SEPZ vs. IWMY
SEPZ (TrueShares Structured Outcome (September) ETF) and IWMY (Defiance R2000 Enhanced Options & 0DTE Income ETF) are both Options Trading funds - SEPZ tracks the Cboe S&P 500 Buffer Protect Index September while IWMY tracks the Russell 2000 Index. Both are passively managed. Over the past year, SEPZ returned 20.60% vs 23.33% for IWMY. A 0.72 correlation means they provide meaningful diversification when combined. SEPZ charges 0.80%/yr vs 0.99%/yr for IWMY.
Performance
SEPZ vs. IWMY - Performance Comparison
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Returns By Period
In the year-to-date period, SEPZ achieves a 8.19% return, which is significantly lower than IWMY's 12.25% return.
SEPZ
- 1D
- -0.70%
- 1M
- 4.17%
- YTD
- 8.19%
- 6M
- 8.10%
- 1Y
- 20.60%
- 3Y*
- 16.43%
- 5Y*
- 11.53%
- 10Y*
- —
IWMY
- 1D
- -1.36%
- 1M
- 3.06%
- YTD
- 12.25%
- 6M
- 10.99%
- 1Y
- 23.33%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
SEPZ vs. IWMY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
SEPZ TrueShares Structured Outcome (September) ETF | 8.19% | 13.18% | 18.23% | 9.92% |
IWMY Defiance R2000 Enhanced Options & 0DTE Income ETF | 12.25% | 10.18% | 5.56% | 9.74% |
Correlation
The correlation between SEPZ and IWMY is 0.72, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.72 |
Correlation (All Time) Calculated using the full available price history since Nov 1, 2023 | 0.72 |
The correlation between SEPZ and IWMY has been stable across timeframes, ranging from 0.72 to 0.72 - a consistent structural relationship.
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Return for Risk
SEPZ vs. IWMY — Risk / Return Rank
SEPZ
IWMY
SEPZ vs. IWMY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for TrueShares Structured Outcome (September) ETF (SEPZ) and Defiance R2000 Enhanced Options & 0DTE Income ETF (IWMY). 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 | IWMY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.58 | ||
| Sortino ratioReturn per unit of downside risk | +0.94 | ||
| Omega ratioGain probability vs. loss probability | 1.37 | 1.26 | +0.11 |
| Calmar ratioReturn relative to maximum drawdown | 2.83 | 2.03 | +0.81 |
| Martin ratioReturn relative to average drawdown | 12.83 | 6.66 | +6.18 |
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 | IWMY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.08 | 1.49 | +0.58 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.94 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.05 | 0.95 | +0.09 |
Drawdowns
SEPZ vs. IWMY - Drawdown Comparison
The maximum SEPZ drawdown since its inception was -15.22%, smaller than the maximum IWMY drawdown of -18.72%. Use the drawdown chart below to compare losses from any high point for SEPZ and IWMY.
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Drawdown Indicators
| SEPZ | IWMY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.22% | -18.72% | +3.50% |
Max Drawdown (1Y)Largest decline over 1 year | -7.30% | -11.57% | +4.27% |
Max Drawdown (3Y)Largest decline over 3 years | -14.57% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -15.22% | — | — |
Current DrawdownCurrent decline from peak | -0.87% | -1.36% | +0.49% |
Average DrawdownAverage peak-to-trough decline | -2.84% | -2.98% | +0.14% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.61% | 3.51% | -1.90% |
Volatility
SEPZ vs. IWMY - Volatility Comparison
The current volatility for TrueShares Structured Outcome (September) ETF (SEPZ) is 2.68%, while Defiance R2000 Enhanced Options & 0DTE Income ETF (IWMY) has a volatility of 5.42%. This indicates that SEPZ experiences smaller price fluctuations and is considered to be less risky than IWMY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SEPZ | IWMY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.68% | 5.42% | -2.74% |
Volatility (6M)Calculated over the trailing 6-month period | 7.28% | 12.62% | -5.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.97% | 15.69% | -5.72% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.29% | 15.75% | -3.46% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.46% | 15.75% | -3.29% |
SEPZ vs. IWMY - Expense Ratio Comparison
SEPZ has a 0.80% expense ratio, which is lower than IWMY's 0.99% expense ratio.
Dividends
SEPZ vs. IWMY - Dividend Comparison
SEPZ's dividend yield for the trailing twelve months is around 2.03%, less than IWMY's 45.96% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
IWMY Defiance R2000 Enhanced Options & 0DTE Income ETF | 45.96% | 63.33% | 107.92% | 11.34% | 0.00% | 0.00% |
SEPZ TrueShares Structured Outcome (September) ETF | 2.03% | 2.20% | 3.62% | 3.55% | 0.69% | 0.05% |
Frequently Asked Questions
SEPZ and IWMY have a correlation of 0.72, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IWMY has higher volatility (5.42%) compared to SEPZ (2.68%). In terms of maximum drawdown, SEPZ dropped -15.22% vs IWMY's -18.72%.
On 1-year performance, IWMY leads with 23.33% vs 20.60% for SEPZ. On fees, SEPZ is cheaper at 0.80% per year. On volatility, SEPZ has been the lower-risk option at 2.68%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, IWMY has performed better with a 23.33% return vs 20.60%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SEPZ is cheaper with a 0.80% expense ratio, compared with 0.99% for IWMY.
IWMY has the higher dividend yield at 45.96%, compared with 2.03% for SEPZ.
SEPZ tracks Cboe S&P 500 Buffer Protect Index September, while IWMY tracks Russell 2000 Index. They also come from different issuers: TrueShares and Defiance. Their fees differ too: 0.80% for SEPZ and 0.99% for IWMY.
SEPZ currently has the higher Sharpe Ratio (2.08 vs 1.49), 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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