PHEQ vs. SEPZ

Last updated Jun 3, 2026

PHEQ (Parametric Hedged Equity ETF) and SEPZ (TrueShares Structured Outcome (September) ETF) are both Options Trading funds. PHEQ is actively managed, while SEPZ is passively managed. Over the past year, PHEQ returned 16.93% vs 22.26% for SEPZ. A 0.78 correlation means they provide meaningful diversification when combined. PHEQ charges 0.29%/yr vs 0.80%/yr for SEPZ.

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.

Returns By Period

In the year-to-date period, PHEQ achieves a 5.85% return, which is significantly lower than SEPZ's 8.94% return.

PHEQ

• 1D: 0.04%
• 1M: 1.58%
• YTD: 5.85%
• 6M: 6.48%
• 1Y: 16.93%
• 3Y*: —
• 5Y*: —
• 10Y*: —

SEPZ

• 1D: -0.17%
• 1M: 4.35%
• YTD: 8.94%
• 6M: 9.15%
• 1Y: 22.26%
• 3Y*: 16.71%
• 5Y*: 11.86%
• 10Y*: —

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

PHEQ vs. SEPZ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
PHEQ Parametric Hedged Equity ETF	5.85%	11.76%	14.94%	7.19%
SEPZ TrueShares Structured Outcome (September) ETF	8.94%	13.18%	18.23%	8.65%

Correlation

The correlation between PHEQ and SEPZ is 0.85, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.85
Correlation (All Time) Calculated using the full available price history since Oct 20, 2023	0.78

The correlation between PHEQ and SEPZ has been stable across timeframes, ranging from 0.78 to 0.85 - a consistent structural relationship.

PHEQ vs. SEPZ - Sectors Allocation Comparison

Sectors	PHEQ	SEPZ
Technology	35.4%	35.3%
Communication Services	11.8%	9.9%
Financial Services	11.3%	13.4%
Consumer Cyclical	10.2%	10.6%
Healthcare	8.6%	8.8%
Industrials	8.3%	7.8%
Consumer Defensive	5.0%	5.2%
Energy	3.7%	3.0%
Utilities	2.4%	2.5%
Basic Materials	1.7%	1.6%
Real Estate	1.6%	2.0%

Return for Risk

PHEQ vs. SEPZ — Risk / Return Rank

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

PHEQ

PHEQ Risk / Return Rank: 85
PHEQ Sharpe Ratio Rank: 83
PHEQ Sortino Ratio Rank: 89
PHEQ Omega Ratio Rank: 87
PHEQ Calmar Ratio Rank: 78
PHEQ Martin Ratio Rank: 86

SEPZ

SEPZ Risk / Return Rank: 67
SEPZ Sharpe Ratio Rank: 66
SEPZ Sortino Ratio Rank: 68
SEPZ Omega Ratio Rank: 65
SEPZ Calmar Ratio Rank: 61
SEPZ Martin Ratio Rank: 73

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.

PHEQ vs. SEPZ - Risk-Adjusted Trends 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.

	PHEQ	SEPZ	Difference
Sharpe ratio Return per unit of total volatility	2.76	2.25	+0.51
Sortino ratio Return per unit of downside risk	4.14	3.19	+0.95
Omega ratio Gain probability vs. loss probability	1.55	1.40	+0.15
Calmar ratio Return relative to maximum drawdown	4.09	3.09	+1.00
Martin ratio Return relative to average drawdown	18.73	14.02	+4.71
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PHEQ vs. SEPZ - Sharpe Ratio Comparison

The current PHEQ Sharpe Ratio is 2.76, which is comparable to the SEPZ Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of PHEQ and SEPZ, 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

	PHEQ	SEPZ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.76	2.25	+0.51
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.97	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.81	1.06	+0.75

Drawdowns

PHEQ vs. SEPZ - Drawdown Comparison

The maximum PHEQ drawdown since its inception was -12.55%, smaller than the maximum SEPZ drawdown of -15.22%. Use the drawdown chart below to compare losses from any high point for PHEQ and SEPZ.

Drawdown Indicators

	PHEQ	SEPZ	Difference
Max Drawdown Largest peak-to-trough decline	-12.55%	-15.22%	+2.67%
Max Drawdown (1Y) Largest decline over 1 year	-4.26%	-7.30%	+3.04%
Max Drawdown (3Y) Largest decline over 3 years	—	-14.57%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-15.22%	—
Current Drawdown Current decline from peak	0.00%	-0.17%	+0.17%
Average Drawdown Average peak-to-trough decline	-0.97%	-2.84%	+1.87%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.93%	1.61%	-0.68%

Volatility

PHEQ vs. SEPZ - Volatility Comparison

The current volatility for Parametric Hedged Equity ETF (PHEQ) is 1.06%, while TrueShares Structured Outcome (September) ETF (SEPZ) has a volatility of 2.63%. 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.

Volatility by Period

	PHEQ	SEPZ	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.06%	2.63%	-1.57%
Volatility (6M) Calculated over the trailing 6-month period	4.56%	7.25%	-2.69%
Volatility (1Y) Calculated over the trailing 1-year period	6.16%	9.94%	-3.78%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	8.62%	12.29%	-3.67%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.62%	12.46%	-3.84%

PHEQ vs. SEPZ - Expense Ratio Comparison

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

Dividends

PHEQ vs. SEPZ - Dividend Comparison

PHEQ's dividend yield for the trailing twelve months is around 1.02%, less than SEPZ's 2.02% yield.

Position	TTM	2025	2024	2023	2022	2021
PHEQ Parametric Hedged Equity ETF	1.02%	1.19%	1.39%	1.73%	0.00%	0.00%
SEPZ TrueShares Structured Outcome (September) ETF	2.02%	2.20%	3.62%	3.55%	0.69%	0.05%

Frequently Asked Questions

Can I hold both PHEQ and SEPZ in my portfolio?

PHEQ and SEPZ have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PHEQ or SEPZ?

SEPZ has higher volatility (2.63%) compared to PHEQ (1.06%). In terms of maximum drawdown, PHEQ dropped -12.55% vs SEPZ's -15.22%.

Which ETF is better, PHEQ or SEPZ?

On 1-year performance, SEPZ leads with 22.26% vs 16.93% for PHEQ. On fees, PHEQ is cheaper at 0.29% per year. On volatility, PHEQ has been the lower-risk option at 1.06%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PHEQ or SEPZ?

Over the 1-year period, SEPZ has performed better with a 22.26% return vs 16.93%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PHEQ or SEPZ?

PHEQ is cheaper with a 0.29% expense ratio, compared with 0.80% for SEPZ.

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

SEPZ has the higher dividend yield at 2.02%, compared with 1.02% for PHEQ.

What is the main difference between PHEQ and SEPZ?

They also come from different issuers: Parametric and TrueShares. Their fees differ too: 0.29% for PHEQ and 0.80% for SEPZ.

Which has better risk-adjusted returns?

PHEQ currently has the higher Sharpe Ratio (2.76 vs 2.25), 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.