- Issuer
- Parametric
- Inception Date
- Nov 7, 2024
- Category
- Derivative Income
- Leveraged
- 1x (No leverage)
- Index Tracked
- No Index (Active)
- Distribution Policy
- Distributing
- Asset Class
- Equity
- Asset Class Size
- Large-Cap
- Asset Class Style
- Blend
- Assets Under Management
- $27M
Share Price Chart
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Performance
PEPS Performance Chart
Parametric Equity Plus ETF (PEPS) is up 7.7% since the beginning of the year. PEPS is currently trading at $32 per share.
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Returns By Period
Parametric Equity Plus ETF (PEPS) has returned 7.73% so far this year and 27.15% over the past 12 months.
Parametric Equity Plus ETF
- 1D
- -3.03%
- 1M
- 1.33%
- YTD
- 7.73%
- 6M
- 7.55%
- 1Y
- 27.15%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- -2.64%
- 1M
- -0.21%
- YTD
- 7.86%
- 6M
- 7.47%
- 1Y
- 23.05%
- 3Y*
- 19.90%
- 5Y*
- 11.79%
- 10Y*
- 13.33%
PEPS Monthly Returns History
Based on dividend-adjusted daily data since Nov 8, 2024, PEPS's average daily return is +0.07%, while the average monthly return is +1.31%. At this rate, an investment would double in approximately 4.4 years.
Historically, 60% of months were positive and 40% were negative. The best month was Apr 2026 with a return of +8.9%, while the worst month was Mar 2025 at -6.7%. The longest winning streak lasted 6 consecutive months, and the longest losing streak was 3 months.
On a daily basis, PEPS closed higher 60% of trading days. The best single day was Apr 9, 2025 with a return of +9.6%, while the worst single day was Apr 4, 2025 at -6.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.79% | -0.89% | -5.42% | 8.93% | 6.49% | -2.66% | 7.73% | ||||||
| 2025 | 3.22% | -1.29% | -6.74% | -0.86% | 6.10% | 5.41% | 2.98% | 2.72% | 4.24% | 3.55% | -0.27% | 0.30% | 20.32% |
| 2024 | 1.10% | -2.53% | -1.45% |
Benchmark Metrics
Parametric Equity Plus ETF has an annualized alpha of 1.58%, beta of 1.07, and R2 of 0.98 versus S&P 500 Index. Calculated based on daily prices since November 11, 2024.
- This ETF captured 114.81% of S&P 500 Index gains and 105.01% of its losses - amplifying both gains and losses, but participating more in upside than downside.
- With beta of 1.07 and R2 of 0.98, this ETF moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 1.58%
- Beta
- 1.07
- R²
- 0.98
- Upside Capture
- 114.81%
- Downside Capture
- 105.01%
Expense Ratio
PEPS has an expense ratio of 0.10%, which is considered low.
Return for Risk
Risk / Return Rank
PEPS ranks 72 for risk / return — better than 72% of ETFs on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Parametric Equity Plus ETF (PEPS) and compare them to S&P 500 Index.
| PEPS | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.15 | ||
| Sortino ratioReturn per unit of downside risk | +0.09 | ||
| Omega ratioGain probability vs. loss probability | 1.40 | 1.36 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.94 | 2.69 | +0.26 |
| Martin ratioReturn relative to average drawdown | 13.72 | 12.34 | +1.38 |
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 Plus ETF provided a 0.91% dividend yield over the last twelve months, with an annual payout of $0.29 per share.
| Period | TTM | 2025 | 2024 |
|---|---|---|---|
| Dividend | $0.29 | $0.29 | $0.04 |
Dividend yield | 0.91% | 1.00% | 0.17% |
Monthly Dividends
The table displays the monthly dividend distributions for Parametric Equity Plus 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 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.00 | $0.06 | ||||||
| 2025 | $0.00 | $0.00 | $0.07 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.07 | $0.00 | $0.00 | $0.10 | $0.29 |
| 2024 | $0.04 | $0.04 |
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 Plus 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 Plus ETF was 21.26%, occurring on Apr 8, 2025. Recovery took 59 trading sessions.
The current Parametric Equity Plus ETF drawdown is 3.15%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2025 selloff2025 | -21.26%Apr 2025 | 1mo 17d | 2mo 26d | 4mo 13dFeb 2025 - Jul 2025 |
2026 pullback2026 | -9.80%Mar 2026 | 1mo 25d | 23d | 2mo 18dFeb 2026 - Apr 2026 |
2025 pullback2025 | -5.37%Nov 2025 | 7d | 20d | 27dNov 2025 - Dec 2025 |
2025 pullback2025 | -4.66%Jan 2025 | 1mo 2d | 27d | 1mo 29dDec 2024 - Feb 2025 |
2025 pullback2025 | -3.41%Oct 2025 | 1d | 11d | 12dOct 2025 - Oct 2025 |
Drawdown Indicators
| PEPS | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -21.26% | -56.78% | +35.52% |
Max Drawdown (1Y)Largest decline over 1 year | -9.80% | -9.10% | -0.70% |
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 | -3.15% | -2.97% | -0.18% |
Average DrawdownAverage peak-to-trough decline | -2.77% | -10.72% | +7.95% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.10% | 1.97% | +0.13% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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