66 slides from Alpha Architect Global Factor Equity ETF's conference presentation, Jun 13, 2025
Slide 1: How CAOS Can Enhance Your Buffer ETF Strategy
How CAOS Can Enhance Your Buffer ETF Strategy How CAOS Can Enhance Your Buffer ETF Strategy Learn how the Alpha Architect Tail Risk ETF (CAOS) can potentially strengthen risk management for buy-and-hold and buffer strategies. LAST UPDATED: 6.13.25 1
Slide 2: Standardized returns as of 3/31/2025
How CAOS Can Enhance Your Buffer ETF Strategy Annualized 3 Yr. Annualized 5 Yr. Annualized 10 yr. Annualized Return Standardized returns | as of 3/31/2025 1 Yr. Total Return Total Return Total Return Since Inception Expense Ratios Name Ticker Inception Date NAV Mkt. NAV Mkt. NAV Mkt. NAV Mkt. NAV Mk
Slide 3: Important Information
How CAOS Can Enhance Your Buffer ETF Strategy IMPORTANT INFORMATION Fixed income risks include interest-rate and credit risk. Typically, when interest rates rise, there is a corresponding decline in bond values. Credit risk refers to the possibility that the bond issuer will not be able to make prin
Slide 4: Arin Risk Advisors
How CAOS Can Enhance Your Buffer ETF Strategy CAOS | Sub-adviser & Portfolio Joseph DeSipio, CFA, FRM | Chief Market Strategist • Leads strategy design and risk management Management team • Previously held strategist and Lead Portfolio Manager positions with SEI Investments, Evergreen Investments, W
Slide 5: Alpha Architect
How CAOS Can Enhance Your Buffer ETF Strategy Wesley R. Gray, PhD | CEO, co-CIO CAOS | Sub-adviser ∙ PhD/MBA from the University of Chicago – Booth School of Business; studied under Nobel Prize Winner Eugene Fama Alpha Architect ∙ BS The Wharton School of the University of Pennsylvania, magna cum la
Slide 6: Why are we even talking about Buffer ETFs?
How CAOS Can Enhance Your Buffer ETF Strategy Why are we even talking about Buffer ETFs? We’re a factor-centric investment firm. What’s with all the talk about structured products?
Slide 7: Why? Unprecedented Growth
How CAOS Can Enhance Your Buffer ETF Strategy Why? Unprecedented Growth As of the time of writing, buffer ETFs with exposure to the U.S. market have amassed an astounding $51 billion in AUM. According to ETF Action, Q1 of 2025 registered a record $5.4B of inflows.1 Source: FactSet. YCharts. As of 01
Slide 8: Why? $5 to $181 Billion!
How CAOS Can Enhance Your Buffer ETF Strategy Why? $5 to $181 Billion! According to BlackRock, ”outcome ETFs”, which encompass options-based bear, trading and income funds have experienced about a 36x growth since 2018! Source: BlackRock, Morningstar, as of 12/31/2024. 8
Slide 9: When the market asks for something, we pay attention.
How CAOS Can Enhance Your Buffer ETF Strategy Takeaway: We need to pay attention! When the market asks for something, we pay attention. The question is: what is it asking for? 9
Slide 10: What are Buffer ETFs?
How CAOS Can Enhance Your Buffer ETF Strategy What are Buffer ETFs? Buffer ETFs seek to: 1) Return capital appreciation. 2) Provide risk mitigation by ”buffering” a set percentage of losses in a reference asset (usually the S&P 500) over a defined period. Let’s see how.
