M vs. FPA

Last updated Jun 4, 2026

M (Macy's, Inc.) is a stock, while FPA (First Trust Asia Pacific ex-Japan AlphaDEX Fund) is Asia Pacific Equities fund tracking the NASDAQ AlphaDEX Asia Pacific Ex-Japan Index. Over the past 10 years, M returned -0.13%/yr vs 11.25%/yr for FPA. At a 0.24 correlation, their price movements are largely independent.

Performance

M vs. FPA - Performance Comparison

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

Returns By Period

In the year-to-date period, M achieves a -0.02% return, which is significantly lower than FPA's 51.47% return. Over the past 10 years, M has underperformed FPA with an annualized return of -0.13%, while FPA has yielded a comparatively higher 11.25% annualized return.

M

• 1D: 0.60%
• 1M: 14.02%
• YTD: -0.02%
• 6M: -1.10%
• 1Y: 98.48%
• 3Y*: 17.28%
• 5Y*: 7.89%
• 10Y*: -0.13%

FPA

• 1D: -0.59%
• 1M: 9.98%
• YTD: 51.47%
• 6M: 51.19%
• 1Y: 82.43%
• 3Y*: 33.32%
• 5Y*: 13.09%
• 10Y*: 11.25%

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

M vs. FPA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
M Macy's, Inc.	-0.02%	36.55%	-12.41%	1.64%	-18.66%	135.80%	-31.08%	-38.20%	23.64%	-25.29%
FPA First Trust Asia Pacific ex-Japan AlphaDEX Fund	51.47%	43.16%	3.95%	9.97%	-14.55%	2.98%	13.43%	8.91%	-21.91%	35.81%

Correlation

The correlation between M and FPA 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	0.23
Correlation (All Time) Calculated using the full available price history since Apr 21, 2011	0.24

Return for Risk

M vs. FPA — Risk / Return Rank

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

M

M Risk / Return Rank: 86
M Sharpe Ratio Rank: 89
M Sortino Ratio Rank: 89
M Omega Ratio Rank: 85
M Calmar Ratio Rank: 84
M Martin Ratio Rank: 84

FPA

FPA Risk / Return Rank: 88
FPA Sharpe Ratio Rank: 91
FPA Sortino Ratio Rank: 87
FPA Omega Ratio Rank: 86
FPA Calmar Ratio Rank: 89
FPA 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.

M vs. FPA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Macy's, Inc. (M) and First Trust Asia Pacific ex-Japan AlphaDEX Fund (FPA). 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.

	M	FPA	Difference
Sharpe ratio: Return per unit of total volatility	2.19	3.24	-1.06
Sortino ratio: Return per unit of downside risk	3.19	3.94	-0.75
Omega ratio: Gain probability vs. loss probability	1.37	1.54	-0.17
Calmar ratio: Return relative to maximum drawdown	3.46	5.39	-1.93
Martin ratio: Return relative to average drawdown	8.35	19.96	-11.61
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

M vs. FPA - Sharpe Ratio Comparison

The current M Sharpe Ratio is 2.19, which is lower than the FPA Sharpe Ratio of 3.24. The chart below compares the historical Sharpe Ratios of M and FPA, 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

	M	FPA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.19	3.24	-1.06
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.15	0.55	-0.40
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.00	0.50	-0.51
Sharpe Ratio (All Time) Calculated using the full available price history	0.11	0.33	-0.22

Drawdowns

M vs. FPA - Drawdown Comparison

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

Drawdown Indicators

	M	FPA	Difference
Max Drawdown Largest peak-to-trough decline	-91.95%	-52.91%	-39.04%
Max Drawdown (1Y) Largest decline over 1 year	-28.61%	-15.37%	-13.24%
Max Drawdown (3Y) Largest decline over 3 years	-51.33%	-20.66%	-30.67%
Max Drawdown (5Y) Largest decline over 5 years	-69.65%	-35.21%	-34.44%
Max Drawdown (10Y) Largest decline over 10 years	-87.79%	-52.91%	-34.88%
Current Drawdown Current decline from peak	-52.32%	-4.12%	-48.20%
Average Drawdown Average peak-to-trough decline	-34.50%	-13.49%	-21.01%
Ulcer Index Depth and duration of drawdowns from previous peaks	11.84%	4.14%	+7.70%

Volatility

M vs. FPA - Volatility Comparison

Macy's, Inc. (M) and First Trust Asia Pacific ex-Japan AlphaDEX Fund (FPA) have volatilities of 12.73% and 12.96%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	M	FPA	Difference
Volatility (1M) Calculated over the trailing 1-month period	12.73%	12.96%	-0.23%
Volatility (6M) Calculated over the trailing 6-month period	27.84%	21.92%	+5.92%
Volatility (1Y) Calculated over the trailing 1-year period	45.33%	25.55%	+19.78%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	54.04%	23.98%	+30.06%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	56.08%	22.39%	+33.69%

Dividends

M vs. FPA - Dividend Comparison

M's dividend yield for the trailing twelve months is around 3.39%, less than FPA's 3.52% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FPA First Trust Asia Pacific ex-Japan AlphaDEX Fund	3.52%	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.	3.39%	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 FPA in my portfolio?

M and FPA 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, M or FPA?

FPA has higher volatility (12.96%) compared to M (12.73%). In terms of maximum drawdown, M dropped -91.95% vs FPA's -52.91%.

Which has better risk-adjusted returns?

FPA currently has the higher Sharpe Ratio (3.24 vs 2.19), 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.