CMG vs. BJ

Last updated Jun 9, 2026

CMG (Chipotle Mexican Grill, Inc.) and BJ (BJ's Wholesale Club Holdings, Inc.) are both stocks. CMG operates in Restaurants (Consumer Cyclical), while BJ operates in Discount Stores (Consumer Defensive). Over the past 5 years, CMG returned 1.95%/yr vs 14.17%/yr for BJ. At a 0.20 correlation, their price movements are largely independent.

Performance

CMG vs. BJ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Chipotle Mexican Grill, Inc. (CMG) and BJ's Wholesale Club Holdings, Inc. (BJ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CMG achieves a -20.89% return, which is significantly lower than BJ's 1.75% return.

CMG

• 1D: -0.24%
• 1M: -9.91%
• YTD: -20.89%
• 6M: -12.91%
• 1Y: -44.25%
• 3Y*: -10.49%
• 5Y*: 1.95%
• 10Y*: 13.70%

BJ

• 1D: 2.69%
• 1M: -1.46%
• YTD: 1.75%
• 6M: 0.15%
• 1Y: -17.55%
• 3Y*: 13.72%
• 5Y*: 14.17%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

CMG vs. BJ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
CMG Chipotle Mexican Grill, Inc.	-20.89%	-38.64%	31.83%	64.83%	-20.64%	26.07%	65.65%	93.87%	-5.57%
BJ BJ's Wholesale Club Holdings, Inc.	1.75%	0.76%	34.04%	0.76%	-1.21%	79.64%	63.94%	2.62%	4.28%

Correlation

The correlation between CMG and BJ is 0.06, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.06
Correlation (3Y) Calculated over the trailing 3-year period	0.13
Correlation (5Y) Calculated over the trailing 5-year period	0.21
Correlation (All Time) Calculated using the full available price history since Jun 28, 2018	0.20

The correlation between CMG and BJ shifts across timeframes, from 0.06 (1 year) to 0.21 (5 years), reflecting how their relationship changes across market environments.

Fundamentals

Market Cap CMG : $38.11B BJ : $11.85B
EPS CMG : $1.09 BJ : $4.35
PE Ratio CMG : 26.77 BJ : 21.04
PEG Ratio CMG : 1.00 BJ : 2.33
PS Ratio CMG : 3.20 BJ : 0.55
PB Ratio CMG : 15.83 BJ : 4.72
Total Revenue (TTM) CMG : $12.14B BJ : $21.97B
Gross Profit (TTM) CMG : $4.39B BJ : $4.06B
EBITDA (TTM) CMG : $2.30B BJ : $1.05B

Return for Risk

CMG vs. BJ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CMG

CMG Risk / Return Rank: 7
CMG Sharpe Ratio Rank: 3
CMG Sortino Ratio Rank: 5
CMG Omega Ratio Rank: 4
CMG Calmar Ratio Rank: 8
CMG Martin Ratio Rank: 13

BJ

BJ Risk / Return Rank: 18
BJ Sharpe Ratio Rank: 16
BJ Sortino Ratio Rank: 17
BJ Omega Ratio Rank: 18
BJ Calmar Ratio Rank: 18
BJ Martin Ratio Rank: 20

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CMG vs. BJ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Chipotle Mexican Grill, Inc. (CMG) and BJ's Wholesale Club Holdings, Inc. (BJ). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	CMG	BJ	Difference
Sharpe ratio: Return per unit of total volatility	-1.16	-0.60	-0.56
Sortino ratio: Return per unit of downside risk	-1.61	-0.68	-0.94
Omega ratio: Gain probability vs. loss probability	0.78	0.92	-0.14
Calmar ratio: Return relative to maximum drawdown	-0.86	-0.66	-0.20
Martin ratio: Return relative to average drawdown	-1.27	-1.06	-0.21
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CMG vs. BJ - Sharpe Ratio Comparison

The current CMG Sharpe Ratio is -1.16, which is lower than the BJ Sharpe Ratio of -0.60. The chart below compares the historical Sharpe Ratios of CMG and BJ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	CMG	BJ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-1.16	-0.60	-0.56
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.06	0.44	-0.38
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.39	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.49	0.53	-0.04

Drawdowns

CMG vs. BJ - Drawdown Comparison

The maximum CMG drawdown since its inception was -74.61%, which is greater than BJ's maximum drawdown of -38.76%. Use the drawdown chart below to compare losses from any high point for CMG and BJ.

