PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
PMM.TO vs. YCST.NEO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

PMM.TO vs. YCST.NEO

Last updated Jun 4, 2026

PMM.TO (Purpose Multi-Strategy Market Neutral Fund) and YCST.NEO (Costco (COST) Yield Shares Purpose ETF) are both exchange-traded funds - PMM.TO is a Long-Short fund actively managed by Purpose Investments, while YCST.NEO is a Derivative Income fund actively managed by Purpose Investments. Both are actively managed. Over the past year, PMM.TO returned 17.19% vs -7.85% for YCST.NEO. At a 0.10 correlation, their price movements are largely independent.

Performance

PMM.TO vs. YCST.NEO - 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 Costco (COST) Yield Shares Purpose ETF (YCST.NEO). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, PMM.TO achieves a 5.69% return, which is significantly lower than YCST.NEO's 12.72% 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%

YCST.NEO

1D
0.77%
1M
-5.63%
YTD
12.72%
6M
5.30%
1Y
-7.85%
3Y*
—
5Y*
—
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

PMM.TO vs. YCST.NEO - Yearly Performance Comparison

2026 (YTD)2025
PMM.TO
Purpose Multi-Strategy Market Neutral Fund		5.69%8.11%
YCST.NEO
Costco (COST) Yield Shares Purpose ETF		12.72%-16.43%

Correlation

The correlation between PMM.TO and YCST.NEO is 0.08, 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

0.08

Correlation (All Time)
Calculated using the full available price history since Feb 21, 2025

0.10

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Purpose Multi-Strategy Market Neutral Fund

Costco (COST) Yield Shares Purpose ETF

Often compared with PMM.TO:
PMM.TO vs. QLEIXPMM.TO vs. IS.TOPMM.TO vs. ZMMK.TOPMM.TO vs. BRKY.NEOPMM.TO vs. ^GSPCPMM.TO vs. PDIV.TOPMM.TO vs. MNY.TO
Often compared with YCST.NEO:
YCST.NEO vs. DXQ.TOYCST.NEO vs. GOGY.TOYCST.NEO vs. EASY.TOYCST.NEO vs. CRCY.TOYCST.NEO vs. KILO-B.TOYCST.NEO vs. TSLY.TOYCST.NEO vs. ECHI.TO

Return for Risk

PMM.TO vs. YCST.NEO — 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: 6464
Overall Rank
PMM.TO Sharpe Ratio Rank: 5454
Sharpe Ratio Rank
PMM.TO Sortino Ratio Rank: 5151
Sortino Ratio Rank
PMM.TO Omega Ratio Rank: 5454
Omega Ratio Rank
PMM.TO Calmar Ratio Rank: 8787
Calmar Ratio Rank
PMM.TO Martin Ratio Rank: 7474
Martin Ratio Rank
YCST.NEO
YCST.NEO Risk / Return Rank: 55
Overall Rank
YCST.NEO Sharpe Ratio Rank: 55
Sharpe Ratio Rank
YCST.NEO Sortino Ratio Rank: 55
Sortino Ratio Rank
YCST.NEO Omega Ratio Rank: 55
Omega Ratio Rank
YCST.NEO Calmar Ratio Rank: 55
Calmar Ratio Rank
YCST.NEO Martin Ratio Rank: 55
Martin Ratio Rank
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. YCST.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 Costco (COST) Yield Shares Purpose ETF (YCST.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.

PMM.TOYCST.NEODifference

Sharpe ratio

Return per unit of total volatility

1.86

-0.38

+2.24

Sortino ratio

Return per unit of downside risk

2.51

-0.41

+2.92

Omega ratio

Gain probability vs. loss probability

1.34

0.95

+0.39

Calmar ratio

Return relative to maximum drawdown

5.03

-0.40

+5.43

Martin ratio

Return relative to average drawdown

13.86

-0.81

+14.66

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. YCST.NEO - Sharpe Ratio Comparison

The current PMM.TO Sharpe Ratio is 1.86, which is higher than the YCST.NEO Sharpe Ratio of -0.38. The chart below compares the historical Sharpe Ratios of PMM.TO and YCST.NEO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Sharpe Ratios by Period

PMM.TOYCST.NEODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.86

-0.38

+2.24

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.73

—

—

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.35

—

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.30

-0.18

+0.48

Drawdowns

PMM.TO vs. YCST.NEO - Drawdown Comparison

The maximum PMM.TO drawdown since its inception was -23.50%, which is greater than YCST.NEO's maximum drawdown of -19.70%. Use the drawdown chart below to compare losses from any high point for PMM.TO and YCST.NEO.

Loading charts...

Drawdown Indicators

PMM.TOYCST.NEODifference

Max Drawdown

Largest peak-to-trough decline

-23.50%

-19.70%

-3.80%

Max Drawdown (1Y)

Largest decline over 1 year

-3.50%

-19.54%

+16.04%

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 Drawdown

Current decline from peak

-0.54%

-12.62%

+12.08%

Average Drawdown

Average peak-to-trough decline

-7.97%

-8.56%

+0.59%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.26%

9.91%

-8.65%

Volatility

PMM.TO vs. YCST.NEO - Volatility Comparison

The current volatility for Purpose Multi-Strategy Market Neutral Fund (PMM.TO) is 2.01%, while Costco (COST) Yield Shares Purpose ETF (YCST.NEO) has a volatility of 10.33%. This indicates that PMM.TO experiences smaller price fluctuations and is considered to be less risky than YCST.NEO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

PMM.TOYCST.NEODifference

Volatility (1M)

Calculated over the trailing 1-month period

2.01%

10.33%

-8.32%

Volatility (6M)

Calculated over the trailing 6-month period

6.27%

16.64%

-10.37%

Volatility (1Y)

Calculated over the trailing 1-year period

9.45%

20.54%

-11.09%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

9.76%

25.22%

-15.46%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

10.13%

25.22%

-15.09%

Dividends

PMM.TO vs. YCST.NEO - Dividend Comparison

PMM.TO has not paid dividends to shareholders, while YCST.NEO's dividend yield for the trailing twelve months is around 14.01%.

PositionTTM202520242023202220212020201920182017
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%
YCST.NEO
Costco (COST) Yield Shares Purpose ETF		14.01%10.21%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Frequently Asked Questions

PMM.TO and YCST.NEO have a correlation of 0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

PMM.TO is categorized as Long-Short, while YCST.NEO is Derivative Income.

Portfolio Optimizer

Find the right allocation for PMM.TO and YCST.NEO

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer