SEPZ vs. AJAN
Compare and contrast key facts about TrueShares Structured Outcome (September) ETF (SEPZ) and Innovator Equity Defined Protection ETF - 2 Yr To January 2026 (AJAN).
SEPZ and AJAN are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SEPZ is a passively managed fund by TrueShares that tracks the performance of the Cboe S&P 500 Buffer Protect Index September. It was launched on Aug 31, 2020. AJAN is an actively managed fund by Innovator. It was launched on Dec 29, 2023.
Performance
SEPZ vs. AJAN - Performance Comparison
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SEPZ vs. AJAN - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
SEPZ TrueShares Structured Outcome (September) ETF | -3.90% | 13.18% | 18.82% |
AJAN Innovator Equity Defined Protection ETF - 2 Yr To January 2026 | -0.74% | 6.12% | 7.78% |
Returns By Period
In the year-to-date period, SEPZ achieves a -3.90% return, which is significantly lower than AJAN's -0.74% return.
SEPZ
- 1D
- 2.19%
- 1M
- -3.68%
- YTD
- -3.90%
- 6M
- -1.98%
- 1Y
- 12.38%
- 3Y*
- 13.04%
- 5Y*
- 9.81%
- 10Y*
- —
AJAN
- 1D
- 0.56%
- 1M
- -1.47%
- YTD
- -0.74%
- 6M
- 0.51%
- 1Y
- 5.10%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
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SEPZ vs. AJAN - Expense Ratio Comparison
SEPZ has a 0.80% expense ratio, which is higher than AJAN's 0.79% expense ratio.
Return for Risk
SEPZ vs. AJAN — Risk / Return Rank
SEPZ
AJAN
SEPZ vs. AJAN - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for TrueShares Structured Outcome (September) ETF (SEPZ) and Innovator Equity Defined Protection ETF - 2 Yr To January 2026 (AJAN). 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.
| SEPZ | AJAN | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.88 | 1.16 | -0.28 |
Sortino ratioReturn per unit of downside risk | 1.37 | 1.74 | -0.37 |
Omega ratioGain probability vs. loss probability | 1.19 | 1.33 | -0.14 |
Calmar ratioReturn relative to maximum drawdown | 1.35 | 1.57 | -0.22 |
Martin ratioReturn relative to average drawdown | 6.37 | 8.50 | -2.14 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SEPZ | AJAN | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.88 | 1.16 | -0.28 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.80 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.88 | 1.52 | -0.63 |
Correlation
The correlation between SEPZ and AJAN is 0.75, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
SEPZ vs. AJAN - Dividend Comparison
SEPZ's dividend yield for the trailing twelve months is around 2.28%, while AJAN has not paid dividends to shareholders.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
SEPZ TrueShares Structured Outcome (September) ETF | 2.28% | 2.20% | 3.62% | 3.55% | 0.69% | 0.05% |
AJAN Innovator Equity Defined Protection ETF - 2 Yr To January 2026 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
SEPZ vs. AJAN - Drawdown Comparison
The maximum SEPZ drawdown since its inception was -15.22%, which is greater than AJAN's maximum drawdown of -4.11%. Use the drawdown chart below to compare losses from any high point for SEPZ and AJAN.
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Drawdown Indicators
| SEPZ | AJAN | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.22% | -4.11% | -11.11% |
Max Drawdown (1Y)Largest decline over 1 year | -9.40% | -3.34% | -6.06% |
Max Drawdown (5Y)Largest decline over 5 years | -15.22% | — | — |
Current DrawdownCurrent decline from peak | -5.27% | -1.57% | -3.70% |
Average DrawdownAverage peak-to-trough decline | -2.91% | -0.30% | -2.61% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.00% | 0.62% | +1.38% |
Volatility
SEPZ vs. AJAN - Volatility Comparison
TrueShares Structured Outcome (September) ETF (SEPZ) has a higher volatility of 3.95% compared to Innovator Equity Defined Protection ETF - 2 Yr To January 2026 (AJAN) at 1.37%. This indicates that SEPZ's price experiences larger fluctuations and is considered to be riskier than AJAN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SEPZ | AJAN | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.95% | 1.37% | +2.58% |
Volatility (6M)Calculated over the trailing 6-month period | 7.48% | 1.71% | +5.77% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.14% | 4.42% | +9.72% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.30% | 3.86% | +8.44% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.53% | 3.86% | +8.67% |