Cambria Shareholder Yield ETF (SYLD)

Cambria Foreign Shareholder Yield ETF (FYLD)

Cambria Global Value ETF (GVAL)

Cambria Global Momentum ETF (GMOM)

Cambria Global Asset Allocation ETF (GAA)

Cambria Value and Momentum ETF (VAMO)

Cambria Global Tail Risk ETF (FAIL)

Cambria Emerging Shareholder Yield ETF (EYLD)

Cambria Tail Risk ETF (TAIL)

Cambria Trinity ETF (TRTY)

Cambria Cannabis ETF (TOKE)

Cambria Global Real Estate ETF (BLDG)

 

Annual Report

 

April 30, 2023

 

 
 

 

Cambria Investment Management

Table of Contents

 

 

Shareholder Letter (Unaudited) 1
Manager’s Discussion and Analysis of Fund Performance (Unaudited) 7
Schedules of Investments   
Cambria Shareholder Yield ETF 19
Cambria Foreign Shareholder Yield ETF 21
Cambria Global Value ETF 24
Cambria Global Momentum ETF 28
Cambria Global Asset Allocation ETF 30
Cambria Value and Momentum ETF 33
Cambria Global Tail Risk ETF 36
Cambria Emerging Shareholder Yield ETF 38
Cambria Tail Risk ETF 41
Cambria Trinity ETF 42
Cambria Cannabis ETF 45
Cambria Global Real Estate ETF 47
Statements of Assets and Liabilities 49
Statements of Operations 52
Statements of Changes in Net Assets 55
Financial Highlights 61
Notes to Financial Statements 73
Report of Independent Registered Public Accounting Firm 89
Disclosure of Fund Expenses (Unaudited) 91
Approval of Advisory Agreement & Board Considerations (Unaudited) 93
Liquidity Risk Management Program (Unaudited) 96
Trustees and Officers of the Cambria ETF Trust (Unaudited) 97
Notice to Shareholders (Unaudited) 98
Supplemental Information (Unaudited) 99

 

The Funds file their complete schedules of Fund holdings with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year on Form N-PORT. The Funds’ Form N-PORT reports are available on the Commission’s website at www.sec.gov.

 

A description of the policies and procedures that Cambria Investment Management L.P., the Funds’ investment advisor, uses to determine how to vote proxies relating to Fund securities, as well as information relating to how the Funds voted proxies relating to Fund securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling (855)-383-4636; and (ii) on the Commission’s website at www.sec.gov. 

 
 
Cambria ETF Trust Shareholder Letter

April 30, 2023 (Unaudited)

 

Dear Shareholder:

 

We are pleased to present the following annual report for the Cambria ETF Trust.

 

SYLD

 

The Cambria Shareholder Yield ETF (“SYLD”) launched on May 13, 2013. For the three-month period ended April 30, 2023, SYLD posted a loss of 9.65%. For the 12-month period ended April 30, 2023, SYLD posted a loss of 1.59%. For the period since inception through April 30, 2023, SYLD gained 209.53%.

 

We believe that the S&P 500 Index (S&P 500) serves as a suitable benchmark for SYLD. The table below shows the performance of the Fund (NAV) vs. S&P 500 for the three-month, 12-month and since inception periods ended April 30, 2023.

 

  Vs Benchmark
  SYLD S&P 500
Annualized Returns Since Inception 12.01% 11.98%
Cumulative Returns Since Inception 209.53% 208.81%
12 Months Ended 4/30/2023 -1.59% 2.66%
3 Months Ended 4/30/2023 -9.65% 2.72%

 

The Fund’s performance (NAV) as of April 30, 2023 is as follows: -1.59% (1 year), 11.62% (annualized five year), and 12.01% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2023 is as follows: -1.67% (1 year), 11.58% (annualized five year), and 12.00% (annualized since inception).

 

FYLD

 

The Cambria Foreign Shareholder Yield ETF (“FYLD”) launched on December 2, 2013. For the three-month period ended April 30, 2023, FYLD posted a loss of 1.79%. For the 12-month period ended April 30, 2023, FYLD posted a gain of 2.72%. For the period since inception through April 30, 2023, FYLD posted a gain of 50.42%.

 

We believe that the MSCI EAFE Index (MSCI EAFE) serves as a suitable benchmark for FYLD. The table below shows the performance of the Fund (NAV) vs. MSCI EAFE for the three-month, 12-month and since inception periods ended April 30, 2023.

 

  Vs Benchmark
  FYLD MSCI EAFE
Annualized Returns Since Inception 4.44% 4.65%
Cumulative Returns Since Inception 50.42% 53.35%
12 Months Ended 4/30/2023 2.72% 9.00%
3 Months Ended 4/30/2023 -1.79% 3.42%

 

The Fund’s performance (NAV) as of April 30, 2023 is as follows: 2.72% (1 year), 4.14% (annualized five year), and 4.44% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2023 is as follows: 3.69% (1 year), 4.22% (annualized five year), and 4.50% (annualized since inception).

 

GVAL

 

The Cambria Global Value ETF (“GVAL”) launched on March 11, 2014. For the three-month period ended April 30, 2023, GVAL posted a gain of 0.71%. For the 12-month period ended April 30, 2023, GVAL posted a gain of 6.97%. For the period since inception through April 30, 2023, the Fund posted a gain of 9.72%.

 

Annual Report | April 30, 2023 1
 
 
Cambria ETF Trust Shareholder Letter

April 30, 2023 (Unaudited)

 

We believe that the MSCI ACWI Index (MSCI ACWI) serves as a suitable benchmark for GVAL. The table below shows the performance of the Fund (NAV) vs. MSCI ACWI for the three-month, 12-month and since inception periods ended April 30, 2023.

 

  Vs Benchmark
  GVAL MSCI ACWI
Annualized Returns Since Inception 1.02% 7.85%
Cumulative Returns Since Inception 9.72% 99.39%
12 Months Ended 4/30/2023 6.97% 2.59%
3 Months Ended 4/30/2023 0.71% 1.72%

 

The Fund’s performance (NAV) as of April 30, 2023 is as follows: 6.97% (1 year), -0.80% (annualized five year), and 1.02% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2023 is as follows: 7.40% (1 year), -0.86% (annualized five year), and 0.98% (annualized since inception).

 

GMOM

 

The Cambria Global Momentum ETF (“GMOM”) launched on November 3, 2014. For the three-month period ended April 30, 2023, GMOM posted a loss of 3.52%. For the 12-month period ended April 30, 2023, GMOM posted a loss of 8.81%. For the period since inception through April 30, 2023, GMOM posted a gain of 35.49%.

 

We believe that a suitable benchmark for GMOM is the S&P Balanced Equity and Bond – Moderate Index (SPBXMI) because the equity-bond blend is the precursor to most modern asset allocation strategies. The table below shows the performance of the Fund (NAV) vs. SPBXMI for the three-month, 12-month and since inception periods ended April 30, 2023.

 

  Vs Benchmark
  GMOM SPBXMI
Annualized Returns Since Inception 3.64% 6.22%
Cumulative Returns Since Inception 35.49% 66.92%
12 Months Ended 4/30/2023 -8.81% 1.03%
3 Months Ended 4/30/2023 -3.52% 1.97%

 

The Fund’s performance (NAV) as of April 30, 2023 is as follows: -8.81% (1 year), 2.94% (annualized five year), and 3.64% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2023 is as follows: -8.94% (1 year), 2.86% (annualized five year), and 3.61% (annualized since inception).

 

GAA

 

The Cambria Global Asset Allocation ETF (“GAA”) launched on December 9, 2014. For the three-month period ended April 30, 2023, GAA posted a loss of 2.40%. For the 12-month period ended April 30, 2023, GAA posted a loss of 1.58%. For the period since inception through April 30, 2023, GAA posted a gain of 43.94%.

 

We believe that a suitable benchmark for GAA is the S&P Balanced Equity and Bond – Moderate Index (SPBXMI) because the equity-bond blend is the precursor to most modern asset allocation strategies. The table below shows the performance of the Fund (NAV) vs. SPBXMI for the three-month, 12-month and since inception periods ended April 30, 2023.

 

  Vs Benchmark
  GAA SPBXMI
Annualized Returns Since Inception 4.44% 6.07%
Cumulative Returns Since Inception 43.94% 63.98%
12 Months Ended 4/30/2023 -1.58% 1.03%
3 Months Ended 4/30/2023 -2.40% 1.97%

 

The Fund’s performance (NAV) as of April 30, 2023 is as follows: -1.58% (1 year), 3.83% (annualized five year), and 4.44% (annualized since inception). The Fund’s performance (Market Price) as April 30, 2023 is as follows: -2.46% (1 year), 3.78% (annualized five year), and 4.42% (annualized since inception).

 

2 www.cambriafunds.com
 
 
Cambria ETF Trust Shareholder Letter

April 30, 2023 (Unaudited)

 

VAMO

 

The Cambria Value and Momentum ETF (“VAMO”) launched on September 8, 2015. For the three-month period ended April 30, 2023, VAMO posted a loss of 9.51%. For the 12-month period ended April 30, 2023, VAMO posted a loss of 4.34%. For the period since inception through April 30, 2023, VAMO posted a gain of 6.05%.

 

We believe that the S&P 500 Index (S&P 500) serves as a suitable benchmark for VAMO, as VAMO offers a diversified, value-oriented exposure to US equities with downside risk hedging. The table below shows the performance of the Fund (NAV) vs. S&P 500 for the three-month, 12-month and since inception periods ended April 30, 2023.

 

  Vs Benchmark
  VAMO S&P 500
Annualized Returns Since Inception 0.77% 12.39%
Cumulative Returns Since Inception 6.05% 144.12%
12 Months Ended 4/30/2023 -4.34% 2.66%
3 Months Ended 4/30/2023 -9.51% 2.72%

 

The Fund’s performance (NAV) as of April 30, 2023 is as follows: -4.34% (1 year), 0.85% (annualized five year), and 0.77% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2023 is as follows -3.64% (1 year), 0.83% (annualized five year), and 0.77% (annualized since inception).

 

FAIL

 

The Cambria Global Tail Risk ETF (“FAIL”) launched on February 22, 2016 and changed its name and investment objective on March 15, 2021. Fund performance prior to March 15, 2021 reflects the investment objective and principal investment strategy of the Fund when it was the Cambria Sovereign Bond ETF and it sought income and capital appreciation from investments in securities and instruments that provide exposure to sovereign and quasi-sovereign bonds. For the three-month period ended April 30, 2023, the Fund posted a loss of 0.86%. For the 12-month period ended April 30, 2023, the Fund posted a loss of 9.78%. For the period since inception through April 30, 2023, the Fund posted a loss of 4.86%.

 

We believe that a suitable benchmark for FAIL, given the Fund’s new investment objective and principal investment strategy, is the Bloomberg Barclays US Short Treasury Index (“Short Treasury”). Prior to March 15, 2021, the Fund’s performance benchmark was the FTSE World Government Bond Index (WGBI). The table below shows the performance of the Fund (NAV) vs. the spliced benchmark (WGBI/Short Treasury) and Short Treasury for the three-month, 12-month and since inception periods ended April 30, 2023.

 

    Vs Benchmark  
  FAIL* Spliced Index –WGBI/Short Treasury** Short Treasury
Annualized Returns Since Inception -0.69% 2.45% 1.25%
Cumulative Returns Since Inception -4.86% 19.01% 9.36%
12 Months Ended 4/30/2023 -9.78% 2.62% 2.62%
3 Months Ended 4/30/2023 -0.86% 1.13% 1.13%

 

* The Fund’s objective changed effective March 15, 2021.

