AMZN vs GOOGL: returns, Sharpe ratio and drawdown
Performance
AMZN+12.11%GOOGL+40.99%
Summary
AMZN vs GOOGL
Over the past year, GOOGL returned +40.44% against +10.79% for AMZN. Over five years, GOOGL averaged +19.71% a year, compared with +8.43% for AMZN. GOOGL had the higher Sharpe ratio over the past year (1.10 vs 0.34), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -21.09% for GOOGL and -21.93% for AMZN.
Current Drawdown
AMZN-13.33%GOOGL-14.87%
Rolling Volatility
AMZN+1.68%GOOGL+1.64%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AMZNGOOGL
Alpha
AMZN
-3.99%
GOOGL
20.14%
Beta
AMZN
1.45x
GOOGL
1.37x
Sharpe
AMZN
0.34
GOOGL
1.10
Sortino
AMZN
0.55
GOOGL
1.75
Omega
AMZN
1.06
GOOGL
1.21
Calmar
AMZN
0.49
GOOGL
1.92
Martin
AMZN
1.11
GOOGL
3.75
Comparisons