SPYH vs. PEPS

Last updated Aug 2, 2026

SPYH (NEOS S&P 500 Hedged Equity Income ETF) and PEPS (Parametric Equity Plus ETF) are both Derivative Income funds. Both are actively managed. Over the past year, SPYH returned 14.86% vs 24.79% for PEPS. Their 0.98 correlation means they have historically moved very closely together. SPYH charges 0.68%/yr vs 0.10%/yr for PEPS.

Performance

SPYH vs. PEPS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NEOS S&P 500 Hedged Equity Income ETF (SPYH) and Parametric Equity Plus ETF (PEPS). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SPYH achieves a 5.96% return, which is significantly lower than PEPS's 10.53% return.

SPYH

• 1D: 0.69%
• 1M: 0.68%
• 6M: 4.69%
• YTD: 5.96%
• 1Y: 14.86%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 19.88%

PEPS

• 1D: 0.81%
• 1M: 0.80%
• 6M: 8.59%
• YTD: 10.53%
• 1Y: 24.79%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 17.01%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
PEPS Parametric Equity Plus ETF	$5.31K	$5.85K	$15.49K
SPYH NEOS S&P 500 Hedged Equity Income ETF	$472.46K	$589.47K	$594.95K

SPYH vs. PEPS - Yearly Performance Comparison

	2026 (YTD)	2025
SPYH NEOS S&P 500 Hedged Equity Income ETF	5.96%	20.01%
PEPS Parametric Equity Plus ETF	10.53%	25.23%

Correlation

The correlation between SPYH and PEPS is 0.98 - they have historically moved very closely together. At this level, their price movements offset little of one another.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.98
Correlation (All Time) Calculated using the full available price history since Apr 3, 2025	0.98

The correlation between SPYH and PEPS has been stable across timeframes, ranging from 0.98 to 0.98 - a consistent structural relationship.

Return for Risk

SPYH vs. PEPS — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

SPYH

SPYH Risk / Return Rank: 70
SPYH Sharpe Ratio Rank: 70
SPYH Sortino Ratio Rank: 67
SPYH Omega Ratio Rank: 70
SPYH Calmar Ratio Rank: 65
SPYH Martin Ratio Rank: 79

PEPS

PEPS Risk / Return Rank: 70
PEPS Sharpe Ratio Rank: 70
PEPS Sortino Ratio Rank: 65
PEPS Omega Ratio Rank: 68
PEPS Calmar Ratio Rank: 66
PEPS Martin Ratio Rank: 79

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

SPYH vs. PEPS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for NEOS S&P 500 Hedged Equity Income ETF (SPYH) and Parametric Equity Plus ETF (PEPS). 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.

	SPYH	PEPS	Difference
Sharpe ratio: Return per unit of total volatility	1.60	1.60	0.00
Sortino ratio: Return per unit of downside risk	2.20	2.16	+0.04
Omega ratio: Gain probability vs. loss probability	1.29	1.29	+0.01
Calmar ratio: Return relative to maximum drawdown	2.28	2.31	-0.04
Martin ratio: Return relative to average drawdown	10.14	10.10	+0.04

SPYH vs. PEPS - Sharpe Ratio Comparison

The current SPYH Sharpe Ratio is 1.60, which is comparable to the PEPS Sharpe Ratio of 1.60. The chart below compares the historical Sharpe Ratios of SPYH and PEPS, 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

SPYH vs. PEPS - Drawdown Comparison

The maximum SPYH drawdown since its inception was -7.22%, smaller than the maximum PEPS drawdown of -21.26%. Use the drawdown chart below to compare losses from any high point for SPYH and PEPS.

Drawdown Indicators

	SPYH	PEPS	Difference
Max Drawdown Largest peak-to-trough decline	-7.22%	-21.26%	+14.04%
Max Drawdown (1Y) Largest decline over 1 year	-6.02%	-9.80%	+3.78%
Current Drawdown Current decline from peak	-0.37%	-0.66%	+0.29%
Average Drawdown Average peak-to-trough decline	-0.77%	-2.67%	+1.90%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.35%	2.24%	-0.89%

Volatility

SPYH vs. PEPS - Volatility Comparison

The current volatility for NEOS S&P 500 Hedged Equity Income ETF (SPYH) is 2.67%, while Parametric Equity Plus ETF (PEPS) has a volatility of 3.85%. This indicates that SPYH experiences smaller price fluctuations and is considered to be less risky than PEPS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SPYH	PEPS	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.67%	3.85%	-1.18%
Volatility (6M) Calculated over the trailing 6-month period	6.61%	11.00%	-4.39%
Volatility (1Y) Calculated over the trailing 1-year period	8.61%	14.21%	-5.60%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.17%	18.11%	-5.94%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.17%	18.11%	-5.94%

SPYH vs. PEPS - Expense Ratio Comparison

SPYH has a 0.68% expense ratio, which is higher than PEPS's 0.10% expense ratio.

Dividends

SPYH vs. PEPS - Dividend Comparison

SPYH's dividend yield for the trailing twelve months is around 7.71%, more than PEPS's 0.92% yield.

Position	TTM	2025	2024
PEPS Parametric Equity Plus ETF	0.92%	1.00%	0.17%
SPYH NEOS S&P 500 Hedged Equity Income ETF	7.71%	5.54%	0.00%

Frequently Asked Questions

Can I hold both SPYH and PEPS in my portfolio?

With a correlation of 0.98, SPYH and PEPS move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, SPYH or PEPS?

PEPS has higher volatility (3.85%) compared to SPYH (2.67%). In terms of maximum drawdown, SPYH dropped -7.22% vs PEPS's -21.26%.

Which ETF is better, SPYH or PEPS?

On 1-year performance, PEPS leads with 24.79% vs 14.86% for SPYH. On fees, PEPS is cheaper at 0.10% per year. On volatility, SPYH has been the lower-risk option at 2.67%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SPYH or PEPS?

Over the 1-year period, PEPS has performed better with a 24.79% return vs 14.86%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SPYH or PEPS?

PEPS is cheaper with a 0.10% expense ratio, compared with 0.68% for SPYH.

Which ETF pays a higher dividend yield, SPYH or PEPS?

SPYH has the higher dividend yield at 7.71%, compared with 0.92% for PEPS.

What is the main difference between SPYH and PEPS?

They also come from different issuers: Neos and Parametric. Their fees differ too: 0.68% for SPYH and 0.10% for PEPS.

Which has better risk-adjusted returns?

PEPS currently has the higher Sharpe Ratio (1.60 vs 1.60), 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.