JANZ vs. AUGZ
JANZ (TrueShares Structured Outcome (January) ETF) and AUGZ (TrueShares Structured Outcome (August) ETF) are both Defined Outcome funds from TrueShares. JANZ is actively managed, while AUGZ is passively managed. Over the past 5 years, JANZ returned 9.89%/yr vs 9.79%/yr for AUGZ. Their 0.98 correlation means they have historically moved very closely together. Both charge a 0.79% expense ratio.
Performance
JANZ vs. AUGZ - Performance Comparison
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Returns By Period
The year-to-date returns for both stocks are quite close, with JANZ having a 7.35% return and AUGZ slightly lower at 7.11%.
JANZ
- 1D
- 0.71%
- 1M
- 0.20%
- 6M
- 6.49%
- YTD
- 7.35%
- 1Y
- 15.58%
- 3Y*
- 13.92%
- 5Y*
- 9.89%
- 10Y*
- —
- ALL TIME*
- 11.44%
AUGZ
- 1D
- 0.80%
- 1M
- 0.15%
- 6M
- 6.16%
- YTD
- 7.11%
- 1Y
- 15.39%
- 3Y*
- 14.20%
- 5Y*
- 9.79%
- 10Y*
- —
- ALL TIME*
- 12.49%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $28.12K | $49.05K | $654.57K | |
| $139.93K | $79.26K | $602.93K |
JANZ vs. AUGZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
JANZ TrueShares Structured Outcome (January) ETF | 7.35% | 12.47% | 18.10% | 19.09% | -11.43% | 21.53% |
AUGZ TrueShares Structured Outcome (August) ETF | 7.11% | 13.49% | 17.99% | 17.32% | -10.41% | 20.74% |
Correlation
The correlation between JANZ and AUGZ is 0.98 - they have historically moved very closely together. At this level, their price movements offset little of one another.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.98 |
Correlation (3Y) Balances recent behavior with more history. | 0.97 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.98 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 2021 | 0.98 |
The correlation between JANZ and AUGZ has been stable across timeframes, ranging from 0.97 to 0.98 - a consistent structural relationship.
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Return for Risk
JANZ vs. AUGZ — Risk / Return Rank
JANZ
AUGZ
JANZ vs. AUGZ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for TrueShares Structured Outcome (January) ETF (JANZ) and TrueShares Structured Outcome (August) ETF (AUGZ). 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.
| JANZ | AUGZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.09 | ||
| Sortino ratioReturn per unit of downside risk | +0.12 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.22 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 2.09 | 1.86 | +0.23 |
| Martin ratioReturn relative to average drawdown | 8.30 | 7.17 | +1.13 |
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Drawdowns
JANZ vs. AUGZ - Drawdown Comparison
The maximum JANZ drawdown since its inception was -18.11%, which is greater than AUGZ's maximum drawdown of -15.67%. Use the drawdown chart below to compare losses from any high point for JANZ and AUGZ.
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Drawdown Indicators
| JANZ | AUGZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -18.11% | -15.67% | -2.44% |
Max Drawdown (1Y)Largest decline over 1 year | -6.83% | -7.23% | +0.40% |
Max Drawdown (3Y)Largest decline over 3 years | -14.33% | -14.52% | +0.19% |
Max Drawdown (5Y)Largest decline over 5 years | -18.11% | -15.67% | -2.44% |
Current DrawdownCurrent decline from peak | -1.37% | -1.62% | +0.25% |
Average DrawdownAverage peak-to-trough decline | -3.44% | -3.08% | -0.36% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.72% | 1.88% | -0.16% |
Volatility
JANZ vs. AUGZ - Volatility Comparison
The current volatility for TrueShares Structured Outcome (January) ETF (JANZ) is 2.97%, while TrueShares Structured Outcome (August) ETF (AUGZ) has a volatility of 3.20%. This indicates that JANZ experiences smaller price fluctuations and is considered to be less risky than AUGZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JANZ | AUGZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.97% | 3.20% | -0.23% |
Volatility (6M)Calculated over the trailing 6-month period | 8.21% | 8.50% | -0.29% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.45% | 10.58% | -0.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.26% | 12.10% | +1.16% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.97% | 12.13% | +0.84% |
JANZ vs. AUGZ - Expense Ratio Comparison
Both JANZ and AUGZ have an expense ratio of 0.79%.
Dividends
JANZ vs. AUGZ - Dividend Comparison
JANZ's dividend yield for the trailing twelve months is around 1.32%, less than AUGZ's 3.39% 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% |
JANZ TrueShares Structured Outcome (January) ETF | 1.32% | 1.42% | 2.70% | 2.58% | 0.21% | 4.52% |
Frequently Asked Questions
With a correlation of 0.98, JANZ and AUGZ 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.
AUGZ has higher volatility (3.20%) compared to JANZ (2.97%). In terms of maximum drawdown, JANZ dropped -18.11% vs AUGZ's -15.67%.
On 5-year performance, JANZ leads with 9.89% vs 9.79% for AUGZ. Both ETFs have the same 0.79% expense ratio. On volatility, JANZ has been the lower-risk option at 2.97%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, JANZ has performed better with a 9.89% return vs 9.79%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
JANZ and AUGZ have the same expense ratio: 0.79% per year.
AUGZ has the higher dividend yield at 3.39%, compared with 1.32% for JANZ.
JANZ currently has the higher Sharpe Ratio (1.36 vs 1.27), 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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