PHDG vs. SPY
PHDG (Invesco S&P 500 Downside Hedged ETF) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - PHDG is a Equity Hedged fund tracking the S&P 500 Dynamic VEQTOR Index, while SPY is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 10 years, PHDG returned 7.28%/yr vs 15.07%/yr for SPY. Their 0.66 correlation means they have sometimes moved together and sometimes differently. PHDG charges 0.39%/yr vs 0.09%/yr for SPY.
Performance
PHDG vs. SPY - Performance Comparison
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Returns By Period
The year-to-date returns for both stocks are quite close, with PHDG having a 10.21% return and SPY slightly lower at 10.13%. Over the past 10 years, PHDG has underperformed SPY with an annualized return of 7.28%, while SPY has yielded a comparatively higher 15.07% annualized return.
PHDG
- 1D
- 0.50%
- 1M
- 0.03%
- 6M
- 8.71%
- YTD
- 10.21%
- 1Y
- 18.23%
- 3Y*
- 8.48%
- 5Y*
- 4.25%
- 10Y*
- 7.28%
- ALL TIME*
- 5.61%
SPY
- 1D
- 0.72%
- 1M
- 0.30%
- 6M
- 8.53%
- YTD
- 10.13%
- 1Y
- 21.49%
- 3Y*
- 19.32%
- 5Y*
- 12.76%
- 10Y*
- 15.07%
- ALL TIME*
- 10.79%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.18M | $678.43K | $904.25K | |
| $37.27B | $35.99B | $39.23B |
PHDG vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PHDG Invesco S&P 500 Downside Hedged ETF | 10.21% | 2.72% | 10.95% | 8.18% | -14.09% | 15.67% | 18.97% | 8.57% | -2.44% | 15.89% |
SPY State Street SPDR S&P 500 ETF | 10.13% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Correlation
The correlation between PHDG and SPY is 0.68, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.68 |
Correlation (3Y) Balances recent behavior with more history. | 0.63 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.68 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.64 |
Correlation (All Time) Calculated using the full available price history since Dec 6, 2012 | 0.66 |
The correlation between PHDG and SPY has been stable across timeframes, ranging from 0.63 to 0.68 - a consistent structural relationship.
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Return for Risk
PHDG vs. SPY — Risk / Return Rank
PHDG
SPY
PHDG vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 Downside Hedged ETF (PHDG) and State Street SPDR S&P 500 ETF (SPY). 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.
| PHDG | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.07 | ||
| Sortino ratioReturn per unit of downside risk | -0.06 | ||
| Omega ratioGain probability vs. loss probability | 1.29 | 1.27 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 2.46 | 2.20 | +0.26 |
| Martin ratioReturn relative to average drawdown | 7.58 | 9.40 | -1.82 |
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Drawdowns
PHDG vs. SPY - Drawdown Comparison
The maximum PHDG drawdown since its inception was -17.70%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for PHDG and SPY.
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Drawdown Indicators
| PHDG | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.70% | -55.19% | +37.49% |
Max Drawdown (1Y)Largest decline over 1 year | -6.78% | -8.88% | +2.10% |
Max Drawdown (3Y)Largest decline over 3 years | -14.78% | -18.76% | +3.98% |
Max Drawdown (5Y)Largest decline over 5 years | -17.06% | -24.50% | +7.44% |
Max Drawdown (10Y)Largest decline over 10 years | -17.06% | -33.72% | +16.66% |
Current DrawdownCurrent decline from peak | -5.31% | -1.40% | -3.91% |
Average DrawdownAverage peak-to-trough decline | -6.23% | -9.01% | +2.78% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.20% | 2.08% | +0.12% |
Volatility
PHDG vs. SPY - Volatility Comparison
The current volatility for Invesco S&P 500 Downside Hedged ETF (PHDG) is 2.51%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 3.58%. This indicates that PHDG experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PHDG | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.51% | 3.58% | -1.07% |
Volatility (6M)Calculated over the trailing 6-month period | 9.48% | 10.14% | -0.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.50% | 12.89% | -1.39% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.39% | 17.18% | -5.79% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.11% | 17.95% | -5.84% |
PHDG vs. SPY - Expense Ratio Comparison
PHDG has a 0.39% expense ratio, which is higher than SPY's 0.09% expense ratio.
Dividends
PHDG vs. SPY - Dividend Comparison
PHDG's dividend yield for the trailing twelve months is around 1.68%, more than SPY's 1.01% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PHDG Invesco S&P 500 Downside Hedged ETF | 1.68% | 2.10% | 1.94% | 1.93% | 1.35% | 0.44% | 0.63% | 1.80% | 1.56% | 1.83% | 2.29% | 1.64% |
SPY State Street SPDR S&P 500 ETF | 1.01% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Frequently Asked Questions
PHDG and SPY have a correlation of 0.68, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPY has higher volatility (3.58%) compared to PHDG (2.51%). In terms of maximum drawdown, PHDG dropped -17.70% vs SPY's -55.19%.
On 10-year performance, SPY leads with 15.07% vs 7.28% for PHDG. On fees, SPY is cheaper at 0.09% per year. On volatility, PHDG has been the lower-risk option at 2.51%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, SPY has performed better with a 15.07% return vs 7.28%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPY is cheaper with a 0.09% expense ratio, compared with 0.39% for PHDG.
PHDG has the higher dividend yield at 1.68%, compared with 1.01% for SPY.
PHDG is categorized as Equity Hedged, while SPY is S&P 500. PHDG tracks S&P 500 Dynamic VEQTOR Index, while SPY tracks S&P 500 Index. They also come from different issuers: Invesco and State Street. Their fees differ too: 0.39% for PHDG and 0.09% for SPY.
SPY currently has the higher Sharpe Ratio (1.52 vs 1.45), 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.
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