** Reflects performance of WGBI prior to March 15, 2021 and Short Treasury thereafter.

 

The Fund’s performance (NAV) as of April 30, 2023 is as follows: -9.78% (1 year), -4.73% (annualized five year), and -0.69% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2023 is as follows: -8.19% (1 year), -4.80% (annualized five year), and -0.63% (annualized since inception).

 

EYLD

 

The Cambria Emerging Shareholder Yield ETF (“EYLD”) launched on July 13, 2016. For the three-month period ended April 30, 2023, EYLD posted a loss of 2.50%. For the 12-month period ended April 30, 2023, EYLD posted a gain of 1.64%. For the period since inception through April 30, 2023, EYLD posted a gain of 60.32%.

 

Annual Report | April 30, 2023 3
 
 
Cambria ETF Trust Shareholder Letter

April 30, 2023 (Unaudited)

 

We believe that the MSCI Emerging Markets Index (MSCI EEM) serves as a suitable benchmark for EYLD. The table below shows the performance of the Fund (NAV) vs. MSCI EEM for the three-month, 12-month and since inception periods ended April 30, 2023.

 

  Vs Benchmark
  EYLD MSCI EEM
Annualized Returns Since Inception 7.19% 4.74%
Cumulative Returns Since Inception 60.32% 36.99%
12 Months Ended 4/30/2023 1.64% -6.09%
3 Months Ended 4/30/2023 -2.50% -4.68%

 

The Fund’s performance (NAV) as of April 30, 2023 is as follows: 1.64% (1 year), 1.47% (annualized 5 year), and 7.19% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2023 is as follows: 5.41% (1 year), 1.83% (annualized 5 year) and 7.50% (annualized since inception).

 

TAIL

 

The Cambria Tail Risk ETF (“TAIL”) launched on April 5, 2017. For the three-month period ended April 30, 2023, TAIL posted a loss of 1.30%. For the 12-month period ended April 30, 2023, TAIL posted a loss of 11.86%. For the period since inception through April 30, 2023, TAIL posted a loss of 37.30%.

 

We believe that a suitable benchmark for TAIL is the Bloomberg Barclays Short Treasury Index (Short Treasury). TAIL is not an aggressive hedging strategy, and as such, an index of short-term Treasuries which approximates a conservative money-market fund is a suitable benchmark. Short Treasury tracks the market for treasury bills issued by the US government. The table below shows the performance of the Fund (NAV) vs. Short Treasury for the three-month, 12-month and since inception periods ended April 30, 2023.

 

  Vs Benchmark
  TAIL Short Treasury
Annualized Returns Since Inception -7.40% 1.39%
Cumulative Returns Since Inception -37.30% 8.77%
12 Months Ended 4/30/2023 -11.86% 2.62%
3 Months Ended 4/30/2023 -1.30% 1.13%

 

The Fund’s performance (NAV) as of April 30, 2023 is as follows: -11.86% (1 year), -6.41% (annualized 5 year), and -7.40% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2023 is as follows: -12.13% (1 year), -6.46% (annualized 5 year), and -7.42% (annualized since inception).

 

TRTY

 

The Cambria Trinity ETF (“TRTY”) launched on September 7, 2018. For the three-month period ended April 30, 2023, TRTY posted a loss of 3.06%. For the 12-month period ended April 30, 2023, TRTY posted a loss of 3.99%. For the period since inception through April 30, 2023, TRTY posted a gain of 16.03%.

 

We believe that a suitable benchmark for TRTY is the S&P Balanced Equity and Bond – Moderate Index (SPBXMI) because the equity-bond blend is the precursor to most modern asset allocation strategies. The table below shows the performance of the Fund (NAV) vs. SPBXMI for the three-month, 12-month and since inception periods ended April 30, 2023.

 

  Vs Benchmark
  TRTY SPBXMI
Annualized Returns Since Inception 3.26% 5.85%
Cumulative Returns Since Inception 16.03% 30.17%
12 Months Ended 4/30/2023 -3.99% 1.03%
3 Months Ended 4/30/2023 -3.06% 1.97%

 

The Fund’s performance (NAV) as of April 30, 2023 is as follows: -3.99% (1 year) and 3.26% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2023 is as follows -4.70% (1 year) and 3.27% (annualized since inception).

 

4 www.cambriafunds.com
 
 
Cambria ETF Trust Shareholder Letter

April 30, 2023 (Unaudited)

 

TOKE

 

The Cambria Cannabis ETF (“TOKE”) launched on July 24, 2019. For the three-month period ended April 30, 2023, TOKE posted a loss of 12.52%. For the 12-month period ended April 30, 2023, TOKE posted a loss of 35.04%. For the period since inception through April 30, 2023, TOKE posted a loss of 71.62%.

 

We believe that the S&P 500 Index (S&P 500) serves as a suitable benchmark for TOKE. The table below shows the performance of the Fund (NAV) vs. S&P 500 for the three-month, 12-month and since inception periods ended April 30, 2023.

 

  Vs Benchmark
  TOKE S&P 500
Annualized Returns Since Inception -28.40% 10.77%
Cumulative Returns Since Inception -71.62% 47.06%
12 Months Ended 4/30/2023 -35.04% 2.66%
3 Months Ended 4/30/2023 -12.52% -2.72%

 

The Fund’s performance (NAV) as of April 30, 2023 is as follows: -35.04% (1 year) and -28.40% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2023 is as follows: -35.84% (1 year) and -28.46% (annualized since inception).

 

BLDG

 

The Global Real Estate ETF (“BLDG”) launched on September 23, 2020. For the three-month period ended April 30, 2023, BLDG posted a loss of 10.28%. For the 12-month period ended April 30, 2023, BLDG posted a loss of 14.47%. For the period since inception through April 30, 2023, BLDG posted a gain of 14.95%.

 

We believe that a suitable benchmark for BLDG is the FTSE EPRA/NAREIT Global REIT Index (ENXG). The table below shows the performance of the Fund (NAV) vs. ENXG for the three-month, 12-month and since inception periods ended April 30, 2023.

 

  Vs Benchmark
  BLDG ENXG
Annualized Returns Since Inception 5.51% 8.30%
Cumulative Returns Since Inception 14.95% 23.04%
12 Months Ended 4/30/2023 -14.47% -14.12%
3 Months Ended 4/30/2023 -10.28% -5.59%

 

The Fund’s performance (NAV) as of April 30, 2023 is as follows: -14.47% (1 year) and 14.95% (cumulative since inception). The Fund’s performance (Market Price) as of April 30, 2023 is as follows: (13.88)% (1 year) and 15.47% (cumulative since inception).

 

Sincerely,

 

Mebane Faber

 

Annual Report | April 30, 2023 5
 
 
Cambria ETF Trust Shareholder Letter

April 30, 2023 (Unaudited)

 

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted.

 

Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Market price returns are based upon the midpoint of the bid/ask spread at the close of the exchange and does not represent the returns an investor would receive if shares were traded at other times. Brokerage commissions will reduce returns. NAVs are calculated using prices as of 4:00 PM Eastern Time.

 

The information provided represents the opinion of the manager at a specific point in time and is not intended to be a forecast of future events, a guarantee of future events or investment advice.

 

Indices are unmanaged and do not include the effect of fees. One cannot invest directly in an index.

 

The S&P 500 Index is a diverse index that includes 500 American companies that represent over 70% of the total market capitalization of the U.S. stock market.

 

The MSCI EAFE Index is a free float-adjusted market capitalization weighted index, designed to measure developed market equity performance, excluding the U.S. and Canada, consisting of 21 stock markets in Europe, Australasia, and the Far East.

 

The MSCI ACWI Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. MSCI ACWI consists of 47 country indexes comprising 23 developed and 24 emerging market country indexes.

 

The S&P Balanced Equity and Bond Index is comprised of three multi-asset class indices, each with a particular risk level. The indices consist of U.S. Treasury Bonds and Equities with the following asset mix proportions: Conservative: 75% Treasuries/25% Equities, Moderate: 50% Treasuries/50% Equities, Growth: 25% Treasuries/75% Equities. The Moderate Index (SPBXMI) has long been used by academia and practitioners alike as a measurement for broad asset allocation strategies.

 

The FTSE World Government Bond Index (WGBI) measures the performance of fixed-rate, local currency, investment grade sovereign bonds. WGBI is a widely used benchmark that currently comprises sovereign debt from over 20 countries, denominated in a variety of currencies, and has more than 25 years of history available. WGBI provides a broad benchmark for the global sovereign fixed income market. Sub-indices are available in any combination of currency, maturity, or rating.

 

The Bloomberg Barclays US Short Treasury Index is composed of zero-coupon Treasury Bills and fixed-rate Treasury bonds with a maturity between one and 12 months. As Treasury bonds and notes fall below one year -to-maturity and exit the US Treasury Index, they become eligible for the Short Treasury Index. Maturity sub-indices are published in three-month increments: 1-3 month, 3-6 month, 6-9 month, and 9-12 month and can be separated into sub-indices that only include bills or only include notes that have aged below 1-year.

 

MSCI Emerging Markets Index is a free-float weighted equity index that captures large- and mid-cap representation across emerging markets countries. The index covers approximately 85% of the free float-adjusted market capitalization in each country.

 

The FTSE EPRA/NAREIT Global REIT Index measures the total return, stated in US dollar terms, of the size- and liquidity-screened stocks in both developed and emerging markets of the publicly traded real estate companies that qualify for REIT status under the tax law in the country of domicile.

 

6 www.cambriafunds.com
 
 
  Manager’s Discussion and
Cambria Shareholder Yield ETF Analysis of Fund Performance

April 30, 2023 (Unaudited)

 

Comparison of Change in the Value of a $10,000 Investment in the Cambria Shareholder Yield ETF versus the S&P 500 Index

 

For the 12-month period ended April 30, 2023, SYLD returned -1.59% at net asset value (NAV) and -1.67% at market underperforming its benchmark, the S&P 500 Index, by 4.25%. An underweight allocation and security selection in Technology, an overweight allocation to and security selection in consumer discretionary, and financials were main drivers of underperformance relative to the benchmark. Underperformance was offset somewhat by security selection in materials.

 

On a contribution to total return basis energy, materials, and healthcare were the best performers contributing 1.01%, 0.93% and 0.16% respectively. On a contribution to total return basis financials, consumer services, and information technology were the worst performing sectors contributing -1.61%, -0.72%, and -0.58% respectively.

 

Average Annual Total Return for the Periods Ended April 30, 2023

 

  1 Year 3 Year 5 Year Since Inception*
Cambria Shareholder Yield ETF - NAV -1.59% 28.07% 11.62% 12.01%
Cambria Shareholder Yield ETF - Market -1.67% 28.08% 11.58% 12.00%
S&P 500 Index 2.66% 14.52% 11.45% 11.98%

 

 

 

* Fund inception date is May 13, 2013.

 

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.

 

Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.59%.

 

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The index is unmanaged and is not available for investment.

 

There are no assurances that the Fund will meet its stated objectives.

 

S&P 500 Index is a market-value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry group representation, with each stock’s weight in the Index proportionate to its market value.

