PRN vs. CAOS
PRN (Invesco Dorsey Wright Industrials Momentum ETF) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - PRN is a Momentum fund tracking the Dorsey Wright Industrials Technical Leaders Index, while CAOS is a Options Trading fund actively managed by Alpha Architect. PRN is passively managed, while CAOS is actively managed. Over the past 3 years, PRN returned 25.97%/yr vs 3.48%/yr for CAOS. Their 0.01 correlation means their historical movements had little consistent relationship. PRN charges 0.60%/yr vs 0.63%/yr for CAOS.
Performance
PRN vs. CAOS - Performance Comparison
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Returns By Period
In the year-to-date period, PRN achieves a 23.45% return, which is significantly higher than CAOS's 0.76% return.
PRN
- 1D
- 1.01%
- 1M
- -8.35%
- 6M
- 11.82%
- YTD
- 23.45%
- 1Y
- 34.52%
- 3Y*
- 25.97%
- 5Y*
- 16.85%
- 10Y*
- 16.36%
- ALL TIME*
- 12.07%
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 | |
| $11.92M | $11.20M | $10.20M |
PRN vs. CAOS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
PRN Invesco Dorsey Wright Industrials Momentum ETF | 23.45% | 13.74% | 30.35% | 21.38% |
CAOS Alpha Architect Tail Risk ETF | 0.76% | 2.55% | 5.33% | 7.43% |
Correlation
The correlation between PRN 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. | -0.09 |
Correlation (All Time) Calculated using the full available price history since Mar 6, 2023 | 0.01 |
The correlation between PRN and CAOS shifts across timeframes, from -0.29 (1 year) to 0.01 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
PRN vs. CAOS — Risk / Return Rank
PRN
CAOS
PRN vs. CAOS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Dorsey Wright Industrials Momentum ETF (PRN) 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.
| PRN | CAOS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.27 | ||
| Sortino ratioReturn per unit of downside risk | -0.50 | ||
| Omega ratioGain probability vs. loss probability | 1.18 | 1.24 | -0.06 |
| Calmar ratioReturn relative to maximum drawdown | 1.28 | 2.47 | -1.19 |
| Martin ratioReturn relative to average drawdown | 5.15 | 5.45 | -0.30 |
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Drawdowns
PRN vs. CAOS - Drawdown Comparison
The maximum PRN drawdown since its inception was -59.88%, which is greater than CAOS's maximum drawdown of -3.89%. Use the drawdown chart below to compare losses from any high point for PRN and CAOS.
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Drawdown Indicators
| PRN | CAOS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -59.88% | -3.89% | -55.99% |
Max Drawdown (1Y)Largest decline over 1 year | -24.60% | -0.76% | -23.84% |
Max Drawdown (3Y)Largest decline over 3 years | -30.78% | -3.60% | -27.18% |
Max Drawdown (5Y)Largest decline over 5 years | -34.84% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -36.27% | — | — |
Current DrawdownCurrent decline from peak | -17.94% | -1.13% | -16.81% |
Average DrawdownAverage peak-to-trough decline | -10.82% | -0.92% | -9.90% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.13% | 0.34% | +5.79% |
Volatility
PRN vs. CAOS - Volatility Comparison
Invesco Dorsey Wright Industrials Momentum ETF (PRN) has a higher volatility of 15.11% compared to Alpha Architect Tail Risk ETF (CAOS) at 0.51%. This indicates that PRN'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
| PRN | CAOS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 15.11% | 0.51% | +14.60% |
Volatility (6M)Calculated over the trailing 6-month period | 28.53% | 1.07% | +27.46% |
Volatility (1Y)Calculated over the trailing 1-year period | 34.23% | 1.57% | +32.66% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 26.30% | 4.18% | +22.12% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 24.88% | 4.18% | +20.70% |
PRN vs. CAOS - Expense Ratio Comparison
PRN has a 0.60% expense ratio, which is lower than CAOS's 0.63% expense ratio.
Dividends
PRN vs. CAOS - Dividend Comparison
PRN's dividend yield for the trailing twelve months is around 0.10%, 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% |
PRN Invesco Dorsey Wright Industrials Momentum ETF | 0.10% | 0.17% | 0.39% | 0.52% | 0.82% | 0.11% | 0.10% | 0.42% | 0.29% | 0.60% | 0.57% | 0.44% |
Frequently Asked Questions
PRN 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.
PRN has higher volatility (15.11%) compared to CAOS (0.51%). In terms of maximum drawdown, PRN dropped -59.88% vs CAOS's -3.89%.
On 3-year performance, PRN leads with 25.97% vs 3.48% for CAOS. On fees, PRN is cheaper at 0.60% 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, PRN has performed better with a 25.97% return vs 3.48%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
PRN is cheaper with a 0.60% expense ratio, compared with 0.63% for CAOS.
PRN has the higher dividend yield at 0.10%, compared with 0.00% for CAOS.
PRN is categorized as Momentum, while CAOS is Options Trading. They also come from different issuers: Invesco and Alpha Architect. Their fees differ too: 0.60% for PRN and 0.63% for CAOS.
CAOS currently has the higher Sharpe Ratio (1.19 vs 0.92), 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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