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, or performance over 5 years of iShares Edge MSCI Min Vol Global ETF is 41.5%, which is lower, thus worse compared to the benchmark SPY (100.3%) in the same period.
• During the last 3 years, the total return is 33.5%, which is lower, thus worse than the value of 77.1% from the benchmark.

CAGR:

'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.'

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 7.2% of iShares Edge MSCI Min Vol Global ETF is lower, thus worse.
• Compared with SPY (21.1%) in the period of the last 3 years, the annual performance (CAGR) of 10.2% is lower, 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.'

• Compared with the benchmark SPY (17%) in the period of the last 5 years, the historical 30 days volatility of 10.3% of iShares Edge MSCI Min Vol Global ETF is smaller, thus better.
• During the last 3 years, the volatility is 8.9%, which is smaller, thus better than the value of 15.2% from the benchmark.

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 risk over 5 years of iShares Edge MSCI Min Vol Global ETF is 7.2%, which is lower, thus better compared to the benchmark SPY (11.7%) in the same period.
• Looking at downside risk in of 6.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10.2%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.46 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 (0.73)
• Looking at risk / return profile (Sharpe) in of 0.86 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.23).

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.'

• Looking at the downside risk / excess return profile of 0.65 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 (1.06)
• During the last 3 years, the excess return divided by the downside deviation is 1.22, which is lower, thus worse than the value of 1.83 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark SPY (8.42 ) in the period of the last 5 years, the Ulcer Ratio of 5.89 of iShares Edge MSCI Min Vol Global ETF is lower, thus better.
• Looking at Downside risk index in of 2 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 drop from peak to valley of -18.1 days in the last 5 years of iShares Edge MSCI Min Vol Global ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum DrawDown is -7.6 days, which is larger, thus better than the value of -18.8 days from the benchmark.

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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 536 days of iShares Edge MSCI Min Vol Global ETF is higher, thus worse.
• Looking at maximum time in days below previous high water mark 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.'

• Looking at the average time in days below previous high water mark of 134 days in the last 5 years of iShares Edge MSCI Min Vol Global ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (120 days)
• During the last 3 years, the average days below previous high is 20 days, which is smaller, thus better than the value of 21 days from the benchmark.