CAOS vs. TAIL
Compare and contrast key facts about Alpha Architect Tail Risk ETF (CAOS) and Cambria Tail Risk ETF (TAIL).
CAOS and TAIL 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. TAIL is an actively managed fund by Cambria. It was launched on Apr 6, 2017.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CAOS or TAIL.
Key characteristics
| CAOS | TAIL | |
|---|---|---|
| YTD Return | 4.84% | -8.85% |
| 1Y Return | 5.42% | -7.36% |
| Sharpe Ratio | 1.82 | -0.66 |
| Sortino Ratio | 2.84 | -0.93 |
| Omega Ratio | 1.65 | 0.89 |
| Calmar Ratio | 2.65 | -0.15 |
| Martin Ratio | 8.31 | -1.17 |
| Ulcer Index | 0.66% | 6.70% |
| Daily Std Dev | 3.02% | 11.96% |
| Max Drawdown | -3.41% | -51.07% |
| Current Drawdown | -0.19% | -50.64% |
Correlation
The correlation between CAOS and TAIL is -0.22. 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.
Performance
CAOS vs. TAIL - Performance Comparison
In the year-to-date period, CAOS achieves a 4.84% return, which is significantly higher than TAIL's -8.85% 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. TAIL - Expense Ratio Comparison
CAOS has a 0.63% expense ratio, which is higher than TAIL's 0.59% expense ratio.
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.
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 3.54%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
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 | 3.54% | 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 -51.07%. Use the drawdown chart below to compare losses from any high point for CAOS and TAIL. For additional features, visit the drawdowns tool.
Volatility
CAOS vs. TAIL - Volatility Comparison
The current volatility for Alpha Architect Tail Risk ETF (CAOS) is 0.27%, while Cambria Tail Risk ETF (TAIL) has a volatility of 4.01%. 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.