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M vs. WMT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Financials

Correlation

The correlation between M and WMT is 0.33, 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.


-0.50.00.51.00.3

Performance

M vs. WMT - Performance Comparison

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

-20.00%-10.00%0.00%10.00%20.00%30.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
-11.55%
38.25%
M
WMT

Key characteristics

Sharpe Ratio

M:

-0.43

WMT:

4.81

Sortino Ratio

M:

-0.38

WMT:

7.00

Omega Ratio

M:

0.95

WMT:

1.92

Calmar Ratio

M:

-0.26

WMT:

9.12

Martin Ratio

M:

-1.00

WMT:

54.30

Ulcer Index

M:

18.49%

WMT:

1.53%

Daily Std Dev

M:

42.97%

WMT:

17.30%

Max Drawdown

M:

-91.94%

WMT:

-77.24%

Current Drawdown

M:

-67.29%

WMT:

-2.03%

Fundamentals

Market Cap

M:

$4.64B

WMT:

$766.55B

EPS

M:

$0.61

WMT:

$2.42

PE Ratio

M:

27.43

WMT:

39.43

PEG Ratio

M:

0.11

WMT:

2.87

Total Revenue (TTM)

M:

$23.37B

WMT:

$673.82B

Gross Profit (TTM)

M:

$9.55B

WMT:

$166.41B

EBITDA (TTM)

M:

$1.02B

WMT:

$38.20B

Returns By Period

In the year-to-date period, M achieves a -17.99% return, which is significantly lower than WMT's 80.15% return. Over the past 10 years, M has underperformed WMT with an annualized return of -9.26%, while WMT has yielded a comparatively higher 14.98% annualized return.


M

YTD

-17.99%

1M

5.82%

6M

-11.55%

1Y

-16.79%

5Y*

2.95%

10Y*

-9.26%

WMT

YTD

80.15%

1M

11.51%

6M

39.09%

1Y

82.61%

5Y*

20.32%

10Y*

14.98%

Compare stocks, funds, or ETFs

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Risk-Adjusted Performance

M vs. WMT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Macy's, Inc. (M) and Walmart Inc. (WMT). 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 -0.43, compared to the broader market-4.00-2.000.002.00-0.434.77
The chart of Sortino ratio for M, currently valued at -0.38, compared to the broader market-4.00-2.000.002.004.00-0.386.96
The chart of Omega ratio for M, currently valued at 0.95, compared to the broader market0.501.001.502.000.951.91
The chart of Calmar ratio for M, currently valued at -0.26, compared to the broader market0.002.004.006.00-0.269.05
The chart of Martin ratio for M, currently valued at -1.00, compared to the broader market0.0010.0020.00-1.0053.75
M
WMT

The current M Sharpe Ratio is -0.43, which is lower than the WMT Sharpe Ratio of 4.81. The chart below compares the historical Sharpe Ratios of M and WMT, 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 Ratio0.001.002.003.004.005.00JulyAugustSeptemberOctoberNovemberDecember
-0.43
4.77
M
WMT

Dividends

M vs. WMT - Dividend Comparison

M's dividend yield for the trailing twelve months is around 4.39%, more than WMT's 0.89% 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%
WMT
Walmart Inc.
0.89%1.45%1.58%1.52%1.50%1.78%2.23%2.07%2.89%3.20%2.24%2.39%

Drawdowns

M vs. WMT - Drawdown Comparison

The maximum M drawdown since its inception was -91.94%, which is greater than WMT's maximum drawdown of -77.24%. Use the drawdown chart below to compare losses from any high point for M and WMT. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-67.29%
-2.03%
M
WMT

Volatility

M vs. WMT - Volatility Comparison

Macy's, Inc. (M) has a higher volatility of 13.32% compared to Walmart Inc. (WMT) at 4.99%. This indicates that M's price experiences larger fluctuations and is considered to be riskier than WMT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
13.32%
4.99%
M
WMT

Financials

M vs. WMT - Financials Comparison

This section allows you to compare key financial metrics between Macy's, Inc. and Walmart Inc.. 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
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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.

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