MRSK vs. PHDG

Last updated Jun 4, 2026

MRSK (Agility Shares Managed Risk ETF) and PHDG (Invesco S&P 500 Downside Hedged ETF) are both exchange-traded funds - MRSK is a Hedge Fund fund actively managed by Toews Corp., while PHDG is a Equity Hedged fund tracking the S&P 500 Dynamic VEQTOR Index. MRSK is actively managed, while PHDG is passively managed. Over the past 5 years, MRSK returned 8.16%/yr vs 5.45%/yr for PHDG. A 0.58 correlation means they provide meaningful diversification when combined. MRSK charges 0.99%/yr vs 0.39%/yr for PHDG.

Performance

MRSK vs. PHDG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Agility Shares Managed Risk ETF (MRSK) and Invesco S&P 500 Downside Hedged ETF (PHDG). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MRSK achieves a 5.23% return, which is significantly lower than PHDG's 13.79% return.

MRSK

• 1D: -0.23%
• 1M: 4.38%
• YTD: 5.23%
• 6M: 5.74%
• 1Y: 19.20%
• 3Y*: 11.42%
• 5Y*: 8.16%
• 10Y*: —

PHDG

• 1D: -0.63%
• 1M: 4.88%
• YTD: 13.79%
• 6M: 11.91%
• 1Y: 25.21%
• 3Y*: 10.77%
• 5Y*: 5.45%
• 10Y*: 7.22%

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

MRSK vs. PHDG - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
MRSK Agility Shares Managed Risk ETF	5.23%	11.93%	14.62%	13.29%	-11.86%	20.74%	16.42%
PHDG Invesco S&P 500 Downside Hedged ETF	13.79%	2.72%	10.95%	8.18%	-14.09%	15.67%	6.46%

Correlation

The correlation between MRSK and PHDG is 0.62, 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	0.62
Correlation (3Y) Calculated over the trailing 3-year period	0.59
Correlation (5Y) Calculated over the trailing 5-year period	0.61
Correlation (All Time) Calculated using the full available price history since Jun 26, 2020	0.58

The correlation between MRSK and PHDG has been stable across timeframes, ranging from 0.58 to 0.62 - a consistent structural relationship.

MRSK vs. PHDG - Sectors Allocation Comparison

Sectors	MRSK	PHDG
Technology	35.7%	35.1%
Financial Services	12.0%	11.9%
Communication Services	10.8%	11.0%
Consumer Cyclical	10.1%	10.1%
Healthcare	8.6%	8.7%
Industrials	8.2%	8.3%
Consumer Defensive	4.9%	5.0%
Energy	3.6%	3.6%
Utilities	2.4%	2.4%
Real Estate	1.9%	1.9%
Basic Materials	1.8%	1.8%

Return for Risk

MRSK vs. PHDG — Risk / Return Rank

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

MRSK

MRSK Risk / Return Rank: 53
MRSK Sharpe Ratio Rank: 54
MRSK Sortino Ratio Rank: 51
MRSK Omega Ratio Rank: 55
MRSK Calmar Ratio Rank: 50
MRSK Martin Ratio Rank: 57

PHDG

PHDG Risk / Return Rank: 90
PHDG Sharpe Ratio Rank: 86
PHDG Sortino Ratio Rank: 90
PHDG Omega Ratio Rank: 85
PHDG Calmar Ratio Rank: 94
PHDG Martin Ratio Rank: 94

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.

MRSK vs. PHDG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Agility Shares Managed Risk ETF (MRSK) and Invesco S&P 500 Downside Hedged ETF (PHDG). 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.

