TJAN vs. PHEQ

Last updated Jun 6, 2026

TJAN (Innovator Equity Defined Protection ETF - 2 Yr To January 2027) and PHEQ (Parametric Hedged Equity ETF) are both Options Trading funds. Both are actively managed. Over the past year, TJAN returned 7.84% vs 15.83% for PHEQ. Their correlation of 0.81 suggests significant overlap in exposure. TJAN charges 0.79%/yr vs 0.29%/yr for PHEQ.

Performance

TJAN vs. PHEQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Innovator Equity Defined Protection ETF - 2 Yr To January 2027 (TJAN) 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, TJAN achieves a 2.43% return, which is significantly lower than PHEQ's 5.06% return.

TJAN

• 1D: -0.36%
• 1M: 0.25%
• YTD: 2.43%
• 6M: 2.81%
• 1Y: 7.84%
• 3Y*: —
• 5Y*: —
• 10Y*: —

PHEQ

• 1D: -0.82%
• 1M: 0.58%
• YTD: 5.06%
• 6M: 5.59%
• 1Y: 15.83%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

TJAN vs. PHEQ - Yearly Performance Comparison

	2026 (YTD)	2025
TJAN Innovator Equity Defined Protection ETF - 2 Yr To January 2027	2.43%	7.40%
PHEQ Parametric Hedged Equity ETF	5.06%	11.82%

Correlation

The correlation between TJAN and PHEQ is 0.79, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.79
Correlation (All Time) Calculated using the full available price history since Jan 3, 2025	0.81

The correlation between TJAN and PHEQ has been stable across timeframes, ranging from 0.79 to 0.81 - a consistent structural relationship.

Return for Risk

TJAN vs. PHEQ — Risk / Return Rank

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

TJAN

TJAN Risk / Return Rank: 89
TJAN Sharpe Ratio Rank: 89
TJAN Sortino Ratio Rank: 93
TJAN Omega Ratio Rank: 92
TJAN Calmar Ratio Rank: 77
TJAN Martin Ratio Rank: 90

PHEQ

PHEQ Risk / Return Rank: 84
PHEQ Sharpe Ratio Rank: 82
PHEQ Sortino Ratio Rank: 87
PHEQ Omega Ratio Rank: 86
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.

TJAN vs. PHEQ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Innovator Equity Defined Protection ETF - 2 Yr To January 2027 (TJAN) 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.

	TJAN	PHEQ	Difference
Sharpe ratio: Return per unit of total volatility	2.84	2.57	+0.26
Sortino ratio: Return per unit of downside risk	4.42	3.82	+0.59
Omega ratio: Gain probability vs. loss probability	1.59	1.51	+0.08
Calmar ratio: Return relative to maximum drawdown	3.74	3.73	+0.01
Martin ratio: Return relative to average drawdown	19.86	17.04	+2.83
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

TJAN vs. PHEQ - Sharpe Ratio Comparison

The current TJAN Sharpe Ratio is 2.84, which is comparable to the PHEQ Sharpe Ratio of 2.57. The chart below compares the historical Sharpe Ratios of TJAN 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.

Sharpe Ratios by Period

	TJAN	PHEQ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.84	2.57	+0.26
Sharpe Ratio (All Time) Calculated using the full available price history	1.59	1.76	-0.18

Drawdowns

TJAN vs. PHEQ - Drawdown Comparison

The maximum TJAN drawdown since its inception was -4.83%, smaller than the maximum PHEQ drawdown of -12.55%. Use the drawdown chart below to compare losses from any high point for TJAN and PHEQ.

Drawdown Indicators

	TJAN	PHEQ	Difference
Max Drawdown Largest peak-to-trough decline	-4.83%	-12.55%	+7.72%
Max Drawdown (1Y) Largest decline over 1 year	-2.10%	-4.26%	+2.16%
Current Drawdown Current decline from peak	-0.36%	-0.82%	+0.46%
Average Drawdown Average peak-to-trough decline	-0.44%	-0.97%	+0.53%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.40%	0.93%	-0.53%

Volatility

TJAN vs. PHEQ - Volatility Comparison

The current volatility for Innovator Equity Defined Protection ETF - 2 Yr To January 2027 (TJAN) is 0.47%, while Parametric Hedged Equity ETF (PHEQ) has a volatility of 1.36%. This indicates that TJAN experiences smaller price fluctuations and is considered to be less risky than PHEQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	TJAN	PHEQ	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.47%	1.36%	-0.89%
Volatility (6M) Calculated over the trailing 6-month period	2.16%	4.65%	-2.49%
Volatility (1Y) Calculated over the trailing 1-year period	2.79%	6.19%	-3.40%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.41%	8.62%	-4.21%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.41%	8.62%	-4.21%

TJAN vs. PHEQ - Expense Ratio Comparison

TJAN has a 0.79% expense ratio, which is higher than PHEQ's 0.29% expense ratio.

Dividends

TJAN vs. PHEQ - Dividend Comparison

TJAN has not paid dividends to shareholders, while PHEQ's dividend yield for the trailing twelve months is around 1.03%.

Position	TTM	2025	2024	2023
PHEQ Parametric Hedged Equity ETF	1.03%	1.19%	1.39%	1.73%
TJAN Innovator Equity Defined Protection ETF - 2 Yr To January 2027	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both TJAN and PHEQ in my portfolio?

TJAN and PHEQ have a correlation of 0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, TJAN or PHEQ?

PHEQ has higher volatility (1.36%) compared to TJAN (0.47%). In terms of maximum drawdown, TJAN dropped -4.83% vs PHEQ's -12.55%.

Which ETF is better, TJAN or PHEQ?

On 1-year performance, PHEQ leads with 15.83% vs 7.84% for TJAN. On fees, PHEQ is cheaper at 0.29% per year. On volatility, TJAN has been the lower-risk option at 0.47%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, TJAN or PHEQ?

Over the 1-year period, PHEQ has performed better with a 15.83% return vs 7.84%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, TJAN or PHEQ?

PHEQ is cheaper with a 0.29% expense ratio, compared with 0.79% for TJAN.

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

PHEQ has the higher dividend yield at 1.03%, compared with 0.00% for TJAN.

What is the main difference between TJAN and PHEQ?

They also come from different issuers: Innovator and Parametric. Their fees differ too: 0.79% for TJAN and 0.29% for PHEQ.

Which has better risk-adjusted returns?

TJAN currently has the higher Sharpe Ratio (2.84 vs 2.57), 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.