SEPZ vs. CAOS

Last updated Jun 4, 2026

SEPZ (TrueShares Structured Outcome (September) ETF) and CAOS (Alpha Architect Tail Risk ETF) are both Options Trading funds. SEPZ is passively managed, while CAOS is actively managed. Over the past 3 years, SEPZ returned 16.43%/yr vs 4.26%/yr for CAOS. At a 0.08 correlation, their price movements are largely independent. SEPZ charges 0.80%/yr vs 0.63%/yr for CAOS.

Performance

SEPZ vs. CAOS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in TrueShares Structured Outcome (September) ETF (SEPZ) 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, SEPZ achieves a 8.19% return, which is significantly higher than CAOS's 0.82% return.

SEPZ

• 1D: -0.70%
• 1M: 4.17%
• YTD: 8.19%
• 6M: 8.10%
• 1Y: 20.60%
• 3Y*: 16.43%
• 5Y*: 11.53%
• 10Y*: —

CAOS

• 1D: 0.12%
• 1M: -0.09%
• YTD: 0.82%
• 6M: 0.69%
• 1Y: 1.88%
• 3Y*: 4.26%
• 5Y*: —
• 10Y*: —

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

SEPZ vs. CAOS - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
SEPZ TrueShares Structured Outcome (September) ETF	8.19%	13.18%	18.23%	13.40%
CAOS Alpha Architect Tail Risk ETF	0.82%	2.55%	5.33%	7.97%

Correlation

The correlation between SEPZ and CAOS is -0.36, 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	-0.36
Correlation (3Y) Calculated over the trailing 3-year period	-0.03
Correlation (All Time) Calculated using the full available price history since Mar 7, 2023	0.08

The correlation between SEPZ and CAOS shifts across timeframes, from -0.36 (1 year) to 0.08 (all time), reflecting how their relationship changes across market environments.

SEPZ vs. CAOS - Sectors Allocation Comparison

Sectors	SEPZ	CAOS
Technology	35.3%	33.1%
Financial Services	13.4%	12.4%
Consumer Cyclical	10.6%	10.0%
Communication Services	9.9%	10.4%
Healthcare	8.8%	9.6%
Industrials	7.8%	8.5%
Consumer Defensive	5.2%	5.4%
Energy	3.0%	4.1%
Utilities	2.5%	2.6%
Real Estate	2.0%	2.0%
Basic Materials	1.6%	1.9%

Return for Risk

SEPZ vs. CAOS — Risk / Return Rank

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

SEPZ

SEPZ Risk / Return Rank: 63
SEPZ Sharpe Ratio Rank: 62
SEPZ Sortino Ratio Rank: 64
SEPZ Omega Ratio Rank: 60
SEPZ Calmar Ratio Rank: 57
SEPZ Martin Ratio Rank: 69

CAOS

CAOS Risk / Return Rank: 40
CAOS Sharpe Ratio Rank: 34
CAOS Sortino Ratio Rank: 37
CAOS Omega Ratio Rank: 39
CAOS Calmar Ratio Rank: 49
CAOS Martin Ratio Rank: 39

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.

SEPZ vs. CAOS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for TrueShares Structured Outcome (September) ETF (SEPZ) 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.

	SEPZ	CAOS	Difference
Sharpe ratio: Return per unit of total volatility	2.08	1.24	+0.84
Sortino ratio: Return per unit of downside risk	2.96	1.98	+0.98
Omega ratio: Gain probability vs. loss probability	1.37	1.26	+0.11
Calmar ratio: Return relative to maximum drawdown	2.83	2.49	+0.34
Martin ratio: Return relative to average drawdown	12.83	6.22	+6.61
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SEPZ vs. CAOS - Sharpe Ratio Comparison

The current SEPZ Sharpe Ratio is 2.08, which is higher than the CAOS Sharpe Ratio of 1.24. The chart below compares the historical Sharpe Ratios of SEPZ 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.

Sharpe Ratios by Period

	SEPZ	CAOS	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.08	1.24	+0.84
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.94	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.05	1.21	-0.16

Drawdowns

SEPZ vs. CAOS - Drawdown Comparison

The maximum SEPZ drawdown since its inception was -15.22%, which is greater than CAOS's maximum drawdown of -3.60%. Use the drawdown chart below to compare losses from any high point for SEPZ and CAOS.

Drawdown Indicators

	SEPZ	CAOS	Difference
Max Drawdown Largest peak-to-trough decline	-15.22%	-3.60%	-11.62%
Max Drawdown (1Y) Largest decline over 1 year	-7.30%	-0.76%	-6.54%
Max Drawdown (3Y) Largest decline over 3 years	-14.57%	-3.60%	-10.97%
Max Drawdown (5Y) Largest decline over 5 years	-15.22%	—	—
Current Drawdown Current decline from peak	-0.87%	-1.07%	+0.20%
Average Drawdown Average peak-to-trough decline	-2.84%	-0.90%	-1.94%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.61%	0.30%	+1.31%

Volatility

SEPZ vs. CAOS - Volatility Comparison

TrueShares Structured Outcome (September) ETF (SEPZ) has a higher volatility of 2.68% compared to Alpha Architect Tail Risk ETF (CAOS) at 0.26%. This indicates that SEPZ'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

	SEPZ	CAOS	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.68%	0.26%	+2.42%
Volatility (6M) Calculated over the trailing 6-month period	7.28%	1.03%	+6.25%
Volatility (1Y) Calculated over the trailing 1-year period	9.97%	1.52%	+8.45%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.29%	4.26%	+8.03%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.46%	4.26%	+8.20%

SEPZ vs. CAOS - Expense Ratio Comparison

SEPZ has a 0.80% expense ratio, which is higher than CAOS's 0.63% expense ratio.

Dividends

SEPZ vs. CAOS - Dividend Comparison

SEPZ's dividend yield for the trailing twelve months is around 2.03%, while CAOS has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021
CAOS Alpha Architect Tail Risk ETF	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
SEPZ TrueShares Structured Outcome (September) ETF	2.03%	2.20%	3.62%	3.55%	0.69%	0.05%

Frequently Asked Questions

Can I hold both SEPZ and CAOS in my portfolio?

SEPZ and CAOS have a correlation of -0.36, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SEPZ or CAOS?

SEPZ has higher volatility (2.68%) compared to CAOS (0.26%). In terms of maximum drawdown, SEPZ dropped -15.22% vs CAOS's -3.60%.

Which ETF is better, SEPZ or CAOS?

On 3-year performance, SEPZ leads with 16.43% vs 4.26% for CAOS. On fees, CAOS is cheaper at 0.63% per year. On volatility, CAOS has been the lower-risk option at 0.26%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SEPZ or CAOS?

Over the 3-year period, SEPZ has performed better with a 16.43% return vs 4.26%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SEPZ or CAOS?

CAOS is cheaper with a 0.63% expense ratio, compared with 0.80% for SEPZ.

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

SEPZ has the higher dividend yield at 2.03%, compared with 0.00% for CAOS.

What is the main difference between SEPZ and CAOS?

They also come from different issuers: TrueShares and Alpha Architect. Their fees differ too: 0.80% for SEPZ and 0.63% for CAOS.

Which has better risk-adjusted returns?

SEPZ currently has the higher Sharpe Ratio (2.08 vs 1.24), 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.