PEPS vs. XYLD

Last updated Aug 2, 2026

PEPS (Parametric Equity Plus ETF) and XYLD (Global X S&P 500 Covered Call ETF) are both Derivative Income funds. PEPS is actively managed, while XYLD is passively managed. Over the past year, PEPS returned 24.79% vs 18.90% for XYLD. Their correlation of 0.88 means they have usually moved in the same direction. PEPS charges 0.10%/yr vs 0.60%/yr for XYLD.

Performance

PEPS vs. XYLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Parametric Equity Plus ETF (PEPS) and Global X S&P 500 Covered Call ETF (XYLD). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PEPS achieves a 10.53% return, which is significantly higher than XYLD's 8.05% return.

PEPS

• 1D: 0.81%
• 1M: 0.80%
• 6M: 8.59%
• YTD: 10.53%
• 1Y: 24.79%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 17.01%

XYLD

• 1D: 0.49%
• 1M: 1.82%
• 6M: 6.81%
• YTD: 8.05%
• 1Y: 18.90%
• 3Y*: 11.51%
• 5Y*: 7.90%
• 10Y*: 8.34%
• ALL TIME*: 8.37%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
PEPS Parametric Equity Plus ETF	$5.31K	$5.85K	$15.49K
XYLD Global X S&P 500 Covered Call ETF	$36.93M	$37.58M	$32.35M

PEPS vs. XYLD - Yearly Performance Comparison

	2026 (YTD)	2025	2024
PEPS Parametric Equity Plus ETF	10.53%	20.32%	-1.42%
XYLD Global X S&P 500 Covered Call ETF	8.05%	8.02%	3.25%

Correlation

The correlation between PEPS and XYLD is 0.91, meaning they have usually moved in the same direction, including during past declines.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.91
Correlation (All Time) Calculated using the full available price history since Nov 8, 2024	0.88

The correlation between PEPS and XYLD has been stable across timeframes, ranging from 0.88 to 0.91 - a consistent structural relationship.

Return for Risk

PEPS vs. XYLD — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

PEPS

PEPS Risk / Return Rank: 70
PEPS Sharpe Ratio Rank: 70
PEPS Sortino Ratio Rank: 65
PEPS Omega Ratio Rank: 68
PEPS Calmar Ratio Rank: 66
PEPS Martin Ratio Rank: 79

XYLD

XYLD Risk / Return Rank: 93
XYLD Sharpe Ratio Rank: 93
XYLD Sortino Ratio Rank: 94
XYLD Omega Ratio Rank: 95
XYLD Calmar Ratio Rank: 87
XYLD Martin Ratio Rank: 94

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

PEPS vs. XYLD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric Equity Plus ETF (PEPS) and Global X S&P 500 Covered Call ETF (XYLD). 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.

	PEPS	XYLD	Difference
Sharpe ratio: Return per unit of total volatility	1.60	2.53	-0.93
Sortino ratio: Return per unit of downside risk	2.16	3.60	-1.43
Omega ratio: Gain probability vs. loss probability	1.29	1.56	-0.28
Calmar ratio: Return relative to maximum drawdown	2.31	3.40	-1.09
Martin ratio: Return relative to average drawdown	10.10	17.69	-7.59

PEPS vs. XYLD - Sharpe Ratio Comparison

The current PEPS Sharpe Ratio is 1.60, which is lower than the XYLD Sharpe Ratio of 2.53. The chart below compares the historical Sharpe Ratios of PEPS and XYLD, 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

PEPS vs. XYLD - Drawdown Comparison

The maximum PEPS drawdown since its inception was -21.26%, smaller than the maximum XYLD drawdown of -33.46%. Use the drawdown chart below to compare losses from any high point for PEPS and XYLD.

Drawdown Indicators

	PEPS	XYLD	Difference
Max Drawdown Largest peak-to-trough decline	-21.26%	-33.46%	+12.20%
Max Drawdown (1Y) Largest decline over 1 year	-9.80%	-5.29%	-4.51%
Max Drawdown (3Y) Largest decline over 3 years	—	-15.53%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-18.66%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-33.46%	—
Current Drawdown Current decline from peak	-0.66%	0.00%	-0.66%
Average Drawdown Average peak-to-trough decline	-2.67%	-3.68%	+1.01%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.24%	1.02%	+1.22%

Volatility

PEPS vs. XYLD - Volatility Comparison

Parametric Equity Plus ETF (PEPS) has a higher volatility of 3.85% compared to Global X S&P 500 Covered Call ETF (XYLD) at 1.92%. This indicates that PEPS's price experiences larger fluctuations and is considered to be riskier than XYLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PEPS	XYLD	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.85%	1.92%	+1.93%
Volatility (6M) Calculated over the trailing 6-month period	11.00%	5.97%	+5.03%
Volatility (1Y) Calculated over the trailing 1-year period	14.21%	7.13%	+7.08%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.11%	11.27%	+6.84%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.11%	14.15%	+3.96%

PEPS vs. XYLD - Expense Ratio Comparison

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

Dividends

PEPS vs. XYLD - Dividend Comparison

PEPS's dividend yield for the trailing twelve months is around 0.92%, less than XYLD's 10.53% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PEPS Parametric Equity Plus ETF	0.92%	1.00%	0.17%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
XYLD Global X S&P 500 Covered Call ETF	10.53%	10.51%	11.54%	10.51%	13.43%	9.07%	7.93%	5.76%	7.12%	5.18%	3.23%	4.65%

Frequently Asked Questions

Can I hold both PEPS and XYLD in my portfolio?

With a correlation of 0.91, PEPS and XYLD move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, PEPS or XYLD?

PEPS has higher volatility (3.85%) compared to XYLD (1.92%). In terms of maximum drawdown, PEPS dropped -21.26% vs XYLD's -33.46%.

Which ETF is better, PEPS or XYLD?

On 1-year performance, PEPS leads with 24.79% vs 18.90% for XYLD. On fees, PEPS is cheaper at 0.10% per year. On volatility, XYLD has been the lower-risk option at 1.92%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PEPS or XYLD?

Over the 1-year period, PEPS has performed better with a 24.79% return vs 18.90%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PEPS or XYLD?

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

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

XYLD has the higher dividend yield at 10.53%, compared with 0.92% for PEPS.

What is the main difference between PEPS and XYLD?

They also come from different issuers: Parametric and Global X. Their fees differ too: 0.10% for PEPS and 0.60% for XYLD.

Which has better risk-adjusted returns?

XYLD currently has the higher Sharpe Ratio (2.53 vs 1.60), 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.