Description

Costco Wholesale Corporation - Common Stock

Statistics (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.'

Applying this definition to our asset in some examples:
  • The total return, or increase in value over 5 years of Costco Wholesale is 137%, which is greater, thus better compared to the benchmark SPY (59.9%) in the same period.
  • Compared with SPY (34.2%) in the period of the last 3 years, the total return, or performance of 76.2% is larger, thus better.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Which means for our asset as example:
  • Looking at the compounded annual growth rate (CAGR) of 18.8% in the last 5 years of Costco Wholesale, we see it is relatively greater, thus better in comparison to the benchmark SPY (9.8%)
  • Compared with SPY (10.3%) in the period of the last 3 years, the annual performance (CAGR) of 20.8% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the historical 30 days volatility of 21.3% of Costco Wholesale is higher, thus worse.
  • During the last 3 years, the volatility is 23.6%, which is greater, thus worse than the value of 21.5% from the benchmark.

DownVol:

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

Applying this definition to our asset in some examples:
  • The downside deviation over 5 years of Costco Wholesale is 14.6%, which is greater, thus worse compared to the benchmark SPY (13.6%) in the same period.
  • Looking at downside risk in of 16.2% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (15.7%).

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:
  • Compared with the benchmark SPY (0.39) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.77 of Costco Wholesale is greater, thus better.
  • Looking at risk / return profile (Sharpe) in of 0.77 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.36).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.54) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.12 of Costco Wholesale is larger, thus better.
  • Compared with SPY (0.5) in the period of the last 3 years, the downside risk / excess return profile of 1.13 is greater, 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.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Ratio of 7.07 in the last 5 years of Costco Wholesale, we see it is relatively greater, thus worse in comparison to the benchmark SPY (5.81 )
  • During the last 3 years, the Ulcer Index is 7.13 , which is higher, thus worse than the value of 6.86 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Applying this definition to our asset in some examples:
  • Looking at the maximum reduction from previous high of -22 days in the last 5 years of Costco Wholesale, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
  • During the last 3 years, the maximum reduction from previous high is -22 days, which is greater, thus better than the value of -33.7 days from the benchmark.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Which means for our asset as 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 time in days below previous high water mark is 137 days, which is smaller, thus better than the value of 139 days from the benchmark.

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. 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:
  • Looking at the average days under water of 42 days in the last 5 years of Costco Wholesale, we see it is relatively lower, thus better in comparison to the benchmark SPY (43 days)
  • Looking at average days under water in of 39 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (39 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • 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.