SEPP vs. PMSE

Last updated Jun 4, 2026

SEPP (PGIM S&P 500 Buffer 12 ETF - September) and PMSE (PGIM S&P 500 Max Buffer ETF - September) are both Defined Outcome funds from PGIM. Both are actively managed. Their correlation of 0.85 suggests significant overlap in exposure. Both charge a 0.50% expense ratio.

Performance

SEPP vs. PMSE - 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 PGIM S&P 500 Max Buffer ETF - September (PMSE). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SEPP achieves a 5.73% return, which is significantly higher than PMSE's 2.85% return.

SEPP

• 1D: -0.13%
• 1M: 2.01%
• YTD: 5.73%
• 6M: 6.43%
• 1Y: 17.87%
• 3Y*: —
• 5Y*: —
• 10Y*: —

PMSE

• 1D: 0.00%
• 1M: 0.94%
• YTD: 2.85%
• 6M: 3.28%
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

SEPP vs. PMSE - Yearly Performance Comparison

	2026 (YTD)	2025
SEPP PGIM S&P 500 Buffer 12 ETF - September	5.73%	4.63%
PMSE PGIM S&P 500 Max Buffer ETF - September	2.85%	2.23%

Correlation

The correlation between SEPP and PMSE is 0.85, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (All Time) Calculated using the full available price history since Sep 3, 2025	0.85

Return for Risk

SEPP vs. PMSE — Risk / Return Rank

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

SEPP

SEPP Risk / Return Rank: 84
SEPP Sharpe Ratio Rank: 82
SEPP Sortino Ratio Rank: 85
SEPP Omega Ratio Rank: 87
SEPP Calmar Ratio Rank: 76
SEPP Martin Ratio Rank: 89

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. PMSE - 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 PGIM S&P 500 Max Buffer ETF - September (PMSE). 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.

	SEPP	PMSE	Difference
Sharpe ratio: Return per unit of total volatility	2.65	—	—
Sortino ratio: Return per unit of downside risk	3.78	—	—
Omega ratio: Gain probability vs. loss probability	1.53	—	—
Calmar ratio: Return relative to maximum drawdown	3.78	—	—
Martin ratio: Return relative to average drawdown	19.63	—	—
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

Sharpe Ratios by Period

	SEPP	PMSE	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.65	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.42	3.05	-1.62

Drawdowns

SEPP vs. PMSE - Drawdown Comparison

The maximum SEPP drawdown since its inception was -11.75%, which is greater than PMSE's maximum drawdown of -1.44%. Use the drawdown chart below to compare losses from any high point for SEPP and PMSE.

Drawdown Indicators

	SEPP	PMSE	Difference
Max Drawdown Largest peak-to-trough decline	-11.75%	-1.44%	-10.31%
Max Drawdown (1Y) Largest decline over 1 year	-4.74%	—	—
Current Drawdown Current decline from peak	-0.13%	-0.02%	-0.11%
Average Drawdown Average peak-to-trough decline	-0.97%	-0.17%	-0.80%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.91%	—	—

Volatility

Volatility by Period

	SEPP	PMSE	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.28%	—	—
Volatility (6M) Calculated over the trailing 6-month period	5.21%	—	—
Volatility (1Y) Calculated over the trailing 1-year period	6.79%	2.28%	+4.51%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.32%	2.28%	+7.04%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.32%	2.28%	+7.04%

SEPP vs. PMSE - Expense Ratio Comparison

Both SEPP and PMSE have an expense ratio of 0.50%.

Dividends

SEPP vs. PMSE - Dividend Comparison

Neither SEPP nor PMSE has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both SEPP and PMSE in my portfolio?

SEPP and PMSE have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, SEPP or PMSE?

Both ETFs have the same 0.50% expense ratio. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, SEPP or PMSE?

SEPP and PMSE have the same expense ratio: 0.50% per year.

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

SEPP and PMSE have nearly identical dividend yields, around 0.00%.