'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.'

Using this definition on our asset we see for example:- Looking at the total return of 981.5% in the last 5 years of MercadoLibre, we see it is relatively larger, thus better in comparison to the benchmark SPY (122.1%)
- Looking at total return, or performance in of 361.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (64.6%).

'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.'

Which means for our asset as example:- Looking at the annual performance (CAGR) of 61.1% in the last 5 years of MercadoLibre, we see it is relatively greater, thus better in comparison to the benchmark SPY (17.3%)
- Looking at compounded annual growth rate (CAGR) in of 66.6% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (18.1%).

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Which means for our asset as example:- Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the volatility of 48% of MercadoLibre is greater, thus worse.
- Compared with SPY (22.5%) in the period of the last 3 years, the historical 30 days volatility of 52.4% is greater, thus worse.

'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.'

Using this definition on our asset we see for example:- The downside risk over 5 years of MercadoLibre is 30.9%, which is higher, thus worse compared to the benchmark SPY (13.6%) in the same period.
- Compared with SPY (16.4%) in the period of the last 3 years, the downside risk of 34% is higher, thus worse.

'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:- Looking at the risk / return profile (Sharpe) of 1.22 in the last 5 years of MercadoLibre, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.79)
- Looking at risk / return profile (Sharpe) in of 1.22 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.69).

'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:- Looking at the downside risk / excess return profile of 1.9 in the last 5 years of MercadoLibre, we see it is relatively higher, thus better in comparison to the benchmark SPY (1.09)
- During the last 3 years, the ratio of annual return and downside deviation is 1.89, which is larger, thus better than the value of 0.95 from the benchmark.

'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.'

Using this definition on our asset we see for example:- The Ulcer Ratio over 5 years of MercadoLibre is 15 , which is higher, thus worse compared to the benchmark SPY (5.58 ) in the same period.
- Compared with SPY (6.83 ) in the period of the last 3 years, the Ulcer Index of 15 is higher, thus worse.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -39.8 days of MercadoLibre is lower, thus worse.
- Looking at maximum reduction from previous high in of -39.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days under water of 242 days of MercadoLibre is greater, thus worse.
- Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 136 days is lower, thus better.

'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.'

Using this definition on our asset we see for example:- Looking at the average time in days below previous high water mark of 56 days in the last 5 years of MercadoLibre, we see it is relatively higher, thus worse in comparison to the benchmark SPY (33 days)
- During the last 3 years, the average days below previous high is 40 days, which is higher, thus worse than the value of 35 days from the benchmark.

Historical returns have been extended using synthetic data.
[Show Details]

- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of MercadoLibre are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.