PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PHEQ vs. SEPZ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PHEQ vs. SEPZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Parametric Hedged Equity ETF (PHEQ) and TrueShares Structured Outcome (September) ETF (SEPZ). 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%
8.89%
PHEQ
SEPZ

Returns By Period

In the year-to-date period, PHEQ achieves a 13.07% return, which is significantly lower than SEPZ's 18.60% return.


PHEQ

YTD

13.07%

1M

0.81%

6M

6.77%

1Y

17.09%

5Y (annualized)

N/A

10Y (annualized)

N/A

SEPZ

YTD

18.60%

1M

0.53%

6M

8.89%

1Y

23.61%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


PHEQSEPZ
Sharpe Ratio3.172.48
Sortino Ratio4.513.40
Omega Ratio1.691.47
Calmar Ratio4.193.40
Martin Ratio24.5515.00
Ulcer Index0.70%1.59%
Daily Std Dev5.45%9.64%
Max Drawdown-4.11%-15.21%
Current Drawdown-0.81%-1.42%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


PHEQ vs. SEPZ - Expense Ratio Comparison

PHEQ has a 0.29% expense ratio, which is lower than SEPZ's 0.80% expense ratio.


SEPZ
TrueShares Structured Outcome (September) ETF
Expense ratio chart for SEPZ: current value at 0.80% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.80%
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 SEPZ is 0.60, 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. SEPZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric Hedged Equity ETF (PHEQ) and TrueShares Structured Outcome (September) ETF (SEPZ). 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 market0.002.004.003.172.48
The chart of Sortino ratio for PHEQ, currently valued at 4.51, compared to the broader market-2.000.002.004.006.008.0010.004.513.40
The chart of Omega ratio for PHEQ, currently valued at 1.69, compared to the broader market0.501.001.502.002.503.001.691.47
The chart of Calmar ratio for PHEQ, currently valued at 4.19, compared to the broader market0.005.0010.0015.004.193.40
The chart of Martin ratio for PHEQ, currently valued at 24.55, compared to the broader market0.0020.0040.0060.0080.00100.0024.5515.00
PHEQ
SEPZ

The current PHEQ Sharpe Ratio is 3.17, which is comparable to the SEPZ Sharpe Ratio of 2.48. The chart below compares the historical Sharpe Ratios of PHEQ and SEPZ, 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 Ratio2.503.003.504.00Thu 24Sat 26Mon 28Wed 30NovemberNov 03Tue 05Thu 07Sat 09Mon 11Wed 13Fri 15Nov 17
3.17
2.48
PHEQ
SEPZ

Dividends

PHEQ vs. SEPZ - Dividend Comparison

PHEQ's dividend yield for the trailing twelve months is around 2.26%, less than SEPZ's 2.99% yield.


TTM202320222021
PHEQ
Parametric Hedged Equity ETF
2.26%1.72%0.00%0.00%
SEPZ
TrueShares Structured Outcome (September) ETF
2.99%3.55%0.69%0.05%

Drawdowns

PHEQ vs. SEPZ - Drawdown Comparison

The maximum PHEQ drawdown since its inception was -4.11%, smaller than the maximum SEPZ drawdown of -15.21%. Use the drawdown chart below to compare losses from any high point for PHEQ and SEPZ. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.81%
-1.42%
PHEQ
SEPZ

Volatility

PHEQ vs. SEPZ - Volatility Comparison

The current volatility for Parametric Hedged Equity ETF (PHEQ) is 1.84%, while TrueShares Structured Outcome (September) ETF (SEPZ) has a volatility of 3.13%. This indicates that PHEQ experiences smaller price fluctuations and is considered to be less risky than SEPZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
1.84%
3.13%
PHEQ
SEPZ