ZJUL vs. CAOS

Last updated Aug 1, 2026

ZJUL (Innovator Equity Defined Protection ETF - 1 Yr July) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - ZJUL 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, ZJUL returned 5.96% vs 1.73% for CAOS. Their -0.24 correlation means they have often moved in opposite directions in the past. ZJUL charges 0.79%/yr vs 0.63%/yr for CAOS.

Performance

ZJUL vs. CAOS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Innovator Equity Defined Protection ETF - 1 Yr July (ZJUL) 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, ZJUL achieves a 3.32% return, which is significantly higher than CAOS's 0.76% return.

ZJUL

• 1D: 0.13%
• 1M: 0.27%
• 6M: 2.84%
• YTD: 3.32%
• 1Y: 5.96%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 7.19%

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
ZJUL Innovator Equity Defined Protection ETF - 1 Yr July	$1.56M	$2.90M	$1.70M

ZJUL vs. CAOS - Yearly Performance Comparison

	2026 (YTD)	2025	2024
ZJUL Innovator Equity Defined Protection ETF - 1 Yr July	3.32%	7.47%	4.06%
CAOS Alpha Architect Tail Risk ETF	0.76%	2.55%	3.15%

Correlation

The correlation between ZJUL and CAOS is -0.30, 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.	-0.30
Correlation (All Time) Calculated using the full available price history since Jul 1, 2024	-0.24

Return for Risk

ZJUL vs. CAOS — Risk / Return Rank

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

ZJUL

ZJUL Risk / Return Rank: 93
ZJUL Sharpe Ratio Rank: 92
ZJUL Sortino Ratio Rank: 94
ZJUL Omega Ratio Rank: 94
ZJUL Calmar Ratio Rank: 91
ZJUL Martin Ratio Rank: 96

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.

ZJUL vs. CAOS - Risk-Adjusted Trends Comparison

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

	ZJUL	CAOS	Difference
Sharpe ratio: Return per unit of total volatility	2.41	1.19	+1.22
Sortino ratio: Return per unit of downside risk	3.85	1.89	+1.96
Omega ratio: Gain probability vs. loss probability	1.50	1.24	+0.26
Calmar ratio: Return relative to maximum drawdown	4.11	2.47	+1.64
Martin ratio: Return relative to average drawdown	22.22	5.45	+16.78

ZJUL vs. CAOS - Sharpe Ratio Comparison

The current ZJUL Sharpe Ratio is 2.41, which is higher than the CAOS Sharpe Ratio of 1.19. The chart below compares the historical Sharpe Ratios of ZJUL 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

ZJUL vs. CAOS - Drawdown Comparison

The maximum ZJUL drawdown since its inception was -5.51%, which is greater than CAOS's maximum drawdown of -3.89%. Use the drawdown chart below to compare losses from any high point for ZJUL and CAOS.

Drawdown Indicators

	ZJUL	CAOS	Difference
Max Drawdown Largest peak-to-trough decline	-5.51%	-3.89%	-1.62%
Max Drawdown (1Y) Largest decline over 1 year	-1.43%	-0.76%	-0.67%
Max Drawdown (3Y) Largest decline over 3 years	—	-3.60%	—
Current Drawdown Current decline from peak	-0.07%	-1.13%	+1.06%
Average Drawdown Average peak-to-trough decline	-0.44%	-0.92%	+0.48%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.26%	0.34%	-0.08%

Volatility

ZJUL vs. CAOS - Volatility Comparison

Innovator Equity Defined Protection ETF - 1 Yr July (ZJUL) has a higher volatility of 0.72% compared to Alpha Architect Tail Risk ETF (CAOS) at 0.51%. This indicates that ZJUL'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

	ZJUL	CAOS	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.72%	0.51%	+0.21%
Volatility (6M) Calculated over the trailing 6-month period	1.85%	1.07%	+0.78%
Volatility (1Y) Calculated over the trailing 1-year period	2.45%	1.57%	+0.88%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.49%	4.18%	+0.31%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.49%	4.18%	+0.31%

ZJUL vs. CAOS - Expense Ratio Comparison

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

Dividends

ZJUL vs. CAOS - Dividend Comparison

Neither ZJUL nor CAOS has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both ZJUL and CAOS in my portfolio?

ZJUL and CAOS have a correlation of -0.30, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ZJUL or CAOS?

ZJUL has higher volatility (0.72%) compared to CAOS (0.51%). In terms of maximum drawdown, ZJUL dropped -5.51% vs CAOS's -3.89%.

Which ETF is better, ZJUL or CAOS?

On 1-year performance, ZJUL leads with 5.96% vs 1.73% for CAOS. On fees, CAOS is cheaper at 0.63% 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.

Which ETF has performed better, ZJUL or CAOS?

Over the 1-year period, ZJUL has performed better with a 5.96% return vs 1.73%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ZJUL or CAOS?

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

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

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

What is the main difference between ZJUL and CAOS?

ZJUL 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 ZJUL and 0.63% for CAOS.

Which has better risk-adjusted returns?

ZJUL 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.