PAPI vs. XRMI

Last updated Jun 24, 2026

PAPI (Parametric Equity Premium Income ETF) and XRMI (Global X S&P 500 Risk Managed Income ETF) are both Derivative Income funds. PAPI is actively managed, while XRMI is passively managed. Over the past year, PAPI returned 12.01% vs 9.03% for XRMI. At a 0.31 correlation, their price movements are largely independent. PAPI charges 0.29%/yr vs 0.60%/yr for XRMI.

Performance

PAPI vs. XRMI - Performance Comparison

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

Returns By Period

In the year-to-date period, PAPI achieves a 6.57% return, which is significantly higher than XRMI's 1.66% return.

PAPI

• 1D: 0.45%
• 1M: 0.17%
• YTD: 6.57%
• 6M: 5.93%
• 1Y: 12.01%
• 3Y*: —
• 5Y*: —
• 10Y*: —

XRMI

• 1D: -0.52%
• 1M: 0.39%
• YTD: 1.66%
• 6M: 1.20%
• 1Y: 9.03%
• 3Y*: 6.90%
• 5Y*: —
• 10Y*: —

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

PAPI vs. XRMI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
PAPI Parametric Equity Premium Income ETF	6.57%	6.33%	8.90%	4.53%
XRMI Global X S&P 500 Risk Managed Income ETF	1.66%	4.60%	15.18%	2.11%

Correlation

The correlation between PAPI and XRMI is 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.24
Correlation (All Time) Calculated using the full available price history since Oct 19, 2023	0.31

Return for Risk

PAPI vs. XRMI — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

PAPI

PAPI Risk / Return Rank: 34
PAPI Sharpe Ratio Rank: 33
PAPI Sortino Ratio Rank: 35
PAPI Omega Ratio Rank: 31
PAPI Calmar Ratio Rank: 37
PAPI Martin Ratio Rank: 32

XRMI

XRMI Risk / Return Rank: 48
XRMI Sharpe Ratio Rank: 51
XRMI Sortino Ratio Rank: 50
XRMI Omega Ratio Rank: 54
XRMI Calmar Ratio Rank: 38
XRMI Martin Ratio Rank: 46

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. XRMI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric Equity Premium Income ETF (PAPI) and Global X S&P 500 Risk Managed Income ETF (XRMI). 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	XRMI	Difference
Sharpe ratio: Return per unit of total volatility	1.15	1.65	-0.50
Sortino ratio: Return per unit of downside risk	1.74	2.30	-0.56
Omega ratio: Gain probability vs. loss probability	1.20	1.32	-0.12
Calmar ratio: Return relative to maximum drawdown	1.76	1.81	-0.05
Martin ratio: Return relative to average drawdown	4.42	7.28	-2.86

PAPI vs. XRMI - Sharpe Ratio Comparison

The current PAPI Sharpe Ratio is 1.15, which is lower than the XRMI Sharpe Ratio of 1.65. The chart below compares the historical Sharpe Ratios of PAPI and XRMI, 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. XRMI - Drawdown Comparison

The maximum PAPI drawdown since its inception was -14.27%, smaller than the maximum XRMI drawdown of -15.31%. Use the drawdown chart below to compare losses from any high point for PAPI and XRMI.

Drawdown Indicators

	PAPI	XRMI	Difference
Max Drawdown Largest peak-to-trough decline	-14.27%	-15.31%	+1.04%
Max Drawdown (1Y) Largest decline over 1 year	-6.86%	-5.02%	-1.84%
Max Drawdown (3Y) Largest decline over 3 years	—	-8.34%	—
Current Drawdown Current decline from peak	-4.37%	-0.52%	-3.85%
Average Drawdown Average peak-to-trough decline	-2.77%	-5.87%	+3.10%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.72%	1.24%	+1.48%

Volatility

PAPI vs. XRMI - Volatility Comparison

Parametric Equity Premium Income ETF (PAPI) has a higher volatility of 2.68% compared to Global X S&P 500 Risk Managed Income ETF (XRMI) at 1.71%. This indicates that PAPI's price experiences larger fluctuations and is considered to be riskier than XRMI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PAPI	XRMI	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.68%	1.71%	+0.97%
Volatility (6M) Calculated over the trailing 6-month period	7.05%	4.44%	+2.61%
Volatility (1Y) Calculated over the trailing 1-year period	10.55%	5.52%	+5.03%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.73%	6.91%	+4.82%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.73%	6.91%	+4.82%

PAPI vs. XRMI - Expense Ratio Comparison

PAPI has a 0.29% expense ratio, which is lower than XRMI's 0.60% expense ratio.

Dividends

PAPI vs. XRMI - Dividend Comparison

PAPI's dividend yield for the trailing twelve months is around 7.56%, less than XRMI's 12.73% yield.

Position	TTM	2025	2024	2023	2022	2021
PAPI Parametric Equity Premium Income ETF	7.56%	7.59%	7.07%	1.45%	0.00%	0.00%
XRMI Global X S&P 500 Risk Managed Income ETF	12.73%	12.35%	11.86%	12.62%	12.84%	2.93%

Frequently Asked Questions

Can I hold both PAPI and XRMI in my portfolio?

PAPI and XRMI have a correlation of 0.24, 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 XRMI?

PAPI has higher volatility (2.68%) compared to XRMI (1.71%). In terms of maximum drawdown, PAPI dropped -14.27% vs XRMI's -15.31%.

Which ETF is better, PAPI or XRMI?

On 1-year performance, PAPI leads with 12.01% vs 9.03% for XRMI. On fees, PAPI is cheaper at 0.29% per year. On volatility, XRMI has been the lower-risk option at 1.71%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PAPI or XRMI?

Over the 1-year period, PAPI has performed better with a 12.01% return vs 9.03%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PAPI or XRMI?

PAPI is cheaper with a 0.29% expense ratio, compared with 0.60% for XRMI.

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

XRMI has the higher dividend yield at 12.73%, compared with 7.56% for PAPI.

What is the main difference between PAPI and XRMI?

They also come from different issuers: Morgan Stanley and Global X. Their fees differ too: 0.29% for PAPI and 0.60% for XRMI.

Which has better risk-adjusted returns?

XRMI currently has the higher Sharpe Ratio (1.65 vs 1.15), 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.