GBTC vs. CAOS

Last updated Jun 23, 2026

GBTC (Grayscale Bitcoin Trust ETF) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - GBTC is a Cryptocurrency fund tracking the CoinDesk Bitcoin Benchmark Rate Index, while CAOS is a Options Trading fund actively managed by Alpha Architect. GBTC is passively managed, while CAOS is actively managed. Over the past 3 years, GBTC returned 37.57%/yr vs 3.95%/yr for CAOS. At a correlation of -0.05, they often move in opposite directions. GBTC charges 1.50%/yr vs 0.63%/yr for CAOS.

Performance

GBTC vs. CAOS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Grayscale Bitcoin Trust ETF (GBTC) 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, GBTC achieves a -26.92% return, which is significantly lower than CAOS's 0.75% return.

GBTC

• 1D: 2.38%
• 1M: -15.11%
• YTD: -26.92%
• 6M: -27.63%
• 1Y: -38.57%
• 3Y*: 37.57%
• 5Y*: 12.45%
• 10Y*: 45.36%

CAOS

• 1D: 0.11%
• 1M: -0.08%
• YTD: 0.75%
• 6M: 0.67%
• 1Y: 1.64%
• 3Y*: 3.95%
• 5Y*: —
• 10Y*: —

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

GBTC vs. CAOS - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
GBTC Grayscale Bitcoin Trust ETF	-26.92%	-7.65%	113.81%	207.73%
CAOS Alpha Architect Tail Risk ETF	0.75%	2.55%	5.33%	7.43%

Correlation

The correlation between GBTC 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	-0.09
Correlation (All Time) Calculated using the full available price history since Mar 6, 2023	-0.05

The correlation between GBTC and CAOS shifts across timeframes, from -0.22 (1 year) to -0.05 (all time), reflecting how their relationship changes across market environments.

Return for Risk

GBTC vs. CAOS — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

GBTC

GBTC Risk / Return Rank: 2
GBTC Sharpe Ratio Rank: 2
GBTC Sortino Ratio Rank: 2
GBTC Omega Ratio Rank: 3
GBTC Calmar Ratio Rank: 3
GBTC Martin Ratio Rank: 3

CAOS

CAOS Risk / Return Rank: 36
CAOS Sharpe Ratio Rank: 31
CAOS Sortino Ratio Rank: 34
CAOS Omega Ratio Rank: 35
CAOS Calmar Ratio Rank: 45
CAOS Martin Ratio Rank: 36

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

GBTC vs. CAOS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Grayscale Bitcoin Trust ETF (GBTC) 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.

	GBTC	CAOS	Difference
Sharpe ratio: Return per unit of total volatility	-0.88	1.10	-1.98
Sortino ratio: Return per unit of downside risk	-1.20	1.75	-2.95
Omega ratio: Gain probability vs. loss probability	0.87	1.23	-0.36
Calmar ratio: Return relative to maximum drawdown	-0.74	2.17	-2.91
Martin ratio: Return relative to average drawdown	-1.26	5.23	-6.49

GBTC vs. CAOS - Sharpe Ratio Comparison

The current GBTC Sharpe Ratio is -0.88, which is lower than the CAOS Sharpe Ratio of 1.10. The chart below compares the historical Sharpe Ratios of GBTC 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

GBTC vs. CAOS - Drawdown Comparison

The maximum GBTC drawdown since its inception was -89.91%, which is greater than CAOS's maximum drawdown of -3.89%. Use the drawdown chart below to compare losses from any high point for GBTC and CAOS.

Drawdown Indicators

	GBTC	CAOS	Difference
Max Drawdown Largest peak-to-trough decline	-89.91%	-3.89%	-86.02%
Max Drawdown (1Y) Largest decline over 1 year	-52.45%	-0.76%	-51.69%
Max Drawdown (3Y) Largest decline over 3 years	-52.45%	-3.60%	-48.85%
Max Drawdown (5Y) Largest decline over 5 years	-85.42%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-89.91%	—	—
Current Drawdown Current decline from peak	-49.24%	-1.14%	-48.10%
Average Drawdown Average peak-to-trough decline	-43.44%	-0.92%	-42.52%
Ulcer Index Depth and duration of drawdowns from previous peaks	30.63%	0.32%	+30.31%

Volatility

GBTC vs. CAOS - Volatility Comparison

Grayscale Bitcoin Trust ETF (GBTC) has a higher volatility of 12.87% compared to Alpha Architect Tail Risk ETF (CAOS) at 0.32%. This indicates that GBTC'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

	GBTC	CAOS	Difference
Volatility (1M) Calculated over the trailing 1-month period	12.87%	0.32%	+12.55%
Volatility (6M) Calculated over the trailing 6-month period	34.46%	1.05%	+33.41%
Volatility (1Y) Calculated over the trailing 1-year period	44.19%	1.50%	+42.69%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	62.12%	4.23%	+57.89%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	81.60%	4.23%	+77.37%

GBTC vs. CAOS - Expense Ratio Comparison

GBTC has a 1.50% expense ratio, which is higher than CAOS's 0.63% expense ratio.

Dividends

GBTC vs. CAOS - Dividend Comparison

Neither GBTC nor CAOS has paid dividends to shareholders.

Position	TTM	2025	2024	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%	0.00%	0.00%
GBTC Grayscale Bitcoin Trust ETF	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	5.61%

Frequently Asked Questions

Can I hold both GBTC and CAOS in my portfolio?

GBTC 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.

Which is riskier, GBTC or CAOS?

GBTC has higher volatility (12.87%) compared to CAOS (0.32%). In terms of maximum drawdown, GBTC dropped -89.91% vs CAOS's -3.89%.

Which ETF is better, GBTC or CAOS?

On 3-year performance, GBTC leads with 37.57% vs 3.95% for CAOS. On fees, CAOS is cheaper at 0.63% per year. On volatility, CAOS has been the lower-risk option at 0.32%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, GBTC or CAOS?

Over the 3-year period, GBTC has performed better with a 37.57% return vs 3.95%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, GBTC or CAOS?

CAOS is cheaper with a 0.63% expense ratio, compared with 1.50% for GBTC.

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

GBTC and CAOS have nearly identical dividend yields, around 0.00%.

What is the main difference between GBTC and CAOS?

GBTC is categorized as Cryptocurrency, while CAOS is Options Trading. They also come from different issuers: Grayscale and Alpha Architect. Their fees differ too: 1.50% for GBTC and 0.63% for CAOS.

Which has better risk-adjusted returns?

CAOS currently has the higher Sharpe Ratio (1.10 vs -0.88), 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.