AMZN vs MSFT: returns, Sharpe ratio and drawdown

Over the past year, AMZN returned +21.29% against +4.72% for MSFT. Over five years, MSFT averaged +11.99% a year, compared with +9.04% for AMZN. AMZN had the higher Sharpe ratio over the past year (0.61 vs 0.17), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -21.93% for AMZN and -34.91% for MSFT.