Key stats
About Cambria Tail Risk ETF
Expense ratio
0.59%
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Inception date
Apr 6, 2017
TAIL holds a portfolio of primarily cash and US government bonds, but the primary strategy of the fund involves investing one percent of its holdings every month in out-of-the-money put options on the S&P 500 Index. The strategy involves buying more puts when volatility is low and fewer puts when volatility is high. The main purpose behind holding these options is hedging a portfolio against significant negative movement in the value of US equities, commonly referred to as tail risk. Cambria intends to target options that are 0 to 30% out of the money. Buying puts further out of the money reduces the price tag of this hedge, but also lessens the amount of downside protection provided.
Classification
What's in the fund
Exposure type
Government
Mutual fund
Bonds, Cash & Other100.00%
Government92.64%
Mutual fund15.64%
Rights & Warrants4.33%
Cash−12.61%
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