PEPS vs. KHPI

Last updated Jun 4, 2026

PEPS (Parametric Equity Plus ETF) and KHPI (Kensington Hedged Premium Income ETF) are both Derivative Income funds. Both are actively managed. Over the past year, PEPS returned 31.83% vs 15.09% for KHPI. Their correlation of 0.81 suggests significant overlap in exposure. PEPS charges 0.10%/yr vs 0.96%/yr for KHPI.

Performance

PEPS vs. KHPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Parametric Equity Plus ETF (PEPS) and Kensington Hedged Premium Income ETF (KHPI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PEPS achieves a 10.67% return, which is significantly higher than KHPI's 5.45% return.

PEPS

• 1D: -0.51%
• 1M: 6.44%
• YTD: 10.67%
• 6M: 10.79%
• 1Y: 31.83%
• 3Y*: —
• 5Y*: —
• 10Y*: —

KHPI

• 1D: -0.50%
• 1M: 2.40%
• YTD: 5.45%
• 6M: 4.74%
• 1Y: 15.09%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

PEPS vs. KHPI - Yearly Performance Comparison

	2026 (YTD)	2025	2024
PEPS Parametric Equity Plus ETF	10.67%	20.32%	-1.45%
KHPI Kensington Hedged Premium Income ETF	5.45%	11.14%	0.76%

Correlation

The correlation between PEPS and KHPI is 0.81, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.81
Correlation (All Time) Calculated using the full available price history since Nov 11, 2024	0.81

The correlation between PEPS and KHPI has been stable across timeframes, ranging from 0.81 to 0.81 - a consistent structural relationship.

Return for Risk

PEPS vs. KHPI — Risk / Return Rank

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

PEPS

PEPS Risk / Return Rank: 73
PEPS Sharpe Ratio Rank: 76
PEPS Sortino Ratio Rank: 71
PEPS Omega Ratio Rank: 75
PEPS Calmar Ratio Rank: 66
PEPS Martin Ratio Rank: 79

KHPI

KHPI Risk / Return Rank: 60
KHPI Sharpe Ratio Rank: 62
KHPI Sortino Ratio Rank: 65
KHPI Omega Ratio Rank: 64
KHPI Calmar Ratio Rank: 48
KHPI Martin Ratio Rank: 61

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.

PEPS vs. KHPI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric Equity Plus ETF (PEPS) and Kensington Hedged Premium Income ETF (KHPI). 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.

	PEPS	KHPI	Difference
Sharpe ratio Return per unit of total volatility	2.45	2.10	+0.35
Sortino ratio Return per unit of downside risk	3.22	3.02	+0.20
Omega ratio Gain probability vs. loss probability	1.45	1.39	+0.06
Calmar ratio Return relative to maximum drawdown	3.26	2.31	+0.95
Martin ratio Return relative to average drawdown	15.28	10.89	+4.38
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PEPS vs. KHPI - Sharpe Ratio Comparison

The current PEPS Sharpe Ratio is 2.45, which is comparable to the KHPI Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of PEPS and KHPI, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	PEPS	KHPI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.45	2.10	+0.35
Sharpe Ratio (All Time) Calculated using the full available price history	1.05	1.28	-0.23

Drawdowns

PEPS vs. KHPI - Drawdown Comparison

The maximum PEPS drawdown since its inception was -21.26%, which is greater than KHPI's maximum drawdown of -10.58%. Use the drawdown chart below to compare losses from any high point for PEPS and KHPI.

Drawdown Indicators

	PEPS	KHPI	Difference
Max Drawdown Largest peak-to-trough decline	-21.26%	-10.58%	-10.68%
Max Drawdown (1Y) Largest decline over 1 year	-9.80%	-6.55%	-3.25%
Current Drawdown Current decline from peak	-0.51%	-0.50%	-0.01%
Average Drawdown Average peak-to-trough decline	-2.77%	-1.23%	-1.54%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.09%	1.39%	+0.70%

Volatility

PEPS vs. KHPI - Volatility Comparison

Parametric Equity Plus ETF (PEPS) has a higher volatility of 2.77% compared to Kensington Hedged Premium Income ETF (KHPI) at 2.20%. This indicates that PEPS's price experiences larger fluctuations and is considered to be riskier than KHPI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PEPS	KHPI	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.77%	2.20%	+0.57%
Volatility (6M) Calculated over the trailing 6-month period	9.83%	5.49%	+4.34%
Volatility (1Y) Calculated over the trailing 1-year period	13.06%	7.24%	+5.82%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.31%	9.61%	+8.70%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.31%	9.61%	+8.70%

PEPS vs. KHPI - Expense Ratio Comparison

PEPS has a 0.10% expense ratio, which is lower than KHPI's 0.96% expense ratio.

Dividends

PEPS vs. KHPI - Dividend Comparison

PEPS's dividend yield for the trailing twelve months is around 0.88%, less than KHPI's 8.86% yield.

Position	TTM	2025	2024
KHPI Kensington Hedged Premium Income ETF	8.86%	8.90%	3.01%
PEPS Parametric Equity Plus ETF	0.88%	1.00%	0.17%

Frequently Asked Questions

Can I hold both PEPS and KHPI in my portfolio?

PEPS and KHPI have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PEPS or KHPI?

PEPS has higher volatility (2.77%) compared to KHPI (2.20%). In terms of maximum drawdown, PEPS dropped -21.26% vs KHPI's -10.58%.

Which ETF is better, PEPS or KHPI?

On 1-year performance, PEPS leads with 31.83% vs 15.09% for KHPI. On fees, PEPS is cheaper at 0.10% per year. On volatility, KHPI has been the lower-risk option at 2.20%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PEPS or KHPI?

Over the 1-year period, PEPS has performed better with a 31.83% return vs 15.09%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PEPS or KHPI?

PEPS is cheaper with a 0.10% expense ratio, compared with 0.96% for KHPI.

Which ETF pays a higher dividend yield, PEPS or KHPI?

KHPI has the higher dividend yield at 8.86%, compared with 0.88% for PEPS.

What is the main difference between PEPS and KHPI?

They also come from different issuers: Parametric and Kensington Asset Management. Their fees differ too: 0.10% for PEPS and 0.96% for KHPI.

Which has better risk-adjusted returns?

PEPS currently has the higher Sharpe Ratio (2.45 vs 2.10), 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.