CAOS vs TAIL

CAOSBAlpha Architect Tail Risk ETF

TAILBCambria Tail Risk ETF

In short

CAOS Most S&P 500 options funds sell calls to collect premium. CAOS runs the other way: it buys protective puts and put spreads on the index and parks collateral in box spreads. The hedge-first take in a room full of premium sellers, active since 2013.

TAIL A crash hedge with the budget written down: each month TAIL spends roughly 1% of assets on out-of-the-money S&P 500 puts and holds US Treasuries with the rest. Running since 2017, and Cambria says to expect negative returns in most periods.

Stated mandate

CAOS The Fund seeks maximum total return through capital appreciation and current income. Its strategy combines S&P 500-linked options, protective puts and put spreads, with collateral investments that may include box spreads.

TAIL The fund seeks to manage the risk of a substantial decline in domestic equities over rolling one-month periods by investing in cash and U.S. government bonds while using put options.

Why people hold it

• CAOS The contrarian in its cohort: it buys downside protection (protective puts and put spreads) on the S&P 500 rather than selling calls for income.alphaarchitect.com
• Collateral can sit in box spreads, an options structure used to earn a cash-like return, so the money backing the hedge isn't dead weight.alphaarchitect.com
• Running since 2013 as an actively managed 1940 Act ETF, and it sits in the upper half of its S&P 500 options peer group.

• TAIL The hedge budget sits in the prospectus: roughly 1% of assets a month on S&P 500 puts, targeted 0% to 30% out of the money, rolled every month. No black box.cambriafunds.com
• Premiums ride on top of intermediate US Treasuries and TIPS rather than idle cash, so the sleeve funding the hedge can earn income. Distributions come quarterly.cambriafunds.com
• 0.60% with no fee waiver in play, near the median for hedging ETFs and below CAOS at 0.63%.
• Live since 2017 through several volatility spikes: one of the longer-running dedicated tail-risk funds and among the stronger builds in its hedging peer group.

Worth knowing

• CAOS The 0.63% fee runs a touch above the middle of this peer group; IVVW and PBP charge less for their own S&P 500 options strategies.
• Protection has a price. Buying puts is an ongoing cost in calm, grinding-higher markets, which is the flip side of owning a hedge.alphaarchitect.com
• Actively managed, so results follow the manager's option choices rather than a published index formula you can look up in advance.alphaarchitect.com

• TAIL Cambria's own fact sheet says to expect negative returns in most periods. The steady drip of premium spending is the cost of carrying the options.cambriafunds.com
• The ballast is intermediate-term Treasuries, so rate moves matter. Stocks and bonds can fall together, and both sleeves can sag at once.cambriafunds.comcambriafunds.com 2
• Protection resets month by month, and puts that finish out of the money expire worthless.cambriafunds.com

Full CAOS profile⁠

Full TAIL profile⁠