Which is a better investment: COST or AMZN?
Over the past year, AMZN outperformed (+2.5% vs +30.9%) with a Sharpe ratio of 0.89.
Cite This Comparison
"Costco vs Amazon (COST vs AMZN): Returns, Risk & Volatility (2026)." Gale Finance, April 10, 2026. https://www.gale.finance/compare/cost-vs-amzn/ Free to use with attribution. Please link back to this page or gale.finance.
Analysis period: 2025-04-14 to 2026-04-10
Relative Performance of COST vs AMZN (Normalized to 100)
Normalized to 100 at start date for comparison
Key Takeaways
- Total Return: COST delivered a +2.5% total return, while AMZN returned +30.9% over the same period. AMZN outperformed on total returns.
- Risk-Adjusted Return (Sharpe Ratio): AMZN had a higher Sharpe (0.89 vs 0.01), indicating better risk-adjusted performance.
- Volatility (Annualized): AMZN was more volatile, with 31.5% annualized volatility, versus 18.8% for COST.
- Maximum Drawdown: COST's maximum drawdown was -19.3%, while AMZN experienced a deeper drawdown of -21.7%.
- Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), COST's VaR was -1.79% and its Expected Shortfall (CVaR) was -2.81%; AMZN's were -2.90% and -4.21%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
- Skew & Kurtosis: Skew: COST -0.14 vs AMZN 0.17. Excess kurtosis: COST 1.11 vs AMZN 3.37. Negative skew leans downside; higher excess kurtosis means fatter tails.
- Tail Days & Extremes: 2σ tail days (down/up): COST 11/9, AMZN 6/5. Worst day: COST -3.89% (2025-06-05) vs AMZN -8.27% (2025-08-01). Best day: COST +3.71% (2026-01-08) vs AMZN +9.58% (2025-10-31).
- Risk ratios: Sortino - COST: 0.01 vs. AMZN: 1.36 , Calmar - COST: 0.13 vs. AMZN: 1.44 , Sterling - COST: -0.08 vs. AMZN: 1.68 , Treynor - COST: 0.01 vs. AMZN: 0.19 , Ulcer Index - COST: 9.72% vs. AMZN: 9.06%
Costco vs Amazon Correlation
Costco and Amazon are weakly correlated over the past year. With a correlation of 0.05, these assets show meaningful independence, offering diversification benefits when held together.
For portfolio construction, this weak correlation suggests that combining COST and AMZN could reduce overall portfolio variance. However, correlations can increase during market stress.
| Metric | Value |
|---|---|
| Current (30-day) | -0.11 |
| Average (full period) | 0.05 |
| Minimum | -0.36 |
| Maximum | 0.52 |
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.
Investment Comparison
If you invested $10,000 in each asset on April 14, 2025:
Difference: $2,837.81 (AMZN ahead)
Costco and Amazon: Risk Analysis
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.
Amazon experienced its maximum drawdown of -21.7% from 2025-11-03 to 2026-02-13. It has not yet recovered to its previous peak.
Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.
Sharpe Ratio of COST and AMZN
Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. AMZN had a higher Sharpe (0.89 vs 0.01), 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 AMZN
Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). AMZN 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 13.3% vs AMZN 20.7%. 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 AMZN
Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. AMZN 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 AMZN
Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). AMZN posted the higher Sterling ratio.
Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.
Treynor Ratio of COST and AMZN
Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. AMZN 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 AMZN
Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. AMZN 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. Amazon
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 so multi-day moves add cleanly.
Definitions: Value at Risk (VaR), Expected Shortfall, skew, kurtosis, and fat tails.
| Metric (1-Year) | COST | AMZN |
|---|---|---|
| 5% VaR (daily log return) | -1.79% | -2.90% |
| 5% Expected Shortfall (CVaR) | -2.81% (worst 13 days) | -4.21% (worst 13 days) |
| Skew | -0.14 | 0.17 |
| Excess kurtosis | 1.11 | 3.37 |
| 2σ tail days (down / up) | 11 / 9 | 6 / 5 |
| Worst day | -3.89% (2025-06-05) | -8.27% (2025-08-01) |
| Best day | +3.71% (2026-01-08) | +9.58% (2025-10-31) |
Downside co-moves (2σ) — 1-Year
Computed on shared dates only (n=248). 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.
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 AMZN had a big down day (2σ)
None in this window.
Days when COST had a big down day
| Date (interval) | COST | AMZN |
|---|---|---|
| 2025-04-17 → 2025-04-21 | -3.69% | -3.06% |
| 2025-06-05 | -3.89% | +0.33% |
| 2025-08-21 | -2.50% | -0.83% |
| 2025-09-10 | -2.34% | -3.32% |
| 2025-09-26 | -2.90% | +0.75% |
| 2025-10-16 | -3.08% | -0.51% |
| 2025-12-04 | -2.86% | -1.41% |
| 2025-12-12 → 2025-12-15 | -2.70% | -1.61% |
| 2026-02-10 | -2.64% | -0.84% |
| 2026-03-05 | -2.40% | +0.98% |
| 2026-04-10 | -3.25% | +2.02% |
Days when AMZN had a big down day
| Date (interval) | COST | AMZN |
|---|---|---|
| 2025-08-01 | +1.51% | -8.27% |
| 2025-10-10 | -1.37% | -4.99% |
| 2025-11-18 | -1.92% | -4.43% |
| 2026-02-05 | +1.12% | -4.42% |
| 2026-02-06 | +1.20% | -5.55% |
| 2026-03-27 | +0.43% | -3.95% |
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.
Costco vs Amazon Volatility (COST vs AMZN)
Costco's annualized volatility of 18.8% means it typically moves ±1.19% on any given day.
Amazon's annualized volatility of 31.5% means it typically moves ±1.99% on any given day.
AMZN's higher volatility means a wider path to returns — this can be attractive for tactical, shorter-term exposure, while COST's smoother profile may better suit long-term allocators seeking steadier growth.
For comparison, the S&P 500 typically has 15-18% annualized volatility, translating to roughly ±1% daily moves. Higher volatility means larger potential gains but also larger potential losses.
Costco vs Amazon Performance Over Time
| Metric | COST | AMZN |
|---|---|---|
| 30 Days | 0.6% | 12.1% |
| 90 Days | 8.1% | -3.6% |
| 180 Days | 7.7% | 10.2% |
| 1 Year | 2.5% | 30.9% |
Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.
Full Comparison of Costco vs. Amazon (1-Year)
| Metric | COST | AMZN |
|---|---|---|
| Total Return | +2.5% | +30.9% |
| Annualized Volatility | 18.8% | 31.5% |
| Sharpe Ratio | 0.01 | 0.89 |
| Sortino Ratio | 0.01 | 1.36 |
| Calmar Ratio | 0.13 | 1.44 |
| Sterling Ratio | -0.08 | 1.68 |
| Treynor Ratio | 0.01 | 0.19 |
| Ulcer Index | 9.72% | 9.06% |
| Max Drawdown | -19.3% | -21.7% |
| Avg Correlation to S&P 500 | 0.08 | 0.58 |
| 5% VaR (daily log return) | -1.79% | -2.90% |
| 5% Expected Shortfall (CVaR) | -2.81% | -4.21% |
| Skew | -0.14 | 0.17 |
| Excess kurtosis | 1.11 | 3.37 |
| 2σ tail days (down / up) | 11 / 9 | 6 / 5 |
Audit this calculation
Formulas, inputs, and conventions used to compute the metrics on this page.
Inputs & conventions
- Shared window for pair metrics
- 2025-04-14 → 2026-04-10 (last shared close).
- Rolling correlation sample (shared closes)
- 219 rolling 30-day values (from 248 shared daily returns).
- Annualization (days/year)
- COST: 252 days/year; AMZN: 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 2025-04-14 → 2026-04-10.
- AMZN: 4.17% over 2025-04-14 → 2026-04-10.
- Volatility drag (rule of thumb)
- Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.
- COST: ≈ -1.8%/yr
- AMZN: ≈ -5.0%/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
- Price on day t.
- Simple daily return.
- Log daily return.
- Average daily return.
- Standard deviation of daily returns.
- Annualization factor (days/year).
- Annual risk-free rate.
Costco vs Amazon: Frequently Asked Questions
Which has higher volatility: COST or AMZN?
AMZN showed higher volatility at 31.5% annualized, compared to 18.8% for COST Over the past year. Higher volatility means larger price swings in both directions.
Does COST provide diversification when held with AMZN?
COST and AMZN are weakly correlated over the past year, with an average correlation of 0.05. This weak correlation suggests meaningful diversification benefits when held together.
How bad are the worst 5% days for COST vs AMZN?
Over the past year, COST's 5% VaR was -1.79% and its 5% Expected Shortfall was -2.81% (worst 13 days). AMZN's were -2.90% and -4.21% (worst 13 days).
Do COST and AMZN crash together on bad days?
On shared dates (n=248), when AMZN has a 2σ down day, COST also does 0.0% (0/6 days). In the other direction, when COST has one, AMZN also does 0.0% (0/11 days).
Which has better risk-adjusted returns: COST or AMZN?
AMZN showed better risk-adjusted performance with a Sharpe ratio of 0.89 versus COST's 0.01 Over the past year.
Can COST and AMZN be combined in a portfolio?
Yes, though allocation sizing matters. Their weak correlation could meaningfully reduce overall portfolio variance. AMZN's higher volatility (31.5%) means even small allocations can materially impact overall portfolio risk.