ZVOL vs. CAOS
ZVOL (Volatility Premium Plus ETF) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - ZVOL is a Volatility fund tracking the S&P 500 VIX Mid Term Futures Inverse Daily Index, while CAOS is a Options Trading fund actively managed by Alpha Architect. ZVOL is passively managed, while CAOS is actively managed. Over the past 3 years, ZVOL returned 5.31%/yr vs 3.48%/yr for CAOS. Their -0.05 correlation means they have often moved in opposite directions in the past. ZVOL charges 1.35%/yr vs 0.63%/yr for CAOS.
Performance
ZVOL vs. CAOS - Performance Comparison
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Returns By Period
In the year-to-date period, ZVOL achieves a 4.86% return, which is significantly higher than CAOS's 0.76% return.
ZVOL
- 1D
- 0.86%
- 1M
- -0.77%
- 6M
- 5.30%
- YTD
- 4.86%
- 1Y
- 17.86%
- 3Y*
- 5.31%
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 14.36%
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%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $6.81M | $5.39M | $5.09M | |
| $569.54K | $429.96K | $368.17K |
ZVOL vs. CAOS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
ZVOL Volatility Premium Plus ETF | 4.86% | -10.71% | 9.27% | 51.85% |
CAOS Alpha Architect Tail Risk ETF | 0.76% | 2.55% | 5.33% | 6.39% |
Correlation
The correlation between ZVOL and CAOS is -0.35, 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. | -0.35 |
Correlation (3Y) Balances recent behavior with more history. | -0.13 |
Correlation (All Time) Calculated using the full available price history since Apr 19, 2023 | -0.05 |
Over the past year, the inverse relationship between ZVOL and CAOS has strengthened: their correlation has moved from -0.05 to -0.35, meaning they now move in opposite directions more often than their long-term average.
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Return for Risk
ZVOL vs. CAOS — Risk / Return Rank
ZVOL
CAOS
ZVOL vs. CAOS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Volatility Premium Plus ETF (ZVOL) 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.
| ZVOL | CAOS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.34 | ||
| Sortino ratioReturn per unit of downside risk | -0.53 | ||
| Omega ratioGain probability vs. loss probability | 1.16 | 1.24 | -0.08 |
| Calmar ratioReturn relative to maximum drawdown | 0.97 | 2.47 | -1.50 |
| Martin ratioReturn relative to average drawdown | 3.10 | 5.45 | -2.34 |
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Drawdowns
ZVOL vs. CAOS - Drawdown Comparison
The maximum ZVOL drawdown since its inception was -37.25%, which is greater than CAOS's maximum drawdown of -3.89%. Use the drawdown chart below to compare losses from any high point for ZVOL and CAOS.
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Drawdown Indicators
| ZVOL | CAOS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -37.25% | -3.89% | -33.36% |
Max Drawdown (1Y)Largest decline over 1 year | -16.46% | -0.76% | -15.70% |
Max Drawdown (3Y)Largest decline over 3 years | -37.25% | -3.60% | -33.65% |
Current DrawdownCurrent decline from peak | -16.47% | -1.13% | -15.34% |
Average DrawdownAverage peak-to-trough decline | -13.63% | -0.92% | -12.71% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.12% | 0.34% | +4.78% |
Volatility
ZVOL vs. CAOS - Volatility Comparison
Volatility Premium Plus ETF (ZVOL) has a higher volatility of 3.16% compared to Alpha Architect Tail Risk ETF (CAOS) at 0.51%. This indicates that ZVOL'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.
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Volatility by Period
| ZVOL | CAOS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.16% | 0.51% | +2.65% |
Volatility (6M)Calculated over the trailing 6-month period | 13.68% | 1.07% | +12.61% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.73% | 1.57% | +17.16% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 28.73% | 4.18% | +24.55% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 28.73% | 4.18% | +24.55% |
ZVOL vs. CAOS - Expense Ratio Comparison
ZVOL has a 1.35% expense ratio, which is higher than CAOS's 0.63% expense ratio.
Dividends
ZVOL vs. CAOS - Dividend Comparison
ZVOL's dividend yield for the trailing twelve months is around 74.74%, while CAOS has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 |
|---|---|---|---|---|
CAOS Alpha Architect Tail Risk ETF | 0.00% | 0.00% | 0.00% | 0.00% |
ZVOL Volatility Premium Plus ETF | 74.74% | 53.44% | 30.68% | 0.55% |
Frequently Asked Questions
ZVOL and CAOS have a correlation of -0.35, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ZVOL has higher volatility (3.16%) compared to CAOS (0.51%). In terms of maximum drawdown, ZVOL dropped -37.25% vs CAOS's -3.89%.
On 3-year performance, ZVOL leads with 5.31% vs 3.48% 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.
Over the 3-year period, ZVOL has performed better with a 5.31% return vs 3.48%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CAOS is cheaper with a 0.63% expense ratio, compared with 1.35% for ZVOL.
ZVOL has the higher dividend yield at 74.74%, compared with 0.00% for CAOS.
ZVOL is categorized as Volatility, while CAOS is Options Trading. They also come from different issuers: Volatility Shares and Alpha Architect. Their fees differ too: 1.35% for ZVOL and 0.63% for CAOS.
CAOS currently has the higher Sharpe Ratio (1.19 vs 0.85), 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.
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