'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.'

Which means for our asset as example:- The total return, or performance over 5 years of iShares MSCI ACWI Index Fund is 68.1%, which is lower, thus worse compared to the benchmark SPY (101.5%) in the same period.
- During the last 3 years, the total return, or increase in value is 17.3%, which is smaller, thus worse than the value of 29.7% from the benchmark.

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Applying this definition to our asset in some examples:- Looking at the annual performance (CAGR) of 11% 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 (15.1%)
- Compared with SPY (9.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 5.5% is smaller, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the volatility of 19.9% of iShares MSCI ACWI Index Fund is smaller, thus better.
- Compared with SPY (17.6%) in the period of the last 3 years, the historical 30 days volatility of 16.6% is lower, thus better.

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

Applying this definition to our asset in some examples:- The downside deviation over 5 years of iShares MSCI ACWI Index Fund is 14.4%, which is lower, thus better compared to the benchmark SPY (14.9%) in the same period.
- During the last 3 years, the downside risk is 11.5%, which is smaller, thus better than the value of 12.3% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.6) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.42 of iShares MSCI ACWI Index Fund is lower, thus worse.
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.18, which is lower, thus worse than the value of 0.37 from the benchmark.

'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.'

Which means for our asset as example:- The downside risk / excess return profile over 5 years of iShares MSCI ACWI Index Fund is 0.59, which is smaller, thus worse compared to the benchmark SPY (0.84) in the same period.
- Looking at downside risk / excess return profile in of 0.26 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.53).

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Using this definition on our asset we see for example:- The Ulcer Index over 5 years of iShares MSCI ACWI Index Fund is 9.93 , which is greater, thus worse compared to the benchmark SPY (9.32 ) in the same period.
- Looking at Ulcer Ratio in of 11 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10 ).

'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.'

Using this definition on our asset we see for example:- The maximum drop from peak to valley over 5 years of iShares MSCI ACWI Index Fund is -33.5 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -26.4 days is lower, thus worse.

'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.'

Applying this definition to our asset in some examples:- Looking at the maximum days below previous high of 516 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 (488 days)
- Looking at maximum days under water in of 516 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (488 days).

'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.'

Applying this definition to our asset in some examples:- The average time in days below previous high water mark over 5 years of iShares MSCI ACWI Index Fund is 133 days, which is larger, thus worse compared to the benchmark SPY (123 days) in the same period.
- Looking at average days below previous high in of 192 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (177 days).

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of iShares MSCI ACWI Index Fund are hypothetical and do not account for slippage, fees or taxes.