VFMO vs. CAOS

Last updated Jun 9, 2026

VFMO (Vanguard U.S. Momentum Factor ETF) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - VFMO is a Momentum fund actively managed by Vanguard, while CAOS is a Options Trading fund actively managed by Alpha Architect. Both are actively managed. Over the past 3 years, VFMO returned 26.27%/yr vs 4.15%/yr for CAOS. At a 0.04 correlation, their price movements are largely independent. VFMO charges 0.13%/yr vs 0.63%/yr for CAOS.

Performance

VFMO vs. CAOS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard U.S. Momentum Factor ETF (VFMO) 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, VFMO achieves a 20.45% return, which is significantly higher than CAOS's 0.81% return.

VFMO

• 1D: 1.23%
• 1M: 0.42%
• YTD: 20.45%
• 6M: 18.24%
• 1Y: 37.84%
• 3Y*: 26.27%
• 5Y*: 13.14%
• 10Y*: —

CAOS

• 1D: -0.09%
• 1M: -0.08%
• YTD: 0.81%
• 6M: 0.65%
• 1Y: 1.88%
• 3Y*: 4.15%
• 5Y*: —
• 10Y*: —

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

VFMO vs. CAOS - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
VFMO Vanguard U.S. Momentum Factor ETF	20.45%	17.39%	26.14%	12.66%
CAOS Alpha Architect Tail Risk ETF	0.81%	2.55%	5.33%	7.97%

Correlation

The correlation between VFMO 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	-0.06
Correlation (All Time) Calculated using the full available price history since Mar 7, 2023	0.04

The correlation between VFMO and CAOS shifts across timeframes, from -0.29 (1 year) to 0.04 (all time), reflecting how their relationship changes across market environments.

VFMO vs. CAOS - Sectors Allocation Comparison

Sectors	VFMO	CAOS
Industrials	24.7%	8.5%
Healthcare	22.9%	9.6%
Technology	17.5%	33.1%
Consumer Cyclical	8.7%	10.0%
Energy	7.3%	4.1%
Financial Services	6.5%	12.4%
Basic Materials	6.4%	1.9%
Communication Services	3.4%	10.4%
Consumer Defensive	2.5%	5.4%
Utilities	0.2%	2.6%
Real Estate	0.1%	2.0%

Return for Risk

VFMO vs. CAOS — Risk / Return Rank

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

VFMO

VFMO Risk / Return Rank: 63
VFMO Sharpe Ratio Rank: 58
VFMO Sortino Ratio Rank: 53
VFMO Omega Ratio Rank: 54
VFMO Calmar Ratio Rank: 75
VFMO Martin Ratio Rank: 75

CAOS

CAOS Risk / Return Rank: 45
CAOS Sharpe Ratio Rank: 39
CAOS Sortino Ratio Rank: 43
CAOS Omega Ratio Rank: 44
CAOS Calmar Ratio Rank: 56
CAOS Martin Ratio Rank: 42

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.

VFMO vs. CAOS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Momentum Factor ETF (VFMO) 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.

	VFMO	CAOS	Difference
Sharpe ratio: Return per unit of total volatility	1.75	1.23	+0.52
Sortino ratio: Return per unit of downside risk	2.32	1.97	+0.35
Omega ratio: Gain probability vs. loss probability	1.30	1.25	+0.05
Calmar ratio: Return relative to maximum drawdown	3.46	2.49	+0.97
Martin ratio: Return relative to average drawdown	13.00	6.17	+6.83
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

VFMO vs. CAOS - Sharpe Ratio Comparison

The current VFMO Sharpe Ratio is 1.75, which is higher than the CAOS Sharpe Ratio of 1.23. The chart below compares the historical Sharpe Ratios of VFMO 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

	VFMO	CAOS	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.75	1.23	+0.52
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.61	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.64	1.21	-0.56

Drawdowns

VFMO vs. CAOS - Drawdown Comparison

The maximum VFMO drawdown since its inception was -36.77%, which is greater than CAOS's maximum drawdown of -3.60%. Use the drawdown chart below to compare losses from any high point for VFMO and CAOS.

Drawdown Indicators

	VFMO	CAOS	Difference
Max Drawdown Largest peak-to-trough decline	-36.77%	-3.60%	-33.17%
Max Drawdown (1Y) Largest decline over 1 year	-10.98%	-0.76%	-10.22%
Max Drawdown (3Y) Largest decline over 3 years	-24.40%	-3.60%	-20.80%
Max Drawdown (5Y) Largest decline over 5 years	-25.80%	—	—
Current Drawdown Current decline from peak	-3.42%	-1.08%	-2.34%
Average Drawdown Average peak-to-trough decline	-7.76%	-0.90%	-6.86%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.92%	0.31%	+2.61%

Volatility

VFMO vs. CAOS - Volatility Comparison

Vanguard U.S. Momentum Factor ETF (VFMO) has a higher volatility of 7.20% compared to Alpha Architect Tail Risk ETF (CAOS) at 0.29%. This indicates that VFMO'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

	VFMO	CAOS	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.20%	0.29%	+6.91%
Volatility (6M) Calculated over the trailing 6-month period	17.02%	1.04%	+15.98%
Volatility (1Y) Calculated over the trailing 1-year period	21.75%	1.53%	+20.22%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.80%	4.25%	+17.55%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.61%	4.25%	+19.36%

VFMO vs. CAOS - Expense Ratio Comparison

VFMO has a 0.13% expense ratio, which is lower than CAOS's 0.63% expense ratio.

Dividends

VFMO vs. CAOS - Dividend Comparison

VFMO's dividend yield for the trailing twelve months is around 0.64%, while CAOS has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
CAOS Alpha Architect Tail Risk ETF	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
VFMO Vanguard U.S. Momentum Factor ETF	0.64%	0.82%	0.72%	0.89%	1.72%	0.81%	0.45%	1.22%	0.70%

Frequently Asked Questions

Can I hold both VFMO and CAOS in my portfolio?

VFMO 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.

Which is riskier, VFMO or CAOS?

VFMO has higher volatility (7.20%) compared to CAOS (0.29%). In terms of maximum drawdown, VFMO dropped -36.77% vs CAOS's -3.60%.

Which ETF is better, VFMO or CAOS?

On 3-year performance, VFMO leads with 26.27% vs 4.15% for CAOS. On fees, VFMO is cheaper at 0.13% per year. On volatility, CAOS has been the lower-risk option at 0.29%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, VFMO or CAOS?

Over the 3-year period, VFMO has performed better with a 26.27% return vs 4.15%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, VFMO or CAOS?

VFMO is cheaper with a 0.13% expense ratio, compared with 0.63% for CAOS.

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

VFMO has the higher dividend yield at 0.64%, compared with 0.00% for CAOS.

What is the main difference between VFMO and CAOS?

VFMO is categorized as Momentum, while CAOS is Options Trading. They also come from different issuers: Vanguard and Alpha Architect. Their fees differ too: 0.13% for VFMO and 0.63% for CAOS.

Which has better risk-adjusted returns?

VFMO currently has the higher Sharpe Ratio (1.75 vs 1.23), 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.