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Cambria Tail Risk ETF (TAIL) Sharpe Ratio: -1.03

ETF · Currency in USD · Last updated Jun 24, 2026

The Cambria Tail Risk ETF seeks to mitigate significant downside market risk by investing in a portfolio of 'out of the money' put options on the U.S. stock market, complemented by U.S. Treasuries to potentially provide income.

TAIL's Sharpe Ratio of -1.03 indicates that for each unit of volatility, it generates -1.03 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 24, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets. For how to read this number and when it can mislead, see Sharpe Ratio Explained.

TAIL Sharpe Ratio Rank

TAIL Sharpe Ratio Rank: 1.11
Concerning

TAIL ranks above 1.1% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating weak returns relative to total risk taken. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Weak risk-adjusted returns relative to category peers
  • Evaluate whether this holding aligns with your risk-return objectives
  • Consider reducing exposure or re-evaluating position size
  • Review higher-ranked alternatives in the same category

TAIL Sharpe Ratio Market Positioning

The chart shows TAIL's Sharpe Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 0.83 or lower
  • Yellow zone (middle 50%): 0.83 to 2.16
  • Green zone (top 25%): 2.16 or higher
  • Top 1%: 7.00+
  • Median: 1.57 — half of all investments score higher

How it compares to other similar ETFs

The table compares Cambria Tail Risk ETF's Sharpe Ratio with other ETFs in the Volatility Hedged Equity category across multiple time periods, showing how TAIL's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jun 24, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
LVHIFranklin International Low Volatility High Dividend Index ETF3.34
FLLVFranklin Liberty U.S. Low Volatility ETF2.85
VSMVVictoryShares US Multi-Factor Minimum Volatility ETF2.46
SIXH6 Meridian Hedged Equity-Index Option Strategy ETF1.76
SMLVSPDR SSGA US Small Cap Low Volatility Index ETF1.71
QLVFlexShares US Quality Low Volatility Index Fund1.69
DVQQWEBs QQQ Defined Volatility ETF1.68
QLVEFlexShares Emerging Markets Quality Low Volatility Index Fund1.55
EJANInnovator Emerging Markets Power Buffer ETF January1.54
EELVInvesco S&P Emerging Markets Low Volatility ETF1.39
TAILCambria Tail Risk ETF-1.03

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows TAIL's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when TAIL consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Sharpe Ratio Calculator

How does TAIL fit in your portfolio?

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