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Name

As of 07/24/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

Parametric Hedged Equity ETF

PHEQ | ETF

$27.90

$37 M

1.29%

$0.36

0.29%

Vitals

YTD Return

7.7%

1 yr return

N/A

3 Yr Avg Return

N/A

5 Yr Avg Return

N/A

Net Assets

$37 M

Holdings in Top 10

35.3%

52 WEEK LOW AND HIGH

$28.1
$24.07
$28.25

Expenses

OPERATING FEES

Expense Ratio 0.29%

SALES FEES

Front Load N/A

Deferred Load N/A

TRADING FEES

Turnover N/A

Redemption Fee N/A

Min Investment

Standard (Taxable)

N/A

IRA

N/A

Fund Classification

Fund Type

Exchange Traded Fund

Name

As of 07/24/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

Parametric Hedged Equity ETF

PHEQ | ETF

$27.90

$37 M

1.29%

$0.36

0.29%

PHEQ - Profile

Distributions

  • YTD Total Return 7.7%
  • 3 Yr Annualized Total Return N/A
  • 5 Yr Annualized Total Return N/A
  • Capital Gain Distribution Frequency N/A
  • Net Income Ratio N/A
DIVIDENDS
  • Dividend Yield 1.3%
  • Dividend Distribution Frequency Quarterly

Fund Details

  • Legal Name
    Parametric Hedged Equity ETF
  • Fund Family Name
    Morgan Stanley Funds
  • Inception Date
    Oct 19, 2023
  • Shares Outstanding
    N/A
  • Share Class
    N/A
  • Currency
    USD
  • Domiciled Country
    US

