PEPS vs. PHEQ

Last updated Jun 24, 2026

PEPS (Parametric Equity Plus ETF) and PHEQ (Parametric Hedged Equity ETF) are both exchange-traded funds - PEPS is a Derivative Income fund actively managed by Parametric, while PHEQ is a Options Trading fund actively managed by Parametric. Both are actively managed. Over the past year, PEPS returned 26.19% vs 14.61% for PHEQ. Their correlation of 0.91 suggests significant overlap in exposure. PEPS charges 0.10%/yr vs 0.29%/yr for PHEQ.

Performance

PEPS vs. PHEQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Parametric Equity Plus ETF (PEPS) and Parametric Hedged Equity ETF (PHEQ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PEPS achieves a 7.86% return, which is significantly higher than PHEQ's 5.21% return.

PEPS

• 1D: -1.38%
• 1M: -0.55%
• YTD: 7.86%
• 6M: 7.03%
• 1Y: 26.19%
• 3Y*: —
• 5Y*: —
• 10Y*: —

PHEQ

• 1D: -0.45%
• 1M: -0.33%
• YTD: 5.21%
• 6M: 4.64%
• 1Y: 14.61%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

PEPS vs. PHEQ - Yearly Performance Comparison

	2026 (YTD)	2025	2024
PEPS Parametric Equity Plus ETF	7.86%	20.32%	-1.42%
PHEQ Parametric Hedged Equity ETF	5.21%	11.76%	1.24%

Correlation

The correlation between PEPS and PHEQ is 0.88, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.88
Correlation (All Time) Calculated using the full available price history since Nov 8, 2024	0.91

The correlation between PEPS and PHEQ has been stable across timeframes, ranging from 0.88 to 0.91 - a consistent structural relationship.

Return for Risk

PEPS vs. PHEQ — Risk / Return Rank

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

PEPS

PEPS Risk / Return Rank: 62
PEPS Sharpe Ratio Rank: 62
PEPS Sortino Ratio Rank: 57
PEPS Omega Ratio Rank: 62
PEPS Calmar Ratio Rank: 58
PEPS Martin Ratio Rank: 70

PHEQ

PHEQ Risk / Return Rank: 81
PHEQ Sharpe Ratio Rank: 80
PHEQ Sortino Ratio Rank: 85
PHEQ Omega Ratio Rank: 83
PHEQ Calmar Ratio Rank: 72
PHEQ Martin Ratio Rank: 82

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.

PEPS vs. PHEQ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric Equity Plus ETF (PEPS) 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.

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.

	PEPS	PHEQ	Difference
Sharpe ratio: Return per unit of total volatility	1.91	2.39	-0.48
Sortino ratio: Return per unit of downside risk	2.53	3.58	-1.05
Omega ratio: Gain probability vs. loss probability	1.35	1.47	-0.12
Calmar ratio: Return relative to maximum drawdown	2.69	3.44	-0.76
Martin ratio: Return relative to average drawdown	12.10	15.59	-3.49

PEPS vs. PHEQ - Sharpe Ratio Comparison

The current PEPS Sharpe Ratio is 1.91, which is comparable to the PHEQ Sharpe Ratio of 2.39. The chart below compares the historical Sharpe Ratios of PEPS and PHEQ, 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

PEPS vs. PHEQ - Drawdown Comparison

The maximum PEPS drawdown since its inception was -21.26%, which is greater than PHEQ's maximum drawdown of -12.55%. Use the drawdown chart below to compare losses from any high point for PEPS and PHEQ.

Drawdown Indicators

	PEPS	PHEQ	Difference
Max Drawdown Largest peak-to-trough decline	-21.26%	-12.55%	-8.71%
Max Drawdown (1Y) Largest decline over 1 year	-9.80%	-4.26%	-5.54%
Current Drawdown Current decline from peak	-3.04%	-0.67%	-2.37%
Average Drawdown Average peak-to-trough decline	-2.75%	-0.98%	-1.77%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.17%	0.94%	+1.23%

Volatility

PEPS vs. PHEQ - Volatility Comparison

Parametric Equity Plus ETF (PEPS) has a higher volatility of 5.38% compared to Parametric Hedged Equity ETF (PHEQ) at 1.72%. This indicates that PEPS'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.

Volatility by Period

	PEPS	PHEQ	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.38%	1.72%	+3.66%
Volatility (6M) Calculated over the trailing 6-month period	10.82%	4.82%	+6.00%
Volatility (1Y) Calculated over the trailing 1-year period	13.80%	6.17%	+7.63%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.43%	8.60%	+9.83%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.43%	8.60%	+9.83%

PEPS vs. PHEQ - Expense Ratio Comparison

PEPS has a 0.10% expense ratio, which is lower than PHEQ's 0.29% expense ratio.

Dividends

PEPS vs. PHEQ - Dividend Comparison

PEPS's dividend yield for the trailing twelve months is around 0.95%, which matches PHEQ's 0.95% yield.

Position	TTM	2025	2024	2023
PEPS Parametric Equity Plus ETF	0.95%	1.00%	0.17%	0.00%
PHEQ Parametric Hedged Equity ETF	0.95%	1.19%	1.39%	1.73%

Frequently Asked Questions

Can I hold both PEPS and PHEQ in my portfolio?

PEPS and PHEQ have a correlation of 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PEPS or PHEQ?

PEPS has higher volatility (5.38%) compared to PHEQ (1.72%). In terms of maximum drawdown, PEPS dropped -21.26% vs PHEQ's -12.55%.

Which ETF is better, PEPS or PHEQ?

On 1-year performance, PEPS leads with 26.19% vs 14.61% for PHEQ. On fees, PEPS is cheaper at 0.10% per year. On volatility, PHEQ has been the lower-risk option at 1.72%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PEPS or PHEQ?

Over the 1-year period, PEPS has performed better with a 26.19% return vs 14.61%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PEPS or PHEQ?

PEPS is cheaper with a 0.10% expense ratio, compared with 0.29% for PHEQ.

Which ETF pays a higher dividend yield, PEPS or PHEQ?

PEPS and PHEQ have nearly identical dividend yields, around 0.95%.

What is the main difference between PEPS and PHEQ?

PEPS is categorized as Derivative Income, while PHEQ is Options Trading. Their fees differ too: 0.10% for PEPS and 0.29% for PHEQ.

Which has better risk-adjusted returns?

PHEQ currently has the higher Sharpe Ratio (2.39 vs 1.91), 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.