PNGAX vs. CMNIX

Last updated Jun 4, 2026

PNGAX (Putnam International Value Fund) and CMNIX (Calamos Market Neutral Income Fund Institutional Class) are both mutual funds - PNGAX is a Foreign Large Cap Equities fund managed by Putnam, while CMNIX is a fund fund managed by Calamos. Over the past 10 years, PNGAX returned 9.82%/yr vs 4.79%/yr for CMNIX. A 0.61 correlation means they provide meaningful diversification when combined. PNGAX charges 1.27%/yr vs 0.90%/yr for CMNIX.

Performance

PNGAX vs. CMNIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Putnam International Value Fund (PNGAX) and Calamos Market Neutral Income Fund Institutional Class (CMNIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PNGAX achieves a 9.56% return, which is significantly higher than CMNIX's 2.86% return. Over the past 10 years, PNGAX has outperformed CMNIX with an annualized return of 9.82%, while CMNIX has yielded a comparatively lower 4.79% annualized return.

PNGAX

• 1D: 0.80%
• 1M: 3.00%
• YTD: 9.56%
• 6M: 12.44%
• 1Y: 22.48%
• 3Y*: 19.26%
• 5Y*: 10.95%
• 10Y*: 9.82%

CMNIX

• 1D: -0.06%
• 1M: 0.75%
• YTD: 2.86%
• 6M: 3.25%
• 1Y: 6.94%
• 3Y*: 7.18%
• 5Y*: 4.84%
• 10Y*: 4.79%

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

PNGAX vs. CMNIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PNGAX Putnam International Value Fund	9.56%	34.66%	5.86%	18.50%	-6.85%	14.24%	4.19%	19.96%	-18.02%	24.09%
CMNIX Calamos Market Neutral Income Fund Institutional Class	2.86%	6.89%	7.43%	9.17%	-4.26%	5.02%	5.36%	6.72%	1.79%	4.21%

Correlation

The correlation between PNGAX and CMNIX is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.28
Correlation (3Y) Calculated over the trailing 3-year period	0.37
Correlation (5Y) Calculated over the trailing 5-year period	0.55
Correlation (10Y) Calculated over the trailing 10-year period	0.57
Correlation (All Time) Calculated using the full available price history since May 11, 2000	0.61

Over the past year, the correlation between PNGAX and CMNIX has dropped to 0.28 - well below their long-term average of 0.61, suggesting their price drivers have been diverging.

Return for Risk

PNGAX vs. CMNIX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

PNGAX

PNGAX Risk / Return Rank: 30
PNGAX Sharpe Ratio Rank: 29
PNGAX Sortino Ratio Rank: 28
PNGAX Omega Ratio Rank: 29
PNGAX Calmar Ratio Rank: 31
PNGAX Martin Ratio Rank: 35

CMNIX

CMNIX Risk / Return Rank: 98
CMNIX Sharpe Ratio Rank: 98
CMNIX Sortino Ratio Rank: 98
CMNIX Omega Ratio Rank: 97
CMNIX Calmar Ratio Rank: 97
CMNIX Martin Ratio Rank: 99

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.

PNGAX vs. CMNIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Putnam International Value Fund (PNGAX) and Calamos Market Neutral Income Fund Institutional Class (CMNIX). 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.

	PNGAX	CMNIX	Difference
Sharpe ratio: Return per unit of total volatility	1.55	3.91	-2.36
Sortino ratio: Return per unit of downside risk	2.20	6.31	-4.11
Omega ratio: Gain probability vs. loss probability	1.28	2.02	-0.74
Calmar ratio: Return relative to maximum drawdown	2.10	6.99	-4.89
Martin ratio: Return relative to average drawdown	7.74	42.93	-35.19
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PNGAX vs. CMNIX - Sharpe Ratio Comparison

The current PNGAX Sharpe Ratio is 1.55, which is lower than the CMNIX Sharpe Ratio of 3.91. The chart below compares the historical Sharpe Ratios of PNGAX and CMNIX, 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

	PNGAX	CMNIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.55	3.91	-2.36
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.70	1.40	-0.70
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.58	1.33	-0.75
Sharpe Ratio (All Time) Calculated using the full available price history	0.35	0.38	-0.02

Drawdowns

PNGAX vs. CMNIX - Drawdown Comparison

The maximum PNGAX drawdown since its inception was -64.78%, which is greater than CMNIX's maximum drawdown of -35.16%. Use the drawdown chart below to compare losses from any high point for PNGAX and CMNIX.

Drawdown Indicators

	PNGAX	CMNIX	Difference
Max Drawdown Largest peak-to-trough decline	-64.78%	-35.16%	-29.62%
Max Drawdown (1Y) Largest decline over 1 year	-10.51%	-1.02%	-9.49%
Max Drawdown (3Y) Largest decline over 3 years	-13.87%	-2.77%	-11.10%
Max Drawdown (5Y) Largest decline over 5 years	-27.37%	-7.52%	-19.85%
Max Drawdown (10Y) Largest decline over 10 years	-41.58%	-8.12%	-33.46%
Current Drawdown Current decline from peak	-0.63%	-0.06%	-0.57%
Average Drawdown Average peak-to-trough decline	-15.82%	-7.16%	-8.66%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.84%	0.17%	+2.67%

Volatility

PNGAX vs. CMNIX - Volatility Comparison

Putnam International Value Fund (PNGAX) has a higher volatility of 4.18% compared to Calamos Market Neutral Income Fund Institutional Class (CMNIX) at 0.33%. This indicates that PNGAX's price experiences larger fluctuations and is considered to be riskier than CMNIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PNGAX	CMNIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.18%	0.33%	+3.85%
Volatility (6M) Calculated over the trailing 6-month period	11.41%	1.52%	+9.89%
Volatility (1Y) Calculated over the trailing 1-year period	14.28%	1.82%	+12.46%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.75%	3.47%	+12.28%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.06%	3.62%	+13.44%

PNGAX vs. CMNIX - Expense Ratio Comparison

PNGAX has a 1.27% expense ratio, which is higher than CMNIX's 0.90% expense ratio.

Dividends

PNGAX vs. CMNIX - Dividend Comparison

PNGAX's dividend yield for the trailing twelve months is around 2.71%, more than CMNIX's 1.70% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CMNIX Calamos Market Neutral Income Fund Institutional Class	1.70%	1.63%	2.00%	5.90%	1.02%	0.46%	0.90%	1.57%	5.02%	2.60%	2.97%	2.42%
PNGAX Putnam International Value Fund	2.71%	2.97%	3.89%	2.35%	1.63%	5.70%	1.84%	3.91%	4.34%	1.11%	2.23%	1.09%

Frequently Asked Questions

Can I hold both PNGAX and CMNIX in my portfolio?

PNGAX and CMNIX have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PNGAX or CMNIX?

PNGAX has higher volatility (4.18%) compared to CMNIX (0.33%). In terms of maximum drawdown, PNGAX dropped -64.78% vs CMNIX's -35.16%.

Which has better risk-adjusted returns?

CMNIX currently has the higher Sharpe Ratio (3.91 vs 1.55), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.