 

Annual Report | April 30, 2023 7

 

  Manager’s Discussion and
Cambria Foreign Shareholder Yield ETF Analysis of Fund Performance

April 30, 2023 (Unaudited)

 

Comparison of Change in the Value of a $10,000 Investment in the Cambria Foreign Shareholder Yield ETF versus the MSCI EAFE Index

 

For the 12-month period ended April 30, 2023, FYLD returned 2.72% at net asset value (NAV) and 3.69% at market underperforming its benchmark, the MSCI EAFE Total Return Index, by 6.28%. During this period, an underweight allocation and security selection in France and Germany, as well as overweight allocation and security selection in Hong Kong drove underperformance relative to EAFE. Security selection in Japan and Sweden offset underperformance somewhat.

 

On a contribution to total return basis Japan, Sweden, and France allocations were the best performers contributing 3.21%, 1.34%, and 0.88% respectively. On a contribution to total return basis Hong Kong, Australia, and Netherlands allocations were the worst performers contributing -1.66%, -0.54% and -0.31% respectively.

 

Average Annual Total Return for the Periods Ended April 30, 2023

 

  1 Year 3 Year 5 Year Since Inception*
Cambria Foreign Shareholder Yield ETF - NAV 2.72% 18.05% 4.14% 4.44%
Cambria Foreign Shareholder Yield ETF - Market 3.69% 18.89% 4.22% 4.50%
MSCI EAFE Index 9.00% 12.22% 4.14% 4.65%

 

 

 

* Fund inception date is December 2, 2013.

 

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.

 

Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.59%.

 

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.

 

There are no assurances that the Fund will meet its stated objectives.

 

MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. The MSCI EAFE Index consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.

 

8 www.cambriafunds.com

 

  Manager’s Discussion and
Cambria Global Value ETF Analysis of Fund Performance

April 30, 2023 (Unaudited)

 

Comparison of Change in the Value of a $10,000 Investment in the Cambria Global Value ETF versus the MSCI ACWI

 

For the 12-month period ended April 30, 2023, GVAL returned 6.97% at net asset value (NAV) and 7.40% at market outperforming its benchmark, the MSCI ACWI Total Return Index, by 4.38%. Overweight allocation to and security selection in Turkey and Portugal, Security selection in Chile, as well as exposure to the Chilean peso drove outperformance relative to ACWI.

 

On a contribution to total return basis Turkey, Chile, and Portugal allocations were the best performers contributing 6.01%, 2.27%, and 2.00% respectively. On a contribution to total return Colombia, Malaysia and Norway allocations were the worst performers contributing -1.60%, -1.27% and -0.54% respectively.

 

Average Annual Total Return for the Periods Ended April 30, 2023

 

  1 Year 3 Year 5 Year Since Inception*
Cambria Global Value ETF - NAV 6.97% 12.32% -0.80% 1.02%
Cambria Global Value ETF - Market 7.40% 12.48% -0.86% 0.98%
MSCI ACWI 2.59% 12.56% 7.56% 7.85%

 

 

 

* Fund inception date is March 11, 2014.

 

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.

 

Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.70%.

 

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.

 

There are no assurances that the Fund will meet its stated objectives.

 

MSCI ACWI (All Country World Index) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI consists of 47 country indices comprising 23 developed and 24 emerging market country indices. The developed market country indices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indices included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Kuwait, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates.

 

Annual Report | April 30, 2023 9

 

  Manager’s Discussion and
Cambria Global Momentum ETF Analysis of Fund Performance

April 30, 2023 (Unaudited)

 

Comparison of Change in the Value of a $10,000 Investment in the Cambria Global Momentum ETF versus the S&P Balanced Equity & Bond – Moderate Index

 

For the 12-month period ended April 30, 2023, GMOM returned -8.81% at net asset value (NAV) and -8.94% at market underperforming its benchmark, the S&P Balanced Equity & Bond Moderate Index, by 9.84%. GMOM is a tactical trend and momentum strategy and was concentrated in Real Assets over the period. Negative performance was primarily driven by natural resources, commodities, and energy. Global value stocks, global consumer staples, and gold offset negative performance, somewhat.

 

On a contribution to total return basis global value equities, Gold, and emerging market equities were the best performers contributing 0.80%, 0.51% and 0.35% respectively. On a contribution to total return basis energy, commodities, gold miners were the worst performers contributing -1.63%, -1.40% and -0.70% respectively.

 

Average Annual Total Return for the Periods Ended April 30, 2023

 

  1 Year 3 Year 5 Year Since Inception*
Cambria Global Momentum ETF - NAV -8.81% 9.45% 2.94% 3.64%
Cambria Global Momentum ETF - Market -8.94% 9.27% 2.86% 3.61%
S&P Balanced Equity & Bond – Moderate Index 1.03% 4.49% 6.52% 6.22%

 

 

 

* Fund inception date is November 3, 2014.

 

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.

 

Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 1.11%.

 

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The index is unmanaged and is not available for investment.

 

There are no assurances that the Fund will meet its stated objectives.

 

S&P Balanced Equity & Bond – Moderate Index the S&P 500 Balanced Equity & Bond – Moderate Index combines investable S&P indices for core equity and fixed income to provide a regularly rebalanced multi-asset measure for moderate risk-reward profiles. The construction of the index consists of a position in the S&P 500 Total Return Index with 50% weight, and a position in the S&P U.S. Treasury Bond 7-10 Year Index with 50% weight.

 

10 www.cambriafunds.com

 

  Manager’s Discussion and
Cambria Global Asset Allocation ETF Analysis of Fund Performance

April 30, 2023 (Unaudited)

 

Comparison of Change in the Value of a $10,000 Investment in the Cambria Global Asset Allocation ETF versus the S&P Balanced Equity Bond – Moderate Index

 

For the 12-month period ended April 30, 2023, GAA returned -1.58% at net asset value (NAV) and -2.46% at market underperforming its benchmark, the S&P Balanced Equity & Bond Moderate Index, by 2.61%. GAA is a buy and hold global asset allocation portfolio. Commodities and global real estate were the primary drivers of negative returns during the period. Negative performance was offset slightly by global value stocks and local currency emerging market government bonds.

 

On a contribution to total return basis global value equities, emerging market debt and emerging market equities were the best performers contributing 0.47%, 0.37% and 0.34% respectively. On a contribution to total return basis commodities, global real estate and US bonds were the worst performers contributing -1.16%, -0.82% and -0.24% respectively.

 

Average Annual Total Return for the Periods Ended April 30, 2023

 

  1 Year 3 Year 5 Year Since Inception*
Cambria Global Asset Allocation ETF - NAV -1.58% 8.30% 3.83% 4.44%
Cambria Global Asset Allocation ETF - Market -2.46% 8.77% 3.78% 4.42%
S&P Balanced Equity & Bond – Moderate Index 1.03% 4.49% 6.52% 6.07%

 

 

 

* Fund inception date is December 9, 2014.

 

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.

 

Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.42%.

 

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.

 

There are no assurances that the Fund will meet its stated objectives.

 

S&P Balanced Equity & Bond – Moderate Index the S&P 500 Balanced Equity & Bond – Moderate Index combines investable S&P indices for core equity and fixed income to provide a regularly rebalanced multi-asset measure for moderate risk-reward profiles. The construction of the index consists of a position in the S&P 500 Total Return Index with 50% weight, and a position in the S&P U.S. Treasury Bond 7-10 Year Index with 50% weight.

 

Annual Report | April 30, 2023 11

 

  Manager’s Discussion and
Cambria Value and Momentum ETF Analysis of Fund Performance

April 30, 2023 (Unaudited)

 

Comparison of Change in the Value of a $10,000 Investment in the Cambria Value and Momentum ETF versus S&P 500 Index

 

For the 12-month period ended April 30, 2023, VAMO returned -4.34% at net asset value (NAV) and -3.64% at market underperforming its benchmark, the S&P 500 Index, by 7.00%. VAMO’s underperformance was driven by its target 50% hedge against the S&P 500 as well as an underweight allocation to Technology, as well as an underweight allocation to and security selection in health care relative to the S&P 500.

 

On a contribution to total return basis consumer discretionary and communication services were the best performing sectors contributing 0.59%b and 0.05% respectively. On a contribution to total return basis financials, materials and consumer staples were the worst performing sectors contributing -1.10%, -0.71% and -0.53% respectively.

 

Average Annual Total Return for the Periods Ended April 30, 2023

 

  1 Year 3 Year 5 Year Since Inception*
Cambria Value and Momentum ETF - NAV -4.34% 15.50% 0.85% 0.77%
Cambria Value and Momentum ETF - Market -3.64% 16.64% 0.83% 0.77%
S&P 500 Index 2.66% 14.52% 11.45% 12.39%

 

 

 

* Fund inception date is September 8, 2015.

 

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.

 

Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.59%.

 

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.

 

There are no assurances that the Fund will meet its stated objectives.

 

S&P 500 Index is a market-value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry group representation, with each stock’s weight in the Index proportionate to its market value.

 

12 www.cambriafunds.com

 

  Manager’s Discussion and
Cambria Global Tail Risk ETF Analysis of Fund Performance

April 30, 2023 (Unaudited)

 

Comparison of Change in the Value of a $10,000 Investment in the Cambria Global Tail Risk ETF versus the FTSE/Citi World Government Bond Index

 

For the 12-month period ended April 30, 2023, FAIL returned -9.78% at net asset value and -8.19% at market underperforming its benchmark, the Barclays Short Treasury Total Return Index, by 12.40%. The performance of the Put Options on the MSCI EAFE and EM indices were mixed, however, as a whole, they drove negative performance. With the exception of Colombia bond positions, exposure to Local Currency Emerging Market Government Bonds offset negative performance somewhat over the period.

 

On a contribution to total return basis emerging market sovereign bonds were the best performers. MXEA and MXEF Index options and US Bonds were the worst performers.

 

Average Annual Total Return for the Periods Ended April 30, 2023

 

  1 Year 3 Year 5 Year Since Inception*
Cambria Global Tail Risk ETF - NAV -9.78% -5.84% -4.73% -0.69%
Cambria Global Tail Risk ETF - Market -8.19% -4.44% -4.80% -0.63%
Bloomberg Barclays US Short Treasury Index 2.62% 0.86% 1.47% 1.25%
FTSE/Citi World Government Bond Index -5.32% -6.61% -3.81% -1.52%

 

 

 

* Fund inception date is February 22, 2016.

 

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.

 

Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.71%.

 

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.

 

There are no assurances that the Fund will meet its stated objectives.

 

The put options purchased by FAIL give the Fund with the right to sell the underlying asset (index or ETF) to the put seller at a specified price (strike price) within a specified time period.

 

Bloomberg Barclays US Short Treasury Index is composed of zero-coupon Treasury Bills and fixed-rate. Treasury bonds with a maturity between 1 and 12 months. As Treasury bonds and notes fall below one year-to-maturity and exit the U.S. Treasury Index, they become eligible for the Short Treasury Index. Maturity subindices are published in three-month increments: 1-3 month, 3-6 month, 6-9 month, and 9-12 month and can be separated into subindices that only include bills or only include notes that have aged below 1-year.

 

FTSE/Citi World Government Bond Index measures the performance of fixed- rate, local currency, investment grade sovereign bonds. The WGBI is a widely used benchmark that currently comprises sovereign debt from over 20 countries, denominated in a variety of currencies, and has more than 25 years of history available. The WGBI provides a broad benchmark for the global sovereign fixed income market. Sub-indices are available in any combination of currency, maturity, or rating.

