AMZN vs GOOGL: returns, Sharpe ratio and drawdown

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.