PHDG vs. MSTB

Last updated Jun 6, 2026

PHDG (Invesco S&P 500 Downside Hedged ETF) and MSTB (LHA Market State Tactical Beta ETF) are both Equity Hedged funds - PHDG tracks the S&P 500 Dynamic VEQTOR Index while MSTB tracks the S&P 500® Index. Both are passively managed. Over the past 5 years, PHDG returned 5.08%/yr vs 8.12%/yr for MSTB. A 0.70 correlation means they provide meaningful diversification when combined. PHDG charges 0.39%/yr vs 1.40%/yr for MSTB.

Performance

PHDG vs. MSTB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P 500 Downside Hedged ETF (PHDG) and LHA Market State Tactical Beta ETF (MSTB). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PHDG achieves a 11.80% return, which is significantly higher than MSTB's 6.56% return.

PHDG

• 1D: -3.15%
• 1M: 0.30%
• YTD: 11.80%
• 6M: 9.95%
• 1Y: 23.82%
• 3Y*: 10.38%
• 5Y*: 5.08%
• 10Y*: 6.98%

MSTB

• 1D: -2.30%
• 1M: -0.28%
• YTD: 6.56%
• 6M: 6.29%
• 1Y: 18.56%
• 3Y*: 17.68%
• 5Y*: 8.12%
• 10Y*: —

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

PHDG vs. MSTB - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
PHDG Invesco S&P 500 Downside Hedged ETF	11.80%	2.72%	10.95%	8.18%	-14.09%	15.67%	0.38%
MSTB LHA Market State Tactical Beta ETF	6.56%	18.57%	18.82%	16.94%	-22.72%	21.89%	9.45%

Correlation

The correlation between PHDG and MSTB is 0.75, 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	0.75
Correlation (3Y) Calculated over the trailing 3-year period	0.68
Correlation (5Y) Calculated over the trailing 5-year period	0.71
Correlation (All Time) Calculated using the full available price history since Oct 1, 2020	0.70

The correlation between PHDG and MSTB has been stable across timeframes, ranging from 0.68 to 0.75 - a consistent structural relationship.

PHDG vs. MSTB - Sectors Allocation Comparison

Sectors	PHDG	MSTB
Technology	35.1%	36.1%
Financial Services	11.9%	11.9%
Communication Services	11.0%	10.9%
Consumer Cyclical	10.1%	10.1%
Healthcare	8.7%	8.4%
Industrials	8.3%	8.2%
Consumer Defensive	5.0%	4.9%
Energy	3.6%	3.5%
Utilities	2.4%	2.3%
Real Estate	1.9%	1.9%
Basic Materials	1.8%	1.8%

Return for Risk

PHDG vs. MSTB — Risk / Return Rank

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

PHDG

PHDG Risk / Return Rank: 87
PHDG Sharpe Ratio Rank: 81
PHDG Sortino Ratio Rank: 82
PHDG Omega Ratio Rank: 83
PHDG Calmar Ratio Rank: 94
PHDG Martin Ratio Rank: 93

MSTB

MSTB Risk / Return Rank: 53
MSTB Sharpe Ratio Rank: 56
MSTB Sortino Ratio Rank: 54
MSTB Omega Ratio Rank: 57
MSTB Calmar Ratio Rank: 48
MSTB Martin Ratio Rank: 52

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.

PHDG vs. MSTB - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 Downside Hedged ETF (PHDG) and LHA Market State Tactical Beta ETF (MSTB). 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.

