SCLZ vs. PAPI

Last updated Jun 4, 2026

SCLZ (Swan Enhanced Dividend Income ETF) and PAPI (Parametric Equity Premium Income ETF) are both Derivative Income funds. Both are actively managed. Over the past year, SCLZ returned 16.69% vs 12.39% for PAPI. At a 0.47 correlation, their price movements are largely independent. SCLZ charges 0.79%/yr vs 0.29%/yr for PAPI.

Performance

SCLZ vs. PAPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Swan Enhanced Dividend Income ETF (SCLZ) 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, SCLZ achieves a 6.46% return, which is significantly higher than PAPI's 5.81% return.

SCLZ

• 1D: -0.23%
• 1M: 2.97%
• YTD: 6.46%
• 6M: 7.49%
• 1Y: 16.69%
• 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)

SCLZ vs. PAPI - Yearly Performance Comparison

	2026 (YTD)	2025	2024
SCLZ Swan Enhanced Dividend Income ETF	6.46%	11.12%	11.89%
PAPI Parametric Equity Premium Income ETF	5.81%	6.33%	7.79%

Correlation

The correlation between SCLZ 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 Feb 28, 2024	0.47

The correlation between SCLZ and PAPI shifts across timeframes, from 0.29 (1 year) to 0.47 (all time), reflecting how their relationship changes across market environments.

Return for Risk

SCLZ vs. PAPI — Risk / Return Rank

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

SCLZ

SCLZ Risk / Return Rank: 57
SCLZ Sharpe Ratio Rank: 55
SCLZ Sortino Ratio Rank: 56
SCLZ Omega Ratio Rank: 58
SCLZ Calmar Ratio Rank: 49
SCLZ Martin Ratio Rank: 65

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.

SCLZ vs. PAPI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Swan Enhanced Dividend Income ETF (SCLZ) 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.

	SCLZ	PAPI	Difference
Sharpe ratio: Return per unit of total volatility	1.84	1.19	+0.65
Sortino ratio: Return per unit of downside risk	2.62	1.82	+0.80
Omega ratio: Gain probability vs. loss probability	1.35	1.21	+0.15
Calmar ratio: Return relative to maximum drawdown	2.40	1.81	+0.58
Martin ratio: Return relative to average drawdown	11.60	4.90	+6.70
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SCLZ vs. PAPI - Sharpe Ratio Comparison

The current SCLZ Sharpe Ratio is 1.84, which is higher than the PAPI Sharpe Ratio of 1.19. The chart below compares the historical Sharpe Ratios of SCLZ 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

	SCLZ	PAPI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.84	1.19	+0.65
Sharpe Ratio (All Time) Calculated using the full available price history	1.17	0.88	+0.29

Drawdowns

SCLZ vs. PAPI - Drawdown Comparison

The maximum SCLZ drawdown since its inception was -12.58%, smaller than the maximum PAPI drawdown of -14.27%. Use the drawdown chart below to compare losses from any high point for SCLZ and PAPI.

Drawdown Indicators

	SCLZ	PAPI	Difference
Max Drawdown Largest peak-to-trough decline	-12.58%	-14.27%	+1.69%
Max Drawdown (1Y) Largest decline over 1 year	-7.00%	-6.86%	-0.14%
Current Drawdown Current decline from peak	-0.23%	-5.06%	+4.83%
Average Drawdown Average peak-to-trough decline	-1.37%	-2.73%	+1.36%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.44%	2.53%	-1.09%

Volatility

SCLZ vs. PAPI - Volatility Comparison

The current volatility for Swan Enhanced Dividend Income ETF (SCLZ) is 1.62%, while Parametric Equity Premium Income ETF (PAPI) has a volatility of 2.23%. This indicates that SCLZ experiences smaller price fluctuations and is considered to be less risky than PAPI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SCLZ	PAPI	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.62%	2.23%	-0.61%
Volatility (6M) Calculated over the trailing 6-month period	7.38%	7.00%	+0.38%
Volatility (1Y) Calculated over the trailing 1-year period	9.13%	10.55%	-1.42%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.35%	11.76%	-0.41%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.35%	11.76%	-0.41%

SCLZ vs. PAPI - Expense Ratio Comparison

SCLZ has a 0.79% expense ratio, which is higher than PAPI's 0.29% expense ratio.

Dividends

SCLZ vs. PAPI - Dividend Comparison

SCLZ's dividend yield for the trailing twelve months is around 9.15%, more 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%
SCLZ Swan Enhanced Dividend Income ETF	9.15%	7.53%	4.86%	0.00%

Frequently Asked Questions

Can I hold both SCLZ and PAPI in my portfolio?

SCLZ 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, SCLZ or PAPI?

PAPI has higher volatility (2.23%) compared to SCLZ (1.62%). In terms of maximum drawdown, SCLZ dropped -12.58% vs PAPI's -14.27%.

Which ETF is better, SCLZ or PAPI?

On 1-year performance, SCLZ leads with 16.69% vs 12.39% for PAPI. On fees, PAPI is cheaper at 0.29% per year. On volatility, SCLZ has been the lower-risk option at 1.62%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SCLZ or PAPI?

Over the 1-year period, SCLZ has performed better with a 16.69% return vs 12.39%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SCLZ or PAPI?

PAPI is cheaper with a 0.29% expense ratio, compared with 0.79% for SCLZ.

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

SCLZ has the higher dividend yield at 9.15%, compared with 7.62% for PAPI.

What is the main difference between SCLZ and PAPI?

They also come from different issuers: Swan and Morgan Stanley. Their fees differ too: 0.79% for SCLZ and 0.29% for PAPI.

Which has better risk-adjusted returns?

SCLZ currently has the higher Sharpe Ratio (1.84 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.