XMMO vs. CAOS

Last updated Jun 9, 2026

XMMO (Invesco S&P MidCap Momentum ETF) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - XMMO is a Momentum fund tracking the S&P MidCap 400 Momentum Index, while CAOS is a Options Trading fund actively managed by Alpha Architect. XMMO is passively managed, while CAOS is actively managed. Over the past 3 years, XMMO returned 29.91%/yr vs 4.15%/yr for CAOS. At a 0.05 correlation, their price movements are largely independent. XMMO charges 0.35%/yr vs 0.63%/yr for CAOS.

Performance

XMMO vs. CAOS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P MidCap Momentum ETF (XMMO) 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, XMMO achieves a 19.66% return, which is significantly higher than CAOS's 0.81% return.

XMMO

• 1D: 0.46%
• 1M: -0.10%
• YTD: 19.66%
• 6M: 19.51%
• 1Y: 31.14%
• 3Y*: 29.91%
• 5Y*: 15.72%
• 10Y*: 19.50%

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)

XMMO vs. CAOS - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
XMMO Invesco S&P MidCap Momentum ETF	19.66%	13.04%	38.03%	14.68%
CAOS Alpha Architect Tail Risk ETF	0.81%	2.55%	5.33%	7.97%

Correlation

The correlation between XMMO and CAOS is -0.25, 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	-0.25
Correlation (3Y) Calculated over the trailing 3-year period	-0.04
Correlation (All Time) Calculated using the full available price history since Mar 7, 2023	0.05

The correlation between XMMO and CAOS shifts across timeframes, from -0.25 (1 year) to 0.05 (all time), reflecting how their relationship changes across market environments.

XMMO vs. CAOS - Sectors Allocation Comparison

Sectors	XMMO	CAOS
Industrials	41.1%	8.5%
Technology	16.7%	33.1%
Energy	7.7%	4.1%
Basic Materials	7.2%	1.9%
Healthcare	6.3%	9.6%
Real Estate	6.1%	2.0%
Utilities	5.8%	2.6%
Consumer Cyclical	4.6%	10.0%
Financial Services	2.4%	12.4%
Communication Services	1.6%	10.4%
Consumer Defensive	0.5%	5.4%

Return for Risk

XMMO vs. CAOS — Risk / Return Rank

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

XMMO

XMMO Risk / Return Rank: 64
XMMO Sharpe Ratio Rank: 53
XMMO Sortino Ratio Rank: 52
XMMO Omega Ratio Rank: 52
XMMO Calmar Ratio Rank: 80
XMMO Martin Ratio Rank: 83

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.

XMMO vs. CAOS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P MidCap Momentum ETF (XMMO) 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.

	XMMO	CAOS	Difference
Sharpe ratio: Return per unit of total volatility	1.63	1.23	+0.40
Sortino ratio: Return per unit of downside risk	2.29	1.97	+0.32
Omega ratio: Gain probability vs. loss probability	1.29	1.25	+0.04
Calmar ratio: Return relative to maximum drawdown	3.75	2.49	+1.26
Martin ratio: Return relative to average drawdown	15.23	6.17	+9.06
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

XMMO vs. CAOS - Sharpe Ratio Comparison

The current XMMO Sharpe Ratio is 1.63, which is higher than the CAOS Sharpe Ratio of 1.23. The chart below compares the historical Sharpe Ratios of XMMO 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

	XMMO	CAOS	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.63	1.23	+0.40
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.73	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.88	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.57	1.21	-0.64

Drawdowns

XMMO vs. CAOS - Drawdown Comparison

The maximum XMMO drawdown since its inception was -55.37%, which is greater than CAOS's maximum drawdown of -3.60%. Use the drawdown chart below to compare losses from any high point for XMMO and CAOS.

Drawdown Indicators

	XMMO	CAOS	Difference
Max Drawdown Largest peak-to-trough decline	-55.37%	-3.60%	-51.77%
Max Drawdown (1Y) Largest decline over 1 year	-8.34%	-0.76%	-7.58%
Max Drawdown (3Y) Largest decline over 3 years	-24.93%	-3.60%	-21.33%
Max Drawdown (5Y) Largest decline over 5 years	-27.91%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-36.74%	—	—
Current Drawdown Current decline from peak	-3.69%	-1.08%	-2.61%
Average Drawdown Average peak-to-trough decline	-9.45%	-0.90%	-8.55%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.07%	0.31%	+1.76%

Volatility

XMMO vs. CAOS - Volatility Comparison

Invesco S&P MidCap Momentum ETF (XMMO) has a higher volatility of 7.70% compared to Alpha Architect Tail Risk ETF (CAOS) at 0.29%. This indicates that XMMO'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

	XMMO	CAOS	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.70%	0.29%	+7.41%
Volatility (6M) Calculated over the trailing 6-month period	16.07%	1.04%	+15.03%
Volatility (1Y) Calculated over the trailing 1-year period	19.18%	1.53%	+17.65%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.52%	4.25%	+17.27%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.31%	4.25%	+18.06%

XMMO vs. CAOS - Expense Ratio Comparison

XMMO has a 0.35% expense ratio, which is lower than CAOS's 0.63% expense ratio.

Dividends

XMMO vs. CAOS - Dividend Comparison

XMMO's dividend yield for the trailing twelve months is around 0.62%, 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%
XMMO Invesco S&P MidCap Momentum ETF	0.62%	0.78%	0.34%	0.80%	1.43%	0.41%	0.61%	0.60%	0.19%	0.21%	0.22%	0.64%

Frequently Asked Questions

Can I hold both XMMO and CAOS in my portfolio?

XMMO and CAOS have a correlation of -0.25, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, XMMO or CAOS?

XMMO has higher volatility (7.70%) compared to CAOS (0.29%). In terms of maximum drawdown, XMMO dropped -55.37% vs CAOS's -3.60%.

Which ETF is better, XMMO or CAOS?

On 3-year performance, XMMO leads with 29.91% vs 4.15% for CAOS. On fees, XMMO is cheaper at 0.35% 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, XMMO or CAOS?

Over the 3-year period, XMMO has performed better with a 29.91% return vs 4.15%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, XMMO or CAOS?

XMMO is cheaper with a 0.35% expense ratio, compared with 0.63% for CAOS.

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

XMMO has the higher dividend yield at 0.62%, compared with 0.00% for CAOS.

What is the main difference between XMMO and CAOS?

XMMO is categorized as Momentum, while CAOS is Options Trading. They also come from different issuers: Invesco and Alpha Architect. Their fees differ too: 0.35% for XMMO and 0.63% for CAOS.

Which has better risk-adjusted returns?

XMMO currently has the higher Sharpe Ratio (1.63 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.