M vs. ROKT
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 12.09%/yr vs 22.27%/yr for ROKT. Their 0.42 correlation means their historical movements had little consistent relationship.
Performance
M vs. ROKT - Performance Comparison
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Returns By Period
In the year-to-date period, M achieves a 14.70% return, which is significantly lower than ROKT's 29.61% return.
M
- 1D
- -0.44%
- 1M
- 6.75%
- 6M
- 26.33%
- YTD
- 14.70%
- 1Y
- 108.42%
- 3Y*
- 20.04%
- 5Y*
- 12.09%
- 10Y*
- 1.61%
- ALL TIME*
- 4.98%
ROKT
- 1D
- 1.28%
- 1M
- -7.17%
- 6M
- 9.42%
- YTD
- 29.61%
- 1Y
- 64.65%
- 3Y*
- 36.69%
- 5Y*
- 22.27%
- 10Y*
- —
- ALL TIME*
- 19.25%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $119.78M | $113.95M | $138.29M | |
| $4.58M | $3.72M | $5.92M |
M vs. ROKT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
M Macy's, Inc. | 14.70% | 36.55% | -12.41% | 1.64% | -18.66% | 135.80% | -31.08% | -38.20% | -8.38% |
ROKT SPDR S&P Kensho Final Frontiers ETF | 29.61% | 50.56% | 27.89% | 14.41% | -0.81% | 4.63% | 7.99% | 40.90% | -12.90% |
Correlation
The correlation between M and ROKT is 0.16, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.16 |
Correlation (3Y) Balances recent behavior with more history. | 0.32 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.41 |
Correlation (All Time) Calculated using the full available price history since Oct 23, 2018 | 0.42 |
Over the past year, the correlation between M and ROKT has dropped to 0.16 - well below their long-term average of 0.42, suggesting their price drivers have been diverging.
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Return for Risk
M vs. ROKT — Risk / Return Rank
M
ROKT
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.
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 | ROKT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.32 | ||
| Sortino ratioReturn per unit of downside risk | +0.67 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.31 | +0.07 |
| Calmar ratioReturn relative to maximum drawdown | 3.65 | 2.77 | +0.88 |
| Martin ratioReturn relative to average drawdown | 8.83 | 8.61 | +0.22 |
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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.
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Drawdown Indicators
| M | ROKT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -91.95% | -43.16% | -48.79% |
Max Drawdown (1Y)Largest decline over 1 year | -28.61% | -22.83% | -5.78% |
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 DrawdownCurrent decline from peak | -45.30% | -19.36% | -25.94% |
Average DrawdownAverage peak-to-trough decline | -34.66% | -6.95% | -27.71% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 11.84% | 7.34% | +4.50% |
Volatility
M vs. ROKT - Volatility Comparison
Macy's, Inc. (M) has a higher volatility of 10.36% compared to SPDR S&P Kensho Final Frontiers ETF (ROKT) at 8.71%. This indicates that M's price experiences larger fluctuations and is considered to be riskier than ROKT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| M | ROKT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.36% | 8.71% | +1.65% |
Volatility (6M)Calculated over the trailing 6-month period | 30.38% | 26.53% | +3.85% |
Volatility (1Y)Calculated over the trailing 1-year period | 46.06% | 32.31% | +13.75% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 54.00% | 23.61% | +30.39% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 56.29% | 25.48% | +30.81% |
Dividends
M vs. ROKT - Dividend Comparison
M's dividend yield for the trailing twelve months is around 3.01%, more than ROKT's 0.28% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
M Macy's, Inc. | 3.01% | 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 | 0.28% | 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
M and ROKT have a correlation of 0.16, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
M has higher volatility (10.36%) compared to ROKT (8.71%). In terms of maximum drawdown, M dropped -91.95% vs ROKT's -43.16%.
M currently has the higher Sharpe Ratio (2.28 vs 1.96), 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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