iShares Edge MSCI Min Vol Global ETF (ACWV)

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.'

• Compared with the benchmark SPY (108.3%) in the period of the last 5 years, the total return, or performance of 48.5% of iShares Edge MSCI Min Vol Global ETF is lower, thus worse.
• During the last 3 years, the total return is 27.7%, which is lower, thus worse than the value of 49.1% 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.'

• Looking at the compounded annual growth rate (CAGR) of 8.3% in the last 5 years of iShares Edge MSCI Min Vol Global ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (15.8%)
• Looking at annual performance (CAGR) in of 8.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (14.3%).

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 30 days standard deviation over 5 years of iShares Edge MSCI Min Vol Global ETF is 10.9%, which is lower, thus better compared to the benchmark SPY (17.9%) in the same period.
• Compared with SPY (18.1%) in the period of the last 3 years, the volatility of 10.7% is lower, thus better.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 risk of 7.7% in the last 5 years of iShares Edge MSCI Min Vol Global ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (12.4%)
• During the last 3 years, the downside volatility is 7.4%, which is smaller, thus better than the value of 12.2% from the benchmark.

Sharpe:

'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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.53 in the last 5 years of iShares Edge MSCI Min Vol Global ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.75)
• Compared with SPY (0.65) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.56 is smaller, thus worse.

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 excess return divided by the downside deviation over 5 years of iShares Edge MSCI Min Vol Global ETF is 0.74, which is lower, thus worse compared to the benchmark SPY (1.07) in the same period.
• Looking at downside risk / excess return profile in of 0.81 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.97).

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.'

• The Ulcer Ratio over 5 years of iShares Edge MSCI Min Vol Global ETF is 5.92 , which is lower, thus better compared to the benchmark SPY (8.49 ) in the same period.
• Looking at Downside risk index in of 3.31 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (5.55 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• The maximum drop from peak to valley over 5 years of iShares Edge MSCI Min Vol Global ETF is -18.1 days, which is higher, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -12.2 days is higher, thus better.

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 days below previous high of 536 days in the last 5 years of iShares Edge MSCI Min Vol Global ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days below previous high is 164 days, which is smaller, thus better than the value of 199 days from the benchmark.

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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average time in days below previous high water mark of 134 days of iShares Edge MSCI Min Vol Global ETF is larger, thus worse.
• During the last 3 years, the average days under water is 36 days, which is smaller, thus better than the value of 46 days from the benchmark.