Cambria Tail Risk ETF

Cambria Tail Risk ETF (TAIL) is an actively managed fund that holds about 91% of its assets in US Treasury notes (as of July 31, 2026). It also spends roughly 1% of assets a month on S&P 500 put options, which are contracts that gain value when stocks fall sharply. It is designed to rise in a crash, as it did in early 2020. The cost of that insurance contributed to losses in five of its eight calendar years through 2025.

• Over the year to Oct 27, 2026, TAIL returned -13.4%.
• Its 5-year annualized return was -9.0%.
• In the 2020 COVID crash, while stocks fell, it gained 28.4%.
• Its worst full calendar year was 2019 (-14.3%); its best was 2020 (+6.9%).
• The deepest fall in its price history was 55.5% (Apr 2, 2020 to Oct 5, 2026), not yet recovered.

As of Jul 31, 2026, the fund held 1 securities; the ten largest made up 90.9% of assets, and 2.4% sat in cash and money-market holdings.

The bonds mature in 8.8 years on average (weighted by size), with an average coupon of 4.25%.

• Over the three months to Jul 31, 2026, investors withdrew a net $2.7M (creations minus redemptions, per the N-PORT report).
• Monthly total returns reported for that quarter: -2.25%, -0.24%, -2.09%.

TAIL does not track an index. Cambria Investment Management runs it actively, using a model-based approach and its own quantitative algorithm. Most of the money sits in cash and US government bonds. As of July 31, 2026, a single US Treasury note made up about 90.9% of net assets and cash about 2.4%. The bonds had an average maturity of 8.8 years and an average coupon of 4.25%. Their prices move opposite to interest rates.

The hedge comes from put options. A put pays off if an index falls below a set level, called the strike price, by a set date. The holder pays an upfront cost called the premium. Cambria intends to spend about 1% of total assets each month on exchange-listed puts on US stock indexes. It generally targets puts 0% to 30% "out of the money," meaning the strike is below the index's level. It aims to renew these positions each month and may change them mid-month. It reinvests any option gains in Treasuries and Treasury inflation-protected securities (TIPS). As of July 31, 2026, eight derivative positions made up 5.62% of assets. The largest were S&P 500 puts expiring between December 2026 and September 2027.

If stocks rise or drift, the puts can expire worthless and the premium is lost. That creates a recurring drag on returns. Losses on the puts are limited to the premiums paid. Portfolio turnover was 134%, which adds trading costs.

• TAIL charges 0.6% a year.
• Of that, 0.59% is the management fee; the rest covers other fund expenses.
• Using the prospectus's standard example, $10,000 invested would cost about $61 in the first year and $750 over 10 years (assuming a 5% annual return).

Its S&P 500 puts are designed to gain value in sharp stock crashes and offset losses elsewhere, not to provide growth or steady income.

TAIL's case rests on crashes. Over the market's February 19 to March 23, 2020 plunge, it gained 28.4%. The 2022 bear market went differently: it slipped 4% while stocks fell and ended 2022 down 13.15%. It launched in 2017, so it has no 2008 record. Its worst calendar year was 2019, at -13.99%. Between crises, put premiums wear it down. From April 2, 2020 to October 5, 2026 it fell 55.5% and had not recovered. It may give a retiree something to draw on in a sudden crash, but in calm years its shares have tended to lose value. It yielded 3.51% as of October 27, 2026, paid quarterly. Its 0.60% expense ratio works out to $61 in the first year on $10,000 under the SEC's standard example. Past results don't predict future ones, and a plan should weigh the whole portfolio, not one fund.

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