Amazon vs Walmart (AMZN vs WMT) 2026: Stock Returns, Risk & Volatility

Reviewed by Sid Kalla CFA Charterholder

Returns shown in USD.

Quick answer

Which is a better investment: AMZN or WMT?

From October 14, 2025 to October 13, 2026: AMZN led on total return (+19.5% vs WMT +5.4%). AMZN had the higher Sharpe ratio (0.58 vs WMT 0.19). On observed risk, WMT had lower annualized volatility (26.1% vs AMZN 34.3%); AMZN had a smaller maximum drawdown (-21.7% vs WMT -23.5%).

Total Return

AMZN +19.5%

WMT +5.4%

Sharpe Ratio

AMZN 0.58

WMT 0.19

Annualized Volatility

AMZN 34.3%

WMT 26.1%

Max Drawdown

AMZN -21.7%

WMT -23.5%

Metric winners: Total Return: AMZN; Sharpe Ratio: AMZN; Annualized Volatility: WMT (less volatile); Max Drawdown: AMZN (smaller drawdown).

AMZN Total Return

↑ +19.5%

WMT Total Return

↑ +5.4%

Relative Performance of AMZN vs WMT (Normalized to 100)

AMZN WMT

Normalized to 100 at start date for comparison

Trade AMZN or WMT

Access these assets on trusted platforms.

Hyperliquid

Trade perpetual futures exposure where supportedAMZNWMTTrade on Hyperliquid

Binance

Trade futures exposure on a global exchange where supportedAMZNWMTTrade on Binance

Affiliate disclosure

Key Takeaways

Total Return: AMZN delivered a +19.5% total return, while WMT returned +5.4% over the same period. AMZN outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): AMZN had a higher Sharpe (0.58 vs 0.19), indicating better risk-adjusted performance.
Volatility (Annualized): AMZN was more volatile, with 34.3% annualized volatility, versus 26.1% for WMT.
Maximum Drawdown: AMZN's maximum drawdown was -21.7%, while WMT experienced a deeper drawdown of -23.5%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), AMZN's VaR was -2.90% and its Expected Shortfall (CVaR) was -3.94%; WMT's were -2.51% and -3.90%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: AMZN 1.39 vs WMT -0.88. Excess kurtosis: AMZN 8.18 vs WMT 5.89. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): AMZN 5/4, WMT 6/5. Worst day: AMZN -5.55% (2026-02-06) vs WMT -9.15% (2026-08-20). Best day: AMZN +15.32% (2026-07-31) vs WMT +6.46% (2025-11-20).
Risk ratios: Sortino - AMZN: 0.97 vs. WMT: 0.26 , Calmar - AMZN: 0.90 vs. WMT: 0.23 , Sterling - AMZN: 0.90 vs. WMT: 0.09 , Treynor - AMZN: 0.14 vs. WMT: -1.00 , Ulcer Index - AMZN: 10.72% vs. WMT: 11.33%

Investment Comparison

If you invested $10,000 in each asset on October 14, 2025:

AMZN $11,949.72 +19.5%

WMT $10,535.77 +5.4%

Difference: $1,413.95 (AMZN ahead)

Amazon vs Walmart Performance Over Time

Metric	AMZN	WMT
30 Days	0.7%	4.8%
90 Days	1.4%	-0.2%
180 Days	3.6%	-9.9%
1 Year	19.5%	5.4%

Across the available lookbacks in this table, AMZN led on total return for 90 Days, 180 Days, and 1 Year, while WMT led for 30 Days.

Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.

Amazon vs Walmart Correlation

Average Correlation

negatively correlated

-0.07

Current (30-day) -0.04

30-day rolling range -0.47 to +0.32

Amazon and Walmart were negatively correlated from October 14, 2025 to October 13, 2026. The reported negative average correlation of -0.07 showed inverse linear co-movement in the observed sample; it does not establish reliable offsetting losses.

Correlation alone does not establish portfolio risk reduction or predict selloff behavior. This comparison does not model a combined portfolio.

Metric	Value
Current (30-day)	-0.04
Average (full period)	-0.07
Minimum (30-day rolling)	-0.47
Maximum (30-day rolling)	0.32

Correlation measures linear co-movement of returns: near +1 indicates strong positive co-movement, near 0 indicates weak linear co-movement, and negative values indicate inverse co-movement. Near-zero correlation does not establish independence. Current, minimum, and maximum figures are 30-day rolling correlations on shared daily returns.

Drawdown

Maximum Drawdown

AMZN

-21.7%

WMT

-23.5%

Amazon experienced its maximum drawdown of -21.7% from 2025-11-03 to 2026-02-13. It took 68 days to recover.

Walmart experienced its maximum drawdown of -23.5% from 2026-05-19 to 2026-08-27. It has not yet recovered to its previous peak.

Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.

Amazon vs Walmart Volatility (AMZN vs WMT)

AMZN Volatility

34.3%

±2.16% 1-day vol

WMT Volatility

26.1%

±1.65% 1-day vol

1-day volatility (1σ)

AMZN

±2.16%

WMT

±1.65%

Amazon's 34.3% annualized volatility translates to about ±2.16% one-standard-deviation daily volatility.

Walmart's 26.1% annualized volatility translates to about ±1.65% one-standard-deviation daily volatility.

AMZN had the wider volatility profile over this window. That means its day-to-day return distribution was broader; WMT was calmer, but lower volatility does not by itself mean better returns.

Treat the ± daily figure as a one-standard-deviation estimate from historical returns, not a forecast or expected absolute daily move. For context, 15-18% annualized volatility is roughly ±1% one-standard-deviation daily volatility.

Risk-adjusted ratios

Sharpe Ratio of AMZN and WMT

Sharpe Ratio: AMZN vs. WMT

Return per total volatility

Sharpe gives us excess return per unit of risk. Upside and downside volatility both count as risk.

Higher is better

excess return / total volatility

Formula

\displaystyle \mathrm{Sharpe} = \frac{\mathbb{E}[R] - R_f}{\sigma_R}

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. AMZN had a higher Sharpe (0.58 vs 0.19), indicating better risk-adjusted performance.

A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Sortino Ratio of AMZN and WMT

Sortino Ratio: AMZN vs. WMT

Return per downside volatility

Sortino keeps the return-over-risk idea, but only returns below the target rate count as volatility.

Higher is better

excess return / downside volatility

Formula

\displaystyle \mathrm{Sortino} = \frac{\mathbb{E}[R] - R_f}{\sigma_{\mathrm{down}}}

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). AMZN had better downside-adjusted returns.

A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Downside deviation: AMZN 20.5% vs WMT 19.1%. Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Calmar Ratio of AMZN and WMT

Calmar Ratio: AMZN vs. WMT

CAGR per worst drawdown

Calmar compares CAGR against the single deepest peak-to-trough loss over the period.

Higher is better

CAGR / max drawdown

Formula

\displaystyle \mathrm{Calmar} = \frac{\mathrm{CAGR}}{|\mathrm{MaxDD}|}

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. AMZN posted the higher Calmar ratio.

Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.

Sterling Ratio of AMZN and WMT

Sterling Ratio: AMZN vs. WMT

Return per average drawdown

Sterling smooths the drawdown penalty by using average drawdown events instead of only the worst one.

Higher is better

excess annual return / average deep drawdown

Formula

\displaystyle \mathrm{Sterling} = \frac{\mathrm{CAGR} - R_f}{\overline{D}_{>10\%}}

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). AMZN posted the higher Sterling ratio.

Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.

Treynor Ratio of AMZN and WMT

Treynor Ratio: AMZN vs. WMT

Excess return per market beta

Treynor divides excess annualized return by beta — the sensitivity of the asset to broad-market moves. The slope shown is each asset’s beta vs SPY.

Higher is better

excess return / market beta

Formula

\displaystyle \mathrm{Treynor} = \frac{\mathbb{E}[R] - R_f}{\beta}

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. AMZN posted the higher Treynor ratio.

Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.

Ulcer Index of AMZN and WMT

Ulcer Index: AMZN vs. WMT

Drawdown pain

Ulcer Index is a risk index, not a return-over-risk ratio. Lower means smaller and shorter drawdowns.

Lower is better

root-mean-square drawdown

Formula

\displaystyle \mathrm{UI} = \sqrt{\mathbb{E}[D_t^2]}

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. AMZN had the lower Ulcer Index (less drawdown pain).

Ulcer Index is computed from each asset's drawdown series over the full lookback window.

Tail Risk & Distribution Shape (1-Year): Amazon vs. Walmart

This section looks at the shape of daily returns, not just the average. Tail stats are computed per asset on its own daily series (crypto includes weekends). We use daily log returns $\ln\left(\frac{P_t}{P_{t-1}}\right)$ so multi-day moves add cleanly.

Definitions: Value at Risk (VaR), Expected Shortfall, skew, kurtosis, and fat tails.

