SEPP vs. FAAR

Last updated Jun 24, 2026

SEPP (PGIM S&P 500 Buffer 12 ETF - September) and FAAR (First Trust Alternative Absolute Return Strategy ETF) are both exchange-traded funds - SEPP is a Defined Outcome fund actively managed by PGIM, while FAAR is a Commodities fund actively managed by First Trust. Both are actively managed. Over the past year, SEPP returned 16.49% vs 28.33% for FAAR. At a 0.02 correlation, their price movements are largely independent. SEPP charges 0.50%/yr vs 0.95%/yr for FAAR.

Performance

SEPP vs. FAAR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PGIM S&P 500 Buffer 12 ETF - September (SEPP) and First Trust Alternative Absolute Return Strategy ETF (FAAR). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SEPP achieves a 5.48% return, which is significantly lower than FAAR's 19.14% return.

SEPP

• 1D: -0.38%
• 1M: 0.76%
• YTD: 5.48%
• 6M: 5.21%
• 1Y: 16.49%
• 3Y*: —
• 5Y*: —
• 10Y*: —

FAAR

• 1D: -0.91%
• 1M: -5.21%
• YTD: 19.14%
• 6M: 18.06%
• 1Y: 28.33%
• 3Y*: 10.57%
• 5Y*: 7.72%
• 10Y*: 4.69%

*Multi-year figures are annualized to reflect compound growth (CAGR)

SEPP vs. FAAR - Yearly Performance Comparison

	2026 (YTD)	2025	2024
SEPP PGIM S&P 500 Buffer 12 ETF - September	5.48%	14.06%	6.79%
FAAR First Trust Alternative Absolute Return Strategy ETF	19.14%	8.07%	1.86%

Correlation

The correlation between SEPP and FAAR is -0.04, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.04
Correlation (All Time) Calculated using the full available price history since May 15, 2024	0.02

Return for Risk

SEPP vs. FAAR — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SEPP

SEPP Risk / Return Rank: 85
SEPP Sharpe Ratio Rank: 85
SEPP Sortino Ratio Rank: 87
SEPP Omega Ratio Rank: 87
SEPP Calmar Ratio Rank: 75
SEPP Martin Ratio Rank: 89

FAAR

FAAR Risk / Return Rank: 75
FAAR Sharpe Ratio Rank: 71
FAAR Sortino Ratio Rank: 74
FAAR Omega Ratio Rank: 65
FAAR Calmar Ratio Rank: 86
FAAR Martin Ratio Rank: 81

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

SEPP vs. FAAR - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM S&P 500 Buffer 12 ETF - September (SEPP) and First Trust Alternative Absolute Return Strategy ETF (FAAR). 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.

	SEPP	FAAR	Difference
Sharpe ratio: Return per unit of total volatility	2.45	2.15	+0.30
Sortino ratio: Return per unit of downside risk	3.50	3.09	+0.41
Omega ratio: Gain probability vs. loss probability	1.48	1.37	+0.12
Calmar ratio: Return relative to maximum drawdown	3.49	4.52	-1.03
Martin ratio: Return relative to average drawdown	18.00	15.18	+2.82

SEPP vs. FAAR - Sharpe Ratio Comparison

The current SEPP Sharpe Ratio is 2.45, which is comparable to the FAAR Sharpe Ratio of 2.15. The chart below compares the historical Sharpe Ratios of SEPP and FAAR, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

SEPP vs. FAAR - Drawdown Comparison

The maximum SEPP drawdown since its inception was -11.75%, smaller than the maximum FAAR drawdown of -18.03%. Use the drawdown chart below to compare losses from any high point for SEPP and FAAR.

Drawdown Indicators

	SEPP	FAAR	Difference
Max Drawdown Largest peak-to-trough decline	-11.75%	-18.03%	+6.28%
Max Drawdown (1Y) Largest decline over 1 year	-4.74%	-6.29%	+1.55%
Max Drawdown (3Y) Largest decline over 3 years	—	-11.54%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-18.03%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-18.03%	—
Current Drawdown Current decline from peak	-0.55%	-6.29%	+5.74%
Average Drawdown Average peak-to-trough decline	-0.95%	-7.82%	+6.87%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.92%	1.87%	-0.95%

Volatility

SEPP vs. FAAR - Volatility Comparison

The current volatility for PGIM S&P 500 Buffer 12 ETF - September (SEPP) is 1.68%, while First Trust Alternative Absolute Return Strategy ETF (FAAR) has a volatility of 2.55%. This indicates that SEPP experiences smaller price fluctuations and is considered to be less risky than FAAR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SEPP	FAAR	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.68%	2.55%	-0.87%
Volatility (6M) Calculated over the trailing 6-month period	5.31%	9.68%	-4.37%
Volatility (1Y) Calculated over the trailing 1-year period	6.78%	13.38%	-6.60%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.25%	12.96%	-3.71%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.25%	11.54%	-2.29%

SEPP vs. FAAR - Expense Ratio Comparison

SEPP has a 0.50% expense ratio, which is lower than FAAR's 0.95% expense ratio.

Dividends

SEPP vs. FAAR - Dividend Comparison

SEPP has not paid dividends to shareholders, while FAAR's dividend yield for the trailing twelve months is around 9.66%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
FAAR First Trust Alternative Absolute Return Strategy ETF	9.66%	11.63%	3.45%	3.20%	5.82%	6.49%	3.05%	1.02%	0.58%	2.83%
SEPP PGIM S&P 500 Buffer 12 ETF - September	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both SEPP and FAAR in my portfolio?

SEPP and FAAR have a correlation of -0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SEPP or FAAR?

FAAR has higher volatility (2.55%) compared to SEPP (1.68%). In terms of maximum drawdown, SEPP dropped -11.75% vs FAAR's -18.03%.

Which ETF is better, SEPP or FAAR?

On 1-year performance, FAAR leads with 28.33% vs 16.49% for SEPP. On fees, SEPP is cheaper at 0.50% per year. On volatility, SEPP has been the lower-risk option at 1.68%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SEPP or FAAR?

Over the 1-year period, FAAR has performed better with a 28.33% return vs 16.49%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SEPP or FAAR?

SEPP is cheaper with a 0.50% expense ratio, compared with 0.95% for FAAR.

Which ETF pays a higher dividend yield, SEPP or FAAR?

FAAR has the higher dividend yield at 9.66%, compared with 0.00% for SEPP.

What is the main difference between SEPP and FAAR?

SEPP is categorized as Defined Outcome, while FAAR is Commodities. They also come from different issuers: PGIM and First Trust. Their fees differ too: 0.50% for SEPP and 0.95% for FAAR.

Which has better risk-adjusted returns?

SEPP currently has the higher Sharpe Ratio (2.45 vs 2.15), 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.