- Issuer
- TrueShares
- Inception Date
- Aug 31, 2020
- Region
- North America (U.S.)
- Category
- Options Trading
- Leveraged
- 1x (No leverage)
- Index Tracked
- Cboe S&P 500 Buffer Protect Index September
- Distribution Policy
- Distributing
- Asset Class
- Alternatives
- Assets Under Management
- $128M
Highlights
- Avg. Volume (1M)
- 6K
- Avg. Volume Value (1M)
- $255.91K
Share Price Chart
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Performance
SEPZ Performance Chart
TrueShares Structured Outcome (September) ETF (SEPZ) is up 7.1% since the beginning of the year. SEPZ is currently trading at $45 per share. Investors who bought $1,000 worth of SEPZ shares 5 years ago would now be looking at an investment worth $1,653.
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Returns By Period
TrueShares Structured Outcome (September) ETF (SEPZ) has returned 7.08% so far this year and 16.22% over the past 12 months.
TrueShares Structured Outcome (September) ETF
- 1D
- 0.59%
- 1M
- -0.07%
- 6M
- 6.07%
- YTD
- 7.08%
- 1Y
- 16.22%
- 3Y*
- 14.12%
- 5Y*
- 10.57%
- 10Y*
- —
- ALL TIME*
- 12.40%
Benchmark (S&P 500 Index)
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
SEPZ Monthly Returns History
Based on dividend-adjusted daily data since Sep 1, 2020, SEPZ's average daily return is +0.05%, while the average monthly return is +1.03%. At this rate, an investment would double in approximately 5.6 years.
Historically, 62% of months were positive and 38% were negative. The best month was Nov 2020 with a return of +8.9%, while the worst month was Sep 2022 at -7.2%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.
On a daily basis, SEPZ closed higher 54% of trading days. The best single day was Apr 9, 2025 with a return of +7.3%, while the worst single day was Apr 4, 2025 at -4.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.95% | -1.17% | -3.68% | 8.12% | 4.67% | -1.13% | -0.42% | 7.08% | |||||
| 2025 | 2.12% | -1.08% | -4.19% | -0.36% | 4.35% | 3.78% | 1.66% | 1.64% | 2.82% | 1.80% | -0.02% | 0.22% | 13.18% |
| 2024 | 1.21% | 4.13% | 2.55% | -3.33% | 3.79% | 2.99% | 0.93% | 1.96% | 1.29% | -0.59% | 4.50% | -2.23% | 18.23% |
| 2023 | 4.15% | -1.30% | 2.13% | 1.01% | 0.36% | 4.73% | 2.09% | -0.89% | -3.69% | -1.22% | 6.27% | 3.44% | 17.94% |
| 2022 | -3.75% | -1.94% | 2.71% | -5.85% | 1.04% | -4.84% | 6.97% | -0.61% | -7.24% | 5.85% | 3.84% | -3.83% | -8.51% |
| 2021 | -0.68% | 2.21% | 3.18% | 4.29% | 0.44% | 1.90% | 1.96% | 2.93% | -3.47% | 4.89% | -0.72% | 3.30% | 21.83% |
Benchmark Metrics
TrueShares Structured Outcome (September) ETF has an annualized alpha of 2.12%, beta of 0.73, and R2 of 0.96 versus S&P 500 Index. Calculated based on daily prices since September 01, 2020.
- This ETF participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (74.03%) than losses (72.55%) - typical of diversified or defensive assets.
- This ETF generated an annualized alpha of 2.12% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Alpha
- 2.12%
- Beta
- 0.73
- R²
- 0.96
- Upside Capture
- 74.03%
- Downside Capture
- 72.55%
Expense Ratio
SEPZ has an expense ratio of 0.80%, placing it in the medium range.
Return for Risk
Risk / Return Rank
SEPZ ranks 54 for risk / return — above 54% of ETFs peers on PortfoliosLab. Its historical combined result is near the middle of the peer group.
Risk / Return Metrics
The table below present risk-adjusted performance metrics for TrueShares Structured Outcome (September) ETF (SEPZ) and compare them to S&P 500 Index.
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.
| SEPZ | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.12 | ||
| Sortino ratioReturn per unit of downside risk | -0.10 | ||
| Omega ratioGain probability vs. loss probability | 1.23 | 1.25 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 1.95 | 2.00 | -0.06 |
| Martin ratioReturn relative to average drawdown | 7.79 | 8.49 | -0.70 |
Dividends
Dividend History
TrueShares Structured Outcome (September) ETF provided a 2.05% dividend yield over the last twelve months, with an annual payout of $0.93 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
| Dividend | $0.93 | $0.93 | $1.38 | $1.19 | $0.20 | $0.02 |
Dividend yield | 2.05% | 2.20% | 3.62% | 3.55% | 0.69% | 0.05% |
Monthly Dividends
The table displays the monthly dividend distributions for TrueShares Structured Outcome (September) ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | |||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.93 | $0.93 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.38 | $1.38 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.19 | $1.19 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.20 | $0.20 |
| 2021 | $0.02 | $0.02 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the TrueShares Structured Outcome (September) ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the TrueShares Structured Outcome (September) ETF was 15.22%, occurring on Jun 16, 2022. Recovery took 248 trading sessions.
The current TrueShares Structured Outcome (September) ETF drawdown is 1.89%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-15.22%Jun 2022 | 5mo 12d | 12mo 2d | 1y 5moJan 2022 - Jun 2023 | Bear market2022 |
-14.57%Apr 2025 | 1mo 17d | 2mo 19d | 4mo 6dFeb 2025 - Jun 2025 | 2025 selloff2025 |
-7.57%Sep 2020 | 20d | 1mo 21d | 2mo 11dSep 2020 - Nov 2020 | — |
-7.30%Mar 2026 | 2mo 16d | 16d | 3mo 2dJan 2026 - Apr 2026 | — |
-7.03%Aug 2024 | 19d | 1mo 15d | 2mo 4dJul 2024 - Sep 2024 | — |
Drawdown Indicators
| SEPZ | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.22% | -56.78% | +41.56% |
Max Drawdown (1Y)Largest decline over 1 year | -7.30% | -9.10% | +1.80% |
Max Drawdown (3Y)Largest decline over 3 years | -14.57% | -18.90% | +4.33% |
Max Drawdown (5Y)Largest decline over 5 years | -15.22% | -25.43% | +10.21% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -1.89% | -1.58% | -0.31% |
Average DrawdownAverage peak-to-trough decline | -2.82% | -10.70% | +7.88% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.82% | 2.14% | -0.32% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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