PHEQ vs. USFR

Last updated Jun 24, 2026

PHEQ (Parametric Hedged Equity ETF) and USFR (WisdomTree Floating Rate Treasury Fund) are both exchange-traded funds - PHEQ is a Options Trading fund actively managed by Parametric, while USFR is a Government Bonds fund tracking the Bloomberg U.S. Treasury Floating Rate Bond Index. PHEQ is actively managed, while USFR is passively managed. Over the past year, PHEQ returned 14.61% vs 3.99% for USFR. At a correlation of -0.06, they often move in opposite directions. PHEQ charges 0.29%/yr vs 0.15%/yr for USFR.

Performance

PHEQ vs. USFR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Parametric Hedged Equity ETF (PHEQ) and WisdomTree Floating Rate Treasury Fund (USFR). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PHEQ achieves a 5.21% return, which is significantly higher than USFR's 1.82% return.

PHEQ

• 1D: -0.45%
• 1M: -0.33%
• YTD: 5.21%
• 6M: 4.64%
• 1Y: 14.61%
• 3Y*: —
• 5Y*: —
• 10Y*: —

USFR

• 1D: 0.04%
• 1M: 0.33%
• YTD: 1.82%
• 6M: 1.92%
• 1Y: 3.99%
• 3Y*: 4.74%
• 5Y*: 3.71%
• 10Y*: 2.43%

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

PHEQ vs. USFR - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
PHEQ Parametric Hedged Equity ETF	5.21%	11.76%	14.94%	6.39%
USFR WisdomTree Floating Rate Treasury Fund	1.82%	4.23%	5.47%	0.98%

Correlation

The correlation between PHEQ and USFR is -0.14, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.14
Correlation (All Time) Calculated using the full available price history since Oct 19, 2023	-0.06

Return for Risk

PHEQ vs. USFR — Risk / Return Rank

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

PHEQ

PHEQ Risk / Return Rank: 81
PHEQ Sharpe Ratio Rank: 80
PHEQ Sortino Ratio Rank: 85
PHEQ Omega Ratio Rank: 83
PHEQ Calmar Ratio Rank: 72
PHEQ Martin Ratio Rank: 82

USFR

USFR Risk / Return Rank: 100
USFR Sharpe Ratio Rank: 100
USFR Sortino Ratio Rank: 100
USFR Omega Ratio Rank: 100
USFR Calmar Ratio Rank: 100
USFR Martin Ratio Rank: 100

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. USFR - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric Hedged Equity ETF (PHEQ) and WisdomTree Floating Rate Treasury Fund (USFR). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	PHEQ	USFR	Difference
Sharpe ratio: Return per unit of total volatility	2.39	14.67	-12.28
Sortino ratio: Return per unit of downside risk	3.58	50.13	-46.55
Omega ratio: Gain probability vs. loss probability	1.47	13.31	-11.84
Calmar ratio: Return relative to maximum drawdown	3.44	201.33	-197.89
Martin ratio: Return relative to average drawdown	15.59	779.76	-764.18

PHEQ vs. USFR - Sharpe Ratio Comparison

The current PHEQ Sharpe Ratio is 2.39, which is lower than the USFR Sharpe Ratio of 14.67. The chart below compares the historical Sharpe Ratios of PHEQ and USFR, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

PHEQ vs. USFR - Drawdown Comparison

The maximum PHEQ drawdown since its inception was -12.55%, which is greater than USFR's maximum drawdown of -1.36%. Use the drawdown chart below to compare losses from any high point for PHEQ and USFR.

Drawdown Indicators

	PHEQ	USFR	Difference
Max Drawdown Largest peak-to-trough decline	-12.55%	-1.36%	-11.19%
Max Drawdown (1Y) Largest decline over 1 year	-4.26%	-0.02%	-4.24%
Max Drawdown (3Y) Largest decline over 3 years	—	-0.06%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-0.18%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-0.80%	—
Current Drawdown Current decline from peak	-0.67%	0.00%	-0.67%
Average Drawdown Average peak-to-trough decline	-0.98%	-0.15%	-0.83%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.94%	0.01%	+0.93%

Volatility

PHEQ vs. USFR - Volatility Comparison

Parametric Hedged Equity ETF (PHEQ) has a higher volatility of 1.72% compared to WisdomTree Floating Rate Treasury Fund (USFR) at 0.09%. This indicates that PHEQ's price experiences larger fluctuations and is considered to be riskier than USFR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PHEQ	USFR	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.72%	0.09%	+1.63%
Volatility (6M) Calculated over the trailing 6-month period	4.82%	0.19%	+4.63%
Volatility (1Y) Calculated over the trailing 1-year period	6.17%	0.27%	+5.90%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	8.60%	0.40%	+8.20%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.60%	0.78%	+7.82%

PHEQ vs. USFR - Expense Ratio Comparison

PHEQ has a 0.29% expense ratio, which is higher than USFR's 0.15% expense ratio.

Dividends

PHEQ vs. USFR - Dividend Comparison

PHEQ's dividend yield for the trailing twelve months is around 0.95%, less than USFR's 3.90% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
PHEQ Parametric Hedged Equity ETF	0.95%	1.19%	1.39%	1.73%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
USFR WisdomTree Floating Rate Treasury Fund	3.90%	4.15%	5.17%	5.12%	1.78%	0.01%	0.40%	2.08%	1.67%	1.03%	0.29%

Frequently Asked Questions

Can I hold both PHEQ and USFR in my portfolio?

PHEQ and USFR have a correlation of -0.14, 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 USFR?

PHEQ has higher volatility (1.72%) compared to USFR (0.09%). In terms of maximum drawdown, PHEQ dropped -12.55% vs USFR's -1.36%.

Which ETF is better, PHEQ or USFR?

On 1-year performance, PHEQ leads with 14.61% vs 3.99% for USFR. On fees, USFR is cheaper at 0.15% per year. On volatility, USFR has been the lower-risk option at 0.09%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PHEQ or USFR?

Over the 1-year period, PHEQ has performed better with a 14.61% return vs 3.99%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PHEQ or USFR?

USFR is cheaper with a 0.15% expense ratio, compared with 0.29% for PHEQ.

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

USFR has the higher dividend yield at 3.90%, compared with 0.95% for PHEQ.

What is the main difference between PHEQ and USFR?

PHEQ is categorized as Options Trading, while USFR is Government Bonds. They also come from different issuers: Parametric and WisdomTree. Their fees differ too: 0.29% for PHEQ and 0.15% for USFR.

Which has better risk-adjusted returns?

USFR currently has the higher Sharpe Ratio (14.67 vs 2.39), 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.