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^GSPTXDV vs. COST
Performance
Return for Risk
Drawdowns
Volatility

Performance

^GSPTXDV vs. COST - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P/TSX Dividend Aristocrats (^GSPTXDV) and Costco Wholesale Corporation (COST). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, ^GSPTXDV achieves a 13.12% return, which is significantly higher than COST's 9.57% return. Over the past 10 years, ^GSPTXDV has underperformed COST with an annualized return of 6.28%, while COST has yielded a comparatively higher 21.89% annualized return.


^GSPTXDV

1D
0.74%
1M
0.62%
YTD
13.12%
6M
13.10%
1Y
23.94%
3Y*
15.24%
5Y*
8.25%
10Y*
6.28%

COST

1D
-1.96%
1M
-6.05%
YTD
9.57%
6M
8.38%
1Y
-3.95%
3Y*
23.28%
5Y*
20.31%
10Y*
21.89%
*Multi-year figures are annualized to reflect compound growth (CAGR)

^GSPTXDV vs. COST - Yearly Performance Comparison


2026 (YTD)202520242023202220212020201920182017
^GSPTXDV
S&P/TSX Dividend Aristocrats
13.12%14.03%15.52%5.07%-7.83%20.93%-6.87%20.90%-12.66%1.27%
COST
Costco Wholesale Corporation
9.57%-5.39%39.62%49.00%-19.05%51.82%32.67%45.70%10.60%22.37%

Correlation

The correlation between ^GSPTXDV and COST is 0.10, which is low. Their price movements are largely independent, making them effective diversification partners.


Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.10

Correlation (3Y)
Calculated over the trailing 3-year period

0.24

Correlation (5Y)
Calculated over the trailing 5-year period

0.33

Correlation (10Y)
Calculated over the trailing 10-year period

0.32

Correlation (All Time)
Calculated using the full available price history since May 15, 2008

0.33

Over the past year, the correlation between ^GSPTXDV and COST has dropped to 0.10 - well below their long-term average of 0.33, suggesting their price drivers have been diverging.

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Return for Risk

^GSPTXDV vs. COST — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^GSPTXDV
^GSPTXDV Risk / Return Rank: 9797
Overall Rank
^GSPTXDV Sharpe Ratio Rank: 9797
Sharpe Ratio Rank
^GSPTXDV Sortino Ratio Rank: 9898
Sortino Ratio Rank
^GSPTXDV Omega Ratio Rank: 9797
Omega Ratio Rank
^GSPTXDV Calmar Ratio Rank: 9696
Calmar Ratio Rank
^GSPTXDV Martin Ratio Rank: 9898
Martin Ratio Rank

COST
COST Risk / Return Rank: 3232
Overall Rank
COST Sharpe Ratio Rank: 3535
Sharpe Ratio Rank
COST Sortino Ratio Rank: 2929
Sortino Ratio Rank
COST Omega Ratio Rank: 2929
Omega Ratio Rank
COST Calmar Ratio Rank: 3535
Calmar Ratio Rank
COST Martin Ratio Rank: 3333
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^GSPTXDV vs. COST - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P/TSX Dividend Aristocrats (^GSPTXDV) and Costco Wholesale Corporation (COST). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.


^GSPTXDVCOSTDifference
Sharpe ratioReturn per unit of total volatility

+3.70

Sortino ratioReturn per unit of downside risk

+5.33

Omega ratioGain probability vs. loss probability

1.68

0.98

+0.70

Calmar ratioReturn relative to maximum drawdown

5.65

-0.28

+5.93

Martin ratioReturn relative to average drawdown

21.97

-0.61

+22.57

^GSPTXDV vs. COST - Sharpe Ratio Comparison

The current ^GSPTXDV Sharpe Ratio is 3.49, which is higher than the COST Sharpe Ratio of -0.21. The chart below compares the historical Sharpe Ratios of ^GSPTXDV and COST, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.


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Drawdowns

^GSPTXDV vs. COST - Drawdown Comparison

The maximum ^GSPTXDV drawdown since its inception was -46.09%, smaller than the maximum COST drawdown of -53.39%. Use the drawdown chart below to compare losses from any high point for ^GSPTXDV and COST.


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Drawdown Indicators


^GSPTXDVCOSTDifference

Max Drawdown

Largest peak-to-trough decline

-46.09%

-53.39%

+7.30%

Max Drawdown (1Y)

Largest decline over 1 year

-4.39%

-14.42%

+10.03%

Max Drawdown (3Y)

Largest decline over 3 years

-12.84%

-20.74%

+7.90%

Max Drawdown (5Y)

Largest decline over 5 years

-20.09%

-31.40%

+11.31%

Max Drawdown (10Y)

Largest decline over 10 years

-46.09%

-31.40%

-14.69%

Current Drawdown

Current decline from peak

0.00%

-13.90%

+13.90%

Average Drawdown

Average peak-to-trough decline

-7.07%

-13.36%

+6.29%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.13%

6.53%

-5.40%

Volatility

^GSPTXDV vs. COST - Volatility Comparison

The current volatility for S&P/TSX Dividend Aristocrats (^GSPTXDV) is 1.91%, while Costco Wholesale Corporation (COST) has a volatility of 6.00%. This indicates that ^GSPTXDV experiences smaller price fluctuations and is considered to be less risky than COST based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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Volatility by Period


^GSPTXDVCOSTDifference

Volatility (1M)

Calculated over the trailing 1-month period

1.91%

6.00%

-4.09%

Volatility (6M)

Calculated over the trailing 6-month period

5.48%

14.61%

-9.13%

Volatility (1Y)

Calculated over the trailing 1-year period

7.12%

18.87%

-11.75%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

10.66%

22.75%

-12.09%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

14.60%

21.97%

-7.37%

Frequently Asked Questions


^GSPTXDV and COST have a correlation of 0.10, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

COST has higher volatility (6.00%) compared to ^GSPTXDV (1.91%). In terms of maximum drawdown, ^GSPTXDV dropped -46.09% vs COST's -53.39%.

^GSPTXDV currently has the higher Sharpe Ratio (3.49 vs -0.21), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

Portfolio Optimizer

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