Slide 11: Defining Terms
How CAOS Can Enhance Your Buffer ETF Strategy Hypothetical Buffer ETF Returns Defining Terms 30% (10% buffer, 5% cap) 20% “Buffer Buffer ETFs structure returns Cap Zone” 10% Buffer size By deciding on the following four elements: Returns 1. Buffer Size: The first percent of losses that are “protecte
Slide 12: Example #1
How CAOS Can Enhance Your Buffer ETF Strategy Hypothetical Buffer ETF Returns Example #1 30% (10% buffer, 5% cap) 20% A year-long, 10% buffer, 5% cap, buffer ETF . Cap 10% Buffer size Question: What happens if during that year the reference asset Returns drops 10%? 0% Answer: The ETF would return 0%
Slide 13: Example #2
How CAOS Can Enhance Your Buffer ETF Strategy Hypothetical Buffer ETF Returns Example #2 30% (10% buffer, 5% cap) 20% A year-long, 10% buffer, 5% cap, buffer ETF. Cap 10% Buffer size Question: What happens if during that year the reference asset Returns drops 20%? 0% Answer: The ETF would return -10
Slide 14: Example #3
How CAOS Can Enhance Your Buffer ETF Strategy Hypothetical Buffer ETF Returns Example #3 30% (10% buffer, 5% cap) 20% A year-long, 10% buffer, 5% cap, buffer ETF. Cap 10% Buffer size Question: What happens if during that year the reference asset Returns gains 10%? 0% Answer: The ETF would return 5%
Slide 15: Example #4
How CAOS Can Enhance Your Buffer ETF Strategy Hypothetical Buffer ETF Returns Example #4 50% (10% buffer, 5% cap) 30% A year-long, 10% buffer, 5% cap, buffer ETF. Cap Buffer size Question: What happens if during that year the reference asset 10% Returns gains 50%? Answer: The ETF would return 5% at
Slide 16: "What kind of sorcery is this?"
How CAOS Can Enhance Your Buffer ETF Strategy “What kind of sorcery is this?” - Not Severus Snape How do Buffer ETFs do what they do?
Slide 17: How? Moneyness
How CAOS Can Enhance Your Buffer ETF Strategy Hypothetical Buffer ETF Composition How? 30% (10% buffer, 5% cap) Long Call Short Call 20% Buffer ETFs utilize options to repackage Cap “Exposed” risk. 10% Moneyness 0% Buffer ETFs tend to use the following four option legs expiring near or at to the end
Slide 18: "Why is the market obsessed with buffer ETFs?"
How CAOS Can Enhance Your Buffer ETF Strategy So… “Why is the market obsessed with buffer ETFs?” What is the question to the answer?
Slide 19: Why buffers?
How CAOS Can Enhance Your Buffer ETF Strategy Hypothetical Buffer ETF Composition Why buffers? 30% (10% buffer, 5% cap) Long Call Short Call 20% We believe the marketplace is yearning Cap “Exposed” for risk-management. 10% Moneyness 0% -25% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% And the answer gro
Slide 20: There are hidden risks with every product
How CAOS Can Enhance Your Buffer ETF Strategy Takeaway: There are hidden risks with every product... … and Buffer ETFs are not the exception. Source: @choffstein on X. 20
Slide 21: Buffer ETFs aim to keep you somewhat safe…
How CAOS Can Enhance Your Buffer ETF Strategy Buffer ETFs aim to keep you somewhat safe… Like a helmet, when you ride a bike! 21
Slide 22: But not THAT safe!
How CAOS Can Enhance Your Buffer ETF Strategy But not THAT safe! Helmets won’t always save you. 22
Slide 23: The risks.
How CAOS Can Enhance Your Buffer ETF Strategy Hypothetical Buffer ETF Returns The risks. 30% (10% buffer, 5% cap) 20% Is it always a good idea to buy? Cap 10% Buffer size Invest? Ask yourself the following questions: Invest? Returns • Would you buy at the cap, when there is only downside? 0% -25% -2
Slide 24: The risks.
How CAOS Can Enhance Your Buffer ETF Strategy Hypothetical Buffer ETF Composition The risks. 30% (10% buffer, 5% cap) Long Call Short Call 20% Let’s think of returns as normally Cap “Exposed” distributed. 10% Moneyness Buffer ETFs have two main problems: 0% -25% -20% -15% -10% -5% 0% 5% 10% 15% 20%
Slide 25: Enter CAOS.
