PAPI vs. VNQ

Last updated Jun 19, 2026

PAPI (Parametric Equity Premium Income ETF) and VNQ (Vanguard Real Estate ETF) are both exchange-traded funds - PAPI is a Derivative Income fund actively managed by Morgan Stanley, while VNQ is a REIT fund tracking the MSCI US Investable Market Real Estate 25/50 Index. PAPI is actively managed, while VNQ is passively managed. Over the past year, PAPI returned 12.60% vs 10.53% for VNQ. A 0.65 correlation means they provide meaningful diversification when combined. PAPI charges 0.29%/yr vs 0.13%/yr for VNQ.

Performance

PAPI vs. VNQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Parametric Equity Premium Income ETF (PAPI) and Vanguard Real Estate ETF (VNQ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PAPI achieves a 6.13% return, which is significantly lower than VNQ's 9.14% return.

PAPI

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

VNQ

• 1D: -0.05%
• 1M: 0.29%
• YTD: 9.14%
• 6M: 9.59%
• 1Y: 10.53%
• 3Y*: 8.73%
• 5Y*: 2.58%
• 10Y*: 5.18%

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

PAPI vs. VNQ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
PAPI Parametric Equity Premium Income ETF	6.13%	6.33%	8.90%	4.53%
VNQ Vanguard Real Estate ETF	9.14%	3.24%	4.81%	19.81%

Correlation

The correlation between PAPI and VNQ is 0.62, 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	0.62
Correlation (All Time) Calculated using the full available price history since Oct 19, 2023	0.65

The correlation between PAPI and VNQ has been stable across timeframes, ranging from 0.62 to 0.65 - a consistent structural relationship.

Return for Risk

PAPI vs. VNQ — 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

VNQ

VNQ Risk / Return Rank: 24
VNQ Sharpe Ratio Rank: 23
VNQ Sortino Ratio Rank: 21
VNQ Omega Ratio Rank: 21
VNQ Calmar Ratio Rank: 27
VNQ Martin Ratio Rank: 29

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. VNQ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric Equity Premium Income ETF (PAPI) and Vanguard Real Estate ETF (VNQ). 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	VNQ	Difference
Sharpe ratio: Return per unit of total volatility	1.20	0.77	+0.43
Sortino ratio: Return per unit of downside risk	1.82	1.13	+0.69
Omega ratio: Gain probability vs. loss probability	1.21	1.14	+0.07
Calmar ratio: Return relative to maximum drawdown	1.84	1.27	+0.58
Martin ratio: Return relative to average drawdown	4.70	3.97	+0.72

PAPI vs. VNQ - Sharpe Ratio Comparison

The current PAPI Sharpe Ratio is 1.20, which is higher than the VNQ Sharpe Ratio of 0.77. The chart below compares the historical Sharpe Ratios of PAPI and VNQ, 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. VNQ - Drawdown Comparison

The maximum PAPI drawdown since its inception was -14.27%, smaller than the maximum VNQ drawdown of -73.07%. Use the drawdown chart below to compare losses from any high point for PAPI and VNQ.

Drawdown Indicators

	PAPI	VNQ	Difference
Max Drawdown Largest peak-to-trough decline	-14.27%	-73.07%	+58.80%
Max Drawdown (1Y) Largest decline over 1 year	-6.86%	-8.34%	+1.48%
Max Drawdown (3Y) Largest decline over 3 years	—	-17.46%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-34.48%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-42.40%	—
Current Drawdown Current decline from peak	-4.77%	-2.99%	-1.78%
Average Drawdown Average peak-to-trough decline	-2.76%	-13.60%	+10.84%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.69%	2.66%	+0.03%

Volatility

PAPI vs. VNQ - Volatility Comparison

The current volatility for Parametric Equity Premium Income ETF (PAPI) is 2.66%, while Vanguard Real Estate ETF (VNQ) has a volatility of 5.07%. This indicates that PAPI experiences smaller price fluctuations and is considered to be less risky than VNQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PAPI	VNQ	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.66%	5.07%	-2.41%
Volatility (6M) Calculated over the trailing 6-month period	7.06%	10.10%	-3.04%
Volatility (1Y) Calculated over the trailing 1-year period	10.54%	13.75%	-3.21%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.75%	18.86%	-7.11%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.75%	20.73%	-8.98%

PAPI vs. VNQ - Expense Ratio Comparison

PAPI has a 0.29% expense ratio, which is higher than VNQ's 0.13% expense ratio.

Dividends

PAPI vs. VNQ - Dividend Comparison

PAPI's dividend yield for the trailing twelve months is around 7.59%, more than VNQ's 3.65% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PAPI Parametric Equity Premium Income ETF	7.59%	7.59%	7.07%	1.45%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
VNQ Vanguard Real Estate ETF	3.65%	3.92%	3.85%	3.95%	3.91%	2.56%	3.93%	3.39%	4.74%	4.23%	4.82%	3.92%

Frequently Asked Questions

Can I hold both PAPI and VNQ in my portfolio?

PAPI and VNQ have a correlation of 0.62, 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 VNQ?

VNQ has higher volatility (5.07%) compared to PAPI (2.66%). In terms of maximum drawdown, PAPI dropped -14.27% vs VNQ's -73.07%.

Which ETF is better, PAPI or VNQ?

On 1-year performance, PAPI leads with 12.60% vs 10.53% for VNQ. On fees, VNQ is cheaper at 0.13% per year. On volatility, PAPI has been the lower-risk option at 2.66%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PAPI or VNQ?

Over the 1-year period, PAPI has performed better with a 12.60% return vs 10.53%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PAPI or VNQ?

VNQ is cheaper with a 0.13% expense ratio, compared with 0.29% for PAPI.

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

PAPI has the higher dividend yield at 7.59%, compared with 3.65% for VNQ.

What is the main difference between PAPI and VNQ?

PAPI is categorized as Derivative Income, while VNQ is REIT. They also come from different issuers: Morgan Stanley and Vanguard. Their fees differ too: 0.29% for PAPI and 0.13% for VNQ.

Which has better risk-adjusted returns?

PAPI currently has the higher Sharpe Ratio (1.20 vs 0.77), 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.