SPSM vs. CAOS
SPSM (State Street SPDR Portfolio S&P 600 Small Cap ETF) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - SPSM is a Small Cap Blend Equities fund tracking the S&P SmallCap 600 Index, while CAOS is a Options Trading fund actively managed by Alpha Architect. SPSM is passively managed, while CAOS is actively managed. Over the past 3 years, SPSM returned 16.39%/yr vs 3.95%/yr for CAOS. At a 0.01 correlation, their price movements are largely independent. SPSM charges 0.03%/yr vs 0.63%/yr for CAOS.
Performance
SPSM vs. CAOS - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, SPSM achieves a 19.74% return, which is significantly higher than CAOS's 0.75% return.
SPSM
- 1D
- 0.09%
- 1M
- 4.62%
- YTD
- 19.74%
- 6M
- 16.75%
- 1Y
- 36.81%
- 3Y*
- 16.39%
- 5Y*
- 6.72%
- 10Y*
- 11.51%
CAOS
- 1D
- 0.11%
- 1M
- -0.08%
- YTD
- 0.75%
- 6M
- 0.67%
- 1Y
- 1.64%
- 3Y*
- 3.95%
- 5Y*
- —
- 10Y*
- —
SPSM vs. CAOS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
SPSM State Street SPDR Portfolio S&P 600 Small Cap ETF | 19.74% | 6.11% | 8.55% | 5.55% |
CAOS Alpha Architect Tail Risk ETF | 0.75% | 2.55% | 5.33% | 7.43% |
Correlation
The correlation between SPSM and CAOS is -0.28, 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 | -0.28 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.10 |
Correlation (All Time) Calculated using the full available price history since Mar 6, 2023 | 0.01 |
The correlation between SPSM and CAOS shifts across timeframes, from -0.28 (1 year) to 0.01 (all time), reflecting how their relationship changes across market environments.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
SPSM vs. CAOS — Risk / Return Rank
SPSM
CAOS
SPSM vs. CAOS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for State Street SPDR Portfolio S&P 600 Small Cap ETF (SPSM) 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.
| SPSM | CAOS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.00 | ||
| Sortino ratioReturn per unit of downside risk | +1.25 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.23 | +0.13 |
| Calmar ratioReturn relative to maximum drawdown | 4.24 | 2.17 | +2.07 |
| Martin ratioReturn relative to average drawdown | 14.31 | 5.23 | +9.08 |
Loading charts...
Drawdowns
SPSM vs. CAOS - Drawdown Comparison
The maximum SPSM drawdown since its inception was -42.89%, which is greater than CAOS's maximum drawdown of -3.89%. Use the drawdown chart below to compare losses from any high point for SPSM and CAOS.
Loading charts...
Drawdown Indicators
| SPSM | CAOS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -42.89% | -3.89% | -39.00% |
Max Drawdown (1Y)Largest decline over 1 year | -8.72% | -0.76% | -7.96% |
Max Drawdown (3Y)Largest decline over 3 years | -27.94% | -3.60% | -24.34% |
Max Drawdown (5Y)Largest decline over 5 years | -27.94% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -42.89% | — | — |
Current DrawdownCurrent decline from peak | -0.07% | -1.14% | +1.07% |
Average DrawdownAverage peak-to-trough decline | -7.90% | -0.92% | -6.98% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.58% | 0.32% | +2.26% |
Volatility
SPSM vs. CAOS - Volatility Comparison
State Street SPDR Portfolio S&P 600 Small Cap ETF (SPSM) has a higher volatility of 4.90% compared to Alpha Architect Tail Risk ETF (CAOS) at 0.32%. This indicates that SPSM'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.
Loading charts...
Volatility by Period
| SPSM | CAOS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.90% | 0.32% | +4.58% |
Volatility (6M)Calculated over the trailing 6-month period | 12.03% | 1.05% | +10.98% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.68% | 1.50% | +16.18% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.42% | 4.23% | +17.19% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.01% | 4.23% | +18.78% |
SPSM vs. CAOS - Expense Ratio Comparison
SPSM has a 0.03% expense ratio, which is lower than CAOS's 0.63% expense ratio.
Dividends
SPSM vs. CAOS - Dividend Comparison
SPSM's dividend yield for the trailing twelve months is around 1.74%, 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% |
SPSM State Street SPDR Portfolio S&P 600 Small Cap ETF | 1.74% | 1.62% | 1.85% | 1.61% | 1.38% | 1.40% | 1.34% | 1.58% | 1.82% | 1.51% | 1.49% | 2.37% |
Frequently Asked Questions
SPSM 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.
SPSM has higher volatility (4.90%) compared to CAOS (0.32%). In terms of maximum drawdown, SPSM dropped -42.89% vs CAOS's -3.89%.
On 3-year performance, SPSM leads with 16.39% vs 3.95% for CAOS. On fees, SPSM is cheaper at 0.03% per year. On volatility, CAOS has been the lower-risk option at 0.32%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, SPSM has performed better with a 16.39% return vs 3.95%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPSM is cheaper with a 0.03% expense ratio, compared with 0.63% for CAOS.
SPSM has the higher dividend yield at 1.74%, compared with 0.00% for CAOS.
SPSM is categorized as Small Cap Blend Equities, while CAOS is Options Trading. They also come from different issuers: State Street and Alpha Architect. Their fees differ too: 0.03% for SPSM and 0.63% for CAOS.
SPSM currently has the higher Sharpe Ratio (2.10 vs 1.10), 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.
Find the right allocation for SPSM and CAOS
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer