TrueShares Structured Outcome (August) ETF

10-Year Study

AUGZ.US · · US · ETF

Executive Summary: TrueShares Structured Outcome (August) ETF has compounded at 11.3% annually over the last 10 years, with a maximum drawdown of 15.1% and an annualized volatility of 9.3%.

1Y CAGR
+15.9%
3Y CAGR
+15.0%
5Y CAGR
+9.8%
10Y CAGR
+11.3%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
15.1%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.68
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.25
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
11.0%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +20.7%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -10.4%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
83%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.9-0.9-3.96.0————————1.9%
20252.3-1.2-4.2-0.44.83.92.20.93.02.0-0.20.013.5%
20241.14.22.6-3.43.83.11.01.41.4-0.24.5-2.418.0%
20234.1-1.21.91.00.44.12.3-1.1-3.3-1.05.93.317.3%
2022-3.7-2.22.9-5.90.7-3.65.6-2.7-6.65.63.8-3.7-10.4%
2021-0.72.13.24.20.51.92.31.8-3.34.9-0.73.220.7%
2020————————-2.8-2.78.93.06.1%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 9.3%. The dominant macroeconomic risk driver is VTI.US, accounting for 79.5% of variance. Idiosyncratic stock-specific factors contribute 1.3%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2020-08-0110000
2020-09-019723.451374635697
2020-10-019462.178849854707
2020-11-0110302.449723280692
2020-12-0110614.073641045774
2021-01-0110536.285005952557
2021-02-0110762.055531612566
2021-03-0111101.159362158793
2021-04-0111569.12862220667
2021-05-0111622.168267528044
2021-06-0111842.6049591855
2021-07-0112109.979390065413
2021-08-0112328.922608202156
2021-09-0111920.052228902552
2021-10-0112506.304591791015
2021-11-0112421.603307830494
2021-12-0112815.624293266994
2022-01-0112336.944694541993
2022-02-0112068.034119469346
2022-03-0112418.957726165227
2022-04-0111680.157710803787
2022-05-0111766.736504333207
2022-06-0111339.901772113008
2022-07-0111978.42570822648
2022-08-0111651.52568987809
2022-09-0110879.143855636581
2022-10-0111487.542297303638
2022-11-0111924.617990808736
2022-12-0111481.099025828558
2023-01-0111957.559749608496
2023-02-0111820.032173686703
2023-03-0112049.088341092285
2023-04-0112169.334294845808
2023-05-0112213.370428370876
2023-06-0112713.214680418001
2023-07-0112999.278865642857
2023-08-0112862.177996441267
2023-09-0112440.506415535538
2023-10-0112312.579740818337
2023-11-0113036.829057020817
2023-12-0113469.595012651855
2024-01-0113617.363549858546
2024-02-0114182.920636817109
2024-03-0114546.13339705487
2024-04-0114056.999483684867
2024-05-0114590.510895956098
2024-06-0115036.846125289627
2024-07-0115190.929921955341
2024-08-0115402.064407112346
2024-09-0115625.018668419008
2024-10-0115588.19387846539
2024-11-0116282.915089629745
2024-12-0115893.28918341135
2025-01-0116260.256962786905
2025-02-0116062.990446036534
2025-03-0115380.558388414058
2025-04-0115320.819447585478
2025-05-0116051.04265787082
2025-06-0116673.735774664714
2025-07-0117036.180462806107
2025-08-0117193.933937265578
2025-09-0117708.71292451985
2025-10-0118069.493456452445
2025-11-0118034.0767986755
2025-12-0118037.319769749054
2026-01-0118197.76149654581
2026-02-0118042.013543671295
2026-03-0117342.64122925672
2026-04-0118378.215768520135
Annual Return Matrix
YearAnnual Return
20210.20741806837551846
2022-0.10413267718370633
20230.1731973552662387
20240.17993816209640623
20250.1349016280768074
20260.018899481914314675
Total Factor Risk
0.09323123162782605
VTI.US Exposure
0.7948091023152212
VEA.US Exposure
-0.03404580726611981
VWO.US Exposure
0.02106152972227284
QQQ.US Exposure
0.004614888547148495
VTV.US Exposure
0.076265343855471
IJR.US Exposure
-0.052396962269780294
QUAL.US Exposure
0.022704627235489713
SHV.US Exposure
0.14776494390062117
TLT.US Exposure
-0.01911548465968883
LQD.US Exposure
0.044236023789066055
HYG.US Exposure
-0.03789807171257603
GLD.US Exposure
-0.0004525107213342521
USO.US Exposure
0.006086040151389005
VNQ.US Exposure
-0.028775627794223213
BTC-USD.CC Exposure
-0.003248446960080964
CPER.US Exposure
-0.009841315533137579
VIX.INDX Exposure
0.0378117432649624
UUP.US Exposure
-0.006155460138948391
TIP.US Exposure
0.023961772901751645
Idiosyncratic Exposure
0.012613671372495765
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
43.4
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
9.3%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →3.62%
Market Cap$419.3B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+3.1%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+4.0%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
0.0% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.72
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is TrueShares Structured Outcome (August) ETF a high-risk investment?

TrueShares Structured Outcome (August) ETF (AUGZ.US) has an annualized volatility of 9.3% and experienced a maximum drawdown of 15.1% over the last 10 years. Its primary macro risk driver is VTI.US.

What is the 10-year return of AUGZ.US?

Over the past 10 years, AUGZ.US has generated a Compound Annual Growth Rate (CAGR) of 11.3%. It has had a positive return in 83% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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