JANZ vs. SEPZ
JANZ (TrueShares Structured Outcome (January) ETF) and SEPZ (TrueShares Structured Outcome (September) ETF) are both exchange-traded funds - JANZ is a Defined Outcome fund actively managed by TrueShares, while SEPZ is a Options Trading fund tracking the Cboe S&P 500 Buffer Protect Index September. JANZ is actively managed, while SEPZ is passively managed. Over the past 5 years, JANZ returned 10.11%/yr vs 10.94%/yr for SEPZ. With a 0.98 correlation, they move nearly in lockstep. JANZ charges 0.79%/yr vs 0.80%/yr for SEPZ.
Performance
JANZ vs. SEPZ - Performance Comparison
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Returns By Period
The year-to-date returns for both stocks are quite close, with JANZ having a 6.09% return and SEPZ slightly lower at 6.07%.
JANZ
- 1D
- -1.06%
- 1M
- -1.00%
- YTD
- 6.09%
- 6M
- 5.48%
- 1Y
- 17.44%
- 3Y*
- 15.01%
- 5Y*
- 10.11%
- 10Y*
- —
SEPZ
- 1D
- -1.11%
- 1M
- -1.13%
- YTD
- 6.07%
- 6M
- 5.54%
- 1Y
- 17.69%
- 3Y*
- 15.18%
- 5Y*
- 10.94%
- 10Y*
- —
JANZ vs. SEPZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
JANZ TrueShares Structured Outcome (January) ETF | 6.09% | 12.47% | 18.10% | 19.09% | -11.43% | 21.53% |
SEPZ TrueShares Structured Outcome (September) ETF | 6.07% | 13.18% | 18.23% | 17.94% | -8.51% | 21.83% |
Correlation
The correlation between JANZ and SEPZ is 0.96 - 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 | 0.96 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.97 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.98 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 2021 | 0.98 |
The correlation between JANZ and SEPZ has been stable across timeframes, ranging from 0.96 to 0.98 - a consistent structural relationship.
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Return for Risk
JANZ vs. SEPZ — Risk / Return Rank
JANZ
SEPZ
JANZ vs. SEPZ - 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 (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.
| JANZ | SEPZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.06 | ||
| Sortino ratioReturn per unit of downside risk | +0.03 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.30 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 2.56 | 2.43 | +0.13 |
| Martin ratioReturn relative to average drawdown | 10.88 | 10.52 | +0.36 |
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Drawdowns
JANZ vs. SEPZ - Drawdown Comparison
The maximum JANZ drawdown since its inception was -18.11%, which is greater than SEPZ's maximum drawdown of -15.22%. Use the drawdown chart below to compare losses from any high point for JANZ and SEPZ.
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Drawdown Indicators
| JANZ | SEPZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -18.11% | -15.22% | -2.89% |
Max Drawdown (1Y)Largest decline over 1 year | -6.83% | -7.30% | +0.47% |
Max Drawdown (3Y)Largest decline over 3 years | -14.33% | -14.57% | +0.24% |
Max Drawdown (5Y)Largest decline over 5 years | -18.11% | -15.22% | -2.89% |
Current DrawdownCurrent decline from peak | -2.52% | -2.81% | +0.29% |
Average DrawdownAverage peak-to-trough decline | -3.47% | -2.83% | -0.64% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.61% | 1.69% | -0.08% |
Volatility
JANZ vs. SEPZ - Volatility Comparison
TrueShares Structured Outcome (January) ETF (JANZ) and TrueShares Structured Outcome (September) ETF (SEPZ) have volatilities of 3.98% and 4.08%, 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
| JANZ | SEPZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.98% | 4.08% | -0.10% |
Volatility (6M)Calculated over the trailing 6-month period | 7.85% | 8.08% | -0.23% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.00% | 10.52% | -0.52% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.23% | 12.39% | +0.84% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.01% | 12.50% | +0.51% |
JANZ vs. SEPZ - Expense Ratio Comparison
JANZ has a 0.79% expense ratio, which is lower than SEPZ's 0.80% expense ratio.
Dividends
JANZ vs. SEPZ - Dividend Comparison
JANZ's dividend yield for the trailing twelve months is around 1.34%, less than SEPZ's 2.07% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
JANZ TrueShares Structured Outcome (January) ETF | 1.34% | 1.42% | 2.70% | 2.58% | 0.21% | 4.52% |
SEPZ TrueShares Structured Outcome (September) ETF | 2.07% | 2.20% | 3.62% | 3.55% | 0.69% | 0.05% |
Frequently Asked Questions
With a correlation of 0.96, JANZ 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 (4.08%) compared to JANZ (3.98%). In terms of maximum drawdown, JANZ dropped -18.11% vs SEPZ's -15.22%.
On 5-year performance, SEPZ leads with 10.94% vs 10.11% for JANZ. On fees, JANZ is cheaper at 0.79% per year. On volatility, JANZ has been the lower-risk option at 3.98%. 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 10.94% return vs 10.11%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
JANZ is cheaper with a 0.79% expense ratio, compared with 0.80% for SEPZ.
SEPZ has the higher dividend yield at 2.07%, compared with 1.34% for JANZ.
JANZ is categorized as Defined Outcome, while SEPZ is Options Trading. Their fees differ too: 0.79% for JANZ and 0.80% for SEPZ.
JANZ currently has the higher Sharpe Ratio (1.76 vs 1.69), 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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