BABA vs AMZN: Stock Returns, Risk & Volatility (2026)

Q: Which is a better investment: BABA or AMZN?

Over the past year, BABA looks like the better investment: it had higher total return (BABA +13.4% vs AMZN +0.9%) and a higher Sharpe ratio (BABA 0.41 vs AMZN 0.08). On risk, AMZN was less volatile (AMZN 35.3% vs BABA 46.8%), AMZN had a smaller max drawdown (AMZN -21.7% vs BABA -32.7%), and AMZN had less severe losses on the worst 5% of days (Expected Shortfall of AMZN -5.07% vs BABA -6.05%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: BABA or AMZN?

Over the past year, BABA outperformed (+13.4% vs +0.9%) with a Sharpe ratio of 0.41.

Total Return

BABA WIN +13.4%

AMZN +0.9%

Sharpe Ratio

BABA WIN 0.41

AMZN 0.08

Annualized Volatility

BABA 46.8%

AMZN WIN 35.3%

Max Drawdown

BABA -32.7%

AMZN WIN -21.7%

Analysis period: 2025-02-27 to 2026-02-25

BABA Total Return

↑ +13.4%

AMZN Total Return

↑ +0.9%

Relative Performance of BABA vs AMZN (Normalized to 100)

BABA AMZN

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: BABA delivered a +13.4% total return, while AMZN returned +0.9% over the same period. BABA outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): BABA had a higher Sharpe (0.41 vs 0.08), indicating better risk-adjusted performance.
Volatility (Annualized): BABA was more volatile, with 46.8% annualized volatility, versus 35.3% for AMZN.
Maximum Drawdown: AMZN's maximum drawdown was -21.7%, while BABA experienced a deeper drawdown of -32.7%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), BABA's VaR was -3.85% and its Expected Shortfall (CVaR) was -6.05%; AMZN's were -3.38% and -5.07%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: BABA 0.33 vs AMZN 0.23. Excess kurtosis: BABA 2.31 vs AMZN 5.21. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): BABA 6/7, AMZN 7/3. Worst day: BABA -9.89% (2025-04-04) vs AMZN -8.98% (2025-04-03). Best day: BABA +12.90% (2025-08-29) vs AMZN +11.98% (2025-04-09).
Risk ratios: Sortino - BABA: 0.65 vs. AMZN: 0.12 , Calmar - BABA: 0.41 vs. AMZN: 0.04 , Sterling - BABA: 0.34 vs. AMZN: -0.18 , Treynor - BABA: 0.22 vs. AMZN: 0.02 , Ulcer Index - BABA: 16.08% vs. AMZN: 8.54%

Alibaba vs Amazon Correlation

0.22 Average Correlation

Alibaba and Amazon are weakly correlated over the past year. With a correlation of 0.22, these assets show meaningful independence, offering diversification benefits when held together.

For portfolio construction, this weak correlation suggests that combining BABA and AMZN could reduce overall portfolio variance. However, correlations can increase during market stress.

Metric	Value
Current (30-day)	0.10
Average (full period)	0.22
Minimum	-0.12
Maximum	0.64

Correlation measures how closely two assets move together. Values near +1 indicate strong co-movement, near 0 indicates independence, and negative values indicate inverse movement.

Investment Comparison

If you invested $10,000 in each asset on February 27, 2025:

BABA $11,343.21 +13.4%

AMZN $10,091.02 +0.9%

Difference: $1,252.19 (BABA ahead)

Alibaba and Amazon: Risk Analysis

Alibaba experienced its maximum drawdown of -32.7% from 2025-03-17 to 2025-04-08. It took 154 days to recover.

Amazon experienced its maximum drawdown of -21.7% from 2025-11-03 to 2026-02-13. It has not yet recovered to its previous peak.

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

Sharpe Ratio of BABA and AMZN

BABA Sharpe Ratio

↑ 0.41

AMZN Sharpe Ratio

↑ 0.08

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. BABA had a higher Sharpe (0.41 vs 0.08), 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 BABA and AMZN

BABA Sortino Ratio

↑ 0.65

AMZN Sortino Ratio

↑ 0.12

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). BABA 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: BABA 29.9% vs AMZN 24.2%. 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 BABA and AMZN

BABA Calmar Ratio

↑ 0.41

AMZN Calmar Ratio

↑ 0.04

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. BABA 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 BABA and AMZN

BABA Sterling Ratio

↑ 0.34

AMZN Sterling Ratio

↓ -0.18

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

BABA Treynor Ratio

↑ 0.22

AMZN Treynor Ratio

↑ 0.02

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. BABA 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 BABA and AMZN

BABA Ulcer Index

16.08%

AMZN Ulcer Index

8.54%

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): Alibaba vs. Amazon

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.

