PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PAPI vs. SPYI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PAPI vs. SPYI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Parametric Equity Premium Income ETF (PAPI) and NEOS S&P 500 High Income ETF (SPYI). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.70%
11.48%
PAPI
SPYI

Returns By Period

In the year-to-date period, PAPI achieves a 15.58% return, which is significantly lower than SPYI's 20.50% return.


PAPI

YTD

15.58%

1M

3.08%

6M

9.70%

1Y

21.42%

5Y (annualized)

N/A

10Y (annualized)

N/A

SPYI

YTD

20.50%

1M

2.57%

6M

11.48%

1Y

23.58%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


PAPISPYI
Sharpe Ratio2.222.57
Sortino Ratio3.183.44
Omega Ratio1.401.55
Calmar Ratio4.883.57
Martin Ratio12.5917.89
Ulcer Index1.70%1.32%
Daily Std Dev9.64%9.17%
Max Drawdown-4.39%-10.19%
Current Drawdown0.00%0.00%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


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%

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.

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.


Sharpe ratio
The chart of Sharpe ratio for PAPI, currently valued at 2.22, compared to the broader market0.002.004.002.222.57
The chart of Sortino ratio for PAPI, currently valued at 3.18, compared to the broader market-2.000.002.004.006.008.0010.0012.003.183.44
The chart of Omega ratio for PAPI, currently valued at 1.40, compared to the broader market0.501.001.502.002.503.001.401.55
The chart of Calmar ratio for PAPI, currently valued at 4.88, compared to the broader market0.005.0010.0015.0020.004.883.57
The chart of Martin ratio for PAPI, currently valued at 12.59, compared to the broader market0.0020.0040.0060.0080.00100.0012.5917.89
PAPI
SPYI

The current PAPI Sharpe Ratio is 2.22, which is comparable to the SPYI Sharpe Ratio of 2.57. 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 Ratio2.002.503.00Thu 24Sat 26Mon 28Wed 30NovemberNov 03Tue 05Thu 07Sat 09Mon 11Wed 13Fri 15Nov 17Tue 19Thu 21
2.22
2.57
PAPI
SPYI

Dividends

PAPI vs. SPYI - Dividend Comparison

PAPI's dividend yield for the trailing twelve months is around 6.78%, less than SPYI's 11.71% yield.


TTM20232022
PAPI
Parametric Equity Premium Income ETF
6.78%1.45%0.00%
SPYI
NEOS S&P 500 High Income ETF
11.71%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%JuneJulyAugustSeptemberOctoberNovember00
PAPI
SPYI

Volatility

PAPI vs. SPYI - Volatility Comparison

Parametric Equity Premium Income ETF (PAPI) has a higher volatility of 2.96% compared to NEOS S&P 500 High Income ETF (SPYI) at 2.67%. 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%JuneJulyAugustSeptemberOctoberNovember
2.96%
2.67%
PAPI
SPYI