CAOS vs. SPY
Compare and contrast key facts about Alpha Architect Tail Risk ETF (CAOS) and SPDR S&P 500 ETF (SPY).
CAOS and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. CAOS is an actively managed fund by Alpha Architect. It was launched on Aug 14, 2013. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CAOS or SPY.
Key characteristics
| CAOS | SPY | |
|---|---|---|
| YTD Return | 4.96% | 27.16% |
| 1Y Return | 5.39% | 37.73% |
| Sharpe Ratio | 1.84 | 3.25 |
| Sortino Ratio | 2.87 | 4.32 |
| Omega Ratio | 1.66 | 1.61 |
| Calmar Ratio | 2.68 | 4.74 |
| Martin Ratio | 8.40 | 21.51 |
| Ulcer Index | 0.66% | 1.85% |
| Daily Std Dev | 3.02% | 12.20% |
| Max Drawdown | -3.41% | -55.19% |
| Current Drawdown | -0.08% | 0.00% |
Correlation
The correlation between CAOS and SPY is 0.47, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
CAOS vs. SPY - Performance Comparison
In the year-to-date period, CAOS achieves a 4.96% return, which is significantly lower than SPY's 27.16% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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CAOS vs. SPY - Expense Ratio Comparison
CAOS has a 0.63% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
CAOS vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect Tail Risk ETF (CAOS) and SPDR S&P 500 ETF (SPY). 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.
Dividends
CAOS vs. SPY - Dividend Comparison
CAOS has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.17%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
CAOS vs. SPY - Drawdown Comparison
The maximum CAOS drawdown since its inception was -3.41%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CAOS and SPY. For additional features, visit the drawdowns tool.
Volatility
CAOS vs. SPY - Volatility Comparison
The current volatility for Alpha Architect Tail Risk ETF (CAOS) is 0.29%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.92%. This indicates that CAOS experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.