Costco vs S&P 500 (COST vs SPY) 2026: Stock Returns, Risk & Volatility

Q: Which is a better investment: COST or SPY?

Over the past year, SPY looks like the better investment: it had higher total return (SPY +29.8% vs COST +4.4%) and a higher Sharpe ratio (SPY 1.84 vs COST 0.10). On risk, SPY was less volatile (SPY 12.5% vs COST 18.3%), SPY had a smaller max drawdown (SPY -9.1% vs COST -19.3%), and SPY had less severe losses on the worst 5% of days (Expected Shortfall of SPY -1.70% vs COST -2.65%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: COST or SPY?

Over the past year, SPY outperformed COST. SPY returned +29.8% compared with COST’s +4.4%. SPY had the better risk-adjusted return, with a Sharpe ratio of 1.84 versus COST’s 0.10. SPY was less volatile than COST, and SPY had a smaller max drawdown than COST.

Total Return

COST +4.4%

SPY +29.8%

Sharpe Ratio

COST 0.10

SPY 1.84

Annualized Volatility

COST 18.3%

SPY 12.5%

Max Drawdown

COST -19.3%

SPY -9.1%

Metric winners: Total Return: SPY; Sharpe Ratio: SPY; Annualized Volatility: SPY (less volatile); Max Drawdown: SPY (smaller drawdown).

COST Total Return

↑ +4.4%

SPY Total Return

↑ +29.8%

Relative Performance of COST vs SPY (Normalized to 100)

COST SPY

Normalized to 100 at start date for comparison

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Key Takeaways

Total Return: COST delivered a +4.4% total return, while SPY returned +29.8% over the same period. SPY outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): SPY had a higher Sharpe (1.84 vs 0.10), indicating better risk-adjusted performance.
Volatility (Annualized): COST was more volatile, with 18.3% annualized volatility, versus 12.5% for SPY.
Maximum Drawdown: SPY's maximum drawdown was -9.1%, while COST experienced a deeper drawdown of -19.3%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), COST's VaR was -1.78% and its Expected Shortfall (CVaR) was -2.65%; SPY's were -1.32% and -1.70%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: COST -0.11 vs SPY 0.03. Excess kurtosis: COST 1.02 vs SPY 1.96. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): COST 10/8, SPY 10/5. Worst day: COST -3.89% (2025-06-05) vs SPY -2.70% (2025-10-10). Best day: COST +3.71% (2026-01-08) vs SPY +3.30% (2025-05-12).
Risk ratios: Sortino - COST: 0.14 vs. SPY: 2.82 , Calmar - COST: 0.23 vs. SPY: 3.28 , Sterling - COST: 0.01 vs. SPY: No 10% drawdown , Treynor - COST: 0.14 vs. SPY: 0.23 , Ulcer Index - COST: 9.76% vs. SPY: 1.98%

Investment Comparison

If you invested $10,000 in each asset on April 25, 2025:

COST $10,437.73 +4.4%

SPY $12,977.57 +29.8%

Difference: $2,539.84 (SPY ahead)

Costco vs S&P 500 Performance Over Time

Metric	COST	SPY
30 Days	4.2%	8.5%
90 Days	3.3%	2.8%
180 Days	9.1%	4.9%
1 Year	4.4%	29.8%

Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.

Costco vs S&P 500 Correlation

Average Correlation

weakly correlated

0.08

Current (30-day) 0.01

30-day rolling range -0.22 to +0.45

Costco and S&P 500 are weakly correlated over the past year. With a correlation of 0.08, these assets show meaningful independence, offering diversification benefits when held together.

For portfolio construction, this weak correlation suggests that combining COST and SPY could reduce overall portfolio variance. However, correlations can increase during market stress.

Metric	Value
Current (30-day)	0.01
Average (full period)	0.08
Minimum (30-day rolling)	-0.22
Maximum (30-day rolling)	0.45

Correlation measures how closely two assets move together. Values near +1 indicate strong co-movement, near 0 indicates independence, and negative values indicate inverse movement. Current, minimum, and maximum figures are 30-day rolling correlations on shared daily returns.

Drawdown

Maximum Drawdown

COST

-19.3%

SPY

-9.1%

Costco experienced its maximum drawdown of -19.3% from 2025-06-02 to 2025-12-22. It has not yet recovered to its previous peak.

S&P 500 experienced its maximum drawdown of -9.1% from 2026-01-27 to 2026-03-30. It took 16 days to recover.

Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.

Costco vs S&P 500 Volatility (COST vs SPY)

COST Volatility

18.3%

±1.15% 1-day vol

SPY Volatility

12.5%

±0.79% 1-day vol

1-day volatility (1σ)

COST

±1.15%

SPY

±0.79%

Costco's 18.3% annualized volatility translates to about ±1.15% one-standard-deviation daily volatility.

S&P 500's 12.5% annualized volatility translates to about ±0.79% one-standard-deviation daily volatility.

COST had the wider volatility profile over this window. That means its day-to-day return distribution was broader; SPY was calmer, but lower volatility does not by itself mean better returns.

Treat the ± daily figure as a one-standard-deviation estimate from historical returns, not a forecast or expected absolute daily move. For context, 15-18% annualized volatility is roughly ±1% one-standard-deviation daily volatility.

Risk-adjusted ratios

Sharpe Ratio of COST and SPY

Sharpe Ratio: COST vs. SPY

Return per total volatility

Sharpe gives us excess return per unit of risk. Upside and downside volatility both count as risk.

Higher is better

excess return / total volatility

Formula

\displaystyle \mathrm{Sharpe} = \frac{\mathbb{E}[R] - R_f}{\sigma_R}

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. SPY had a higher Sharpe (1.84 vs 0.10), indicating better risk-adjusted performance.

A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Sortino Ratio of COST and SPY

Sortino Ratio: COST vs. SPY

Return per downside volatility

Sortino keeps the return-over-risk idea, but only returns below the target rate count as volatility.

Higher is better

excess return / downside volatility

Formula

\displaystyle \mathrm{Sortino} = \frac{\mathbb{E}[R] - R_f}{\sigma_{\mathrm{down}}}

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). SPY had better downside-adjusted returns.

A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Downside deviation: COST 12.8% vs SPY 8.1%. Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Calmar Ratio of COST and SPY

Calmar Ratio: COST vs. SPY

CAGR per worst drawdown

Calmar compares CAGR against the single deepest peak-to-trough loss over the period.

Higher is better

CAGR / max drawdown

Formula

\displaystyle \mathrm{Calmar} = \frac{\mathrm{CAGR}}{|\mathrm{MaxDD}|}

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. SPY posted the higher Calmar ratio.

Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.

Sterling Ratio of COST and SPY

Sterling Ratio: COST vs. SPY

Return per average drawdown

Sterling smooths the drawdown penalty by using average drawdown events instead of only the worst one.

Higher is better

excess annual return / average deep drawdown

Formula

\displaystyle \mathrm{Sterling} = \frac{\mathrm{CAGR} - R_f}{\overline{D}_{>10\%}}

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). SPY had no 10% drawdown in this lookback, so Sterling is not calculated.

Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.

Treynor Ratio of COST and SPY

Treynor Ratio: COST vs. SPY

Excess return per market beta

Treynor divides excess annualized return by beta — the sensitivity of the asset to broad-market moves. The slope shown is each asset’s beta vs SPY.

Higher is better

excess return / market beta

Formula

\displaystyle \mathrm{Treynor} = \frac{\mathbb{E}[R] - R_f}{\beta}

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. SPY posted the higher Treynor ratio.

Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.

Ulcer Index of COST and SPY

Ulcer Index: COST vs. SPY

Drawdown pain

Ulcer Index is a risk index, not a return-over-risk ratio. Lower means smaller and shorter drawdowns.

Lower is better

root-mean-square drawdown

Formula

\displaystyle \mathrm{UI} = \sqrt{\mathbb{E}[D_t^2]}

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. SPY had the lower Ulcer Index (less drawdown pain).

Ulcer Index is computed from each asset's drawdown series over the full lookback window.

Tail Risk & Distribution Shape (1-Year): Costco vs. S&P 500

This section looks at the shape of daily returns, not just the average. Tail stats are computed per asset on its own daily series (crypto includes weekends). We use daily log returns $\ln\left(\frac{P_t}{P_{t-1}}\right)$ so multi-day moves add cleanly.

Definitions: Value at Risk (VaR), Expected Shortfall, skew, kurtosis, and fat tails.

Tail Risk & Distribution Shape: COST vs. SPY (1-Year)

Actual daily return tails

The bars are real daily log-return observations from the article window. Darker bars are observations at or beyond each asset’s 5% VaR cutoff.

Observed returns

VaR marks the 5th percentile loss cutoff; Expected Shortfall averages the observations beyond that cutoff.

