ZAUG vs. CAOS

Last updated Aug 1, 2026

ZAUG (Innovator Equity Defined Protection ETF - 1 Yr August) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - ZAUG is a Defined Outcome fund actively managed by Innovator, while CAOS is a Options Trading fund actively managed by Alpha Architect. Both are actively managed. Over the past year, ZAUG returned 6.51% vs 1.73% for CAOS. Their -0.28 correlation means they have often moved in opposite directions in the past. ZAUG charges 0.79%/yr vs 0.63%/yr for CAOS.

Performance

ZAUG vs. CAOS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Innovator Equity Defined Protection ETF - 1 Yr August (ZAUG) 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, ZAUG achieves a 3.65% return, which is significantly higher than CAOS's 0.76% return.

ZAUG

• 1D: 0.13%
• 1M: 0.45%
• 6M: 3.24%
• YTD: 3.65%
• 1Y: 6.51%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 7.09%

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%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
CAOS Alpha Architect Tail Risk ETF	$6.81M	$5.39M	$5.09M
ZAUG Innovator Equity Defined Protection ETF - 1 Yr August	$842.94K	$596.40K	$382.31K

ZAUG vs. CAOS - Yearly Performance Comparison

	2026 (YTD)	2025	2024
ZAUG Innovator Equity Defined Protection ETF - 1 Yr August	3.65%	7.38%	3.02%
CAOS Alpha Architect Tail Risk ETF	0.76%	2.55%	2.41%

Correlation

The correlation between ZAUG and CAOS is -0.31, 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.	-0.31
Correlation (All Time) Calculated using the full available price history since Aug 1, 2024	-0.28

Return for Risk

ZAUG vs. CAOS — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

ZAUG

ZAUG Risk / Return Rank: 94
ZAUG Sharpe Ratio Rank: 94
ZAUG Sortino Ratio Rank: 95
ZAUG Omega Ratio Rank: 95
ZAUG Calmar Ratio Rank: 89
ZAUG Martin Ratio Rank: 95

CAOS

CAOS Risk / Return Rank: 56
CAOS Sharpe Ratio Rank: 49
CAOS Sortino Ratio Rank: 55
CAOS Omega Ratio Rank: 54
CAOS Calmar Ratio Rank: 72
CAOS Martin Ratio Rank: 48

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

ZAUG vs. CAOS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Innovator Equity Defined Protection ETF - 1 Yr August (ZAUG) 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.

	ZAUG	CAOS	Difference
Sharpe ratio: Return per unit of total volatility	2.62	1.19	+1.42
Sortino ratio: Return per unit of downside risk	4.14	1.89	+2.25
Omega ratio: Gain probability vs. loss probability	1.57	1.24	+0.33
Calmar ratio: Return relative to maximum drawdown	3.76	2.47	+1.29
Martin ratio: Return relative to average drawdown	21.54	5.45	+16.09

ZAUG vs. CAOS - Sharpe Ratio Comparison

The current ZAUG Sharpe Ratio is 2.62, which is higher than the CAOS Sharpe Ratio of 1.19. The chart below compares the historical Sharpe Ratios of ZAUG 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.

Drawdowns

ZAUG vs. CAOS - Drawdown Comparison

The maximum ZAUG drawdown since its inception was -4.83%, which is greater than CAOS's maximum drawdown of -3.89%. Use the drawdown chart below to compare losses from any high point for ZAUG and CAOS.

Drawdown Indicators

	ZAUG	CAOS	Difference
Max Drawdown Largest peak-to-trough decline	-4.83%	-3.89%	-0.94%
Max Drawdown (1Y) Largest decline over 1 year	-1.72%	-0.76%	-0.96%
Max Drawdown (3Y) Largest decline over 3 years	—	-3.60%	—
Current Drawdown Current decline from peak	0.00%	-1.13%	+1.13%
Average Drawdown Average peak-to-trough decline	-0.39%	-0.92%	+0.53%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.30%	0.34%	-0.04%

Volatility

ZAUG vs. CAOS - Volatility Comparison

The current volatility for Innovator Equity Defined Protection ETF - 1 Yr August (ZAUG) is 0.30%, while Alpha Architect Tail Risk ETF (CAOS) has a volatility of 0.51%. This indicates that ZAUG experiences smaller price fluctuations and is considered to be less risky than CAOS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ZAUG	CAOS	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.30%	0.51%	-0.21%
Volatility (6M) Calculated over the trailing 6-month period	2.00%	1.07%	+0.93%
Volatility (1Y) Calculated over the trailing 1-year period	2.47%	1.57%	+0.90%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.48%	4.18%	+0.30%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.48%	4.18%	+0.30%

ZAUG vs. CAOS - Expense Ratio Comparison

ZAUG has a 0.79% expense ratio, which is higher than CAOS's 0.63% expense ratio.

Dividends

ZAUG vs. CAOS - Dividend Comparison

Neither ZAUG nor CAOS has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both ZAUG and CAOS in my portfolio?

ZAUG and CAOS have a correlation of -0.31, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ZAUG or CAOS?

CAOS has higher volatility (0.51%) compared to ZAUG (0.30%). In terms of maximum drawdown, ZAUG dropped -4.83% vs CAOS's -3.89%.

Which ETF is better, ZAUG or CAOS?

On 1-year performance, ZAUG leads with 6.51% vs 1.73% for CAOS. On fees, CAOS is cheaper at 0.63% per year. On volatility, ZAUG has been the lower-risk option at 0.30%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ZAUG or CAOS?

Over the 1-year period, ZAUG has performed better with a 6.51% return vs 1.73%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ZAUG or CAOS?

CAOS is cheaper with a 0.63% expense ratio, compared with 0.79% for ZAUG.

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

ZAUG and CAOS have nearly identical dividend yields, around 0.00%.

What is the main difference between ZAUG and CAOS?

ZAUG is categorized as Defined Outcome, while CAOS is Options Trading. They also come from different issuers: Innovator and Alpha Architect. Their fees differ too: 0.79% for ZAUG and 0.63% for CAOS.

Which has better risk-adjusted returns?

ZAUG currently has the higher Sharpe Ratio (2.62 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.