SEPZ vs. PHEQ

Last updated Jun 23, 2026

SEPZ (TrueShares Structured Outcome (September) ETF) and PHEQ (Parametric Hedged Equity ETF) are both Options Trading funds. SEPZ is passively managed, while PHEQ is actively managed. Over the past year, SEPZ returned 19.88% vs 15.98% for PHEQ. A 0.79 correlation means they provide meaningful diversification when combined. SEPZ charges 0.80%/yr vs 0.29%/yr for PHEQ.

Performance

SEPZ vs. PHEQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in TrueShares Structured Outcome (September) ETF (SEPZ) and Parametric Hedged Equity ETF (PHEQ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SEPZ achieves a 7.26% return, which is significantly higher than PHEQ's 5.69% return.

SEPZ

• 1D: -0.40%
• 1M: -0.02%
• YTD: 7.26%
• 6M: 7.09%
• 1Y: 19.88%
• 3Y*: 15.61%
• 5Y*: 11.30%
• 10Y*: —

PHEQ

• 1D: -0.11%
• 1M: 0.12%
• YTD: 5.69%
• 6M: 5.37%
• 1Y: 15.98%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

SEPZ vs. PHEQ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
SEPZ TrueShares Structured Outcome (September) ETF	7.26%	13.18%	18.23%	8.14%
PHEQ Parametric Hedged Equity ETF	5.69%	11.76%	14.94%	6.39%

Correlation

The correlation between SEPZ and PHEQ is 0.85, 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	0.85
Correlation (All Time) Calculated using the full available price history since Oct 19, 2023	0.79

The correlation between SEPZ and PHEQ has been stable across timeframes, ranging from 0.79 to 0.85 - a consistent structural relationship.

Return for Risk

SEPZ vs. PHEQ — Risk / Return Rank

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

SEPZ

SEPZ Risk / Return Rank: 59
SEPZ Sharpe Ratio Rank: 59
SEPZ Sortino Ratio Rank: 59
SEPZ Omega Ratio Rank: 56
SEPZ Calmar Ratio Rank: 57
SEPZ Martin Ratio Rank: 66

PHEQ

PHEQ Risk / Return Rank: 84
PHEQ Sharpe Ratio Rank: 84
PHEQ Sortino Ratio Rank: 89
PHEQ Omega Ratio Rank: 87
PHEQ Calmar Ratio Rank: 76
PHEQ Martin Ratio Rank: 85

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.

SEPZ vs. PHEQ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for TrueShares Structured Outcome (September) ETF (SEPZ) and Parametric Hedged Equity ETF (PHEQ). 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.

	SEPZ	PHEQ	Difference
Sharpe ratio: Return per unit of total volatility	1.91	2.61	-0.70
Sortino ratio: Return per unit of downside risk	2.68	3.92	-1.24
Omega ratio: Gain probability vs. loss probability	1.34	1.52	-0.18
Calmar ratio: Return relative to maximum drawdown	2.74	3.77	-1.03
Martin ratio: Return relative to average drawdown	11.88	17.07	-5.19

SEPZ vs. PHEQ - Sharpe Ratio Comparison

The current SEPZ Sharpe Ratio is 1.91, which is comparable to the PHEQ Sharpe Ratio of 2.61. The chart below compares the historical Sharpe Ratios of SEPZ and PHEQ, 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

SEPZ vs. PHEQ - Drawdown Comparison

The maximum SEPZ drawdown since its inception was -15.22%, which is greater than PHEQ's maximum drawdown of -12.55%. Use the drawdown chart below to compare losses from any high point for SEPZ and PHEQ.

Drawdown Indicators

	SEPZ	PHEQ	Difference
Max Drawdown Largest peak-to-trough decline	-15.22%	-12.55%	-2.67%
Max Drawdown (1Y) Largest decline over 1 year	-7.30%	-4.26%	-3.04%
Max Drawdown (3Y) Largest decline over 3 years	-14.57%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-15.22%	—	—
Current Drawdown Current decline from peak	-1.72%	-0.22%	-1.50%
Average Drawdown Average peak-to-trough decline	-2.83%	-0.98%	-1.85%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.68%	0.94%	+0.74%

Volatility

SEPZ vs. PHEQ - Volatility Comparison

TrueShares Structured Outcome (September) ETF (SEPZ) has a higher volatility of 3.92% compared to Parametric Hedged Equity ETF (PHEQ) at 1.67%. This indicates that SEPZ's price experiences larger fluctuations and is considered to be riskier than PHEQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SEPZ	PHEQ	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.92%	1.67%	+2.25%
Volatility (6M) Calculated over the trailing 6-month period	8.00%	4.80%	+3.20%
Volatility (1Y) Calculated over the trailing 1-year period	10.48%	6.16%	+4.32%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.38%	8.60%	+3.78%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.49%	8.60%	+3.89%

SEPZ vs. PHEQ - Expense Ratio Comparison

SEPZ has a 0.80% expense ratio, which is higher than PHEQ's 0.29% expense ratio.

Dividends

SEPZ vs. PHEQ - Dividend Comparison

SEPZ's dividend yield for the trailing twelve months is around 2.05%, more than PHEQ's 1.16% yield.

Position	TTM	2025	2024	2023	2022	2021
PHEQ Parametric Hedged Equity ETF	1.16%	1.19%	1.39%	1.73%	0.00%	0.00%
SEPZ TrueShares Structured Outcome (September) ETF	2.05%	2.20%	3.62%	3.55%	0.69%	0.05%

Frequently Asked Questions

Can I hold both SEPZ and PHEQ in my portfolio?

SEPZ and PHEQ have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SEPZ or PHEQ?

SEPZ has higher volatility (3.92%) compared to PHEQ (1.67%). In terms of maximum drawdown, SEPZ dropped -15.22% vs PHEQ's -12.55%.

Which ETF is better, SEPZ or PHEQ?

On 1-year performance, SEPZ leads with 19.88% vs 15.98% for PHEQ. On fees, PHEQ is cheaper at 0.29% per year. On volatility, PHEQ has been the lower-risk option at 1.67%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SEPZ or PHEQ?

Over the 1-year period, SEPZ has performed better with a 19.88% return vs 15.98%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SEPZ or PHEQ?

PHEQ is cheaper with a 0.29% expense ratio, compared with 0.80% for SEPZ.

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

SEPZ has the higher dividend yield at 2.05%, compared with 1.16% for PHEQ.

What is the main difference between SEPZ and PHEQ?

They also come from different issuers: TrueShares and Parametric. Their fees differ too: 0.80% for SEPZ and 0.29% for PHEQ.

Which has better risk-adjusted returns?

PHEQ currently has the higher Sharpe Ratio (2.61 vs 1.91), 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.