PMM.TO vs. QLEIX

Last updated Jun 4, 2026

PMM.TO (Purpose Multi-Strategy Market Neutral Fund) and QLEIX (AQR Long-Short Equity Fund) are both Long-Short funds. Over the past 10 years, PMM.TO returned 3.51%/yr vs 12.78%/yr for QLEIX. At a 0.18 correlation, their price movements are largely independent.

Performance

PMM.TO vs. QLEIX - 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 AQR Long-Short Equity Fund (QLEIX). The values are adjusted to include any dividend payments, if applicable.

Different Trading Currencies

PMM.TO is traded in CAD, while QLEIX is traded in USD. To make them comparable, the QLEIX 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 higher than QLEIX's 1.24% return. Over the past 10 years, PMM.TO has underperformed QLEIX with an annualized return of 3.51%, while QLEIX has yielded a comparatively higher 12.78% 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%

QLEIX

• 1D: 0.12%
• 1M: 5.14%
• YTD: 1.24%
• 6M: 3.95%
• 1Y: 17.05%
• 3Y*: 29.03%
• 5Y*: 25.24%
• 10Y*: 12.78%

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

PMM.TO vs. QLEIX - 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%
QLEIX AQR Long-Short Equity Fund	1.24%	28.27%	41.71%	21.21%	27.67%	29.91%	-15.38%	-3.79%	-9.23%	8.37%

Correlation

The correlation between PMM.TO and QLEIX is 0.31, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.31
Correlation (3Y) Calculated over the trailing 3-year period	0.24
Correlation (5Y) Calculated over the trailing 5-year period	0.15
Correlation (10Y) Calculated over the trailing 10-year period	0.17
Correlation (All Time) Calculated using the full available price history since Dec 8, 2014	0.18

The correlation between PMM.TO and QLEIX shifts across timeframes, from 0.15 (5 years) to 0.31 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

PMM.TO vs. QLEIX — 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

QLEIX

QLEIX Risk / Return Rank: 53
QLEIX Sharpe Ratio Rank: 59
QLEIX Sortino Ratio Rank: 63
QLEIX Omega Ratio Rank: 56
QLEIX Calmar Ratio Rank: 50
QLEIX Martin Ratio Rank: 39

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. QLEIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Purpose Multi-Strategy Market Neutral Fund (PMM.TO) and AQR Long-Short Equity Fund (QLEIX). 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	QLEIX	Difference
Sharpe ratio: Return per unit of total volatility	1.86	2.04	-0.19
Sortino ratio: Return per unit of downside risk	2.51	2.92	-0.41
Omega ratio: Gain probability vs. loss probability	1.34	1.36	-0.02
Calmar ratio: Return relative to maximum drawdown	5.03	2.43	+2.60
Martin ratio: Return relative to average drawdown	13.86	7.29	+6.57
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. QLEIX - Sharpe Ratio Comparison

The current PMM.TO Sharpe Ratio is 1.86, which is comparable to the QLEIX Sharpe Ratio of 2.04. The chart below compares the historical Sharpe Ratios of PMM.TO and QLEIX, 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	QLEIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.86	2.04	-0.19
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.73	2.43	-1.70
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.35	1.21	-0.86
Sharpe Ratio (All Time) Calculated using the full available price history	0.30	1.29	-0.99

Drawdowns

PMM.TO vs. QLEIX - Drawdown Comparison

The maximum PMM.TO drawdown since its inception was -23.50%, smaller than the maximum QLEIX drawdown of -30.81%. Use the drawdown chart below to compare losses from any high point for PMM.TO and QLEIX.

Drawdown Indicators

	PMM.TO	QLEIX	Difference
Max Drawdown Largest peak-to-trough decline	-23.50%	-30.81%	+7.31%
Max Drawdown (1Y) Largest decline over 1 year	-3.50%	-7.14%	+3.64%
Max Drawdown (3Y) Largest decline over 3 years	-9.87%	-7.25%	-2.62%
Max Drawdown (5Y) Largest decline over 5 years	-11.18%	-14.01%	+2.83%
Max Drawdown (10Y) Largest decline over 10 years	-23.50%	-30.81%	+7.31%
Current Drawdown Current decline from peak	-0.54%	-0.15%	-0.39%
Average Drawdown Average peak-to-trough decline	-7.97%	-7.13%	-0.84%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.26%	2.37%	-1.11%

Volatility

PMM.TO vs. QLEIX - Volatility Comparison

Purpose Multi-Strategy Market Neutral Fund (PMM.TO) and AQR Long-Short Equity Fund (QLEIX) have volatilities of 2.01% and 2.10%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PMM.TO	QLEIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.01%	2.10%	-0.09%
Volatility (6M) Calculated over the trailing 6-month period	6.27%	6.45%	-0.18%
Volatility (1Y) Calculated over the trailing 1-year period	9.45%	8.49%	+0.96%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.76%	10.46%	-0.70%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.13%	10.61%	-0.48%

Dividends

PMM.TO vs. QLEIX - Dividend Comparison

PMM.TO has not paid dividends to shareholders, while QLEIX's dividend yield for the trailing twelve months is around 1.75%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%	0.00%	0.00%
QLEIX AQR Long-Short Equity Fund	1.75%	1.75%	7.12%	20.88%	14.15%	0.00%	1.57%	0.00%	6.03%	9.11%	3.01%	4.98%

Frequently Asked Questions

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

PMM.TO and QLEIX have a correlation of 0.31, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.