FDT vs. M

Last updated Jun 16, 2026

FDT (First Trust Developed Markets ex-US AlphaDEX Fund) is Foreign Large Cap Equities fund tracking the NASDAQ AlphaDEX DM Ex-US Index, while M (Macy's, Inc.) is a stock. Over the past 10 years, FDT returned 11.35%/yr vs 1.41%/yr for M. At a 0.35 correlation, their price movements are largely independent.

Performance

FDT vs. M - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Developed Markets ex-US AlphaDEX Fund (FDT) and Macy's, Inc. (M). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FDT achieves a 26.48% return, which is significantly higher than M's 14.05% return. Over the past 10 years, FDT has outperformed M with an annualized return of 11.35%, while M has yielded a comparatively lower 1.41% annualized return.

FDT

• 1D: 2.64%
• 1M: 3.53%
• YTD: 26.48%
• 6M: 26.98%
• 1Y: 53.96%
• 3Y*: 28.59%
• 5Y*: 13.14%
• 10Y*: 11.35%

M

• 1D: -1.98%
• 1M: 35.08%
• YTD: 14.05%
• 6M: 5.49%
• 1Y: 127.89%
• 3Y*: 21.01%
• 5Y*: 9.92%
• 10Y*: 1.41%

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

FDT vs. M - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FDT First Trust Developed Markets ex-US AlphaDEX Fund	26.48%	52.21%	6.97%	15.03%	-19.51%	11.43%	4.29%	16.82%	-19.98%	34.42%
M Macy's, Inc.	14.05%	36.55%	-12.41%	1.64%	-18.66%	135.80%	-31.08%	-38.20%	23.64%	-25.29%

Correlation

The correlation between FDT and M is 0.26, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.26
Correlation (3Y) Calculated over the trailing 3-year period	0.31
Correlation (5Y) Calculated over the trailing 5-year period	0.39
Correlation (10Y) Calculated over the trailing 10-year period	0.34
Correlation (All Time) Calculated using the full available price history since Apr 19, 2011	0.35

The correlation between FDT and M shifts across timeframes, from 0.26 (1 year) to 0.39 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

FDT vs. M — Risk / Return Rank

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

FDT

FDT Risk / Return Rank: 86
FDT Sharpe Ratio Rank: 90
FDT Sortino Ratio Rank: 86
FDT Omega Ratio Rank: 88
FDT Calmar Ratio Rank: 83
FDT Martin Ratio Rank: 83

M

M Risk / Return Rank: 92
M Sharpe Ratio Rank: 94
M Sortino Ratio Rank: 95
M Omega Ratio Rank: 92
M Calmar Ratio Rank: 91
M Martin Ratio Rank: 89

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.

FDT vs. M - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Developed Markets ex-US AlphaDEX Fund (FDT) and Macy's, Inc. (M). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	FDT	M	Difference
Sharpe ratio: Return per unit of total volatility	2.75	2.79	-0.04
Sortino ratio: Return per unit of downside risk	3.51	3.79	-0.28
Omega ratio: Gain probability vs. loss probability	1.49	1.44	+0.06
Calmar ratio: Return relative to maximum drawdown	4.04	4.50	-0.45
Martin ratio: Return relative to average drawdown	15.31	10.89	+4.42

FDT vs. M - Sharpe Ratio Comparison

The current FDT Sharpe Ratio is 2.75, which is comparable to the M Sharpe Ratio of 2.79. The chart below compares the historical Sharpe Ratios of FDT and M, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

FDT vs. M - Drawdown Comparison

The maximum FDT drawdown since its inception was -46.10%, smaller than the maximum M drawdown of -91.95%. Use the drawdown chart below to compare losses from any high point for FDT and M.

Drawdown Indicators

	FDT	M	Difference
Max Drawdown Largest peak-to-trough decline	-46.10%	-91.95%	+45.85%
Max Drawdown (1Y) Largest decline over 1 year	-13.41%	-28.61%	+15.20%
Max Drawdown (3Y) Largest decline over 3 years	-14.29%	-51.33%	+37.04%
Max Drawdown (5Y) Largest decline over 5 years	-32.80%	-69.65%	+36.85%
Max Drawdown (10Y) Largest decline over 10 years	-46.10%	-87.79%	+41.69%
Current Drawdown Current decline from peak	-0.82%	-45.61%	+44.79%
Average Drawdown Average peak-to-trough decline	-10.76%	-34.61%	+23.85%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.54%	11.79%	-8.25%

Volatility

FDT vs. M - Volatility Comparison

The current volatility for First Trust Developed Markets ex-US AlphaDEX Fund (FDT) is 9.32%, while Macy's, Inc. (M) has a volatility of 14.88%. This indicates that FDT experiences smaller price fluctuations and is considered to be less risky than M based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FDT	M	Difference
Volatility (1M) Calculated over the trailing 1-month period	9.32%	14.88%	-5.56%
Volatility (6M) Calculated over the trailing 6-month period	17.44%	29.42%	-11.98%
Volatility (1Y) Calculated over the trailing 1-year period	19.76%	46.25%	-26.49%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.50%	54.14%	-35.64%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.63%	56.19%	-37.56%

Dividends

FDT vs. M - Dividend Comparison

FDT's dividend yield for the trailing twelve months is around 2.82%, less than M's 3.03% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FDT First Trust Developed Markets ex-US AlphaDEX Fund	2.82%	3.27%	3.89%	4.36%	2.29%	3.80%	2.42%	2.78%	2.13%	1.57%	1.76%	1.83%
M Macy's, Inc.	3.03%	3.31%	4.10%	3.29%	3.05%	1.15%	3.36%	8.88%	5.07%	5.99%	4.17%	3.98%

Frequently Asked Questions

Can I hold both FDT and M in my portfolio?

FDT and M have a correlation of 0.26, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FDT or M?

M has higher volatility (14.88%) compared to FDT (9.32%). In terms of maximum drawdown, FDT dropped -46.10% vs M's -91.95%.

Which has better risk-adjusted returns?

M currently has the higher Sharpe Ratio (2.79 vs 2.75), 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.