DIS vs NFLX: Stock Returns, Risk & Volatility (2026)

Q: Which is a better investment: DIS or NFLX?

Over the past year, DIS looks like the better investment: it had higher total return (DIS -4.6% vs NFLX -14.1%) and a higher Sharpe ratio (DIS -0.12 vs NFLX -0.42). On risk, DIS was less volatile (DIS 32.0% vs NFLX 33.6%), DIS had a smaller max drawdown (DIS -28.2% vs NFLX -43.4%), and DIS had less severe losses on the worst 5% of days (Expected Shortfall of DIS -5.13% vs NFLX -5.29%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: DIS or NFLX?

Over the past year, DIS outperformed (-4.6% vs -14.1%) with a Sharpe ratio of -0.12.

Total Return

DIS WIN -4.6%

NFLX -14.1%

Sharpe Ratio

DIS WIN -0.12

NFLX -0.42

Annualized Volatility

DIS WIN 32.0%

NFLX 33.6%

Max Drawdown

DIS WIN -28.2%

NFLX -43.4%

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

DIS Total Return

↓ -4.6%

NFLX Total Return

↓ -14.1%

Relative Performance of DIS vs NFLX (Normalized to 100)

DIS NFLX

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: DIS delivered a -4.6% total return, while NFLX returned -14.1% over the same period. DIS outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): Both Sharpe ratios were negative (DIS -0.12 vs NFLX -0.42), meaning both underperformed the risk-free rate; DIS was less negative.
Volatility (Annualized): NFLX was more volatile, with 33.6% annualized volatility, versus 32.0% for DIS.
Maximum Drawdown: DIS's maximum drawdown was -28.2%, while NFLX experienced a deeper drawdown of -43.4%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), DIS's VaR was -2.40% and its Expected Shortfall (CVaR) was -5.13%; NFLX's were -3.56% and -5.29%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: DIS -0.01 vs NFLX -0.71. Excess kurtosis: DIS 9.54 vs NFLX 3.90. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): DIS 7/3, NFLX 7/5. Worst day: DIS -9.24% (2025-04-03) vs NFLX -10.07% (2025-10-22). Best day: DIS +11.89% (2025-04-09) vs NFLX +8.62% (2025-04-09).
Risk ratios: Sortino - DIS: -0.17 vs. NFLX: -0.55 , Calmar - DIS: -0.16 vs. NFLX: -0.33 , Sterling - DIS: -0.38 vs. NFLX: -0.79 , Treynor - DIS: -0.03 vs. NFLX: -0.18 , Ulcer Index - DIS: 11.15% vs. NFLX: 18.66%

Disney vs Netflix Correlation

0.16 Average Correlation

Disney and Netflix are weakly correlated over the past year. With a correlation of 0.16, these assets show meaningful independence, offering diversification benefits when held together.

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

Metric	Value
Current (30-day)	0.27
Average (full period)	0.16
Minimum	-0.29
Maximum	0.81

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:

DIS $9,541.71 -4.6%

NFLX $8,587.12 -14.1%

Difference: $954.59 (DIS ahead)

Disney and Netflix: Risk Analysis

Disney experienced its maximum drawdown of -28.2% from 2025-02-28 to 2025-04-08. It took 59 days to recover.

Netflix experienced its maximum drawdown of -43.4% from 2025-06-30 to 2026-02-12. 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 DIS and NFLX

DIS Sharpe Ratio

↓ -0.12

NFLX Sharpe Ratio

↓ -0.42

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. Both Sharpe ratios were negative (DIS -0.12 vs NFLX -0.42), meaning both underperformed the risk-free rate; DIS was less negative.

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 DIS and NFLX

DIS Sortino Ratio

↓ -0.17

NFLX Sortino Ratio

↓ -0.55

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). DIS 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: DIS 22.7% vs NFLX 25.5%. 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 DIS and NFLX

DIS Calmar Ratio

↓ -0.16

NFLX Calmar Ratio

↓ -0.33

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

DIS Sterling Ratio

↓ -0.38

NFLX Sterling Ratio

↓ -0.79

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

DIS Treynor Ratio

↓ -0.03

NFLX Treynor Ratio

↓ -0.18

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

DIS Ulcer Index

11.15%

NFLX Ulcer Index

18.66%

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. DIS 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): Disney vs. Netflix

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)	DIS	NFLX
5% VaR (daily log return)	-2.40%	-3.56%
5% Expected Shortfall (CVaR)	-5.13% (worst 13 days)	-5.29% (worst 13 days)
Skew	-0.01	-0.71
Excess kurtosis	9.54	3.90
2σ tail days (down / up)	7 / 3	7 / 5
Worst day	-9.24% (2025-04-03)	-10.07% (2025-10-22)
Best day	+11.89% (2025-04-09)	+8.62% (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 NFLX has a big down day, DIS also does

