PHEQ vs. SPY
Compare and contrast key facts about Parametric Hedged Equity ETF (PHEQ) and SPDR S&P 500 ETF (SPY).
PHEQ and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. PHEQ is an actively managed fund by Parametric. It was launched on Oct 16, 2023. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: PHEQ or SPY.
Key characteristics
| PHEQ | SPY | |
|---|---|---|
| YTD Return | 14.00% | 27.16% |
| 1Y Return | 19.69% | 37.73% |
| Sharpe Ratio | 3.76 | 3.25 |
| Sortino Ratio | 5.51 | 4.32 |
| Omega Ratio | 1.86 | 1.61 |
| Calmar Ratio | 5.07 | 4.74 |
| Martin Ratio | 29.92 | 21.51 |
| Ulcer Index | 0.70% | 1.85% |
| Daily Std Dev | 5.48% | 12.20% |
| Max Drawdown | -4.11% | -55.19% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between PHEQ and SPY 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.
Performance
PHEQ vs. SPY - Performance Comparison
In the year-to-date period, PHEQ achieves a 14.00% return, which is significantly lower than SPY's 27.16% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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PHEQ vs. SPY - Expense Ratio Comparison
PHEQ has a 0.29% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
PHEQ vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Parametric Hedged Equity ETF (PHEQ) and 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.
Dividends
PHEQ vs. SPY - Dividend Comparison
PHEQ's dividend yield for the trailing twelve months is around 2.24%, more than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PHEQ Parametric Hedged Equity ETF | 2.24% | 1.72% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
PHEQ vs. SPY - Drawdown Comparison
The maximum PHEQ drawdown since its inception was -4.11%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for PHEQ and SPY. For additional features, visit the drawdowns tool.
Volatility
PHEQ vs. SPY - Volatility Comparison
The current volatility for Parametric Hedged Equity ETF (PHEQ) is 1.70%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.92%. This indicates that PHEQ 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.