PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
CAOS vs. TAIL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

CAOS vs. TAIL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Alpha Architect Tail Risk ETF (CAOS) and Cambria Tail Risk ETF (TAIL). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.22%
-1.91%
CAOS
TAIL

Returns By Period

In the year-to-date period, CAOS achieves a 4.84% return, which is significantly higher than TAIL's -9.65% return.


CAOS

YTD

4.84%

1M

0.16%

6M

3.22%

1Y

5.19%

5Y (annualized)

N/A

10Y (annualized)

N/A

TAIL

YTD

-9.65%

1M

-3.00%

6M

-1.90%

1Y

-7.31%

5Y (annualized)

-9.12%

10Y (annualized)

N/A

Key characteristics


CAOSTAIL
Sharpe Ratio1.68-0.61
Sortino Ratio2.63-0.86
Omega Ratio1.570.90
Calmar Ratio2.51-0.14
Martin Ratio7.84-1.01
Ulcer Index0.66%7.21%
Daily Std Dev3.08%11.92%
Max Drawdown-3.41%-51.27%
Current Drawdown-0.33%-51.07%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


CAOS vs. TAIL - Expense Ratio Comparison

CAOS has a 0.63% expense ratio, which is higher than TAIL's 0.59% expense ratio.


CAOS
Alpha Architect Tail Risk ETF
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%
Expense ratio chart for TAIL: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%

Correlation

-0.50.00.51.0-0.2

The correlation between CAOS and TAIL is -0.21. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Risk-Adjusted Performance

CAOS vs. TAIL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Alpha Architect Tail Risk ETF (CAOS) and Cambria Tail Risk ETF (TAIL). 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.


Sharpe ratio
The chart of Sharpe ratio for CAOS, currently valued at 1.68, compared to the broader market0.002.004.001.68-0.61
The chart of Sortino ratio for CAOS, currently valued at 2.63, compared to the broader market-2.000.002.004.006.008.0010.0012.002.63-0.86
The chart of Omega ratio for CAOS, currently valued at 1.57, compared to the broader market0.501.001.502.002.503.001.570.90
The chart of Calmar ratio for CAOS, currently valued at 2.51, compared to the broader market0.005.0010.0015.002.51-0.32
The chart of Martin ratio for CAOS, currently valued at 7.84, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.84-1.01
CAOS
TAIL

The current CAOS Sharpe Ratio is 1.68, which is higher than the TAIL Sharpe Ratio of -0.61. The chart below compares the historical Sharpe Ratios of CAOS and TAIL, 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 Ratio-2.00-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
1.68
-0.61
CAOS
TAIL

Dividends

CAOS vs. TAIL - Dividend Comparison

CAOS has not paid dividends to shareholders, while TAIL's dividend yield for the trailing twelve months is around 3.58%.


TTM2023202220212020201920182017
CAOS
Alpha Architect Tail Risk ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TAIL
Cambria Tail Risk ETF
3.58%3.73%1.50%0.49%0.36%1.58%1.52%0.91%

Drawdowns

CAOS vs. TAIL - Drawdown Comparison

The maximum CAOS drawdown since its inception was -3.41%, smaller than the maximum TAIL drawdown of -51.27%. Use the drawdown chart below to compare losses from any high point for CAOS and TAIL. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.33%
-22.41%
CAOS
TAIL

Volatility

CAOS vs. TAIL - Volatility Comparison

The current volatility for Alpha Architect Tail Risk ETF (CAOS) is 0.70%, while Cambria Tail Risk ETF (TAIL) has a volatility of 3.58%. This indicates that CAOS experiences smaller price fluctuations and is considered to be less risky than TAIL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
0.70%
3.58%
CAOS
TAIL