FCLS.NEO vs. PMM.TO
FCLS.NEO (Fidelity Canadian Long/Short Alternative ETF) and PMM.TO (Purpose Multi-Strategy Market Neutral Fund) are both Long-Short funds. Both are actively managed. Over the past year, FCLS.NEO returned 15.92% vs 15.65% for PMM.TO. At a 0.23 correlation, their price movements are largely independent.
Performance
FCLS.NEO vs. PMM.TO - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with FCLS.NEO having a 6.24% return and PMM.TO slightly higher at 6.44%.
FCLS.NEO
- 1D
- -0.54%
- 1M
- -3.04%
- 6M
- 1.24%
- YTD
- 6.24%
- 1Y
- 15.92%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
PMM.TO
- 1D
- -0.43%
- 1M
- 0.25%
- 6M
- 2.15%
- YTD
- 6.44%
- 1Y
- 15.65%
- 3Y*
- 11.85%
- 5Y*
- 6.51%
- 10Y*
- 3.27%
FCLS.NEO vs. PMM.TO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
FCLS.NEO Fidelity Canadian Long/Short Alternative ETF | 6.24% | 18.33% | 17.30% |
PMM.TO Purpose Multi-Strategy Market Neutral Fund | 6.44% | 6.07% | 17.92% |
Correlation
The correlation between FCLS.NEO and PMM.TO is 0.23, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.23 |
Correlation (All Time) Calculated using the full available price history since Feb 1, 2024 | 0.23 |
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Return for Risk
FCLS.NEO vs. PMM.TO — Risk / Return Rank
FCLS.NEO
PMM.TO
FCLS.NEO vs. PMM.TO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Fidelity Canadian Long/Short Alternative ETF (FCLS.NEO) and Purpose Multi-Strategy Market Neutral Fund (PMM.TO). 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.
| FCLS.NEO | PMM.TO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.68 | ||
| Sortino ratioReturn per unit of downside risk | -0.79 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 1.31 | -0.06 |
| Calmar ratioReturn relative to maximum drawdown | 1.29 | 4.58 | -3.29 |
| Martin ratioReturn relative to average drawdown | 5.24 | 12.78 | -7.54 |
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Drawdowns
FCLS.NEO vs. PMM.TO - Drawdown Comparison
The maximum FCLS.NEO drawdown since its inception was -14.39%, smaller than the maximum PMM.TO drawdown of -23.50%. Use the drawdown chart below to compare losses from any high point for FCLS.NEO and PMM.TO.
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Drawdown Indicators
| FCLS.NEO | PMM.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.39% | -23.50% | +9.11% |
Max Drawdown (1Y)Largest decline over 1 year | -12.39% | -3.50% | -8.89% |
Max Drawdown (3Y)Largest decline over 3 years | — | -9.87% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -11.18% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -23.50% | — |
Current DrawdownCurrent decline from peak | -3.04% | -1.06% | -1.98% |
Average DrawdownAverage peak-to-trough decline | -2.11% | -7.88% | +5.77% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.05% | 1.25% | +1.80% |
Volatility
FCLS.NEO vs. PMM.TO - Volatility Comparison
Fidelity Canadian Long/Short Alternative ETF (FCLS.NEO) has a higher volatility of 3.93% compared to Purpose Multi-Strategy Market Neutral Fund (PMM.TO) at 3.34%. This indicates that FCLS.NEO's price experiences larger fluctuations and is considered to be riskier than PMM.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FCLS.NEO | PMM.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.93% | 3.34% | +0.59% |
Volatility (6M)Calculated over the trailing 6-month period | 13.88% | 6.31% | +7.57% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.82% | 9.49% | +6.33% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.02% | 9.95% | +4.07% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.02% | 10.07% | +3.95% |
Dividends
FCLS.NEO vs. PMM.TO - Dividend Comparison
FCLS.NEO's dividend yield for the trailing twelve months is around 0.62%, while PMM.TO has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
FCLS.NEO Fidelity Canadian Long/Short Alternative ETF | 0.62% | 0.65% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
PMM.TO Purpose Multi-Strategy Market Neutral Fund | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.92% | 2.44% |
Frequently Asked Questions
FCLS.NEO and PMM.TO have a correlation of 0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
They also come from different issuers: Fidelity and Purpose Investments.
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