FPA vs. M

Last updated Jun 16, 2026

FPA (First Trust Asia Pacific ex-Japan AlphaDEX Fund) is Asia Pacific Equities fund tracking the NASDAQ AlphaDEX Asia Pacific Ex-Japan Index, while M (Macy's, Inc.) is a stock. Over the past 10 years, FPA returned 11.77%/yr vs 1.41%/yr for M. At a 0.24 correlation, their price movements are largely independent.

Performance

FPA vs. M - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Asia Pacific ex-Japan AlphaDEX Fund (FPA) 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, FPA achieves a 56.23% return, which is significantly higher than M's 14.05% return. Over the past 10 years, FPA has outperformed M with an annualized return of 11.77%, while M has yielded a comparatively lower 1.41% annualized return.

FPA

• 1D: 6.26%
• 1M: 10.19%
• YTD: 56.23%
• 6M: 56.82%
• 1Y: 75.71%
• 3Y*: 31.91%
• 5Y*: 14.02%
• 10Y*: 11.77%

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)

FPA vs. M - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FPA First Trust Asia Pacific ex-Japan AlphaDEX Fund	56.23%	43.16%	3.95%	9.97%	-14.55%	2.98%	13.43%	8.91%	-21.91%	35.81%
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 FPA and M is 0.18, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.18
Correlation (3Y) Calculated over the trailing 3-year period	0.21
Correlation (5Y) Calculated over the trailing 5-year period	0.22
Correlation (10Y) Calculated over the trailing 10-year period	0.22
Correlation (All Time) Calculated using the full available price history since Apr 20, 2011	0.24

Return for Risk

FPA vs. M — Risk / Return Rank

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

FPA

FPA Risk / Return Rank: 86
FPA Sharpe Ratio Rank: 89
FPA Sortino Ratio Rank: 82
FPA Omega Ratio Rank: 84
FPA Calmar Ratio Rank: 89
FPA Martin Ratio Rank: 87

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.

FPA vs. M - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Asia Pacific ex-Japan AlphaDEX Fund (FPA) 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.

	FPA	M	Difference
Sharpe ratio: Return per unit of total volatility	2.69	2.79	-0.09
Sortino ratio: Return per unit of downside risk	3.34	3.79	-0.45
Omega ratio: Gain probability vs. loss probability	1.47	1.44	+0.03
Calmar ratio: Return relative to maximum drawdown	4.95	4.50	+0.45
Martin ratio: Return relative to average drawdown	17.04	10.89	+6.15

FPA vs. M - Sharpe Ratio Comparison

The current FPA Sharpe Ratio is 2.69, which is comparable to the M Sharpe Ratio of 2.79. The chart below compares the historical Sharpe Ratios of FPA 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

FPA vs. M - Drawdown Comparison

The maximum FPA drawdown since its inception was -52.91%, smaller than the maximum M drawdown of -91.95%. Use the drawdown chart below to compare losses from any high point for FPA and M.

Drawdown Indicators

	FPA	M	Difference
Max Drawdown Largest peak-to-trough decline	-52.91%	-91.95%	+39.04%
Max Drawdown (1Y) Largest decline over 1 year	-15.37%	-28.61%	+13.24%
Max Drawdown (3Y) Largest decline over 3 years	-20.66%	-51.33%	+30.67%
Max Drawdown (5Y) Largest decline over 5 years	-34.54%	-69.65%	+35.11%
Max Drawdown (10Y) Largest decline over 10 years	-52.91%	-87.79%	+34.88%
Current Drawdown Current decline from peak	-1.11%	-45.61%	+44.50%
Average Drawdown Average peak-to-trough decline	-13.47%	-34.61%	+21.14%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.46%	11.79%	-7.33%

Volatility

FPA vs. M - Volatility Comparison

First Trust Asia Pacific ex-Japan AlphaDEX Fund (FPA) has a higher volatility of 15.75% compared to Macy's, Inc. (M) at 14.88%. This indicates that FPA's price experiences larger fluctuations and is considered to be riskier than M based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FPA	M	Difference
Volatility (1M) Calculated over the trailing 1-month period	15.75%	14.88%	+0.87%
Volatility (6M) Calculated over the trailing 6-month period	25.06%	29.42%	-4.36%
Volatility (1Y) Calculated over the trailing 1-year period	28.31%	46.25%	-17.94%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	24.59%	54.14%	-29.55%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.72%	56.19%	-33.47%

Dividends

FPA vs. M - Dividend Comparison

FPA's dividend yield for the trailing twelve months is around 3.42%, more than M's 3.03% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FPA First Trust Asia Pacific ex-Japan AlphaDEX Fund	3.42%	4.71%	3.40%	3.02%	4.22%	5.12%	1.59%	3.90%	2.81%	3.15%	2.42%	1.74%
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 FPA and M in my portfolio?

FPA and M have a correlation of 0.18, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FPA or M?

FPA has higher volatility (15.75%) compared to M (14.88%). In terms of maximum drawdown, FPA dropped -52.91% vs M's -91.95%.

Which has better risk-adjusted returns?

M currently has the higher Sharpe Ratio (2.79 vs 2.69), 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.