How CAOS Can Enhance Your Buffer ETF Strategy Enter CAOS. We believe CAOS can help risk-manage your portfolio during fast crashes and provide positive, uncorrelated returns at a reasonable cost.
Slide 26: Total return | CAOS vs. US Agg. Bonds
How CAOS Can Enhance Your Buffer ETF Strategy Total return | CAOS vs. US Agg. Bonds 60% 50% CAOS 50.55% CAOS has a 10+ year track record 40% Total return Arin Risk Advisors launched CAOS as a mutual 30% fund on 8/14/2013, ticker symbol AVOLX. US Agg. 20% Bonds2 Alpha Architect converted1 AVOLX to an
Slide 27: CAOS vs. Aggregate Bonds vs. U.S. Large Cap | 2020
How CAOS Can Enhance Your Buffer ETF Strategy CAOS vs. Aggregate Bonds vs. U.S. Large Cap | 2020 50% CAOS up 39.20% 40% YTD Positive returns during fast 30% crashes, historically CAOS 20% 22.42% CAOS maintains a strategic allocation to protective puts1, which generate positive, U.S. Large asymmetric
Slide 28: Fund expenses
How CAOS Can Enhance Your Buffer ETF Strategy Net expense ratios Select fund categories Fund expenses Int. Core Bonds 0.55% We aim to keep the fund’s costs reasonable relative to CAOS 0.63% peers. Expense ratios Defined Outcome 0.78% Gross 0.73% Equity Hedged 1.51% Net2 0.63% Mgd. Futs. 1.79% Net ex
Slide 29: Returns since 2019
How CAOS Can Enhance Your Buffer ETF Strategy Returns since 2019 US Large Buffer ETFs1 vs. CAOS vs. U.S. Large Cap2 vs. Aggregate Bonds3 Buffer ETFs CAOS Cap Agg. Bonds 160% YTD 13.26% 5.24% 25.50% 1.73% 1 Yr. 13.26% 5.24% 25.50% 1.73% 3 Yr. 7.31% 0.79% 7.53% -2.17% 120% 5 Yr. 7.80% 5.20% 12.78% -0.
Slide 30: Low correlation to core source of risk
How CAOS Can Enhance Your Buffer ETF Strategy Low correlation1 to core CAOS Buffer ETFs US Large Cap US Agg. Bonds source of risk CAOS 1.00 • CAOS bears little relationship to either US Large Cap2 or US Agg. Bonds3 with the lowest correlation to Buffer ETFs4 out of all four assets. Buffer ETFs -0.04
Slide 31: Addressing Buffer ETF challenges with CAOS
How CAOS Can Enhance Your Buffer ETF Strategy Addressing Buffer ETF challenges with CAOS We believe that a combination of CAOS and equities bridge many of the gaps in Buffer strategies
Slide 32: The Alpha Architect portfolios seek to
How CAOS Can Enhance Your Buffer ETF Strategy The Alpha Architect portfolios seek to: GENERATE PROVIDE LIMIT MAX POSITIVE RETURNS DIVERSIFCATION DRAWDOWNS1 1Max drawdown measures the largest single drop from peak to bottom in the value of a portfolio before a new peak is achieved. It may be consider
Slide 33: The tails.
How CAOS Can Enhance Your Buffer ETF Strategy Hypothetical Buffer ETF Composition The tails. 30% (10% buffer, 5% cap) Long Call Short Call 20% Buffer ETFs do a good job most of the Cap “Exposed” time... But they don’t address the tails. 10% Moneyness 0% -25% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25%
Slide 34: Buffer ETFs ignore the tails.
How CAOS Can Enhance Your Buffer ETF Strategy Buffer ETFs ignore the tails. Let’s build portfolios that: 1) Potentially strengthen risk management by responding to far-left-tailed events. 2) Potentially enhance returns by adding uncapped exposure to melt-ups. Let’s see how.
