TCAL vs. KHPI

Last updated Jun 4, 2026

TCAL (T. Rowe Price Capital Appreciation Premium Income ETF) and KHPI (Kensington Hedged Premium Income ETF) are both Derivative Income funds. Both are actively managed. Over the past year, TCAL returned -1.87% vs 15.09% for KHPI. At a 0.33 correlation, their price movements are largely independent. TCAL charges 0.34%/yr vs 0.96%/yr for KHPI.

Performance

TCAL vs. KHPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price Capital Appreciation Premium Income ETF (TCAL) 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, TCAL achieves a -2.88% return, which is significantly lower than KHPI's 5.45% return.

TCAL

• 1D: 0.23%
• 1M: -1.26%
• YTD: -2.88%
• 6M: -2.97%
• 1Y: -1.87%
• 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)

TCAL vs. KHPI - Yearly Performance Comparison

	2026 (YTD)	2025
TCAL T. Rowe Price Capital Appreciation Premium Income ETF	-2.88%	1.58%
KHPI Kensington Hedged Premium Income ETF	5.45%	13.79%

Correlation

The correlation between TCAL and KHPI is 0.31, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.31
Correlation (All Time) Calculated using the full available price history since Mar 28, 2025	0.33

Return for Risk

TCAL vs. KHPI — Risk / Return Rank

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

TCAL

TCAL Risk / Return Rank: 6
TCAL Sharpe Ratio Rank: 7
TCAL Sortino Ratio Rank: 6
TCAL Omega Ratio Rank: 6
TCAL Calmar Ratio Rank: 6
TCAL Martin Ratio Rank: 5

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.

TCAL vs. KHPI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Capital Appreciation Premium Income ETF (TCAL) 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.

	TCAL	KHPI	Difference
Sharpe ratio: Return per unit of total volatility	-0.20	2.10	-2.30
Sortino ratio: Return per unit of downside risk	-0.22	3.02	-3.24
Omega ratio: Gain probability vs. loss probability	0.97	1.39	-0.41
Calmar ratio: Return relative to maximum drawdown	-0.27	2.31	-2.58
Martin ratio: Return relative to average drawdown	-0.70	10.89	-11.60
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

TCAL vs. KHPI - Sharpe Ratio Comparison

The current TCAL Sharpe Ratio is -0.20, which is lower than the KHPI Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of TCAL 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

	TCAL	KHPI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.20	2.10	-2.30
Sharpe Ratio (All Time) Calculated using the full available price history	-0.10	1.28	-1.38

Drawdowns

TCAL vs. KHPI - Drawdown Comparison

The maximum TCAL drawdown since its inception was -7.24%, smaller than the maximum KHPI drawdown of -10.58%. Use the drawdown chart below to compare losses from any high point for TCAL and KHPI.

Drawdown Indicators

	TCAL	KHPI	Difference
Max Drawdown Largest peak-to-trough decline	-7.24%	-10.58%	+3.34%
Max Drawdown (1Y) Largest decline over 1 year	-7.00%	-6.55%	-0.45%
Current Drawdown Current decline from peak	-5.92%	-0.50%	-5.42%
Average Drawdown Average peak-to-trough decline	-2.02%	-1.23%	-0.79%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.67%	1.39%	+1.28%

Volatility

TCAL vs. KHPI - Volatility Comparison

T. Rowe Price Capital Appreciation Premium Income ETF (TCAL) has a higher volatility of 2.46% compared to Kensington Hedged Premium Income ETF (KHPI) at 2.20%. This indicates that TCAL'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

	TCAL	KHPI	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.46%	2.20%	+0.26%
Volatility (6M) Calculated over the trailing 6-month period	7.08%	5.49%	+1.59%
Volatility (1Y) Calculated over the trailing 1-year period	9.31%	7.24%	+2.07%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.25%	9.61%	+1.64%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.25%	9.61%	+1.64%

TCAL vs. KHPI - Expense Ratio Comparison

TCAL has a 0.34% expense ratio, which is lower than KHPI's 0.96% expense ratio.

Dividends

TCAL vs. KHPI - Dividend Comparison

TCAL's dividend yield for the trailing twelve months is around 11.96%, more than KHPI's 8.86% yield.

Position	TTM	2025	2024
KHPI Kensington Hedged Premium Income ETF	8.86%	8.90%	3.01%
TCAL T. Rowe Price Capital Appreciation Premium Income ETF	11.96%	8.34%	0.00%

Frequently Asked Questions

Can I hold both TCAL and KHPI in my portfolio?

TCAL and KHPI have a correlation of 0.31, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, TCAL or KHPI?

TCAL has higher volatility (2.46%) compared to KHPI (2.20%). In terms of maximum drawdown, TCAL dropped -7.24% vs KHPI's -10.58%.

Which ETF is better, TCAL or KHPI?

On 1-year performance, KHPI leads with 15.09% vs -1.87% for TCAL. On fees, TCAL is cheaper at 0.34% 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, TCAL or KHPI?

Over the 1-year period, KHPI has performed better with a 15.09% return vs -1.87%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, TCAL or KHPI?

TCAL is cheaper with a 0.34% expense ratio, compared with 0.96% for KHPI.

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

TCAL has the higher dividend yield at 11.96%, compared with 8.86% for KHPI.

What is the main difference between TCAL and KHPI?

They also come from different issuers: T. Rowe Price and Kensington Asset Management. Their fees differ too: 0.34% for TCAL and 0.96% for KHPI.

Which has better risk-adjusted returns?

KHPI currently has the higher Sharpe Ratio (2.10 vs -0.20), 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.