PMM.TO vs. ^GSPC

Last updated Apr 2, 2026

Compare and contrast key facts about Purpose Multi-Strategy Market Neutral Fund (PMM.TO) and S&P 500 Index (^GSPC).

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.

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	3.18%	6.07%	20.49%	5.85%	-3.80%	6.01%	-14.11%	1.88%	-2.86%	6.56%
^GSPC S&P 500 Index	-2.73%	11.05%	33.90%	21.49%	-13.70%	25.75%	14.29%	22.54%	1.71%	11.82%

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 3.18% return, which is significantly higher than ^GSPC's -3.34% return. Over the past 10 years, PMM.TO has underperformed ^GSPC with an annualized return of 3.11%, while ^GSPC has yielded a comparatively higher 12.91% annualized return.

PMM.TO

• 1D: -0.15%
• 1M: -0.87%
• YTD: 3.18%
• 6M: 3.70%
• 1Y: 14.42%
• 3Y*: 11.51%
• 5Y*: 7.00%
• 10Y*: 3.11%

^GSPC

• 1D: 0.00%
• 1M: -3.51%
• YTD: -3.34%
• 6M: -2.91%
• 1Y: 12.69%
• 3Y*: 17.80%
• 5Y*: 12.48%
• 10Y*: 12.91%

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

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: 77
PMM.TO Sharpe Ratio Rank: 77
PMM.TO Sortino Ratio Rank: 75
PMM.TO Omega Ratio Rank: 68
PMM.TO Calmar Ratio Rank: 87
PMM.TO Martin Ratio Rank: 79

^GSPC

^GSPC Risk / Return Rank: 67
^GSPC Sharpe Ratio Rank: 63
^GSPC Sortino Ratio Rank: 64
^GSPC Omega Ratio Rank: 69
^GSPC Calmar Ratio Rank: 60
^GSPC Martin Ratio Rank: 77

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	1.46	0.70	+0.76
Sortino ratio Return per unit of downside risk	1.98	1.07	+0.91
Omega ratio Gain probability vs. loss probability	1.26	1.17	+0.09
Calmar ratio Return relative to maximum drawdown	2.94	1.04	+1.89
Martin ratio Return relative to average drawdown	9.33	3.82	+5.51
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 1.46, which is higher than the ^GSPC Sharpe Ratio of 0.70. The chart below compares the historical Sharpe Ratios of PMM.TO and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	PMM.TO	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.46	0.70	+0.76
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.73	0.84	-0.11
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.31	0.79	-0.48
Sharpe Ratio (All Time) Calculated using the full available price history	0.28	0.91	-0.63

Correlation

The correlation between PMM.TO and ^GSPC is 0.34, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

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%	-56.78%	+33.28%
Max Drawdown (1Y) Largest decline over 1 year	-5.09%	-12.14%	+7.05%
Max Drawdown (5Y) Largest decline over 5 years	-11.18%	-25.43%	+14.25%
Max Drawdown (10Y) Largest decline over 10 years	-23.50%	-33.92%	+10.42%
Current Drawdown Current decline from peak	-1.41%	-5.78%	+4.37%
Average Drawdown Average peak-to-trough decline	-8.07%	-10.75%	+2.68%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.63%	2.60%	-0.97%

Volatility

PMM.TO vs. ^GSPC - Volatility Comparison

The current volatility for Purpose Multi-Strategy Market Neutral Fund (PMM.TO) is 1.79%, while S&P 500 Index (^GSPC) has a volatility of 5.22%. 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	1.79%	5.22%	-3.43%
Volatility (6M) Calculated over the trailing 6-month period	7.26%	9.60%	-2.34%
Volatility (1Y) Calculated over the trailing 1-year period	10.25%	18.11%	-7.86%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.71%	14.99%	-5.28%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.15%	16.33%	-6.18%