PTF vs. CAOS
PTF (Invesco Dorsey Wright Technology Momentum ETF) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - PTF is a Momentum fund tracking the Dorsey Wright Technology Technical Leaders Index, while CAOS is a Options Trading fund actively managed by Alpha Architect. PTF is passively managed, while CAOS is actively managed. Over the past 3 years, PTF returned 29.39%/yr vs 3.63%/yr for CAOS. At a 0.01 correlation, their price movements are largely independent. PTF charges 0.60%/yr vs 0.63%/yr for CAOS.
Performance
PTF vs. CAOS - Performance Comparison
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Returns By Period
In the year-to-date period, PTF achieves a 42.26% return, which is significantly higher than CAOS's 0.84% return.
PTF
- 1D
- -3.81%
- 1M
- -20.00%
- 6M
- 31.78%
- YTD
- 42.26%
- 1Y
- 60.82%
- 3Y*
- 29.39%
- 5Y*
- 18.13%
- 10Y*
- 23.75%
CAOS
- 1D
- 0.06%
- 1M
- 0.12%
- 6M
- 0.30%
- YTD
- 0.84%
- 1Y
- 2.02%
- 3Y*
- 3.63%
- 5Y*
- —
- 10Y*
- —
PTF vs. CAOS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
PTF Invesco Dorsey Wright Technology Momentum ETF | 42.26% | 5.68% | 43.65% | 20.16% |
CAOS Alpha Architect Tail Risk ETF | 0.84% | 2.55% | 5.33% | 7.43% |
Correlation
The correlation between PTF and CAOS is -0.29, 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 | -0.29 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.08 |
Correlation (All Time) Calculated using the full available price history since Mar 6, 2023 | 0.01 |
The correlation between PTF 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
PTF vs. CAOS — Risk / Return Rank
PTF
CAOS
PTF vs. CAOS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Dorsey Wright Technology Momentum ETF (PTF) 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.
| PTF | CAOS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.03 | ||
| Sortino ratioReturn per unit of downside risk | -0.32 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.27 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.80 | 2.68 | +0.12 |
| Martin ratioReturn relative to average drawdown | 10.19 | 6.06 | +4.13 |
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Drawdowns
PTF vs. CAOS - Drawdown Comparison
The maximum PTF drawdown since its inception was -55.38%, which is greater than CAOS's maximum drawdown of -3.89%. Use the drawdown chart below to compare losses from any high point for PTF and CAOS.
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Drawdown Indicators
| PTF | CAOS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.38% | -3.89% | -51.49% |
Max Drawdown (1Y)Largest decline over 1 year | -21.86% | -0.76% | -21.10% |
Max Drawdown (3Y)Largest decline over 3 years | -36.11% | -3.60% | -32.51% |
Max Drawdown (5Y)Largest decline over 5 years | -44.88% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -44.88% | — | — |
Current DrawdownCurrent decline from peak | -21.36% | -1.04% | -20.32% |
Average DrawdownAverage peak-to-trough decline | -13.25% | -0.92% | -12.33% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.99% | 0.33% | +5.66% |
Volatility
PTF vs. CAOS - Volatility Comparison
Invesco Dorsey Wright Technology Momentum ETF (PTF) has a higher volatility of 22.58% compared to Alpha Architect Tail Risk ETF (CAOS) at 0.48%. This indicates that PTF'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
| PTF | CAOS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 22.58% | 0.48% | +22.10% |
Volatility (6M)Calculated over the trailing 6-month period | 37.35% | 1.09% | +36.26% |
Volatility (1Y)Calculated over the trailing 1-year period | 45.58% | 1.56% | +44.02% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 36.62% | 4.20% | +32.42% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 33.83% | 4.20% | +29.63% |
PTF vs. CAOS - Expense Ratio Comparison
PTF has a 0.60% expense ratio, which is lower than CAOS's 0.63% expense ratio.
Dividends
PTF vs. CAOS - Dividend Comparison
PTF's dividend yield for the trailing twelve months is around 0.01%, while CAOS has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
PTF Invesco Dorsey Wright Technology Momentum ETF | 0.01% | 0.21% | 0.00% | 0.07% | 0.00% | 0.00% | 0.00% | 0.00% | 0.08% | 0.04% | 0.26% |
Frequently Asked Questions
PTF 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.
PTF has higher volatility (22.58%) compared to CAOS (0.48%). In terms of maximum drawdown, PTF dropped -55.38% vs CAOS's -3.89%.
On 3-year performance, PTF leads with 29.39% vs 3.63% for CAOS. On fees, PTF is cheaper at 0.60% per year. On volatility, CAOS has been the lower-risk option at 0.48%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, PTF has performed better with a 29.39% return vs 3.63%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
PTF is cheaper with a 0.60% expense ratio, compared with 0.63% for CAOS.
PTF has the higher dividend yield at 0.01%, compared with 0.00% for CAOS.
PTF 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 PTF and 0.63% for CAOS.
PTF currently has the higher Sharpe Ratio (1.34 vs 1.31), 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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