M vs. FDTS

Last updated Jun 13, 2026

M (Macy's, Inc.) is a stock, while FDTS (First Trust Developed Markets ex-US Small Cap AlphaDEX Fund) is Foreign Small & Mid Cap Equities fund tracking the NASDAQ AlphaDEX DM Ex-US Small Cap Index. Over the past 10 years, M returned 2.22%/yr vs 10.96%/yr for FDTS. At a 0.22 correlation, their price movements are largely independent.

Performance

M vs. FDTS - Performance Comparison

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

Returns By Period

In the year-to-date period, M achieves a 16.35% return, which is significantly lower than FDTS's 18.78% return. Over the past 10 years, M has underperformed FDTS with an annualized return of 2.22%, while FDTS has yielded a comparatively higher 10.96% annualized return.

M

• 1D: 1.32%
• 1M: 37.81%
• YTD: 16.35%
• 6M: 7.05%
• 1Y: 132.50%
• 3Y*: 20.95%
• 5Y*: 9.42%
• 10Y*: 2.22%

FDTS

• 1D: -0.17%
• 1M: -2.15%
• YTD: 18.78%
• 6M: 20.77%
• 1Y: 44.72%
• 3Y*: 24.70%
• 5Y*: 10.78%
• 10Y*: 10.96%

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

M vs. FDTS - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
M Macy's, Inc.	16.35%	36.55%	-12.41%	1.64%	-18.66%	135.80%	-31.08%	-38.20%	23.64%	-25.29%
FDTS First Trust Developed Markets ex-US Small Cap AlphaDEX Fund	18.78%	51.17%	2.44%	10.96%	-15.34%	11.79%	12.90%	18.71%	-23.71%	36.01%

Correlation

The correlation between M and FDTS is 0.30, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.30
Correlation (3Y) Calculated over the trailing 3-year period	0.29
Correlation (5Y) Calculated over the trailing 5-year period	0.32
Correlation (10Y) Calculated over the trailing 10-year period	0.25
Correlation (All Time) Calculated using the full available price history since Feb 16, 2012	0.22

The correlation between M and FDTS shifts across timeframes, from 0.22 (all time) to 0.32 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

M vs. FDTS — Risk / Return Rank

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

M

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

FDTS

FDTS Risk / Return Rank: 79
FDTS Sharpe Ratio Rank: 84
FDTS Sortino Ratio Rank: 81
FDTS Omega Ratio Rank: 81
FDTS Calmar Ratio Rank: 76
FDTS Martin Ratio Rank: 72

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.

M vs. FDTS - Risk-Adjusted Trends Comparison

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

	M	FDTS	Difference
Sharpe ratio: Return per unit of total volatility	2.67	2.37	+0.30
Sortino ratio: Return per unit of downside risk	3.66	3.15	+0.52
Omega ratio: Gain probability vs. loss probability	1.43	1.42	+0.01
Calmar ratio: Return relative to maximum drawdown	4.33	3.43	+0.90
Martin ratio: Return relative to average drawdown	10.47	11.78	-1.31

M vs. FDTS - Sharpe Ratio Comparison

The current M Sharpe Ratio is 2.67, which is comparable to the FDTS Sharpe Ratio of 2.37. The chart below compares the historical Sharpe Ratios of M and FDTS, 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

M vs. FDTS - Drawdown Comparison

The maximum M drawdown since its inception was -91.95%, which is greater than FDTS's maximum drawdown of -51.26%. Use the drawdown chart below to compare losses from any high point for M and FDTS.

Drawdown Indicators

	M	FDTS	Difference
Max Drawdown Largest peak-to-trough decline	-91.95%	-51.26%	-40.69%
Max Drawdown (1Y) Largest decline over 1 year	-28.61%	-12.61%	-16.00%
Max Drawdown (3Y) Largest decline over 3 years	-51.33%	-13.19%	-38.14%
Max Drawdown (5Y) Largest decline over 5 years	-69.65%	-33.11%	-36.54%
Max Drawdown (10Y) Largest decline over 10 years	-87.79%	-51.26%	-36.53%
Current Drawdown Current decline from peak	-44.51%	-4.77%	-39.74%
Average Drawdown Average peak-to-trough decline	-34.61%	-10.64%	-23.97%
Ulcer Index Depth and duration of drawdowns from previous peaks	11.79%	3.66%	+8.13%

Volatility

M vs. FDTS - Volatility Comparison

Macy's, Inc. (M) has a higher volatility of 14.61% compared to First Trust Developed Markets ex-US Small Cap AlphaDEX Fund (FDTS) at 8.44%. This indicates that M's price experiences larger fluctuations and is considered to be riskier than FDTS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	M	FDTS	Difference
Volatility (1M) Calculated over the trailing 1-month period	14.61%	8.44%	+6.17%
Volatility (6M) Calculated over the trailing 6-month period	29.51%	15.54%	+13.97%
Volatility (1Y) Calculated over the trailing 1-year period	46.38%	18.27%	+28.11%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	54.14%	29.42%	+24.72%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	56.17%	24.92%	+31.25%

Dividends

M vs. FDTS - Dividend Comparison

M's dividend yield for the trailing twelve months is around 2.91%, more than FDTS's 2.53% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FDTS First Trust Developed Markets ex-US Small Cap AlphaDEX Fund	2.53%	2.94%	3.94%	2.90%	3.71%	3.01%	2.02%	2.30%	1.96%	2.08%	1.78%	1.73%
M Macy's, Inc.	2.19%	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 M and FDTS in my portfolio?

M and FDTS have a correlation of 0.30, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, M or FDTS?

M has higher volatility (14.61%) compared to FDTS (8.44%). In terms of maximum drawdown, M dropped -91.95% vs FDTS's -51.26%.

Which has better risk-adjusted returns?

M currently has the higher Sharpe Ratio (2.67 vs 2.37), 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.