PGJ vs. CAOS
PGJ (Invesco Golden Dragon China ETF) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - PGJ is a China Equities fund tracking the Halter USX China Index, while CAOS is a Options Trading fund actively managed by Alpha Architect. PGJ is passively managed, while CAOS is actively managed. Over the past 3 years, PGJ returned -3.26%/yr vs 3.48%/yr for CAOS. Their -0.02 correlation means they have often moved in opposite directions in the past. PGJ charges 0.70%/yr vs 0.63%/yr for CAOS.
Performance
PGJ vs. CAOS - Performance Comparison
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Returns By Period
In the year-to-date period, PGJ achieves a -11.25% return, which is significantly lower than CAOS's 0.76% return.
PGJ
- 1D
- 1.58%
- 1M
- 11.64%
- 6M
- -13.65%
- YTD
- -11.25%
- 1Y
- -8.34%
- 3Y*
- -3.26%
- 5Y*
- -9.61%
- 10Y*
- 0.17%
- ALL TIME*
- 4.03%
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 | |
| $583.27K | $580.37K | $696.60K |
PGJ vs. CAOS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
PGJ Invesco Golden Dragon China ETF | -11.25% | 13.66% | 5.91% | -13.52% |
CAOS Alpha Architect Tail Risk ETF | 0.76% | 2.55% | 5.33% | 7.43% |
Correlation
The correlation between PGJ 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. | -0.12 |
Correlation (All Time) Calculated using the full available price history since Mar 6, 2023 | -0.02 |
Over the past year, the inverse relationship between PGJ and CAOS has strengthened: their correlation has moved from -0.02 to -0.28, meaning they now move in opposite directions more often than their long-term average.
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Return for Risk
PGJ vs. CAOS — Risk / Return Rank
PGJ
CAOS
PGJ vs. CAOS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Golden Dragon China ETF (PGJ) 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.
| PGJ | CAOS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.59 | ||
| Sortino ratioReturn per unit of downside risk | -2.31 | ||
| Omega ratioGain probability vs. loss probability | 0.95 | 1.24 | -0.29 |
| Calmar ratioReturn relative to maximum drawdown | -0.28 | 2.47 | -2.75 |
| Martin ratioReturn relative to average drawdown | -0.56 | 5.45 | -6.00 |
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Drawdowns
PGJ vs. CAOS - Drawdown Comparison
The maximum PGJ drawdown since its inception was -78.37%, which is greater than CAOS's maximum drawdown of -3.89%. Use the drawdown chart below to compare losses from any high point for PGJ and CAOS.
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Drawdown Indicators
| PGJ | CAOS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -78.37% | -3.89% | -74.48% |
Max Drawdown (1Y)Largest decline over 1 year | -35.08% | -0.76% | -34.32% |
Max Drawdown (3Y)Largest decline over 3 years | -35.08% | -3.60% | -31.48% |
Max Drawdown (5Y)Largest decline over 5 years | -62.75% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -78.37% | — | — |
Current DrawdownCurrent decline from peak | -66.17% | -1.13% | -65.04% |
Average DrawdownAverage peak-to-trough decline | -32.00% | -0.92% | -31.08% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 17.80% | 0.34% | +17.46% |
Volatility
PGJ vs. CAOS - Volatility Comparison
Invesco Golden Dragon China ETF (PGJ) has a higher volatility of 6.58% compared to Alpha Architect Tail Risk ETF (CAOS) at 0.51%. This indicates that PGJ'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
| PGJ | CAOS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.58% | 0.51% | +6.07% |
Volatility (6M)Calculated over the trailing 6-month period | 17.80% | 1.07% | +16.73% |
Volatility (1Y)Calculated over the trailing 1-year period | 24.97% | 1.57% | +23.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 43.15% | 4.18% | +38.97% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 36.74% | 4.18% | +32.56% |
PGJ vs. CAOS - Expense Ratio Comparison
PGJ has a 0.70% expense ratio, which is higher than CAOS's 0.63% expense ratio.
Dividends
PGJ vs. CAOS - Dividend Comparison
PGJ's dividend yield for the trailing twelve months is around 3.00%, 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% |
PGJ Invesco Golden Dragon China ETF | 3.00% | 3.38% | 4.70% | 2.50% | 0.84% | 0.00% | 0.30% | 0.17% | 0.31% | 2.05% | 1.94% | 0.37% |
Frequently Asked Questions
PGJ 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.
PGJ has higher volatility (6.58%) compared to CAOS (0.51%). In terms of maximum drawdown, PGJ dropped -78.37% vs CAOS's -3.89%.
On 3-year performance, CAOS leads with 3.48% vs -3.26% for PGJ. 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, CAOS has performed better with a 3.48% return vs -3.26%. 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 0.70% for PGJ.
PGJ has the higher dividend yield at 3.00%, compared with 0.00% for CAOS.
PGJ is categorized as China Equities, while CAOS is Options Trading. They also come from different issuers: Invesco and Alpha Architect. Their fees differ too: 0.70% for PGJ and 0.63% for CAOS.
CAOS currently has the higher Sharpe Ratio (1.19 vs -0.40), 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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