FGLS.NEO vs. PMM.TO
FGLS.NEO (Fidelity Global Value 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, FGLS.NEO returned 3.00% vs 15.69% for PMM.TO. At a correlation of -0.12, they often move in opposite directions.
Performance
FGLS.NEO vs. PMM.TO - Performance Comparison
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Returns By Period
In the year-to-date period, FGLS.NEO achieves a 0.47% return, which is significantly lower than PMM.TO's 6.75% return.
FGLS.NEO
- 1D
- 5.54%
- 1M
- 11.00%
- 6M
- 0.47%
- YTD
- 0.47%
- 1Y
- 3.00%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
PMM.TO
- 1D
- -0.04%
- 1M
- 1.00%
- 6M
- 6.75%
- YTD
- 6.75%
- 1Y
- 15.69%
- 3Y*
- 11.53%
- 5Y*
- 6.86%
- 10Y*
- 3.50%
FGLS.NEO vs. PMM.TO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
FGLS.NEO Fidelity Global Value Long/Short Alternative ETF | 0.47% | 8.38% | -21.20% |
PMM.TO Purpose Multi-Strategy Market Neutral Fund | 6.75% | 6.07% | 17.92% |
Correlation
The correlation between FGLS.NEO and PMM.TO is -0.05, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.05 |
Correlation (All Time) Calculated using the full available price history since Feb 1, 2024 | -0.12 |
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Return for Risk
FGLS.NEO vs. PMM.TO — Risk / Return Rank
FGLS.NEO
PMM.TO
FGLS.NEO vs. PMM.TO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Fidelity Global Value Long/Short Alternative ETF (FGLS.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.
| FGLS.NEO | PMM.TO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.60 | ||
| Sortino ratioReturn per unit of downside risk | -1.98 | ||
| Omega ratioGain probability vs. loss probability | 1.04 | 1.32 | -0.27 |
| Calmar ratioReturn relative to maximum drawdown | 0.14 | 4.67 | -4.53 |
| Martin ratioReturn relative to average drawdown | 0.30 | 12.98 | -12.68 |
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Drawdowns
FGLS.NEO vs. PMM.TO - Drawdown Comparison
The maximum FGLS.NEO drawdown since its inception was -25.89%, which is greater than PMM.TO's maximum drawdown of -23.50%. Use the drawdown chart below to compare losses from any high point for FGLS.NEO and PMM.TO.
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Drawdown Indicators
| FGLS.NEO | PMM.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -25.89% | -23.50% | -2.39% |
Max Drawdown (1Y)Largest decline over 1 year | -21.12% | -3.50% | -17.62% |
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 | -14.30% | -0.78% | -13.52% |
Average DrawdownAverage peak-to-trough decline | -14.47% | -7.90% | -6.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.07% | 1.26% | +8.81% |
Volatility
FGLS.NEO vs. PMM.TO - Volatility Comparison
Fidelity Global Value Long/Short Alternative ETF (FGLS.NEO) has a higher volatility of 10.82% compared to Purpose Multi-Strategy Market Neutral Fund (PMM.TO) at 3.33%. This indicates that FGLS.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
| FGLS.NEO | PMM.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.82% | 3.33% | +7.49% |
Volatility (6M)Calculated over the trailing 6-month period | 19.47% | 6.40% | +13.07% |
Volatility (1Y)Calculated over the trailing 1-year period | 26.20% | 9.51% | +16.69% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.51% | 9.94% | +13.57% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.51% | 10.09% | +13.42% |
Dividends
FGLS.NEO vs. PMM.TO - Dividend Comparison
Neither FGLS.NEO nor PMM.TO has paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
FGLS.NEO Fidelity Global Value Long/Short Alternative ETF | 0.00% | 0.00% | 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
FGLS.NEO and PMM.TO have a correlation of -0.05, 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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