SVAL vs. CAOS
SVAL (iShares US Small Cap Value Factor ETF) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - SVAL is a Small Cap Value Equities fund tracking the Russell 2000 Focused Value Select Index, while CAOS is a Options Trading fund actively managed by Alpha Architect. SVAL is passively managed, while CAOS is actively managed. Over the past 3 years, SVAL returned 16.07%/yr vs 3.48%/yr for CAOS. Their -0.01 correlation means they have often moved in opposite directions in the past. SVAL charges 0.20%/yr vs 0.63%/yr for CAOS.
Performance
SVAL vs. CAOS - Performance Comparison
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Returns By Period
In the year-to-date period, SVAL achieves a 25.30% return, which is significantly higher than CAOS's 0.76% return.
SVAL
- 1D
- 0.26%
- 1M
- 2.62%
- 6M
- 17.08%
- YTD
- 25.30%
- 1Y
- 43.73%
- 3Y*
- 16.07%
- 5Y*
- 9.86%
- 10Y*
- —
- ALL TIME*
- 17.62%
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 | |
| $620.93K | $633.76K | $608.86K |
SVAL vs. CAOS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
SVAL iShares US Small Cap Value Factor ETF | 25.30% | 8.23% | 7.54% | 5.06% |
CAOS Alpha Architect Tail Risk ETF | 0.76% | 2.55% | 5.33% | 7.43% |
Correlation
The correlation between SVAL and CAOS is -0.33, 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. | -0.33 |
Correlation (3Y) Balances recent behavior with more history. | -0.13 |
Correlation (All Time) Calculated using the full available price history since Mar 6, 2023 | -0.01 |
Over the past year, the inverse relationship between SVAL and CAOS has strengthened: their correlation has moved from -0.01 to -0.33, meaning they now move in opposite directions more often than their long-term average.
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Return for Risk
SVAL vs. CAOS — Risk / Return Rank
SVAL
CAOS
SVAL vs. CAOS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares US Small Cap Value Factor ETF (SVAL) 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.
| SVAL | CAOS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.22 | ||
| Sortino ratioReturn per unit of downside risk | +1.62 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.24 | +0.18 |
| Calmar ratioReturn relative to maximum drawdown | 4.59 | 2.47 | +2.12 |
| Martin ratioReturn relative to average drawdown | 15.49 | 5.45 | +10.05 |
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Drawdowns
SVAL vs. CAOS - Drawdown Comparison
The maximum SVAL drawdown since its inception was -27.44%, which is greater than CAOS's maximum drawdown of -3.89%. Use the drawdown chart below to compare losses from any high point for SVAL and CAOS.
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Drawdown Indicators
| SVAL | CAOS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.44% | -3.89% | -23.55% |
Max Drawdown (1Y)Largest decline over 1 year | -8.94% | -0.76% | -8.18% |
Max Drawdown (3Y)Largest decline over 3 years | -27.44% | -3.60% | -23.84% |
Max Drawdown (5Y)Largest decline over 5 years | -27.44% | — | — |
Current DrawdownCurrent decline from peak | -0.79% | -1.13% | +0.34% |
Average DrawdownAverage peak-to-trough decline | -8.29% | -0.92% | -7.37% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.64% | 0.34% | +2.30% |
Volatility
SVAL vs. CAOS - Volatility Comparison
iShares US Small Cap Value Factor ETF (SVAL) has a higher volatility of 3.19% compared to Alpha Architect Tail Risk ETF (CAOS) at 0.51%. This indicates that SVAL'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
| SVAL | CAOS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.19% | 0.51% | +2.68% |
Volatility (6M)Calculated over the trailing 6-month period | 10.99% | 1.07% | +9.92% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.03% | 1.57% | +15.46% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.01% | 4.18% | +17.83% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.04% | 4.18% | +18.86% |
SVAL vs. CAOS - Expense Ratio Comparison
SVAL has a 0.20% expense ratio, which is lower than CAOS's 0.63% expense ratio.
Dividends
SVAL vs. CAOS - Dividend Comparison
SVAL's dividend yield for the trailing twelve months is around 2.04%, while CAOS has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
CAOS Alpha Architect Tail Risk ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SVAL iShares US Small Cap Value Factor ETF | 2.04% | 2.33% | 1.82% | 2.25% | 2.09% | 2.33% | 0.28% |
Frequently Asked Questions
SVAL and CAOS have a correlation of -0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SVAL has higher volatility (3.19%) compared to CAOS (0.51%). In terms of maximum drawdown, SVAL dropped -27.44% vs CAOS's -3.89%.
On 3-year performance, SVAL leads with 16.07% vs 3.48% for CAOS. On fees, SVAL is cheaper at 0.20% 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, SVAL has performed better with a 16.07% return vs 3.48%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SVAL is cheaper with a 0.20% expense ratio, compared with 0.63% for CAOS.
SVAL has the higher dividend yield at 2.04%, compared with 0.00% for CAOS.
SVAL is categorized as Small Cap Value Equities, while CAOS is Options Trading. They also come from different issuers: iShares and Alpha Architect. Their fees differ too: 0.20% for SVAL and 0.63% for CAOS.
SVAL currently has the higher Sharpe Ratio (2.41 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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