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For shares of companies that compete with Amazon, times have never been worse

  • A "Death by Amazon" index had its worst day on record Friday, following news that Amazon plans to buy Whole Foods. The selling continued Monday.
  • The list of more than 30 names on the index includes J.C. Penney, Macy's, Wal-Mart, Barnes & Noble, Best Buy and Kroger.
  • Bespoke Investment Group has dubbed the day "Whole Foods Friday," when the firm's index fell more than 4 percent.

A "Death by Amazon" index tracked by a research firm had its worst day on record Friday following Amazon's announcement that it's planning to acquire grocer Whole Foods and disrupt yet another industry. The selling continued on Monday.

As described by its creator, Bespoke Investment Group, the index tracks the performance of traditional retailers most affected by the transition from "bricks to clicks," in the way that consumers are purchasing goods.

The list of more than 30 names includes J.C. Penney, Macy's, Wal-Mart, Barnes & Noble, Best Buy and Kroger, among others.

What Bespoke has dubbed "Whole Foods Friday" rocked the retail index to a decline of more than 4 percent, marking its worst daily performance on record and dropping to its lowest level in more than three years. Notably, the overall market was up on Friday.

"Retail sales are coming online ... sucking share from traditional retailers," Paul Hickey, co-founder of Bespoke, told CNBC's "Power Lunch" Monday. "What we're seeing is people can shop other places, [but] choose to shop Amazon because it's most convenient."

As Amazon moves further into the turf of traditional retailers like Target and Walgreen, consumer preferences are also changing, with shoppers searching for experiences over goods, Hickey added.

'Death by Amazon' index

Source: Bespoke Investment Group

"No one besides Jeff Bezos really knows for sure how Amazon's purchase of Whole Foods will ultimately play out, but the most efficient retailer in the world today, or ever for that matter, has moved further into the turf of brick and mortar retailers, and the market has spoken," Bespoke wrote in a blog post Monday.

The "Death by Amazon" index is up only 21 percent since February 2012, missing out on most of this bull market, Bespoke said. This compares to returns of more than 80 percent by the S&P 1500 over the same period. "It's pretty horrendous," the firm added.

"While there are individual names within brick and mortar retail that may be able to thrive in Amazon's world ... we'd continue to avoid the overall group here," Bespoke warned.

Back in April, department store chain Nordstrom was highlighted by the firm as being a retailer better situated than its peers to hold market share from Amazon.

Watch: Amazon-Whole Foods deal may hurt General Mills