HELO vs. PHEQ
Compare and contrast key facts about JPMorgan Hedged Equity Laddered Overlay ETF (HELO) and Parametric Hedged Equity ETF (PHEQ).
HELO and PHEQ are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. HELO is an actively managed fund by JPMorgan Chase. It was launched on Sep 28, 2023. PHEQ is an actively managed fund by Parametric. It was launched on Oct 16, 2023.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: HELO or PHEQ.
Key characteristics
| HELO | PHEQ | |
|---|---|---|
| YTD Return | 19.19% | 13.61% |
| 1Y Return | 24.85% | 20.40% |
| Sharpe Ratio | 3.40 | 3.57 |
| Sortino Ratio | 4.89 | 5.22 |
| Omega Ratio | 1.73 | 1.81 |
| Calmar Ratio | 5.74 | 4.83 |
| Martin Ratio | 27.93 | 28.51 |
| Ulcer Index | 0.86% | 0.70% |
| Daily Std Dev | 7.03% | 5.56% |
| Max Drawdown | -4.16% | -4.11% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between HELO and PHEQ is 0.59, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
HELO vs. PHEQ - Performance Comparison
In the year-to-date period, HELO achieves a 19.19% return, which is significantly higher than PHEQ's 13.61% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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HELO vs. PHEQ - Expense Ratio Comparison
HELO has a 0.50% expense ratio, which is higher than PHEQ's 0.29% expense ratio.
Risk-Adjusted Performance
HELO vs. PHEQ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Hedged Equity Laddered Overlay ETF (HELO) and Parametric Hedged Equity ETF (PHEQ). 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.
Dividends
HELO vs. PHEQ - Dividend Comparison
HELO's dividend yield for the trailing twelve months is around 0.51%, less than PHEQ's 2.25% yield.
| TTM | 2023 | |
|---|---|---|
HELO JPMorgan Hedged Equity Laddered Overlay ETF | 0.51% | 0.19% |
PHEQ Parametric Hedged Equity ETF | 2.25% | 1.72% |
Drawdowns
HELO vs. PHEQ - Drawdown Comparison
The maximum HELO drawdown since its inception was -4.16%, roughly equal to the maximum PHEQ drawdown of -4.11%. Use the drawdown chart below to compare losses from any high point for HELO and PHEQ. For additional features, visit the drawdowns tool.
Volatility
HELO vs. PHEQ - Volatility Comparison
JPMorgan Hedged Equity Laddered Overlay ETF (HELO) has a higher volatility of 2.43% compared to Parametric Hedged Equity ETF (PHEQ) at 1.68%. This indicates that HELO's price experiences larger fluctuations and is considered to be riskier than PHEQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.