PMM.TO vs. ^GSPC

Last updated Jun 4, 2026

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 3.51%/yr vs 14.52%/yr for ^GSPC. At a 0.34 correlation, their price movements are largely independent.

Performance

PMM.TO vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in Purpose Multi-Strategy Market Neutral Fund (PMM.TO) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

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 5.69% return, which is significantly lower than ^GSPC's 12.12% return. Over the past 10 years, PMM.TO has underperformed ^GSPC with an annualized return of 3.51%, while ^GSPC has yielded a comparatively higher 14.52% annualized return.

PMM.TO

• 1D: -0.54%
• 1M: 3.07%
• YTD: 5.69%
• 6M: 3.53%
• 1Y: 17.19%
• 3Y*: 11.58%
• 5Y*: 7.10%
• 10Y*: 3.51%

^GSPC

• 1D: 0.00%
• 1M: 7.35%
• YTD: 12.12%
• 6M: 10.22%
• 1Y: 28.58%
• 3Y*: 22.37%
• 5Y*: 15.58%
• 10Y*: 14.52%

*Multi-year figures are annualized to reflect compound growth (CAGR)

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	5.69%	6.07%	20.49%	5.85%	-3.80%	6.01%	-14.11%	1.88%	-2.86%	6.56%
^GSPC S&P 500 Index	11.75%	11.05%	33.90%	21.49%	-13.70%	25.75%	14.29%	22.54%	1.71%	11.82%

Correlation

The correlation between PMM.TO and ^GSPC is 0.43, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.43
Correlation (3Y) Calculated over the trailing 3-year period	0.37
Correlation (5Y) Calculated over the trailing 5-year period	0.36
Correlation (10Y) Calculated over the trailing 10-year period	0.33
Correlation (All Time) Calculated using the full available price history since Dec 8, 2014	0.34

The correlation between PMM.TO and ^GSPC shifts across timeframes, from 0.33 (10 years) to 0.43 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

PMM.TO vs. ^GSPC — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

PMM.TO

PMM.TO Risk / Return Rank: 64
PMM.TO Sharpe Ratio Rank: 54
PMM.TO Sortino Ratio Rank: 51
PMM.TO Omega Ratio Rank: 54
PMM.TO Calmar Ratio Rank: 87
PMM.TO Martin Ratio Rank: 74

^GSPC

^GSPC Risk / Return Rank: 73
^GSPC Sharpe Ratio Rank: 71
^GSPC Sortino Ratio Rank: 71
^GSPC Omega Ratio Rank: 72
^GSPC Calmar Ratio Rank: 67
^GSPC Martin Ratio Rank: 81

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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.

	PMM.TO	^GSPC	Difference
Sharpe ratio Return per unit of total volatility	1.86	2.46	-0.60
Sortino ratio Return per unit of downside risk	2.51	3.32	-0.81
Omega ratio Gain probability vs. loss probability	1.34	1.47	-0.13
Calmar ratio Return relative to maximum drawdown	5.03	3.24	+1.78
Martin ratio Return relative to average drawdown	13.86	12.23	+1.63
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PMM.TO vs. ^GSPC - Sharpe Ratio Comparison

The current PMM.TO Sharpe Ratio is 1.86, which is comparable to the ^GSPC Sharpe Ratio of 2.46. The chart below compares the historical Sharpe Ratios of PMM.TO and ^GSPC, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	PMM.TO	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.86	2.46	-0.60
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.73	1.05	-0.31
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.35	0.89	-0.54
Sharpe Ratio (All Time) Calculated using the full available price history	0.30	0.99	-0.69

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 -27.59%. Use the drawdown chart below to compare losses from any high point for PMM.TO and ^GSPC.

Drawdown Indicators

	PMM.TO	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-23.50%	-27.59%	+4.09%
Max Drawdown (1Y) Largest decline over 1 year	-3.50%	-8.86%	+5.36%
Max Drawdown (3Y) Largest decline over 3 years	-9.87%	-19.23%	+9.36%
Max Drawdown (5Y) Largest decline over 5 years	-11.18%	-22.60%	+11.42%
Max Drawdown (10Y) Largest decline over 10 years	-23.50%	-27.59%	+4.09%
Current Drawdown Current decline from peak	-0.54%	0.00%	-0.54%
Average Drawdown Average peak-to-trough decline	-7.97%	-3.51%	-4.46%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.26%	2.34%	-1.08%

Volatility

PMM.TO vs. ^GSPC - Volatility Comparison

The current volatility for Purpose Multi-Strategy Market Neutral Fund (PMM.TO) is 2.01%, while S&P 500 Index (^GSPC) has a volatility of 2.69%. 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.

Volatility by Period

	PMM.TO	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.01%	2.69%	-0.68%
Volatility (6M) Calculated over the trailing 6-month period	6.27%	8.85%	-2.58%
Volatility (1Y) Calculated over the trailing 1-year period	9.45%	11.70%	-2.25%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.76%	14.99%	-5.23%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.13%	16.33%	-6.20%

Frequently Asked Questions

Can I hold both PMM.TO and ^GSPC in my portfolio?

PMM.TO and ^GSPC have a correlation of 0.43, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.