CYA — Simplify Tail Risk Strategy ETF
Data updated: 2024-02-28
CYA — Simplify Tail Risk Strategy ETF. United States Large Cap Blend / Core Equity · $2.16M AUM. Holdings, fees, performance and SEC filings.
CYA Fund Overview
CYA — Simplify Tail Risk Strategy ETF is a US ETF managed by Simplify Exchange Traded Funds, categorised as United States Large Cap Blend / Core Equity. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.
- Type: US ETF
- Manager: Simplify Exchange Traded Funds
- Category: United States Large Cap Blend / Core Equity
- Assets under management: $2.16M
- 1-year return: -98.3%
- Ticker: CYA
- SEC CIK: 0001810747
- SEC series ID: S000073385
- Share class ID: C000230232
CYA Investment Objective and Strategy
Simplify Tail Risk Strategy ETF describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Simplify Exchange Traded Funds.
Investment objective
Investment Objective: The Simplify Tail Risk Strategy ETF (the Fund or CYA) seeks to provide income and capital appreciation while protecting against significant downside risk.
Principal investment strategy
Principal Investment Strategies: The Fund is an actively managed, fund of funds exchange-traded fund (ETF) that seeks to achieve its investment objective by investing in fixed income and income generating ETFs. The term fund of funds is used to describe mutual funds and ETFs that pursue their investment objective by investing in other funds. Income Strategy The Fund invests in fixed income and income generating ETFs. The Fund will invest between 50-90% of the Funds assets in income generating ETFs and fixed income ETFs, including affiliated funds managed by the adviser. The Fund considers an ETF an income generating ETF if the ETF demonstrates an attractive distribution or income yield (i.e., a yield that is greater than 2 year Treasury notes), for example, ETFs that invest in REITs or MLPs or ETFs that seek to provide the inverse of the S&P 500 VIX Short-Term Futures Index.
A REIT is a company that owns, operates, or finances income-generating real estate. An MLP is a business venture that exists in the form of a publicly traded limited partnership. The Fund defines fixed income ETFs as ETFs that invest in debt securities of any credit quality or maturity. Fixed income ETFs may invest in securities with credit quality below investment grade (commonly referred to as junk bonds). The Fund defines junk bonds as those rated below Baa3 by Moodys Investors Service or below BBB- by Standard and Poors Rating Group, or, if unrated, determined by the adviser to be of similar credit quality. The Fund invests in companies without restriction as to capitalization. Under normal circumstances the Fund may invest in shares of any fund in Simplify Exchange Traded Funds (the Trust), each an affiliated ETF.
Downside Mitigation Strategy The Fund may invest up to 20% of the Funds portfolio in derivatives to hedge all or some of the downside risks associated with investing in equity securities commonly known as tail risk. Such derivatives may include puts and put spread options on ETFs (a put spread option strategy is when the adviser buys and sells an equal number of put options but with different strike prices), interest rate futures and options (derivatives that allow the buyer or seller to purchase or sell an interest bearing asset at a future date), credit default swap index options (options to buy or sell protection on a specific reference credit with a specific maturity), ETFs that invest in credit default swap index options, and over-the-counter foreign exchange (FX) futures and options (currency derivative contracts that obligate the buyer or seller to transact at a set price and predetermined time).
The Fund may temporarily invest in cash equivalents, debt securities and volatility-related derivative contracts. For example, if equity market volatility is increasing, the Fund may invest in options linked to securities and market indices, including the VIX index which represents expected return volatility of the S&P 500 Index. The adviser believes its risk reduction strategies give it the flexibility to take advantage of opportunities that falling equity markets present. Nonetheless, if the adviser does not perceive appropriate opportunities, then the Fund may invest in cash equivalents. The adviser uses its tail risks hedging strategy to help protect against sudden market declines. The adviser selects derivatives based upon its evaluation of relative value based on cost, strike price (price that the option can be bought or sold by the option holder) and maturity (the last date the option contract is valid) and will exercise or close the options based on maturity or portfolio rebalancing requirements.
The adviser anticipates purchasing and selling its derivatives on a monthly, quarterly, and annual basis, depending upon the Funds rebalancing requirements and expiration dates. However, the adviser may rebalance the Funds derivative portfolio on a more frequent basis for a number of reasons such as when market volatility renders the protection provided by the derivative strategy ineffective or a derivative position has appreciated to the point that it is prudent to decrease the Funds exposure and realize gains for the Funds shareholders. While the use of derivatives is intended to improve the Funds performance, there is no guarantee that it will do so.
CYA Holdings
Top 10 holdings of Simplify Tail Risk Strategy ETF by percentage of net assets, from the fund's latest SEC N-PORT filing.
| Holding | % of net assets |
|---|---|
| SPDR Bloomberg 1-3 Month T-Bill ETF | 79.80% |
| Cboe Global Markets, Inc. | 13.78% |
| Fidelity Inv Mmtrsy 1 680 | 12.35% |
| Cboe Global Markets, Inc. | 4.24% |
| Cboe Global Markets, Inc. | 2.78% |
| Chicago Mercantile Exchange Inc. | 0.35% |
| Cboe Global Markets, Inc. | 0.32% |
| Simplify Short Term Treasury Futures Strategy ETF | 0.19% |
| Chicago Mercantile Exchange Inc. | 0.17% |
| Simplify Enhanced Income ETF | 0.16% |
CYA Portfolio Allocation
Asset-class allocation of Simplify Tail Risk Strategy ETF by percentage of net assets, from the latest SEC N-PORT filing.
| Asset class | Allocation |
|---|---|
| Equity | 92.5% |
| Derivatives | 19.4% |
| Real Estate | 0.5% |
CYA Performance
Total returns for CYA (as of 2026-10-01), from SEC filings.
| Period | Total return |
|---|---|
| 1 year | -98.3% |
| 3 years (annualised) | -86.9% |
CYA Risk Information
Risk metrics for CYA, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 97.2%
CYA Costs and Fees
CYA costs about $84 per $10,000 invested per year in fund expenses.
- Net expense ratio: 0.84%
- Gross expense ratio: 1.09%
- Portfolio turnover: 68%
- Brokerage commissions: 58.94 bps of average net assets (SEC N-CEN)
CYA Cashflows
Over the 12 months to 2023-12, Simplify Tail Risk Strategy ETF had net inflows of $108.22M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2023-12 | $3.10M |
| 2023-11 | $10.83M |
| 2023-10 | $38.59M |
| 2023-09 | $27.94M |
| 2023-08 | $2.17M |
| 2023-07 | $9.91M |
CYA Debt Constituents
No individual debt constituents are reported in Simplify Tail Risk Strategy ETF's latest SEC N-PORT filing.
CYA Prospectus and SEC Filings
Official Simplify Tail Risk Strategy ETF filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
- Prospectus (485BPOS) — filed 2023-10-27
- Prospectus (485BPOS) — filed 2022-10-27
- Prospectus supplement (497) — filed 2023-03-09
- Portfolio holdings (N-PORT) — filed 2024-02-28
- Portfolio holdings (N-PORT) — filed 2023-11-29
- Portfolio holdings (N-PORT) — filed 2023-08-18
- Annual census (N-CEN) — filed 2023-09-13
- Annual census (N-CEN) — filed 2022-09-13
Related Funds
Other United States Large Cap Blend / Core Equity funds tracked on ABC INVEST:
Data Sources
ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.