SBR vs. PHDG

Last updated Jun 4, 2026

SBR (Sabine Royalty Trust) is a stock, while PHDG (Invesco S&P 500 Downside Hedged ETF) is Equity Hedged fund tracking the S&P 500 Dynamic VEQTOR Index. Over the past 10 years, SBR returned 17.70%/yr vs 7.22%/yr for PHDG. At a 0.16 correlation, their price movements are largely independent.

Performance

SBR vs. PHDG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Sabine Royalty Trust (SBR) and Invesco S&P 500 Downside Hedged ETF (PHDG). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SBR achieves a 15.14% return, which is significantly higher than PHDG's 13.79% return. Over the past 10 years, SBR has outperformed PHDG with an annualized return of 17.70%, while PHDG has yielded a comparatively lower 7.22% annualized return.

SBR

• 1D: -0.03%
• 1M: -0.88%
• YTD: 15.14%
• 6M: 0.02%
• 1Y: 22.17%
• 3Y*: 11.25%
• 5Y*: 26.25%
• 10Y*: 17.70%

PHDG

• 1D: -0.63%
• 1M: 4.88%
• YTD: 13.79%
• 6M: 11.91%
• 1Y: 25.21%
• 3Y*: 10.77%
• 5Y*: 5.45%
• 10Y*: 7.22%

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

SBR vs. PHDG - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SBR Sabine Royalty Trust	15.14%	14.04%	4.06%	-13.10%	132.08%	60.71%	-24.24%	15.77%	-9.61%	34.83%
PHDG Invesco S&P 500 Downside Hedged ETF	13.79%	2.72%	10.95%	8.18%	-14.09%	15.67%	18.97%	8.57%	-2.44%	15.89%

Correlation

The correlation between SBR and PHDG is -0.07, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.07
Correlation (3Y) Calculated over the trailing 3-year period	0.06
Correlation (5Y) Calculated over the trailing 5-year period	0.09
Correlation (10Y) Calculated over the trailing 10-year period	0.14
Correlation (All Time) Calculated using the full available price history since Dec 7, 2012	0.16

The correlation between SBR and PHDG shifts across timeframes, from -0.07 (1 year) to 0.16 (all time), reflecting how their relationship changes across market environments.

Return for Risk

SBR vs. PHDG — Risk / Return Rank

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

SBR

SBR Risk / Return Rank: 64
SBR Sharpe Ratio Rank: 70
SBR Sortino Ratio Rank: 60
SBR Omega Ratio Rank: 61
SBR Calmar Ratio Rank: 64
SBR Martin Ratio Rank: 63

PHDG

PHDG Risk / Return Rank: 90
PHDG Sharpe Ratio Rank: 86
PHDG Sortino Ratio Rank: 90
PHDG Omega Ratio Rank: 85
PHDG Calmar Ratio Rank: 94
PHDG Martin Ratio Rank: 94

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.

SBR vs. PHDG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Sabine Royalty Trust (SBR) and Invesco S&P 500 Downside Hedged ETF (PHDG). 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.

	SBR	PHDG	Difference
Sharpe ratio: Return per unit of total volatility	0.94	2.88	-1.94
Sortino ratio: Return per unit of downside risk	1.31	4.23	-2.92
Omega ratio: Gain probability vs. loss probability	1.17	1.53	-0.36
Calmar ratio: Return relative to maximum drawdown	1.20	7.19	-5.98
Martin ratio: Return relative to average drawdown	2.54	26.70	-24.16
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SBR vs. PHDG - Sharpe Ratio Comparison

The current SBR Sharpe Ratio is 0.94, which is lower than the PHDG Sharpe Ratio of 2.88. The chart below compares the historical Sharpe Ratios of SBR and PHDG, 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

	SBR	PHDG	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.94	2.88	-1.94
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.83	0.50	+0.33
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.57	0.61	-0.04
Sharpe Ratio (All Time) Calculated using the full available price history	0.54	0.53	0.00

Drawdowns

SBR vs. PHDG - Drawdown Comparison

The maximum SBR drawdown since its inception was -56.40%, which is greater than PHDG's maximum drawdown of -17.70%. Use the drawdown chart below to compare losses from any high point for SBR and PHDG.

Drawdown Indicators

	SBR	PHDG	Difference
Max Drawdown Largest peak-to-trough decline	-56.40%	-17.70%	-38.70%
Max Drawdown (1Y) Largest decline over 1 year	-18.54%	-3.52%	-15.02%
Max Drawdown (3Y) Largest decline over 3 years	-18.54%	-14.78%	-3.76%
Max Drawdown (5Y) Largest decline over 5 years	-34.56%	-17.06%	-17.50%
Max Drawdown (10Y) Largest decline over 10 years	-50.71%	-17.06%	-33.65%
Current Drawdown Current decline from peak	-2.62%	-0.87%	-1.75%
Average Drawdown Average peak-to-trough decline	-13.64%	-6.25%	-7.39%
Ulcer Index Depth and duration of drawdowns from previous peaks	8.74%	0.95%	+7.79%

Volatility

SBR vs. PHDG - Volatility Comparison

Sabine Royalty Trust (SBR) has a higher volatility of 5.83% compared to Invesco S&P 500 Downside Hedged ETF (PHDG) at 3.07%. This indicates that SBR's price experiences larger fluctuations and is considered to be riskier than PHDG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SBR	PHDG	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.83%	3.07%	+2.76%
Volatility (6M) Calculated over the trailing 6-month period	18.15%	6.64%	+11.51%
Volatility (1Y) Calculated over the trailing 1-year period	23.77%	8.81%	+14.96%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	31.78%	10.92%	+20.86%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	31.31%	11.92%	+19.39%

Dividends

SBR vs. PHDG - Dividend Comparison

SBR's dividend yield for the trailing twelve months is around 6.14%, more than PHDG's 1.86% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PHDG Invesco S&P 500 Downside Hedged ETF	1.86%	2.10%	1.94%	1.93%	1.35%	0.44%	0.63%	1.80%	1.56%	1.83%	2.29%	1.64%
SBR Sabine Royalty Trust	6.14%	7.53%	8.41%	9.41%	10.13%	7.72%	8.59%	7.49%	8.98%	5.31%	5.50%	11.82%

Frequently Asked Questions

Can I hold both SBR and PHDG in my portfolio?

SBR and PHDG have a correlation of -0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SBR or PHDG?

SBR has higher volatility (5.83%) compared to PHDG (3.07%). In terms of maximum drawdown, SBR dropped -56.40% vs PHDG's -17.70%.

Which has better risk-adjusted returns?

PHDG currently has the higher Sharpe Ratio (2.88 vs 0.94), 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.