28.6%

2 / 7 days

When DIS has a big down day, NFLX also does

28.6%

2 / 7 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 DIS and NFLX had a big down day (2σ)

Date (interval)	DIS	NFLX
2025-04-04	-5.98%	-6.67%
2026-02-12	-5.31%	-4.72%

Days when DIS had a big down day

Date (interval)	DIS	NFLX
2025-03-11	-5.03%	+3.28%
2025-04-03	-9.24%	-1.97%
2025-04-04	-5.98%	-6.67%
2025-04-10	-6.79%	-2.57%
2025-11-13	-7.75%	-0.28%
2026-01-30 → 2026-02-02	-7.40%	-0.87%
2026-02-12	-5.31%	-4.72%

Days when NFLX had a big down day

Date (interval)	DIS	NFLX
2025-03-06	-3.55%	-8.53%
2025-03-28	-2.37%	-4.39%
2025-04-04	-5.98%	-6.67%
2025-07-18	-0.65%	-5.10%
2025-10-22	-1.07%	-10.07%
2025-12-03	+0.87%	-4.93%
2026-02-12	-5.31%	-4.72%

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.

Disney vs Netflix Volatility (DIS vs NFLX)

DIS Volatility

32.0%

±2.02% daily

NFLX Volatility

33.6%

±2.12% daily

Typical daily swing

DIS

±2.02%

NFLX

±2.12%

Disney's annualized volatility of 32.0% means it typically moves ±2.02% on any given day.

Netflix's annualized volatility of 33.6% means it typically moves ±2.12% on any given day.

NFLX's higher volatility means a wider path to returns — this can be attractive for tactical, shorter-term exposure, while DIS'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.

Disney vs Netflix Performance Over Time

Metric	DIS	NFLX
30 Days	-5.6%	-3.5%
90 Days	2.3%	-22.1%
180 Days	-10.7%	-31.6%
1 Year	-4.6%	-14.1%

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

Full Comparison of Disney vs. Netflix (1-Year)

Metric	DIS	NFLX
Total Return	-4.6%	-14.1%
Annualized Volatility	32.0%	33.6%
Sharpe Ratio	-0.12	-0.42
Sortino Ratio	-0.17	-0.55
Calmar Ratio	-0.16	-0.33
Sterling Ratio	-0.38	-0.79
Treynor Ratio	-0.03	-0.18
Ulcer Index	11.15%	18.66%
Max Drawdown	-28.2%	-43.4%
Avg Correlation to S&P 500	0.50	0.28
5% VaR (daily log return)	-2.40%	-3.56%
5% Expected Shortfall (CVaR)	-5.13%	-5.29%
Skew	-0.01	-0.71
Excess kurtosis	9.54	3.90
2σ tail days (down / up)	7 / 3	7 / 5

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): DIS: 252 days/year; NFLX: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

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

NFLX: 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.

DIS: ≈ -5.1%/yr

NFLX: ≈ -5.6%/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.

Disney vs Netflix: Frequently Asked Questions

Which has higher volatility: DIS or NFLX?

NFLX showed higher volatility at 33.6% annualized, compared to 32.0% for DIS Over the past year. Higher volatility means larger price swings in both directions.

Does DIS provide diversification when held with NFLX?

DIS and NFLX are weakly correlated over the past year, with an average correlation of 0.16. This weak correlation suggests meaningful diversification benefits when held together.

How bad are the worst 5% days for DIS vs NFLX?

Over the past year, DIS's 5% VaR was -2.40% and its 5% Expected Shortfall was -5.13% (worst 13 days). NFLX's were -3.56% and -5.29% (worst 13 days).

Do DIS and NFLX crash together on bad days?

On shared dates (n=249), when NFLX has a 2σ down day, DIS also does 28.6% (2/7 days). In the other direction, when DIS has one, NFLX also does 28.6% (2/7 days).

Which has better risk-adjusted returns: DIS or NFLX?

Both assets posted negative Sharpe ratios Over the past year (DIS -0.12 vs NFLX -0.42), meaning both underperformed the risk-free rate; DIS was less negative.

Can DIS and NFLX be combined in a portfolio?

Yes, though allocation sizing matters. Their weak correlation could meaningfully reduce overall portfolio variance. NFLX's higher volatility (33.6%) means even small allocations can materially impact overall portfolio risk.