Formula

\displaystyle \mathrm{VaR}_{5\%}=Q_{0.05}(r_t),\quad \mathrm{ES}_{5\%}=\mathbb{E}[r_t\mid r_t\le \mathrm{VaR}_{5\%}]

Metric (1-Year)	COST	SPY
5% VaR (daily log return)	-1.78%	-1.32%
5% Expected Shortfall (CVaR)	-2.65% (worst 13 days)	-1.70% (worst 13 days)
Skew	-0.11	0.03
Excess kurtosis	1.02	1.96
2σ tail days (down / up)	10 / 8	10 / 5
Worst day	-3.89% (2025-06-05)	-2.70% (2025-10-10)
Best day	+3.71% (2026-01-08)	+3.30% (2025-05-12)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=249). A “2σ downside move” means a shared-close log return more than 2 standard deviations below that asset’s own mean on this shared-date series. Dates below show simple returns (%) for readability.

Downside co-move map: COST vs. SPY (2σ)

Shared-close daily returns

Dots mark actual downside days: asset-colored dots are one-sided downside moves, and red dots are joint downside days. Grey dots add sampled shared-return context when available. The shaded lower-left zone shows where both COST and SPY crossed their own 2σ downside threshold.

2σ

Show downside tail dates

Dates below are shared-date observations. The “Date” is the period end (close). Tail thresholds are computed on log returns, but the table shows simple returns (%) for readability. Returns are computed from the previous shared close to this one (for example, Friday → Monday includes weekend moves).

Days when both COST and SPY had a big down day (2σ)

None in this window.

Days when COST had a big down day

Date (interval)	COST	SPY
2025-06-05	-3.89%	-0.48%
2025-08-21	-2.50%	-0.40%
2025-09-10	-2.34%	+0.29%
2025-09-26	-2.90%	+0.57%
2025-10-16	-3.08%	-0.68%
2025-12-04	-2.86%	+0.07%
2025-12-12 → 2025-12-15	-2.70%	-0.15%
2026-02-10	-2.64%	-0.26%
2026-03-05	-2.40%	-0.56%
2026-04-10	-3.25%	-0.07%

Days when SPY had a big down day

Date (interval)	COST	SPY
2025-05-21	-1.11%	-1.69%
2025-08-01	+1.51%	-1.64%
2025-10-10	-1.37%	-2.70%
2025-11-13	+1.21%	-1.66%
2025-11-20	+0.30%	-1.52%
2026-01-16 → 2026-01-20	+0.07%	-2.04%
2026-02-12	+2.12%	-1.54%
2026-03-12	+1.12%	-1.52%
2026-03-26	+0.49%	-1.79%
2026-03-27	+0.43%	-1.71%

Read this as “how ugly the ugly days get”, not as a precise forecast. One-year samples are small, so tail estimates are inherently noisy.

Full Comparison of Costco vs. S&P 500 (1-Year)

Metric	COST	SPY
Total Return	+4.4%	+29.8%
Annualized Volatility	18.3%	12.5%
Sharpe Ratio	0.10	1.84
Sortino Ratio	0.14	2.82
Calmar Ratio	0.23	3.28
Sterling Ratio	0.01	No 10% drawdown
Treynor Ratio	0.14	0.23
Ulcer Index	9.76%	1.98%
Max Drawdown	-19.3%	-9.1%
Avg Correlation to S&P 500	0.07	1.00
5% VaR (daily log return)	-1.78%	-1.32%
5% Expected Shortfall (CVaR)	-2.65%	-1.70%
Skew	-0.11	0.03
Excess kurtosis	1.02	1.96
2σ tail days (down / up)	10 / 8	10 / 5

Audit this calculation

Formulas, inputs, and conventions used to compute the metrics on this page.

Inputs & conventions

Shared window for pair metrics: 2025-04-25 → 2026-04-23 (last shared close).
Rolling correlation sample (shared closes): 220 rolling 30-day values (from 249 shared daily returns).
Annualization (days/year): COST: 252 days/year; SPY: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

COST: 4.17% over 2025-04-25 → 2026-04-23.

SPY: 4.17% over 2025-04-25 → 2026-04-23.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

COST: ≈ -1.7%/yr

SPY: ≈ -0.8%/yr
Data alignment: No forward fill. Correlation and tail co-moves are computed on shared closes only.
For cross-calendar pairs (e.g., crypto vs stocks), weekend/holiday moves roll into the next shared close.
Return conventions: Volatility/Sharpe/Sortino use simple daily returns. Tail-risk uses daily log returns for distribution stats (but tables show simple returns). Log returns.

