PEMX vs. CAOS
PEMX (Putnam Emerging Markets Ex-China ETF) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - PEMX is a Emerging Markets Equities fund actively managed by Putnam, while CAOS is a Options Trading fund actively managed by Alpha Architect. Both are actively managed. Over the past 3 years, PEMX returned 28.43%/yr vs 3.48%/yr for CAOS. Their -0.03 correlation means they have often moved in opposite directions in the past. PEMX charges 0.85%/yr vs 0.63%/yr for CAOS.
Performance
PEMX vs. CAOS - Performance Comparison
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Returns By Period
In the year-to-date period, PEMX achieves a 26.42% return, which is significantly higher than CAOS's 0.76% return.
PEMX
- 1D
- 1.09%
- 1M
- -7.11%
- 6M
- 15.00%
- YTD
- 26.42%
- 1Y
- 48.11%
- 3Y*
- 28.43%
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 29.45%
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%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $6.81M | $5.39M | $5.09M | |
| $78.06K | $81.41K | $258.35K |
PEMX vs. CAOS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
PEMX Putnam Emerging Markets Ex-China ETF | 26.42% | 34.01% | 17.21% | 15.13% |
CAOS Alpha Architect Tail Risk ETF | 0.76% | 2.55% | 5.33% | 5.78% |
Correlation
The correlation between PEMX and CAOS is -0.29, 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. | -0.29 |
Correlation (3Y) Balances recent behavior with more history. | -0.08 |
Correlation (All Time) Calculated using the full available price history since May 18, 2023 | -0.03 |
Over the past year, the inverse relationship between PEMX and CAOS has strengthened: their correlation has moved from -0.03 to -0.29, meaning they now move in opposite directions more often than their long-term average.
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Return for Risk
PEMX vs. CAOS — Risk / Return Rank
PEMX
CAOS
PEMX vs. CAOS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Putnam Emerging Markets Ex-China ETF (PEMX) 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.
| PEMX | CAOS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.56 | ||
| Sortino ratioReturn per unit of downside risk | +0.38 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.24 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 2.50 | 2.47 | +0.03 |
| Martin ratioReturn relative to average drawdown | 9.02 | 5.45 | +3.57 |
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Drawdowns
PEMX vs. CAOS - Drawdown Comparison
The maximum PEMX drawdown since its inception was -19.04%, which is greater than CAOS's maximum drawdown of -3.89%. Use the drawdown chart below to compare losses from any high point for PEMX and CAOS.
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Drawdown Indicators
| PEMX | CAOS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -19.04% | -3.89% | -15.15% |
Max Drawdown (1Y)Largest decline over 1 year | -19.04% | -0.76% | -18.28% |
Max Drawdown (3Y)Largest decline over 3 years | -19.04% | -3.60% | -15.44% |
Current DrawdownCurrent decline from peak | -14.50% | -1.13% | -13.37% |
Average DrawdownAverage peak-to-trough decline | -3.11% | -0.92% | -2.19% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.27% | 0.34% | +4.93% |
Volatility
PEMX vs. CAOS - Volatility Comparison
Putnam Emerging Markets Ex-China ETF (PEMX) has a higher volatility of 10.79% compared to Alpha Architect Tail Risk ETF (CAOS) at 0.51%. This indicates that PEMX'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
| PEMX | CAOS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.79% | 0.51% | +10.28% |
Volatility (6M)Calculated over the trailing 6-month period | 25.23% | 1.07% | +24.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 27.22% | 1.57% | +25.65% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.23% | 4.18% | +16.05% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.23% | 4.18% | +16.05% |
PEMX vs. CAOS - Expense Ratio Comparison
PEMX has a 0.85% expense ratio, which is higher than CAOS's 0.63% expense ratio.
Dividends
PEMX vs. CAOS - Dividend Comparison
PEMX's dividend yield for the trailing twelve months is around 5.54%, 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% |
PEMX Putnam Emerging Markets Ex-China ETF | 5.54% | 7.00% | 5.00% | 0.72% |
Frequently Asked Questions
PEMX and CAOS have a correlation of -0.29, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PEMX has higher volatility (10.79%) compared to CAOS (0.51%). In terms of maximum drawdown, PEMX dropped -19.04% vs CAOS's -3.89%.
On 3-year performance, PEMX leads with 28.43% 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.
Over the 3-year period, PEMX has performed better with a 28.43% return vs 3.48%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CAOS is cheaper with a 0.63% expense ratio, compared with 0.85% for PEMX.
PEMX has the higher dividend yield at 5.54%, compared with 0.00% for CAOS.
PEMX is categorized as Emerging Markets Equities, while CAOS is Options Trading. They also come from different issuers: Putnam and Alpha Architect. Their fees differ too: 0.85% for PEMX and 0.63% for CAOS.
PEMX currently has the higher Sharpe Ratio (1.75 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.
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