PEPS vs. PAPI

Last updated Jun 4, 2026

PEPS (Parametric Equity Plus ETF) and PAPI (Parametric Equity Premium Income ETF) are both Derivative Income funds. Both are actively managed. Over the past year, PEPS returned 31.83% vs 12.39% for PAPI. At a 0.37 correlation, their price movements are largely independent. PEPS charges 0.10%/yr vs 0.29%/yr for PAPI.

Performance

PEPS vs. PAPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Parametric Equity Plus ETF (PEPS) and Parametric Equity Premium Income ETF (PAPI). 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 PAPI's 5.81% return.

PEPS

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

PAPI

• 1D: -0.26%
• 1M: 0.28%
• YTD: 5.81%
• 6M: 5.78%
• 1Y: 12.39%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

PEPS vs. PAPI - Yearly Performance Comparison

	2026 (YTD)	2025	2024
PEPS Parametric Equity Plus ETF	10.67%	20.32%	-1.45%
PAPI Parametric Equity Premium Income ETF	5.81%	6.33%	-3.79%

Correlation

The correlation between PEPS and PAPI is 0.29, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.29
Correlation (All Time) Calculated using the full available price history since Nov 11, 2024	0.37

Return for Risk

PEPS vs. PAPI — 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

PAPI

PAPI Risk / Return Rank: 33
PAPI Sharpe Ratio Rank: 32
PAPI Sortino Ratio Rank: 34
PAPI Omega Ratio Rank: 30
PAPI Calmar Ratio Rank: 37
PAPI Martin Ratio Rank: 33

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. PAPI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric Equity Plus ETF (PEPS) and Parametric Equity Premium Income ETF (PAPI). 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	PAPI	Difference
Sharpe ratio Return per unit of total volatility	2.45	1.19	+1.26
Sortino ratio Return per unit of downside risk	3.22	1.82	+1.40
Omega ratio Gain probability vs. loss probability	1.45	1.21	+0.24
Calmar ratio Return relative to maximum drawdown	3.26	1.81	+1.45
Martin ratio Return relative to average drawdown	15.28	4.90	+10.38
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. PAPI - Sharpe Ratio Comparison

The current PEPS Sharpe Ratio is 2.45, which is higher than the PAPI Sharpe Ratio of 1.19. The chart below compares the historical Sharpe Ratios of PEPS and PAPI, 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	PAPI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.45	1.19	+1.26
Sharpe Ratio (All Time) Calculated using the full available price history	1.05	0.88	+0.17

Drawdowns

PEPS vs. PAPI - Drawdown Comparison

The maximum PEPS drawdown since its inception was -21.26%, which is greater than PAPI's maximum drawdown of -14.27%. Use the drawdown chart below to compare losses from any high point for PEPS and PAPI.

Drawdown Indicators

	PEPS	PAPI	Difference
Max Drawdown Largest peak-to-trough decline	-21.26%	-14.27%	-6.99%
Max Drawdown (1Y) Largest decline over 1 year	-9.80%	-6.86%	-2.94%
Current Drawdown Current decline from peak	-0.51%	-5.06%	+4.55%
Average Drawdown Average peak-to-trough decline	-2.77%	-2.73%	-0.04%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.09%	2.53%	-0.44%

Volatility

PEPS vs. PAPI - Volatility Comparison

Parametric Equity Plus ETF (PEPS) has a higher volatility of 2.77% compared to Parametric Equity Premium Income ETF (PAPI) at 2.23%. This indicates that PEPS's price experiences larger fluctuations and is considered to be riskier than PAPI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PEPS	PAPI	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.77%	2.23%	+0.54%
Volatility (6M) Calculated over the trailing 6-month period	9.83%	7.00%	+2.83%
Volatility (1Y) Calculated over the trailing 1-year period	13.06%	10.55%	+2.51%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.31%	11.76%	+6.55%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.31%	11.76%	+6.55%

PEPS vs. PAPI - Expense Ratio Comparison

PEPS has a 0.10% expense ratio, which is lower than PAPI's 0.29% expense ratio.

Dividends

PEPS vs. PAPI - Dividend Comparison

PEPS's dividend yield for the trailing twelve months is around 0.88%, less than PAPI's 7.62% yield.

Position	TTM	2025	2024	2023
PAPI Parametric Equity Premium Income ETF	7.62%	7.59%	7.07%	1.45%
PEPS Parametric Equity Plus ETF	0.88%	1.00%	0.17%	0.00%

Frequently Asked Questions

Can I hold both PEPS and PAPI in my portfolio?

PEPS and PAPI have a correlation of 0.29, 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 PAPI?

PEPS has higher volatility (2.77%) compared to PAPI (2.23%). In terms of maximum drawdown, PEPS dropped -21.26% vs PAPI's -14.27%.

Which ETF is better, PEPS or PAPI?

On 1-year performance, PEPS leads with 31.83% vs 12.39% for PAPI. On fees, PEPS is cheaper at 0.10% per year. On volatility, PAPI has been the lower-risk option at 2.23%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PEPS or PAPI?

Over the 1-year period, PEPS has performed better with a 31.83% return vs 12.39%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PEPS or PAPI?

PEPS is cheaper with a 0.10% expense ratio, compared with 0.29% for PAPI.

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

PAPI has the higher dividend yield at 7.62%, compared with 0.88% for PEPS.

What is the main difference between PEPS and PAPI?

They also come from different issuers: Parametric and Morgan Stanley. Their fees differ too: 0.10% for PEPS and 0.29% for PAPI.

Which has better risk-adjusted returns?

PEPS currently has the higher Sharpe Ratio (2.45 vs 1.19), 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.