CAOS
Alpha Architect Tail Risk ETF
CAOS combines an options overlay strategy and protective options on the S&P 500 index with managing the funds fixed income collateral. The fund seeks income and capital appreciation.
Risk Management
DERIVATIVES
Rules-Based
MANAGEMENT STYLE
372.5 M
ASSETS UNDER MGMT
63 bp
EXPENSES
Fund Basics
| Fund sponsor | Alpha Architect |
| Category | Risk Management |
| Asset class | Derivatives |
| Website | link... |
| Inception date | Mar 06, 2023 |
| Assets (mns) | $374 |
| Expense ratio | 63 bp |
Fund Structure
| Regulation | Open-Ended Fund |
| Distributions | Annual |
| Taxation | 1099 |
| Derivatives-based | Yes |
| Options available | No |
| Currency hedged | No |
| Fund of funds | No |
Top Holdings
| SPY 06/20/2025 10010.01 P | 87.9 % |
| SPX US 06/20/25 P11000 | 32.9 % |
| SPY 06/20/2025 10.01 C | 5.2 % |
| CASH & OTHER | 0.3 % |
| CBOE S&P PUT OPT 08/25 2500 | 0.2 % |
| SPX US 07/18/25 P2700 | 0.2 % |
| SPX US 06/20/25 P2700 | 0.0 % |
| SPX US 05/16/25 P2700 | 0.0 % |
| SPY 06/20/2025 10.01 P | 0.0 % |
| SPY 06/20/2025 10010.01 C | 0.0 % |
Asset Allocation
Historical Performance
Standardized Performance (as of 04/30/2025)
| YTD | 1 YR | 2 YR | 3 YR | 5 YR | 10 YR | 20 YR | Incep. | |
|---|---|---|---|---|---|---|---|---|
| Price Returns | 1.2% | 6.4% | 6.3% | -- | -- | -- | -- | 6.8% |
| Dividend Yield | 0.0% | 0.0% | 0.0% | -- | -- | -- | -- | 0.0% |
| Total Returns | 1.2% | 6.4% | 6.3% | -- | -- | -- | -- | 6.8% | Ann. Volatility | 7.9% | 5.3% | 4.5% | -- | -- | -- | -- | 5.1% |
Market Correlations
| versus... | Beta | R-squared |
| S&P 500 | 0.07 | 21% |
| MSCI EAFE | 0.04 | 5% |
| MSCI Emg Mkts | 0.05 | 4% |
Liquidity Measures
| Avg. volume (000) | 33 |
| ADV traded (mns) | $3 |
| Turnover | 0.8% |
| Avg. Bid/Ask (% of price) | 0.04% |
Technical Indicators
| Recent close | $88.20 |
| 30d moving avg. | $88.85 |
| Annualized volatility | 2.1% |
| Relative strength (RSI) | 51 |
| Short interest | 0.7% |
Distributions
Assets Under Management (mns)
Money Flows (mns)
Short Interest (as % of shares outstanding)
Long Money Flows (mns)
Expense Analysis
| Peer Group | Rules-Based Risk Management Derivatives ETFs |
| # of ETFs | 5 |
| Avg. Expense Ratio | 75.2 bp |
| Std. Deviation | 11.7 bp |
| CAOS (63 bp) Percentile rank | 18 |
Peer Group Expense Ratio Distribution
Total Cost of Ownership (TCO) Comparison
| Expense (bp) (A) |
Avg. Bid/Ask (bp) (B) |
TCO (bp) (A)+(B) |
|
|---|---|---|---|
| CAOS | 63.0 | 4.3 | 67.3 |
| Peer Avg. | 90.6 | 32.1 | 122.8 |
For a detailed cost analysis of this and any other ETF use the TCO Comparison Tool .