MSSM vs. PAPI

Last updated Jun 23, 2026

MSSM (Morgan Stanley Pathway Small-Mid Cap Equity ETF) and PAPI (Parametric Equity Premium Income ETF) are both exchange-traded funds - MSSM is a Small Cap Blend Equities fund actively managed by Morgan Stanley, while PAPI is a Derivative Income fund actively managed by Morgan Stanley. Both are actively managed. Over the past year, MSSM returned 38.44% vs 12.29% for PAPI. A 0.60 correlation means they provide meaningful diversification when combined. MSSM charges 0.62%/yr vs 0.29%/yr for PAPI.

Performance

MSSM vs. PAPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Morgan Stanley Pathway Small-Mid Cap Equity ETF (MSSM) and Parametric Equity Premium Income ETF (PAPI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MSSM achieves a 20.23% return, which is significantly higher than PAPI's 6.09% return.

MSSM

• 1D: 0.58%
• 1M: 4.03%
• YTD: 20.23%
• 6M: 17.55%
• 1Y: 38.44%
• 3Y*: —
• 5Y*: —
• 10Y*: —

PAPI

• 1D: -0.04%
• 1M: -0.28%
• YTD: 6.09%
• 6M: 5.05%
• 1Y: 12.29%
• 3Y*: —
• 5Y*: —
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

MSSM vs. PAPI - Yearly Performance Comparison

	2026 (YTD)	2025	2024
MSSM Morgan Stanley Pathway Small-Mid Cap Equity ETF	20.23%	11.33%	-7.04%
PAPI Parametric Equity Premium Income ETF	6.09%	6.33%	-4.14%

Correlation

The correlation between MSSM and PAPI is 0.56, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.56
Correlation (All Time) Calculated using the full available price history since Dec 9, 2024	0.60

The correlation between MSSM and PAPI has been stable across timeframes, ranging from 0.56 to 0.60 - a consistent structural relationship.

Return for Risk

MSSM vs. PAPI — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

MSSM

MSSM Risk / Return Rank: 72
MSSM Sharpe Ratio Rank: 70
MSSM Sortino Ratio Rank: 68
MSSM Omega Ratio Rank: 62
MSSM Calmar Ratio Rank: 81
MSSM Martin Ratio Rank: 81

PAPI

PAPI Risk / Return Rank: 34
PAPI Sharpe Ratio Rank: 33
PAPI Sortino Ratio Rank: 35
PAPI Omega Ratio Rank: 31
PAPI Calmar Ratio Rank: 37
PAPI Martin Ratio Rank: 32

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

MSSM vs. PAPI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley Pathway Small-Mid Cap Equity ETF (MSSM) and Parametric Equity Premium Income ETF (PAPI). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	MSSM	PAPI	Difference
Sharpe ratio: Return per unit of total volatility	2.18	1.17	+1.01
Sortino ratio: Return per unit of downside risk	3.01	1.78	+1.23
Omega ratio: Gain probability vs. loss probability	1.37	1.20	+0.16
Calmar ratio: Return relative to maximum drawdown	4.07	1.80	+2.27
Martin ratio: Return relative to average drawdown	15.58	4.55	+11.03

MSSM vs. PAPI - Sharpe Ratio Comparison

The current MSSM Sharpe Ratio is 2.18, which is higher than the PAPI Sharpe Ratio of 1.17. The chart below compares the historical Sharpe Ratios of MSSM and PAPI, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

MSSM vs. PAPI - Drawdown Comparison

The maximum MSSM drawdown since its inception was -25.16%, which is greater than PAPI's maximum drawdown of -14.27%. Use the drawdown chart below to compare losses from any high point for MSSM and PAPI.

Drawdown Indicators

	MSSM	PAPI	Difference
Max Drawdown Largest peak-to-trough decline	-25.16%	-14.27%	-10.89%
Max Drawdown (1Y) Largest decline over 1 year	-9.50%	-6.86%	-2.64%
Current Drawdown Current decline from peak	0.00%	-4.81%	+4.81%
Average Drawdown Average peak-to-trough decline	-5.11%	-2.77%	-2.34%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.47%	2.71%	-0.24%

Volatility

MSSM vs. PAPI - Volatility Comparison

Morgan Stanley Pathway Small-Mid Cap Equity ETF (MSSM) has a higher volatility of 5.73% compared to Parametric Equity Premium Income ETF (PAPI) at 2.65%. This indicates that MSSM's price experiences larger fluctuations and is considered to be riskier than PAPI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MSSM	PAPI	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.73%	2.65%	+3.08%
Volatility (6M) Calculated over the trailing 6-month period	13.31%	7.04%	+6.27%
Volatility (1Y) Calculated over the trailing 1-year period	17.76%	10.56%	+7.20%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.98%	11.74%	+9.24%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.98%	11.74%	+9.24%

MSSM vs. PAPI - Expense Ratio Comparison

MSSM has a 0.62% expense ratio, which is higher than PAPI's 0.29% expense ratio.

Dividends

MSSM vs. PAPI - Dividend Comparison

MSSM's dividend yield for the trailing twelve months is around 2.62%, less than PAPI's 7.60% yield.

Position	TTM	2025	2024	2023
MSSM Morgan Stanley Pathway Small-Mid Cap Equity ETF	2.62%	3.15%	0.00%	0.00%
PAPI Parametric Equity Premium Income ETF	7.60%	7.59%	7.07%	1.45%

Frequently Asked Questions

Can I hold both MSSM and PAPI in my portfolio?

MSSM and PAPI have a correlation of 0.56, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MSSM or PAPI?

MSSM has higher volatility (5.73%) compared to PAPI (2.65%). In terms of maximum drawdown, MSSM dropped -25.16% vs PAPI's -14.27%.

Which ETF is better, MSSM or PAPI?

On 1-year performance, MSSM leads with 38.44% vs 12.29% for PAPI. On fees, PAPI is cheaper at 0.29% per year. On volatility, PAPI has been the lower-risk option at 2.65%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, MSSM or PAPI?

Over the 1-year period, MSSM has performed better with a 38.44% return vs 12.29%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, MSSM or PAPI?

PAPI is cheaper with a 0.29% expense ratio, compared with 0.62% for MSSM.

Which ETF pays a higher dividend yield, MSSM or PAPI?

PAPI has the higher dividend yield at 7.60%, compared with 2.62% for MSSM.

What is the main difference between MSSM and PAPI?

MSSM is categorized as Small Cap Blend Equities, while PAPI is Derivative Income. Their fees differ too: 0.62% for MSSM and 0.29% for PAPI.

Which has better risk-adjusted returns?

MSSM currently has the higher Sharpe Ratio (2.18 vs 1.17), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.