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

Performance

PNRAX vs. CMNWX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Putnam Research Fund (PNRAX) and Principal Capital Appreciation Fund (CMNWX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.58%
13.30%
PNRAX
CMNWX

Returns By Period

The year-to-date returns for both investments are quite close, with PNRAX having a 28.44% return and CMNWX slightly higher at 28.61%. Over the past 10 years, PNRAX has outperformed CMNWX with an annualized return of 8.95%, while CMNWX has yielded a comparatively lower 4.50% annualized return.


PNRAX

YTD

28.44%

1M

3.08%

6M

12.58%

1Y

34.85%

5Y (annualized)

11.08%

10Y (annualized)

8.95%

CMNWX

YTD

28.61%

1M

3.94%

6M

13.30%

1Y

35.03%

5Y (annualized)

11.44%

10Y (annualized)

4.50%

Key characteristics


PNRAXCMNWX
Sharpe Ratio2.782.82
Sortino Ratio3.713.79
Omega Ratio1.511.52
Calmar Ratio2.454.05
Martin Ratio16.9518.51
Ulcer Index2.06%1.89%
Daily Std Dev12.53%12.41%
Max Drawdown-61.03%-57.43%
Current Drawdown-0.62%-0.34%

Compare stocks, funds, or ETFs

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


PNRAX vs. CMNWX - Expense Ratio Comparison

PNRAX has a 1.03% expense ratio, which is higher than CMNWX's 0.80% expense ratio.


PNRAX
Putnam Research Fund
Expense ratio chart for PNRAX: current value at 1.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.03%
Expense ratio chart for CMNWX: current value at 0.80% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.80%

Correlation

-0.50.00.51.00.9

The correlation between PNRAX and CMNWX is 0.92, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

PNRAX vs. CMNWX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Putnam Research Fund (PNRAX) and Principal Capital Appreciation Fund (CMNWX). 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 PNRAX, currently valued at 2.78, compared to the broader market-1.000.001.002.003.004.005.002.782.82
The chart of Sortino ratio for PNRAX, currently valued at 3.71, compared to the broader market0.005.0010.003.713.79
The chart of Omega ratio for PNRAX, currently valued at 1.51, compared to the broader market1.002.003.004.001.511.52
The chart of Calmar ratio for PNRAX, currently valued at 2.45, compared to the broader market0.005.0010.0015.0020.002.454.05
The chart of Martin ratio for PNRAX, currently valued at 16.95, compared to the broader market0.0020.0040.0060.0080.00100.0016.9518.51
PNRAX
CMNWX

The current PNRAX Sharpe Ratio is 2.78, which is comparable to the CMNWX Sharpe Ratio of 2.82. The chart below compares the historical Sharpe Ratios of PNRAX and CMNWX, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.78
2.82
PNRAX
CMNWX

Dividends

PNRAX vs. CMNWX - Dividend Comparison

PNRAX's dividend yield for the trailing twelve months is around 0.22%, less than CMNWX's 0.55% yield.


TTM20232022202120202019201820172016201520142013
PNRAX
Putnam Research Fund
0.22%0.28%1.14%0.00%0.59%0.98%0.42%0.00%1.06%1.19%0.98%0.69%
CMNWX
Principal Capital Appreciation Fund
0.55%0.71%0.69%0.43%0.78%0.93%1.62%1.01%1.07%1.19%0.92%0.76%

Drawdowns

PNRAX vs. CMNWX - Drawdown Comparison

The maximum PNRAX drawdown since its inception was -61.03%, which is greater than CMNWX's maximum drawdown of -57.43%. Use the drawdown chart below to compare losses from any high point for PNRAX and CMNWX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.62%
-0.34%
PNRAX
CMNWX

Volatility

PNRAX vs. CMNWX - Volatility Comparison

The current volatility for Putnam Research Fund (PNRAX) is 3.92%, while Principal Capital Appreciation Fund (CMNWX) has a volatility of 4.22%. This indicates that PNRAX experiences smaller price fluctuations and is considered to be less risky than CMNWX 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
3.92%
4.22%
PNRAX
CMNWX