Metric (1-Year)	BABA	AMZN
5% VaR (daily log return)	-3.85%	-3.38%
5% Expected Shortfall (CVaR)	-6.05% (worst 13 days)	-5.07% (worst 13 days)
Skew	0.33	0.23
Excess kurtosis	2.31	5.21
2σ tail days (down / up)	6 / 7	7 / 3
Worst day	-9.89% (2025-04-04)	-8.98% (2025-04-03)
Best day	+12.90% (2025-08-29)	+11.98% (2025-04-09)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=249). 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.

When AMZN has a big down day, BABA also does

14.3%

1 / 7 days

When BABA has a big down day, AMZN also does

16.7%

1 / 6 days

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 BABA and AMZN had a big down day (2σ)

Date (interval)	BABA	AMZN
2025-10-10	-8.45%	-4.99%

Days when BABA had a big down day

Date (interval)	BABA	AMZN
2025-03-07 → 2025-03-10	-5.75%	-2.36%
2025-04-04	-9.89%	-4.15%
2025-04-04 → 2025-04-07	-9.06%	+2.49%
2025-04-08	-6.24%	-2.62%
2025-05-15	-7.57%	-2.42%
2025-10-10	-8.45%	-4.99%

Days when AMZN had a big down day

Date (interval)	BABA	AMZN
2025-04-03	-0.35%	-8.98%
2025-04-10	-0.57%	-5.17%
2025-08-01	-2.95%	-8.27%
2025-10-10	-8.45%	-4.99%
2025-11-18	+1.27%	-4.43%
2026-02-05	-0.87%	-4.42%
2026-02-06	+3.01%	-5.55%

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.

Alibaba vs Amazon Volatility (BABA vs AMZN)

BABA Volatility

46.8%

±2.95% daily

AMZN Volatility

35.3%

±2.22% daily

Typical daily swing

BABA

±2.95%

AMZN

±2.22%

Alibaba's annualized volatility of 46.8% means it typically moves ±2.95% on any given day.

Amazon's annualized volatility of 35.3% means it typically moves ±2.22% on any given day.

BABA's higher volatility means a wider path to returns — this can be attractive for tactical, shorter-term exposure, while AMZN's smoother profile may better suit long-term allocators seeking steadier growth.

For comparison, the S&P 500 typically has 15-18% annualized volatility, translating to roughly ±1% daily moves. Higher volatility means larger potential gains but also larger potential losses.

Alibaba vs Amazon Performance Over Time

Metric	BABA	AMZN
30 Days	-11.1%	-11.7%
90 Days	-3.4%	-8.1%
180 Days	12.8%	-8%
1 Year	13.4%	0.9%

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

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

Metric	BABA	AMZN
Total Return	+13.4%	+0.9%
Annualized Volatility	46.8%	35.3%
Sharpe Ratio	0.41	0.08
Sortino Ratio	0.65	0.12
Calmar Ratio	0.41	0.04
Sterling Ratio	0.34	-0.18
Treynor Ratio	0.22	0.02
Ulcer Index	16.08%	8.54%
Max Drawdown	-32.7%	-21.7%
Avg Correlation to S&P 500	0.30	0.63
5% VaR (daily log return)	-3.85%	-3.38%
5% Expected Shortfall (CVaR)	-6.05%	-5.07%
Skew	0.33	0.23
Excess kurtosis	2.31	5.21
2σ tail days (down / up)	6 / 7	7 / 3

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2025-02-27 → 2026-02-25 (last shared close).
Rolling correlation sample (shared closes): 220 rolling 30-day values (from 249 shared daily returns).
Annualization (days/year): BABA: 252 days/year; AMZN: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

BABA: 4.20% over 2025-02-27 → 2026-02-25.

AMZN: 4.20% over 2025-02-27 → 2026-02-25.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

BABA: ≈ -11.0%/yr

AMZN: ≈ -6.2%/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.

Alibaba vs Amazon: Frequently Asked Questions

Which has higher volatility: BABA or AMZN?

BABA showed higher volatility at 46.8% annualized, compared to 35.3% for AMZN Over the past year. Higher volatility means larger price swings in both directions.

Does BABA provide diversification when held with AMZN?

BABA and AMZN are weakly correlated over the past year, with an average correlation of 0.22. This weak correlation suggests meaningful diversification benefits when held together.

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

Over the past year, BABA's 5% VaR was -3.85% and its 5% Expected Shortfall was -6.05% (worst 13 days). AMZN's were -3.38% and -5.07% (worst 13 days).

Do BABA and AMZN crash together on bad days?

On shared dates (n=249), when AMZN has a 2σ down day, BABA also does 14.3% (1/7 days). In the other direction, when BABA has one, AMZN also does 16.7% (1/6 days).

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

BABA showed better risk-adjusted performance with a Sharpe ratio of 0.41 versus AMZN's 0.08 Over the past year.

Can BABA and AMZN be combined in a portfolio?

Yes, though allocation sizing matters. Their weak correlation could meaningfully reduce overall portfolio variance. BABA's higher volatility (46.8%) means even small allocations can materially impact overall portfolio risk.