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CAOS vs. MAIN
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

CAOS vs. MAIN - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Alpha Architect Tail Risk ETF (CAOS) and Main Street Capital Corporation (MAIN). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
3.22%
15.90%
CAOS
MAIN

Returns By Period

In the year-to-date period, CAOS achieves a 4.84% return, which is significantly lower than MAIN's 34.45% return.


CAOS

YTD

4.84%

1M

0.20%

6M

3.22%

1Y

5.19%

5Y (annualized)

N/A

10Y (annualized)

N/A

MAIN

YTD

34.45%

1M

4.98%

6M

15.90%

1Y

42.92%

5Y (annualized)

13.57%

10Y (annualized)

13.82%

Key characteristics


CAOSMAIN
Sharpe Ratio1.683.07
Sortino Ratio2.633.90
Omega Ratio1.571.59
Calmar Ratio2.514.48
Martin Ratio7.8417.18
Ulcer Index0.66%2.50%
Daily Std Dev3.08%13.97%
Max Drawdown-3.41%-64.53%
Current Drawdown-0.33%0.00%

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Correlation

-0.50.00.51.00.2

The correlation between CAOS and MAIN is 0.19, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

CAOS vs. MAIN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Alpha Architect Tail Risk ETF (CAOS) and Main Street Capital Corporation (MAIN). 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.


Sharpe ratio
The chart of Sharpe ratio for CAOS, currently valued at 1.68, compared to the broader market0.002.004.006.001.683.07
The chart of Sortino ratio for CAOS, currently valued at 2.63, compared to the broader market-2.000.002.004.006.008.0010.0012.002.633.90
The chart of Omega ratio for CAOS, currently valued at 1.57, compared to the broader market0.501.001.502.002.503.001.571.59
The chart of Calmar ratio for CAOS, currently valued at 2.51, compared to the broader market0.005.0010.0015.002.514.48
The chart of Martin ratio for CAOS, currently valued at 7.84, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.8417.18
CAOS
MAIN

The current CAOS Sharpe Ratio is 1.68, which is lower than the MAIN Sharpe Ratio of 3.07. The chart below compares the historical Sharpe Ratios of CAOS and MAIN, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.68
3.07
CAOS
MAIN

Dividends

CAOS vs. MAIN - Dividend Comparison

CAOS has not paid dividends to shareholders, while MAIN's dividend yield for the trailing twelve months is around 7.62%.


TTM20232022202120202019201820172016201520142013
CAOS
Alpha Architect Tail Risk ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MAIN
Main Street Capital Corporation
7.62%8.70%7.97%5.74%6.99%6.76%8.43%7.02%7.42%9.15%8.72%8.18%

Drawdowns

CAOS vs. MAIN - Drawdown Comparison

The maximum CAOS drawdown since its inception was -3.41%, smaller than the maximum MAIN drawdown of -64.53%. Use the drawdown chart below to compare losses from any high point for CAOS and MAIN. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.33%
0
CAOS
MAIN

Volatility

CAOS vs. MAIN - Volatility Comparison

The current volatility for Alpha Architect Tail Risk ETF (CAOS) is 0.70%, while Main Street Capital Corporation (MAIN) has a volatility of 4.14%. This indicates that CAOS experiences smaller price fluctuations and is considered to be less risky than MAIN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
0.70%
4.14%
CAOS
MAIN