ECML vs. CAOS

Last updated Aug 2, 2026

ECML (Euclidean Fundamental Value ETF) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - ECML is a Small Cap Value Equities fund actively managed by Euclidean, while CAOS is a Options Trading fund actively managed by Alpha Architect. Both are actively managed. Over the past 3 years, ECML returned 12.03%/yr vs 3.48%/yr for CAOS. Their -0.05 correlation means they have often moved in opposite directions in the past. ECML charges 0.95%/yr vs 0.63%/yr for CAOS.

Performance

ECML vs. CAOS - Performance Comparison

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

Returns By Period

In the year-to-date period, ECML achieves a 19.84% return, which is significantly higher than CAOS's 0.76% return.

ECML

• 1D: -0.08%
• 1M: 2.28%
• 6M: 13.37%
• YTD: 19.84%
• 1Y: 32.00%
• 3Y*: 12.03%
• 5Y*: —
• 10Y*: —
• ALL TIME*: 16.95%

CAOS

• 1D: -0.06%
• 1M: -0.01%
• 6M: 0.16%
• YTD: 0.76%
• 1Y: 1.73%
• 3Y*: 3.48%
• 5Y*: —
• 10Y*: —
• ALL TIME*: 4.70%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
CAOS Alpha Architect Tail Risk ETF	$6.81M	$5.39M	$5.09M
ECML Euclidean Fundamental Value ETF	$548.16K	$300.59K	$261.72K

ECML vs. CAOS - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
ECML Euclidean Fundamental Value ETF	19.84%	6.82%	2.37%	26.00%
CAOS Alpha Architect Tail Risk ETF	0.76%	2.55%	5.33%	5.78%

Correlation

The correlation between ECML and CAOS is -0.28, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	-0.28
Correlation (3Y) Balances recent behavior with more history.	-0.09
Correlation (All Time) Calculated using the full available price history since May 18, 2023	-0.05

Over the past year, the inverse relationship between ECML and CAOS has strengthened: their correlation has moved from -0.05 to -0.28, meaning they now move in opposite directions more often than their long-term average.

Return for Risk

ECML vs. CAOS — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

ECML

ECML Risk / Return Rank: 90
ECML Sharpe Ratio Rank: 90
ECML Sortino Ratio Rank: 92
ECML Omega Ratio Rank: 86
ECML Calmar Ratio Rank: 93
ECML Martin Ratio Rank: 88

CAOS

CAOS Risk / Return Rank: 56
CAOS Sharpe Ratio Rank: 49
CAOS Sortino Ratio Rank: 55
CAOS Omega Ratio Rank: 54
CAOS Calmar Ratio Rank: 72
CAOS Martin Ratio Rank: 48

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

ECML vs. CAOS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Euclidean Fundamental Value ETF (ECML) and Alpha Architect Tail Risk ETF (CAOS). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	ECML	CAOS	Difference
Sharpe ratio: Return per unit of total volatility	2.23	1.19	+1.03
Sortino ratio: Return per unit of downside risk	3.40	1.89	+1.51
Omega ratio: Gain probability vs. loss probability	1.38	1.24	+0.14
Calmar ratio: Return relative to maximum drawdown	4.46	2.47	+1.99
Martin ratio: Return relative to average drawdown	13.07	5.45	+7.63

ECML vs. CAOS - Sharpe Ratio Comparison

The current ECML Sharpe Ratio is 2.23, which is higher than the CAOS Sharpe Ratio of 1.19. The chart below compares the historical Sharpe Ratios of ECML and CAOS, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

ECML vs. CAOS - Drawdown Comparison

The maximum ECML drawdown since its inception was -24.66%, which is greater than CAOS's maximum drawdown of -3.89%. Use the drawdown chart below to compare losses from any high point for ECML and CAOS.

Drawdown Indicators

	ECML	CAOS	Difference
Max Drawdown Largest peak-to-trough decline	-24.66%	-3.89%	-20.77%
Max Drawdown (1Y) Largest decline over 1 year	-7.01%	-0.76%	-6.25%
Max Drawdown (3Y) Largest decline over 3 years	-24.66%	-3.60%	-21.06%
Current Drawdown Current decline from peak	-1.11%	-1.13%	+0.02%
Average Drawdown Average peak-to-trough decline	-5.62%	-0.92%	-4.70%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.39%	0.34%	+2.05%

Volatility

ECML vs. CAOS - Volatility Comparison

Euclidean Fundamental Value ETF (ECML) has a higher volatility of 3.32% compared to Alpha Architect Tail Risk ETF (CAOS) at 0.51%. This indicates that ECML's price experiences larger fluctuations and is considered to be riskier than CAOS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ECML	CAOS	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.32%	0.51%	+2.81%
Volatility (6M) Calculated over the trailing 6-month period	9.21%	1.07%	+8.14%
Volatility (1Y) Calculated over the trailing 1-year period	14.05%	1.57%	+12.48%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.12%	4.18%	+13.94%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.12%	4.18%	+13.94%

ECML vs. CAOS - Expense Ratio Comparison

ECML has a 0.95% expense ratio, which is higher than CAOS's 0.63% expense ratio.

Dividends

ECML vs. CAOS - Dividend Comparison

ECML's dividend yield for the trailing twelve months is around 1.15%, while CAOS has not paid dividends to shareholders.

Position	TTM	2025	2024	2023
CAOS Alpha Architect Tail Risk ETF	0.00%	0.00%	0.00%	0.00%
ECML Euclidean Fundamental Value ETF	1.15%	1.38%	0.98%	0.77%

Frequently Asked Questions

Can I hold both ECML and CAOS in my portfolio?

ECML and CAOS have a correlation of -0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ECML or CAOS?

ECML has higher volatility (3.32%) compared to CAOS (0.51%). In terms of maximum drawdown, ECML dropped -24.66% vs CAOS's -3.89%.

Which ETF is better, ECML or CAOS?

On 3-year performance, ECML leads with 12.03% vs 3.48% for CAOS. On fees, CAOS is cheaper at 0.63% per year. On volatility, CAOS has been the lower-risk option at 0.51%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ECML or CAOS?

Over the 3-year period, ECML has performed better with a 12.03% return vs 3.48%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ECML or CAOS?

CAOS is cheaper with a 0.63% expense ratio, compared with 0.95% for ECML.

Which ETF pays a higher dividend yield, ECML or CAOS?

ECML has the higher dividend yield at 1.15%, compared with 0.00% for CAOS.

What is the main difference between ECML and CAOS?

ECML is categorized as Small Cap Value Equities, while CAOS is Options Trading. They also come from different issuers: Euclidean and Alpha Architect. Their fees differ too: 0.95% for ECML and 0.63% for CAOS.

Which has better risk-adjusted returns?

ECML currently has the higher Sharpe Ratio (2.23 vs 1.19), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.