GOOG vs AMZN: returns, Sharpe ratio and drawdown
Performance
GOOG+39.26%AMZN+12.11%
Summary
GOOG vs AMZN
Over the past year, GOOG returned +38.80% against +10.79% for AMZN. Over five years, GOOG averaged +19.41% a year, compared with +8.43% for AMZN. GOOG had the higher Sharpe ratio over the past year (1.07 vs 0.34), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.81% for GOOG and -21.93% for AMZN.
Current Drawdown
GOOG-15.01%AMZN-13.33%
Rolling Volatility
GOOG+1.57%AMZN+1.68%
METRICS
Correlation Matrix
Metrics
Risk Indicators
GOOGAMZN
Alpha
GOOG
18.95%
AMZN
-3.99%
Beta
GOOG
1.35x
AMZN
1.45x
Sharpe
GOOG
1.07
AMZN
0.34
Sortino
GOOG
1.72
AMZN
0.55
Omega
GOOG
1.20
AMZN
1.06
Calmar
GOOG
1.86
AMZN
0.49
Martin
GOOG
3.60
AMZN
1.11
Comparisons