COST vs. USMV
COST (Costco Wholesale Corporation) is a stock, while USMV (iShares MSCI USA Min Vol Factor ETF) is Large Cap Blend Equities fund tracking the MSCI USA Minimum Volatility Index. Over the past 10 years, COST returned 22.25%/yr vs 9.75%/yr for USMV. A 0.56 correlation means they provide meaningful diversification when combined.
Performance
COST vs. USMV - 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 USMV's 1.55% return. Over the past 10 years, COST has outperformed USMV with an annualized return of 22.25%, while USMV has yielded a comparatively lower 9.75% 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%
USMV
- 1D
- -0.43%
- 1M
- 1.28%
- YTD
- 1.55%
- 6M
- 2.27%
- 1Y
- 3.18%
- 3Y*
- 11.35%
- 5Y*
- 7.21%
- 10Y*
- 9.75%
COST vs. USMV - 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% |
USMV iShares MSCI USA Min Vol Factor ETF | 1.55% | 7.65% | 15.74% | 10.33% | -9.43% | 20.85% | 5.64% | 27.69% | 1.33% | 18.91% |
Correlation
The correlation between COST and USMV is 0.30, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.30 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.44 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.56 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.55 |
Correlation (All Time) Calculated using the full available price history since Oct 20, 2011 | 0.56 |
Over the past year, the correlation between COST and USMV has dropped to 0.30 - well below their long-term average of 0.56, suggesting their price drivers have been diverging.
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Return for Risk
COST vs. USMV — Risk / Return Rank
COST
USMV
COST vs. USMV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Costco Wholesale Corporation (COST) and iShares MSCI USA Min Vol Factor ETF (USMV). 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 | USMV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.56 | ||
| Sortino ratioReturn per unit of downside risk | -0.71 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 1.07 | -0.08 |
| Calmar ratioReturn relative to maximum drawdown | -0.22 | 0.49 | -0.72 |
| Martin ratioReturn relative to average drawdown | -0.51 | 1.64 | -2.15 |
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 | USMV | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.18 | 0.37 | -0.56 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.98 | 0.59 | +0.39 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 1.02 | 0.67 | +0.34 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.59 | 0.86 | -0.27 |
Drawdowns
COST vs. USMV - Drawdown Comparison
The maximum COST drawdown since its inception was -53.39%, which is greater than USMV's maximum drawdown of -33.10%. Use the drawdown chart below to compare losses from any high point for COST and USMV.
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Drawdown Indicators
| COST | USMV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -53.39% | -33.10% | -20.29% |
Max Drawdown (1Y)Largest decline over 1 year | -15.38% | -6.46% | -8.92% |
Max Drawdown (3Y)Largest decline over 3 years | -20.74% | -9.36% | -11.38% |
Max Drawdown (5Y)Largest decline over 5 years | -31.40% | -17.93% | -13.47% |
Max Drawdown (10Y)Largest decline over 10 years | -31.40% | -33.10% | +1.70% |
Current DrawdownCurrent decline from peak | -10.93% | -2.24% | -8.69% |
Average DrawdownAverage peak-to-trough decline | -13.36% | -2.88% | -10.48% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.15% | 1.94% | +5.21% |
Volatility
COST vs. USMV - Volatility Comparison
Costco Wholesale Corporation (COST) has a higher volatility of 7.71% compared to iShares MSCI USA Min Vol Factor ETF (USMV) at 2.65%. This indicates that COST's price experiences larger fluctuations and is considered to be riskier than USMV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| COST | USMV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.71% | 2.65% | +5.06% |
Volatility (6M)Calculated over the trailing 6-month period | 14.53% | 6.02% | +8.51% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.79% | 8.57% | +10.22% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.71% | 12.36% | +10.35% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.95% | 14.51% | +7.44% |
Dividends
COST vs. USMV - Dividend Comparison
COST's dividend yield for the trailing twelve months is around 0.55%, less than USMV's 1.54% 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% |
USMV iShares MSCI USA Min Vol Factor ETF | 1.54% | 1.49% | 1.67% | 1.82% | 1.62% | 1.26% | 1.81% | 1.88% | 2.12% | 1.77% | 2.22% | 2.02% |
Frequently Asked Questions
COST and USMV have a correlation of 0.30, 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 USMV (2.65%). In terms of maximum drawdown, COST dropped -53.39% vs USMV's -33.10%.
USMV currently has the higher Sharpe Ratio (0.37 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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