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PHEQ vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PHEQVOO
YTD Return13.92%26.88%
1Y Return19.61%37.59%
Sharpe Ratio3.583.06
Sortino Ratio5.214.08
Omega Ratio1.811.58
Calmar Ratio4.774.43
Martin Ratio28.1920.25
Ulcer Index0.70%1.85%
Daily Std Dev5.48%12.23%
Max Drawdown-4.11%-33.99%
Current Drawdown-0.07%-0.30%

Correlation

-0.50.00.51.00.6

The correlation between PHEQ and VOO 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. VOO - Performance Comparison

In the year-to-date period, PHEQ achieves a 13.92% return, which is significantly lower than VOO's 26.88% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
8.30%
14.84%
PHEQ
VOO

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PHEQ vs. VOO - Expense Ratio Comparison

PHEQ has a 0.29% expense ratio, which is higher than VOO's 0.03% expense ratio.


PHEQ
Parametric Hedged Equity ETF
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%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

PHEQ vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric Hedged Equity ETF (PHEQ) and Vanguard S&P 500 ETF (VOO). 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
Sharpe ratio
The chart of Sharpe ratio for PHEQ, currently valued at 3.58, compared to the broader market-2.000.002.004.006.003.58
Sortino ratio
The chart of Sortino ratio for PHEQ, currently valued at 5.21, compared to the broader market-2.000.002.004.006.008.0010.0012.005.21
Omega ratio
The chart of Omega ratio for PHEQ, currently valued at 1.81, compared to the broader market1.001.502.002.503.001.81
Calmar ratio
The chart of Calmar ratio for PHEQ, currently valued at 4.77, compared to the broader market0.005.0010.0015.004.77
Martin ratio
The chart of Martin ratio for PHEQ, currently valued at 28.19, compared to the broader market0.0020.0040.0060.0080.00100.0028.19
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.06, compared to the broader market-2.000.002.004.006.003.06
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.08, compared to the broader market-2.000.002.004.006.008.0010.0012.004.08
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.43, compared to the broader market0.005.0010.0015.004.43
Martin ratio
The chart of Martin ratio for VOO, currently valued at 20.25, compared to the broader market0.0020.0040.0060.0080.00100.0020.25

PHEQ vs. VOO - Sharpe Ratio Comparison

The current PHEQ Sharpe Ratio is 3.58, which is comparable to the VOO Sharpe Ratio of 3.06. The chart below compares the historical Sharpe Ratios of PHEQ and VOO, 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 Ratio3.003.504.00Thu 24Sat 26Mon 28Wed 30NovemberNov 03Tue 05Thu 07Sat 09Mon 11
3.58
3.06
PHEQ
VOO

Dividends

PHEQ vs. VOO - Dividend Comparison

PHEQ's dividend yield for the trailing twelve months is around 2.25%, more than VOO's 1.23% yield.


TTM20232022202120202019201820172016201520142013
PHEQ
Parametric Hedged Equity ETF
2.25%1.72%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

PHEQ vs. VOO - Drawdown Comparison

The maximum PHEQ drawdown since its inception was -4.11%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for PHEQ and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.07%
-0.30%
PHEQ
VOO

Volatility

PHEQ vs. VOO - Volatility Comparison

The current volatility for Parametric Hedged Equity ETF (PHEQ) is 1.68%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.89%. This indicates that PHEQ experiences smaller price fluctuations and is considered to be less risky than VOO 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%6.00%JuneJulyAugustSeptemberOctoberNovember
1.68%
3.89%
PHEQ
VOO