Parametric Equity Plus ETF (PEPS) Sharpe Ratio: 2.40

PEPS's Sharpe Ratio of 2.40 indicates that for each unit of volatility, it generates 2.40 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Apr 16, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets.

PEPS Sharpe Ratio Rank

Above Average

PEPS ranks above 67.7% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating above-average returns relative to volatility. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

Strong returns with low total volatility → Higher rank
High volatility (both upside and downside) → Lower rank
Consistent returns → Higher rank than volatile returns of same magnitude
Sharp drawdowns increase volatility → Lower rank

What you can do with this information

Above-average risk-adjusted returns with room for improvement
Compare against category peers to gauge relative positioning
Monitor for movement toward top tier or decline toward median
Consider pairing with top-tier holdings to improve portfolio efficiency

PEPS Sharpe Ratio Market Positioning

The chart shows PEPS's Sharpe Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

Red zone (bottom 25%): 1.18 or lower
Yellow zone (middle 50%): 1.18 to 2.60
Green zone (top 25%): 2.60 or higher
Top 1%: 7.25+
Median: 1.99 — half of all investments score higher

How it compares to other similar ETFs

The table compares Parametric Equity Plus ETF's Sharpe Ratio with other ETFs in the Derivative Income category across multiple time periods, showing how PEPS's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Apr 16, 2026.

Symbol	Name	1Y Sharpe Ratio
CHPY	YieldMax Semiconductor Portfolio Option Income ETF	3.97
GOOY	YieldMax GOOGL Option Income Strategy ETF	3.84
TSMY	YieldMax TSM Option Income Strategy ETF	3.80
GOOP	Kurv Yield Premium Strategy Google ETF	3.51
WEEL	Peerless Option Income Wheel ETF	3.24
SPUT	Innovator Equity Premium Income Daily PutWrite ETF	2.76
IWMI	NEOS Russell 2000 High Income ETF	2.68
BALI	Blackrock Advantage Large Cap Income ETF	2.63
FTQI	First Trust Nasdaq BuyWrite Income ETF	2.63
WDTE	Defiance S&P 500 Enhanced Options & 0DTE Income ETF	2.59
PEPS	Parametric Equity Plus ETF	2.40

Benchmark Against

Benchmark

S&P 500 Index

Lookback Period

How to choose period

Historical Sharpe Ratio

The chart shows PEPS's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when PEPS consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Explore PEPS risk-adjusted metrics in detail

Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.

PEPS Sortino Ratio