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AMZN vs. BTC-USD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between AMZN and BTC-USD is 0.07, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.1

Performance

AMZN vs. BTC-USD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Amazon.com, Inc. (AMZN) and Bitcoin (BTC-USD). The values are adjusted to include any dividend payments, if applicable.

-20.00%0.00%20.00%40.00%60.00%80.00%JulyAugustSeptemberOctoberNovemberDecember
21.20%
62.18%
AMZN
BTC-USD

Key characteristics

Sharpe Ratio

AMZN:

1.71

BTC-USD:

1.41

Sortino Ratio

AMZN:

2.33

BTC-USD:

2.14

Omega Ratio

AMZN:

1.30

BTC-USD:

1.21

Calmar Ratio

AMZN:

2.13

BTC-USD:

1.22

Martin Ratio

AMZN:

8.00

BTC-USD:

6.70

Ulcer Index

AMZN:

5.98%

BTC-USD:

10.77%

Daily Std Dev

AMZN:

27.97%

BTC-USD:

44.31%

Max Drawdown

AMZN:

-94.40%

BTC-USD:

-93.07%

Current Drawdown

AMZN:

-3.44%

BTC-USD:

-7.90%

Returns By Period

In the year-to-date period, AMZN achieves a 48.03% return, which is significantly lower than BTC-USD's 131.29% return. Over the past 10 years, AMZN has underperformed BTC-USD with an annualized return of 30.90%, while BTC-USD has yielded a comparatively higher 76.43% annualized return.


AMZN

YTD

48.03%

1M

10.86%

6M

18.95%

1Y

46.20%

5Y*

20.32%

10Y*

30.90%

BTC-USD

YTD

131.29%

1M

3.62%

6M

52.51%

1Y

122.84%

5Y*

67.06%

10Y*

76.43%

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Risk-Adjusted Performance

AMZN vs. BTC-USD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Amazon.com, Inc. (AMZN) and Bitcoin (BTC-USD). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for AMZN, currently valued at 1.08, compared to the broader market-4.00-2.000.002.001.081.41
The chart of Sortino ratio for AMZN, currently valued at 1.55, compared to the broader market-4.00-2.000.002.004.001.552.14
The chart of Omega ratio for AMZN, currently valued at 1.20, compared to the broader market0.501.001.502.001.201.21
The chart of Calmar ratio for AMZN, currently valued at 0.53, compared to the broader market0.002.004.006.000.531.22
The chart of Martin ratio for AMZN, currently valued at 4.52, compared to the broader market-5.000.005.0010.0015.0020.0025.004.526.70
AMZN
BTC-USD

The current AMZN Sharpe Ratio is 1.71, which is comparable to the BTC-USD Sharpe Ratio of 1.41. The chart below compares the historical Sharpe Ratios of AMZN and BTC-USD, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.08
1.41
AMZN
BTC-USD

Drawdowns

AMZN vs. BTC-USD - Drawdown Comparison

The maximum AMZN drawdown since its inception was -94.40%, roughly equal to the maximum BTC-USD drawdown of -93.07%. Use the drawdown chart below to compare losses from any high point for AMZN and BTC-USD. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.44%
-7.90%
AMZN
BTC-USD

Volatility

AMZN vs. BTC-USD - Volatility Comparison

The current volatility for Amazon.com, Inc. (AMZN) is 8.71%, while Bitcoin (BTC-USD) has a volatility of 14.07%. This indicates that AMZN experiences smaller price fluctuations and is considered to be less risky than BTC-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
8.71%
14.07%
AMZN
BTC-USD
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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