SEPZ vs. AUGZ
SEPZ (TrueShares Structured Outcome (September) ETF) and AUGZ (TrueShares Structured Outcome (August) ETF) are both exchange-traded funds - SEPZ is a Options Trading fund tracking the Cboe S&P 500 Buffer Protect Index September, while AUGZ is a Defined Outcome fund tracking the S&P 500 Index. Both are passively managed. Over the past 5 years, SEPZ returned 11.30%/yr vs 10.53%/yr for AUGZ. With a 0.98 correlation, they move nearly in lockstep. SEPZ charges 0.80%/yr vs 0.79%/yr for AUGZ.
Performance
SEPZ vs. AUGZ - Performance Comparison
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Returns By Period
The year-to-date returns for both stocks are quite close, with SEPZ having a 7.26% return and AUGZ slightly lower at 7.08%.
SEPZ
- 1D
- -0.40%
- 1M
- -0.02%
- YTD
- 7.26%
- 6M
- 7.09%
- 1Y
- 19.88%
- 3Y*
- 15.61%
- 5Y*
- 11.30%
- 10Y*
- —
AUGZ
- 1D
- -0.39%
- 1M
- 0.08%
- YTD
- 7.08%
- 6M
- 6.74%
- 1Y
- 19.59%
- 3Y*
- 15.58%
- 5Y*
- 10.53%
- 10Y*
- —
SEPZ vs. AUGZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
SEPZ TrueShares Structured Outcome (September) ETF | 7.26% | 13.18% | 18.23% | 17.94% | -8.51% | 21.83% | 5.95% |
AUGZ TrueShares Structured Outcome (August) ETF | 7.08% | 13.49% | 17.99% | 17.32% | -10.41% | 20.74% | 6.14% |
Correlation
The correlation between SEPZ and AUGZ is 0.95 - 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 | 0.95 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.97 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.97 |
Correlation (All Time) Calculated using the full available price history since Sep 1, 2020 | 0.98 |
The correlation between SEPZ and AUGZ has been stable across timeframes, ranging from 0.95 to 0.98 - a consistent structural relationship.
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Return for Risk
SEPZ vs. AUGZ — Risk / Return Rank
SEPZ
AUGZ
SEPZ vs. AUGZ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for TrueShares Structured Outcome (September) ETF (SEPZ) 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.
| SEPZ | AUGZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.06 | ||
| Sortino ratioReturn per unit of downside risk | -0.01 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.35 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | 2.74 | 2.72 | +0.01 |
| Martin ratioReturn relative to average drawdown | 11.88 | 11.29 | +0.60 |
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Drawdowns
SEPZ vs. AUGZ - Drawdown Comparison
The maximum SEPZ drawdown since its inception was -15.22%, roughly equal to the maximum AUGZ drawdown of -15.67%. Use the drawdown chart below to compare losses from any high point for SEPZ and AUGZ.
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Drawdown Indicators
| SEPZ | AUGZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.22% | -15.67% | +0.45% |
Max Drawdown (1Y)Largest decline over 1 year | -7.30% | -7.23% | -0.07% |
Max Drawdown (3Y)Largest decline over 3 years | -14.57% | -14.52% | -0.05% |
Max Drawdown (5Y)Largest decline over 5 years | -15.22% | -15.67% | +0.45% |
Current DrawdownCurrent decline from peak | -1.72% | -1.64% | -0.08% |
Average DrawdownAverage peak-to-trough decline | -2.83% | -3.10% | +0.27% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.68% | 1.74% | -0.06% |
Volatility
SEPZ vs. AUGZ - Volatility Comparison
TrueShares Structured Outcome (September) ETF (SEPZ) and TrueShares Structured Outcome (August) ETF (AUGZ) have volatilities of 3.92% and 3.84%, 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
| SEPZ | AUGZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.92% | 3.84% | +0.08% |
Volatility (6M)Calculated over the trailing 6-month period | 8.00% | 7.95% | +0.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.48% | 10.02% | +0.46% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.38% | 12.05% | +0.33% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.49% | 12.14% | +0.35% |
SEPZ vs. AUGZ - Expense Ratio Comparison
SEPZ has a 0.80% expense ratio, which is higher than AUGZ's 0.79% expense ratio.
Dividends
SEPZ vs. AUGZ - Dividend Comparison
SEPZ's dividend yield for the trailing twelve months is around 2.05%, 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% |
SEPZ TrueShares Structured Outcome (September) ETF | 2.05% | 2.20% | 3.62% | 3.55% | 0.69% | 0.05% |
Frequently Asked Questions
With a correlation of 0.95, SEPZ 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.
SEPZ has higher volatility (3.92%) compared to AUGZ (3.84%). In terms of maximum drawdown, SEPZ dropped -15.22% vs AUGZ's -15.67%.
On 5-year performance, SEPZ leads with 11.30% vs 10.53% for AUGZ. On fees, AUGZ is cheaper at 0.79% per year. Their volatility is very similar. 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 11.30% return vs 10.53%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
AUGZ is cheaper with a 0.79% expense ratio, compared with 0.80% for SEPZ.
AUGZ has the higher dividend yield at 3.39%, compared with 2.05% for SEPZ.
SEPZ is categorized as Options Trading, while AUGZ is Defined Outcome. SEPZ tracks Cboe S&P 500 Buffer Protect Index September, while AUGZ tracks S&P 500 Index. Their fees differ too: 0.80% for SEPZ and 0.79% for AUGZ.
AUGZ currently has the higher Sharpe Ratio (1.97 vs 1.91), 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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