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PHEQ vs. HELO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PHEQ vs. HELO - Performance Comparison

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

-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.77%
9.25%
PHEQ
HELO

Returns By Period

In the year-to-date period, PHEQ achieves a 13.07% return, which is significantly lower than HELO's 18.31% return.


PHEQ

YTD

13.07%

1M

0.81%

6M

6.77%

1Y

17.09%

5Y (annualized)

N/A

10Y (annualized)

N/A

HELO

YTD

18.31%

1M

0.50%

6M

9.25%

1Y

20.80%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


PHEQHELO
Sharpe Ratio3.173.03
Sortino Ratio4.514.30
Omega Ratio1.691.64
Calmar Ratio4.195.03
Martin Ratio24.5524.33
Ulcer Index0.70%0.86%
Daily Std Dev5.45%6.92%
Max Drawdown-4.11%-4.16%
Current Drawdown-0.81%-0.94%

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PHEQ vs. HELO - Expense Ratio Comparison

PHEQ has a 0.29% expense ratio, which is lower than HELO's 0.50% expense ratio.


HELO
JPMorgan Hedged Equity Laddered Overlay ETF
Expense ratio chart for HELO: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for PHEQ: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%

Correlation

-0.50.00.51.00.6

The correlation between PHEQ and HELO is 0.59, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

PHEQ vs. HELO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric Hedged Equity ETF (PHEQ) and JPMorgan Hedged Equity Laddered Overlay ETF (HELO). 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.


Sharpe ratio
The chart of Sharpe ratio for PHEQ, currently valued at 3.17, compared to the broader market0.002.004.003.173.03
The chart of Sortino ratio for PHEQ, currently valued at 4.51, compared to the broader market-2.000.002.004.006.008.0010.004.514.30
The chart of Omega ratio for PHEQ, currently valued at 1.69, compared to the broader market0.501.001.502.002.503.001.691.64
The chart of Calmar ratio for PHEQ, currently valued at 4.19, compared to the broader market0.005.0010.0015.004.195.03
The chart of Martin ratio for PHEQ, currently valued at 24.55, compared to the broader market0.0020.0040.0060.0080.00100.0024.5524.33
PHEQ
HELO

The current PHEQ Sharpe Ratio is 3.17, which is comparable to the HELO Sharpe Ratio of 3.03. The chart below compares the historical Sharpe Ratios of PHEQ and HELO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio3.003.203.403.603.804.004.20Thu 24Sat 26Mon 28Wed 30NovemberNov 03Tue 05Thu 07Sat 09Mon 11Wed 13Fri 15Nov 17
3.17
3.03
PHEQ
HELO

Dividends

PHEQ vs. HELO - Dividend Comparison

PHEQ's dividend yield for the trailing twelve months is around 2.26%, more than HELO's 0.52% yield.


TTM2023
PHEQ
Parametric Hedged Equity ETF
2.26%1.72%
HELO
JPMorgan Hedged Equity Laddered Overlay ETF
0.52%0.19%

Drawdowns

PHEQ vs. HELO - Drawdown Comparison

The maximum PHEQ drawdown since its inception was -4.11%, roughly equal to the maximum HELO drawdown of -4.16%. Use the drawdown chart below to compare losses from any high point for PHEQ and HELO. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.81%
-0.94%
PHEQ
HELO

Volatility

PHEQ vs. HELO - Volatility Comparison

The current volatility for Parametric Hedged Equity ETF (PHEQ) is 1.84%, while JPMorgan Hedged Equity Laddered Overlay ETF (HELO) has a volatility of 2.59%. This indicates that PHEQ experiences smaller price fluctuations and is considered to be less risky than HELO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
1.84%
2.59%
PHEQ
HELO