- ISIN
- US45784N1063
- CUSIP
- 45784N106
- Issuer
- Innovator
- Inception Date
- Sep 1, 2024
- Category
- Defined Outcome
- Leveraged
- 1x (No leverage)
- Index Tracked
- No Index (Active)
- Domicile
- United States
- Distribution Policy
- Accumulating
- Asset Class
- Equity
- Asset Class Size
- Large-Cap
- Asset Class Style
- Blend
Share Price Chart
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Performance
ZSEP Performance Chart
Innovator Equity Defined Protection ETF - 1 Yr September (ZSEP) is up 2.7% since the beginning of the year. ZSEP is currently trading at $28 per share.
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Returns By Period
Innovator Equity Defined Protection ETF - 1 Yr September (ZSEP) has returned 2.69% so far this year and 7.42% over the past 12 months.
Innovator Equity Defined Protection ETF - 1 Yr September
- 1D
- 0.02%
- 1M
- 0.27%
- YTD
- 2.69%
- 6M
- 2.84%
- 1Y
- 7.42%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- -0.37%
- 1M
- -0.01%
- YTD
- 9.16%
- 6M
- 8.64%
- 1Y
- 25.22%
- 3Y*
- 19.78%
- 5Y*
- 11.99%
- 10Y*
- 13.88%
ZSEP Monthly Returns History
Based on dividend-adjusted daily data since Sep 3, 2024, ZSEP's average daily return is +0.02%, while the average monthly return is +0.49%. At this rate, an investment would double in approximately 11.8 years.
Historically, 77% of months were positive and 23% were negative. The best month was May 2025 with a return of +2.1%, while the worst month was Mar 2025 at -1.3%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 2 months.
On a daily basis, ZSEP closed higher 58% of trading days. The best single day was Apr 9, 2025 with a return of +1.5%, while the worst single day was Apr 3, 2025 at -1.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.37% | 0.11% | -0.70% | 1.99% | 0.84% | 0.05% | 2.69% | ||||||
| 2025 | 0.76% | -0.02% | -1.34% | 0.11% | 2.11% | 1.59% | 0.84% | 0.80% | 0.69% | 0.38% | 0.24% | 0.47% | 6.78% |
| 2024 | 0.57% | -0.32% | 1.31% | -0.14% | 1.42% |
Benchmark Metrics
Innovator Equity Defined Protection ETF - 1 Yr September has an annualized alpha of 3.07%, beta of 0.17, and R2 of 0.77 versus S&P 500 Index. Calculated based on daily prices since September 03, 2024.
- This ETF participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (22.21%) than losses (10.44%) - typical of diversified or defensive assets.
- This ETF generated an annualized alpha of 3.07% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Beta of 0.17 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
- 3.07%
- Beta
- 0.17
- R²
- 0.77
- Upside Capture
- 22.21%
- Downside Capture
- 10.44%
Expense Ratio
ZSEP has an expense ratio of 0.79%, placing it in the medium range.
Return for Risk
Risk / Return Rank
ZSEP ranks 93 for risk / return — in the top 93% of ETFs on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Innovator Equity Defined Protection ETF - 1 Yr September (ZSEP) 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.
| ZSEP | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.05 | ||
| Sortino ratioReturn per unit of downside risk | +1.97 | ||
| Omega ratioGain probability vs. loss probability | 1.64 | 1.37 | +0.28 |
| Calmar ratioReturn relative to maximum drawdown | 5.14 | 2.78 | +2.36 |
| Martin ratioReturn relative to average drawdown | 26.26 | 12.44 | +13.83 |
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 - 1 Yr September. 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 - 1 Yr September was 3.97%, occurring on Apr 8, 2025. Recovery took 26 trading sessions.
The current Innovator Equity Defined Protection ETF - 1 Yr September drawdown is 0.15%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2025 selloff2025 | -3.97%Apr 2025 | 1mo 17d | 1mo 7d | 2mo 24dFeb 2025 - May 2025 |
2026 pullback2026 | -1.45%Mar 2026 | 1mo 1d | 10d | 1mo 11dFeb 2026 - Apr 2026 |
2024 pullback2024 | -0.93%Sep 2024 | 3d | 10d | 13dSep 2024 - Sep 2024 |
2025 pullback2025 | -0.81%Nov 2025 | 7d | 6d | 13dNov 2025 - Nov 2025 |
2025 selloff2025 | -0.71%May 2025 | 3d | 10d | 13dMay 2025 - Jun 2025 |
Drawdown Indicators
| ZSEP | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -3.97% | -56.78% | +52.81% |
Max Drawdown (1Y)Largest decline over 1 year | -1.45% | -9.10% | +7.65% |
Max Drawdown (3Y)Largest decline over 3 years | — | -18.90% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -25.43% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -0.15% | -1.80% | +1.65% |
Average DrawdownAverage peak-to-trough decline | -0.36% | -10.71% | +10.35% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.28% | 2.03% | -1.75% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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