PHEQ vs. SPY

Last updated Jun 4, 2026

PHEQ (Parametric Hedged Equity ETF) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - PHEQ is a Options Trading fund actively managed by Parametric, while SPY is a S&P 500 fund tracking the S&P 500 Index. PHEQ is actively managed, while SPY is passively managed. Over the past year, PHEQ returned 15.97% vs 27.98% for SPY. A 0.79 correlation means they provide meaningful diversification when combined. PHEQ charges 0.29%/yr vs 0.09%/yr for SPY.

Performance

PHEQ vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Parametric Hedged Equity ETF (PHEQ) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PHEQ achieves a 5.67% return, which is significantly lower than SPY's 10.91% return.

PHEQ

• 1D: -0.18%
• 1M: 1.64%
• YTD: 5.67%
• 6M: 6.14%
• 1Y: 15.97%
• 3Y*: —
• 5Y*: —
• 10Y*: —

SPY

• 1D: -0.70%
• 1M: 5.05%
• YTD: 10.91%
• 6M: 10.91%
• 1Y: 27.98%
• 3Y*: 22.35%
• 5Y*: 13.83%
• 10Y*: 15.49%

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

PHEQ vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
PHEQ Parametric Hedged Equity ETF	5.67%	11.76%	14.94%	7.19%
SPY State Street SPDR S&P 500 ETF	10.91%	17.72%	24.89%	11.91%

Correlation

The correlation between PHEQ and SPY is 0.88, 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	0.88
Correlation (All Time) Calculated using the full available price history since Oct 20, 2023	0.79

The correlation between PHEQ and SPY has been stable across timeframes, ranging from 0.79 to 0.88 - a consistent structural relationship.

PHEQ vs. SPY - Sectors Allocation Comparison

Sectors	PHEQ	SPY
Technology	35.4%	35.9%
Communication Services	11.8%	11.3%
Financial Services	11.3%	11.8%
Consumer Cyclical	10.2%	10.3%
Healthcare	8.6%	8.4%
Industrials	8.3%	7.8%
Consumer Defensive	5.0%	4.8%
Energy	3.7%	3.6%
Utilities	2.4%	2.4%
Basic Materials	1.7%	1.8%
Real Estate	1.6%	1.9%

Return for Risk

PHEQ vs. SPY — Risk / Return Rank

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

PHEQ

PHEQ Risk / Return Rank: 82
PHEQ Sharpe Ratio Rank: 80
PHEQ Sortino Ratio Rank: 86
PHEQ Omega Ratio Rank: 84
PHEQ Calmar Ratio Rank: 75
PHEQ Martin Ratio Rank: 84

SPY

SPY Risk / Return Rank: 70
SPY Sharpe Ratio Rank: 71
SPY Sortino Ratio Rank: 69
SPY Omega Ratio Rank: 70
SPY Calmar Ratio Rank: 62
SPY Martin Ratio Rank: 75

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. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric Hedged Equity ETF (PHEQ) and State Street 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.

	PHEQ	SPY	Difference
Sharpe ratio: Return per unit of total volatility	2.62	2.38	+0.24
Sortino ratio: Return per unit of downside risk	3.92	3.24	+0.69
Omega ratio: Gain probability vs. loss probability	1.52	1.43	+0.09
Calmar ratio: Return relative to maximum drawdown	3.77	3.16	+0.60
Martin ratio: Return relative to average drawdown	17.21	14.72	+2.49
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. SPY - Sharpe Ratio Comparison

The current PHEQ Sharpe Ratio is 2.62, which is comparable to the SPY Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of PHEQ and SPY, 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	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.62	2.38	+0.24
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.82	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.87	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.80	0.59	+1.21

Drawdowns

PHEQ vs. SPY - Drawdown Comparison

The maximum PHEQ drawdown since its inception was -12.55%, 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.

Drawdown Indicators

	PHEQ	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-12.55%	-55.19%	+42.64%
Max Drawdown (1Y) Largest decline over 1 year	-4.26%	-8.88%	+4.62%
Max Drawdown (3Y) Largest decline over 3 years	—	-18.76%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-24.50%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-33.72%	—
Current Drawdown Current decline from peak	-0.18%	-0.70%	+0.52%
Average Drawdown Average peak-to-trough decline	-0.97%	-9.05%	+8.08%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.93%	1.91%	-0.98%

Volatility

PHEQ vs. SPY - Volatility Comparison

The current volatility for Parametric Hedged Equity ETF (PHEQ) is 1.05%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 2.84%. 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.

Volatility by Period

	PHEQ	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.05%	2.84%	-1.79%
Volatility (6M) Calculated over the trailing 6-month period	4.56%	8.90%	-4.34%
Volatility (1Y) Calculated over the trailing 1-year period	6.16%	11.83%	-5.67%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	8.62%	17.05%	-8.43%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.62%	17.94%	-9.32%

PHEQ vs. SPY - Expense Ratio Comparison

PHEQ has a 0.29% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

PHEQ vs. SPY - Dividend Comparison

PHEQ's dividend yield for the trailing twelve months is around 1.03%, more than SPY's 0.98% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PHEQ Parametric Hedged Equity ETF	1.03%	1.19%	1.39%	1.73%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
SPY State Street SPDR S&P 500 ETF	0.98%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both PHEQ and SPY in my portfolio?

PHEQ and SPY have a correlation of 0.88, 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 SPY?

SPY has higher volatility (2.84%) compared to PHEQ (1.05%). In terms of maximum drawdown, PHEQ dropped -12.55% vs SPY's -55.19%.

Which ETF is better, PHEQ or SPY?

On 1-year performance, SPY leads with 27.98% vs 15.97% for PHEQ. On fees, SPY is cheaper at 0.09% per year. On volatility, PHEQ has been the lower-risk option at 1.05%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PHEQ or SPY?

Over the 1-year period, SPY has performed better with a 27.98% return vs 15.97%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PHEQ or SPY?

SPY is cheaper with a 0.09% expense ratio, compared with 0.29% for PHEQ.

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

PHEQ has the higher dividend yield at 1.03%, compared with 0.98% for SPY.

What is the main difference between PHEQ and SPY?

PHEQ is categorized as Options Trading, while SPY is S&P 500. They also come from different issuers: Parametric and State Street. Their fees differ too: 0.29% for PHEQ and 0.09% for SPY.

Which has better risk-adjusted returns?

PHEQ currently has the higher Sharpe Ratio (2.62 vs 2.38), 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.