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SEPZ vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SEPZ vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in TrueShares Structured Outcome (September) ETF (SEPZ) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
10.41%
13.62%
SEPZ
VOO

Returns By Period

In the year-to-date period, SEPZ achieves a 19.46% return, which is significantly lower than VOO's 26.16% return.


SEPZ

YTD

19.46%

1M

1.44%

6M

10.41%

1Y

23.73%

5Y (annualized)

N/A

10Y (annualized)

N/A

VOO

YTD

26.16%

1M

1.77%

6M

13.62%

1Y

32.33%

5Y (annualized)

15.68%

10Y (annualized)

13.18%

Key characteristics


SEPZVOO
Sharpe Ratio2.502.70
Sortino Ratio3.423.60
Omega Ratio1.471.50
Calmar Ratio3.433.90
Martin Ratio15.1017.65
Ulcer Index1.59%1.86%
Daily Std Dev9.63%12.19%
Max Drawdown-15.21%-33.99%
Current Drawdown-0.70%-0.86%

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SEPZ vs. VOO - Expense Ratio Comparison

SEPZ has a 0.80% expense ratio, which is higher than VOO's 0.03% expense ratio.


SEPZ
TrueShares Structured Outcome (September) ETF
Expense ratio chart for SEPZ: current value at 0.80% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.80%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.01.0

The correlation between SEPZ and VOO 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.

Risk-Adjusted Performance

SEPZ vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for TrueShares Structured Outcome (September) ETF (SEPZ) and Vanguard S&P 500 ETF (VOO). 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.


Sharpe ratio
The chart of Sharpe ratio for SEPZ, currently valued at 2.50, compared to the broader market0.002.004.002.502.70
The chart of Sortino ratio for SEPZ, currently valued at 3.42, compared to the broader market-2.000.002.004.006.008.0010.0012.003.423.60
The chart of Omega ratio for SEPZ, currently valued at 1.47, compared to the broader market0.501.001.502.002.503.001.471.50
The chart of Calmar ratio for SEPZ, currently valued at 3.43, compared to the broader market0.005.0010.0015.003.433.90
The chart of Martin ratio for SEPZ, currently valued at 15.10, compared to the broader market0.0020.0040.0060.0080.00100.0015.1017.65
SEPZ
VOO

The current SEPZ Sharpe Ratio is 2.50, which is comparable to the VOO Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of SEPZ and VOO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.50
2.70
SEPZ
VOO

Dividends

SEPZ vs. VOO - Dividend Comparison

SEPZ's dividend yield for the trailing twelve months is around 2.97%, more than VOO's 1.24% yield.


TTM20232022202120202019201820172016201520142013
SEPZ
TrueShares Structured Outcome (September) ETF
2.97%3.55%0.69%0.05%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

SEPZ vs. VOO - Drawdown Comparison

The maximum SEPZ drawdown since its inception was -15.21%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for SEPZ and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.70%
-0.86%
SEPZ
VOO

Volatility

SEPZ vs. VOO - Volatility Comparison

The current volatility for TrueShares Structured Outcome (September) ETF (SEPZ) is 3.02%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.99%. This indicates that SEPZ experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.02%
3.99%
SEPZ
VOO