Fund Description

The Fund seeks to provide capital appreciation by investing its net assets in equity securities of certain U.S. large capitalization companies (the “Equity Portfolio”) that are constituents of the Solactive GBS US 500 (the “Equity Portfolio Index”) at the time of purchase.
Under normal circumstances, the Fund will invest at least 80% of its net assets (plus any borrowings for investment purposes) in equity securities.  This policy may be changed without shareholder approval; however, shareholders would be notified upon 60 days’ notice in writing of any changes.
Equity securities generally represent an ownership interest in an issuer, or may be convertible into or represent a right to acquire an ownership interest in an issuer. With respect to the Fund’s Equity Portfolio, the Fund invests primarily in common stock. The Fund’s performance will largely depend on the performance of the Equity Portfolio. The Equity Portfolio Index seeks to provide the returns of the 500 largest U.S. companies, as measured by market capitalization. The Equity Portfolio Index is comprised of the common stock of 500 U.S. companies ranked by total market capitalization in descending order. The constituents of the Equity Portfolio Index are weighted according to the securities’ free float market capitalization. The Equity Portfolio Index is rebalanced and reconstituted quarterly.
In constructing the Equity Portfolio, the Fund seeks to provide investment returns that are substantially similar to the Equity Portfolio Index while limiting the overlap between its investments that reflect constituents of the Equity Portfolio and the underlying constituents of the options in which the Fund invests (the “Options Portfolio”, as described in more detail below) to less than 70% on an ongoing basis in an effort to avoid being subject to the “straddle rules” under federal income tax law (see “Tax Risk” below). The Equity Portfolio weightings are determined via an optimization process intended to provide return and risk characteristics that
closely track those of the Equity Portfolio Index across key fundamental attributes such as value, growth, size, volatility, and momentum in addition to categorical attributes such as sector and industry. Through this optimization of holdings representing constituents of the Equity Portfolio Index, the Equity Portfolio is not expected to hold each of the constituents of the Equity Portfolio Index and the Fund’s investments that reflect constituents of the Equity Portfolio may be overweight or underweight as compared to the Equity Portfolio Index’s weighting.
The Fund expects that dividends received from its investment in equity securities that comprise the Equity Portfolio Index will be distributed to shareholders on a quarterly basis.
The Fund may incorporate tax loss harvesting within the Equity Portfolio to maximize realization of losses. Realized losses in the Equity Portfolio may be used to offset realized gains in the Options Portfolio and Equity Portfolio.
The Fund also pursues an option overlay hedging strategy that seeks to mitigate losses experienced by investors while foregoing some upside potential. In pursuing this strategy, the Fund will purchase and sell exchange-traded put options and sell exchange-traded call options, utilizing options based on the S&P 500® Index (“Underlying Index”). The combination of the Equity Portfolio and the Option Portfolio hedging strategy is intended to provide the Fund with a significant portion of returns associated with the Equity Portfolio Index, while exposing the Fund to less risk of loss than an investment in the constituents of the Equity Portfolio Index.
An options contract is an agreement between a buyer and seller that gives the purchaser of the option the right to buy (in the case of a call option), or to sell (in the case of a put option), a particular asset at an agreed upon price (commonly known as the “strike price”) at a specified future date.
The options overlay hedging strategy is constructed by buying a put option at a higher strike price (approximately 10% below the current price of the Underlying Index) while writing a put option at a relatively lower strike price (approximately 30% below the current price of the Underlying Index) and simultaneously selling a call option that substantially offsets the cost of the put option spread. This combined structure is known as a “put spread collar” strategy. While the put spread collar structure will have approximately zero net premium at its initiation, subsequent changes in the price of the Underlying Index, as well as other factors described below, will affect its ongoing (net market) value as well as each existing option’s moneyness (where moneyness refers to an option’s strike price divided by the current price of the Underlying Index, as a percentage).
The strategy is intended to provide the Fund with downside protection against general market movements, while foregoing some upside potential. Specifically, a put option spread seeks to protect the Fund against a decline in price, but only to the extent of the difference between the strike prices of the put option purchased and the put option sold. Entering into put option spreads is typically less expensive than a strategy of only purchasing put options and may benefit the Fund in a flat to upwardly moving market by reducing the cost of the downside protection; the downside protection of the put option spread, however, is limited as compared to just owning a put option. The premiums received from writing call options are intended to provide income which substantially offsets the cost of the put option spread, but writing the call options also reduces the Fund’s ability to profit from increases in the value of its Equity Portfolio beyond the strike price of the call option sold.
In implementing the option overlay hedging strategy, the Fund seeks to provide “laddered” hedge exposure. Laddering is an investment technique designed to diversify hedges and avoid the risk of reinvesting a large portion of assets in an unfavorable market environment and to create more opportunities to roll hedges (i.e., one option position expires and a new option position is opened in the same underlying security)  and secure gains during extended periods of market appreciation. To implement this technique, the Fund holds options for multiple one-year periods (each, a hedge period) staggered three-months apart with the goal of mitigating potential risks associated with only one hedge period. The Fund will seek to ladder its option hedges such that one structure expires and is rolled out another year at the end of each calendar quarter. Accordingly, each option hedge structure (i.e., put spread collar) will notionally cover approximately 25% of the Fund’s exposure to the Equity Portfolio. Upon expiry, each option hedge structure will be rolled out to the same month-end in the next calendar year. Laddering of hedge exposure results in downside protection and upside capture potential that is less explicit on any particular date than for hedges with a single hedge structure. The Fund may rebalance quarterly in alignment with the expiration of the option positions underlying the option hedge structure.
The value of the options in which the Fund invests is affected by changes in the value and dividend rates of the securities that comprise the Underlying Index (a large-cap, market-weighted, U.S. equities index), changes in interest rates, changes in the actual or perceived volatility of the Underlying Index, and the remaining time to the options’ expiration, as well as trading conditions in the options market and other market factors.
Read More

PHEQ - Performance

Return Ranking - Trailing

Period PHEQ Return Category Return Low Category Return High Rank in Category (%)
YTD 7.7% N/A N/A N/A
1 Yr N/A N/A N/A N/A
3 Yr N/A* N/A N/A N/A
5 Yr N/A* N/A N/A N/A
10 Yr N/A* N/A N/A N/A

* Annualized

Return Ranking - Calendar

Period PHEQ Return Category Return Low Category Return High Rank in Category (%)
2023 N/A N/A N/A N/A
2022 N/A N/A N/A N/A
2021 N/A N/A N/A N/A
2020 N/A N/A N/A N/A
2019 N/A N/A N/A N/A

