M vs. ROKT

Last updated Jun 5, 2026

M (Macy's, Inc.) is a stock, while ROKT (SPDR S&P Kensho Final Frontiers ETF) is Industrials Equities fund tracking the S&P Kensho Final Frontiers Index. Over the past 5 years, M returned 9.08%/yr vs 25.29%/yr for ROKT. At a 0.43 correlation, their price movements are largely independent.

Performance

M vs. ROKT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Macy's, Inc. (M) and SPDR S&P Kensho Final Frontiers ETF (ROKT). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, M achieves a 5.62% return, which is significantly lower than ROKT's 50.15% return.

M

• 1D: 5.64%
• 1M: 19.45%
• YTD: 5.62%
• 6M: 5.14%
• 1Y: 110.41%
• 3Y*: 20.55%
• 5Y*: 9.08%
• 10Y*: 0.44%

ROKT

• 1D: 2.46%
• 1M: 15.98%
• YTD: 50.15%
• 6M: 59.32%
• 1Y: 116.27%
• 3Y*: 46.53%
• 5Y*: 25.29%
• 10Y*: —

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

M vs. ROKT - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
M Macy's, Inc.	5.62%	36.55%	-12.41%	1.64%	-18.66%	135.80%	-31.08%	-38.20%	-7.40%
ROKT SPDR S&P Kensho Final Frontiers ETF	50.15%	50.56%	27.89%	14.41%	-0.81%	4.63%	7.99%	40.90%	-13.20%

Correlation

The correlation between M and ROKT 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	0.36
Correlation (5Y) Calculated over the trailing 5-year period	0.44
Correlation (All Time) Calculated using the full available price history since Oct 24, 2018	0.43

Over the past year, the correlation between M and ROKT has dropped to 0.18 - well below their long-term average of 0.43, suggesting their price drivers have been diverging.

Return for Risk

M vs. ROKT — Risk / Return Rank

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

M

M Risk / Return Rank: 89
M Sharpe Ratio Rank: 92
M Sortino Ratio Rank: 92
M Omega Ratio Rank: 88
M Calmar Ratio Rank: 87
M Martin Ratio Rank: 86

ROKT

ROKT Risk / Return Rank: 94
ROKT Sharpe Ratio Rank: 96
ROKT Sortino Ratio Rank: 93
ROKT Omega Ratio Rank: 91
ROKT Calmar Ratio Rank: 97
ROKT Martin Ratio Rank: 96

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. ROKT - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Macy's, Inc. (M) and SPDR S&P Kensho Final Frontiers ETF (ROKT). 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	ROKT	Difference
Sharpe ratio: Return per unit of total volatility	2.43	4.04	-1.61
Sortino ratio: Return per unit of downside risk	3.43	4.61	-1.17
Omega ratio: Gain probability vs. loss probability	1.40	1.59	-0.19
Calmar ratio: Return relative to maximum drawdown	3.88	10.26	-6.38
Martin ratio: Return relative to average drawdown	9.36	37.06	-27.70
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. ROKT - Sharpe Ratio Comparison

The current M Sharpe Ratio is 2.43, which is lower than the ROKT Sharpe Ratio of 4.04. The chart below compares the historical Sharpe Ratios of M and ROKT, 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	ROKT	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.43	4.04	-1.61
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.17	1.11	-0.95
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.01	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.11	0.88	-0.77

Drawdowns

M vs. ROKT - Drawdown Comparison

The maximum M drawdown since its inception was -91.95%, which is greater than ROKT's maximum drawdown of -43.16%. Use the drawdown chart below to compare losses from any high point for M and ROKT.

Drawdown Indicators

	M	ROKT	Difference
Max Drawdown Largest peak-to-trough decline	-91.95%	-43.16%	-48.79%
Max Drawdown (1Y) Largest decline over 1 year	-28.61%	-11.40%	-17.21%
Max Drawdown (3Y) Largest decline over 3 years	-51.33%	-23.46%	-27.87%
Max Drawdown (5Y) Largest decline over 5 years	-69.65%	-23.46%	-46.19%
Max Drawdown (10Y) Largest decline over 10 years	-87.79%	—	—
Current Drawdown Current decline from peak	-49.63%	-6.58%	-43.05%
Average Drawdown Average peak-to-trough decline	-34.50%	-6.75%	-27.75%
Ulcer Index Depth and duration of drawdowns from previous peaks	11.84%	3.15%	+8.69%

Volatility

M vs. ROKT - Volatility Comparison

Macy's, Inc. (M) and SPDR S&P Kensho Final Frontiers ETF (ROKT) have volatilities of 13.63% and 13.17%, 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	ROKT	Difference
Volatility (1M) Calculated over the trailing 1-month period	13.63%	13.17%	+0.46%
Volatility (6M) Calculated over the trailing 6-month period	28.37%	25.05%	+3.32%
Volatility (1Y) Calculated over the trailing 1-year period	45.62%	28.95%	+16.67%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	54.09%	22.80%	+31.29%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	56.10%	25.15%	+30.95%

Dividends

M vs. ROKT - Dividend Comparison

M's dividend yield for the trailing twelve months is around 3.21%, more than ROKT's 0.26% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
M Macy's, Inc.	3.21%	3.31%	4.10%	3.29%	3.05%	1.15%	3.36%	8.88%	5.07%	5.99%	4.17%	3.98%
ROKT SPDR S&P Kensho Final Frontiers ETF	0.26%	0.41%	0.57%	0.62%	0.54%	1.79%	0.48%	0.74%	0.16%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both M and ROKT in my portfolio?

M and ROKT 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 ROKT?

M has higher volatility (13.63%) compared to ROKT (13.17%). In terms of maximum drawdown, M dropped -91.95% vs ROKT's -43.16%.

Which has better risk-adjusted returns?

ROKT currently has the higher Sharpe Ratio (4.04 vs 2.43), 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.