TrueShares Structured Outcome (May) ETF (MAYZ)

The TrueShares Structured Outcome (May) ETF (MAYZ) represents a different approach to the structured-outcome category: rather than specifying a buffer level and an upside cap as separate parameters, MAYZ targets a specific total return range — say, 0% to 10% — within each May-to-May period. The fund emerged from TrueShares’ focus on outcomes-based investing, a philosophy that gained traction among investors fatigued by traditional active-versus-passive debates.

The origins of outcomes-based investing

TrueShares, founded in the 2010s, entered the ETF market with a specific thesis: many investors do not care about beating a benchmark; they care about achieving a specific outcome — preserving capital in bad years, capturing a defined level of upside in good years, or generating a steady income stream regardless of what the market does. This outcome-first perspective, borrowed from structured-product and private-wealth management, had historically been the domain of wealthy individuals and institutions. TrueShares and other startups democratized it by wrapping these strategies into liquid, transparent ETFs.

MAYZ is part of that product line. It sits alongside other TrueShares funds targeting specific returns or volatility levels, each reset on a monthly or annual cycle. The “May” designation indicates that the fund’s one-year outcome contract runs from May to May, reset annually on the same schedule as many other structured-outcome ETFs.

The target-return approach

Unlike a buffer fund that says “protect the first 12% of losses and cap gains at 11%,” MAYZ operates on a target-return framework. The fund aims to deliver a pre-defined return — perhaps 0% minimum return, with an upside target of 10% — within each 12-month May-to-May period.

The mechanics are similar to a buffer fund (long put options funded by sold calls) but the framing is different. Instead of thinking about a downside buffer and an upside cap as separate, the investor thinks about a return envelope: the fund will not fall below X (the floor) and will not exceed Y (the ceiling) during the year. Everything between is captured.

The floor might be 0%, −5%, or even −10%, depending on the specific fund structure. The ceiling is set by the cost of hedging. A fund targeting a 0% floor and a 12% ceiling needs expensive protection (the −0% floor is expensive), so the ceiling will be lower than a fund targeting a −10% floor and letting upside be defined by what remains after hedging costs.

The market context in which MAYZ emerged

MAYZ arrived as retail investors were increasingly dissatisfied with simple binary choices: equity or bonds, active or passive, growth or value. The 2015–2019 bull market had lulled many into thinking volatility had disappeared. The 2020 COVID crash and the subsequent rebound revealed it had not. Institutions and high-net-worth individuals, long accustomed to structured products, demanded something similar for retail accounts.

TrueShares and competitors like Innovator and PGIM responded by launching outcome-based ETFs. These products were honest about their purpose: they were not meant to maximize long-term returns; they were meant to provide relief from volatility and the emotional toll of severe drawdowns. This candor — the fund is not trying to beat the market, it is trying to hit a target — made them appealing to late-career professionals and retirees tired of watching their portfolio swing 20% in a year.

The structure and reset mechanics

MAYZ holds a representative sample of US equities (the underlying asset is typically the broad market or large caps, though the exact benchmark should be verified in the prospectus) and manages a options overlay to stay within its target-return band. The annual May reset recalculates the floor and ceiling based on then-current market conditions.

The fund rebalances continuously to maintain the structure. As the market rises, the short call position increases to cap gains. As the market falls, the long put position protects against losses. A year of unusual volatility means more rebalancing and potentially higher tracking error, because the hedge must work harder.

The May reset is firm. A fund that targeted 0% to 10% return in one year might target −5% to 8% in the next, depending on interest rates, volatility, and the fund sponsor’s view of the subsequent 12 months. Investors who hold through a reset experience a change in their protection and upside terms.

Costs and the transparency question

MAYZ likely carries an expense ratio in the 0.40% to 0.60% range, reflecting the derivatives overhead and the active management required to maintain the target-return band. This is higher than a plain index fund but not unusual for a structured product.

One of TrueShares’ marketing points is transparency. The fund discloses its exact target return (0% to 10%, or whatever the number is) upfront, and each May the new target is published. This differs from some buffer funds, which do not always clearly communicate their capped upside in advance. That transparency appeals to institutional buyers who want to know exactly what they are buying.

How MAYZ fits into the category

The structured-outcome ETF category now includes dozens of products with various structures: buffer funds (MAYP, MAYT, MAYU, MAYW), target-return funds (like MAYZ), income-focused funds, and even leveraged or inverse variants. MAYZ’s target-return framing is less common than simple buffer structures, but it appeals to investors who think in terms of absolute outcomes rather than relative buffers and caps.

A buffer fund says, “You’ll lose 5% if the market loses 15%.” A target-return fund says, “You’ll earn between 0% and 10%.” The psychology is slightly different — the latter frames the outcome as a window, not as a delta to the market — and some investors prefer that framing.

Risks and limitations

MAYZ’s target return is not guaranteed; it is conditional on the fund’s hedging strategy working. If the derivatives market dislocates, if implied volatility spikes, or if the underlying equity market gap-moves (opens sharply higher or lower), the fund may diverge from its stated target.

The target return is annually reset, not permanent. An investor who buys MAYZ in June 2024 with a 0% to 10% target will see that reset in May 2025, possibly to a different band. Long-term holders experience a series of one-year target windows, each with its own floor and ceiling.

The fund is also not suitable for investors seeking to maximize long-term wealth. The cap on upside, even if framed as a “ceiling” within a return envelope rather than as a percentage “cap,” is a drag over decades of above-target market returns. An investor who holds MAYZ for 20 years during a period of steady 12% equity returns will have captured only a 10% target, losing 2% per year to the structure — a massive cumulative cost.

Who MAYZ is for

MAYZ appeals to:

Investors at or near retirement who need to sleep at night and do not want to think about market volatility.
Conservative institutions seeking a liquid, transparent outcome-based equity vehicle.
Investors who have underperformed behaviorally in past downturns and want an external structure to keep them from panic-selling.
Portfolios where MAYZ serves as the equity allocation and bonds or cash complete the picture.

MAYZ is not for:

Young, accumulating investors who should maximize equity exposure and accept full volatility.
Investors seeking to maximize long-term returns; the capped upside is a material drag.
Cost-sensitive investors for whom even 0.40% in annual fees is material relative to their account size.

How to research MAYZ

Start with TrueShares’ prospectus and the fund’s fact sheet. Identify the exact target-return band (floor and ceiling), the underlying asset or index, the reset schedule, and the expense ratio. TrueShares is known for clear communication, so these should be easy to find.

Review the fund’s rolling annual returns over the past three to five reset cycles. In a year when the S&P 500 returned 15%, did MAYZ return its stated ceiling? In a year when the S&P fell 10%, did MAYZ hit its floor? Consistency in tracking the target range is the key measure of management quality.

Compare MAYZ’s long-term total returns (over at least 5–10 years including at least one sharp drawdown) against both a plain equity index and other structured-outcome funds (like MAYT or MAYW). The math should show whether the target-return structure delivered value through volatility reduction or simply underperformed due to the fee drag and capped upside.

Finally, verify that the fund’s assets and trading volume are solid. Structured-outcome ETFs with small asset bases or thin trading can have wider bid–ask spreads and are more vulnerable to closure if the product does not attract assets.