MercadoLibre (MELI)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return, or increase in value over 5 years of MercadoLibre is 4.2%, which is smaller, thus worse compared to the benchmark SPY (85.8%) in the same period.
• During the last 3 years, the total return, or increase in value is 41.2%, which is lower, thus worse than the value of 78.5% 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.'

• The compounded annual growth rate (CAGR) over 5 years of MercadoLibre is 0.8%, which is smaller, thus worse compared to the benchmark SPY (13.3%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 12.2%, which is lower, thus worse than the value of 21.4% 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.'

• Compared with the benchmark SPY (17.2%) in the period of the last 5 years, the historical 30 days volatility of 49.3% of MercadoLibre is greater, thus worse.
• During the last 3 years, the 30 days standard deviation is 37.6%, which is greater, thus worse than the value of 15.4% from the benchmark.

DownVol:

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

• Looking at the downside deviation of 34.9% in the last 5 years of MercadoLibre, we see it is relatively higher, thus worse in comparison to the benchmark SPY (11.8%)
• Looking at downside risk in of 27.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10.3%).

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 (0.63) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.03 of MercadoLibre is smaller, thus worse.
• Compared with SPY (1.23) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.26 is lower, 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 MercadoLibre is -0.05, which is lower, thus worse compared to the benchmark SPY (0.91) in the same period.
• Looking at downside risk / excess return profile in of 0.36 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.84).

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 Downside risk index of 33 in the last 5 years of MercadoLibre, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.46 )
• Compared with SPY (3.38 ) in the period of the last 3 years, the Ulcer Ratio of 17 is greater, thus worse.

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.'

• The maximum drop from peak to valley over 5 years of MercadoLibre is -68.6 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -40.8 days, which is lower, thus worse 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.'

• Looking at the maximum days below previous high of 738 days in the last 5 years of MercadoLibre, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum time in days below previous high water mark in of 277 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 Average 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. 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 MercadoLibre is 259 days, which is higher, thus worse compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average days below previous high is 77 days, which is larger, thus worse than the value of 18 days from the benchmark.