TCAL vs. PAPI

Last updated Jun 24, 2026

TCAL (T. Rowe Price Capital Appreciation Premium Income ETF) and PAPI (Parametric Equity Premium Income ETF) are both Derivative Income funds. Both are actively managed. Over the past year, TCAL returned 0.07% vs 12.01% for PAPI. A 0.66 correlation means they provide meaningful diversification when combined. TCAL charges 0.34%/yr vs 0.29%/yr for PAPI.

Performance

TCAL vs. PAPI - 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 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, TCAL achieves a -1.64% return, which is significantly lower than PAPI's 6.57% return.

TCAL

• 1D: 1.05%
• 1M: -0.70%
• YTD: -1.64%
• 6M: -2.59%
• 1Y: 0.07%
• 3Y*: —
• 5Y*: —
• 10Y*: —

PAPI

• 1D: 0.45%
• 1M: 0.17%
• YTD: 6.57%
• 6M: 5.93%
• 1Y: 12.01%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

TCAL vs. PAPI - Yearly Performance Comparison

	2026 (YTD)	2025
TCAL T. Rowe Price Capital Appreciation Premium Income ETF	-1.64%	1.89%
PAPI Parametric Equity Premium Income ETF	6.57%	3.20%

Correlation

The correlation between TCAL and PAPI is 0.61, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.61
Correlation (All Time) Calculated using the full available price history since Mar 27, 2025	0.66

The correlation between TCAL and PAPI has been stable across timeframes, ranging from 0.61 to 0.66 - a consistent structural relationship.

Return for Risk

TCAL vs. PAPI — Risk / Return Rank

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

TCAL

TCAL Risk / Return Rank: 8
TCAL Sharpe Ratio Rank: 9
TCAL Sortino Ratio Rank: 8
TCAL Omega Ratio Rank: 8
TCAL Calmar Ratio Rank: 9
TCAL Martin Ratio Rank: 9

PAPI

PAPI Risk / Return Rank: 34
PAPI Sharpe Ratio Rank: 33
PAPI Sortino Ratio Rank: 35
PAPI Omega Ratio Rank: 31
PAPI Calmar Ratio Rank: 37
PAPI Martin Ratio Rank: 32

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. PAPI - 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 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.

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.

	TCAL	PAPI	Difference
Sharpe ratio: Return per unit of total volatility	0.01	1.15	-1.14
Sortino ratio: Return per unit of downside risk	0.08	1.74	-1.66
Omega ratio: Gain probability vs. loss probability	1.01	1.20	-0.19
Calmar ratio: Return relative to maximum drawdown	0.01	1.76	-1.75
Martin ratio: Return relative to average drawdown	0.03	4.42	-4.40

TCAL vs. PAPI - Sharpe Ratio Comparison

The current TCAL Sharpe Ratio is 0.01, which is lower than the PAPI Sharpe Ratio of 1.15. The chart below compares the historical Sharpe Ratios of TCAL 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.

Drawdowns

TCAL vs. PAPI - Drawdown Comparison

The maximum TCAL drawdown since its inception was -7.24%, smaller than the maximum PAPI drawdown of -14.27%. Use the drawdown chart below to compare losses from any high point for TCAL and PAPI.

Drawdown Indicators

	TCAL	PAPI	Difference
Max Drawdown Largest peak-to-trough decline	-7.24%	-14.27%	+7.03%
Max Drawdown (1Y) Largest decline over 1 year	-7.00%	-6.86%	-0.14%
Current Drawdown Current decline from peak	-4.72%	-4.37%	-0.35%
Average Drawdown Average peak-to-trough decline	-2.12%	-2.77%	+0.65%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.86%	2.72%	+0.14%

Volatility

TCAL vs. PAPI - Volatility Comparison

T. Rowe Price Capital Appreciation Premium Income ETF (TCAL) has a higher volatility of 3.09% compared to Parametric Equity Premium Income ETF (PAPI) at 2.68%. This indicates that TCAL'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

	TCAL	PAPI	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.09%	2.68%	+0.41%
Volatility (6M) Calculated over the trailing 6-month period	7.10%	7.05%	+0.05%
Volatility (1Y) Calculated over the trailing 1-year period	9.54%	10.55%	-1.01%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.26%	11.73%	-0.47%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.26%	11.73%	-0.47%

TCAL vs. PAPI - Expense Ratio Comparison

TCAL has a 0.34% expense ratio, which is higher than PAPI's 0.29% expense ratio.

Dividends

TCAL vs. PAPI - Dividend Comparison

TCAL's dividend yield for the trailing twelve months is around 11.81%, more than PAPI's 7.56% yield.

Position	TTM	2025	2024	2023
PAPI Parametric Equity Premium Income ETF	7.56%	7.59%	7.07%	1.45%
TCAL T. Rowe Price Capital Appreciation Premium Income ETF	11.81%	8.34%	0.00%	0.00%

Frequently Asked Questions

Can I hold both TCAL and PAPI in my portfolio?

TCAL and PAPI have a correlation of 0.61, 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 PAPI?

TCAL has higher volatility (3.09%) compared to PAPI (2.68%). In terms of maximum drawdown, TCAL dropped -7.24% vs PAPI's -14.27%.

Which ETF is better, TCAL or PAPI?

On 1-year performance, PAPI leads with 12.01% vs 0.07% for TCAL. On fees, PAPI is cheaper at 0.29% per year. On volatility, PAPI has been the lower-risk option at 2.68%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, TCAL or PAPI?

Over the 1-year period, PAPI has performed better with a 12.01% return vs 0.07%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, TCAL or PAPI?

PAPI is cheaper with a 0.29% expense ratio, compared with 0.34% for TCAL.

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

TCAL has the higher dividend yield at 11.81%, compared with 7.56% for PAPI.

What is the main difference between TCAL and PAPI?

They also come from different issuers: T. Rowe Price and Morgan Stanley. Their fees differ too: 0.34% for TCAL and 0.29% for PAPI.

Which has better risk-adjusted returns?

PAPI currently has the higher Sharpe Ratio (1.15 vs 0.01), 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.