PAPI vs. CCEF

Last updated Jun 19, 2026

PAPI (Parametric Equity Premium Income ETF) and CCEF (Calamos CEF Income & Arbitrage ETF) are both exchange-traded funds - PAPI is a Derivative Income fund actively managed by Morgan Stanley, while CCEF is a Dividend fund actively managed by Calamos. Both are actively managed. Over the past year, PAPI returned 12.60% vs 15.68% for CCEF. A 0.53 correlation means they provide meaningful diversification when combined. PAPI charges 0.29%/yr vs 2.74%/yr for CCEF.

Performance

PAPI vs. CCEF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Parametric Equity Premium Income ETF (PAPI) and Calamos CEF Income & Arbitrage ETF (CCEF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with PAPI having a 6.13% return and CCEF slightly higher at 6.14%.

PAPI

• 1D: 0.45%
• 1M: 1.27%
• YTD: 6.13%
• 6M: 5.29%
• 1Y: 12.60%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CCEF

• 1D: 0.46%
• 1M: 2.31%
• YTD: 6.14%
• 6M: 8.18%
• 1Y: 15.68%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

PAPI vs. CCEF - Yearly Performance Comparison

	2026 (YTD)	2025	2024
PAPI Parametric Equity Premium Income ETF	6.13%	6.33%	9.65%
CCEF Calamos CEF Income & Arbitrage ETF	6.14%	13.47%	17.80%

Correlation

The correlation between PAPI and CCEF is 0.41, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.41
Correlation (All Time) Calculated using the full available price history since Jan 16, 2024	0.53

The correlation between PAPI and CCEF shifts across timeframes, from 0.41 (1 year) to 0.53 (all time), reflecting how their relationship changes across market environments.

Return for Risk

PAPI vs. CCEF — Risk / Return Rank

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

PAPI

PAPI Risk / Return Rank: 35
PAPI Sharpe Ratio Rank: 35
PAPI Sortino Ratio Rank: 36
PAPI Omega Ratio Rank: 32
PAPI Calmar Ratio Rank: 38
PAPI Martin Ratio Rank: 33

CCEF

CCEF Risk / Return Rank: 56
CCEF Sharpe Ratio Rank: 60
CCEF Sortino Ratio Rank: 59
CCEF Omega Ratio Rank: 64
CCEF Calmar Ratio Rank: 43
CCEF Martin Ratio Rank: 54

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.

PAPI vs. CCEF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric Equity Premium Income ETF (PAPI) and Calamos CEF Income & Arbitrage ETF (CCEF). 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.

	PAPI	CCEF	Difference
Sharpe ratio: Return per unit of total volatility	1.20	1.91	-0.71
Sortino ratio: Return per unit of downside risk	1.82	2.65	-0.83
Omega ratio: Gain probability vs. loss probability	1.21	1.36	-0.15
Calmar ratio: Return relative to maximum drawdown	1.84	2.03	-0.19
Martin ratio: Return relative to average drawdown	4.70	8.76	-4.06

PAPI vs. CCEF - Sharpe Ratio Comparison

The current PAPI Sharpe Ratio is 1.20, which is lower than the CCEF Sharpe Ratio of 1.91. The chart below compares the historical Sharpe Ratios of PAPI and CCEF, 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

PAPI vs. CCEF - Drawdown Comparison

The maximum PAPI drawdown since its inception was -14.27%, which is greater than CCEF's maximum drawdown of -13.25%. Use the drawdown chart below to compare losses from any high point for PAPI and CCEF.

Drawdown Indicators

	PAPI	CCEF	Difference
Max Drawdown Largest peak-to-trough decline	-14.27%	-13.25%	-1.02%
Max Drawdown (1Y) Largest decline over 1 year	-6.86%	-7.75%	+0.89%
Current Drawdown Current decline from peak	-4.77%	-0.41%	-4.36%
Average Drawdown Average peak-to-trough decline	-2.76%	-1.35%	-1.41%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.69%	1.79%	+0.90%

Volatility

PAPI vs. CCEF - Volatility Comparison

Parametric Equity Premium Income ETF (PAPI) and Calamos CEF Income & Arbitrage ETF (CCEF) have volatilities of 2.66% and 2.69%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PAPI	CCEF	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.66%	2.69%	-0.03%
Volatility (6M) Calculated over the trailing 6-month period	7.06%	7.00%	+0.06%
Volatility (1Y) Calculated over the trailing 1-year period	10.54%	8.22%	+2.32%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.75%	10.79%	+0.96%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.75%	10.79%	+0.96%

PAPI vs. CCEF - Expense Ratio Comparison

PAPI has a 0.29% expense ratio, which is lower than CCEF's 2.74% expense ratio.

Dividends

PAPI vs. CCEF - Dividend Comparison

PAPI's dividend yield for the trailing twelve months is around 7.59%, less than CCEF's 7.95% yield.

Position	TTM	2025	2024	2023
CCEF Calamos CEF Income & Arbitrage ETF	7.95%	8.08%	6.55%	0.00%
PAPI Parametric Equity Premium Income ETF	7.59%	7.59%	7.07%	1.45%

Frequently Asked Questions

Can I hold both PAPI and CCEF in my portfolio?

PAPI and CCEF have a correlation of 0.41, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PAPI or CCEF?

CCEF has higher volatility (2.69%) compared to PAPI (2.66%). In terms of maximum drawdown, PAPI dropped -14.27% vs CCEF's -13.25%.

Which ETF is better, PAPI or CCEF?

On 1-year performance, CCEF leads with 15.68% vs 12.60% for PAPI. On fees, PAPI is cheaper at 0.29% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PAPI or CCEF?

Over the 1-year period, CCEF has performed better with a 15.68% return vs 12.60%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PAPI or CCEF?

PAPI is cheaper with a 0.29% expense ratio, compared with 2.74% for CCEF.

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

CCEF has the higher dividend yield at 7.95%, compared with 7.59% for PAPI.

What is the main difference between PAPI and CCEF?

PAPI is categorized as Derivative Income, while CCEF is Dividend. They also come from different issuers: Morgan Stanley and Calamos. Their fees differ too: 0.29% for PAPI and 2.74% for CCEF.

Which has better risk-adjusted returns?

CCEF currently has the higher Sharpe Ratio (1.91 vs 1.20), 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.