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.'

• Looking at the total return, or performance of 37% 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 (64.1%)
• Compared with SPY (48.1%) in the period of the last 3 years, the total return, or performance of 36.4% is smaller, thus worse.

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.'

• Compared with the benchmark SPY (10.4%) in the period of the last 5 years, the annual performance (CAGR) of 6.5% of iShares MSCI ACWI Index Fund is lower, thus worse.
• During the last 3 years, the compounded annual growth rate (CAGR) is 10.9%, which is lower, thus worse than the value of 14% from the benchmark.

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 historical 30 days volatility of 13.6% 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 (13.6%)
• Compared with SPY (12.8%) in the period of the last 3 years, the volatility of 12% is lower, thus better.

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 (14.9%) in the period of the last 5 years, the downside deviation of 14.9% of iShares MSCI ACWI Index Fund is higher, thus worse.
• Compared with SPY (14.5%) in the period of the last 3 years, the downside volatility of 13.6% is lower, thus better.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of iShares MSCI ACWI Index Fund is 0.29, which is smaller, thus worse compared to the benchmark SPY (0.58) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.7 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.9).

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 downside risk / excess return profile over 5 years of iShares MSCI ACWI Index Fund is 0.27, which is lower, thus worse compared to the benchmark SPY (0.53) in the same period.
• Compared with SPY (0.79) in the period of the last 3 years, the excess return divided by the downside deviation of 0.62 is smaller, thus worse.

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 6.21 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 (4.02 )
• Compared with SPY (4.09 ) in the period of the last 3 years, the Downside risk index of 5.16 is larger, 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.'

• Looking at the maximum drop from peak to valley of -19.5 days 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 (-19.3 days)
• Looking at maximum reduction from previous high in of -19.5 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-19.3 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.'

• The maximum time in days below previous high water mark over 5 years of iShares MSCI ACWI Index Fund is 407 days, which is larger, thus worse compared to the benchmark SPY (187 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 373 days is higher, thus worse.

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 under water of 137 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 (41 days)
• Looking at average time in days below previous high water mark in of 111 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (35 days).