CAOS vs. SVOL
Compare and contrast key facts about Alpha Architect Tail Risk ETF (CAOS) and Simplify Volatility Premium ETF (SVOL).
CAOS and SVOL 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. SVOL is an actively managed fund by Simplify Asset Management Inc.. It was launched on May 12, 2021.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CAOS or SVOL.
Key characteristics
| CAOS | SVOL | |
|---|---|---|
| YTD Return | 4.86% | 9.21% |
| 1Y Return | 5.51% | 12.36% |
| Sharpe Ratio | 1.82 | 1.07 |
| Sortino Ratio | 2.85 | 1.45 |
| Omega Ratio | 1.65 | 1.27 |
| Calmar Ratio | 2.66 | 1.18 |
| Martin Ratio | 8.33 | 7.69 |
| Ulcer Index | 0.66% | 1.67% |
| Daily Std Dev | 3.02% | 11.96% |
| Max Drawdown | -3.41% | -15.68% |
| Current Drawdown | -0.17% | -0.50% |
Correlation
The correlation between CAOS and SVOL is 0.28, 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. SVOL - Performance Comparison
In the year-to-date period, CAOS achieves a 4.86% return, which is significantly lower than SVOL's 9.21% 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. SVOL - Expense Ratio Comparison
CAOS has a 0.63% expense ratio, which is higher than SVOL's 0.50% expense ratio.
Risk-Adjusted Performance
CAOS vs. SVOL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect Tail Risk ETF (CAOS) and Simplify Volatility Premium ETF (SVOL). 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. SVOL - Dividend Comparison
CAOS has not paid dividends to shareholders, while SVOL's dividend yield for the trailing twelve months is around 16.37%.
| TTM | 2023 | 2022 | 2021 | |
|---|---|---|---|---|
CAOS Alpha Architect Tail Risk ETF | 0.00% | 0.00% | 0.00% | 0.00% |
SVOL Simplify Volatility Premium ETF | 16.37% | 16.37% | 18.31% | 4.65% |
Drawdowns
CAOS vs. SVOL - Drawdown Comparison
The maximum CAOS drawdown since its inception was -3.41%, smaller than the maximum SVOL drawdown of -15.68%. Use the drawdown chart below to compare losses from any high point for CAOS and SVOL. For additional features, visit the drawdowns tool.
Volatility
CAOS vs. SVOL - Volatility Comparison
The current volatility for Alpha Architect Tail Risk ETF (CAOS) is 0.27%, while Simplify Volatility Premium ETF (SVOL) has a volatility of 3.45%. This indicates that CAOS experiences smaller price fluctuations and is considered to be less risky than SVOL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.