	PHDG	MSTB	Difference
Sharpe ratio: Return per unit of total volatility	2.54	1.78	+0.75
Sortino ratio: Return per unit of downside risk	3.52	2.42	+1.10
Omega ratio: Gain probability vs. loss probability	1.48	1.33	+0.15
Calmar ratio: Return relative to maximum drawdown	6.79	2.24	+4.55
Martin ratio: Return relative to average drawdown	24.73	8.49	+16.24
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PHDG vs. MSTB - Sharpe Ratio Comparison

The current PHDG Sharpe Ratio is 2.54, which is higher than the MSTB Sharpe Ratio of 1.78. The chart below compares the historical Sharpe Ratios of PHDG and MSTB, 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

	PHDG	MSTB	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.54	1.78	+0.75
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.46	0.58	-0.12
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.58	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.52	0.80	-0.28

Drawdowns

PHDG vs. MSTB - Drawdown Comparison

The maximum PHDG drawdown since its inception was -17.70%, smaller than the maximum MSTB drawdown of -25.64%. Use the drawdown chart below to compare losses from any high point for PHDG and MSTB.

Drawdown Indicators

	PHDG	MSTB	Difference
Max Drawdown Largest peak-to-trough decline	-17.70%	-25.64%	+7.94%
Max Drawdown (1Y) Largest decline over 1 year	-3.52%	-8.31%	+4.79%
Max Drawdown (3Y) Largest decline over 3 years	-14.78%	-10.81%	-3.97%
Max Drawdown (5Y) Largest decline over 5 years	-17.06%	-25.64%	+8.58%
Max Drawdown (10Y) Largest decline over 10 years	-17.06%	—	—
Current Drawdown Current decline from peak	-3.15%	-2.57%	-0.58%
Average Drawdown Average peak-to-trough decline	-6.24%	-7.17%	+0.93%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.97%	2.19%	-1.22%

Volatility

PHDG vs. MSTB - Volatility Comparison

Invesco S&P 500 Downside Hedged ETF (PHDG) has a higher volatility of 4.41% compared to LHA Market State Tactical Beta ETF (MSTB) at 3.25%. This indicates that PHDG's price experiences larger fluctuations and is considered to be riskier than MSTB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PHDG	MSTB	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.41%	3.25%	+1.16%
Volatility (6M) Calculated over the trailing 6-month period	7.53%	7.80%	-0.27%
Volatility (1Y) Calculated over the trailing 1-year period	9.48%	10.47%	-0.99%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.03%	13.99%	-2.96%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.97%	13.86%	-1.89%

PHDG vs. MSTB - Expense Ratio Comparison

PHDG has a 0.39% expense ratio, which is lower than MSTB's 1.40% expense ratio.

Dividends

PHDG vs. MSTB - Dividend Comparison

PHDG's dividend yield for the trailing twelve months is around 1.90%, more than MSTB's 0.39% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
MSTB LHA Market State Tactical Beta ETF	0.39%	0.41%	0.95%	0.16%	1.34%	2.20%	1.78%	0.00%	0.00%	0.00%	0.00%	0.00%
PHDG Invesco S&P 500 Downside Hedged ETF	1.90%	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 PHDG and MSTB in my portfolio?

PHDG and MSTB have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PHDG or MSTB?

PHDG has higher volatility (4.41%) compared to MSTB (3.25%). In terms of maximum drawdown, PHDG dropped -17.70% vs MSTB's -25.64%.

Which ETF is better, PHDG or MSTB?

On 5-year performance, MSTB leads with 8.12% vs 5.08% for PHDG. On fees, PHDG is cheaper at 0.39% per year. On volatility, MSTB has been the lower-risk option at 3.25%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PHDG or MSTB?

Over the 5-year period, MSTB has performed better with a 8.12% return vs 5.08%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PHDG or MSTB?

PHDG is cheaper with a 0.39% expense ratio, compared with 1.40% for MSTB.

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

PHDG has the higher dividend yield at 1.90%, compared with 0.39% for MSTB.

What is the main difference between PHDG and MSTB?

PHDG tracks S&P 500 Dynamic VEQTOR Index, while MSTB tracks S&P 500® Index. They also come from different issuers: Invesco and Little Harbor Advisors. Their fees differ too: 0.39% for PHDG and 1.40% for MSTB.

Which has better risk-adjusted returns?

PHDG currently has the higher Sharpe Ratio (2.54 vs 1.78), 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.