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 96.2%, which is lower, thus worse compared to the benchmark SPY (121.2%) in the same period.
• During the last 3 years, the total return is 47.5%, which is lower, thus worse than the value of 67.5% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• The compounded annual growth rate (CAGR) over 5 years of iShares MSCI ACWI Index Fund is 14.4%, which is lower, thus worse compared to the benchmark SPY (17.2%) in the same period.
• Looking at annual return (CAGR) in of 13.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (18.7%).

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 volatility over 5 years of iShares MSCI ACWI Index Fund is 18.1%, which is lower, thus better compared to the benchmark SPY (18.7%) in the same period.
• Looking at 30 days standard deviation in of 21.4% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (22.5%).

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.'

• Looking at the downside volatility of 13.4% 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 (13.6%)
• Looking at downside risk in of 15.8% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (16.3%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Looking at the ratio of return and volatility (Sharpe) of 0.66 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 (0.79)
• Looking at ratio of return and volatility (Sharpe) in of 0.53 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.72).

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.'

• The ratio of annual return and downside deviation over 5 years of iShares MSCI ACWI Index Fund is 0.89, which is lower, thus worse compared to the benchmark SPY (1.08) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0.71, which is smaller, thus worse than the value of 1 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Looking at the Downside risk index of 6.28 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 (5.59 )
• Compared with SPY (6.83 ) in the period of the last 3 years, the Downside risk index of 7.08 is greater, thus worse.

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 drop from peak to valley over 5 years of iShares MSCI ACWI Index Fund is -33.5 days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• 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 higher, thus better in comparison to SPY (-33.7 days).

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days under water of 373 days of iShares MSCI ACWI Index Fund is higher, thus worse.
• Looking at maximum days under water in of 138 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (139 days).

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. 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 (33 days) in the period of the last 5 years, the average days below previous high of 81 days of iShares MSCI ACWI Index Fund is greater, thus worse.
• Compared with SPY (35 days) in the period of the last 3 years, the average days below previous high of 37 days is larger, thus worse.