PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
M vs. HPE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Financials

Correlation

The correlation between M and HPE is 0.40, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.4

Performance

M vs. HPE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Macy's, Inc. (M) and Hewlett Packard Enterprise Company (HPE). The values are adjusted to include any dividend payments, if applicable.

-30.00%-20.00%-10.00%0.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-11.54%
-3.46%
M
HPE

Key characteristics

Sharpe Ratio

M:

-0.41

HPE:

0.66

Sortino Ratio

M:

-0.34

HPE:

1.18

Omega Ratio

M:

0.96

HPE:

1.16

Calmar Ratio

M:

-0.25

HPE:

0.96

Martin Ratio

M:

-0.96

HPE:

2.58

Ulcer Index

M:

18.43%

HPE:

9.77%

Daily Std Dev

M:

42.98%

HPE:

38.31%

Max Drawdown

M:

-91.94%

HPE:

-56.88%

Current Drawdown

M:

-67.29%

HPE:

-14.03%

Fundamentals

Market Cap

M:

$4.64B

HPE:

$28.34B

EPS

M:

$0.61

HPE:

$1.93

PE Ratio

M:

27.43

HPE:

11.32

PEG Ratio

M:

0.11

HPE:

3.79

Total Revenue (TTM)

M:

$23.37B

HPE:

$30.08B

Gross Profit (TTM)

M:

$9.55B

HPE:

$15.55B

EBITDA (TTM)

M:

$1.02B

HPE:

$4.31B

Returns By Period

In the year-to-date period, M achieves a -17.99% return, which is significantly lower than HPE's 23.76% return.


M

YTD

-17.99%

1M

4.99%

6M

-11.06%

1Y

-18.56%

5Y*

2.95%

10Y*

-9.14%

HPE

YTD

23.76%

1M

-3.70%

6M

-5.05%

1Y

24.87%

5Y*

9.18%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

M vs. HPE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Macy's, Inc. (M) and Hewlett Packard Enterprise Company (HPE). 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.


Sharpe ratio
The chart of Sharpe ratio for M, currently valued at -0.41, compared to the broader market-4.00-2.000.002.00-0.410.66
The chart of Sortino ratio for M, currently valued at -0.34, compared to the broader market-4.00-2.000.002.004.00-0.341.18
The chart of Omega ratio for M, currently valued at 0.96, compared to the broader market0.501.001.502.000.961.16
The chart of Calmar ratio for M, currently valued at -0.30, compared to the broader market0.002.004.006.00-0.300.96
The chart of Martin ratio for M, currently valued at -0.96, compared to the broader market0.0010.0020.00-0.962.58
M
HPE

The current M Sharpe Ratio is -0.41, which is lower than the HPE Sharpe Ratio of 0.66. The chart below compares the historical Sharpe Ratios of M and HPE, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
-0.41
0.66
M
HPE

Dividends

M vs. HPE - Dividend Comparison

M's dividend yield for the trailing twelve months is around 4.39%, more than HPE's 1.89% yield.


TTM20232022202120202019201820172016201520142013
M
Macy's, Inc.
4.39%3.28%3.06%1.15%3.36%8.89%5.08%6.00%4.17%3.98%1.81%1.78%
HPE
Hewlett Packard Enterprise Company
1.89%2.89%3.01%3.04%4.05%2.89%3.13%1.59%1.40%0.36%0.00%0.00%

Drawdowns

M vs. HPE - Drawdown Comparison

The maximum M drawdown since its inception was -91.94%, which is greater than HPE's maximum drawdown of -56.88%. Use the drawdown chart below to compare losses from any high point for M and HPE. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-53.90%
-14.03%
M
HPE

Volatility

M vs. HPE - Volatility Comparison

The current volatility for Macy's, Inc. (M) is 13.36%, while Hewlett Packard Enterprise Company (HPE) has a volatility of 15.37%. This indicates that M experiences smaller price fluctuations and is considered to be less risky than HPE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


6.00%8.00%10.00%12.00%14.00%16.00%18.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
13.36%
15.37%
M
HPE

Financials

M vs. HPE - Financials Comparison

This section allows you to compare key financial metrics between Macy's, Inc. and Hewlett Packard Enterprise Company. You can select fields from income statements, balance sheets, and cash flow statements to easily visualize and compare the financial health of both companies.


Quarterly
Annual

Total Revenue: Total amount of money received from sales and other business activities


Values in USD except per share items
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab