M vs. IYZ
M (Macy's, Inc.) is a stock, while IYZ (iShares U.S. Telecommunications ETF) is Communications Equities fund tracking the Dow Jones U.S. Select Telecommunications Index. Over the past 10 years, M returned 0.58%/yr vs 4.04%/yr for IYZ. At a 0.41 correlation, their price movements are largely independent.
Performance
M vs. IYZ - Performance Comparison
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Returns By Period
In the year-to-date period, M achieves a 11.46% return, which is significantly lower than IYZ's 18.95% return. Over the past 10 years, M has underperformed IYZ with an annualized return of 0.58%, while IYZ has yielded a comparatively higher 4.04% annualized return.
M
- 1D
- 1.52%
- 1M
- -3.29%
- 6M
- 13.94%
- YTD
- 11.46%
- 1Y
- 107.75%
- 3Y*
- 19.89%
- 5Y*
- 11.53%
- 10Y*
- 0.58%
IYZ
- 1D
- -1.28%
- 1M
- -5.63%
- 6M
- 19.12%
- YTD
- 18.95%
- 1Y
- 38.43%
- 3Y*
- 26.27%
- 5Y*
- 6.13%
- 10Y*
- 4.04%
M vs. IYZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
M Macy's, Inc. | 11.46% | 36.55% | -12.41% | 1.64% | -18.66% | 135.80% | -31.08% | -38.20% | 23.64% | -25.29% |
IYZ iShares U.S. Telecommunications ETF | 18.95% | 29.28% | 20.53% | 3.90% | -30.29% | 11.69% | 4.13% | 16.14% | -8.59% | -11.86% |
Correlation
The correlation between M and IYZ is 0.19, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.19 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.31 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.41 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.37 |
Correlation (All Time) Calculated using the full available price history since May 26, 2000 | 0.41 |
Over the past year, the correlation between M and IYZ has dropped to 0.19 - well below their long-term average of 0.41, suggesting their price drivers have been diverging.
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Return for Risk
M vs. IYZ — Risk / Return Rank
M
IYZ
M vs. IYZ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Macy's, Inc. (M) and iShares U.S. Telecommunications ETF (IYZ). 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 | IYZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.37 | ||
| Sortino ratioReturn per unit of downside risk | +0.61 | ||
| Omega ratioGain probability vs. loss probability | 1.39 | 1.34 | +0.04 |
| Calmar ratioReturn relative to maximum drawdown | 3.79 | 3.07 | +0.72 |
| Martin ratioReturn relative to average drawdown | 9.06 | 11.06 | -2.01 |
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Drawdowns
M vs. IYZ - Drawdown Comparison
The maximum M drawdown since its inception was -91.95%, which is greater than IYZ's maximum drawdown of -77.11%. Use the drawdown chart below to compare losses from any high point for M and IYZ.
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Drawdown Indicators
| M | IYZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -91.95% | -77.11% | -14.84% |
Max Drawdown (1Y)Largest decline over 1 year | -28.61% | -12.58% | -16.03% |
Max Drawdown (3Y)Largest decline over 3 years | -51.33% | -13.85% | -37.48% |
Max Drawdown (5Y)Largest decline over 5 years | -69.65% | -39.74% | -29.91% |
Max Drawdown (10Y)Largest decline over 10 years | -87.79% | -39.74% | -48.05% |
Current DrawdownCurrent decline from peak | -46.84% | -12.58% | -34.26% |
Average DrawdownAverage peak-to-trough decline | -34.64% | -40.00% | +5.36% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 11.94% | 3.48% | +8.46% |
Volatility
M vs. IYZ - Volatility Comparison
Macy's, Inc. (M) has a higher volatility of 12.26% compared to iShares U.S. Telecommunications ETF (IYZ) at 6.65%. This indicates that M's price experiences larger fluctuations and is considered to be riskier than IYZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| M | IYZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 12.26% | 6.65% | +5.61% |
Volatility (6M)Calculated over the trailing 6-month period | 29.73% | 16.51% | +13.22% |
Volatility (1Y)Calculated over the trailing 1-year period | 46.21% | 19.53% | +26.68% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 54.09% | 19.08% | +35.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 56.25% | 19.31% | +36.94% |
Dividends
M vs. IYZ - Dividend Comparison
M's dividend yield for the trailing twelve months is around 3.10%, more than IYZ's 1.75% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IYZ iShares U.S. Telecommunications ETF | 1.75% | 2.04% | 1.94% | 2.27% | 2.55% | 2.51% | 2.60% | 2.36% | 2.15% | 3.54% | 2.27% | 1.98% |
M Macy's, Inc. | 3.10% | 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 IYZ have a correlation of 0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
M has higher volatility (12.26%) compared to IYZ (6.65%). In terms of maximum drawdown, M dropped -91.95% vs IYZ's -77.11%.
M currently has the higher Sharpe Ratio (2.35 vs 1.98), 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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