ZSEP vs. ERX
ZSEP (Innovator Equity Defined Protection ETF - 1 Yr September) and ERX (Direxion Daily Energy Bull 2X Shares) are both exchange-traded funds - ZSEP is a Defined Outcome fund actively managed by Innovator, while ERX is a Leveraged Equities fund tracking the Energy Select Sector Index (300%). ZSEP is actively managed, while ERX is passively managed. Over the past year, ZSEP returned 6.27% vs 70.71% for ERX. At a 0.06 correlation, their price movements are largely independent. ZSEP charges 0.79%/yr vs 1.09%/yr for ERX.
Performance
ZSEP vs. ERX - Performance Comparison
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Returns By Period
In the year-to-date period, ZSEP achieves a 3.17% return, which is significantly lower than ERX's 61.33% return.
ZSEP
- 1D
- 0.03%
- 1M
- 0.51%
- 6M
- 2.87%
- YTD
- 3.17%
- 1Y
- 6.27%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
ERX
- 1D
- 2.41%
- 1M
- 12.12%
- 6M
- 42.68%
- YTD
- 61.33%
- 1Y
- 70.71%
- 3Y*
- 19.84%
- 5Y*
- 34.74%
- 10Y*
- -9.97%
ZSEP vs. ERX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
ZSEP Innovator Equity Defined Protection ETF - 1 Yr September | 3.17% | 6.78% | 1.42% |
ERX Direxion Daily Energy Bull 2X Shares | 61.33% | 2.79% | -11.86% |
Correlation
The correlation between ZSEP and ERX is -0.19, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.19 |
Correlation (All Time) Calculated using the full available price history since Sep 3, 2024 | 0.06 |
The correlation between ZSEP and ERX shifts across timeframes, from -0.19 (1 year) to 0.06 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
ZSEP vs. ERX — Risk / Return Rank
ZSEP
ERX
ZSEP vs. ERX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Innovator Equity Defined Protection ETF - 1 Yr September (ZSEP) and Direxion Daily Energy Bull 2X Shares (ERX). 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.
| ZSEP | ERX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.96 | ||
| Sortino ratioReturn per unit of downside risk | +1.82 | ||
| Omega ratioGain probability vs. loss probability | 1.53 | 1.26 | +0.27 |
| Calmar ratioReturn relative to maximum drawdown | 4.35 | 2.37 | +1.98 |
| Martin ratioReturn relative to average drawdown | 22.08 | 6.10 | +15.97 |
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Drawdowns
ZSEP vs. ERX - Drawdown Comparison
The maximum ZSEP drawdown since its inception was -3.97%, smaller than the maximum ERX drawdown of -99.54%. Use the drawdown chart below to compare losses from any high point for ZSEP and ERX.
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Drawdown Indicators
| ZSEP | ERX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -3.97% | -99.54% | +95.57% |
Max Drawdown (1Y)Largest decline over 1 year | -1.45% | -29.97% | +28.52% |
Max Drawdown (3Y)Largest decline over 3 years | — | -42.34% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -46.90% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -98.59% | — |
Current DrawdownCurrent decline from peak | -0.16% | -91.86% | +91.70% |
Average DrawdownAverage peak-to-trough decline | -0.35% | -67.19% | +66.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.28% | 11.62% | -11.34% |
Volatility
ZSEP vs. ERX - Volatility Comparison
The current volatility for Innovator Equity Defined Protection ETF - 1 Yr September (ZSEP) is 0.45%, while Direxion Daily Energy Bull 2X Shares (ERX) has a volatility of 12.43%. This indicates that ZSEP experiences smaller price fluctuations and is considered to be less risky than ERX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ZSEP | ERX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.45% | 12.43% | -11.98% |
Volatility (6M)Calculated over the trailing 6-month period | 1.79% | 33.45% | -31.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.38% | 42.10% | -39.72% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.26% | 51.71% | -48.45% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.26% | 68.92% | -65.66% |
ZSEP vs. ERX - Expense Ratio Comparison
ZSEP has a 0.79% expense ratio, which is lower than ERX's 1.09% expense ratio.
Dividends
ZSEP vs. ERX - Dividend Comparison
ZSEP has not paid dividends to shareholders, while ERX's dividend yield for the trailing twelve months is around 1.58%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
ERX Direxion Daily Energy Bull 2X Shares | 1.58% | 2.54% | 2.94% | 3.17% | 2.23% | 2.16% | 2.35% | 1.56% | 3.10% | 0.85% |
ZSEP Innovator Equity Defined Protection ETF - 1 Yr September | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
ZSEP and ERX have a correlation of -0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ERX has higher volatility (12.43%) compared to ZSEP (0.45%). In terms of maximum drawdown, ZSEP dropped -3.97% vs ERX's -99.54%.
On 1-year performance, ERX leads with 70.71% vs 6.27% for ZSEP. On fees, ZSEP is cheaper at 0.79% per year. On volatility, ZSEP has been the lower-risk option at 0.45%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, ERX has performed better with a 70.71% return vs 6.27%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
ZSEP is cheaper with a 0.79% expense ratio, compared with 1.09% for ERX.
ERX has the higher dividend yield at 1.58%, compared with 0.00% for ZSEP.
ZSEP is categorized as Defined Outcome, while ERX is Leveraged Equities. They also come from different issuers: Innovator and Direxion. Their fees differ too: 0.79% for ZSEP and 1.09% for ERX.
ZSEP currently has the higher Sharpe Ratio (2.65 vs 1.69), 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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