PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PMYYX vs. GAA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

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.


-0.50.00.51.00.6

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.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
10.20%
1.20%
PMYYX
GAA

Key characteristics

Sharpe Ratio

PMYYX:

2.33

GAA:

0.47

Sortino Ratio

PMYYX:

3.09

GAA:

0.70

Omega Ratio

PMYYX:

1.43

GAA:

1.09

Calmar Ratio

PMYYX:

3.40

GAA:

0.78

Martin Ratio

PMYYX:

15.10

GAA:

2.76

Ulcer Index

PMYYX:

1.92%

GAA:

1.63%

Daily Std Dev

PMYYX:

12.42%

GAA:

9.50%

Max Drawdown

PMYYX:

-35.25%

GAA:

-26.57%

Current Drawdown

PMYYX:

-2.43%

GAA:

-4.27%

Returns By Period

In the year-to-date period, PMYYX achieves a 28.10% return, which is significantly higher than GAA's 6.02% return. Over the past 10 years, PMYYX has outperformed GAA with an annualized return of 10.98%, while GAA has yielded a comparatively lower 4.99% annualized return.


PMYYX

YTD

28.10%

1M

-0.36%

6M

10.20%

1Y

28.61%

5Y*

12.68%

10Y*

10.98%

GAA

YTD

6.02%

1M

-3.43%

6M

1.19%

1Y

5.88%

5Y*

4.85%

10Y*

4.99%

Compare stocks, funds, or ETFs

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


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%

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 2.33, compared to the broader market-1.000.001.002.003.004.002.330.47
The chart of Sortino ratio for PMYYX, currently valued at 3.09, compared to the broader market-2.000.002.004.006.008.0010.003.090.70
The chart of Omega ratio for PMYYX, currently valued at 1.43, compared to the broader market0.501.001.502.002.503.003.501.431.09
The chart of Calmar ratio for PMYYX, currently valued at 3.40, compared to the broader market0.002.004.006.008.0010.0012.0014.003.400.78
The chart of Martin ratio for PMYYX, currently valued at 15.10, compared to the broader market0.0020.0040.0060.0015.102.76
PMYYX
GAA

The current PMYYX Sharpe Ratio is 2.33, which is higher than the GAA Sharpe Ratio of 0.47. 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
2.33
0.47
PMYYX
GAA

Dividends

PMYYX vs. GAA - Dividend Comparison

PMYYX's dividend yield for the trailing twelve months is around 4.41%, more than GAA's 3.90% yield.


TTM20232022202120202019201820172016201520142013
PMYYX
Putnam Multi-Cap Core Fund
4.41%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
3.90%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%JulyAugustSeptemberOctoberNovemberDecember
-2.43%
-4.27%
PMYYX
GAA

Volatility

PMYYX vs. GAA - Volatility Comparison

Putnam Multi-Cap Core Fund (PMYYX) has a higher volatility of 3.89% compared to Cambria Global Asset Allocation ETF (GAA) at 2.52%. 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%JulyAugustSeptemberOctoberNovemberDecember
3.89%
2.52%
PMYYX
GAA
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab