ZAUG vs. SPHD
ZAUG (Innovator Equity Defined Protection ETF - 1 Yr August) and SPHD (Invesco S&P 500® High Dividend Low Volatility ETF) are both exchange-traded funds - ZAUG is a Defined Outcome fund actively managed by Innovator, while SPHD is a Dividend fund tracking the S&P 500 Low Volatility High Dividend Index. ZAUG is actively managed, while SPHD is passively managed. Over the past year, ZAUG returned 7.55% vs 12.09% for SPHD. At a 0.28 correlation, their price movements are largely independent. ZAUG charges 0.79%/yr vs 0.30%/yr for SPHD.
Performance
ZAUG vs. SPHD - Performance Comparison
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Returns By Period
In the year-to-date period, ZAUG achieves a 2.86% return, which is significantly lower than SPHD's 8.20% return.
ZAUG
- 1D
- -0.10%
- 1M
- 0.29%
- YTD
- 2.86%
- 6M
- 2.86%
- 1Y
- 7.55%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
SPHD
- 1D
- 1.63%
- 1M
- 0.82%
- YTD
- 8.20%
- 6M
- 8.56%
- 1Y
- 12.09%
- 3Y*
- 12.70%
- 5Y*
- 7.06%
- 10Y*
- 7.55%
ZAUG vs. SPHD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
ZAUG Innovator Equity Defined Protection ETF - 1 Yr August | 2.86% | 7.38% | 3.02% |
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 8.20% | 3.41% | 3.36% |
Correlation
The correlation between ZAUG and SPHD is 0.15, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.15 |
Correlation (All Time) Calculated using the full available price history since Aug 1, 2024 | 0.28 |
The correlation between ZAUG and SPHD shifts across timeframes, from 0.15 (1 year) to 0.28 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
ZAUG vs. SPHD — Risk / Return Rank
ZAUG
SPHD
ZAUG vs. SPHD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Innovator Equity Defined Protection ETF - 1 Yr August (ZAUG) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). 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.
| ZAUG | SPHD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.18 | ||
| Sortino ratioReturn per unit of downside risk | +3.57 | ||
| Omega ratioGain probability vs. loss probability | 1.70 | 1.18 | +0.52 |
| Calmar ratioReturn relative to maximum drawdown | 4.41 | 1.66 | +2.75 |
| Martin ratioReturn relative to average drawdown | 25.65 | 4.06 | +21.59 |
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Drawdowns
ZAUG vs. SPHD - Drawdown Comparison
The maximum ZAUG drawdown since its inception was -4.83%, smaller than the maximum SPHD drawdown of -41.39%. Use the drawdown chart below to compare losses from any high point for ZAUG and SPHD.
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Drawdown Indicators
| ZAUG | SPHD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -4.83% | -41.39% | +36.56% |
Max Drawdown (1Y)Largest decline over 1 year | -1.72% | -7.33% | +5.61% |
Max Drawdown (3Y)Largest decline over 3 years | — | -13.29% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -19.50% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -41.39% | — |
Current DrawdownCurrent decline from peak | -0.15% | -1.91% | +1.76% |
Average DrawdownAverage peak-to-trough decline | -0.41% | -4.69% | +4.28% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.30% | 2.98% | -2.68% |
Volatility
ZAUG vs. SPHD - Volatility Comparison
The current volatility for Innovator Equity Defined Protection ETF - 1 Yr August (ZAUG) is 0.58%, while Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) has a volatility of 4.26%. This indicates that ZAUG experiences smaller price fluctuations and is considered to be less risky than SPHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ZAUG | SPHD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.58% | 4.26% | -3.68% |
Volatility (6M)Calculated over the trailing 6-month period | 1.86% | 8.13% | -6.27% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.37% | 11.48% | -9.11% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.55% | 14.16% | -9.61% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.55% | 17.65% | -13.10% |
ZAUG vs. SPHD - Expense Ratio Comparison
ZAUG has a 0.79% expense ratio, which is higher than SPHD's 0.30% expense ratio.
Dividends
ZAUG vs. SPHD - Dividend Comparison
ZAUG has not paid dividends to shareholders, while SPHD's dividend yield for the trailing twelve months is around 4.60%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 4.60% | 4.02% | 3.41% | 4.48% | 3.89% | 3.45% | 4.89% | 4.07% | 4.40% | 3.14% | 3.83% | 3.49% |
ZAUG Innovator Equity Defined Protection ETF - 1 Yr August | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
ZAUG and SPHD have a correlation of 0.15, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPHD has higher volatility (4.26%) compared to ZAUG (0.58%). In terms of maximum drawdown, ZAUG dropped -4.83% vs SPHD's -41.39%.
On 1-year performance, SPHD leads with 12.09% vs 7.55% for ZAUG. On fees, SPHD is cheaper at 0.30% per year. On volatility, ZAUG has been the lower-risk option at 0.58%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, SPHD has performed better with a 12.09% return vs 7.55%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPHD is cheaper with a 0.30% expense ratio, compared with 0.79% for ZAUG.
SPHD has the higher dividend yield at 4.60%, compared with 0.00% for ZAUG.
ZAUG is categorized as Defined Outcome, while SPHD is Dividend. They also come from different issuers: Innovator and Invesco. Their fees differ too: 0.79% for ZAUG and 0.30% for SPHD.
ZAUG currently has the higher Sharpe Ratio (3.24 vs 1.06), 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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