Description of Amazon.com

Amazon.com, Inc. - Common Stock

Statistics of Amazon.com (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or performance of 441.5% in the last 5 years of Amazon.com, we see it is relatively larger, thus better in comparison to the benchmark SPY (64.1%)
  • Compared with SPY (48.1%) in the period of the last 3 years, the total return, or performance of 131.5% is larger, thus better.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Using this definition on our asset we see for example:
  • Looking at the annual performance (CAGR) of 40.2% in the last 5 years of Amazon.com, we see it is relatively higher, thus better in comparison to the benchmark SPY (10.4%)
  • Compared with SPY (14%) in the period of the last 3 years, the annual performance (CAGR) of 32.3% is greater, thus better.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Using this definition on our asset we see for example:
  • The 30 days standard deviation over 5 years of Amazon.com is 29.7%, which is greater, thus worse compared to the benchmark SPY (13.6%) in the same period.
  • Looking at volatility in of 27.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.8%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Using this definition on our asset we see for example:
  • The downside deviation over 5 years of Amazon.com is 30%, which is greater, thus worse compared to the benchmark SPY (14.9%) in the same period.
  • Looking at downside risk in of 29.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (14.5%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Using this definition on our asset we see for example:
  • The ratio of return and volatility (Sharpe) over 5 years of Amazon.com is 1.27, which is larger, thus better compared to the benchmark SPY (0.58) in the same period.
  • Compared with SPY (0.9) in the period of the last 3 years, the Sharpe Ratio of 1.07 is greater, thus better.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.53) in the period of the last 5 years, the excess return divided by the downside deviation of 1.26 of Amazon.com is greater, thus better.
  • During the last 3 years, the excess return divided by the downside deviation is 1, which is greater, thus better than the value of 0.79 from the benchmark.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (4.02 ) in the period of the last 5 years, the Ulcer Ratio of 8.98 of Amazon.com is greater, thus worse.
  • Compared with SPY (4.09 ) in the period of the last 3 years, the Downside risk index of 9.47 is larger, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Applying this definition to our asset in some examples:
  • The maximum DrawDown over 5 years of Amazon.com is -34.1 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum DrawDown of -34.1 days is lower, thus worse.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

Applying this definition to our asset in some examples:
  • Looking at the maximum days below previous high of 263 days in the last 5 years of Amazon.com, we see it is relatively greater, thus worse in comparison to the benchmark SPY (187 days)
  • Looking at maximum days below previous high in of 263 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (139 days).

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (41 days) in the period of the last 5 years, the average time in days below previous high water mark of 48 days of Amazon.com is larger, thus worse.
  • Compared with SPY (35 days) in the period of the last 3 years, the average days below previous high of 67 days is larger, thus worse.

Performance of Amazon.com (YTD)

Historical returns have been extended using synthetic data.

Allocations of Amazon.com
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Allocations

Returns of Amazon.com (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of Amazon.com are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.