CAOS vs. SVXY
Compare and contrast key facts about Alpha Architect Tail Risk ETF (CAOS) and ProShares Short VIX Short-Term Futures ETF (SVXY).
CAOS and SVXY 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. SVXY is a passively managed fund by ProShares that tracks the performance of the S&P 500 VIX Short-Term Futures Index (-100%). It was launched on Oct 3, 2011.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CAOS or SVXY.
Performance
CAOS vs. SVXY - Performance Comparison
Returns By Period
In the year-to-date period, CAOS achieves a 4.91% return, which is significantly higher than SVXY's -2.77% return.
CAOS
4.91%
0.31%
3.36%
5.26%
N/A
N/A
SVXY
-2.77%
2.51%
-15.38%
5.16%
10.25%
-4.04%
Key characteristics
| CAOS | SVXY | |
|---|---|---|
| Sharpe Ratio | 1.73 | 0.12 |
| Sortino Ratio | 2.69 | 0.39 |
| Omega Ratio | 1.58 | 1.07 |
| Calmar Ratio | 2.57 | 0.06 |
| Martin Ratio | 8.04 | 0.37 |
| Ulcer Index | 0.66% | 12.89% |
| Daily Std Dev | 3.08% | 38.40% |
| Max Drawdown | -3.41% | -95.25% |
| Current Drawdown | -0.26% | -81.81% |
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CAOS vs. SVXY - Expense Ratio Comparison
CAOS has a 0.63% expense ratio, which is lower than SVXY's 1.38% expense ratio.
Correlation
The correlation between CAOS and SVXY is 0.29, 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. SVXY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect Tail Risk ETF (CAOS) and ProShares Short VIX Short-Term Futures ETF (SVXY). 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. SVXY - Dividend Comparison
Neither CAOS nor SVXY has paid dividends to shareholders.
Drawdowns
CAOS vs. SVXY - Drawdown Comparison
The maximum CAOS drawdown since its inception was -3.41%, smaller than the maximum SVXY drawdown of -95.25%. Use the drawdown chart below to compare losses from any high point for CAOS and SVXY. For additional features, visit the drawdowns tool.
Volatility
CAOS vs. SVXY - Volatility Comparison
The current volatility for Alpha Architect Tail Risk ETF (CAOS) is 0.70%, while ProShares Short VIX Short-Term Futures ETF (SVXY) has a volatility of 9.86%. This indicates that CAOS experiences smaller price fluctuations and is considered to be less risky than SVXY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.