(TAIL) Cambria Tail Risk - Overview
Etf: Cash, Government Bonds, Put Options
Dividends
| Dividend Yield | 2.80% |
| Yield on Cost 5y | 1.85% |
| Yield CAGR 5y | 39.26% |
| Payout Consistency | 86.9% |
| Payout Ratio | - |
| Risk 5d forecast | |
|---|---|
| Volatility | 12.2% |
| Relative Tail Risk | -16.2% |
| Reward TTM | |
|---|---|
| Sharpe Ratio | 0.20 |
| Alpha | 12.37 |
| Character TTM | |
|---|---|
| Beta | -0.852 |
| Beta Downside | -1.238 |
| Drawdowns 3y | |
|---|---|
| Max DD | 24.47% |
| CAGR/Max DD | -0.20 |
Description: TAIL Cambria Tail Risk December 22, 2025
The Cambria Tail Risk ETF (BATS: TAIL) is an actively managed fund that aims to protect against sharp declines in U.S. equities by holding cash, U.S. Treasury securities, and systematically buying put options. The manager allocates roughly 1 % of the fund’s net assets each month to purchase these puts, thereby creating a hedge that should gain value when the equity market falls.
Key quantitative points (as of the latest filing):
• Expense ratio ≈ 0.70 % (higher than passive equity ETFs due to active option trading).
• Assets under management ≈ $150 million, indicating modest scale and potential liquidity constraints in the options market.
• Historical correlation with the S&P 500 is low (≈ 0.15) and the fund’s performance tends to improve when the CBOE Volatility Index (VIX) spikes above 20, reflecting its reliance on elevated market volatility to generate option premiums.
Macro-level drivers that can materially affect TAIL’s risk-return profile include Federal Reserve policy (interest-rate hikes raise Treasury yields, increasing the cost of financing the cash-plus-bond component) and equity-market volatility regimes (e.g., earnings-season turbulence or geopolitical shocks that lift implied volatilities and make put options cheaper to acquire).
For a deeper quantitative breakdown, you might explore ValueRay’s analytics on TAIL’s option-spending efficiency and volatility exposure.
What is the price of TAIL shares?
Over the past week, the price has changed by +0.70%, over one month by -0.04%, over three months by -1.94% and over the past year by +6.55%.
Is TAIL a buy, sell or hold?
What are the forecasts/targets for the TAIL price?
| Issuer | Target | Up/Down from current |
|---|---|---|
| Wallstreet Target Price | - | - |
| Analysts Target Price | - | - |
| ValueRay Target Price | 11.5 | 0.4% |
TAIL Fundamental Data Overview February 05, 2026
EBIT TTM = 0.0 USD
EBITDA TTM = 0.0 USD
Long Term Debt = unknown (none)
Short Term Debt = unknown (none)
Debt = unknown
Net Debt = unknown
Enterprise Value = 157.1m USD (157.1m + (null Debt) - (null CCE))
Interest Coverage Ratio = unknown (Ebit TTM 0.0 / Interest Expense TTM 0.0)
EV/FCF = unknown (FCF TTM 0.0)
FCF Yield = 0.0% (FCF TTM 0.0 / Enterprise Value 157.1m)
FCF Margin = unknown (Revenue TTM is 0 or missing)
Net Margin = unknown
Gross Margin = unknown ((Revenue TTM 0.0 - Cost of Revenue TTM 0.0) / Revenue TTM)
Tobins Q-Ratio = unknown (Enterprise Value 157.1m / Total Assets none)
Interest Expense / Debt = unknown (Interest Expense 0.0 / Debt none)
Taxrate = 21.0% (US default 21%)
NOPAT = 0.0 (EBIT 0.0 * (1 - 21.00%))
Current Ratio = unknown (Total Current Assets none / Total Current Liabilities none)
Debt / Equity = unknown (Debt none)
Debt / EBITDA = unknown (Net Debt none / EBITDA 0.0)
Debt / FCF = unknown (Net Debt none / FCF TTM 0.0)
Total Stockholder Equity = 0.0 (from calculated bookValueOfEquity)
RoA = unknown (Net Income 0.0 / Total Assets none)
RoE = unknown (Net Income TTM 0.0 / Total Stockholder Equity 0.0)
RoCE = unknown (EBIT 0.0 / Capital Employed )
RoIC = unknown (NOPAT 0.0, Invested Capital 0.0, EBIT 0.0)
WACC = 2.78% (E(157.1m)/V(157.1m) * Re(2.78%) + (debt-free company))
Discount Rate = 2.78% (= CAPM, Blume Beta Adj.) -> floored to rf + 0.7*ERP = 7.95%
Fair Price DCF = unknown (Cash Flow 0.0)