 

Annual Report | April 30, 2023 13

 

  Manager’s Discussion and
Cambria Emerging Shareholder Yield ETF Analysis of Fund Performance

April 30, 2023 (Unaudited)

 

Comparison of Change in the Value of a $10,000 Investment in the Cambria Emerging Shareholder Yield ETF versus the MSCI Emerging Markets Index

 

For the 12-month period ended April 30, 2023, EYLD returned 1.64% at net asset value (NAV) and 5.41% at market outperforming its benchmark, the MSCI Emerging Markets Total Return Index, by 7.73%. Security selection in China and Taiwan, as well as an overweight allocation to Turkey relative to the MSCI Emerging Markets Total Return Index was the primary driver of outperformance.

 

On a contribution to total return basis China, Turkey, and Mexico allocations were the best performers contributing 3.53%, 1.48%, and 1.30% respectively. On a contribution to total return basis India, South Korea, and South Africa allocations were the worst performers contributing -1.35%, -1.23% and -0.93% respectively.

 

Average Annual Total Return for the Periods Ended April 30, 2023

 

  1 Year 3 Year 5 Year Since Inception*
Cambria Emerging Shareholder Yield ETF - NAV 1.64% 11.23% 1.47% 7.19%
Cambria Emerging Shareholder Yield ETF - Market 5.41% 12.56% 1.83% 7.50%
MSCI Emerging Markets Index -6.09% 4.71% -0.67% 4.74%

 

 

 

* Fund inception date is July 13, 2016 and the Fund commenced operations on July 14, 2016.

 

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.

 

Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.64%.

 

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.

 

There are no assurances that the Fund will meet its stated objectives.

 

MSCI Emerging Markets Index is a free-float weighted equity index that captures large and mid -cap representation across Emerging Markets (EM) countries. The index covers approximately 85% of the free float-adjusted market capitalization in each country.

 

14 www.cambriafunds.com

 

  Manager’s Discussion and
Cambria Tail Risk ETF Analysis of Fund Performance

April 30, 2023 (Unaudited)

 

Comparison of Change in the Value of a $10,000 Investment in the Cambria Tail Risk ETF versus the Bloomberg Barclays US Short Treasury Index

 

For the 12-month period ended April 30, 2023, TAIL returned -11.86% at net asset value (NAV) and -12.13% at market underperforming its benchmark, the Barclays Short Treasury Total Return Index, by 14.48%. With the S&P 500 positive for the 12-month period, aside from a few select contracts, TAIL’s Put Options on the S&P 500 were the primary driver of negative performance. US treasuries offset negative performance somewhat.

 

On a contribution to total return SPX Index put options were the worst performer contributing -10.47% to performance.

 

Average Annual Total Return for the Periods Ended April 30, 2023

 

  1 Year 3 Year 5 Year Since Inception*
Cambria Tail Risk ETF - NAV -11.86% -12.78% -6.41% -7.40%
Cambria Tail Risk ETF - Market -12.13% -12.89% -6.46% -7.42%
Bloomberg Barclays US Short Treasury Index 2.62% 0.86% 1.47% 1.39%

 

 

 

* Fund inception date is April 5, 2017.

 

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.

 

Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.59%.

 

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.

 

There are no assurances that the Fund will meet its stated objectives.

 

Bloomberg Barclays US Short Treasury Index is composed of zero-coupon Treasury Bills and fixed-rate. Treasury bonds with a maturity between 1 and 12 months. As Treasury bonds and notes fall below one year-to-maturity and exit the U.S. Treasury Index, they become eligible for the Short Treasury Index. Maturity subindices are published in three-month increments: 1-3 month, 3-6 month, 6-9 month, and 9-12 month and can be separated into subindices that only include bills or only include notes that have aged below 1-year.

 

Annual Report | April 30, 2023 15

 

  Manager’s Discussion and
Cambria Trinity ETF Analysis of Fund Performance

April 30, 2023 (Unaudited)

 

Comparison of Change in the Value of a $10,000 Investment in the Cambria Trinity ETF versus the S&P Balanced Equity Bond – Moderate Index

 

For the 12-month period ended April 30, 2023, TRTY returned -3.99% at net asset value (NAV) and -4.70% at market underperforming its benchmark, the S&P Balanced Equity & Bond Moderate Index, by 5.02%. The main drivers of negative performance were commodities, natural resources, global real estate, and energy.

 

On a contribution to total return basis global equities, emerging market debt, and emerging market equity were the best performers contributing 0.68%, 0.48% and 0.30% respectively. On a contribution to total return basis commodities, energy, and global real estate were the worst performers contributing -0.93%, -0.60% and -0.47% respectively.

 

Average Annual Total Return for the Periods Ended April 30, 2023

 

  1 Year 3 Year Since Inception*
Cambria Trinity ETF - NAV -3.99% 9.29% 3.26%
Cambria Trinity ETF - Market -4.70% 9.02% 3.27%
S&P Balanced Equity & Bond – Moderate Index 1.03% 4.49% 5.85%

 

 

 

* Fund inception date is September 17, 2018.

 

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.

 

Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.50%.

 

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.

 

There are no assurances that the Fund will meet its stated objectives.

 

S&P Balanced Equity & Bond – Moderate Index the S&P 500 Balanced Equity & Bond – Moderate Index combines investable S&P indices for core equity and fixed income to provide a regularly rebalanced multi-asset measure for moderate risk-reward profiles. The construction of the index consists of a position in the S&P 500 Total Return Index with 50% weight, and a position in the S&P U.S. Treasury Bond 7-10 Year Index with 50% weight.

 

16 www.cambriafunds.com

 

  Manager’s Discussion and
Cambria Cannabis ETF Analysis of Fund Performance

April 30, 2023 (Unaudited)

 

Comparison of Change in the Value of a $10,000 Investment in the Cambria Cannabis ETF versus the S&P 500 Index

 

For the 12-month period ended April 30, 2023, TOKE returned -35.04% at net asset value (NAV) and -35.84% at market underperforming its benchmark, the S&P 500 Total Return Index, by 37.70%. Underperformance of TOKE over the period can be attributed to the underperformance of marijuana and ancillary marijuana companies relative to the S&P 500. As a thematic fund, we generally expect the Fund to underperform when the overall cannabis industry does poorly and vice versa.

 

On a contribution to total return basis Imperial Brands PLC, Philip Morris International, and Universal Corp were the best performers contributing 1.31%, 0.31% and 0.05% respectively. On a contribution to total return basis Scotts Miracle-Gro, Innovative Industrial Properties, and Tilray Brands were the worst performers contributing -3.14%, -2.93% and -2.60% respectively.

 

Average Annual Total Return for the Periods Ended April 30, 2023

 

  1 Year 3 Year Since Inception
Cambria Cannabis ETF - NAV -35.04% -15.48% -28.40%
Cambria Cannabis ETF - Market -35.84% -15.60% -28.46%
S&P 500 Index 2.66% 14.52% 10.77%

 

 

 

* Fund inception date is July 24, 2019.

 

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.

 

Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855 -ETF-INFO (383 -4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.59%; however, TOKE’s investment adviser has agreed to waive 17 basis points (0.17%) of its management fees for the Fund until at least August 31, 2024. This agreement may be terminated only by, or with the consent of, the Trust’s Board of Trustees.

 

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.

 

There are no assurances that the Fund will meet its stated objectives.

 

S&P 500 Index is a market-value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry group representation, with each stock’s weight in the Index proportionate to its market value.

 

Annual Report | April 30, 2023 17

 

  Manager’s Discussion and
Cambria Global Real Estate ETF Analysis of Fund Performance

April 30, 2023 (Unaudited)

 

Comparison of Change in the Value of a $10,000 Investment in the Cambria Global Real Estate ETF versus the FTSE EPRA Nareit Global REITs Index

 

For the 12-month period ended April 30, 2023, BLDG returned -14.47% at net asset value (NAV) and -13.88% at market underperforming its benchmark, the FTSE EPRA/NAREIT Global REIT Total Return Index, by 0.35%. From a global perspective, negative returns were driven primarily by the US, and were partially offset by positive returns in Turkey and Mexico. From a category perspective, negative returns were driven by office and diversified REITs.

 

On a contribution to total return basis Turkey, Mexico, and Netherlands allocations were the best performers contributing 2.27%, 1.96%, and 0.50% respectively. On a contribution to total return basis United States, Canada, and United Kingdom allocations were the worst performers contributing -10.45%, -2.16% and -1.18% respectively.

 

Average Annual Total Return for the Periods Ended April 30, 2023

 

  1 Year Since Inception
Cambria Global Real Estate ETF - NAV -14.47% 5.51%
Cambria Global Real Estate ETF - Market -13.88% 5.69%
FTSE EPRA Nareit Global REITs Index -14.12% 8.30%

 

 

 

* Fund inception date is September 23, 2020.

 

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.

 

Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.59%.

 

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.

 

There are no assurances that the Fund will meet its stated objectives.

 

FTSE EPRA/NAREIT Global REIT Index: measures the total return, stated in US dollar terms, of the size- and liquidity-screened stocks in both developed and emerging markets of the publicly traded real estate companies that qualify for REIT status under the tax law in the country of domicile.

 

18 www.cambriafunds.com

 

Cambria Shareholder Yield ETF Schedule of Investments

April 30, 2023

 

Sector Weightings  
Cambria Shareholder Yield ETF  
Consumer Discretionary 25.12%
Financials 19.38%
Materials 18.73%
Energy 16.63%
Industrials 8.07%
Health Care 6.03%
Information Technology 5.19%
Consumer Staples 0.85%
  100.00%

 

Percentages based on total investments, excluding investments purchased with collateral from securities loaned.

 

    Shares     Value  
Common Stocks (99.19%)                
Consumer Discretionary (24.91%)                
Abercrombie & Fitch Co., Class A(a)     252,434     $ 5,942,296  
Adtalem Global Education, Inc.(a)     179,075       7,265,073  
Advance Auto Parts, Inc.     41,990       5,271,005  
AutoNation, Inc.(a)     79,781       10,507,158  
Big 5 Sporting Goods Corp.(b)     434,226       3,421,701  
Big Lots, Inc.(b)     300,352       2,700,164  
Caleres, Inc.     267,748       6,104,654  
Dick's Sporting Goods, Inc.     62,738       9,097,637  
Dillard's, Inc., Class A(b)     37,050       11,055,349  
Ethan Allen Interiors, Inc.     262,808       7,340,227  
Foot Locker, Inc.     181,298       7,612,703  
Grand Canyon Education, Inc.(a)     78,299       9,294,091  
Haverty Furniture Cos., Inc.     203,775       6,141,779  
Hibbett, Inc.     110,162       5,985,101  
LKQ Corp.     133,627       7,714,287  
Macy's, Inc.     320,853       5,242,738  
ODP Corp.(a)     150,917       6,521,124  
Oxford Industries, Inc.     69,901       7,213,084  
Penske Automotive Group, Inc.     72,741       10,080,448  
PulteGroup, Inc.     155,857       10,465,798  
Smith & Wesson Brands, Inc.     456,209       5,483,632  
Tapestry, Inc.     189,202       7,721,334  
Toll Brothers, Inc.     166,127       10,617,177  
Whirlpool Corp.     43,472       6,068,256  
Zumiez, Inc.(a)     230,451       4,029,436  
              178,896,252  
Consumer Staples (0.84%)                
Cal-Maine Foods, Inc.(b)     127,293       6,046,418  
    Shares     Value  
Energy (16.50%)            
APA Corp.     167,713     $ 6,180,224  
California Resources Corp.     154,128       6,242,184  
Civitas Resources, Inc.     107,244       7,405,198  
CNX Resources Corp.(a)     432,744       6,720,514  
ConocoPhillips     67,431       6,937,976  
CONSOL Energy, Inc.     129,173       7,665,126  
CVR Energy, Inc.     358,891       9,453,189  
Devon Energy Corp.     123,747       6,611,802  
Exxon Mobil Corp.     83,239       9,850,503  
Marathon Oil Corp.     273,923       6,617,980  
Marathon Petroleum Corp.     68,172       8,316,984  
Ovintiv, Inc.     154,869       5,587,673  
PDC Energy, Inc.     121,030       7,873,001  
Pioneer Natural Resources Co.     30,134       6,555,652  
Plains GP Holdings LP, Class A     619,229       8,297,669  
Valero Energy Corp.     70,970       8,138,130  
              118,453,805  
Financials (19.22%)                
Affiliated Managers Group, Inc.     50,145       7,239,935  
Aflac, Inc.     120,536       8,419,440  
Allstate Corp.     55,822       6,461,955  
Ally Financial, Inc.     183,521       4,841,284  
American Financial Group, Inc.     53,352       6,547,891  
Ameriprise Financial, Inc.     29,887       9,119,121  
Assured Guaranty, Ltd.     148,447       7,996,840  
Cathay General Bancorp     181,792       5,793,711  
Discover Financial Services     61,997       6,414,830  
Federated Hermes, Inc.     216,866       8,976,084  
Hilltop Holdings, Inc.     220,571       6,842,112  
Jefferies Financial Group, Inc.     221,852       7,105,919  
Lincoln National Corp.     103,740       2,254,270  
Loews Corp.     121,771       7,010,356  
MetLife, Inc.     103,246       6,332,077  
Mr Cooper Group, Inc.(a)     144,989       6,712,991  
Principal Financial Group, Inc.     108,927       8,135,758  
SLM Corp.     392,730       5,898,805  
Synchrony Financial     152,893       4,511,872  
Voya Financial, Inc.     100,035       7,650,677  
Western Union Co.     343,330       3,752,597  
              138,018,525  
Health Care (5.98%)                
AMN Healthcare Services, Inc.(a)     61,997       5,353,441  
Cigna Group     28,158       7,132,140  
McKesson Corp.     33,098       12,055,615  
Quest Diagnostics, Inc.     44,954       6,240,065  

 

The accompanying notes are an integral part of the financial statements.

Annual Report | April 30, 2023 19

 

 

Cambria Shareholder Yield ETF Schedule of Investments

April 30, 2023

 

    Shares     Value  
Health Care (continued)                
Universal Health Services, Inc., Class B     55,081     $ 8,281,428  
Veradigm, Inc.(a)     308,997       3,859,373  
              42,922,062  
Industrials (8.01%)                
Atkore, Inc.(a)     61,503       7,769,674  
Crane Co.(a)     64,008       4,613,056  
Crane NXT Co.     63,246       2,995,331  
Encore Wire Corp.     38,633       6,039,497  
ManpowerGroup, Inc.     81,263       6,152,422  
Matson, Inc.     96,330       6,553,330  
Owens Corning     74,883       7,998,253  
Ryder System, Inc.     80,321       6,358,210  
Veritiv Corp.     78,299       8,994,206  
              57,473,979  
Information Technology (5.15%)                
Arrow Electronics, Inc.(a)     58,045       6,642,089  
DXC Technology Co.(a)     207,974       4,960,180  
HP, Inc.     238,602       7,088,865  
Kulicke & Soffa Industries, Inc.     132,677       6,323,386  
Sanmina Corp.(a)     139,308       7,280,236  
Xerox Holdings Corp.     298,129       4,671,682  
              36,966,438  
Materials (18.58%)                
Alpha Metallurgical Resources, Inc.     51,376       7,529,666  
CF Industries Holdings, Inc.     65,455       4,685,269  
Dow, Inc.     137,085       7,457,424  
DuPont de Nemours, Inc.     103,246       7,198,311  
Greif, Inc., Class A     110,162       6,917,072  
Huntsman Corp.     232,674       6,233,336  
International Paper Co.     159,315       5,274,920  
Louisiana-Pacific Corp.     176,111       10,520,871  
LyondellBasell Industries NV, Class A     70,395       6,660,071  
Mosaic Co.     222,053       9,514,971  
Nucor Corp.     68,760       10,188,857  
Olin Corp.     128,934       7,142,944  
Reliance Steel & Aluminum Co.     43,719       10,833,568  
Ryerson Holding Corp.     332,709       12,566,419  
Steel Dynamics, Inc.     75,088       7,805,398  
Sylvamo Corp.     147,585       6,762,345  
United States Steel Corp.     268,535       6,144,081  
              133,435,523  

 

    Shares     Value  
Materials (continued)        
                 
Total Common Stocks                
(Cost $745,809,992)           $ 712,213,002  
                 
    Shares     Value  
Short-Term Investment (2.01%)                
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 4.76%(c)(d)     14,462,896     $ 14,462,896  
                 
Total Short-Term Investment                
(Cost $14,462,896)             14,462,896  
                 
Total Investments (101.20%)                
(Cost $760,272,888)           $ 726,675,898  
                 
Liabilities Less Other Assets (-1.20%)             (8,621,890 )
                 
Net Assets (100.00%)           $ 718,054,008  

 

Percentages based on Net Assets.

 

(a) Non-income producing security.

(b) This security or a partial position of this security is on loan at April 30, 2023. The total value of securities on loan at April 30, 2023 was $14,240,689.
(c) This security was purchased with cash collateral held from securities on loan. The total value of such securities as of April 30, 2023 was $14,462,896.
(d) Rate shown is the 7-day effective yield as of April 30, 2023.

 

As of April 30, 2023, all of the Fund's investments in securities were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. generally accepted accounting principles.

 


The accompanying notes are an integral part of the financial statements.

20 www.cambriafunds.com

 

 

Cambria Foreign Shareholder Yield ETF Schedule of Investments

April 30, 2023

 

Sector Weightings  
Cambria Foreign Shareholder Yield ETF  
Materials 21.51%
Financials 20.36%
Industrials 18.17%
Energy 16.37%
Consumer Discretionary 6.27%
Communication Services 5.50%
Information Technology 5.45%
Consumer Staples 4.58%
Real Estate 1.79%
  100.00%

 

Percentages based on total investments, excluding investments purchased with collateral from securities loaned.

 

    Shares     Value  
Common Stocks (97.43%)            
Australia (5.52%)            
CSR, Ltd.     473,522     $ 1,644,979  
Downer EDI, Ltd.     591,530       1,389,524  
Fortescue Metals Group, Ltd.     176,714       2,448,547  
Super Retail Group, Ltd.     234,079       2,092,563  
Whitehaven Coal, Ltd.     264,326       1,259,311  
Yancoal Australia, Ltd.(a)     416,008       1,530,514  
              10,365,438  
Austria (1.03%)                
Wienerberger AG     64,219       1,931,835  
                 
Canada (15.11%)                
Canadian Natural Resources, Ltd.     29,800       1,815,912  
Corus Entertainment, Inc., Class B(a)     983,400       1,030,688  
Crescent Point Energy Corp.     253,300       1,873,319  
Home Capital Group, Inc.     74,500       2,394,712  
Imperial Oil, Ltd.     59,600       3,037,957  
Interfor Corp.     89,400       1,402,845  
International Petroleum Corp.(b)     157,344       1,535,075  
Labrador Iron Ore Royalty Corp.(a)     87,028       1,962,361  
MEG Energy Corp.(b)     134,100       2,232,938  
Mullen Group, Ltd.(a)     193,700       2,145,947  
Peyto Exploration & Development Corp.(a)     163,900       1,492,804  
Stelco Holdings, Inc.     74,500       2,603,115  
Suncor Energy, Inc.     59,600       1,866,060  
West Fraser Timber Co., Ltd.     14,900       1,077,758  
    Shares     Value  
Canada (continued)            
Whitecap Resources, Inc.(a)     238,400     $ 1,879,257  
              28,350,748  
Denmark (2.53%)                
D/S Norden A/S     35,760       2,243,557  
Scandinavian Tobacco Group A/S, Class A(c)     128,885       2,511,205  
              4,754,762  
Finland (1.08%)                
Sampo Oyj(b)     39,932       2,022,297  
                 
France (7.62%)                
AXA SA     73,755       2,403,181  
Carrefour SA     108,472       2,254,255  
Coface SA     139,464       2,129,949  
Metropole Television SA     87,910       1,418,153  
Nexity SA     64,368       1,686,653  
SCOR SE     83,291       2,149,457  
TotalEnergies SE     35,313       2,254,535  
              14,296,183  
Germany (1.98%)                
DWS Group GmbH & Co. KGaA(c)     40,081       1,329,379  
Freenet AG     84,036       2,392,774  
              3,722,153  
Great Britain (12.40%)                
abrdn PLC     822,182       2,197,790  
Anglo American PLC     36,505       1,121,713  
Aviva PLC     287,278       1,527,191  
Balfour Beatty PLC     445,659       2,145,122  
BP PLC     437,911       2,941,054  
British American Tobacco PLC     55,279       2,033,450  
Direct Line Insurance Group PLC     683,346       1,474,128  
Legal & General Group PLC     452,670       1,331,784  
Man Group PLC     512,262       1,462,686  
Persimmon PLC     82,844       1,368,066  
Quilter PLC(c)     1,179,945       1,261,949  
Rio Tinto PLC     40,534       2,572,027  
WPP PLC     156,748       1,826,527  
              23,263,487  
Hong Kong (7.65%)                
China Resources Cement Holdings, Ltd.     2,384,000       1,075,126  
Kingboard Holdings, Ltd.     372,500       1,136,532  
Kingboard Laminates Holdings, Ltd.     1,192,000       1,225,461  
New World Development Co., Ltd.     596,000       1,583,077  

 

The accompanying notes are an integral part of the financial statements.  

Annual Report | April 30, 2023 21

 

 

Cambria Foreign Shareholder Yield ETF Schedule of Investments

April 30, 2023

 

    Shares     Value  
Hong Kong (continued)                
Orient Overseas International, Ltd.     74,500     $ 1,507,150  
Pacific Basin Shipping, Ltd.     4,768,000       1,652,170  
PC Partner Group, Ltd.(a)     2,086,000       1,190,535  
Shougang Fushan Resources Group, Ltd.     5,364,000       1,817,691  
Skyworth Group, Ltd.     3,874,000       1,924,748  
VTech Holdings, Ltd.     208,600       1,250,327  
              14,362,817  
Italy (3.81%)                
Anima Holding SpA(c)     372,649       1,546,408  
Eni SpA     141,252       2,139,512  
Unipol Gruppo SpA     344,488       1,934,404  
UnipolSai Assicurazioni SpA     571,713       1,535,874  
              7,156,198  
Japan (24.58%)                
Aozora Bank, Ltd.(a)     74,500       1,329,840  
Citizen Watch Co., Ltd.     432,100       2,375,448  
Dai-ichi Life Holdings, Inc.     104,300       1,924,932  
Hakuto Co., Ltd.     89,400       2,788,726  
Inabata & Co., Ltd.     104,300       2,115,167  
Iyogin Holdings, Inc.     357,600       2,078,749  
Japan Petroleum Exploration Co., Ltd.     59,600       1,968,513  
Japan Post Holdings Co., Ltd.     223,500       1,833,997  
Japan Tobacco, Inc.     74,500       1,598,596  
Joyful Honda Co., Ltd.     149,000       1,976,168  
Kamigumi Co., Ltd.     89,400       1,952,108  
Meiwa Corp.     120,375       620,230  
Mitsubishi Logistics Corp.     59,600       1,469,823  
Mitsuboshi Belting, Ltd.     74,500       2,124,353  
Mitsui & Co., Ltd.     89,400       2,774,947  
Nippon Yusen KK(a)     103,600       2,435,545  
Nisshinbo Holdings, Inc.     223,500       1,709,325  
Niterra Co., Ltd.     89,400       1,859,588  
Nitto Kogyo Corp.     104,300       2,054,690  
Press Kogyo Co., Ltd.     566,200       2,256,572  
Sumitomo Osaka Cement Co., Ltd.     59,600       1,666,674  
Sumitomo Warehouse Co., Ltd.(a)     119,200       1,972,012  
Tokio Marine Holdings, Inc.     74,500       1,487,321  
Yamato Kogyo Co., Ltd.     44,700       1,745,414  
              46,118,738  
Luxembourg (3.95%)                
APERAM SA     51,405       1,900,385  
ArcelorMittal SA     141,252       4,000,921  
    Shares     Value  
Luxembourg (continued)                
RTL Group SA     32,184     $ 1,506,497  
              7,407,803  
Netherlands (1.00%)                
NN Group NV     50,362       1,874,036  
                 
