TAIL vs. PHDG
TAIL (Cambria Tail Risk ETF) and PHDG (Invesco S&P 500 Downside Hedged ETF) are both Equity Hedged funds. TAIL is actively managed, while PHDG is passively managed. Over the past 5 years, TAIL returned -9.07%/yr vs 4.25%/yr for PHDG. Their -0.35 correlation means they have often moved in opposite directions in the past. TAIL charges 0.59%/yr vs 0.39%/yr for PHDG.
Performance
TAIL vs. PHDG - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, TAIL achieves a -8.13% return, which is significantly lower than PHDG's 10.21% return.
TAIL
- 1D
- -0.57%
- 1M
- -1.69%
- 6M
- -7.65%
- YTD
- -8.13%
- 1Y
- -11.00%
- 3Y*
- -4.90%
- 5Y*
- -9.07%
- 10Y*
- —
- ALL TIME*
- -7.28%
PHDG
- 1D
- 0.50%
- 1M
- 0.03%
- 6M
- 8.71%
- YTD
- 10.21%
- 1Y
- 18.23%
- 3Y*
- 8.48%
- 5Y*
- 4.25%
- 10Y*
- 7.28%
- ALL TIME*
- 5.61%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.18M | $678.43K | $904.25K | |
| $1.12M | $1.66M | $2.24M |
TAIL vs. PHDG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TAIL Cambria Tail Risk ETF | -8.13% | 5.48% | -9.62% | -13.29% | -13.13% | -12.81% | 6.91% | -14.27% | 2.85% | -7.55% |
PHDG Invesco S&P 500 Downside Hedged ETF | 10.21% | 2.72% | 10.95% | 8.18% | -14.09% | 15.67% | 18.97% | 8.57% | -2.44% | 8.77% |
Correlation
The correlation between TAIL and PHDG is -0.29, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.29 |
Correlation (3Y) Balances recent behavior with more history. | -0.23 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.34 |
Correlation (All Time) Calculated using the full available price history since Jun 13, 2017 | -0.35 |
The correlation between TAIL and PHDG shifts across timeframes, from -0.35 (all time) to -0.23 (3 years), reflecting how their relationship changes across market environments.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
TAIL vs. PHDG — Risk / Return Rank
TAIL
PHDG
TAIL vs. PHDG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Cambria Tail Risk ETF (TAIL) 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.
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.
| TAIL | PHDG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.55 | ||
| Sortino ratioReturn per unit of downside risk | -3.60 | ||
| Omega ratioGain probability vs. loss probability | 0.82 | 1.29 | -0.47 |
| Calmar ratioReturn relative to maximum drawdown | -0.74 | 2.46 | -3.20 |
| Martin ratioReturn relative to average drawdown | -1.52 | 7.58 | -9.10 |
Loading charts...
Drawdowns
TAIL vs. PHDG - Drawdown Comparison
The maximum TAIL drawdown since its inception was -52.57%, which is greater than PHDG's maximum drawdown of -17.70%. Use the drawdown chart below to compare losses from any high point for TAIL and PHDG.
Loading charts...
Drawdown Indicators
| TAIL | PHDG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -52.57% | -17.70% | -34.87% |
Max Drawdown (1Y)Largest decline over 1 year | -12.68% | -6.78% | -5.90% |
Max Drawdown (3Y)Largest decline over 3 years | -22.20% | -14.78% | -7.42% |
Max Drawdown (5Y)Largest decline over 5 years | -38.03% | -17.06% | -20.97% |
Max Drawdown (10Y)Largest decline over 10 years | — | -17.06% | — |
Current DrawdownCurrent decline from peak | -52.57% | -5.31% | -47.26% |
Average DrawdownAverage peak-to-trough decline | -29.50% | -6.23% | -23.27% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.16% | 2.20% | +3.96% |
Volatility
TAIL vs. PHDG - Volatility Comparison
The current volatility for Cambria Tail Risk ETF (TAIL) is 1.80%, while Invesco S&P 500 Downside Hedged ETF (PHDG) has a volatility of 2.51%. This indicates that TAIL experiences smaller price fluctuations and is considered to be less risky than PHDG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| TAIL | PHDG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.80% | 2.51% | -0.71% |
Volatility (6M)Calculated over the trailing 6-month period | 6.72% | 9.48% | -2.76% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.59% | 11.50% | -2.91% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.88% | 11.39% | +3.49% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.84% | 12.11% | +2.73% |
TAIL vs. PHDG - Expense Ratio Comparison
TAIL has a 0.59% expense ratio, which is higher than PHDG's 0.39% expense ratio.
Dividends
TAIL vs. PHDG - Dividend Comparison
TAIL's dividend yield for the trailing twelve months is around 2.99%, more than PHDG's 1.68% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PHDG Invesco S&P 500 Downside Hedged ETF | 1.68% | 2.10% | 1.94% | 1.93% | 1.35% | 0.44% | 0.63% | 1.80% | 1.56% | 1.83% | 2.29% | 1.64% |
TAIL Cambria Tail Risk ETF | 2.99% | 2.88% | 3.48% | 3.74% | 1.50% | 0.49% | 0.36% | 1.58% | 1.52% | 0.91% | 0.00% | 0.00% |
Frequently Asked Questions
TAIL and PHDG have a correlation of -0.29, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PHDG has higher volatility (2.51%) compared to TAIL (1.80%). In terms of maximum drawdown, TAIL dropped -52.57% vs PHDG's -17.70%.
On 5-year performance, PHDG leads with 4.25% vs -9.07% for TAIL. On fees, PHDG is cheaper at 0.39% per year. On volatility, TAIL has been the lower-risk option at 1.80%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, PHDG has performed better with a 4.25% return vs -9.07%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
PHDG is cheaper with a 0.39% expense ratio, compared with 0.59% for TAIL.
TAIL has the higher dividend yield at 2.99%, compared with 1.68% for PHDG.
They also come from different issuers: Cambria and Invesco. Their fees differ too: 0.59% for TAIL and 0.39% for PHDG.
PHDG currently has the higher Sharpe Ratio (1.45 vs -1.09), 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.
Find the right allocation for TAIL and PHDG
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer