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COST vs. XLP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between COST and XLP is 0.64, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


Performance

COST vs. XLP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Costco Wholesale Corporation (COST) and Consumer Staples Select Sector SPDR Fund (XLP). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

COST:

1.21

XLP:

0.72

Sortino Ratio

COST:

1.76

XLP:

0.98

Omega Ratio

COST:

1.23

XLP:

1.12

Calmar Ratio

COST:

1.60

XLP:

1.02

Martin Ratio

COST:

4.59

XLP:

2.71

Ulcer Index

COST:

6.01%

XLP:

3.15%

Daily Std Dev

COST:

21.97%

XLP:

13.41%

Max Drawdown

COST:

-53.39%

XLP:

-35.89%

Current Drawdown

COST:

-5.36%

XLP:

-0.99%

Returns By Period

In the year-to-date period, COST achieves a 11.35% return, which is significantly higher than XLP's 5.30% return. Over the past 10 years, COST has outperformed XLP with an annualized return of 23.87%, while XLP has yielded a comparatively lower 8.21% annualized return.


COST

YTD

11.35%

1M

4.29%

6M

5.02%

1Y

26.34%

3Y*

31.12%

5Y*

28.99%

10Y*

23.87%

XLP

YTD

5.30%

1M

1.86%

6M

0.94%

1Y

9.57%

3Y*

5.96%

5Y*

9.68%

10Y*

8.21%

*Annualized

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Costco Wholesale Corporation

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Risk-Adjusted Performance

COST vs. XLP — Risk-Adjusted Performance Rank

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

COST
The Risk-Adjusted Performance Rank of COST is 8585
Overall Rank
The Sharpe Ratio Rank of COST is 8787
Sharpe Ratio Rank
The Sortino Ratio Rank of COST is 8282
Sortino Ratio Rank
The Omega Ratio Rank of COST is 8181
Omega Ratio Rank
The Calmar Ratio Rank of COST is 9090
Calmar Ratio Rank
The Martin Ratio Rank of COST is 8585
Martin Ratio Rank

XLP
The Risk-Adjusted Performance Rank of XLP is 6969
Overall Rank
The Sharpe Ratio Rank of XLP is 6868
Sharpe Ratio Rank
The Sortino Ratio Rank of XLP is 6565
Sortino Ratio Rank
The Omega Ratio Rank of XLP is 5959
Omega Ratio Rank
The Calmar Ratio Rank of XLP is 8383
Calmar Ratio Rank
The Martin Ratio Rank of XLP is 7171
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

COST vs. XLP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Costco Wholesale Corporation (COST) and Consumer Staples Select Sector SPDR Fund (XLP). 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.


The current COST Sharpe Ratio is 1.21, which is higher than the XLP Sharpe Ratio of 0.72. The chart below compares the historical Sharpe Ratios of COST and XLP, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

COST vs. XLP - Dividend Comparison

COST's dividend yield for the trailing twelve months is around 0.47%, less than XLP's 2.48% yield.


TTM20242023202220212020201920182017201620152014
COST
Costco Wholesale Corporation
0.47%0.49%2.87%0.76%0.54%3.38%0.86%1.08%4.81%1.09%4.06%0.97%
XLP
Consumer Staples Select Sector SPDR Fund
2.48%2.77%2.63%2.47%2.28%2.50%2.57%3.04%2.62%2.53%2.53%2.40%

Drawdowns

COST vs. XLP - Drawdown Comparison

The maximum COST drawdown since its inception was -53.39%, which is greater than XLP's maximum drawdown of -35.89%. Use the drawdown chart below to compare losses from any high point for COST and XLP.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

COST vs. XLP - Volatility Comparison

Costco Wholesale Corporation (COST) has a higher volatility of 4.26% compared to Consumer Staples Select Sector SPDR Fund (XLP) at 3.68%. This indicates that COST's price experiences larger fluctuations and is considered to be riskier than XLP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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