EA Series Trust - Alpha Architect Tail Risk ETF

10-Year Study

CAOS.US · · US · ETF

Executive Summary: EA Series Trust - Alpha Architect Tail Risk ETF has compounded at 5.2% annually over the last 10 years, with a maximum drawdown of 1.2% and an annualized volatility of 6.6%.

1Y CAGR
+2.2%
3Y CAGR
+4.8%
5Y CAGR
+5.2%
10Y CAGR
+5.2%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
1.2%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.35
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.53
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
2.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2024 · +5.3%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · 0.8%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
100%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.60.10.4-0.3————————0.8%
20250.3-0.00.20.80.20.1-0.00.80.00.5-0.1-0.12.6%
20240.40.50.6-1.21.20.70.70.40.80.80.10.45.3%
2023———1.40.72.40.80.1-0.40.61.40.37.4%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 6.6%. The dominant macroeconomic risk driver is QQQ.US, accounting for 28.7% of variance. Idiosyncratic stock-specific factors contribute 4.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2023-03-0110000
2023-04-0110138.33049667937
2023-05-0110206.784966121693
2023-06-0110456.20374283244
2023-07-0110543.965551777657
2023-08-0110553.179830938006
2023-09-0110506.410579491574
2023-10-0110565.198455929769
2023-11-0110709.241030293395
2023-12-0110740.308529734466
2024-01-0110777.992734547344
2024-02-0110831.766388945967
2024-03-0110894.302008661163
2024-04-0110765.935339797543
2024-05-0110895.852798982682
2024-06-0110967.964548933249
2024-07-0111046.408692696681
2024-08-0111087.892333797277
2024-09-0111175.382754436227
2024-10-0111260.03005948573
2024-11-0111266.49168582539
2024-12-0111313.015395470919
2025-01-0111349.200502972992
2025-02-0111344.16043442806
2025-03-0111366.259196509687
2025-04-0111452.5865244075
2025-05-0111470.679078158539
2025-06-0111481.01768030199
2025-07-0111476.494541864231
2025-08-0111566.311147985458
2025-09-0111570.57582136963
2025-10-0111633.512061917887
2025-11-0111618.133391229503
2025-12-0111602.108557907155
2026-01-0111672.281819955828
2026-02-0111678.743446295486
2026-03-0111729.144131744806
2026-04-0111698.128325314454
Annual Return Matrix
YearAnnual Return
20240.05332312979193432
20250.025554032442312025
20260.008276061797565015
Total Factor Risk
0.06607711351233428
VTI.US Exposure
0.03701653332371249
VEA.US Exposure
-0.04182519830501781
VWO.US Exposure
0.007561319435856549
QQQ.US Exposure
0.2866960835612611
VTV.US Exposure
0.2019916456562438
IJR.US Exposure
-0.017856359129853856
QUAL.US Exposure
0.014168042049933412
SHV.US Exposure
0.056373946877988905
TLT.US Exposure
0.0036844932393496972
LQD.US Exposure
-0.0029851263832755396
HYG.US Exposure
0.1368658402568882
GLD.US Exposure
0.003624104530983628
USO.US Exposure
-0.0022167951922466584
VNQ.US Exposure
0.03950154822286181
BTC-USD.CC Exposure
0.00807057152034508
CPER.US Exposure
-0.0018131789900091373
VIX.INDX Exposure
0.014143614698442056
UUP.US Exposure
0.06771202103696737
TIP.US Exposure
0.1468688512923465
Idiosyncratic Exposure
0.04241804229722221
Value Score
41.8
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
6.6%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →20.6x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$405.9B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-0.0%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+0.7%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
0.4% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.10
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is EA Series Trust - Alpha Architect Tail Risk ETF a high-risk investment?

EA Series Trust - Alpha Architect Tail Risk ETF (CAOS.US) has an annualized volatility of 6.6% and experienced a maximum drawdown of 1.2% over the last 10 years. Its primary macro risk driver is QQQ.US.

What is the 10-year return of CAOS.US?

Over the past 10 years, CAOS.US has generated a Compound Annual Growth Rate (CAGR) of 5.2%. It has had a positive return in 100% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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