COST vs. IVLU
COST (Costco Wholesale Corporation) is a stock, while IVLU (iShares MSCI Intl Value Factor ETF) is Foreign Large Cap Equities fund tracking the MSCI World ex USA Enhanced Value. Over the past 10 years, COST returned 22.25%/yr vs 11.09%/yr for IVLU. At a 0.28 correlation, their price movements are largely independent.
Performance
COST vs. IVLU - Performance Comparison
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Returns By Period
In the year-to-date period, COST achieves a 13.35% return, which is significantly higher than IVLU's 10.99% return. Over the past 10 years, COST has outperformed IVLU with an annualized return of 22.25%, while IVLU has yielded a comparatively lower 11.09% annualized return.
COST
- 1D
- 0.30%
- 1M
- -3.37%
- YTD
- 13.35%
- 6M
- 10.14%
- 1Y
- -3.42%
- 3Y*
- 25.18%
- 5Y*
- 22.05%
- 10Y*
- 22.25%
IVLU
- 1D
- 0.45%
- 1M
- 0.05%
- YTD
- 10.99%
- 6M
- 14.55%
- 1Y
- 32.63%
- 3Y*
- 23.34%
- 5Y*
- 13.74%
- 10Y*
- 11.09%
COST vs. IVLU - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
COST Costco Wholesale Corporation | 13.35% | -5.39% | 39.62% | 49.00% | -19.05% | 51.82% | 32.67% | 45.70% | 10.60% | 22.37% |
IVLU iShares MSCI Intl Value Factor ETF | 10.99% | 46.09% | 6.76% | 20.07% | -5.73% | 15.60% | -4.50% | 15.60% | -15.10% | 23.10% |
Correlation
The correlation between COST and IVLU is 0.00, 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 | 0.00 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.20 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.27 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.30 |
Correlation (All Time) Calculated using the full available price history since Jul 16, 2015 | 0.28 |
Over the past year, the correlation between COST and IVLU has dropped to 0.00 - well below their long-term average of 0.28, suggesting their price drivers have been diverging.
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Return for Risk
COST vs. IVLU — Risk / Return Rank
COST
IVLU
COST vs. IVLU - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Costco Wholesale Corporation (COST) and iShares MSCI Intl Value Factor ETF (IVLU). 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.
| COST | IVLU | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.33 | ||
| Sortino ratioReturn per unit of downside risk | -3.05 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 1.38 | -0.40 |
| Calmar ratioReturn relative to maximum drawdown | -0.22 | 2.80 | -3.03 |
| Martin ratioReturn relative to average drawdown | -0.51 | 10.66 | -11.17 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| COST | IVLU | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.18 | 2.14 | -2.33 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.98 | 0.84 | +0.14 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 1.02 | 0.63 | +0.39 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.59 | 0.47 | +0.12 |
Drawdowns
COST vs. IVLU - Drawdown Comparison
The maximum COST drawdown since its inception was -53.39%, which is greater than IVLU's maximum drawdown of -41.85%. Use the drawdown chart below to compare losses from any high point for COST and IVLU.
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Drawdown Indicators
| COST | IVLU | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -53.39% | -41.85% | -11.54% |
Max Drawdown (1Y)Largest decline over 1 year | -15.38% | -11.69% | -3.69% |
Max Drawdown (3Y)Largest decline over 3 years | -20.74% | -15.48% | -5.26% |
Max Drawdown (5Y)Largest decline over 5 years | -31.40% | -26.04% | -5.36% |
Max Drawdown (10Y)Largest decline over 10 years | -31.40% | -41.85% | +10.45% |
Current DrawdownCurrent decline from peak | -10.93% | -2.27% | -8.66% |
Average DrawdownAverage peak-to-trough decline | -13.36% | -8.59% | -4.77% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.15% | 3.07% | +4.08% |
Volatility
COST vs. IVLU - Volatility Comparison
Costco Wholesale Corporation (COST) has a higher volatility of 7.71% compared to iShares MSCI Intl Value Factor ETF (IVLU) at 4.47%. This indicates that COST's price experiences larger fluctuations and is considered to be riskier than IVLU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| COST | IVLU | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.71% | 4.47% | +3.24% |
Volatility (6M)Calculated over the trailing 6-month period | 14.53% | 12.48% | +2.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.79% | 15.33% | +3.46% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.71% | 16.52% | +6.19% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.95% | 17.67% | +4.28% |
Dividends
COST vs. IVLU - Dividend Comparison
COST's dividend yield for the trailing twelve months is around 0.55%, less than IVLU's 3.34% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
COST Costco Wholesale Corporation | 0.55% | 0.59% | 0.49% | 2.87% | 0.76% | 0.54% | 3.38% | 0.86% | 1.08% | 4.81% | 1.09% | 4.06% |
IVLU iShares MSCI Intl Value Factor ETF | 3.34% | 3.71% | 4.46% | 4.69% | 3.59% | 3.47% | 2.05% | 3.53% | 2.82% | 2.87% | 2.53% | 0.93% |
Frequently Asked Questions
COST and IVLU have a correlation of 0.00, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
COST has higher volatility (7.71%) compared to IVLU (4.47%). In terms of maximum drawdown, COST dropped -53.39% vs IVLU's -41.85%.
IVLU currently has the higher Sharpe Ratio (2.14 vs -0.18), 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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