- ISIN
- US02072L5167
- Issuer
- Alpha Architect
- Inception Date
- Aug 14, 2013
- Region
- North America (United States)
- Category
- Options Trading
- Leveraged
- 1x (No leverage)
- Index Tracked
- No Index (Active)
- Domicile
- United States
- Distribution Policy
- Accumulating
- Asset Class
- Alternatives
- Asset Class Size
- Large-Cap
- Asset Class Style
- Growth
- Assets Under Management
- $668M
Share Price Chart
Loading charts...
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Performance
CAOS Performance Chart
Alpha Architect Tail Risk ETF (CAOS) is up 0.8% since the beginning of the year. CAOS is currently trading at $90 per share.
Loading charts...
Returns By Period
Alpha Architect Tail Risk ETF (CAOS) has returned 0.75% so far this year and 1.64% over the past 12 months.
Alpha Architect Tail Risk ETF
- 1D
- 0.11%
- 1M
- -0.08%
- YTD
- 0.75%
- 6M
- 0.67%
- 1Y
- 1.64%
- 3Y*
- 3.95%
- 5Y*
- —
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- -0.37%
- 1M
- -0.01%
- YTD
- 9.16%
- 6M
- 8.64%
- 1Y
- 25.22%
- 3Y*
- 19.78%
- 5Y*
- 11.99%
- 10Y*
- 13.88%
CAOS Monthly Returns History
Based on dividend-adjusted daily data since Mar 6, 2023, CAOS's average daily return is +0.02%, while the average monthly return is +0.39%. At this rate, an investment would double in approximately 14.8 years.
Historically, 78% of months were positive and 22% were negative. The best month was Jun 2023 with a return of +2.4%, while the worst month was Apr 2024 at -1.2%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 3 months.
On a daily basis, CAOS closed higher 52% of trading days. The best single day was Apr 4, 2025 with a return of +2.0%, while the worst single day was Apr 9, 2025 at -3.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.61% | 0.06% | 0.43% | -0.20% | -0.12% | -0.02% | 0.75% | ||||||
| 2025 | 0.32% | -0.04% | 0.20% | 0.76% | 0.16% | 0.09% | -0.04% | 0.78% | 0.04% | 0.54% | -0.13% | -0.14% | 2.55% |
| 2024 | 0.35% | 0.50% | 0.58% | -1.18% | 1.21% | 0.66% | 0.72% | 0.37% | 0.79% | 0.76% | 0.06% | 0.41% | 5.33% |
| 2023 | 0.03% | 1.38% | 0.68% | 2.44% | 0.84% | 0.09% | -0.44% | 0.56% | 1.36% | 0.29% | 7.43% |
Benchmark Metrics
Alpha Architect Tail Risk ETF has an annualized alpha of 5.72%, beta of -0.04, and R2 of 0.02 versus S&P 500 Index. Calculated based on daily prices since March 06, 2023.
- This ETF captured 12.60% of S&P 500 Index gains and tended to rise during its downturns (downside capture of -5.07%) - a profile typical of hedging or uncorrelated assets.
- Beta of -0.04 may look defensive, but with R2 of 0.02 this ETF is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this ETF's risk.
- R2 of 0.02 means this ETF moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 5.72%
- Beta
- -0.04
- R²
- 0.02
- Upside Capture
- 12.60%
- Downside Capture
- -5.07%
Expense Ratio
CAOS has an expense ratio of 0.63%, placing it in the medium range.
Return for Risk
Risk / Return Rank
CAOS ranks 36 for risk / return — below 36% of ETFs on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Alpha Architect Tail Risk ETF (CAOS) and compare them to S&P 500 Index.
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.
| CAOS | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.93 | ||
| Sortino ratioReturn per unit of downside risk | -1.01 | ||
| Omega ratioGain probability vs. loss probability | 1.23 | 1.37 | -0.14 |
| Calmar ratioReturn relative to maximum drawdown | 2.17 | 2.78 | -0.61 |
| Martin ratioReturn relative to average drawdown | 5.23 | 12.44 | -7.21 |
Dividends
Dividend History
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Loading charts...
Worst Drawdowns
The table below displays the maximum drawdowns of the Alpha Architect Tail Risk ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Alpha Architect Tail Risk ETF was 3.89%, occurring on Mar 10, 2023. Recovery took 15 trading sessions.
The current Alpha Architect Tail Risk ETF drawdown is 1.14%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2023 pullback2023 | -3.89%Mar 2023 | 4d | 21d | 25dMar 2023 - Mar 2023 |
2025 selloff2025 | -3.60%May 2025 | 1mo | — | 1y 2moApr 2025 - now |
2024 pullback2024 | -2.07%Aug 2024 | 3d | 3mo 6d | 3mo 9dAug 2024 - Nov 2024 |
2023 pullback2023 | -1.62%May 2023 | 2d | 13d | 15dMay 2023 - May 2023 |
2023 pullback2023 | -1.52%Oct 2023 | 9d | 6d | 15dOct 2023 - Nov 2023 |
Drawdown Indicators
| CAOS | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -3.89% | -56.78% | +52.89% |
Max Drawdown (1Y)Largest decline over 1 year | -0.76% | -9.10% | +8.34% |
Max Drawdown (3Y)Largest decline over 3 years | -3.60% | -18.90% | +15.30% |
Max Drawdown (5Y)Largest decline over 5 years | — | -25.43% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -1.14% | -1.80% | +0.66% |
Average DrawdownAverage peak-to-trough decline | -0.92% | -10.71% | +9.79% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.32% | 2.03% | -1.71% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading charts...
Build a portfolio with CAOS
Add Alpha Architect Tail Risk ETF to a portfolio and analyze allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Analyzer with CAOS