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.'

• Looking at the total return of 39.9% 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 (66.2%)
• Looking at total return, or performance in of 37.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (45.7%).

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.'

• Looking at the annual return (CAGR) of 6.9% 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 (10.7%)
• During the last 3 years, the annual return (CAGR) is 11.2%, which is lower, thus worse than the value of 13.4% from the benchmark.

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.'

• The historical 30 days volatility over 5 years of iShares MSCI ACWI Index Fund is 13.3%, which is greater, thus worse compared to the benchmark SPY (13.3%) in the same period.
• Looking at 30 days standard deviation in of 12.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.5%).

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.'

• The downside volatility over 5 years of iShares MSCI ACWI Index Fund is 14.6%, which is larger, thus worse compared to the benchmark SPY (14.6%) in the same period.
• Compared with SPY (14.1%) in the period of the last 3 years, the downside risk of 14% 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 Sharpe Ratio over 5 years of iShares MSCI ACWI Index Fund is 0.34, which is lower, thus worse compared to the benchmark SPY (0.62) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.71, which is lower, thus worse than the value of 0.87 from the benchmark.

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.'

• Compared with the benchmark SPY (0.56) in the period of the last 5 years, the downside risk / excess return profile of 0.31 of iShares MSCI ACWI Index Fund is lower, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is 0.62, which is lower, thus worse than the value of 0.77 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 Index of 6.15 in the last 5 years of iShares MSCI ACWI Index Fund, we see it is relatively larger, thus better in comparison to the benchmark SPY (3.96 )
• Looking at Ulcer Index in of 5.01 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (4.01 ).

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.'

• Looking at the maximum DrawDown of -19.5 days 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 (-19.3 days)
• During the last 3 years, the maximum reduction from previous high is -19.5 days, which is smaller, thus worse than the value of -19.3 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'

• The maximum days below previous high over 5 years of iShares MSCI ACWI Index Fund is 408 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
• Compared with SPY (131 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 290 days is greater, 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.'

• The average days under water over 5 years of iShares MSCI ACWI Index Fund is 120 days, which is higher, thus worse compared to the benchmark SPY (39 days) in the same period.
• Compared with SPY (34 days) in the period of the last 3 years, the average days below previous high of 73 days is larger, thus worse.