PMM.TO vs. PFMN.TO
PMM.TO (Purpose Multi-Strategy Market Neutral Fund) and PFMN.TO (PICTON Market Neutral Equity Alternative Fund) are both Long-Short funds. Both are actively managed. Over the past 5 years, PMM.TO returned 6.51%/yr vs 6.55%/yr for PFMN.TO. At a 0.11 correlation, their price movements are largely independent.
Performance
PMM.TO vs. PFMN.TO - 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 higher than PFMN.TO's 2.36% 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%
PFMN.TO
- 1D
- 0.00%
- 1M
- -0.90%
- 6M
- 1.04%
- YTD
- 2.36%
- 1Y
- 4.73%
- 3Y*
- 7.62%
- 5Y*
- 6.55%
- 10Y*
- —
PMM.TO vs. PFMN.TO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
PMM.TO Purpose Multi-Strategy Market Neutral Fund | 6.44% | 6.07% | 20.49% | 5.85% | -3.80% | 6.01% | -14.11% | 0.54% |
PFMN.TO PICTON Market Neutral Equity Alternative Fund | 2.36% | 4.83% | 15.09% | 3.13% | 5.43% | 6.10% | 16.70% | 0.99% |
Correlation
The correlation between PMM.TO and PFMN.TO is 0.17, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.17 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.13 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.13 |
Correlation (All Time) Calculated using the full available price history since Jul 16, 2019 | 0.11 |
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Return for Risk
PMM.TO vs. PFMN.TO — Risk / Return Rank
PMM.TO
PFMN.TO
PMM.TO vs. PFMN.TO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Purpose Multi-Strategy Market Neutral Fund (PMM.TO) and PICTON Market Neutral Equity Alternative Fund (PFMN.TO). 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 | PFMN.TO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.68 | ||
| Sortino ratioReturn per unit of downside risk | +0.81 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.18 | +0.13 |
| Calmar ratioReturn relative to maximum drawdown | 4.58 | 1.36 | +3.22 |
| Martin ratioReturn relative to average drawdown | 12.78 | 4.63 | +8.15 |
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Drawdowns
PMM.TO vs. PFMN.TO - Drawdown Comparison
The maximum PMM.TO drawdown since its inception was -23.50%, which is greater than PFMN.TO's maximum drawdown of -13.04%. Use the drawdown chart below to compare losses from any high point for PMM.TO and PFMN.TO.
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Drawdown Indicators
| PMM.TO | PFMN.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.50% | -13.04% | -10.46% |
Max Drawdown (1Y)Largest decline over 1 year | -3.50% | -3.49% | -0.01% |
Max Drawdown (3Y)Largest decline over 3 years | -9.87% | -3.85% | -6.02% |
Max Drawdown (5Y)Largest decline over 5 years | -11.18% | -4.24% | -6.94% |
Max Drawdown (10Y)Largest decline over 10 years | -23.50% | — | — |
Current DrawdownCurrent decline from peak | -1.06% | -1.61% | +0.55% |
Average DrawdownAverage peak-to-trough decline | -7.88% | -1.17% | -6.71% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.25% | 1.02% | +0.23% |
Volatility
PMM.TO vs. PFMN.TO - Volatility Comparison
Purpose Multi-Strategy Market Neutral Fund (PMM.TO) has a higher volatility of 3.34% compared to PICTON Market Neutral Equity Alternative Fund (PFMN.TO) at 1.11%. This indicates that PMM.TO's price experiences larger fluctuations and is considered to be riskier than PFMN.TO 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 | PFMN.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.34% | 1.11% | +2.23% |
Volatility (6M)Calculated over the trailing 6-month period | 6.31% | 3.72% | +2.59% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.49% | 4.73% | +4.76% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.95% | 7.72% | +2.23% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.07% | 9.71% | +0.36% |
Dividends
PMM.TO vs. PFMN.TO - Dividend Comparison
PMM.TO has not paid dividends to shareholders, while PFMN.TO's dividend yield for the trailing twelve months is around 0.78%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
PFMN.TO PICTON Market Neutral Equity Alternative Fund | 0.78% | 0.80% | 0.00% | 1.28% | 0.00% | 0.00% | 0.00% | 0.09% | 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 PFMN.TO have a correlation of 0.17, 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 Picton Mahoney.
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