FXA vs. CAOS
FXA (Invesco CurrencyShares Australian Dollar Trust) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - FXA is a Currency fund tracking the USD/AUD Exchange Rate, while CAOS is a Options Trading fund actively managed by Alpha Architect. FXA is passively managed, while CAOS is actively managed. Over the past 3 years, FXA returned 3.89%/yr vs 4.26%/yr for CAOS. At a 0.05 correlation, their price movements are largely independent. FXA charges 0.40%/yr vs 0.63%/yr for CAOS.
Performance
FXA vs. CAOS - Performance Comparison
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Returns By Period
In the year-to-date period, FXA achieves a 7.28% return, which is significantly higher than CAOS's 0.82% return.
FXA
- 1D
- -0.71%
- 1M
- -0.48%
- YTD
- 7.28%
- 6M
- 8.49%
- 1Y
- 11.38%
- 3Y*
- 3.89%
- 5Y*
- -0.88%
- 10Y*
- 0.27%
CAOS
- 1D
- 0.12%
- 1M
- -0.09%
- YTD
- 0.82%
- 6M
- 0.69%
- 1Y
- 1.88%
- 3Y*
- 4.26%
- 5Y*
- —
- 10Y*
- —
FXA vs. CAOS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
FXA Invesco CurrencyShares Australian Dollar Trust | 7.28% | 9.10% | -7.75% | 2.34% |
CAOS Alpha Architect Tail Risk ETF | 0.82% | 2.55% | 5.33% | 7.97% |
Correlation
The correlation between FXA and CAOS is -0.22, 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 | -0.22 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.02 |
Correlation (All Time) Calculated using the full available price history since Mar 7, 2023 | 0.05 |
The correlation between FXA and CAOS shifts across timeframes, from -0.22 (1 year) to 0.05 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
FXA vs. CAOS — Risk / Return Rank
FXA
CAOS
FXA vs. CAOS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco CurrencyShares Australian Dollar Trust (FXA) 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.
| FXA | CAOS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.20 | ||
| Sortino ratioReturn per unit of downside risk | +0.09 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.26 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | 2.72 | 2.49 | +0.23 |
| Martin ratioReturn relative to average drawdown | 7.85 | 6.22 | +1.63 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| FXA | CAOS | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.44 | 1.24 | +0.20 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.09 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.03 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.14 | 1.21 | -1.07 |
Drawdowns
FXA vs. CAOS - Drawdown Comparison
The maximum FXA drawdown since its inception was -40.97%, which is greater than CAOS's maximum drawdown of -3.60%. Use the drawdown chart below to compare losses from any high point for FXA and CAOS.
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Drawdown Indicators
| FXA | CAOS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.97% | -3.60% | -37.37% |
Max Drawdown (1Y)Largest decline over 1 year | -4.21% | -0.76% | -3.45% |
Max Drawdown (3Y)Largest decline over 3 years | -13.02% | -3.60% | -9.42% |
Max Drawdown (5Y)Largest decline over 5 years | -21.05% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -27.99% | — | — |
Current DrawdownCurrent decline from peak | -24.43% | -1.07% | -23.36% |
Average DrawdownAverage peak-to-trough decline | -18.82% | -0.90% | -17.92% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.45% | 0.30% | +1.15% |
Volatility
FXA vs. CAOS - Volatility Comparison
Invesco CurrencyShares Australian Dollar Trust (FXA) has a higher volatility of 2.25% compared to Alpha Architect Tail Risk ETF (CAOS) at 0.26%. This indicates that FXA'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
| FXA | CAOS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.25% | 0.26% | +1.99% |
Volatility (6M)Calculated over the trailing 6-month period | 6.21% | 1.03% | +5.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.96% | 1.52% | +6.44% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.41% | 4.26% | +6.15% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.90% | 4.26% | +5.64% |
FXA vs. CAOS - Expense Ratio Comparison
FXA has a 0.40% expense ratio, which is lower than CAOS's 0.63% expense ratio.
Dividends
FXA vs. CAOS - Dividend Comparison
FXA's dividend yield for the trailing twelve months is around 0.95%, while CAOS has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CAOS Alpha Architect Tail Risk ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
FXA Invesco CurrencyShares Australian Dollar Trust | 0.95% | 1.16% | 1.66% | 0.98% | 0.05% | 0.00% | 0.03% | 0.53% | 1.04% | 0.83% | 1.01% | 1.52% |
Frequently Asked Questions
FXA and CAOS have a correlation of -0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FXA has higher volatility (2.25%) compared to CAOS (0.26%). In terms of maximum drawdown, FXA dropped -40.97% vs CAOS's -3.60%.
On 3-year performance, CAOS leads with 4.26% vs 3.89% for FXA. On fees, FXA is cheaper at 0.40% per year. On volatility, CAOS has been the lower-risk option at 0.26%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, CAOS has performed better with a 4.26% return vs 3.89%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FXA is cheaper with a 0.40% expense ratio, compared with 0.63% for CAOS.
FXA has the higher dividend yield at 0.95%, compared with 0.00% for CAOS.
FXA is categorized as Currency, while CAOS is Options Trading. They also come from different issuers: Invesco and Alpha Architect. Their fees differ too: 0.40% for FXA and 0.63% for CAOS.
FXA currently has the higher Sharpe Ratio (1.44 vs 1.24), 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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