AMZN vs SPY: returns, Sharpe ratio and drawdown
Performance
AMZN+21.29%SPY+19.23%
Summary
AMZN vs SPY
Over the past year, AMZN returned +21.29% against +19.23% for SPY. Over five years, SPY averaged +11.83% a year, compared with +9.04% for AMZN. SPY had the higher Sharpe ratio over the past year (1.11 vs 0.61), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -21.93% for AMZN.
Current Drawdown
AMZN-7.60%SPY-0.07%
Rolling Volatility
AMZN+1.57%SPY+0.62%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AMZNSPY
Alpha
AMZN
0.39%
SPY
0.00%
Beta
AMZN
1.45x
SPY
1.00x
Sharpe
AMZN
0.61
SPY
1.11
Sortino
AMZN
1.00
SPY
1.64
Omega
AMZN
1.11
SPY
1.20
Calmar
AMZN
0.97
SPY
2.11
Martin
AMZN
1.95
SPY
6.38
Comparisons