PEMX vs. M
PEMX (Putnam Emerging Markets Ex-China ETF) is Emerging Markets Diversified fund actively managed by Putnam, while M (Macy's, Inc.) is a stock. Over the past 3 years, PEMX returned 32.32%/yr vs 20.95%/yr for M. At a 0.32 correlation, their price movements are largely independent.
Performance
PEMX vs. M - Performance Comparison
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Returns By Period
In the year-to-date period, PEMX achieves a 37.04% return, which is significantly higher than M's 16.35% return.
PEMX
- 1D
- 0.38%
- 1M
- 8.00%
- YTD
- 37.04%
- 6M
- 41.88%
- 1Y
- 68.11%
- 3Y*
- 32.32%
- 5Y*
- —
- 10Y*
- —
M
- 1D
- 1.32%
- 1M
- 37.81%
- YTD
- 16.35%
- 6M
- 7.05%
- 1Y
- 132.50%
- 3Y*
- 20.95%
- 5Y*
- 9.42%
- 10Y*
- 2.22%
PEMX vs. M - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
PEMX Putnam Emerging Markets Ex-China ETF | 37.04% | 34.01% | 17.21% | 15.13% |
M Macy's, Inc. | 16.35% | 36.55% | -12.41% | 33.26% |
Correlation
The correlation between PEMX and M is 0.31, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.31 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.32 |
Correlation (All Time) Calculated using the full available price history since May 18, 2023 | 0.32 |
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Return for Risk
PEMX vs. M — Risk / Return Rank
PEMX
M
PEMX vs. M - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Putnam Emerging Markets Ex-China ETF (PEMX) and Macy's, Inc. (M). 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.
| PEMX | M | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.12 | ||
| Sortino ratioReturn per unit of downside risk | -0.26 | ||
| Omega ratioGain probability vs. loss probability | 1.49 | 1.43 | +0.06 |
| Calmar ratioReturn relative to maximum drawdown | 4.56 | 4.33 | +0.24 |
| Martin ratioReturn relative to average drawdown | 17.36 | 10.47 | +6.89 |
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Drawdowns
PEMX vs. M - Drawdown Comparison
The maximum PEMX drawdown since its inception was -14.91%, smaller than the maximum M drawdown of -91.95%. Use the drawdown chart below to compare losses from any high point for PEMX and M.
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Drawdown Indicators
| PEMX | M | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.91% | -91.95% | +77.04% |
Max Drawdown (1Y)Largest decline over 1 year | -14.45% | -28.61% | +14.16% |
Max Drawdown (3Y)Largest decline over 3 years | -14.91% | -51.33% | +36.42% |
Max Drawdown (5Y)Largest decline over 5 years | — | -69.65% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -87.79% | — |
Current DrawdownCurrent decline from peak | -2.98% | -44.51% | +41.53% |
Average DrawdownAverage peak-to-trough decline | -2.86% | -34.61% | +31.75% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.79% | 11.79% | -8.00% |
Volatility
PEMX vs. M - Volatility Comparison
The current volatility for Putnam Emerging Markets Ex-China ETF (PEMX) is 12.65%, while Macy's, Inc. (M) has a volatility of 14.61%. This indicates that PEMX experiences smaller price fluctuations and is considered to be less risky than M based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PEMX | M | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 12.65% | 14.61% | -1.96% |
Volatility (6M)Calculated over the trailing 6-month period | 21.23% | 29.51% | -8.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 23.64% | 46.38% | -22.74% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.94% | 54.14% | -35.20% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.94% | 56.17% | -37.23% |
Dividends
PEMX vs. M - Dividend Comparison
PEMX's dividend yield for the trailing twelve months is around 5.11%, more than M's 2.91% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
M Macy's, Inc. | 2.19% | 3.31% | 4.10% | 3.29% | 3.05% | 1.15% | 3.36% | 8.88% | 5.07% | 5.99% | 4.17% | 3.98% |
PEMX Putnam Emerging Markets Ex-China ETF | 5.11% | 7.00% | 5.00% | 0.72% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
PEMX and M have a correlation of 0.31, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
M has higher volatility (14.61%) compared to PEMX (12.65%). In terms of maximum drawdown, PEMX dropped -14.91% vs M's -91.95%.
PEMX currently has the higher Sharpe Ratio (2.79 vs 2.67), 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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