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PNSAX vs. PENNX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PNSAXPENNX
YTD Return34.30%13.83%
1Y Return52.45%25.79%
3Y Return (Ann)-1.40%-6.48%
5Y Return (Ann)11.03%2.32%
10Y Return (Ann)10.83%-2.98%
Sharpe Ratio2.741.37
Sortino Ratio3.672.00
Omega Ratio1.451.25
Calmar Ratio1.400.59
Martin Ratio17.936.77
Ulcer Index2.95%3.83%
Daily Std Dev19.31%18.96%
Max Drawdown-61.15%-61.83%
Current Drawdown-5.34%-29.13%

Correlation

-0.50.00.51.00.9

The correlation between PNSAX and PENNX is 0.91, 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.

Performance

PNSAX vs. PENNX - Performance Comparison

In the year-to-date period, PNSAX achieves a 34.30% return, which is significantly higher than PENNX's 13.83% return. Over the past 10 years, PNSAX has outperformed PENNX with an annualized return of 10.83%, while PENNX has yielded a comparatively lower -2.98% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
19.46%
7.07%
PNSAX
PENNX

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PNSAX vs. PENNX - Expense Ratio Comparison

PNSAX has a 1.23% expense ratio, which is higher than PENNX's 0.92% expense ratio.


PNSAX
Putnam Small Cap Growth Fund
Expense ratio chart for PNSAX: current value at 1.23% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.23%
Expense ratio chart for PENNX: current value at 0.92% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.92%

Risk-Adjusted Performance

PNSAX vs. PENNX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Putnam Small Cap Growth Fund (PNSAX) and Royce Pennsylvania Mutual Fund (PENNX). 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.


PNSAX
Sharpe ratio
The chart of Sharpe ratio for PNSAX, currently valued at 2.74, compared to the broader market0.002.004.002.74
Sortino ratio
The chart of Sortino ratio for PNSAX, currently valued at 3.67, compared to the broader market0.005.0010.003.67
Omega ratio
The chart of Omega ratio for PNSAX, currently valued at 1.45, compared to the broader market1.002.003.004.001.45
Calmar ratio
The chart of Calmar ratio for PNSAX, currently valued at 1.40, compared to the broader market0.005.0010.0015.0020.0025.001.40
Martin ratio
The chart of Martin ratio for PNSAX, currently valued at 17.93, compared to the broader market0.0020.0040.0060.0080.00100.0017.93
PENNX
Sharpe ratio
The chart of Sharpe ratio for PENNX, currently valued at 1.37, compared to the broader market0.002.004.001.37
Sortino ratio
The chart of Sortino ratio for PENNX, currently valued at 2.00, compared to the broader market0.005.0010.002.00
Omega ratio
The chart of Omega ratio for PENNX, currently valued at 1.25, compared to the broader market1.002.003.004.001.25
Calmar ratio
The chart of Calmar ratio for PENNX, currently valued at 0.59, compared to the broader market0.005.0010.0015.0020.0025.000.59
Martin ratio
The chart of Martin ratio for PENNX, currently valued at 6.77, compared to the broader market0.0020.0040.0060.0080.00100.006.77

PNSAX vs. PENNX - Sharpe Ratio Comparison

The current PNSAX Sharpe Ratio is 2.74, which is higher than the PENNX Sharpe Ratio of 1.37. The chart below compares the historical Sharpe Ratios of PNSAX and PENNX, 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 Ratio0.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.74
1.37
PNSAX
PENNX

Dividends

PNSAX vs. PENNX - Dividend Comparison

PNSAX has not paid dividends to shareholders, while PENNX's dividend yield for the trailing twelve months is around 0.34%.


TTM20232022202120202019201820172016201520142013
PNSAX
Putnam Small Cap Growth Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
PENNX
Royce Pennsylvania Mutual Fund
0.34%0.39%0.08%0.06%0.59%0.26%0.19%0.58%0.36%1.04%0.36%0.01%

Drawdowns

PNSAX vs. PENNX - Drawdown Comparison

The maximum PNSAX drawdown since its inception was -61.15%, roughly equal to the maximum PENNX drawdown of -61.83%. Use the drawdown chart below to compare losses from any high point for PNSAX and PENNX. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.34%
-29.13%
PNSAX
PENNX

Volatility

PNSAX vs. PENNX - Volatility Comparison

The current volatility for Putnam Small Cap Growth Fund (PNSAX) is 5.94%, while Royce Pennsylvania Mutual Fund (PENNX) has a volatility of 6.33%. This indicates that PNSAX experiences smaller price fluctuations and is considered to be less risky than PENNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
5.94%
6.33%
PNSAX
PENNX