iShares MSCI ACWI Index Fund (ACWI)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return, or increase in value over 5 years of iShares MSCI ACWI Index Fund is 67.6%, which is lower, thus worse compared to the benchmark SPY (83.3%) in the same period.
• During the last 3 years, the total return is 72.9%, which is lower, thus worse than the value of 75.4% 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.'

• The annual performance (CAGR) over 5 years of iShares MSCI ACWI Index Fund is 10.9%, which is smaller, thus worse compared to the benchmark SPY (12.9%) in the same period.
• Looking at annual return (CAGR) in of 20.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (20.7%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Looking at the 30 days standard deviation of 16.3% 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 (17.2%)
• Compared with SPY (15.3%) in the period of the last 3 years, the historical 30 days volatility of 14.6% is lower, thus better.

DownVol:

'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.'

• Compared with the benchmark SPY (11.9%) in the period of the last 5 years, the downside volatility of 11.2% of iShares MSCI ACWI Index Fund is lower, thus better.
• Compared with SPY (10.3%) in the period of the last 3 years, the downside risk of 9.8% 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.'

• The risk / return profile (Sharpe) over 5 years of iShares MSCI ACWI Index Fund is 0.52, which is lower, thus worse compared to the benchmark SPY (0.61) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 1.21 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (1.19).

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 0.76 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 (0.88)
• Compared with SPY (1.78) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.8 is higher, thus better.

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 8.9 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 (8.45 )
• During the last 3 years, the Ulcer Index is 2.87 , which is smaller, thus better than the value of 3.37 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 (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -26.4 days of iShares MSCI ACWI Index Fund is lower, thus worse.
• Looking at maximum reduction from previous high in of -16.5 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-18.8 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) in days.'

• Looking at the maximum time in days below previous high water mark of 516 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 (488 days)
• Looking at maximum time in days below previous high water mark in of 62 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (87 days).

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 127 days, which is larger, thus worse compared to the benchmark SPY (118 days) in the same period.
• During the last 3 years, the average days under water is 13 days, which is smaller, thus better than the value of 17 days from the benchmark.