of -33.7 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). 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'

• Looking at the maximum days under water of 373 days 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 (189 days)
• During the last 3 years, the maximum days below previous high is 189 days, which is greater, thus worse than the value of 189 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.'

• Compared with the benchmark SPY (46 days) in the period of the last 5 years, the average time in days below previous high water mark of 92 days of iShares MSCI ACWI Index Fund is higher, thus worse.
• Compared with SPY (45 days) in the period of the last 3 years, the average time in days below previous high water mark of 47 days is higher, thus worse.