PHEQ vs. CBOX

Last updated Aug 4, 2026

PHEQ (Parametric Hedged Equity ETF) and CBOX (Calamos Tax-Aware Collateral ETF) are both Options Trading funds. Both are actively managed. Their 0.02 correlation means their historical movements had little consistent relationship. PHEQ charges 0.29%/yr vs 0.14%/yr for CBOX.

Performance

PHEQ vs. CBOX - Performance Comparison

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

Returns By Period

PHEQ

• 1D: 0.61%
• 1M: 0.72%
• 6M: 6.49%
• YTD: 6.81%
• 1Y: 13.59%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 14.52%

CBOX

• 1D: 0.01%
• 1M: 0.38%
• 6M: —
• YTD: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: —

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
CBOX Calamos Tax-Aware Collateral ETF	$7.65M	$8.56M	$7.13M
PHEQ Parametric Hedged Equity ETF	$455.59K	$523.53K	$595.84K

PHEQ vs. CBOX - Yearly Performance Comparison

	2026 (YTD)
PHEQ Parametric Hedged Equity ETF	4.34%
CBOX Calamos Tax-Aware Collateral ETF	1.14%

Correlation

The correlation between PHEQ and CBOX is 0.02, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.

	Correlation
Correlation (All Time) Calculated using the full available price history since Apr 17, 2026	0.02

Return for Risk

PHEQ vs. CBOX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

PHEQ

PHEQ Risk / Return Rank: 88
PHEQ Sharpe Ratio Rank: 88
PHEQ Sortino Ratio Rank: 90
PHEQ Omega Ratio Rank: 89
PHEQ Calmar Ratio Rank: 83
PHEQ Martin Ratio Rank: 89

CBOX

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

PHEQ vs. CBOX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric Hedged Equity ETF (PHEQ) and Calamos Tax-Aware Collateral ETF (CBOX). 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.

	PHEQ	CBOX	Difference
Sharpe ratio: Return per unit of total volatility	2.21	—	—
Sortino ratio: Return per unit of downside risk	3.30	—	—
Omega ratio: Gain probability vs. loss probability	1.42	—	—
Calmar ratio: Return relative to maximum drawdown	3.21	—	—
Martin ratio: Return relative to average drawdown	14.32	—	—

Drawdowns

PHEQ vs. CBOX - Drawdown Comparison

The maximum PHEQ drawdown since its inception was -12.55%, which is greater than CBOX's maximum drawdown of -2.90%. Use the drawdown chart below to compare losses from any high point for PHEQ and CBOX.

Drawdown Indicators

	PHEQ	CBOX	Difference
Max Drawdown Largest peak-to-trough decline	-12.55%	-2.90%	-9.65%
Max Drawdown (1Y) Largest decline over 1 year	-4.26%	—	—
Current Drawdown Current decline from peak	0.00%	-2.29%	+2.29%
Average Drawdown Average peak-to-trough decline	-0.95%	-1.48%	+0.53%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.95%	—	—

Volatility

Volatility by Period

	PHEQ	CBOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.70%	—	—
Volatility (6M) Calculated over the trailing 6-month period	4.87%	—	—
Volatility (1Y) Calculated over the trailing 1-year period	6.19%	7.77%	-1.58%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	8.49%	7.77%	+0.72%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.49%	7.77%	+0.72%

PHEQ vs. CBOX - Expense Ratio Comparison

PHEQ has a 0.29% expense ratio, which is higher than CBOX's 0.14% expense ratio.

Dividends

PHEQ vs. CBOX - Dividend Comparison

PHEQ's dividend yield for the trailing twelve months is around 0.94%, while CBOX has not paid dividends to shareholders.

Position	TTM	2025	2024	2023
CBOX Calamos Tax-Aware Collateral ETF	0.00%	0.00%	0.00%	0.00%
PHEQ Parametric Hedged Equity ETF	0.94%	1.19%	1.39%	1.73%

Frequently Asked Questions

Can I hold both PHEQ and CBOX in my portfolio?

PHEQ and CBOX have a correlation of 0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, PHEQ or CBOX?

On fees, CBOX is cheaper at 0.14% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, PHEQ or CBOX?

CBOX is cheaper with a 0.14% expense ratio, compared with 0.29% for PHEQ.

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

PHEQ has the higher dividend yield at 0.94%, compared with 0.00% for CBOX.

What is the main difference between PHEQ and CBOX?

They also come from different issuers: Parametric and Calamos. Their fees differ too: 0.29% for PHEQ and 0.14% for CBOX.