Slide 35: Use case #1: Replacing Buffer ETFs
How CAOS Can Enhance Your Buffer ETF Strategy Use case #1 Replacing Buffer ETFs 50% By investing 50% in U.S. large cap equity and 50% in CAOS, investors U.S. 50% can potentially profit during left tail and right tail events, while Large CAOS potentially generating long-term positive returns. Cap For
Slide 36: Returns since 2019: Buffer ETFs vs. 50% CAOS/50% U.S. Large Cap
How CAOS Can Enhance Your Buffer ETF Strategy Returns since 2019 Buffer ETFs1 vs. 50% CAOS/ 50% U.S. Large Cap2 Buffer ETFs CAOS Portfolio YTD 13.26% 15.08% 100% 1 Yr. 13.26% 15.08% 3 Yr. 7.31% 4.22% 80% 5 Yr. 7.80% 9.59% 7 Yr -- -- 60% Total return 10 Yr. -- -- Since incept. 9.27% 10.67% 40% Std. D
Slide 37: Fast Crash Use Case | Returns in 2020
How CAOS Can Enhance Your Buffer ETF Strategy Fast Crash Use Case | Returns in 2020 Buffer ETFs1 vs. 50% CAOS/ 50% U.S. Large Cap2 25% Buffer ETFs CAOS Portfolio 20% Total Return 7.53% 22.29% 15% CAOS port. up 10% 5.73% Std. Dev. 19.29% 17.08% Total return 5% 0% Max loss -20.17% -10.89% 01-20 04-20
Slide 38: Melt-Up Use Case | Returns 2023-2024
How CAOS Can Enhance Your Buffer ETF Strategy Melt-Up Use Case | Returns 2023-2024 Buffer ETFs1 vs. 50% CAOS/ 50% U.S. Large Cap2 40% Buffer ETFs CAOS Portfolio 35% Total Return 33.93% 35.72% 30% CAGR 15.80% 16.57% 25% Total return Std. Dev. 6.79% 8.19% 20% 15% Max loss -6.51% -7.47% 10% Weighted av
Slide 39: Use case #2: Complementing Buffer ETFs
How CAOS Can Enhance Your Buffer ETF Strategy Use case #2 30% Complementing Buffer ETFs CAOS 50% By investing 50% in U.S. large cap equity, 30% in CAOS and U.S. 20% in Buffer ETFs investors can target a risk profile Large similar to a 60/40 portfolio while preserving many of the Cap benefits of buff
Slide 40: Buffer ETFs as a hybrid of equity and cash
How CAOS Can Enhance Your Buffer ETF Strategy Buffer ETFs can be thought of as a hybrid of equity and cash. 30% 30% “Other” CAOS 60% 50% 40% U.S. 50% U.S. Agg. Large Equity Large Bonds Cap Cap 10% Cash-like 20% 10% Buffer Equity-like ETFs For illustrative purposes only. 40
Slide 41: Returns since 2019: 60/40 vs. CAOS Portfolio
How CAOS Can Enhance Your Buffer ETF Strategy Returns since 2019 60% U.S. Large1/40% Bonds2 vs. 50% U.S. Large/ 30% CAOS/ 20% Buffer ETFs3 60/40 CAOS Portfolio YTD 15.52% 16.75% 100% 1 Yr. 15.52% 16.75% 3 Yr. 3.73% 5.53% 80% 5 Yr. 7.76% 10.01% 7 Yr -- -- 60% Total return 10 Yr. -- -- Since incept. 9
Slide 42: The solution.
How CAOS Can Enhance Your Buffer ETF Strategy Hypothetical Buffer ETF Composition The solution. 30% (10% buffer, 5% cap) Long Call Short Call 20% Combining equity and CAOS empowers Cap “Exposed” portfolios to potentially profit from left 10% Moneyness and right tail events. Answer: CAOS 0% Answer: E
Slide 43: Ready to learn more? Click below to schedule a call.
How CAOS Can Enhance Your Buffer ETF Strategy Ready to learn more? Click below to schedule a call. Talk to our team Access additional resources by visiting the Content Library on our ETF site. Want to see how CAOS stacks up against a specific fund? Request an illustration here. 43
Slide 44: Appendix: How CAOS is built.