Tail Risk & Distribution Shape: AMZN vs. WMT (1-Year)

Actual daily return tails

The bars are real daily log-return observations from the article window. Darker bars are observations at or beyond each asset’s 5% VaR cutoff.

Observed returns

VaR marks the 5th percentile loss cutoff; Expected Shortfall averages the observations beyond that cutoff.

Formula

\displaystyle \mathrm{VaR}_{5\%}=Q_{0.05}(r_t),\quad \mathrm{ES}_{5\%}=\mathbb{E}[r_t\mid r_t\le \mathrm{VaR}_{5\%}]

Metric (1-Year)	AMZN	WMT
5% VaR (daily log return)	-2.90%	-2.51%
5% Expected Shortfall (CVaR)	-3.94% (worst 13 days)	-3.90% (worst 13 days)
Skew	1.39	-0.88
Excess kurtosis	8.18	5.89
2σ tail days (down / up)	5 / 4	6 / 5
Worst day	-5.55% (2026-02-06)	-9.15% (2026-08-20)
Best day	+15.32% (2026-07-31)	+6.46% (2025-11-20)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=250). A “2σ downside move” means a shared-close log return more than 2 standard deviations below that asset’s own mean on this shared-date series. Dates below show simple returns (%) for readability.

Downside co-move map: AMZN vs. WMT (2σ)

Shared-close daily returns

Dots mark actual downside days: asset-colored dots are one-sided downside moves, and red dots are joint downside days. Grey dots add sampled shared-return context when available. The shaded lower-left zone shows where both AMZN and WMT crossed their own 2σ downside threshold.

2σ

Show downside tail dates

Dates below are shared-date observations. The “Date” is the period end (close). Tail thresholds are computed on log returns, but the table shows simple returns (%) for readability. Returns are computed from the previous shared close to this one (for example, Friday → Monday includes weekend moves).

Days when both AMZN and WMT had a big down day (2σ)

None in this window.

Days when AMZN had a big down day

Date (interval)	AMZN	WMT
2025-11-18	-4.43%	-1.52%
2026-02-05	-4.42%	-0.83%
2026-02-06	-5.55%	+3.34%
2026-06-18 → 2026-06-22	-4.75%	0.00%
2026-07-23	-4.57%	-0.85%

Days when WMT had a big down day

Date (interval)	AMZN	WMT
2026-02-13 → 2026-02-17	+1.19%	-3.76%
2026-03-05	+0.98%	-3.52%
2026-04-07	+0.46%	-3.39%
2026-05-21	+1.30%	-7.27%
2026-07-01	+1.41%	-3.92%
2026-08-20	-2.16%	-9.15%

Read this as “how ugly the ugly days get”, not as a precise forecast. One-year samples are small, so tail estimates are inherently noisy.

Full Comparison of Amazon vs. Walmart (1-Year)

Metric	AMZN	WMT
Total Return	+19.5%	+5.4%
Annualized Volatility	34.3%	26.1%
Sharpe Ratio	0.58	0.19
Sortino Ratio	0.97	0.26
Calmar Ratio	0.90	0.23
Sterling Ratio	0.90	0.09
Treynor Ratio	0.14	-1.00
Ulcer Index	10.72%	11.33%
Max Drawdown	-21.7%	-23.5%
Avg Correlation to S&P 500	0.55	-0.02
5% VaR (daily log return)	-2.90%	-2.51%
5% Expected Shortfall (CVaR)	-3.94%	-3.90%
Skew	1.39	-0.88
Excess kurtosis	8.18	5.89
2σ tail days (down / up)	5 / 4	6 / 5

Audit this calculation

Formulas, inputs, and conventions used to compute the metrics on this page.

Inputs & conventions

Shared window for pair metrics: 2025-10-14 → 2026-10-13 (last shared close).
Rolling correlation sample (shared closes): 221 rolling 30-day values (from 250 shared daily returns).
Annualization (days/year): AMZN: 252 days/year; WMT: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

AMZN: 3.81% over 2025-10-14 → 2026-10-13.

WMT: 3.81% over 2025-10-14 → 2026-10-13.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

AMZN: ≈ -5.9%/yr

WMT: ≈ -3.4%/yr
Data alignment: No forward fill. Correlation and tail co-moves are computed on shared closes only.
For cross-calendar pairs (e.g., crypto vs stocks), weekend/holiday moves roll into the next shared close.
Return conventions: Volatility/Sharpe/Sortino use simple daily returns. Tail-risk uses daily log returns for distribution stats (but tables show simple returns). Log returns.

