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 3.50%/yr vs 14.84%/yr for ^GSPC. At a 0.26 correlation, their price movements are largely independent.
Performance
PMM.TO vs. ^GSPC - Performance Comparison
Loading charts...
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 5.38% return, which is significantly lower than ^GSPC's 11.24% return. Over the past 10 years, PMM.TO has underperformed ^GSPC with an annualized return of 3.50%, while ^GSPC has yielded a comparatively higher 14.84% annualized return.
PMM.TO
- 1D
- -2.01%
- 1M
- 1.05%
- YTD
- 5.38%
- 6M
- 5.02%
- 1Y
- 17.85%
- 3Y*
- 11.75%
- 5Y*
- 6.82%
- 10Y*
- 3.50%
^GSPC
- 1D
- -1.55%
- 1M
- 1.29%
- YTD
- 11.24%
- 6M
- 9.77%
- 1Y
- 25.97%
- 3Y*
- 22.19%
- 5Y*
- 14.72%
- 10Y*
- 14.84%
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 | 5.38% | 6.07% | 20.49% | 5.85% | -3.80% | 6.01% | -14.11% | 1.88% | -2.86% | 6.56% |
^GSPC S&P 500 Index | 11.24% | 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 0.34, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.34 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.28 |
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 |
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
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 | -0.12 | ||
| Sortino ratioReturn per unit of downside risk | -0.25 | ||
| Omega ratioGain probability vs. loss probability | 1.35 | 1.35 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 5.13 | 2.84 | +2.28 |
| Martin ratioReturn relative to average drawdown | 14.26 | 10.55 | +3.71 |
Loading charts...
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.
Loading charts...
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 | -2.01% | -1.55% | -0.46% |
Average DrawdownAverage peak-to-trough decline | -7.91% | -9.65% | +1.74% |
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 2.92%, while S&P 500 Index (^GSPC) has a volatility of 5.21%. 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.
Loading charts...
Volatility by Period
| PMM.TO | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.92% | 5.21% | -2.29% |
Volatility (6M)Calculated over the trailing 6-month period | 6.20% | 10.35% | -4.15% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.41% | 12.96% | -3.55% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.91% | 17.97% | -8.06% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.10% | 19.16% | -9.06% |
Frequently Asked Questions
PMM.TO and ^GSPC have a correlation of 0.34, 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
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer