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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Innovator Equity Defined Protection ETF – 2 Yr to July 2025, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
Innovator Equity Defined Protection ETF – 2 Yr to July 2025 (TJUL) has returned -0.77% so far this year and 4.64% over the past 12 months.
Innovator Equity Defined Protection ETF – 2 Yr to July 2025
- 1D
- 0.58%
- 1M
- -1.27%
- YTD
- -0.77%
- 6M
- 0.26%
- 1Y
- 4.64%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Jul 18, 2023, TJUL's average daily return is +0.02%, while the average monthly return is +0.50%. At this rate, your investment would double in approximately 11.6 years.
Historically, 76% of months were positive and 24% were negative. The best month was Nov 2023 with a return of +3.7%, while the worst month was Sep 2023 at -1.8%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.
On a daily basis, TJUL closed higher 57% of trading days. The best single day was Apr 9, 2025 with a return of +3.2%, while the worst single day was Apr 4, 2025 at -2.2%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.37% | 0.13% | -1.27% | -0.77% | |||||||||
| 2025 | 0.94% | 0.23% | -0.12% | -0.07% | 1.64% | 0.67% | 0.25% | 1.04% | 0.78% | 0.43% | 0.32% | 0.29% | 6.55% |
| 2024 | 0.53% | 1.09% | 0.86% | -1.01% | 1.75% | 1.06% | 0.79% | 1.12% | 0.53% | -0.11% | 1.20% | 0.11% | 8.18% |
| 2023 | 0.12% | -0.29% | -1.80% | -0.66% | 3.71% | 2.03% | 3.05% |
Benchmark Metrics
Innovator Equity Defined Protection ETF – 2 Yr to July 2025 has an annualized alpha of 2.68%, beta of 0.24, and R² of 0.73 versus S&P 500 Index. Calculated based on daily prices since July 19, 2023.
- This ETF participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (27.36%) than losses (16.83%) — typical of diversified or defensive assets.
- This ETF generated an annualized alpha of 2.68% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- Beta of 0.24 indicates this ETF moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 2.68%
- Beta
- 0.24
- R²
- 0.73
- Upside Capture
- 27.36%
- Downside Capture
- 16.83%
Expense Ratio
TJUL has an expense ratio of 0.79%, placing it in the medium range.
Return for Risk
Risk / Return Rank
TJUL ranks 50 for risk / return — on par with similar ETFs. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Innovator Equity Defined Protection ETF – 2 Yr to July 2025 (TJUL) and compare them to a chosen benchmark (S&P 500 Index).
| TJUL | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.84 | 0.90 | -0.06 |
Sortino ratioReturn per unit of downside risk | 1.26 | 1.39 | -0.12 |
Omega ratioGain probability vs. loss probability | 1.22 | 1.21 | +0.01 |
Calmar ratioReturn relative to maximum drawdown | 1.14 | 1.40 | -0.26 |
Martin ratioReturn relative to average drawdown | 6.75 | 6.61 | +0.14 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore TJUL risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
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 Innovator Equity Defined Protection ETF – 2 Yr to July 2025. 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 Innovator Equity Defined Protection ETF – 2 Yr to July 2025 was 4.61%, occurring on Apr 8, 2025. Recovery took 21 trading sessions.
The current Innovator Equity Defined Protection ETF – 2 Yr to July 2025 drawdown is 1.44%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -4.61% | Feb 20, 2025 | 34 | Apr 8, 2025 | 21 | May 8, 2025 | 55 |
| -3.09% | Jul 21, 2023 | 70 | Oct 27, 2023 | 13 | Nov 15, 2023 | 83 |
| -2.08% | Jan 29, 2026 | 41 | Mar 27, 2026 | — | — | — |
| -1.59% | Jul 17, 2024 | 14 | Aug 5, 2024 | 6 | Aug 13, 2024 | 20 |
| -1.28% | Apr 1, 2024 | 15 | Apr 19, 2024 | 14 | May 9, 2024 | 29 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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