PAPI vs. VNQ
Compare and contrast key facts about Parametric Equity Premium Income ETF (PAPI) and Vanguard Real Estate ETF (VNQ).
PAPI and VNQ are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. PAPI is an actively managed fund by Morgan Stanley. It was launched on Oct 16, 2023. VNQ is a passively managed fund by Vanguard that tracks the performance of the MSCI US REIT Index. It was launched on Sep 23, 2004.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: PAPI or VNQ.
Key characteristics
| PAPI | VNQ | |
|---|---|---|
| YTD Return | 13.39% | 10.24% |
| 1Y Return | 19.75% | 24.63% |
| Sharpe Ratio | 2.23 | 1.85 |
| Sortino Ratio | 3.20 | 2.65 |
| Omega Ratio | 1.40 | 1.33 |
| Calmar Ratio | 4.91 | 1.17 |
| Martin Ratio | 12.67 | 7.06 |
| Ulcer Index | 1.70% | 4.47% |
| Daily Std Dev | 9.65% | 17.09% |
| Max Drawdown | -4.39% | -73.07% |
| Current Drawdown | -0.40% | -9.06% |
Correlation
The correlation between PAPI and VNQ is 0.61, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
PAPI vs. VNQ - Performance Comparison
In the year-to-date period, PAPI achieves a 13.39% return, which is significantly higher than VNQ's 10.24% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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PAPI vs. VNQ - Expense Ratio Comparison
PAPI has a 0.29% expense ratio, which is higher than VNQ's 0.12% expense ratio.
Risk-Adjusted Performance
PAPI vs. VNQ - Risk-Adjusted Performance 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.
Dividends
PAPI vs. VNQ - Dividend Comparison
PAPI's dividend yield for the trailing twelve months is around 6.92%, more than VNQ's 3.85% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PAPI Parametric Equity Premium Income ETF | 6.92% | 1.45% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VNQ Vanguard Real Estate ETF | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% | 4.32% |
Drawdowns
PAPI vs. VNQ - Drawdown Comparison
The maximum PAPI drawdown since its inception was -4.39%, 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. For additional features, visit the drawdowns tool.
Volatility
PAPI vs. VNQ - Volatility Comparison
The current volatility for Parametric Equity Premium Income ETF (PAPI) is 2.97%, while Vanguard Real Estate ETF (VNQ) has a volatility of 5.25%. 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.