COST vs SPY: Stock Returns, Risk & Volatility (2026)

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 +27.1% vs COST +2.5%) and a higher Sharpe ratio (SPY 1.59 vs COST 0.01). On risk, SPY was less volatile (SPY 13.3% vs COST 18.8%), 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 -1.85% vs COST -2.81%).

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 (+2.5% vs +27.1%) with a Sharpe ratio of 1.59.

Total Return

COST +2.5%

SPY WIN +27.1%

Sharpe Ratio

COST 0.01

SPY WIN 1.59

Annualized Volatility

COST 18.8%

SPY WIN 13.3%

Max Drawdown

COST -19.3%

SPY WIN -9.1%

Analysis period: 2025-04-14 to 2026-04-10

COST Total Return

↑ +2.5%

SPY Total Return

↑ +27.1%

Relative Performance of COST vs SPY (Normalized to 100)

COST SPY

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: COST delivered a +2.5% total return, while SPY returned +27.1% over the same period. SPY outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): SPY had a higher Sharpe (1.59 vs 0.01), indicating better risk-adjusted performance.
Volatility (Annualized): COST was more volatile, with 18.8% annualized volatility, versus 13.3% 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 -1.79% and its Expected Shortfall (CVaR) was -2.81%; SPY's were -1.44% and -1.85%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: COST -0.14 vs SPY 0.01. Excess kurtosis: COST 1.11 vs SPY 1.93. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): COST 11/9, SPY 9/7. 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: 0.01 vs. SPY: 2.40 , Calmar - COST: 0.13 vs. SPY: 3.01 , Sterling - COST: -0.08 vs. SPY: N/A , Treynor - COST: 0.01 vs. SPY: 0.21 , Ulcer Index - COST: 9.72% vs. SPY: 2.02%

Costco vs S&P 500 Correlation

0.10 Average Correlation

Costco and S&P 500 are weakly correlated over the past year. With a correlation of 0.10, 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)	0.10
Minimum	-0.22
Maximum	0.57

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:

COST $10,251.36 +2.5%

SPY $12,712.48 +27.1%

Difference: $2,461.12 (SPY ahead)

Costco and S&P 500: 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.

S&P 500 experienced its maximum drawdown of -9.1% from 2026-01-27 to 2026-03-30. 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 SPY

COST Sharpe Ratio

↑ 0.01

SPY Sharpe Ratio

↑ 1.59

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. SPY had a higher Sharpe (1.59 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 SPY

COST Sortino Ratio

↑ 0.01

SPY Sortino Ratio

↑ 2.40

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 13.3% vs SPY 8.8%. 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

COST Calmar Ratio

↑ 0.13

SPY Calmar Ratio

↑ 3.01

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

COST Sterling Ratio

↓ -0.08

SPY Sterling Ratio

N/A

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). Sterling ratio data is not available for this comparison.

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

Treynor Ratio of COST and SPY

COST Treynor Ratio

↑ 0.01

SPY Treynor Ratio

↑ 0.21

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

COST Ulcer Index

9.72%

SPY Ulcer Index

2.02%

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.

Metric (1-Year)	COST	SPY
5% VaR (daily log return)	-1.79%	-1.44%
5% Expected Shortfall (CVaR)	-2.81% (worst 13 days)	-1.85% (worst 13 days)
Skew	-0.14	0.01
Excess kurtosis	1.11	1.93
2σ tail days (down / up)	11 / 9	9 / 7
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=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.

When SPY has a big down day, COST also does

11.1%

1 / 9 days

When COST has a big down day, SPY also does

9.1%

1 / 11 days

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)

Date (interval)	COST	SPY
2025-04-17 → 2025-04-21	-3.69%	-2.38%

Days when COST had a big down day

Date (interval)	COST	SPY
2025-04-17 → 2025-04-21	-3.69%	-2.38%
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
2025-04-16	-0.94%	-2.22%
2025-04-17 → 2025-04-21	-3.69%	-2.38%
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%
2026-01-16 → 2026-01-20	+0.07%	-2.04%
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.

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

COST Volatility

18.8%

±1.19% daily

SPY Volatility

13.3%

±0.84% daily

Typical daily swing

COST

±1.19%

SPY

±0.84%

Costco's annualized volatility of 18.8% means it typically moves ±1.19% on any given day.

S&P 500's annualized volatility of 13.3% means it typically moves ±0.84% on any given day.

COST's higher volatility means a wider path to returns — this can be attractive for tactical, shorter-term exposure, while SPY'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 S&P 500 Performance Over Time

Metric	COST	SPY
30 Days	0.6%	0.5%
90 Days	8.1%	-2.1%
180 Days	7.7%	4.4%
1 Year	2.5%	27.1%

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

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

Metric	COST	SPY
Total Return	+2.5%	+27.1%
Annualized Volatility	18.8%	13.3%
Sharpe Ratio	0.01	1.59
Sortino Ratio	0.01	2.40
Calmar Ratio	0.13	3.01
Sterling Ratio	-0.08	N/A
Treynor Ratio	0.01	0.21
Ulcer Index	9.72%	2.02%
Max Drawdown	-19.3%	-9.1%
Avg Correlation to S&P 500	0.08	1.00
5% VaR (daily log return)	-1.79%	-1.44%
5% Expected Shortfall (CVaR)	-2.81%	-1.85%
Skew	-0.14	0.01
Excess kurtosis	1.11	1.93
2σ tail days (down / up)	11 / 9	9 / 7

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; 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 2025-04-14 → 2026-04-10.

SPY: 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

SPY: ≈ -0.9%/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 18.8% annualized, compared to 13.3% 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 0.10. 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 -1.79% and its 5% Expected Shortfall was -2.81% (worst 13 days). SPY's were -1.44% and -1.85% (worst 13 days).

Do COST and SPY crash together on bad days?

On shared dates (n=248), when SPY has a 2σ down day, COST also does 11.1% (1/9 days). In the other direction, when COST has one, SPY also does 9.1% (1/11 days).

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

SPY showed better risk-adjusted performance with a Sharpe ratio of 1.59 versus COST's 0.01 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 (18.8%) 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)

Key Takeaways

Get more comparisons like this

Costco vs S&P 500 Correlation

Investment Comparison

Costco and S&P 500: Risk Analysis

Sharpe Ratio of COST and SPY

Sortino Ratio of COST and SPY

Calmar Ratio of COST and SPY

Sterling Ratio of COST and SPY

Treynor Ratio of COST and SPY

Ulcer Index of COST and SPY

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

Downside co-moves (2σ) — 1-Year

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

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

Costco vs S&P 500 Performance Over Time

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?