SEPZ vs. AUGZ
Compare and contrast key facts about TrueShares Structured Outcome (September) ETF (SEPZ) and TrueShares Structured Outcome (August) ETF (AUGZ).
SEPZ and AUGZ 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. AUGZ is a passively managed fund by TrueShares that tracks the performance of the S&P 500 Index. It was launched on Jul 31, 2020. Both SEPZ and AUGZ are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Performance
SEPZ vs. AUGZ - Performance Comparison
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SEPZ vs. AUGZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
SEPZ TrueShares Structured Outcome (September) ETF | -3.90% | 13.18% | 18.23% | 17.94% | -8.51% | 21.83% | 5.95% |
AUGZ TrueShares Structured Outcome (August) ETF | -3.85% | 13.49% | 17.99% | 17.32% | -10.41% | 20.74% | 5.74% |
Returns By Period
The year-to-date returns for both investments are quite close, with SEPZ having a -3.90% return and AUGZ slightly higher at -3.85%.
SEPZ
- 1D
- 2.19%
- 1M
- -3.68%
- YTD
- -3.90%
- 6M
- -1.98%
- 1Y
- 12.38%
- 3Y*
- 13.04%
- 5Y*
- 9.81%
- 10Y*
- —
AUGZ
- 1D
- 2.03%
- 1M
- -3.88%
- YTD
- -3.85%
- 6M
- -2.07%
- 1Y
- 12.76%
- 3Y*
- 12.91%
- 5Y*
- 9.16%
- 10Y*
- —
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SEPZ vs. AUGZ - Expense Ratio Comparison
SEPZ has a 0.80% expense ratio, which is higher than AUGZ's 0.79% expense ratio.
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.
| SEPZ | AUGZ | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.88 | 0.94 | -0.06 |
Sortino ratioReturn per unit of downside risk | 1.37 | 1.42 | -0.05 |
Omega ratioGain probability vs. loss probability | 1.19 | 1.21 | -0.02 |
Calmar ratioReturn relative to maximum drawdown | 1.35 | 1.36 | 0.00 |
Martin ratioReturn relative to average drawdown | 6.37 | 6.15 | +0.22 |
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 | AUGZ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.88 | 0.94 | -0.06 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.80 | 0.77 | +0.03 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.88 | 0.92 | -0.04 |
Correlation
The correlation between SEPZ and AUGZ is 0.98, 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. AUGZ - Dividend Comparison
SEPZ's dividend yield for the trailing twelve months is around 2.28%, less than AUGZ's 3.77% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
SEPZ TrueShares Structured Outcome (September) ETF | 2.28% | 2.20% | 3.62% | 3.55% | 0.69% | 0.05% |
AUGZ TrueShares Structured Outcome (August) ETF | 3.77% | 3.63% | 4.08% | 3.42% | 0.41% | 0.00% |
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 | -9.40% | -9.14% | -0.26% |
Max Drawdown (5Y)Largest decline over 5 years | -15.22% | -15.67% | +0.45% |
Current DrawdownCurrent decline from peak | -5.27% | -5.35% | +0.08% |
Average DrawdownAverage peak-to-trough decline | -2.91% | -3.18% | +0.27% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.00% | 2.01% | -0.01% |
Volatility
SEPZ vs. AUGZ - Volatility Comparison
TrueShares Structured Outcome (September) ETF (SEPZ) and TrueShares Structured Outcome (August) ETF (AUGZ) have volatilities of 3.95% and 4.07%, 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 | 3.95% | 4.07% | -0.12% |
Volatility (6M)Calculated over the trailing 6-month period | 7.48% | 7.53% | -0.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.14% | 13.68% | +0.46% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.30% | 11.98% | +0.32% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.53% | 12.17% | +0.36% |