SPYG vs. CAOS
SPYG (State Street SPDR Portfolio S&P 500 Growth ETF) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - SPYG is a S&P 500 fund tracking the S&P 500 Growth Index, while CAOS is a Options Trading fund actively managed by Alpha Architect. SPYG is passively managed, while CAOS is actively managed. Over the past 3 years, SPYG returned 24.76%/yr vs 3.60%/yr for CAOS. At a 0.07 correlation, their price movements are largely independent. SPYG charges 0.04%/yr vs 0.63%/yr for CAOS.
Performance
SPYG vs. CAOS - Performance Comparison
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Returns By Period
In the year-to-date period, SPYG achieves a 10.85% return, which is significantly higher than CAOS's 0.80% return.
SPYG
- 1D
- -1.66%
- 1M
- -0.66%
- 6M
- 10.35%
- YTD
- 10.85%
- 1Y
- 22.88%
- 3Y*
- 24.76%
- 5Y*
- 13.86%
- 10Y*
- 17.54%
CAOS
- 1D
- -0.04%
- 1M
- 0.13%
- 6M
- 0.30%
- YTD
- 0.80%
- 1Y
- 1.82%
- 3Y*
- 3.60%
- 5Y*
- —
- 10Y*
- —
SPYG vs. CAOS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
SPYG State Street SPDR Portfolio S&P 500 Growth ETF | 10.85% | 22.09% | 35.99% | 23.10% |
CAOS Alpha Architect Tail Risk ETF | 0.80% | 2.55% | 5.33% | 7.43% |
Correlation
The correlation between SPYG and CAOS is -0.32, 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 | -0.32 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.05 |
Correlation (All Time) Calculated using the full available price history since Mar 6, 2023 | 0.07 |
The correlation between SPYG and CAOS shifts across timeframes, from -0.32 (1 year) to 0.07 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
SPYG vs. CAOS — Risk / Return Rank
SPYG
CAOS
SPYG vs. CAOS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for State Street SPDR Portfolio S&P 500 Growth ETF (SPYG) 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.
| SPYG | CAOS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.12 | ||
| Sortino ratioReturn per unit of downside risk | -0.03 | ||
| Omega ratioGain probability vs. loss probability | 1.23 | 1.24 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | 1.67 | 2.41 | -0.74 |
| Martin ratioReturn relative to average drawdown | 6.38 | 5.44 | +0.95 |
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Drawdowns
SPYG vs. CAOS - Drawdown Comparison
The maximum SPYG drawdown since its inception was -67.63%, which is greater than CAOS's maximum drawdown of -3.89%. Use the drawdown chart below to compare losses from any high point for SPYG and CAOS.
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Drawdown Indicators
| SPYG | CAOS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -67.63% | -3.89% | -63.74% |
Max Drawdown (1Y)Largest decline over 1 year | -13.76% | -0.76% | -13.00% |
Max Drawdown (3Y)Largest decline over 3 years | -22.14% | -3.60% | -18.54% |
Max Drawdown (5Y)Largest decline over 5 years | -32.67% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -32.67% | — | — |
Current DrawdownCurrent decline from peak | -3.65% | -1.08% | -2.57% |
Average DrawdownAverage peak-to-trough decline | -24.23% | -0.92% | -23.31% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.59% | 0.34% | +3.25% |
Volatility
SPYG vs. CAOS - Volatility Comparison
State Street SPDR Portfolio S&P 500 Growth ETF (SPYG) has a higher volatility of 5.72% compared to Alpha Architect Tail Risk ETF (CAOS) at 0.48%. This indicates that SPYG'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
| SPYG | CAOS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.72% | 0.48% | +5.24% |
Volatility (6M)Calculated over the trailing 6-month period | 14.41% | 1.09% | +13.32% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.57% | 1.55% | +16.02% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.43% | 4.20% | +17.23% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.74% | 4.20% | +16.54% |
SPYG vs. CAOS - Expense Ratio Comparison
SPYG has a 0.04% expense ratio, which is lower than CAOS's 0.63% expense ratio.
Dividends
SPYG vs. CAOS - Dividend Comparison
SPYG's dividend yield for the trailing twelve months is around 0.49%, 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% |
SPYG State Street SPDR Portfolio S&P 500 Growth ETF | 0.49% | 0.52% | 0.60% | 1.15% | 1.03% | 0.62% | 0.90% | 1.37% | 1.51% | 1.41% | 1.55% | 1.57% |
Frequently Asked Questions
SPYG and CAOS have a correlation of -0.32, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPYG has higher volatility (5.72%) compared to CAOS (0.48%). In terms of maximum drawdown, SPYG dropped -67.63% vs CAOS's -3.89%.
On 3-year performance, SPYG leads with 24.76% vs 3.60% for CAOS. On fees, SPYG is cheaper at 0.04% 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, SPYG has performed better with a 24.76% return vs 3.60%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPYG is cheaper with a 0.04% expense ratio, compared with 0.63% for CAOS.
SPYG has the higher dividend yield at 0.49%, compared with 0.00% for CAOS.
SPYG is categorized as S&P 500, while CAOS is Options Trading. They also come from different issuers: State Street and Alpha Architect. Their fees differ too: 0.04% for SPYG and 0.63% for CAOS.
SPYG currently has the higher Sharpe Ratio (1.31 vs 1.19), 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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