Description of Costco Wholesale

Costco Wholesale Corporation - Common Stock

Statistics of Costco Wholesale (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Which means for our asset as example:
  • Looking at the total return, or performance of 149.8% in the last 5 years of Costco Wholesale, we see it is relatively greater, thus better in comparison to the benchmark SPY (67.1%)
  • During the last 3 years, the total return, or increase in value is 116.5%, which is greater, thus better than the value of 51.3% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Which means for our asset as example:
  • Compared with the benchmark SPY (10.8%) in the period of the last 5 years, the annual performance (CAGR) of 20.1% of Costco Wholesale is larger, thus better.
  • Compared with SPY (14.8%) in the period of the last 3 years, the annual return (CAGR) of 29.5% is higher, thus better.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Which means for our asset as example:
  • The historical 30 days volatility over 5 years of Costco Wholesale is 18.7%, which is greater, thus worse compared to the benchmark SPY (13.5%) in the same period.
  • Compared with SPY (12.8%) in the period of the last 3 years, the volatility of 19.3% is higher, thus worse.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Using this definition on our asset we see for example:
  • The downside risk over 5 years of Costco Wholesale is 20.6%, which is higher, thus worse compared to the benchmark SPY (14.8%) in the same period.
  • Looking at downside deviation in of 22.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (14.7%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Applying this definition to our asset in some examples:
  • Looking at the Sharpe Ratio of 0.94 in the last 5 years of Costco Wholesale, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.62)
  • Looking at risk / return profile (Sharpe) in of 1.39 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.96).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.56) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.86 of Costco Wholesale is greater, thus better.
  • Compared with SPY (0.84) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.2 is higher, thus better.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (3.99 ) in the period of the last 5 years, the Ulcer Ratio of 7.13 of Costco Wholesale is higher, thus worse.
  • Compared with SPY (4.1 ) in the period of the last 3 years, the Ulcer Ratio of 6.87 is larger, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of -22 days of Costco Wholesale is smaller, thus worse.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -22 days is smaller, thus worse.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 152 days of Costco Wholesale is lower, thus better.
  • During the last 3 years, the maximum days under water is 137 days, which is smaller, thus better than the value of 139 days from the benchmark.

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Using this definition on our asset we see for example:
  • The average days under water over 5 years of Costco Wholesale is 47 days, which is greater, thus worse compared to the benchmark SPY (42 days) in the same period.
  • During the last 3 years, the average days under water is 36 days, which is larger, thus worse than the value of 36 days from the benchmark.

Performance of Costco Wholesale (YTD)

Historical returns have been extended using synthetic data.

Allocations of Costco Wholesale
()

Allocations

Returns of Costco Wholesale (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Costco Wholesale are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.