How CAOS Can Enhance Your Buffer ETF Strategy Appendix How CAOS is built.
Slide 45: How CAOS Invests Your Money
How CAOS Can Enhance Your Buffer ETF Strategy HOW CAOS INVESTS YOUR MONEY PROTECTIVE BOX PUT CAOS = + + PUTS SPREADS SPREADS For illustrative purposes only. For current holdings and standardized performance, visit etfsite.alphaarchitect.com/caos/. 45
Slide 46: How CAOS Invests Your Money
How CAOS Can Enhance Your Buffer ETF Strategy HOW CAOS INVESTS YOUR MONEY PROTECTIVE BOX PUT CAOS = + + PUTS SPREADS SPREADS For illustrative purposes only. For current holdings and standardized performance, visit etfsite.alphaarchitect.com/caos/. 46
Slide 47: What is a protective put?
How CAOS Can Enhance Your Buffer ETF Strategy A protective put, also known as a deep out-of-the-money put option, is a put What is a protective put? option with a strike price significantly below the current market price of the underlying asset, making it unlikely to be exercised. Why does CAOS use
Slide 48: Protective put prices in 2020
How CAOS Can Enhance Your Buffer ETF Strategy Protective put prices in Q1 2020 Protective put $400 ATM prices in 2020 $300 $334.33 Trade option price 10% OTM • As of 12/31/2019, S&P 500 put $247.60 options were priced at $93.55 ATM, $31.18 10% OTM, and $1.30 $200 40% OTM. ATM $93.55 • During the pea
Slide 49: Protective put prices in 2020
How CAOS Can Enhance Your Buffer ETF Strategy Increase in put option price1 Protective put 60x 40% OTM prices in 2020 50x 52.1x • At the peak on 3/18/2020, the 40x price of deeper OTM puts spiked Gain magnitudes higher than closer to 30x the money puts. 20x 10% OTM 10x 6.9x ATM 2.6x -1x 1/1 1/11 1/2
Slide 50: CAOS vs. Aggregate Bonds vs. U.S. Large Cap | 2020
How CAOS Can Enhance Your Buffer ETF Strategy CAOS vs. Aggregate Bonds vs. U.S. Large Cap | 2020 50% Surge in protective put values translated into 40% asymmetric positive returns during 2020’s fast crash 30% CAOS 22.42% 20% U.S. Large 16.15% 10% Aggregate Bonds 0% 8.15% Jan-20 Feb-20 Mar-20 Apr-20
Slide 51: Simple example: 50% Stocks/50% CAOS vs. 50% Stocks/50% US Core Bonds
How CAOS Can Enhance Your Buffer ETF Strategy Simple example | 50% Stocks/50% CAOS vs. 50% Stocks/50% US Core Bonds in 2020 30% 3/23/2020 50/50 Stocks/ CAOS 20% 20.32% 10% 50/50 Stocks/ US Core Bonds 13.26% Total return 0% Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec -10% 50/50 Stocks/CAOS: -4.49
Slide 52: How CAOS Invests Your Money
How CAOS Can Enhance Your Buffer ETF Strategy HOW CAOS INVESTS YOUR MONEY PROTECTIVE BOX PUT CAOS = + + PUTS SPREADS SPREADS For illustrative purposes only. For current holdings and standardized performance, visit funds.alphaarchitect.com/caos. 52
Slide 53: What is a box spread?
How CAOS Can Enhance Your Buffer ETF Strategy A box spread is an options trading strategy that combines a long call and What is a box spread? short put at one strike price with a short call and long put at a different strike price. The resulting payoff resembles a fixed-income investment. Why does t
Slide 54: Box spread returns track interest rate direction
How CAOS Can Enhance Your Buffer ETF Strategy Fed funds rate1 6% BOX SPREADS 5% Box spread returns track interest • Historically, 1-3 mo. box spreads rate direction, historically tend to track the fed funds rate 4% • Box spreads may be used to Percent offset cost of consistent 3% protective puts exp
Slide 55: How CAOS Invests Your Money
How CAOS Can Enhance Your Buffer ETF Strategy HOW CAOS INVESTS YOUR MONEY PROTECTIVE BOX PUT CAOS = + + PUTS SPREADS SPREADS For illustrative purposes only. For current holdings and standardized performance, visit funds.alphaarchitect.com/caos. 55
Slide 56: What is a put spread?
