- CUSIP
- 61774R866
- Issuer
- Morgan Stanley
- Inception Date
- Oct 16, 2023
- Category
- Derivative Income
- Leveraged
- 1x (No leverage)
- Index Tracked
- No Index (Active)
- Distribution Policy
- Distributing
- Asset Class
- Alternatives
- Asset Class Size
- Mid-Cap
- Asset Class Style
- Value
- Assets Under Management
- $390M
Share Price Chart
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Performance
PAPI Performance Chart
Parametric Equity Premium Income ETF (PAPI) is up 6.7% since the beginning of the year. PAPI is currently trading at $27 per share.
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Returns By Period
Parametric Equity Premium Income ETF (PAPI) has returned 6.65% so far this year and 12.84% over the past 12 months.
Parametric Equity Premium Income ETF
- 1D
- 0.60%
- 1M
- 1.73%
- YTD
- 6.65%
- 6M
- 7.20%
- 1Y
- 12.84%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- -0.26%
- 1M
- -0.17%
- YTD
- 7.91%
- 6M
- 7.98%
- 1Y
- 22.99%
- 3Y*
- 19.77%
- 5Y*
- 11.75%
- 10Y*
- 13.42%
PAPI Monthly Returns History
Based on dividend-adjusted daily data since Oct 19, 2023, PAPI's average daily return is +0.04%, while the average monthly return is +0.82%. At this rate, an investment would double in approximately 7.1 years.
Historically, 55% of months were positive and 45% were negative. The best month was Jan 2026 with a return of +6.3%, while the worst month was Dec 2024 at -6.1%. The longest winning streak lasted 3 consecutive months, and the longest losing streak was 3 months.
On a daily basis, PAPI closed higher 53% of trading days. The best single day was Apr 9, 2025 with a return of +5.4%, while the worst single day was Apr 4, 2025 at -5.2%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 6.26% | 4.66% | -2.61% | -1.29% | -0.99% | 0.76% | 6.65% | ||||||
| 2025 | 2.13% | 1.37% | -0.24% | -3.46% | -0.44% | 1.13% | 0.38% | 4.67% | -0.02% | -2.27% | 3.48% | -0.31% | 6.33% |
| 2024 | -0.78% | 2.25% | 5.45% | -2.92% | 2.24% | -1.88% | 5.73% | 0.57% | 0.69% | -0.93% | 4.89% | -6.05% | 8.90% |
| 2023 | -2.48% | 2.79% | 4.28% | 4.53% |
Benchmark Metrics
Parametric Equity Premium Income ETF has an annualized alpha of 1.23%, beta of 0.42, and R2 of 0.31 versus S&P 500 Index. Calculated based on daily prices since October 19, 2023.
- This ETF participated in 49.91% of S&P 500 Index downside but only 41.58% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.42 may look defensive, but with R2 of 0.31 this ETF is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this ETF's risk.
- R2 of 0.31 means the benchmark explains less than half of this ETF's behavior - treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 1.23%
- Beta
- 0.42
- R²
- 0.31
- Upside Capture
- 41.58%
- Downside Capture
- 49.91%
Expense Ratio
PAPI has an expense ratio of 0.29%, placing it in the medium range.
Return for Risk
Risk / Return Rank
PAPI ranks 40 for risk / return — below 40% of ETFs on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Parametric Equity Premium Income ETF (PAPI) and compare them to S&P 500 Index.
| PAPI | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.66 | ||
| Sortino ratioReturn per unit of downside risk | -0.70 | ||
| Omega ratioGain probability vs. loss probability | 1.22 | 1.35 | -0.13 |
| Calmar ratioReturn relative to maximum drawdown | 1.88 | 2.54 | -0.66 |
| Martin ratioReturn relative to average drawdown | 4.95 | 11.58 | -6.62 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Dividends
Dividend History
Parametric Equity Premium Income ETF provided a 7.56% dividend yield over the last twelve months, with an annual payout of $2.01 per share. The fund has been increasing its distributions for 2 consecutive years.
| Period | TTM | 2025 | 2024 | 2023 |
|---|---|---|---|---|
| Dividend | $2.01 | $1.96 | $1.85 | $0.37 |
Dividend yield | 7.56% | 7.59% | 7.07% | 1.45% |
Monthly Dividends
The table displays the monthly dividend distributions for Parametric Equity Premium Income ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.16 | $0.16 | $0.24 | $0.16 | $0.16 | $0.00 | $0.87 | ||||||
| 2025 | $0.14 | $0.13 | $0.19 | $0.20 | $0.15 | $0.18 | $0.15 | $0.15 | $0.18 | $0.15 | $0.15 | $0.18 | $1.96 |
| 2024 | $0.12 | $0.14 | $0.18 | $0.17 | $0.19 | $0.16 | $0.12 | $0.15 | $0.17 | $0.13 | $0.15 | $0.16 | $1.85 |
| 2023 | $0.17 | $0.21 | $0.37 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Parametric Equity Premium Income ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Parametric Equity Premium Income ETF was 14.27%, occurring on Apr 8, 2025. Recovery took 170 trading sessions.
The current Parametric Equity Premium Income ETF drawdown is 4.30%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2025 selloff2025 | -14.27%Apr 2025 | 4mo 13d | 8mo 6d | 1y 14dNov 2024 - Dec 2025 |
2026 pullback2026 | -6.86%May 2026 | 2mo 11d | — | 3mo 9dMar 2026 - now |
2024 pullback2024 | -4.39%Apr 2024 | 15d | 1mo 1d | 1mo 16dApr 2024 - May 2024 |
2024 pullback2024 | -4.17%Aug 2024 | 5d | 24d | 29dJul 2024 - Aug 2024 |
2024 pullback2024 | -3.88%Jul 2024 | 1mo 16d | 11d | 1mo 27dMay 2024 - Jul 2024 |
Drawdown Indicators
| PAPI | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.27% | -56.78% | +42.51% |
Max Drawdown (1Y)Largest decline over 1 year | -6.86% | -9.10% | +2.24% |
Max Drawdown (3Y)Largest decline over 3 years | — | -18.90% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -25.43% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -4.30% | -2.93% | -1.37% |
Average DrawdownAverage peak-to-trough decline | -2.75% | -10.72% | +7.97% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.60% | 1.99% | +0.61% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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