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

Key characteristics


CAOSSVIX
YTD Return4.84%-24.70%
1Y Return5.42%-2.10%
Sharpe Ratio1.82-0.09
Sortino Ratio2.840.37
Omega Ratio1.651.07
Calmar Ratio2.65-0.10
Martin Ratio8.31-0.24
Ulcer Index0.66%25.70%
Daily Std Dev3.02%70.80%
Max Drawdown-3.41%-62.55%
Current Drawdown-0.19%-44.00%

Correlation

-0.50.00.51.00.3

The correlation between CAOS and SVIX is 0.31, 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.

Performance

CAOS vs. SVIX - Performance Comparison

In the year-to-date period, CAOS achieves a 4.84% return, which is significantly higher than SVIX's -24.70% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%50.00%100.00%150.00%JuneJulyAugustSeptemberOctoberNovember
13.20%
52.50%
CAOS
SVIX

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CAOS vs. SVIX - Expense Ratio Comparison

CAOS has a 0.63% expense ratio, which is lower than SVIX's 1.47% expense ratio.


SVIX
Volatility Shares -1x Short VIX Futures ETF
Expense ratio chart for SVIX: current value at 1.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.47%
Expense ratio chart for CAOS: current value at 0.63% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.63%

Risk-Adjusted Performance

CAOS vs. SVIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Alpha Architect Tail Risk ETF (CAOS) and Volatility Shares -1x Short VIX Futures ETF (SVIX). 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
Sharpe ratio
The chart of Sharpe ratio for CAOS, currently valued at 1.82, compared to the broader market-2.000.002.004.001.82
Sortino ratio
The chart of Sortino ratio for CAOS, currently valued at 2.84, compared to the broader market0.005.0010.002.84
Omega ratio
The chart of Omega ratio for CAOS, currently valued at 1.65, compared to the broader market1.001.502.002.503.001.65
Calmar ratio
The chart of Calmar ratio for CAOS, currently valued at 2.65, compared to the broader market0.005.0010.0015.002.65
Martin ratio
The chart of Martin ratio for CAOS, currently valued at 8.31, compared to the broader market0.0020.0040.0060.0080.00100.008.31
SVIX
Sharpe ratio
The chart of Sharpe ratio for SVIX, currently valued at -0.09, compared to the broader market-2.000.002.004.00-0.09
Sortino ratio
The chart of Sortino ratio for SVIX, currently valued at 0.37, compared to the broader market0.005.0010.000.37
Omega ratio
The chart of Omega ratio for SVIX, currently valued at 1.07, compared to the broader market1.001.502.002.503.001.07
Calmar ratio
The chart of Calmar ratio for SVIX, currently valued at -0.10, compared to the broader market0.005.0010.0015.00-0.10
Martin ratio
The chart of Martin ratio for SVIX, currently valued at -0.24, compared to the broader market0.0020.0040.0060.0080.00100.00-0.24

CAOS vs. SVIX - Sharpe Ratio Comparison

The current CAOS Sharpe Ratio is 1.82, which is higher than the SVIX Sharpe Ratio of -0.09. The chart below compares the historical Sharpe Ratios of CAOS and SVIX, 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
1.82
-0.09
CAOS
SVIX

Dividends

CAOS vs. SVIX - Dividend Comparison

Neither CAOS nor SVIX has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

CAOS vs. SVIX - Drawdown Comparison

The maximum CAOS drawdown since its inception was -3.41%, smaller than the maximum SVIX drawdown of -62.55%. Use the drawdown chart below to compare losses from any high point for CAOS and SVIX. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.19%
-44.00%
CAOS
SVIX

Volatility

CAOS vs. SVIX - Volatility Comparison

The current volatility for Alpha Architect Tail Risk ETF (CAOS) is 0.27%, while Volatility Shares -1x Short VIX Futures ETF (SVIX) has a volatility of 17.67%. This indicates that CAOS experiences smaller price fluctuations and is considered to be less risky than SVIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%10.00%20.00%30.00%40.00%50.00%60.00%JuneJulyAugustSeptemberOctoberNovember
0.27%
17.67%
CAOS
SVIX