ETF overview
CAOS seeks to actively earn positive returns during periods of significant US equity drawdowns while minimizing the return drag of collateral. The fund allocates up to 20% of assets in long and/or short SPX Index options, depending on market status. Between 1-10% is allocated to protective options positioned to appreciate in value when the index declines by more than 25%, which is considered to be a tail risk event. If a tail risk event does not occur, the cost of the protective positions will reduce returns. The remaining 70-80% of the portfolio is collateral consisting of US T-bills, box spreads, and money market instruments. Up to 100% of the collateral may be placed with the BOXX ETF that uses box spreads to provide the exposure of 1-3 month T-bills. The strategy involves frequent trading which increases costs and turnover rate, both having negative impacts on the fund. CAOS operated as a mutual fund until its conversion into an ETF, starting with $126 million in net assets.
Fund facts
- Expense ratio
- 0.63%
- Fund assets
- 705.75M USD (all share classes)
- Issuer
- Alpha Architect
- Inception date
- Aug 14, 2013
- Number of holdings
- 15
Breakdown
Holdings (15)
| Name | Ticker | Weight |
|---|---|---|
| SPY 12/18/2026 10010.01 P | 88.66% | |
| SPX US 12/18/26 P13400 | 20.38% | |
| SPY 12/18/2026 10.01 C | 7.29% | |
| SPX US 02/19/27 P3200 | 0.37% | |
| SPX US 01/15/27 P3200 | 0.26% | |
| SPX US 12/18/26 P2900 | 0.09% | |
| First American Government Obligations Fund 12/01/2031 | 0.05% | |
| SPX US 11/20/26 P2800 | 0.04% | |
| SPX US 12/18/26 P7000 | 0.02% | |
| SPX US 12/18/26 C8000 | 0.02% | |
| and 2 more | ||
Historical returns do not guarantee future returns. This is not investment advice.
- Expense ratio
- 0.63%
- Fund assets
- 705.75M USD (all share classes)
- Issuer
- Alpha Architect
- Inception date
- Aug 14, 2013
- Number of holdings
- 15
| Name | Ticker | Weight |
|---|---|---|
| SPY 12/18/2026 10010.01 P | 88.66% | |
| SPX US 12/18/26 P13400 | 20.38% | |
| SPY 12/18/2026 10.01 C | 7.29% | |
| SPX US 02/19/27 P3200 | 0.37% | |
| SPX US 01/15/27 P3200 | 0.26% | |
| SPX US 12/18/26 P2900 | 0.09% | |
| First American Government Obligations Fund 12/01/2031 | 0.05% | |
| SPX US 11/20/26 P2800 | 0.04% | |
| SPX US 12/18/26 P7000 | 0.02% | |
| SPX US 12/18/26 C8000 | 0.02% | |
| and 2 more | ||
CAOS seeks to actively earn positive returns during periods of significant US equity drawdowns while minimizing the return drag of collateral. The fund allocates up to 20% of assets in long and/or short SPX Index options, depending on market status. Between 1-10% is allocated to protective options positioned to appreciate in value when the index declines by more than 25%, which is considered to be a tail risk event. If a tail risk event does not occur, the cost of the protective positions will reduce returns. The remaining 70-80% of the portfolio is collateral consisting of US T-bills, box spreads, and money market instruments. Up to 100% of the collateral may be placed with the BOXX ETF that uses box spreads to provide the exposure of 1-3 month T-bills. The strategy involves frequent trading which increases costs and turnover rate, both having negative impacts on the fund. CAOS operated as a mutual fund until its conversion into an ETF, starting with $126 million in net assets.
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