	MRSK	PHDG	Difference
Sharpe ratio Return per unit of total volatility	1.84	2.88	-1.04
Sortino ratio Return per unit of downside risk	2.53	4.23	-1.70
Omega ratio Gain probability vs. loss probability	1.34	1.53	-0.19
Calmar ratio Return relative to maximum drawdown	2.46	7.19	-4.72
Martin ratio Return relative to average drawdown	9.92	26.70	-16.78
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MRSK vs. PHDG - Sharpe Ratio Comparison

The current MRSK Sharpe Ratio is 1.84, which is lower than the PHDG Sharpe Ratio of 2.88. The chart below compares the historical Sharpe Ratios of MRSK and PHDG, 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

	MRSK	PHDG	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.84	2.88	-1.04
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.70	0.50	+0.20
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.61	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.96	0.53	+0.43

Drawdowns

MRSK vs. PHDG - Drawdown Comparison

The maximum MRSK drawdown since its inception was -14.70%, smaller than the maximum PHDG drawdown of -17.70%. Use the drawdown chart below to compare losses from any high point for MRSK and PHDG.

Drawdown Indicators

	MRSK	PHDG	Difference
Max Drawdown Largest peak-to-trough decline	-14.70%	-17.70%	+3.00%
Max Drawdown (1Y) Largest decline over 1 year	-7.82%	-3.52%	-4.30%
Max Drawdown (3Y) Largest decline over 3 years	-12.22%	-14.78%	+2.56%
Max Drawdown (5Y) Largest decline over 5 years	-14.70%	-17.06%	+2.36%
Max Drawdown (10Y) Largest decline over 10 years	—	-17.06%	—
Current Drawdown Current decline from peak	-0.23%	-0.87%	+0.64%
Average Drawdown Average peak-to-trough decline	-3.58%	-6.25%	+2.67%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.94%	0.95%	+0.99%

Volatility

MRSK vs. PHDG - Volatility Comparison

The current volatility for Agility Shares Managed Risk ETF (MRSK) is 2.42%, while Invesco S&P 500 Downside Hedged ETF (PHDG) has a volatility of 3.07%. This indicates that MRSK experiences smaller price fluctuations and is considered to be less risky than PHDG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MRSK	PHDG	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.42%	3.07%	-0.65%
Volatility (6M) Calculated over the trailing 6-month period	8.29%	6.64%	+1.65%
Volatility (1Y) Calculated over the trailing 1-year period	10.47%	8.81%	+1.66%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.67%	10.92%	+0.75%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.84%	11.92%	-0.08%

MRSK vs. PHDG - Expense Ratio Comparison

MRSK has a 0.99% expense ratio, which is higher than PHDG's 0.39% expense ratio.

Dividends

MRSK vs. PHDG - Dividend Comparison

MRSK's dividend yield for the trailing twelve months is around 0.36%, less than PHDG's 1.86% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
MRSK Agility Shares Managed Risk ETF	0.36%	0.37%	0.44%	0.60%	1.11%	14.20%	4.29%	0.00%	0.00%	0.00%	0.00%	0.00%
PHDG Invesco S&P 500 Downside Hedged ETF	1.86%	2.10%	1.94%	1.93%	1.35%	0.44%	0.63%	1.80%	1.56%	1.83%	2.29%	1.64%

Frequently Asked Questions

Can I hold both MRSK and PHDG in my portfolio?

MRSK and PHDG have a correlation of 0.62, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MRSK or PHDG?

PHDG has higher volatility (3.07%) compared to MRSK (2.42%). In terms of maximum drawdown, MRSK dropped -14.70% vs PHDG's -17.70%.

Which ETF is better, MRSK or PHDG?

On 5-year performance, MRSK leads with 8.16% vs 5.45% for PHDG. On fees, PHDG is cheaper at 0.39% per year. On volatility, MRSK has been the lower-risk option at 2.42%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, MRSK or PHDG?

Over the 5-year period, MRSK has performed better with a 8.16% return vs 5.45%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, MRSK or PHDG?

PHDG is cheaper with a 0.39% expense ratio, compared with 0.99% for MRSK.

Which ETF pays a higher dividend yield, MRSK or PHDG?

PHDG has the higher dividend yield at 1.86%, compared with 0.36% for MRSK.

What is the main difference between MRSK and PHDG?

MRSK is categorized as Hedge Fund, while PHDG is Equity Hedged. They also come from different issuers: Toews Corp. and Invesco. Their fees differ too: 0.99% for MRSK and 0.39% for PHDG.

Which has better risk-adjusted returns?

PHDG currently has the higher Sharpe Ratio (2.88 vs 1.84), 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.