COST vs. DXJ
COST (Costco Wholesale Corporation) is a stock, while DXJ (WisdomTree Japan Hedged Equity Fund) is Japan Equities fund tracking the WisdomTree Japan Hedged Equity Index. Over the past 10 years, COST returned 20.81%/yr vs 18.40%/yr for DXJ. At a 0.33 correlation, their price movements are largely independent.
Performance
COST vs. DXJ - Performance Comparison
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Returns By Period
In the year-to-date period, COST achieves a 8.82% return, which is significantly lower than DXJ's 20.15% return. Over the past 10 years, COST has outperformed DXJ with an annualized return of 20.81%, while DXJ has yielded a comparatively lower 18.40% annualized return.
COST
- 1D
- -0.54%
- 1M
- -1.64%
- 6M
- -2.61%
- YTD
- 8.82%
- 1Y
- -1.04%
- 3Y*
- 20.42%
- 5Y*
- 18.94%
- 10Y*
- 20.81%
- ALL TIME*
- 16.93%
DXJ
- 1D
- 0.12%
- 1M
- -2.97%
- 6M
- 11.29%
- YTD
- 20.15%
- 1Y
- 51.72%
- 3Y*
- 30.73%
- 5Y*
- 26.86%
- 10Y*
- 18.40%
- ALL TIME*
- 9.40%
COST vs. DXJ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
COST Costco Wholesale Corporation | 8.82% | -5.39% | 39.62% | 49.00% | -19.05% | 51.82% | 32.67% | 45.70% | 10.60% | 22.37% |
DXJ WisdomTree Japan Hedged Equity Fund | 20.15% | 32.78% | 29.83% | 42.04% | 5.96% | 17.99% | 3.94% | 18.94% | -19.78% | 22.81% |
Correlation
The correlation between COST and DXJ is -0.03, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.03 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.17 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.25 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.27 |
Correlation (All Time) Calculated using the full available price history since Jun 16, 2006 | 0.33 |
The correlation between COST and DXJ shifts across timeframes, from -0.03 (1 year) to 0.33 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
COST vs. DXJ — Risk / Return Rank
COST
DXJ
COST vs. DXJ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Costco Wholesale Corporation (COST) and WisdomTree Japan Hedged Equity Fund (DXJ). 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.
| COST | DXJ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.88 | ||
| Sortino ratioReturn per unit of downside risk | -3.64 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 1.51 | -0.50 |
| Calmar ratioReturn relative to maximum drawdown | -0.06 | 4.73 | -4.80 |
| Martin ratioReturn relative to average drawdown | -0.14 | 17.82 | -17.96 |
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Drawdowns
COST vs. DXJ - Drawdown Comparison
The maximum COST drawdown since its inception was -53.39%, which is greater than DXJ's maximum drawdown of -49.63%. Use the drawdown chart below to compare losses from any high point for COST and DXJ.
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Drawdown Indicators
| COST | DXJ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -53.39% | -49.63% | -3.76% |
Max Drawdown (1Y)Largest decline over 1 year | -16.57% | -10.98% | -5.59% |
Max Drawdown (3Y)Largest decline over 3 years | -20.74% | -22.19% | +1.45% |
Max Drawdown (5Y)Largest decline over 5 years | -31.40% | -22.19% | -9.21% |
Max Drawdown (10Y)Largest decline over 10 years | -31.40% | -39.14% | +7.74% |
Current DrawdownCurrent decline from peak | -14.49% | -4.28% | -10.21% |
Average DrawdownAverage peak-to-trough decline | -13.36% | -14.26% | +0.90% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.38% | 2.91% | +4.47% |
Volatility
COST vs. DXJ - Volatility Comparison
Costco Wholesale Corporation (COST) has a higher volatility of 7.25% compared to WisdomTree Japan Hedged Equity Fund (DXJ) at 6.53%. This indicates that COST's price experiences larger fluctuations and is considered to be riskier than DXJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| COST | DXJ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.25% | 6.53% | +0.72% |
Volatility (6M)Calculated over the trailing 6-month period | 14.98% | 14.44% | +0.54% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.74% | 18.43% | +1.31% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.90% | 19.04% | +3.86% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.02% | 19.93% | +2.09% |
Dividends
COST vs. DXJ - Dividend Comparison
COST's dividend yield for the trailing twelve months is around 0.57%, less than DXJ's 0.98% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
COST Costco Wholesale Corporation | 0.57% | 0.59% | 0.49% | 2.87% | 0.76% | 0.54% | 3.38% | 0.86% | 1.08% | 4.81% | 1.09% | 4.06% |
DXJ WisdomTree Japan Hedged Equity Fund | 0.98% | 1.29% | 3.48% | 3.44% | 3.02% | 2.64% | 2.53% | 2.47% | 2.92% | 2.30% | 1.98% | 5.95% |
Frequently Asked Questions
COST and DXJ have a correlation of -0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
COST has higher volatility (7.25%) compared to DXJ (6.53%). In terms of maximum drawdown, COST dropped -53.39% vs DXJ's -49.63%.
DXJ currently has the higher Sharpe Ratio (2.83 vs -0.05), 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.
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