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M vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between M and VOO is 0.44, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.4

Performance

M vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Macy's, Inc. (M) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

-30.00%-20.00%-10.00%0.00%10.00%AugustSeptemberOctoberNovemberDecember2025
-14.40%
6.54%
M
VOO

Key characteristics

Sharpe Ratio

M:

-0.22

VOO:

2.18

Sortino Ratio

M:

-0.01

VOO:

2.90

Omega Ratio

M:

1.00

VOO:

1.40

Calmar Ratio

M:

-0.13

VOO:

3.26

Martin Ratio

M:

-0.51

VOO:

14.21

Ulcer Index

M:

18.70%

VOO:

1.94%

Daily Std Dev

M:

43.91%

VOO:

12.66%

Max Drawdown

M:

-91.94%

VOO:

-33.99%

Current Drawdown

M:

-66.24%

VOO:

-2.81%

Returns By Period

In the year-to-date period, M achieves a -3.37% return, which is significantly lower than VOO's 0.48% return. Over the past 10 years, M has underperformed VOO with an annualized return of -9.32%, while VOO has yielded a comparatively higher 13.24% annualized return.


M

YTD

-3.37%

1M

0.65%

6M

-11.32%

1Y

-10.88%

5Y*

1.77%

10Y*

-9.32%

VOO

YTD

0.48%

1M

-2.81%

6M

6.64%

1Y

25.77%

5Y*

14.33%

10Y*

13.24%

*Annualized

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Risk-Adjusted Performance

M vs. VOO — Risk-Adjusted Performance Rank

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

M
The Risk-Adjusted Performance Rank of M is 3535
Overall Rank
The Sharpe Ratio Rank of M is 3636
Sharpe Ratio Rank
The Sortino Ratio Rank of M is 3232
Sortino Ratio Rank
The Omega Ratio Rank of M is 3333
Omega Ratio Rank
The Calmar Ratio Rank of M is 3939
Calmar Ratio Rank
The Martin Ratio Rank of M is 3737
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 8383
Overall Rank
The Sharpe Ratio Rank of VOO is 8484
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 8181
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 8383
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 8383
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 8585
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

M vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Macy's, Inc. (M) and Vanguard S&P 500 ETF (VOO). 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.


The chart of Sharpe ratio for M, currently valued at -0.22, compared to the broader market-4.00-2.000.002.00-0.222.18
The chart of Sortino ratio for M, currently valued at -0.01, compared to the broader market-4.00-2.000.002.004.00-0.012.90
The chart of Omega ratio for M, currently valued at 1.00, compared to the broader market0.501.001.502.001.001.40
The chart of Calmar ratio for M, currently valued at -0.13, compared to the broader market0.002.004.006.00-0.133.26
The chart of Martin ratio for M, currently valued at -0.51, compared to the broader market-10.000.0010.0020.00-0.5114.21
M
VOO

The current M Sharpe Ratio is -0.22, which is lower than the VOO Sharpe Ratio of 2.18. The chart below compares the historical Sharpe Ratios of M and VOO, 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 Ratio0.001.002.003.004.00AugustSeptemberOctoberNovemberDecember2025
-0.22
2.18
M
VOO

Dividends

M vs. VOO - Dividend Comparison

M's dividend yield for the trailing twelve months is around 4.25%, more than VOO's 1.24% yield.


TTM20242023202220212020201920182017201620152014
M
Macy's, Inc.
4.25%4.11%3.28%3.06%1.15%3.36%8.89%5.08%6.00%4.17%3.98%1.81%
VOO
Vanguard S&P 500 ETF
1.24%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

Drawdowns

M vs. VOO - Drawdown Comparison

The maximum M drawdown since its inception was -91.94%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for M and VOO. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-66.24%
-2.81%
M
VOO

Volatility

M vs. VOO - Volatility Comparison

Macy's, Inc. (M) has a higher volatility of 12.76% compared to Vanguard S&P 500 ETF (VOO) at 4.44%. This indicates that M's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%AugustSeptemberOctoberNovemberDecember2025
12.76%
4.44%
M
VOO