ZSEP vs. CAOS

Last updated Aug 1, 2026

ZSEP (Innovator Equity Defined Protection ETF - 1 Yr September) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - ZSEP 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, ZSEP returned 6.50% vs 1.73% for CAOS. Their -0.26 correlation means they have often moved in opposite directions in the past. ZSEP charges 0.79%/yr vs 0.63%/yr for CAOS.

Performance

ZSEP vs. CAOS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Innovator Equity Defined Protection ETF - 1 Yr September (ZSEP) 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, ZSEP achieves a 3.46% return, which is significantly higher than CAOS's 0.76% return.

ZSEP

• 1D: 0.13%
• 1M: 0.43%
• 6M: 3.08%
• YTD: 3.46%
• 1Y: 6.50%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 6.15%

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
ZSEP Innovator Equity Defined Protection ETF - 1 Yr September	$67.71K	$172.39K	$462.24K

ZSEP vs. CAOS - Yearly Performance Comparison

	2026 (YTD)	2025	2024
ZSEP Innovator Equity Defined Protection ETF - 1 Yr September	3.46%	6.78%	1.42%
CAOS Alpha Architect Tail Risk ETF	0.76%	2.55%	2.03%

Correlation

The correlation between ZSEP and CAOS is -0.28, 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.	-0.28
Correlation (All Time) Calculated using the full available price history since Sep 3, 2024	-0.26

Return for Risk

ZSEP vs. CAOS — Risk / Return Rank

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

ZSEP

ZSEP Risk / Return Rank: 94
ZSEP Sharpe Ratio Rank: 94
ZSEP Sortino Ratio Rank: 94
ZSEP Omega Ratio Rank: 94
ZSEP Calmar Ratio Rank: 92
ZSEP 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.

ZSEP vs. CAOS - Risk-Adjusted Trends Comparison

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

	ZSEP	CAOS	Difference
Sharpe ratio: Return per unit of total volatility	2.59	1.19	+1.40
Sortino ratio: Return per unit of downside risk	3.88	1.89	+1.99
Omega ratio: Gain probability vs. loss probability	1.51	1.24	+0.28
Calmar ratio: Return relative to maximum drawdown	4.26	2.47	+1.79
Martin ratio: Return relative to average drawdown	21.67	5.45	+16.22

ZSEP vs. CAOS - Sharpe Ratio Comparison

The current ZSEP Sharpe Ratio is 2.59, which is higher than the CAOS Sharpe Ratio of 1.19. The chart below compares the historical Sharpe Ratios of ZSEP 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

ZSEP vs. CAOS - Drawdown Comparison

The maximum ZSEP drawdown since its inception was -3.97%, roughly equal to the maximum CAOS drawdown of -3.89%. Use the drawdown chart below to compare losses from any high point for ZSEP and CAOS.

Drawdown Indicators

	ZSEP	CAOS	Difference
Max Drawdown Largest peak-to-trough decline	-3.97%	-3.89%	-0.08%
Max Drawdown (1Y) Largest decline over 1 year	-1.45%	-0.76%	-0.69%
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	-0.35%	-0.92%	+0.57%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.29%	0.34%	-0.05%

Volatility

ZSEP vs. CAOS - Volatility Comparison

The current volatility for Innovator Equity Defined Protection ETF - 1 Yr September (ZSEP) is 0.45%, while Alpha Architect Tail Risk ETF (CAOS) has a volatility of 0.51%. This indicates that ZSEP 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

	ZSEP	CAOS	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.45%	0.51%	-0.06%
Volatility (6M) Calculated over the trailing 6-month period	1.76%	1.07%	+0.69%
Volatility (1Y) Calculated over the trailing 1-year period	2.38%	1.57%	+0.81%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.23%	4.18%	-0.95%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.23%	4.18%	-0.95%

ZSEP vs. CAOS - Expense Ratio Comparison

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

Dividends

ZSEP vs. CAOS - Dividend Comparison

Neither ZSEP nor CAOS has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both ZSEP and CAOS in my portfolio?

ZSEP and CAOS have a correlation of -0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ZSEP or CAOS?

CAOS has higher volatility (0.51%) compared to ZSEP (0.45%). In terms of maximum drawdown, ZSEP dropped -3.97% vs CAOS's -3.89%.

Which ETF is better, ZSEP or CAOS?

On 1-year performance, ZSEP leads with 6.50% vs 1.73% for CAOS. On fees, CAOS is cheaper at 0.63% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ZSEP or CAOS?

Over the 1-year period, ZSEP has performed better with a 6.50% return vs 1.73%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ZSEP or CAOS?

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

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

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

What is the main difference between ZSEP and CAOS?

ZSEP 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 ZSEP and 0.63% for CAOS.

Which has better risk-adjusted returns?

ZSEP currently has the higher Sharpe Ratio (2.59 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.