How CAOS Can Enhance Your Buffer ETF Strategy A put spread involves the purchase and sale of two put options on the same What is a put spread? underlying asset and expiration date but at different strike prices. Why does CAOS use put Put spreads seek to provide capped exposure to the general directi
Slide 57: Put Spread Trade example
How CAOS Can Enhance Your Buffer ETF Strategy Today 4/15/2024 Expiration 4/26/2024 Put Spread Trade Day Count 11 example Rolls per Year 33.18 Current Index Level 5123.41 Given an index closing price of 5,123.41 on 4/15/2024 Received/ Sample Trade Strike Side Type Premium Paid Leg 1 5200 Short Put $9
Slide 58: Put Spread Trade example
How CAOS Can Enhance Your Buffer ETF Strategy 0.60% Put Spread Trade 0.40% Max percent Percentage example 0.20% gain gain: 0.51% Date 4/15/2024 Gain A. Index 0.00% 5,123.41 5,100 5,125 5,150 5,175 5,200 5,225 5,250 level Gain or -0.20% B. Total Loss Strike Payoff (B/A) -0.40% Capped percent 5,150 -$
Slide 59: 2023 Total return | CAOS vs. US Agg. Bonds, U.S. Large Cap
How CAOS Can Enhance Your Buffer ETF Strategy 2023 Total return | CAOS vs. US Agg. Bonds, U.S. Large Cap 25% U.S. Large Cap1 22.40% 20% 2023 results principally driven by put spread (market direction) and box spreads. 15% CAOS Total Return 13.30% 10% US Agg. Bonds2 5% 5.84% 0% Jan Feb Mar Apr May Ju
Slide 60: Important Information
How CAOS Can Enhance Your Buffer ETF Strategy IMPORTANT INFORMATION This material has been distributed for informational purposes only and should not be considered investment advice or a recommendation of any particular security, strategy, or investment product. Information contained herein has been
Slide 61: Important Information
How CAOS Can Enhance Your Buffer ETF Strategy IMPORTANT INFORMATION This material has been distributed for informational purposes only and should not be considered investment advice or a recommendation of any particular security, strategy, or investment product. Information contained herein has been
Slide 62: Important Information
How CAOS Can Enhance Your Buffer ETF Strategy IMPORTANT INFORMATION FLEX Options Risk (cont’d). The value of FLEX Options will be affected by, among others, changes in the underlying share or equity index price, changes in actual and implied interest rates, changes in the actual and implied volatili
Slide 63: Important Information
How CAOS Can Enhance Your Buffer ETF Strategy IMPORTANT INFORMATION Investment Company Risk. An investment in other registered investment companies (including other ETFs, affiliated and non-affiliated) is subject to the risks associated with those investment companies, which include, but are not lim
Slide 64: Important Information
How CAOS Can Enhance Your Buffer ETF Strategy IMPORTANT INFORMATION Premium-Discount Risk. The Shares may trade above or below their net asset value (“NAV”). The market prices of Shares will generally fluctuate in accordance with changes in NAV as well as the relative supply of, and demand for, Shar
Slide 65: Note on category average methodology
How CAOS Can Enhance Your Buffer ETF Strategy Note on category average methodology Constituents of a given category are determined by YCharts. As of 4/30/2024, the calculation method used to determine the category average’s returns changed to account for potentially different inception dates. Previo
Slide 66: Note on buffer category average methodology
How CAOS Can Enhance Your Buffer ETF Strategy Note on buffer category average methodology. There is no explicit “buffer” category. Generally, buffer funds tend to fall into the “options” category, however, that standard is not uniformly applied by third party data providers such as FactSet, Mornings