iShares Edge MSCI Min Vol Global ETF (ACWV)

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 over 5 years of iShares Edge MSCI Min Vol Global ETF is 37.5%, which is smaller, thus worse compared to the benchmark SPY (97.2%) in the same period.
• Looking at total return in of 31.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (80.6%).

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 annual performance (CAGR) over 5 years of iShares Edge MSCI Min Vol Global ETF is 6.6%, which is smaller, thus worse compared to the benchmark SPY (14.6%) in the same period.
• Compared with SPY (21.8%) in the period of the last 3 years, the annual return (CAGR) of 9.7% is smaller, thus worse.

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.'

• Looking at the historical 30 days volatility of 10.3% 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 (17.1%)
• Compared with SPY (15.2%) in the period of the last 3 years, the volatility of 8.9% 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 (11.8%) in the period of the last 5 years, the downside volatility of 7.3% of iShares Edge MSCI Min Vol Global ETF is smaller, thus better.
• During the last 3 years, the downside risk is 6.3%, which is lower, thus better than the value of 10.2% 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.'

• Compared with the benchmark SPY (0.71) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.4 of iShares Edge MSCI Min Vol Global ETF is smaller, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 0.8 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.27).

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 downside risk / excess return profile over 5 years of iShares Edge MSCI Min Vol Global ETF is 0.56, which is lower, thus worse compared to the benchmark SPY (1.03) in the same period.
• Compared with SPY (1.9) in the period of the last 3 years, the excess return divided by the downside deviation of 1.14 is lower, 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.'

• The Ulcer Index over 5 years of iShares Edge MSCI Min Vol Global ETF is 5.9 , which is lower, thus better compared to the benchmark SPY (8.42 ) in the same period.
• Looking at Ulcer Index in of 2.01 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (3.51 ).

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 -18.1 days in the last 5 years of iShares Edge MSCI Min Vol Global ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum DrawDown in of -7.6 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-18.8 days).

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'

• Looking at the maximum time in days below previous high water mark 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)
• Looking at maximum days under water in of 97 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (87 days).

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 below previous high over 5 years of iShares Edge MSCI Min Vol Global ETF is 134 days, which is higher, thus worse compared to the benchmark SPY (120 days) in the same period.
• During the last 3 years, the average days below previous high is 20 days, which is lower, thus better than the value of 21 days from the benchmark.