PMM.TO vs. FGLS.NEO
PMM.TO (Purpose Multi-Strategy Market Neutral Fund) and FGLS.NEO (Fidelity Global Value Long/Short Alternative ETF) are both Long-Short funds. Both are actively managed. Over the past year, PMM.TO returned 15.65% vs 12.65% for FGLS.NEO. At a correlation of -0.12, they often move in opposite directions.
Performance
PMM.TO vs. FGLS.NEO - Performance Comparison
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Returns By Period
In the year-to-date period, PMM.TO achieves a 6.44% return, which is significantly lower than FGLS.NEO's 8.43% 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%
FGLS.NEO
- 1D
- 5.59%
- 1M
- 15.32%
- 6M
- 9.72%
- YTD
- 8.43%
- 1Y
- 12.65%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
PMM.TO vs. FGLS.NEO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
PMM.TO Purpose Multi-Strategy Market Neutral Fund | 6.44% | 6.07% | 17.92% |
FGLS.NEO Fidelity Global Value Long/Short Alternative ETF | 8.43% | 8.38% | -21.20% |
Correlation
The correlation between PMM.TO and FGLS.NEO is -0.04, 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 | -0.04 |
Correlation (All Time) Calculated using the full available price history since Feb 1, 2024 | -0.12 |
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Return for Risk
PMM.TO vs. FGLS.NEO — Risk / Return Rank
PMM.TO
FGLS.NEO
PMM.TO vs. FGLS.NEO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Purpose Multi-Strategy Market Neutral Fund (PMM.TO) and Fidelity Global Value Long/Short Alternative ETF (FGLS.NEO). 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 | FGLS.NEO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.23 | ||
| Sortino ratioReturn per unit of downside risk | +1.43 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.10 | +0.21 |
| Calmar ratioReturn relative to maximum drawdown | 4.58 | 0.60 | +3.98 |
| Martin ratioReturn relative to average drawdown | 12.78 | 1.23 | +11.55 |
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Drawdowns
PMM.TO vs. FGLS.NEO - Drawdown Comparison
The maximum PMM.TO drawdown since its inception was -23.50%, smaller than the maximum FGLS.NEO drawdown of -25.89%. Use the drawdown chart below to compare losses from any high point for PMM.TO and FGLS.NEO.
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Drawdown Indicators
| PMM.TO | FGLS.NEO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.50% | -25.89% | +2.39% |
Max Drawdown (1Y)Largest decline over 1 year | -3.50% | -21.12% | +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 | -1.06% | -7.51% | +6.45% |
Average DrawdownAverage peak-to-trough decline | -7.88% | -14.44% | +6.56% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.25% | 10.29% | -9.04% |
Volatility
PMM.TO vs. FGLS.NEO - Volatility Comparison
The current volatility for Purpose Multi-Strategy Market Neutral Fund (PMM.TO) is 3.34%, while Fidelity Global Value Long/Short Alternative ETF (FGLS.NEO) has a volatility of 11.09%. This indicates that PMM.TO experiences smaller price fluctuations and is considered to be less risky than FGLS.NEO 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 | FGLS.NEO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.34% | 11.09% | -7.75% |
Volatility (6M)Calculated over the trailing 6-month period | 6.31% | 21.09% | -14.78% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.49% | 27.47% | -17.98% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.95% | 24.00% | -14.05% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.07% | 24.00% | -13.93% |
Dividends
PMM.TO vs. FGLS.NEO - Dividend Comparison
Neither PMM.TO nor FGLS.NEO 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
PMM.TO and FGLS.NEO have a correlation of -0.04, 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: Purpose Investments and Fidelity.
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