AUGZ vs. SEPZ
AUGZ (TrueShares Structured Outcome (August) ETF) and SEPZ (TrueShares Structured Outcome (September) ETF) are both exchange-traded funds - AUGZ is a Defined Outcome fund tracking the S&P 500 Index, while SEPZ is a Options Trading fund tracking the Cboe S&P 500 Buffer Protect Index September. Both are passively managed. Over the past 5 years, AUGZ returned 10.53%/yr vs 11.30%/yr for SEPZ. With a 0.98 correlation, they move nearly in lockstep. AUGZ charges 0.79%/yr vs 0.80%/yr for SEPZ.
Performance
AUGZ vs. SEPZ - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with AUGZ having a 7.08% return and SEPZ slightly higher at 7.26%.
AUGZ
- 1D
- -0.39%
- 1M
- 0.08%
- YTD
- 7.08%
- 6M
- 6.74%
- 1Y
- 19.59%
- 3Y*
- 15.58%
- 5Y*
- 10.53%
- 10Y*
- —
SEPZ
- 1D
- -0.40%
- 1M
- -0.02%
- YTD
- 7.26%
- 6M
- 7.09%
- 1Y
- 19.88%
- 3Y*
- 15.61%
- 5Y*
- 11.30%
- 10Y*
- —
AUGZ vs. SEPZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
AUGZ TrueShares Structured Outcome (August) ETF | 7.08% | 13.49% | 17.99% | 17.32% | -10.41% | 20.74% | 6.14% |
SEPZ TrueShares Structured Outcome (September) ETF | 7.26% | 13.18% | 18.23% | 17.94% | -8.51% | 21.83% | 5.95% |
Correlation
The correlation between AUGZ and SEPZ is 0.95 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.95 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.97 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.97 |
Correlation (All Time) Calculated using the full available price history since Sep 1, 2020 | 0.98 |
The correlation between AUGZ and SEPZ has been stable across timeframes, ranging from 0.95 to 0.98 - a consistent structural relationship.
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Return for Risk
AUGZ vs. SEPZ — Risk / Return Rank
AUGZ
SEPZ
AUGZ vs. SEPZ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for TrueShares Structured Outcome (August) ETF (AUGZ) and TrueShares Structured Outcome (September) ETF (SEPZ). 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.
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.
| AUGZ | SEPZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.06 | ||
| Sortino ratioReturn per unit of downside risk | +0.01 | ||
| Omega ratioGain probability vs. loss probability | 1.35 | 1.34 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 2.72 | 2.74 | -0.01 |
| Martin ratioReturn relative to average drawdown | 11.29 | 11.88 | -0.60 |
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Drawdowns
AUGZ vs. SEPZ - Drawdown Comparison
The maximum AUGZ drawdown since its inception was -15.67%, roughly equal to the maximum SEPZ drawdown of -15.22%. Use the drawdown chart below to compare losses from any high point for AUGZ and SEPZ.
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Drawdown Indicators
| AUGZ | SEPZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.67% | -15.22% | -0.45% |
Max Drawdown (1Y)Largest decline over 1 year | -7.23% | -7.30% | +0.07% |
Max Drawdown (3Y)Largest decline over 3 years | -14.52% | -14.57% | +0.05% |
Max Drawdown (5Y)Largest decline over 5 years | -15.67% | -15.22% | -0.45% |
Current DrawdownCurrent decline from peak | -1.64% | -1.72% | +0.08% |
Average DrawdownAverage peak-to-trough decline | -3.10% | -2.83% | -0.27% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.74% | 1.68% | +0.06% |
Volatility
AUGZ vs. SEPZ - Volatility Comparison
TrueShares Structured Outcome (August) ETF (AUGZ) and TrueShares Structured Outcome (September) ETF (SEPZ) have volatilities of 3.84% and 3.92%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AUGZ | SEPZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.84% | 3.92% | -0.08% |
Volatility (6M)Calculated over the trailing 6-month period | 7.95% | 8.00% | -0.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.02% | 10.48% | -0.46% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.05% | 12.38% | -0.33% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.14% | 12.49% | -0.35% |
AUGZ vs. SEPZ - Expense Ratio Comparison
AUGZ has a 0.79% expense ratio, which is lower than SEPZ's 0.80% expense ratio.
Dividends
AUGZ vs. SEPZ - Dividend Comparison
AUGZ's dividend yield for the trailing twelve months is around 3.39%, more than SEPZ's 2.05% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
AUGZ TrueShares Structured Outcome (August) ETF | 3.39% | 3.63% | 4.08% | 3.42% | 0.41% | 0.00% |
SEPZ TrueShares Structured Outcome (September) ETF | 2.05% | 2.20% | 3.62% | 3.55% | 0.69% | 0.05% |
Frequently Asked Questions
With a correlation of 0.95, AUGZ and SEPZ move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
SEPZ has higher volatility (3.92%) compared to AUGZ (3.84%). In terms of maximum drawdown, AUGZ dropped -15.67% vs SEPZ's -15.22%.
On 5-year performance, SEPZ leads with 11.30% vs 10.53% for AUGZ. On fees, AUGZ is cheaper at 0.79% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, SEPZ has performed better with a 11.30% return vs 10.53%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
AUGZ is cheaper with a 0.79% expense ratio, compared with 0.80% for SEPZ.
AUGZ has the higher dividend yield at 3.39%, compared with 2.05% for SEPZ.
AUGZ is categorized as Defined Outcome, while SEPZ is Options Trading. AUGZ tracks S&P 500 Index, while SEPZ tracks Cboe S&P 500 Buffer Protect Index September. Their fees differ too: 0.79% for AUGZ and 0.80% for SEPZ.
AUGZ currently has the higher Sharpe Ratio (1.97 vs 1.91), 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.
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