AMZU vs AMZN: returns, Sharpe ratio and drawdown
Performance
AMZU+1.35%AMZN+15.48%
Summary
AMZU vs AMZN
Over the past year, AMZN returned +15.48% against +1.35% for AMZU. AMZN had the higher Sharpe ratio over the past year (0.46 vs 0.28), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -21.74% for AMZN and -45.63% for AMZU.
Current Drawdown
AMZU-26.19%AMZN-11.98%
Rolling Volatility
AMZU+2.95%AMZN+1.48%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AMZUAMZN
Alpha
AMZU
-7.90%
AMZN
2.37%
Beta
AMZU
2.92x
AMZN
1.45x
Sharpe
AMZU
0.28
AMZN
0.46
Sortino
AMZU
0.46
AMZN
0.76
Omega
AMZU
1.05
AMZN
1.08
Calmar
AMZU
0.03
AMZN
0.71
Martin
AMZU
0.80
AMZN
1.46
Comparisons