New Zealand (0.61%)                
Fletcher Building, Ltd.     408,707       1,137,347  
                 
Norway (3.57%)                
Elkem ASA(c)     520,755       1,759,134  
Golden Ocean Group, Ltd.     193,849       1,783,686  
Telenor ASA     150,642       1,879,306  
Yara International ASA     31,737       1,276,979  
              6,699,105  
Spain (1.11%)                
Repsol SA     141,550       2,081,480  
                 
Sweden (2.45%)                
SSAB AB     668,563       4,595,621  
                 
Switzerland (1.43%)                
Ferrexpo PLC     759,006       1,031,149  
Glencore PLC     281,014       1,656,348  
              2,687,497  
                 
Total Common Stocks                
(Cost $182,845,829)             182,827,545  
                 

The accompanying notes are an integral part of the financial statements.

22 www.cambriafunds.com

 

 

Cambria Foreign Shareholder Yield ETF Schedule of Investments

April 30, 2023

 

    Shares     Value  
Short-Term Investment (3.17%)                
Fidelity Investments Money Market                
Treasury Portfolio Institutional Class, 4.76%(d)(e)     5,946,314     $ 5,946,314  
                 
Total Short-Term Investment                
(Cost $5,946,314)             5,946,314  
                 
Total Investments (100.60%)                
(Cost $188,792,143)           $ 188,773,859  
                 
Liabilities Less Other Assets (-0.60%)             (1,119,528 )
                 
Net Assets (100.00%)           $ 187,654,331  

 

Percentages based on Net Assets.

 

(a) This security or a partial position of this security is on loan at April 30, 2023. The total value of securities on loan at April 30, 2023 was $5,631,808.
(b) Non-income producing security.
(c) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of April 30, 2023, the fair value of securities restricted under Rule 144A in the aggregate was $8,408,075, representing 4.48% of net assets.
(d) This security was purchased with cash collateral held from securities on loan. The total value of such securities as of April 30, 2023 was $5,946,314.
(e) Rate shown is the 7-day effective yield as of April 30, 2023.

Investment Abbreviations: 

GmbH - German Company with limited liability 

KGaA - German Master Limited Partnership 

Oyj - Finnish public stock company 

PLC - Public Limited Company 

SpA - Italian Public Limited Company

 

As of April 30, 2023, all of the Fund's investments in securities were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. generally accepted accounting principles.

 


The accompanying notes are an integral part of the financial statements.

Annual Report | April 30, 2023 23

 

 

Cambria Global Value ETF Schedule of Investments

  April 30, 2023

 

Sector Weightings      
Cambria Global Value ETF      
Financials     31.75 %
Utilities     16.44 %
Industrials     10.03 %
Materials     9.84 %
Energy     9.16 %
Real Estate     8.08 %
Consumer Staples     5.52 %
Consumer Discretionary     3.68 %
Information Technology     1.86 %
Health Care     1.49 %
Communication Services     1.47 %
Other     0.68 %
      100.00 %

 

Percentages based on total investments, excluding investments purchased with collateral from securities loaned.

 

    Shares     Value  
Common Stocks (95.08%)                
                 
Austria (9.72%)                
ANDRITZ AG     18,354     $ 1,190,203  
AT&S Austria Technologie & Systemtechnik AG     41,363       1,262,512  
BAWAG Group AG(a)     25,270       1,229,640  
Erste Group Bank AG     59,452       2,156,457  
EVN AG(b)     53,599       1,290,482  
OMV AG     26,866       1,268,225  
Raiffeisen Bank International AG(b)     79,268       1,214,979  
Verbund AG     14,098       1,256,753  
Voestalpine AG     37,107       1,283,076  
Wienerberger AG     41,895       1,260,285  
              13,412,612  
Brazil (7.99%)                
Atacadao SA     505,400       1,084,201  
Banco Santander Brasil SA     186,200       997,487  
Centrais Eletricas Brasileiras SA     159,600       1,078,655  
Cia Siderurgica Nacional SA     399,000       1,131,932  
Gerdau SA     237,405       1,196,116  
Itau Unibanco Holding SA     266,000       1,378,050  
JBS S/A     319,200       1,139,132  
Petroleo Brasileiro SA     186,200       882,880  
Telefonica Brasil SA     119,700       987,061  
Vale SA     79,800       1,152,251  
              11,027,765  
    Shares     Value  
Chile (9.33%)            
Banco Santander Chile     24,307,612     $ 1,162,309  
CAP SA     100,681       704,798  
Cencosud SA     751,716       1,531,834  
Cia Sud Americana de Vapores SA     10,570,175       1,080,129  
Colbun SA     11,978,512       1,676,917  
Empresas CMPC SA     807,310       1,265,094  
Empresas COPEC SA     167,314       1,164,203  
Enel Americas SA     11,385,332       1,551,423  
Falabella SA     444,752       953,689  
Quinenco SA     435,442       1,788,158  
              12,878,554  
Czech Republic (8.18%)                
CEZ AS     51,870       2,786,183  
Komercni Banka AS     92,036       2,967,506  
Moneta Money Bank AS(a)     817,817       2,998,802  
Philip Morris CR AS     3,059       2,529,881  
              11,282,372  
Great Britain (8.19%)                
Anglo American PLC     27,531       845,963  
Aviva PLC     168,982       898,321  
Barclays PLC     646,912       1,299,840  
BP PLC     231,287       1,553,347  
Legal & General Group PLC     387,562       1,140,232  
Lloyds Banking Group PLC     2,201,283       1,333,440  
Rio Tinto PLC     17,689       1,122,430  
Segro PLC     81,662       856,748  
Shell PLC     42,294       1,303,317  
Vodafone Group PLC     784,966       946,063  
              11,299,701  
Greece (–%)(c)                
FF Group(b)(d)(e)(i)     25,407        
                 
Hong Kong (8.25%)                
BOC Hong Kong Holdings, Ltd.     399,000       1,255,508  
China Overseas Land & Investment, Ltd.     465,500       1,176,552  
China Resources Land, Ltd.     266,000       1,233,482  
CK Asset Holdings, Ltd.     199,500       1,176,721  
CK Hutchison Holdings, Ltd.     199,500       1,334,295  
Geely Automobile Holdings, Ltd.     931,000       1,144,529  
Orient Overseas International, Ltd.     66,500       1,345,308  
Sino Land Co., Ltd.     1,064,000       1,431,381  
Swire Properties, Ltd.     478,800       1,283,973  
              11,381,749  

The accompanying notes are an integral part of the financial statements.

24 www.cambriafunds.com

 

 

Cambria Global Value ETF Schedule of Investments

April 30, 2023

 

    Shares     Value  
Italy (8.91%)            
A2A SpA     727,377     $ 1,282,400  
Assicurazioni Generali SpA     59,850       1,245,116  
Banco BPM SpA     278,236       1,129,782  
Enel SpA     196,574       1,342,739  
Eni SpA     82,992       1,257,061  
Intesa Sanpaolo SpA     456,988       1,200,732  
Leonardo SpA     99,883       1,189,214  
Pirelli & C SpA(a)     238,735       1,248,497  
UniCredit SpA     57,722       1,141,058  
UnipolSai Assicurazioni SpA     468,426       1,258,399  
              12,294,998  
Malaysia (7.62%)                
CIMB Group Holdings Bhd     1,024,100       1,161,741  
Hartalega Holdings Bhd     2,261,000       952,960  
Hong Leong Bank Bhd     252,700       1,140,988  
Malayan Banking Bhd     585,200       1,136,158  
Petronas Chemicals Group Bhd     665,000       1,055,532  
Public Bank Bhd     1,130,500       985,908  
RHB Bank Bhd     864,500       1,062,092  
Sime Darby Bhd     2,221,100       1,080,549  
Sime Darby Plantation Bhd     984,200       944,373  
Top Glove Corp. Bhd     4,522,000       993,512  
              10,513,813  
Poland (8.29%)                
Alior Bank SA(b)(f)     155,078       1,617,065  
Jastrzebska Spolka Weglowa SA(b)(f)     76,874       792,363  
KGHM Polska Miedz SA     38,437       1,102,659  
Lubelski Wegiel Bogdanka SA(f)     100,548       937,814  
PGE Polska Grupa Energetyczna SA(b)     553,546       914,752  
Polski Koncern Naftowy ORLEN SA     239,457       3,648,730  
Powszechny Zaklad Ubezpieczen SA     179,018       1,647,339  
Tauron Polska Energia SA(b)     1,573,390       782,140  
              11,442,862  
Russia (–%)(c)                
Alrosa PJSC(d)(e)(i)     1,262,976        
Gazprom Neft PJSC(d)(e)(i)     334,880        
Gazprom PJSC(d)(e)(i)     373,048        
Rosneft Oil Co. PJSC(d)(e)(i)     198,016        
Sberbank of Russia PJSC(d)(e)(i)     287,609        
Severstal PAO(d)(e)(i)     82,992        
Unipro PJSC(d)(e)(i)     22,421,984        
              0  
Singapore (9.22%)                
CapitaLand Ascott Trust     22,748       18,412  
    Shares     Value  
Singapore (continued)                
Capitaland Investment, Ltd./Singapore     399,000     $ 1,112,362  
CDL Hospitality Trusts     23,850       22,521  
City Developments, Ltd.     212,800       1,108,375  
Genting Singapore, Ltd.     1,755,600       1,486,737  
Jardine Cycle & Carriage, Ltd.     53,200       1,350,782  
Oversea-Chinese Banking Corp., Ltd.     133,000       1,253,899  
Sembcorp Industries, Ltd.     478,800       1,535,777  
Singapore Airlines, Ltd.     305,900       1,341,114  
United Overseas Bank, Ltd.     53,200       1,125,120  
UOL Group, Ltd.     226,100       1,174,259  
Venture Corp., Ltd.     93,100       1,184,027  
              12,713,385  
Spain (9.38%)                
Acciona SA     6,118       1,132,563  
Banco Bilbao Vizcaya Argentaria SA     167,846       1,229,919  
Banco Santander SA(f)     412,566       1,448,609  
CaixaBank SA     374,262       1,382,368  
Enagas SA     54,663       1,093,537  
Endesa SA(f)     56,924       1,277,704  
Ferrovial SA     46,683       1,462,444  
Iberdrola SA     103,873       1,348,316  
Mapfre SA     663,404       1,328,241  
Naturgy Energy Group SA     39,501       1,231,795  
              12,935,496  
                 
Total Common Stocks                
(Cost $141,771,766)             131,183,307  

The accompanying notes are an integral part of the financial statements.

