SEPZ vs. PHEQ
Compare and contrast key facts about TrueShares Structured Outcome (September) ETF (SEPZ) and Parametric Hedged Equity ETF (PHEQ).
SEPZ and PHEQ are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SEPZ is a passively managed fund by TrueShares that tracks the performance of the Cboe S&P 500 Buffer Protect Index September. It was launched on Aug 31, 2020. PHEQ is an actively managed fund by Parametric. It was launched on Oct 16, 2023.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SEPZ or PHEQ.
Performance
SEPZ vs. PHEQ - Performance Comparison
Returns By Period
In the year-to-date period, SEPZ achieves a 18.30% return, which is significantly higher than PHEQ's 12.84% return.
SEPZ
18.30%
0.56%
8.77%
23.55%
N/A
N/A
PHEQ
12.84%
0.60%
6.55%
16.85%
N/A
N/A
Key characteristics
| SEPZ | PHEQ | |
|---|---|---|
| Sharpe Ratio | 2.47 | 3.13 |
| Sortino Ratio | 3.38 | 4.46 |
| Omega Ratio | 1.47 | 1.68 |
| Calmar Ratio | 3.38 | 4.14 |
| Martin Ratio | 14.96 | 24.33 |
| Ulcer Index | 1.59% | 0.70% |
| Daily Std Dev | 9.62% | 5.43% |
| Max Drawdown | -15.21% | -4.11% |
| Current Drawdown | -1.66% | -1.02% |
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SEPZ vs. PHEQ - Expense Ratio Comparison
SEPZ has a 0.80% expense ratio, which is higher than PHEQ's 0.29% expense ratio.
Correlation
The correlation between SEPZ and PHEQ 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.
Risk-Adjusted Performance
SEPZ vs. PHEQ - Risk-Adjusted Performance 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.
Dividends
SEPZ vs. PHEQ - Dividend Comparison
SEPZ's dividend yield for the trailing twelve months is around 3.00%, more than PHEQ's 2.27% yield.
| TTM | 2023 | 2022 | 2021 | |
|---|---|---|---|---|
SEPZ TrueShares Structured Outcome (September) ETF | 3.00% | 3.55% | 0.69% | 0.05% |
PHEQ Parametric Hedged Equity ETF | 2.27% | 1.72% | 0.00% | 0.00% |
Drawdowns
SEPZ vs. PHEQ - Drawdown Comparison
The maximum SEPZ drawdown since its inception was -15.21%, which is greater than PHEQ's maximum drawdown of -4.11%. Use the drawdown chart below to compare losses from any high point for SEPZ and PHEQ. For additional features, visit the drawdowns tool.
Volatility
SEPZ vs. PHEQ - Volatility Comparison
TrueShares Structured Outcome (September) ETF (SEPZ) has a higher volatility of 3.13% compared to Parametric Hedged Equity ETF (PHEQ) at 1.83%. 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.