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PAPI vs. SPYI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PAPISPYI
YTD Return10.87%17.78%
1Y Return18.85%26.24%
Sharpe Ratio2.013.01
Sortino Ratio2.874.00
Omega Ratio1.361.66
Calmar Ratio4.414.09
Martin Ratio11.4420.73
Ulcer Index1.69%1.30%
Daily Std Dev9.61%8.97%
Max Drawdown-4.39%-10.19%
Current Drawdown-2.60%-0.39%

Correlation

-0.50.00.51.00.4

The correlation between PAPI and SPYI is 0.39, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

PAPI vs. SPYI - Performance Comparison

In the year-to-date period, PAPI achieves a 10.87% return, which is significantly lower than SPYI's 17.78% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctober
6.53%
12.51%
PAPI
SPYI

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PAPI vs. SPYI - Expense Ratio Comparison

PAPI has a 0.29% expense ratio, which is lower than SPYI's 0.68% expense ratio.


SPYI
NEOS S&P 500 High Income ETF
Expense ratio chart for SPYI: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
Expense ratio chart for PAPI: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%

Risk-Adjusted Performance

PAPI vs. SPYI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric Equity Premium Income ETF (PAPI) and NEOS S&P 500 High Income ETF (SPYI). 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.


PAPI
Sharpe ratio
The chart of Sharpe ratio for PAPI, currently valued at 2.01, compared to the broader market-2.000.002.004.006.002.01
Sortino ratio
The chart of Sortino ratio for PAPI, currently valued at 2.87, compared to the broader market0.005.0010.002.87
Omega ratio
The chart of Omega ratio for PAPI, currently valued at 1.35, compared to the broader market1.001.502.002.503.003.501.36
Calmar ratio
The chart of Calmar ratio for PAPI, currently valued at 4.41, compared to the broader market0.005.0010.0015.004.41
Martin ratio
The chart of Martin ratio for PAPI, currently valued at 11.44, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.44
SPYI
Sharpe ratio
The chart of Sharpe ratio for SPYI, currently valued at 3.01, compared to the broader market-2.000.002.004.006.003.01
Sortino ratio
The chart of Sortino ratio for SPYI, currently valued at 4.00, compared to the broader market0.005.0010.004.00
Omega ratio
The chart of Omega ratio for SPYI, currently valued at 1.66, compared to the broader market1.001.502.002.503.003.501.66
Calmar ratio
The chart of Calmar ratio for SPYI, currently valued at 4.09, compared to the broader market0.005.0010.0015.004.09
Martin ratio
The chart of Martin ratio for SPYI, currently valued at 20.73, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.73

PAPI vs. SPYI - Sharpe Ratio Comparison

The current PAPI Sharpe Ratio is 2.01, which is lower than the SPYI Sharpe Ratio of 3.01. The chart below compares the historical Sharpe Ratios of PAPI and SPYI, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio2.002.202.402.602.803.003.20Wed 23Thu 24Fri 25Sat 26Oct 27Mon 28Tue 29Wed 30
2.01
3.01
PAPI
SPYI

Dividends

PAPI vs. SPYI - Dividend Comparison

PAPI's dividend yield for the trailing twelve months is around 6.54%, less than SPYI's 11.78% yield.


TTM20232022
PAPI
Parametric Equity Premium Income ETF
6.54%1.45%0.00%
SPYI
NEOS S&P 500 High Income ETF
11.78%12.01%4.10%

Drawdowns

PAPI vs. SPYI - Drawdown Comparison

The maximum PAPI drawdown since its inception was -4.39%, smaller than the maximum SPYI drawdown of -10.19%. Use the drawdown chart below to compare losses from any high point for PAPI and SPYI. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctober
-2.60%
-0.39%
PAPI
SPYI

Volatility

PAPI vs. SPYI - Volatility Comparison

Parametric Equity Premium Income ETF (PAPI) has a higher volatility of 2.34% compared to NEOS S&P 500 High Income ETF (SPYI) at 1.80%. This indicates that PAPI's price experiences larger fluctuations and is considered to be riskier than SPYI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctober
2.34%
1.80%
PAPI
SPYI