M vs. FRDM
M (Macy's, Inc.) is a stock, while FRDM (Freedom 100 Emerging Markets ETF) is Emerging Markets Diversified fund tracking the Life + Liberty Freedom 100 Emerging Markets Index. Over the past 5 years, M returned 9.42%/yr vs 18.68%/yr for FRDM. At a 0.35 correlation, their price movements are largely independent.
Performance
M vs. FRDM - Performance Comparison
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Returns By Period
In the year-to-date period, M achieves a 16.35% return, which is significantly lower than FRDM's 40.13% 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%
FRDM
- 1D
- 0.49%
- 1M
- 9.04%
- YTD
- 40.13%
- 6M
- 46.37%
- 1Y
- 87.32%
- 3Y*
- 34.29%
- 5Y*
- 18.68%
- 10Y*
- —
M vs. FRDM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
M Macy's, Inc. | 16.35% | 36.55% | -12.41% | 1.64% | -18.66% | 135.80% | -31.08% | -17.10% |
FRDM Freedom 100 Emerging Markets ETF | 40.13% | 61.27% | 1.70% | 22.77% | -14.45% | 6.13% | 16.90% | 12.23% |
Correlation
The correlation between M and FRDM is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.28 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.32 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.37 |
Correlation (All Time) Calculated using the full available price history since May 23, 2019 | 0.35 |
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Return for Risk
M vs. FRDM — Risk / Return Rank
M
FRDM
M vs. FRDM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Macy's, Inc. (M) and Freedom 100 Emerging Markets ETF (FRDM). 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 | FRDM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.48 | ||
| Sortino ratioReturn per unit of downside risk | -0.01 | ||
| Omega ratioGain probability vs. loss probability | 1.43 | 1.54 | -0.12 |
| Calmar ratioReturn relative to maximum drawdown | 4.33 | 5.02 | -0.69 |
| Martin ratioReturn relative to average drawdown | 10.47 | 19.36 | -8.89 |
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Drawdowns
M vs. FRDM - Drawdown Comparison
The maximum M drawdown since its inception was -91.95%, which is greater than FRDM's maximum drawdown of -40.49%. Use the drawdown chart below to compare losses from any high point for M and FRDM.
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Drawdown Indicators
| M | FRDM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -91.95% | -40.49% | -51.46% |
Max Drawdown (1Y)Largest decline over 1 year | -28.61% | -16.87% | -11.74% |
Max Drawdown (3Y)Largest decline over 3 years | -51.33% | -16.87% | -34.46% |
Max Drawdown (5Y)Largest decline over 5 years | -69.65% | -29.25% | -40.40% |
Max Drawdown (10Y)Largest decline over 10 years | -87.79% | — | — |
Current DrawdownCurrent decline from peak | -44.51% | -4.36% | -40.15% |
Average DrawdownAverage peak-to-trough decline | -34.61% | -7.09% | -27.52% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 11.79% | 4.37% | +7.42% |
Volatility
M vs. FRDM - Volatility Comparison
Macy's, Inc. (M) and Freedom 100 Emerging Markets ETF (FRDM) have volatilities of 14.61% and 14.27%, 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.
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Volatility by Period
| M | FRDM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 14.61% | 14.27% | +0.34% |
Volatility (6M)Calculated over the trailing 6-month period | 29.51% | 24.39% | +5.12% |
Volatility (1Y)Calculated over the trailing 1-year period | 46.38% | 26.86% | +19.52% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 54.14% | 21.35% | +32.79% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 56.17% | 23.09% | +33.08% |
Dividends
M vs. FRDM - Dividend Comparison
M's dividend yield for the trailing twelve months is around 2.91%, more than FRDM's 1.56% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FRDM Freedom 100 Emerging Markets ETF | 1.56% | 2.26% | 2.53% | 2.66% | 2.72% | 2.17% | 1.11% | 1.07% | 0.00% | 0.00% | 0.00% | 0.00% |
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
M and FRDM have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
M has higher volatility (14.61%) compared to FRDM (14.27%). In terms of maximum drawdown, M dropped -91.95% vs FRDM's -40.49%.
FRDM currently has the higher Sharpe Ratio (3.15 vs 2.67), 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.
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