Formulas

Daily simple return

r_t = \frac{P_t}{P_{t-1}} - 1

Volatility

\sigma_{ann} = \sigma(r_t)\sqrt{A}

Volatility drag (approx.)

\text{drag} \approx \tfrac{1}{2}\sigma_{ann}^2

Sharpe Ratio

S = \frac{A\,\bar{r} - r_f}{\sigma(r_t)\sqrt{A}}

Sortino Ratio

So = \frac{A\,\bar{r} - r_f}{\sqrt{\mathbb{E}[\min(0,\,r_t - r_f/A)^2]}\,\sqrt{A}}

Maximum Drawdown

MDD = \min_t\left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)

Average Correlation

\rho = \frac{\operatorname{cov}(r^A,\,r^B)}{\sigma_A\,\sigma_B}

Log returns

\ell_t = \ln\left(\frac{P_t}{P_{t-1}}\right)

Notation

$P_t$: Price on day t.
$r_t$: Simple daily return.
$\ell_t$: Log daily return.
$\bar{r}$: Average daily return.
$\sigma(r_t)$: Standard deviation of daily returns.
$A$: Annualization factor (days/year).
$r_f$: Annual risk-free rate.

Costco vs S&P 500: Frequently Asked Questions

Which has higher volatility: COST or SPY?

COST showed higher volatility at 18.3% annualized, compared to 12.5% for SPY Over the past year. Higher volatility means larger price swings in both directions.

Does COST provide diversification when held with SPY?

COST and SPY are weakly correlated over the past year, with an average correlation of 0.08. This weak correlation suggests meaningful diversification benefits when held together.

How bad are the worst 5% days for COST vs SPY?

Over the past year, COST's 5% VaR was -1.78% and its 5% Expected Shortfall was -2.65% (worst 13 days). SPY's were -1.32% and -1.70% (worst 13 days).

Do COST and SPY crash together on bad days?

On shared dates (n=249), when SPY has a 2σ down day, COST also does 0.0% (0/10 days). In the other direction, when COST has one, SPY also does 0.0% (0/10 days).

Which has better risk-adjusted returns: COST or SPY?

SPY showed better risk-adjusted performance with a Sharpe ratio of 1.84 versus COST's 0.10 Over the past year.

Can COST and SPY be combined in a portfolio?

Yes, though allocation sizing matters. Their weak correlation could meaningfully reduce overall portfolio variance. COST's higher volatility (18.3%) means even small allocations can materially impact overall portfolio risk.

Explore our financial glossary

Which is a better investment: COST or SPY?

Share This Comparison of COST vs SPY

Relative Performance of COST vs SPY (Normalized to 100)

Trade COST or SPY

Key Takeaways

Investment Comparison

Costco vs S&P 500 Performance Over Time

Costco vs S&P 500 Correlation

Drawdown

Costco vs S&P 500 Volatility (COST vs SPY)

Risk-adjusted ratios

Sharpe Ratio of COST and SPY

Sharpe Ratio: COST vs. SPY

Sortino Ratio of COST and SPY

Sortino Ratio: COST vs. SPY

Calmar Ratio of COST and SPY

Calmar Ratio: COST vs. SPY

Sterling Ratio of COST and SPY

Sterling Ratio: COST vs. SPY

Treynor Ratio of COST and SPY

Treynor Ratio: COST vs. SPY

Ulcer Index of COST and SPY

Ulcer Index: COST vs. SPY

Tail Risk & Distribution Shape (1-Year): Costco vs. S&P 500

Tail Risk & Distribution Shape: COST vs. SPY (1-Year)

Downside co-moves (2σ) — 1-Year

Downside co-move map: COST vs. SPY (2σ)

Days when both COST and SPY had a big down day (2σ)

Days when COST had a big down day

Days when SPY had a big down day

Full Comparison of Costco vs. S&P 500 (1-Year)

Inputs & conventions

Formulas

Costco vs S&P 500: Frequently Asked Questions

Which has higher volatility: COST or SPY?

Does COST provide diversification when held with SPY?

How bad are the worst 5% days for COST vs SPY?

Do COST and SPY crash together on bad days?

Which has better risk-adjusted returns: COST or SPY?

Can COST and SPY be combined in a portfolio?