ESML vs. CAOS
ESML (iShares ESG Aware MSCI USA Small-Cap ETF) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - ESML is a Small Cap Growth Equities fund tracking the MSCI USA Small Cap Extended ESG Focus Index, while CAOS is a Options Trading fund actively managed by Alpha Architect. ESML is passively managed, while CAOS is actively managed. Over the past 3 years, ESML returned 14.75%/yr vs 3.68%/yr for CAOS. At a 0.03 correlation, their price movements are largely independent. ESML charges 0.17%/yr vs 0.63%/yr for CAOS.
Performance
ESML vs. CAOS - Performance Comparison
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Returns By Period
In the year-to-date period, ESML achieves a 17.11% return, which is significantly higher than CAOS's 1.10% return.
ESML
- 1D
- -0.65%
- 1M
- -1.61%
- 6M
- 9.38%
- YTD
- 17.11%
- 1Y
- 27.91%
- 3Y*
- 14.75%
- 5Y*
- 7.68%
- 10Y*
- —
- ALL TIME*
- 10.68%
CAOS
- 1D
- 0.13%
- 1M
- 0.45%
- 6M
- 0.61%
- YTD
- 1.10%
- 1Y
- 2.10%
- 3Y*
- 3.68%
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 4.85%
ESML vs. CAOS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
ESML iShares ESG Aware MSCI USA Small-Cap ETF | 17.11% | 10.62% | 12.01% | 5.82% |
CAOS Alpha Architect Tail Risk ETF | 1.10% | 2.55% | 5.33% | 7.43% |
Correlation
The correlation between ESML and CAOS is -0.31, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.31 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.10 |
Correlation (All Time) Calculated using the full available price history since Mar 6, 2023 | 0.03 |
The correlation between ESML and CAOS shifts across timeframes, from -0.31 (1 year) to 0.03 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
ESML vs. CAOS — Risk / Return Rank
ESML
CAOS
ESML vs. CAOS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI USA Small-Cap ETF (ESML) 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.
| ESML | CAOS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.28 | ||
| Sortino ratioReturn per unit of downside risk | +0.24 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 1.28 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 3.10 | 2.79 | +0.31 |
| Martin ratioReturn relative to average drawdown | 11.08 | 6.28 | +4.81 |
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Drawdowns
ESML vs. CAOS - Drawdown Comparison
The maximum ESML drawdown since its inception was -41.97%, which is greater than CAOS's maximum drawdown of -3.89%. Use the drawdown chart below to compare losses from any high point for ESML and CAOS.
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Drawdown Indicators
| ESML | CAOS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.97% | -3.89% | -38.08% |
Max Drawdown (1Y)Largest decline over 1 year | -9.04% | -0.76% | -8.28% |
Max Drawdown (3Y)Largest decline over 3 years | -26.68% | -3.60% | -23.08% |
Max Drawdown (5Y)Largest decline over 5 years | -28.61% | — | — |
Current DrawdownCurrent decline from peak | -4.15% | -0.80% | -3.35% |
Average DrawdownAverage peak-to-trough decline | -8.85% | -0.92% | -7.93% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.53% | 0.34% | +2.19% |
Volatility
ESML vs. CAOS - Volatility Comparison
iShares ESG Aware MSCI USA Small-Cap ETF (ESML) has a higher volatility of 4.14% compared to Alpha Architect Tail Risk ETF (CAOS) at 0.51%. This indicates that ESML'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.
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Volatility by Period
| ESML | CAOS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.14% | 0.51% | +3.63% |
Volatility (6M)Calculated over the trailing 6-month period | 12.39% | 1.10% | +11.29% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.09% | 1.55% | +15.54% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.20% | 4.20% | +17.00% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.32% | 4.20% | +19.12% |
ESML vs. CAOS - Expense Ratio Comparison
ESML has a 0.17% expense ratio, which is lower than CAOS's 0.63% expense ratio.
Dividends
ESML vs. CAOS - Dividend Comparison
ESML's dividend yield for the trailing twelve months is around 0.93%, while CAOS has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
CAOS Alpha Architect Tail Risk ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ESML iShares ESG Aware MSCI USA Small-Cap ETF | 0.93% | 1.08% | 1.22% | 1.31% | 1.46% | 0.94% | 0.99% | 1.10% | 1.07% |
Frequently Asked Questions
ESML and CAOS have a correlation of -0.31, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ESML has higher volatility (4.14%) compared to CAOS (0.51%). In terms of maximum drawdown, ESML dropped -41.97% vs CAOS's -3.89%.
On 3-year performance, ESML leads with 14.75% vs 3.68% for CAOS. On fees, ESML is cheaper at 0.17% 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.
Over the 3-year period, ESML has performed better with a 14.75% return vs 3.68%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
ESML is cheaper with a 0.17% expense ratio, compared with 0.63% for CAOS.
ESML has the higher dividend yield at 0.93%, compared with 0.00% for CAOS.
ESML is categorized as Small Cap Growth Equities, while CAOS is Options Trading. They also come from different issuers: iShares and Alpha Architect. Their fees differ too: 0.17% for ESML and 0.63% for CAOS.
ESML currently has the higher Sharpe Ratio (1.64 vs 1.36), 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.
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