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PMYYX vs. GAA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PMYYX vs. GAA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Putnam Multi-Cap Core Fund (PMYYX) and Cambria Global Asset Allocation ETF (GAA). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
12.02%
2.03%
PMYYX
GAA

Returns By Period

In the year-to-date period, PMYYX achieves a 27.11% return, which is significantly higher than GAA's 7.92% return.


PMYYX

YTD

27.11%

1M

0.94%

6M

12.33%

1Y

31.95%

5Y (annualized)

12.65%

10Y (annualized)

11.04%

GAA

YTD

7.92%

1M

-1.18%

6M

2.27%

1Y

13.58%

5Y (annualized)

5.64%

10Y (annualized)

N/A

Key characteristics


PMYYXGAA
Sharpe Ratio2.621.35
Sortino Ratio3.471.94
Omega Ratio1.481.24
Calmar Ratio3.031.66
Martin Ratio17.218.61
Ulcer Index1.87%1.56%
Daily Std Dev12.34%10.00%
Max Drawdown-35.25%-26.57%
Current Drawdown-1.93%-2.56%

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PMYYX vs. GAA - Expense Ratio Comparison

PMYYX has a 0.71% expense ratio, which is higher than GAA's 0.41% expense ratio.


PMYYX
Putnam Multi-Cap Core Fund
Expense ratio chart for PMYYX: current value at 0.71% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.71%
Expense ratio chart for GAA: current value at 0.41% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.41%

Correlation

-0.50.00.51.00.6

The correlation between PMYYX and GAA is 0.58, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

PMYYX vs. GAA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Putnam Multi-Cap Core Fund (PMYYX) and Cambria Global Asset Allocation ETF (GAA). 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.


Sharpe ratio
The chart of Sharpe ratio for PMYYX, currently valued at 2.62, compared to the broader market0.002.004.002.621.35
The chart of Sortino ratio for PMYYX, currently valued at 3.47, compared to the broader market0.005.0010.003.471.94
The chart of Omega ratio for PMYYX, currently valued at 1.48, compared to the broader market1.002.003.004.001.481.24
The chart of Calmar ratio for PMYYX, currently valued at 3.03, compared to the broader market0.005.0010.0015.0020.0025.003.031.66
The chart of Martin ratio for PMYYX, currently valued at 17.21, compared to the broader market0.0020.0040.0060.0080.00100.0017.218.61
PMYYX
GAA

The current PMYYX Sharpe Ratio is 2.62, which is higher than the GAA Sharpe Ratio of 1.35. The chart below compares the historical Sharpe Ratios of PMYYX and GAA, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.62
1.35
PMYYX
GAA

Dividends

PMYYX vs. GAA - Dividend Comparison

PMYYX's dividend yield for the trailing twelve months is around 0.75%, less than GAA's 4.59% yield.


TTM20232022202120202019201820172016201520142013
PMYYX
Putnam Multi-Cap Core Fund
0.75%0.95%0.32%0.99%1.07%1.74%0.00%1.44%1.21%2.29%2.15%10.12%
GAA
Cambria Global Asset Allocation ETF
4.59%3.73%6.05%4.21%2.73%3.32%3.00%2.35%2.81%2.49%0.57%0.00%

Drawdowns

PMYYX vs. GAA - Drawdown Comparison

The maximum PMYYX drawdown since its inception was -35.25%, which is greater than GAA's maximum drawdown of -26.57%. Use the drawdown chart below to compare losses from any high point for PMYYX and GAA. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.93%
-2.56%
PMYYX
GAA

Volatility

PMYYX vs. GAA - Volatility Comparison

Putnam Multi-Cap Core Fund (PMYYX) has a higher volatility of 4.28% compared to Cambria Global Asset Allocation ETF (GAA) at 3.09%. This indicates that PMYYX's price experiences larger fluctuations and is considered to be riskier than GAA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.28%
3.09%
PMYYX
GAA