Cambria has listed a new exchange traded fund – The Cambria Tail Risk ETF (TAIL) – on the Bats ETF Marketplace.
The fund, which is the sixth listed by Cambria with Bats, seeks to seeks to mitigate significant downside market risk.
The fund intends to invest in a portfolio of "out of the money" put options purchased on the US stock market. The TAIL strategy offers the potential advantage of buying more puts when volatility is low and fewer puts when volatility is high.
While a portion of the fund's assets will be invested in the basket of long put option premiums, the majority of fund assets will be invested in intermediate term US Treasuries. As the fund is designed to be a hedge against market declines and rising volatility, Cambria expects the fund to produce negative returns in most years with rising markets or declining volatility.