PEPS vs. QYLD

Last updated Jun 4, 2026

PEPS (Parametric Equity Plus ETF) and QYLD (Global X NASDAQ 100 Covered Call ETF) are both exchange-traded funds - PEPS is a Derivative Income fund actively managed by Parametric, while QYLD is a Nasdaq-100 fund tracking the CBOE NASDAQ-100 Buy Write V2. PEPS is actively managed, while QYLD is passively managed. Over the past year, PEPS returned 31.83% vs 23.93% for QYLD. Their correlation of 0.87 suggests significant overlap in exposure. PEPS charges 0.10%/yr vs 0.60%/yr for QYLD.

Performance

PEPS vs. QYLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Parametric Equity Plus ETF (PEPS) and Global X NASDAQ 100 Covered Call ETF (QYLD). 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 QYLD's 7.88% return.

PEPS

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

QYLD

• 1D: -0.06%
• 1M: 1.62%
• YTD: 7.88%
• 6M: 9.97%
• 1Y: 23.93%
• 3Y*: 13.80%
• 5Y*: 8.43%
• 10Y*: 9.80%

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

PEPS vs. QYLD - Yearly Performance Comparison

	2026 (YTD)	2025	2024
PEPS Parametric Equity Plus ETF	10.67%	20.32%	-1.45%
QYLD Global X NASDAQ 100 Covered Call ETF	7.88%	9.28%	1.09%

Correlation

The correlation between PEPS and QYLD is 0.86, 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	0.86
Correlation (All Time) Calculated using the full available price history since Nov 11, 2024	0.87

The correlation between PEPS and QYLD has been stable across timeframes, ranging from 0.86 to 0.87 - a consistent structural relationship.

Return for Risk

PEPS vs. QYLD — 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

QYLD

QYLD Risk / Return Rank: 88
QYLD Sharpe Ratio Rank: 84
QYLD Sortino Ratio Rank: 85
QYLD Omega Ratio Rank: 92
QYLD Calmar Ratio Rank: 86
QYLD Martin Ratio Rank: 94

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. QYLD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric Equity Plus ETF (PEPS) and Global X NASDAQ 100 Covered Call ETF (QYLD). 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	QYLD	Difference
Sharpe ratio: Return per unit of total volatility	2.45	2.80	-0.35
Sortino ratio: Return per unit of downside risk	3.22	3.92	-0.70
Omega ratio: Gain probability vs. loss probability	1.45	1.63	-0.18
Calmar ratio: Return relative to maximum drawdown	3.26	4.84	-1.57
Martin ratio: Return relative to average drawdown	15.28	28.36	-13.08
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. QYLD - Sharpe Ratio Comparison

The current PEPS Sharpe Ratio is 2.45, which is comparable to the QYLD Sharpe Ratio of 2.80. The chart below compares the historical Sharpe Ratios of PEPS and QYLD, 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	QYLD	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.45	2.80	-0.35
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.58	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.63	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.05	0.59	+0.46

Drawdowns

PEPS vs. QYLD - Drawdown Comparison

The maximum PEPS drawdown since its inception was -21.26%, smaller than the maximum QYLD drawdown of -24.75%. Use the drawdown chart below to compare losses from any high point for PEPS and QYLD.

Drawdown Indicators

	PEPS	QYLD	Difference
Max Drawdown Largest peak-to-trough decline	-21.26%	-24.75%	+3.49%
Max Drawdown (1Y) Largest decline over 1 year	-9.80%	-4.97%	-4.83%
Max Drawdown (3Y) Largest decline over 3 years	—	-19.06%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-24.61%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-24.75%	—
Current Drawdown Current decline from peak	-0.51%	-0.06%	-0.45%
Average Drawdown Average peak-to-trough decline	-2.77%	-3.84%	+1.07%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.09%	0.85%	+1.24%

Volatility

PEPS vs. QYLD - Volatility Comparison

Parametric Equity Plus ETF (PEPS) has a higher volatility of 2.77% compared to Global X NASDAQ 100 Covered Call ETF (QYLD) at 1.85%. This indicates that PEPS's price experiences larger fluctuations and is considered to be riskier than QYLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PEPS	QYLD	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.77%	1.85%	+0.92%
Volatility (6M) Calculated over the trailing 6-month period	9.83%	7.12%	+2.71%
Volatility (1Y) Calculated over the trailing 1-year period	13.06%	8.58%	+4.48%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.31%	14.70%	+3.61%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.31%	15.49%	+2.82%

PEPS vs. QYLD - Expense Ratio Comparison

PEPS has a 0.10% expense ratio, which is lower than QYLD's 0.60% expense ratio.

Dividends

PEPS vs. QYLD - Dividend Comparison

PEPS's dividend yield for the trailing twelve months is around 0.88%, less than QYLD's 11.46% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PEPS Parametric Equity Plus ETF	0.88%	1.00%	0.17%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
QYLD Global X NASDAQ 100 Covered Call ETF	11.46%	11.55%	12.50%	11.78%	13.75%	12.85%	11.16%	9.84%	12.44%	7.69%	9.15%	9.42%

Frequently Asked Questions

Can I hold both PEPS and QYLD in my portfolio?

PEPS and QYLD have a correlation of 0.86, 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 QYLD?

PEPS has higher volatility (2.77%) compared to QYLD (1.85%). In terms of maximum drawdown, PEPS dropped -21.26% vs QYLD's -24.75%.

Which ETF is better, PEPS or QYLD?

On 1-year performance, PEPS leads with 31.83% vs 23.93% for QYLD. On fees, PEPS is cheaper at 0.10% per year. On volatility, QYLD has been the lower-risk option at 1.85%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PEPS or QYLD?

Over the 1-year period, PEPS has performed better with a 31.83% return vs 23.93%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PEPS or QYLD?

PEPS is cheaper with a 0.10% expense ratio, compared with 0.60% for QYLD.

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

QYLD has the higher dividend yield at 11.46%, compared with 0.88% for PEPS.

What is the main difference between PEPS and QYLD?

PEPS is categorized as Derivative Income, while QYLD is Nasdaq-100. They also come from different issuers: Parametric and Global X. Their fees differ too: 0.10% for PEPS and 0.60% for QYLD.

Which has better risk-adjusted returns?

QYLD currently has the higher Sharpe Ratio (2.80 vs 2.45), 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.