PMM.TO vs. ^GSPC
PMM.TO (Purpose Multi-Strategy Market Neutral Fund) is Long-Short fund actively managed by Purpose Investments, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, PMM.TO returned 3.27%/yr vs 14.19%/yr for ^GSPC. At a 0.26 correlation, their price movements are largely independent.
Performance
PMM.TO vs. ^GSPC - Performance Comparison
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Different Trading Currencies
PMM.TO is traded in CAD, while ^GSPC is traded in USD. To make them comparable, the ^GSPC values have been converted to CAD using the latest available exchange rates.
Returns By Period
In the year-to-date period, PMM.TO achieves a 6.44% return, which is significantly lower than ^GSPC's 12.85% return. Over the past 10 years, PMM.TO has underperformed ^GSPC with an annualized return of 3.27%, while ^GSPC has yielded a comparatively higher 14.19% annualized return.
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%
^GSPC
- 1D
- -0.57%
- 1M
- 0.68%
- 6M
- 9.72%
- YTD
- 12.85%
- 1Y
- 23.14%
- 3Y*
- 20.94%
- 5Y*
- 14.20%
- 10Y*
- 14.19%
PMM.TO vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PMM.TO Purpose Multi-Strategy Market Neutral Fund | 6.44% | 6.07% | 20.49% | 5.85% | -3.80% | 6.01% | -14.11% | 1.88% | -2.86% | 6.56% |
^GSPC S&P 500 Index | 12.81% | 11.07% | 33.75% | 21.28% | -14.34% | 26.83% | 13.50% | 23.57% | 1.65% | 11.33% |
Correlation
The correlation between PMM.TO and ^GSPC is 0.33, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.33 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.27 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.28 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.26 |
Correlation (All Time) Calculated using the full available price history since Nov 13, 2014 | 0.26 |
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Return for Risk
PMM.TO vs. ^GSPC — Risk / Return Rank
PMM.TO
^GSPC
PMM.TO vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Purpose Multi-Strategy Market Neutral Fund (PMM.TO) and S&P 500 Index (^GSPC). 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.
| PMM.TO | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.11 | ||
| Sortino ratioReturn per unit of downside risk | -0.22 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.32 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 4.58 | 2.53 | +2.05 |
| Martin ratioReturn relative to average drawdown | 12.78 | 9.38 | +3.40 |
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Drawdowns
PMM.TO vs. ^GSPC - Drawdown Comparison
The maximum PMM.TO drawdown since its inception was -23.50%, smaller than the maximum ^GSPC drawdown of -48.87%. Use the drawdown chart below to compare losses from any high point for PMM.TO and ^GSPC.
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Drawdown Indicators
| PMM.TO | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.50% | -48.87% | +25.37% |
Max Drawdown (1Y)Largest decline over 1 year | -3.50% | -9.17% | +5.67% |
Max Drawdown (3Y)Largest decline over 3 years | -9.87% | -19.59% | +9.72% |
Max Drawdown (5Y)Largest decline over 5 years | -11.18% | -23.14% | +11.96% |
Max Drawdown (10Y)Largest decline over 10 years | -23.50% | -27.97% | +4.47% |
Current DrawdownCurrent decline from peak | -1.06% | -1.39% | +0.33% |
Average DrawdownAverage peak-to-trough decline | -7.88% | -9.63% | +1.75% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.25% | 2.47% | -1.22% |
Volatility
PMM.TO vs. ^GSPC - Volatility Comparison
The current volatility for Purpose Multi-Strategy Market Neutral Fund (PMM.TO) is 3.34%, while S&P 500 Index (^GSPC) has a volatility of 3.53%. This indicates that PMM.TO experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PMM.TO | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.34% | 3.53% | -0.19% |
Volatility (6M)Calculated over the trailing 6-month period | 6.31% | 10.37% | -4.06% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.49% | 12.90% | -3.41% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.95% | 17.95% | -8.00% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.07% | 19.12% | -9.05% |
Frequently Asked Questions
PMM.TO and ^GSPC have a correlation of 0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
Find the right allocation for PMM.TO and ^GSPC
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