FXG vs. AMZN
FXG (First Trust Consumer Staples AlphaDEX Fund) is Consumer Staples Equities fund tracking the StrataQuant Consumer Staples Index, while AMZN (Amazon.com, Inc) is a stock. Over the past 10 years, FXG returned 4.76%/yr vs 20.96%/yr for AMZN. At a 0.31 correlation, their price movements are largely independent.
Performance
FXG vs. AMZN - Performance Comparison
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Returns By Period
In the year-to-date period, FXG achieves a 3.65% return, which is significantly higher than AMZN's 1.49% return. Over the past 10 years, FXG has underperformed AMZN with an annualized return of 4.76%, while AMZN has yielded a comparatively higher 20.96% annualized return.
FXG
- 1D
- 0.74%
- 1M
- 1.98%
- YTD
- 3.65%
- 6M
- 3.06%
- 1Y
- -0.05%
- 3Y*
- 2.47%
- 5Y*
- 3.58%
- 10Y*
- 4.76%
AMZN
- 1D
- 0.07%
- 1M
- -12.03%
- YTD
- 1.49%
- 6M
- 0.81%
- 1Y
- 10.10%
- 3Y*
- 21.90%
- 5Y*
- 6.61%
- 10Y*
- 20.96%
FXG vs. AMZN - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FXG First Trust Consumer Staples AlphaDEX Fund | 3.65% | -2.66% | 3.21% | 1.97% | 3.28% | 21.73% | 4.85% | 20.65% | -11.49% | 7.87% |
AMZN Amazon.com, Inc | 1.49% | 5.21% | 44.39% | 80.88% | -49.62% | 2.38% | 76.26% | 23.03% | 28.43% | 55.96% |
Correlation
The correlation between FXG and AMZN is -0.05, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.05 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.15 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.19 |
Correlation (All Time) Calculated using the full available price history since May 10, 2007 | 0.31 |
The correlation between FXG and AMZN shifts across timeframes, from -0.05 (1 year) to 0.31 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
FXG vs. AMZN — Risk / Return Rank
FXG
AMZN
FXG vs. AMZN - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Consumer Staples AlphaDEX Fund (FXG) and Amazon.com, Inc (AMZN). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| FXG | AMZN | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.33 | ||
| Sortino ratioReturn per unit of downside risk | -0.58 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 1.08 | -0.07 |
| Calmar ratioReturn relative to maximum drawdown | -0.00 | 0.47 | -0.47 |
| Martin ratioReturn relative to average drawdown | -0.01 | 1.07 | -1.08 |
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Drawdowns
FXG vs. AMZN - Drawdown Comparison
The maximum FXG drawdown since its inception was -38.69%, smaller than the maximum AMZN drawdown of -94.40%. Use the drawdown chart below to compare losses from any high point for FXG and AMZN.
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Drawdown Indicators
| FXG | AMZN | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.69% | -94.40% | +55.71% |
Max Drawdown (1Y)Largest decline over 1 year | -12.75% | -21.74% | +8.99% |
Max Drawdown (3Y)Largest decline over 3 years | -12.75% | -30.88% | +18.13% |
Max Drawdown (5Y)Largest decline over 5 years | -15.70% | -56.15% | +40.45% |
Max Drawdown (10Y)Largest decline over 10 years | -27.54% | -56.15% | +28.61% |
Current DrawdownCurrent decline from peak | -9.34% | -14.81% | +5.47% |
Average DrawdownAverage peak-to-trough decline | -6.04% | -28.17% | +22.13% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.90% | 9.46% | -3.56% |
Volatility
FXG vs. AMZN - Volatility Comparison
The current volatility for First Trust Consumer Staples AlphaDEX Fund (FXG) is 5.31%, while Amazon.com, Inc (AMZN) has a volatility of 10.21%. This indicates that FXG experiences smaller price fluctuations and is considered to be less risky than AMZN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FXG | AMZN | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.31% | 10.21% | -4.90% |
Volatility (6M)Calculated over the trailing 6-month period | 10.04% | 21.71% | -11.67% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.39% | 30.88% | -17.49% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.59% | 35.67% | -22.08% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.97% | 32.55% | -17.58% |
Dividends
FXG vs. AMZN - Dividend Comparison
FXG's dividend yield for the trailing twelve months is around 2.79%, while AMZN has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AMZN Amazon.com, Inc | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
FXG First Trust Consumer Staples AlphaDEX Fund | 2.79% | 2.83% | 1.70% | 1.41% | 1.83% | 1.38% | 1.41% | 1.63% | 2.31% | 1.34% | 1.72% | 1.67% |
Frequently Asked Questions
FXG and AMZN have a correlation of -0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AMZN has higher volatility (10.21%) compared to FXG (5.31%). In terms of maximum drawdown, FXG dropped -38.69% vs AMZN's -94.40%.
AMZN currently has the higher Sharpe Ratio (0.33 vs -0.00), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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