PAPI vs. SGOV
PAPI (Parametric Equity Premium Income ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - PAPI is a Derivative Income fund actively managed by Morgan Stanley, while SGOV is a Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. PAPI is actively managed, while SGOV is passively managed. Over the past year, PAPI returned 14.57% vs 3.91% for SGOV. At a correlation of -0.02, they often move in opposite directions. PAPI charges 0.29%/yr vs 0.09%/yr for SGOV.
Performance
PAPI vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, PAPI achieves a 8.42% return, which is significantly higher than SGOV's 1.77% return.
PAPI
- 1D
- -0.40%
- 1M
- 2.42%
- YTD
- 8.42%
- 6M
- 7.41%
- 1Y
- 14.57%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
SGOV
- 1D
- 0.02%
- 1M
- 0.30%
- YTD
- 1.77%
- 6M
- 1.79%
- 1Y
- 3.91%
- 3Y*
- 4.67%
- 5Y*
- 3.59%
- 10Y*
- —
PAPI vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
PAPI Parametric Equity Premium Income ETF | 8.42% | 6.33% | 8.90% | 4.53% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.77% | 4.24% | 5.27% | 1.09% |
Correlation
The correlation between PAPI and SGOV is -0.07, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.07 |
Correlation (All Time) Calculated using the full available price history since Oct 19, 2023 | -0.02 |
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Return for Risk
PAPI vs. SGOV — Risk / Return Rank
PAPI
SGOV
PAPI vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Parametric Equity Premium Income ETF (PAPI) and iShares 0-3 Month Treasury Bond ETF (SGOV). 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 | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -19.04 | ||
| Sortino ratioReturn per unit of downside risk | -270.76 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 193.55 | -192.31 |
| Calmar ratioReturn relative to maximum drawdown | 2.13 | 394.03 | -391.89 |
| Martin ratioReturn relative to average drawdown | 5.32 | 4,415.26 | -4,409.94 |
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Drawdowns
PAPI vs. SGOV - Drawdown Comparison
The maximum PAPI drawdown since its inception was -14.27%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for PAPI and SGOV.
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Drawdown Indicators
| PAPI | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.27% | -0.03% | -14.24% |
Max Drawdown (1Y)Largest decline over 1 year | -6.86% | -0.01% | -6.85% |
Max Drawdown (3Y)Largest decline over 3 years | — | -0.01% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -0.03% | — |
Current DrawdownCurrent decline from peak | -2.72% | 0.00% | -2.72% |
Average DrawdownAverage peak-to-trough decline | -2.77% | -0.00% | -2.77% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.75% | 0.00% | +2.75% |
Volatility
PAPI vs. SGOV - Volatility Comparison
Parametric Equity Premium Income ETF (PAPI) has a higher volatility of 2.77% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.04%. This indicates that PAPI's price experiences larger fluctuations and is considered to be riskier than SGOV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PAPI | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.77% | 0.04% | +2.73% |
Volatility (6M)Calculated over the trailing 6-month period | 7.10% | 0.12% | +6.98% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.56% | 0.19% | +10.37% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.72% | 0.24% | +11.48% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.72% | 0.24% | +11.48% |
PAPI vs. SGOV - Expense Ratio Comparison
PAPI has a 0.29% expense ratio, which is higher than SGOV's 0.09% expense ratio.
Dividends
PAPI vs. SGOV - Dividend Comparison
PAPI's dividend yield for the trailing twelve months is around 7.43%, more than SGOV's 3.85% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
PAPI Parametric Equity Premium Income ETF | 7.43% | 7.59% | 7.07% | 1.45% | 0.00% | 0.00% | 0.00% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.85% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% |
Frequently Asked Questions
PAPI and SGOV have a correlation of -0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PAPI has higher volatility (2.77%) compared to SGOV (0.04%). In terms of maximum drawdown, PAPI dropped -14.27% vs SGOV's -0.03%.
On 1-year performance, PAPI leads with 14.57% vs 3.91% for SGOV. On fees, SGOV is cheaper at 0.09% per year. On volatility, SGOV has been the lower-risk option at 0.04%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, PAPI has performed better with a 14.57% return vs 3.91%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SGOV is cheaper with a 0.09% expense ratio, compared with 0.29% for PAPI.
PAPI has the higher dividend yield at 7.43%, compared with 3.85% for SGOV.
PAPI is categorized as Derivative Income, while SGOV is Ultrashort Bond. They also come from different issuers: Morgan Stanley and iShares. Their fees differ too: 0.29% for PAPI and 0.09% for SGOV.
SGOV currently has the higher Sharpe Ratio (20.43 vs 1.39), 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.
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