CAOS vs. SGOV
CAOS (Alpha Architect Tail Risk ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - CAOS is a Options Trading fund actively managed by Alpha Architect, while SGOV is a Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. CAOS is actively managed, while SGOV is passively managed. Over the past 3 years, CAOS returned 4.26%/yr vs 4.72%/yr for SGOV. At a 0.10 correlation, their price movements are largely independent. CAOS charges 0.63%/yr vs 0.09%/yr for SGOV.
Performance
CAOS vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, CAOS achieves a 0.82% return, which is significantly lower than SGOV's 1.51% return.
CAOS
- 1D
- 0.12%
- 1M
- -0.09%
- YTD
- 0.82%
- 6M
- 0.69%
- 1Y
- 1.88%
- 3Y*
- 4.26%
- 5Y*
- —
- 10Y*
- —
SGOV
- 1D
- 0.01%
- 1M
- 0.29%
- YTD
- 1.51%
- 6M
- 1.80%
- 1Y
- 3.95%
- 3Y*
- 4.72%
- 5Y*
- 3.54%
- 10Y*
- —
CAOS vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
CAOS Alpha Architect Tail Risk ETF | 0.82% | 2.55% | 5.33% | 7.97% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.51% | 4.24% | 5.27% | 4.35% |
Correlation
The correlation between CAOS and SGOV is 0.21, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.21 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.12 |
Correlation (All Time) Calculated using the full available price history since Mar 7, 2023 | 0.10 |
The correlation between CAOS and SGOV shifts across timeframes, from 0.10 (all time) to 0.21 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
CAOS vs. SGOV — Risk / Return Rank
CAOS
SGOV
CAOS vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect Tail Risk ETF (CAOS) and iShares 0-3 Month Treasury Bond ETF (SGOV). 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.
| CAOS | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -19.04 | ||
| Sortino ratioReturn per unit of downside risk | -273.71 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 195.55 | -194.30 |
| Calmar ratioReturn relative to maximum drawdown | 2.49 | 398.20 | -395.71 |
| Martin ratioReturn relative to average drawdown | 6.22 | 4,462.00 | -4,455.78 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CAOS | SGOV | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.24 | 20.28 | -19.04 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 14.73 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.21 | 12.48 | -11.28 |
Drawdowns
CAOS vs. SGOV - Drawdown Comparison
The maximum CAOS drawdown since its inception was -3.60%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for CAOS and SGOV.
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Drawdown Indicators
| CAOS | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -3.60% | -0.03% | -3.57% |
Max Drawdown (1Y)Largest decline over 1 year | -0.76% | -0.01% | -0.75% |
Max Drawdown (3Y)Largest decline over 3 years | -3.60% | -0.01% | -3.59% |
Max Drawdown (5Y)Largest decline over 5 years | — | -0.03% | — |
Current DrawdownCurrent decline from peak | -1.07% | 0.00% | -1.07% |
Average DrawdownAverage peak-to-trough decline | -0.90% | -0.00% | -0.90% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.30% | 0.00% | +0.30% |
Volatility
CAOS vs. SGOV - Volatility Comparison
Alpha Architect Tail Risk ETF (CAOS) has a higher volatility of 0.26% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that CAOS's price experiences larger fluctuations and is considered to be riskier than SGOV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CAOS | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.26% | 0.05% | +0.21% |
Volatility (6M)Calculated over the trailing 6-month period | 1.03% | 0.13% | +0.90% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.52% | 0.20% | +1.32% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.26% | 0.24% | +4.02% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.26% | 0.24% | +4.02% |
CAOS vs. SGOV - Expense Ratio Comparison
CAOS has a 0.63% expense ratio, which is higher than SGOV's 0.09% expense ratio.
Dividends
CAOS vs. SGOV - Dividend Comparison
CAOS has not paid dividends to shareholders, while SGOV's dividend yield for the trailing twelve months is around 3.86%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
CAOS Alpha Architect Tail Risk ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.86% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% |
Frequently Asked Questions
CAOS and SGOV have a correlation of 0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CAOS has higher volatility (0.26%) compared to SGOV (0.05%). In terms of maximum drawdown, CAOS dropped -3.60% vs SGOV's -0.03%.
On 3-year performance, SGOV leads with 4.72% vs 4.26% for CAOS. On fees, SGOV is cheaper at 0.09% per year. On volatility, SGOV has been the lower-risk option at 0.05%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, SGOV has performed better with a 4.72% return vs 4.26%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SGOV is cheaper with a 0.09% expense ratio, compared with 0.63% for CAOS.
SGOV has the higher dividend yield at 3.86%, compared with 0.00% for CAOS.
CAOS is categorized as Options Trading, while SGOV is Ultrashort Bond. They also come from different issuers: Alpha Architect and iShares. Their fees differ too: 0.63% for CAOS and 0.09% for SGOV.
SGOV currently has the higher Sharpe Ratio (20.28 vs 1.24), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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