- Issuer
- Parametric
- Inception Date
- Oct 16, 2023
- Category
- Options Trading
- Leveraged
- 1x (No leverage)
- Index Tracked
- No Index (Active)
- Distribution Policy
- Distributing
- Asset Class
- Alternatives
- Asset Class Size
- Large-Cap
- Asset Class Style
- Growth
- Assets Under Management
- $137M
Share Price Chart
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Performance
PHEQ Performance Chart
Parametric Hedged Equity ETF (PHEQ) is up 5.9% since the beginning of the year. PHEQ is currently trading at $34 per share.
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Returns By Period
Parametric Hedged Equity ETF (PHEQ) has returned 5.85% so far this year and 16.93% over the past 12 months.
Parametric Hedged Equity ETF
- 1D
- 0.04%
- 1M
- 1.58%
- YTD
- 5.85%
- 6M
- 6.48%
- 1Y
- 16.93%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 0.13%
- 1M
- 5.25%
- YTD
- 11.16%
- 6M
- 11.43%
- 1Y
- 28.20%
- 3Y*
- 21.12%
- 5Y*
- 12.66%
- 10Y*
- 13.75%
PHEQ Monthly Returns History
Based on dividend-adjusted daily data since Oct 19, 2023, PHEQ's average daily return is +0.06%, while the average monthly return is +1.17%. At this rate, an investment would double in approximately 5.0 years.
Historically, 79% of months were positive and 21% were negative. The best month was Nov 2023 with a return of +6.3%, while the worst month was Mar 2025 at -4.2%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 3 months.
On a daily basis, PHEQ closed higher 60% of trading days. The best single day was Apr 9, 2025 with a return of +5.6%, while the worst single day was Apr 3, 2025 at -3.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -0.10% | 0.29% | -1.97% | 5.86% | 1.81% | 0.01% | 5.85% | ||||||
| 2025 | 2.07% | -0.59% | -4.23% | -0.62% | 4.33% | 3.66% | 1.38% | 1.62% | 1.59% | 1.41% | 0.19% | 0.64% | 11.76% |
| 2024 | 1.65% | 1.44% | 0.93% | -0.35% | 1.71% | 1.91% | 0.83% | 1.19% | 1.30% | 0.27% | 3.17% | 0.02% | 14.94% |
| 2023 | -1.51% | 6.26% | 2.42% | 7.19% |
Benchmark Metrics
Parametric Hedged Equity ETF has an annualized alpha of 3.14%, beta of 0.50, and R2 of 0.80 versus S&P 500 Index. Calculated based on daily prices since October 20, 2023.
- This ETF participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (50.91%) than losses (37.32%) - typical of diversified or defensive assets.
- This ETF generated an annualized alpha of 3.14% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Beta of 0.50 indicates this ETF moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 3.14%
- Beta
- 0.50
- R²
- 0.80
- Upside Capture
- 50.91%
- Downside Capture
- 37.32%
Expense Ratio
PHEQ has an expense ratio of 0.29%, placing it in the medium range.
Return for Risk
Risk / Return Rank
PHEQ ranks 84 for risk / return — in the top 84% of ETFs on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Parametric Hedged Equity ETF (PHEQ) and compare them to S&P 500 Index.
| PHEQ | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.76 | 2.39 | +0.38 |
Sortino ratioReturn per unit of downside risk | 4.14 | 3.25 | +0.89 |
Omega ratioGain probability vs. loss probability | 1.55 | 1.43 | +0.12 |
Calmar ratioReturn relative to maximum drawdown | 3.99 | 3.11 | +0.88 |
Martin ratioReturn relative to average drawdown | 18.24 | 14.38 | +3.86 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Dividends
Dividend History
Parametric Hedged Equity ETF provided a 1.02% dividend yield over the last twelve months, with an annual payout of $0.35 per share.
| Period | TTM | 2025 | 2024 | 2023 |
|---|---|---|---|---|
| Dividend | $0.35 | $0.39 | $0.41 | $0.45 |
Dividend yield | 1.02% | 1.19% | 1.39% | 1.73% |
Monthly Dividends
The table displays the monthly dividend distributions for Parametric Hedged Equity ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.03 | $0.00 | $0.00 | $0.00 | $0.03 | ||||||
| 2025 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.08 | $0.00 | $0.00 | $0.08 | $0.00 | $0.00 | $0.17 | $0.39 |
| 2024 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.09 | $0.00 | $0.00 | $0.07 | $0.00 | $0.00 | $0.20 | $0.41 |
| 2023 | $0.45 | $0.45 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Parametric Hedged Equity ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Parametric Hedged Equity ETF was 12.55%, occurring on Apr 8, 2025. Recovery took 54 trading sessions.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2025 selloff2025 | -12.55%Apr 2025 | 1mo 17d | 2mo 19d | 4mo 6dFeb 2025 - Jun 2025 |
2026 pullback2026 | -4.26%Mar 2026 | 2mo 13d | 17d | 3moJan 2026 - Apr 2026 |
2024 pullback2024 | -4.11%Aug 2024 | 25d | 14d | 1mo 9dJul 2024 - Aug 2024 |
2023 pullback2023 | -2.60%Oct 2023 | 7d | 6d | 13dOct 2023 - Nov 2023 |
2025 pullback2025 | -2.14%Nov 2025 | 8d | 8d | 16dNov 2025 - Nov 2025 |
Drawdown Indicators
| PHEQ | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -12.55% | -56.78% | +44.23% |
Max Drawdown (1Y)Largest decline over 1 year | -4.26% | -9.10% | +4.84% |
Max Drawdown (3Y)Largest decline over 3 years | — | -18.90% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -25.43% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -0.97% | -10.72% | +9.75% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.93% | 1.97% | -1.04% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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