Annual Report | April 30, 2023 25

 

 

Cambria Global Value ETF Schedule of Investments

April 30, 2023

 

    Shares     Value  
Short-Term Investment (2.07%)                
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 4.76%(g)(h)     2,862,287     $ 2,862,287  
                 
Total Short-Term Investment                
(Cost $2,862,287)             2,862,287  
                 
Total Investments (97.15%)                
(Cost $144,634,053)           $ 134,045,594  
                 
Other Assets Less Liabilities (2.85%)             3,932,782  
                 
Net Assets (100.00%)           $ 137,978,376  

 

Percentages based on Net Assets.

 

(a) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of April 30, 2023, the fair value of securities restricted under Rule 144A in the aggregate was $5,476,939, representing 3.97% of net assets.

(b) Non-income producing security.

(c) Less than 0.005%.

(d) Level 3 security in accordance with fair value hierarchy.

(e) Fair valued security; valued by management in accordance with procedures approved by the Fund's Board of Trustees. As of April 30, 2023, these securities had an aggregate market value of $0 or -% of total net assets.

(f) This security or a partial position of this security is on loan at April 30, 2023. The total value of securities on loan at April 30, 2023 was $2,679,779.

(g) This security was purchased with cash collateral held from securities on loan. The total value of such securities as of April 30, 2023 was $2,862,287.

(h) Rate shown is the 7-day effective yield as of April 30, 2023.

(i) These securities are considered to be illiquid. The aggregate value of these securities at April 30, 2023 was $0, which represent 0.00% of the Fund's Net Assets.

Investment Abbreviations:

PJSC - Private Joint Stock Company

PLC - Public Limited Company


The accompanying notes are an integral part of the financial statements.

26 www.cambriafunds.com

 

 

Cambria Global Value ETF Schedule of Investments

April 30, 2023

 

Investments no longer affiliated as of April 30, 2023:

 

Security Name   Market Value
as of
April 30, 2022
    Purchases     Purchases
In-Kind
    Sales     Sales
In-Kind
    Market Value
as of April
30, 2023
    Share Balance
as of April
30, 2023
    Dividends     Change in
Unrealized
Gain (Loss)
    Realized
Gain/Loss
 
iShares MSCI Colombia ETF   $ 9,137,885     $     $     $ (6,550,036 )   $ (635,957 )   $     $     $ 328,977     $ (2,573,718 )   $ 621,826  
Grand Total   $ 9,137,885     $     $     $ (6,550,036 )   $ (635,957 )   $     $     $ 328,977     $ (2,573,718 )   $ 621,826  

 

Cambria Global Value ETF

 

Investments in Securities at Value   Level 1 - Quoted
and Unadjusted
Prices
    Level 2 -
Other
Significant
Observable
Inputs
    Level 3 -
Significant
Unobservable
Inputs(1)
    Total  
Common Stocks                                
Austria   $ 13,412,612           $       13,412,612  
Brazil     11,027,765                   11,027,765  
Chile     12,878,554                   12,878,554  
Czech Republic     11,282,372                   11,282,372  
Great Britain     11,299,701                   11,299,701  
Hong Kong     11,381,749                   11,381,749  
Italy     12,294,998                   12,294,998  
Malaysia     10,513,813                   10,513,813  
Poland     11,442,862                   11,442,862  
Singapore     12,713,385                   12,713,385  
Spain     12,935,496                   12,935,496  
Short-Term Investment     2,862,287                   2,862,287  
Total   $ 134,045,594     $     $     $ 134,045,594  

(1) A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.

 

The accompanying notes are an integral part of the financial statements.

Annual Report | April 30, 2023 27

 

 

Cambria Global Momentum ETF Schedule of Investments

April 30, 2023

 

Sector Weightings      
Cambria Global Momentum ETF      
Exchange Traded Funds     100.00 %
      100.00 %

 

Percentages based on total investments, excluding investments purchased with collateral from securities loaned.

 

    Shares     Value  
Exchange Traded Funds (99.27%)                
Global (24.06%)                
Equity ETF (24.06%)                
iShares® Global Consumer Discretionary ETF     68,199     $ 9,809,744  
iShares® Global Materials ETF     128,778       10,696,301  
Cambria Global Value ETF*(a)     1,079,246       22,308,015  
              42,814,060  
International (30.50%)                
Equity ETF (24.45%)                
Cambria Emerging Shareholder Yield ETF*(a)     758,190       21,819,192  
Cambria Foreign Shareholder Yield ETF*(a)     854,583       21,697,862  
              43,517,054  
Fixed Income ETF (6.05%)                
VanEck Emerging Markets High Yield Bond ETF(a)     589,026       10,767,395  
                 
North America (37.96%)                
Commodity ETF (12.90%)                
Invesco DB Precious Metals Fund#     229,997       11,918,973  
VanEck Gold Miners ETF/USA     328,803       11,041,205  
              22,960,178  
Equity ETF (25.06%)                
iShares® Global Consumer Staples ETF     187,452       12,086,905  
iShares® Global Industrials ETF     98,552       11,308,842  
iShares® Global Tech ETF(a)     198,755       10,752,646  
WisdomTree Emerging Markets Local Debt Fund(a)     386,207       10,435,429  
              44,583,822  
    Shares     Value  
United States (6.75%)                
Commodity ETF (6.75%)                
Graniteshares Gold Trust(a)(b)     610,108     $ 12,013,026  
                 
Total Exchange Traded Funds                
(Cost $170,783,652)             176,655,535  

 

    Shares     Value  
Short-Term Investment (5.27%)                
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 4.76%(c)(d)     9,370,036     $ 9,370,036  
                 
Total Short-Term Investment                
(Cost $9,370,036)             9,370,036  
                 
Total Investments (104.54%)                
(Cost $180,153,688)           $ 186,025,571  
                 
Liabilities Less Other Assets (-4.54%)             (8,073,208 )
                 
Net Assets (100.00%)           $ 177,952,363  

 

Percentages based on Net Assets.

 

* Affiliated investment is a registered investment company which is managed by Cambria Investment Management, L.P. (the “Investment Adviser”) or an affiliate of the Investment Adviser or which is distributed by an affiliate of the Fund’s distributor.

# Affiliated investment due to Fund holding more that 5% of outstanding shares.

(a) This security or a partial position of this security is on loan at April 30, 2023. The total value of securities on loan at April 30, 2023 was $9,194,963.

(b) Non-income producing security.

(c) This security was purchased with cash collateral held from securities on loan. The total value of such securities as of April 30, 2023 was $9,370,036.

(d) Rate shown is the 7-day effective yield as of April 30, 2023.

 

Investment Abbreviations:

ETF - Exchange Traded Fund


The accompanying notes are an integral part of the financial statements.

28 www.cambriafunds.com

 

 

Cambria Global Momentum ETF Schedule of Investments

April 30, 2023

 

Transactions with affiliated companies during the period ended April 30, 2023 are as follows:

 

Security Name   Market Value
as of April
30, 2022
    Purchases     Purchases
In-Kind
    Sales     Sales
In-Kind
    Market Value
as of April
30, 2023
    Share Balance
as of April
30, 2023
    Dividends     Change in
Unrealized
Gain (Loss)
    Realized
Gain/Loss
 
Cambria Emerging Shareholder Yield ETF   $     $ 21,992,148     $ 446,003     $     $ (850,955 )   $ 21,819,192       758,190     $ 150,329     $ 230,636     $ 1,360  
Cambria Foreign Shareholder Yield ETF     4,642,086       28,637,477       1,351,489       (11,231,651 )     (1,099,574 )     21,697,862       854,583       311,376       (193,554 )     (408,411 )
Cambria Global Value ETF           21,406,944       707,010             (1,038,803 )     22,308,015       1,079,246       215,632       1,194,611       38,253  
Invesco DB Precious Metals Fund     4,897,716       11,334,189       1,262,165       (5,429,643 )     (809,395 )     11,918,973       229,997             1,180,298       (516,356 )
    $ 9,539,802     $ 83,370,758     $ 3,766,667     $ (16,661,294 )   $b (3,798,727)     $ 77,744,042       2,922,016     $ 677,337     $ 2,411,991     $ (885,154 )
                                                                                 
Investments no longer affiliated as of April 30, 2023                                            
                                                                                 
Cambria Global Real Estate ETF   $ 4,975,645     $     $     $ (4,890,438.00 )   $     $     $     $     $ 463,685     $ (548,892 )
Cambria Value and Momentum ETF     10,421,504             18,184,835       (24,789,704 )     (2,599,374 )                 239,807       (695,054 )     (522,207 )
Cambria Shareholder Yield ETF     6,221,839       17,257,911       1,938,256       (23,748,343 )     (544,254 )                 73,981       (1,620,523 )     495,114  
Cambria Tail Risk ETF           6,544,062       6,244,670       (11,021,228 )     (546,084 )                 48,476             (1,221,420 )
    $ 21,618,988     $ 23,801,973     $ 26,367,761     $ (64,449,713 )   $ (3,689,712 )   $     $     $ 362,264     $ (1,851,892 )   $ (1,797,405 )
                                                                                 
Grand Total   $ 31,158,790     $ 107,172,731     $ 30,134,428     $ (81,111,007 )   $ (7,488,439 )   $ 77,744,042     $ 2,922,016     $ 1,039,601     $ 560,099     $ (2,682,559 )

 

As of April 30, 2023, all of the Fund's investments in securities were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. generally accepted accounting principles.

 

The accompanying notes are an integral part of the financial statements.

Annual Report | April 30, 2023 29

 

 

Cambria Global Asset Allocation ETF Schedule of Investments

April 30, 2023

 

Sector Weightings      
Cambria Global Asset Allocation ETF      
Exchange Traded Funds     100.00 %
      100.00 %

 

Percentages based on total investments, excluding investments purchased with collateral from securities loaned.

 

    Shares     Value  
Exchange Traded Funds (97.80%)                
Global (12.91%)                
Equity ETF (12.91%)                
Alpha Architect Value Momentum Trend ETF     21,964     $ 495,049  
Cambria Global Real Estate ETF*(a)     125,400       3,079,046  
Cambria Global Value ETF*     147,364       3,046,014  
              6,620,109  
International (36.30%)                
Equity ETF (16.09%)                
Alpha Architect International Quantitative Momentum ETF(a)     39,520       1,045,699  
Cambria Emerging Shareholder Yield ETF*     166,136       4,781,062  
Cambria Foreign Shareholder Yield ETF*     95,418       2,422,663  
              8,249,424  
Fixed Income ETF (20.21%)                
SPDR® FTSE International Government Inflation-Protected Bond ETF     32,718       1,387,897  
VanEck Emerging Markets High Yield Bond ETF     112,632       2,058,913  
VanEck International High Yield Bond ETF     52,364       1,053,040  
VanEck J. P. Morgan EM Local Currency Bond ETF     129,124       3,246,177  
Vanguard® Total International Bond ETF(a)     53,428       2,615,301  
              10,361,328  
North America (1.03%)                
Commodity ETF (1.03%)                
VanEck Gold Miners ETF/USA     15,732       528,281  
    Shares     Value  
United States (47.56%)                
Commodity ETF (9.03%)                
Graniteshares Gold Trust(b)     87,666     $ 1,726,143  
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF     205,124       2,902,505  
              4,628,648  
Equity ETF (15.57%)                
Alpha Architect US Quantitative Momentum ETF(a)     46,550       2,035,096  
Cambria Shareholder Yield ETF*     67,070       3,896,096  
Cambria Value and Momentum ETF*     83,410       2,051,536  
              7,982,728  
Fixed Income ETF (22.96%)                
Schwab US TIPS Bond ETF(a)     27,626       1,479,096  
Vanguard® Intermediate-Term Corporate Bond ETF     19,950       1,606,972  
Vanguard® Intermediate-Term Government Bond ETF(a)     35,454       2,136,813  
Vanguard® Long-Term Treasury Bond ETF     29,678       1,949,251  
Vanguard® Short-Term Corporate Bond ETF     14,174       1,083,461  
Vanguard® Total Bond Market ETF     47,500       3,518,800  
              11,774,393  
                 
Total Exchange Traded Funds                
(Cost $52,284,939)             50,144,911  

The accompanying notes are an integral part of the financial statements.