Drawdown Indicators

	CMG	BJ	Difference
Max Drawdown Largest peak-to-trough decline	-74.61%	-38.76%	-35.85%
Max Drawdown (1Y) Largest decline over 1 year	-51.61%	-26.66%	-24.95%
Max Drawdown (3Y) Largest decline over 3 years	-58.89%	-29.80%	-29.09%
Max Drawdown (5Y) Largest decline over 5 years	-58.89%	-29.80%	-29.09%
Max Drawdown (10Y) Largest decline over 10 years	-58.89%	—	—
Current Drawdown Current decline from peak	-57.30%	-23.62%	-33.68%
Average Drawdown Average peak-to-trough decline	-21.35%	-12.47%	-8.88%
Ulcer Index Depth and duration of drawdowns from previous peaks	34.91%	16.55%	+18.36%

Volatility

CMG vs. BJ - Volatility Comparison

The current volatility for Chipotle Mexican Grill, Inc. (CMG) is 10.05%, while BJ's Wholesale Club Holdings, Inc. (BJ) has a volatility of 11.66%. This indicates that CMG experiences smaller price fluctuations and is considered to be less risky than BJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CMG	BJ	Difference
Volatility (1M) Calculated over the trailing 1-month period	10.05%	11.66%	-1.61%
Volatility (6M) Calculated over the trailing 6-month period	23.36%	22.41%	+0.95%
Volatility (1Y) Calculated over the trailing 1-year period	38.50%	29.57%	+8.93%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	33.55%	32.27%	+1.28%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	35.63%	37.14%	-1.51%

Dividends

CMG vs. BJ - Dividend Comparison

Neither CMG nor BJ has paid dividends to shareholders.

Tickers have no history of dividend payments

Financials

CMG vs. BJ - Profitability Comparison

The chart below illustrates the profitability comparison between Chipotle Mexican Grill, Inc. and BJ's Wholesale Club Holdings, Inc. over time, highlighting three key metrics: Gross Profit Margin, Operating Margin, and Net Profit Margin.

CMG - Gross Margin

Gross margin is calculated as gross profit divided by revenue. For the three months ending on Jun 2026, Chipotle Mexican Grill, Inc. reported a gross profit of 2.11B and revenue of 3.09B. Therefore, the gross margin over that period was 68.4%.

BJ - Gross Margin

Gross margin is calculated as gross profit divided by revenue. For the three months ending on Jun 2026, BJ's Wholesale Club Holdings, Inc. reported a gross profit of 1.03B and revenue of 5.66B. Therefore, the gross margin over that period was 18.2%.

CMG - Operating Margin

Operating margin is calculated as operating income divided by revenue. For the three months ending on Jun 2026, Chipotle Mexican Grill, Inc. reported an operating income of 397.06M and revenue of 3.09B, resulting in an operating margin of 12.9%.

BJ - Operating Margin

Operating margin is calculated as operating income divided by revenue. For the three months ending on Jun 2026, BJ's Wholesale Club Holdings, Inc. reported an operating income of 207.91M and revenue of 5.66B, resulting in an operating margin of 3.7%.

CMG - Net Margin

Net margin is calculated as net income divided by revenue. For the three months ending on Jun 2026, Chipotle Mexican Grill, Inc. reported a net income of 302.82M and revenue of 3.09B, resulting in a net margin of 9.8%.

BJ - Net Margin

Net margin is calculated as net income divided by revenue. For the three months ending on Jun 2026, BJ's Wholesale Club Holdings, Inc. reported a net income of 142.73M and revenue of 5.66B, resulting in a net margin of 2.5%.

Frequently Asked Questions

Can I hold both CMG and BJ in my portfolio?

CMG and BJ have a correlation of 0.06, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CMG or BJ?

BJ has higher volatility (11.66%) compared to CMG (10.05%). In terms of maximum drawdown, CMG dropped -74.61% vs BJ's -38.76%.

Which has better risk-adjusted returns?

BJ currently has the higher Sharpe Ratio (-0.60 vs -1.16), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.