Total Return Ranking - Trailing

Period PHEQ Return Category Return Low Category Return High Rank in Category (%)
YTD 7.7% N/A N/A N/A
1 Yr N/A N/A N/A N/A
3 Yr N/A* N/A N/A N/A
5 Yr N/A* N/A N/A N/A
10 Yr N/A* N/A N/A N/A

* Annualized

Total Return Ranking - Calendar

Period PHEQ Return Category Return Low Category Return High Rank in Category (%)
2023 N/A N/A N/A N/A
2022 N/A N/A N/A N/A
2021 N/A N/A N/A N/A
2020 N/A N/A N/A N/A
2019 N/A N/A N/A N/A

PHEQ - Holdings

Concentration Analysis

PHEQ Category Low Category High PHEQ % Rank
Net Assets 37 M N/A N/A N/A
Number of Holdings 235 N/A N/A N/A
Net Assets in Top 10 11.5 M N/A N/A N/A
Weighting of Top 10 35.33% N/A N/A N/A

Top 10 Holdings

  1. Microsoft Corp. 7.73%
  2. Apple, Inc. 6.35%
  3. NVIDIA Corp. 5.34%
  4. Amazon.com, Inc. 4.06%
  5. Meta Platforms, Inc., Class A 2.62%
  6. Alphabet, Inc., Class A 2.24%
  7. Alphabet, Inc., Class C 1.97%
  8. Eli Lilly Co. 1.72%
  9. JPMorgan Chase Co. 1.70%
  10. Berkshire Hathaway, Inc., Class B 1.60%

Asset Allocation

Weighting Return Low Return High PHEQ % Rank
Stocks 		107.50% N/A N/A N/A
Cash 		1.42% N/A N/A N/A
Preferred Stocks 		0.00% N/A N/A N/A
Convertible Bonds 		0.00% N/A N/A N/A
Bonds 		0.00% N/A N/A N/A
Other 		-8.92% N/A N/A N/A

Stock Sector Breakdown

Weighting Return Low Return High PHEQ % Rank
Utilities 		0.00% N/A N/A N/A
Technology 		0.00% N/A N/A N/A
Real Estate 		0.00% N/A N/A N/A
Industrials 		0.00% N/A N/A N/A
Healthcare 		0.00% N/A N/A N/A
Financial Services 		0.00% N/A N/A N/A
Energy 		0.00% N/A N/A N/A
Communication Services 		0.00% N/A N/A N/A
Consumer Defense 		0.00% N/A N/A N/A
Consumer Cyclical 		0.00% N/A N/A N/A
Basic Materials 		0.00% N/A N/A N/A

Stock Geographic Breakdown

Weighting Return Low Return High PHEQ % Rank
US 		107.50% N/A N/A N/A
Non US 		0.00% N/A N/A N/A

PHEQ - Expenses

Operational Fees

PHEQ Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 0.29% N/A N/A N/A
Management Fee 0.29% N/A N/A N/A
12b-1 Fee N/A N/A N/A N/A
Administrative Fee N/A N/A N/A N/A

Sales Fees

PHEQ Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A N/A N/A N/A
Deferred Load N/A N/A N/A N/A

Trading Fees

PHEQ Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Max Redemption Fee N/A N/A N/A N/A

Related Fees

Turnover provides investors a proxy for the trading fees incurred by mutual fund managers who frequently adjust position allocations. Higher turnover means higher trading fees.

PHEQ Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover N/A N/A N/A N/A

PHEQ - Distributions

Dividend Yield Analysis

PHEQ Category Low Category High PHEQ % Rank
Dividend Yield 1.29% N/A N/A N/A

Dividend Distribution Analysis

PHEQ Category Low Category High Category Mod
Dividend Distribution Frequency Quarterly

Net Income Ratio Analysis

PHEQ Category Low Category High PHEQ % Rank
Net Income Ratio N/A N/A N/A N/A

Capital Gain Distribution Analysis

PHEQ Category Low Category High Capital Mode
Capital Gain Distribution Frequency

Distributions History

View More +

PHEQ - Fund Manager Analysis

Tenure Analysis

Category Low Category High Category Average Category Mode
N/A N/A N/A N/A

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