Formulas

Daily simple return

r_t = \frac{P_t}{P_{t-1}} - 1

Volatility

\sigma_{ann} = \sigma(r_t)\sqrt{A}

Volatility drag (approx.)

\text{drag} \approx \tfrac{1}{2}\sigma_{ann}^2

Sharpe Ratio

S = \frac{A\,\bar{r} - r_f}{\sigma(r_t)\sqrt{A}}

Sortino Ratio

So = \frac{A\,\bar{r} - r_f}{\sqrt{\mathbb{E}[\min(0,\,r_t - r_f/A)^2]}\,\sqrt{A}}

Maximum Drawdown

MDD = \min_t\left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)

Average Correlation

\rho = \frac{\operatorname{cov}(r^A,\,r^B)}{\sigma_A\,\sigma_B}

Log returns

\ell_t = \ln\left(\frac{P_t}{P_{t-1}}\right)

Notation

$P_t$: Price on day t.
$r_t$: Simple daily return.
$\ell_t$: Log daily return.
$\bar{r}$: Average daily return.
$\sigma(r_t)$: Standard deviation of daily returns.
$A$: Annualization factor (days/year).
$r_f$: Annual risk-free rate.

Amazon vs Walmart: Frequently Asked Questions

Which has higher volatility: AMZN or WMT?

AMZN showed higher volatility at 34.3% annualized, compared to 26.1% for WMT Over the past year. Higher volatility means larger price swings in both directions.

Does AMZN provide diversification when held with WMT?

AMZN and WMT were negatively correlated from October 14, 2025 to October 13, 2026, with an average correlation of -0.07. Correlation alone does not establish portfolio risk reduction or predict selloff behavior. This comparison does not model a combined portfolio.

How bad are the worst 5% days for AMZN vs WMT?

Over the past year, AMZN's 5% VaR was -2.90% and its 5% Expected Shortfall was -3.94% (worst 13 days). WMT's were -2.51% and -3.90% (worst 13 days).

Do AMZN and WMT crash together on bad days?

On shared dates (n=250), when WMT has a 2σ down day, AMZN also does 0.0% (0/6 days). In the other direction, when AMZN has one, WMT also does 0.0% (0/5 days).

Which has better risk-adjusted returns: AMZN or WMT?

AMZN showed better risk-adjusted performance with a Sharpe ratio of 0.58 versus WMT's 0.19 Over the past year.

Can AMZN and WMT be combined in a portfolio?

This comparison measures the assets individually, not a combined portfolio. Portfolio risk depends on allocation weights and the joint return path; no portfolio result is calculated here. AMZN had higher annualized volatility (34.3%) in this sample; the effect of an allocation is not measured here.

Explore our financial glossary

Which is a better investment: AMZN or WMT?

Share This Comparison of AMZN vs WMT

Relative Performance of AMZN vs WMT (Normalized to 100)

Trade AMZN or WMT

Key Takeaways

Investment Comparison

Amazon vs Walmart Performance Over Time

Amazon vs Walmart Correlation

Drawdown

Amazon vs Walmart Volatility (AMZN vs WMT)

Risk-adjusted ratios

Sharpe Ratio of AMZN and WMT

Sharpe Ratio: AMZN vs. WMT

Sortino Ratio of AMZN and WMT

Sortino Ratio: AMZN vs. WMT

Calmar Ratio of AMZN and WMT

Calmar Ratio: AMZN vs. WMT

Sterling Ratio of AMZN and WMT

Sterling Ratio: AMZN vs. WMT

Treynor Ratio of AMZN and WMT

Treynor Ratio: AMZN vs. WMT

Ulcer Index of AMZN and WMT

Ulcer Index: AMZN vs. WMT

Tail Risk & Distribution Shape (1-Year): Amazon vs. Walmart

Tail Risk & Distribution Shape: AMZN vs. WMT (1-Year)

Downside co-moves (2σ) — 1-Year

Downside co-move map: AMZN vs. WMT (2σ)

Days when both AMZN and WMT had a big down day (2σ)

Days when AMZN had a big down day

Days when WMT had a big down day

Full Comparison of Amazon vs. Walmart (1-Year)

Inputs & conventions

Formulas

Amazon vs Walmart: Frequently Asked Questions

Which has higher volatility: AMZN or WMT?

Does AMZN provide diversification when held with WMT?

How bad are the worst 5% days for AMZN vs WMT?

Do AMZN and WMT crash together on bad days?

Which has better risk-adjusted returns: AMZN or WMT?

Can AMZN and WMT be combined in a portfolio?