TrueShares Active Yield ETF

10-Year Study

ERNZ.US · · US · ETF

Executive Summary: TrueShares Active Yield ETF has compounded at -1.4% annually over the last 10 years, with a maximum drawdown of 9.6% and an annualized volatility of 59.3%.

1Y CAGR
+3.1%
3Y CAGR
-1.4%
5Y CAGR
-1.4%
10Y CAGR
-1.4%

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 →
9.6%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.56
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-1.24
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
9.7%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · +4.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · -6.5%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
50%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20264.22.2-1.6—————————4.9%
20252.0-1.3-2.3-4.01.33.6-1.43.0-1.4-4.80.5-1.5-6.5%
2024—————-1.33.6-1.42.1-3.73.8-3.2-0.6%

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 59.3%. The dominant macroeconomic risk driver is SHV.US, accounting for 96.5% of variance. Idiosyncratic stock-specific factors contribute 0.3%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2024-05-0110000
2024-06-019866.063058737453
2024-07-0110216.978759402793
2024-08-0110073.57614834122
2024-09-0110280.952054324714
2024-10-019897.24946841347
2024-11-0110271.074833664861
2024-12-019940.599492420606
2025-01-0110137.54944326314
2025-02-0110009.14557468505
2025-03-019781.740860141299
2025-04-019386.286210759768
2025-05-019507.236435969546
2025-06-019845.302604202392
2025-07-019709.445092255984
2025-08-019999.679904886021
2025-09-019857.557674280357
2025-10-019385.828932025515
2025-11-019435.352218945058
2025-12-019294.830463909275
2026-01-019689.553467316002
2026-02-019904.657383908361
2026-03-019749.182614262523
Annual Return Matrix
YearAnnual Return
2025-0.0649627850919563
20260.04888224181360212
Total Factor Risk
0.5934469051693791
VTI.US Exposure
-0.010511205097629943
VEA.US Exposure
0.004625348347007737
VWO.US Exposure
0.00047084149178472097
QQQ.US Exposure
0.007743274908731481
VTV.US Exposure
0.013999163148951102
IJR.US Exposure
0.011782568515698009
QUAL.US Exposure
-0.002465041121612232
SHV.US Exposure
0.964705433387794
TLT.US Exposure
-0.00016203838857664496
LQD.US Exposure
0.0010261425552118362
HYG.US Exposure
-0.0015391319007830642
GLD.US Exposure
-0.0010252465925805537
USO.US Exposure
0.0003990190017731893
VNQ.US Exposure
-0.0010465664544879406
BTC-USD.CC Exposure
0.0021475069175644493
CPER.US Exposure
0.0020120234586092356
VIX.INDX Exposure
0.00011561589084127135
UUP.US Exposure
-0.00006386617026050687
TIP.US Exposure
0.004489297935221451
Idiosyncratic Exposure
0.003296860166742352
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
100
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
59.3%

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 →8.71%
Market Cap$8.7B
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
$40
Avg Yield on Cost
0.40%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$39.850.40%Solid

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 →
-0.4%
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 →
+0.7%
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 →
4.1% 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 →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is TrueShares Active Yield ETF a high-risk investment?

TrueShares Active Yield ETF (ERNZ.US) has an annualized volatility of 59.3% and experienced a maximum drawdown of 9.6% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, ERNZ.US has generated a Compound Annual Growth Rate (CAGR) of -1.4%. It has had a positive return in 50% 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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