30 www.cambriafunds.com

 

 

Cambria Global Asset Allocation ETF Schedule of Investments

April 30, 2023

 

    Shares     Value  
Short-Term Investment (6.02%)                
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 4.76%(c)(d)     3,088,172     $ 3,088,172  
                 
Total Short-Term Investment                
(Cost $3,088,172)             3,088,172  
                 
Total Investments (103.83%)                
(Cost $55,373,111)           $ 53,233,083  
                 
Liabilities Less Other Assets (-3.83%)             (1,961,346 )
                 
Net Assets (100.00%)           $ 51,271,737  

 

Percentages based on Net Assets.

 

* Affiliated investment is a registered investment company which is managed by Cambria Investment Management, L.P. (the “Investment Adviser”) or an affiliate of the Investment Adviser or which is distributed by an affiliate of the Fund’s distributor.

(a) This security or a partial position of this security is on loan at April 30, 2023. The total value of securities on loan at April 30, 2023 was $3,033,101.

(b) Non-income producing security.

(c) This security was purchased with cash collateral held from securities on loan. The total value of such securities as of April 30, 2023 was $3,088,172.

(d) Rate shown is the 7-day effective yield as of April 30, 2023.

 

Investment Abbreviations:

ETF - Exchange Traded Funds

FTSE - Financial Times Stock Exchange

SPDR - Standard & Poor's Depository Receipt

TIPS - Treasury Inflation Protected Security


The accompanying notes are an integral part of the financial statements.

Annual Report | April 30, 2023 31

 

 

Cambria Global Asset Allocation ETF Schedule of Investments

April 30, 2023

 

Transactions with affiliated companies during the period ended April 30, 2023 are as follows:

 

Security Name   Value as
of April
30, 2022
    Purchases     Purchases
In-Kind
    Sales     Sales In-Kind     Value as
of April 30, 2023
    Share
Balance as of
April 30, 2023
    Dividends     Change in
Unrealized
Gain (Loss)
    Realized
Gain/Loss
 
Cambria Emerging Shareholder Yield ETF   $ 4,171,210     $     $ 881,936     $     $ (122,241 )   $ 4,781,062       166,136     $ 279,968     $ (121,478 )   $ 3,672  
Cambria Foreign Shareholder Yield ETF     2,086,741             437,683             (60,013 )     2,422,663       95,418       127,055       (42,112 )     364  
Cambria Global Real Estate ETF     3,468,032             629,767       (330,318 )     (91,014 )     3,079,046       125,400       111,756       (665,872 )     68,452  
Cambria Global Value ETF     2,521,469             538,368             (70,463 )     3,046,014       147,364       128,656       55,602       1,038  
Cambria Shareholder Yield ETF     3,437,373             772,699             (108,106 )     3,896,096       67,070       103,186       (261,298 )     55,428  
Cambria Value and Momentum ETF     1,859,253             413,779             (59,067 )     2,051,536       83,410       35,877       (187,067 )     24,638  
    $ 17,544,078     $     $ 3,674,232     $ (330,318 )   $ (510,904 )   $ 19,276,417       684,798     $ 786,498     $ (1,222,225 )   $ 153,592  

 

As of April 30, 2023, all of the Fund's investments in securities were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. generally accepted accounting principles.

 

The accompanying notes are an integral part of the financial statements.

32 www.cambriafunds.com

 

 

Cambria Value and Momentum ETF Schedule of Investments

April 30, 2023

 

Sector Weightings      
Cambria Value and Momentum ETF      
Financials     24.29 %
Consumer Discretionary     21.59 %
Energy     17.75 %
Materials     14.80 %
Industrials     10.35 %
Health Care     3.84 %
Information Technology     2.94 %
Communication Services     2.00 %
Consumer Staples     1.56 %
Utilities     0.88 %
      100.00 %

 

Percentages based on total investments, excluding investments purchased with collateral from securities loaned.

 

    Shares     Value  
Common Stocks (89.70%)                
Communication Services (1.80%)                
Scholastic Corp.     15,444   $ 594,131  
Sciplay Corp.(a)     32,619       557,132  
              1,151,263  
Consumer Discretionary (19.36%)                
Academy Sports & Outdoors, Inc.     8,455       537,061  
Adtalem Global Education, Inc.(a)     13,000       527,410  
Asbury Automotive Group, Inc.(a)     2,627       508,219  
AutoNation, Inc.(a)     4,784       630,053  
Century Communities, Inc.     9,076       611,178  
Dillard's, Inc., Class A(b)     1,720       513,231  
DR Horton, Inc.     5,612       616,310  
Foot Locker, Inc.     13,096       549,901  
Green Brick Partners, Inc.(a)     16,456       613,315  
Group 1 Automotive, Inc.     2,964       665,359  
Lennar Corp., Class A     5,242       591,350  
M/I Homes, Inc.(a)     9,023       610,316  
MasterCraft Boat Holdings, Inc.(a)     17,006       497,765  
Meritage Homes Corp.     4,894       626,677  
ODP Corp.(a)     12,947       559,440  
Patrick Industries, Inc.     7,887       541,285  
Penske Automotive Group, Inc.     5,408       749,441  
Perdoceo Education Corp.(a)     43,886       569,640  
PulteGroup, Inc.     9,659       648,602  
Taylor Morrison Home Corp.(a)     14,809       638,120  
Toll Brothers, Inc.     9,302       594,491  
              12,399,164  
    Shares     Value  
Consumer Staples (1.40%)                
Cal-Maine Foods, Inc.(b)     8,528   $ 405,080  
Ingles Markets, Inc., Class A     5,356       492,966  
              898,046  
Energy (15.92%)                
Arch Resources, Inc., Class A     4,004       489,489  
Chevron Corp.     3,016       508,437  
Chord Energy Corp.     5,106       726,737  
Civitas Resources, Inc.     9,152       631,946  
ConocoPhillips     4,836       497,576  
CONSOL Energy, Inc.     9,880       586,279  
Delek US Holdings, Inc.     22,255       484,046  
Diamondback Energy, Inc.     4,212       598,946  
Exxon Mobil Corp.     6,032       713,827  
Helix Energy Solutions Group, Inc.(a)     85,769       621,825  
Marathon Petroleum Corp.     5,200       634,400  
PBF Energy, Inc.     16,951       590,912  
PDC Energy, Inc.     10,608       690,050  
Peabody Energy Corp.     24,232       582,053  
Permian Resources Corp.     68,777       718,720  
Plains GP Holdings LP, Class A     43,108       577,647  
Valero Energy Corp.     4,732       542,619  
Vitesse Energy, Inc.(a)     8       147  
              10,195,656  
Financials (21.79%)                
American Equity Investment Life Holding Co.     12,688       488,995  
American Financial Group, Inc.     3,848       472,265  
American International Group, Inc.     9,724       515,761  
Bancorp, Inc.(a)     18,102       577,635  
Berkshire Hills Bancorp, Inc.     17,576       373,842  
eHealth, Inc.(a)     66,847       401,082  
Employers Holdings, Inc.     14,143       559,921  
Enova International, Inc.(a)     12,430       545,926  
First Horizon Corp.     21,684       380,554  
Genworth Financial, Inc., Class A(a)     119,335       693,336  
Heritage Financial Corp.     19,292       339,732  
Jackson Financial, Inc., Class A     14,782       532,300  
Jefferies Financial Group, Inc.     16,068       514,658  
Kemper Corp.     9,867       480,030  
Loews Corp.     12,238       704,542  
MetLife, Inc.     8,060       494,320  
Mr Cooper Group, Inc.(a)     13,676       633,199  
NBT Bancorp, Inc.     14,091       454,294  
Old Republic International Corp.     22,880       578,178  
Pathward Financial, Inc.     12,267       546,249  
Principal Financial Group, Inc.     7,592       567,046  

The accompanying notes are an integral part of the financial statements.

Annual Report | April 30, 2023 33

 

 

Cambria Value and Momentum ETF Schedule of Investments

April 30, 2023

 

    Shares     Value  
Financials (continued)                
Regions Financial Corp.     23,556     $ 430,133  
Travelers Cos., Inc.     4,316       781,800  
Unum Group     19,136       807,539  
Voya Financial, Inc.     8,632       660,175  
WesBanco, Inc.     15,651       416,630  
              13,950,142  
Health Care (3.44%)                
Cardinal Health, Inc.     7,603       624,206  
Cigna Group     1,872       474,159  
Cross Country Healthcare, Inc.(a)     23,640       519,607  
McKesson Corp.     1,612       587,155  
              2,205,127  
Industrials (9.29%)                
ArcBest Corp.     5,931       559,886  
Atkore, Inc.(a)     3,878       489,908  
Boise Cascade Co.     10,816       738,841  
Builders FirstSource, Inc.(a)     6,446       610,887  
EMCOR Group, Inc.     3,353       573,363  
Encore Wire Corp.     4,264       666,591  
Hub Group, Inc., Class A(a)     6,567       495,152  
Insteel Industries, Inc.     17,940       493,888  
Mueller Industries, Inc.     9,776       702,406  
Veritiv Corp.     5,356       615,244  
              5,946,166  
Information Technology (2.64%)                
Avnet, Inc.     17,420       718,749  
Photronics, Inc.(a)     28,496       412,052  
Sanmina Corp.(a)     10,671       557,667  
              1,688,468  
Materials (13.27%)                
Alpha Metallurgical Resources, Inc.     4,940       724,006  
Commercial Metals Co.     13,148       613,880  
Mosaic Co.     9,048       387,707  
Nucor Corp.     5,044       747,420  
Olin Corp.     10,712       593,445  
Olympic Steel, Inc.     10,831       504,400  
Reliance Steel & Aluminum Co.     2,548       631,394  
Ryerson Holding Corp.     19,500       736,515  
Steel Dynamics, Inc.     5,613       583,471  
SunCoke Energy, Inc.     74,152       576,903  
TimkenSteel Corp.(a)     45,032       753,836  
United States Steel Corp.     22,308       510,407  
Warrior Met Coal, Inc.     15,704       542,887  
    Shares     Value  
Materials (continued)                
Westlake Corp.     5,209   $ 592,680  
              8,498,951  
Utilities (0.79%)                
Vistra Corp.     21,164       504,973  
                 
Total Common Stocks                
(Cost $57,384,153)             57,437,956  

 

    Shares     Value  
Rights (0.00%)            
Resolute Forest Prod Cvr, Expires 12/31/2049, Strike Price $0     66,033       0  

 

    Shares     Value  
Short-Term Investment (1.16%)                
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 4.76%(c)(d)     745,193     $ 745,193  
                 
Total Short-Term Investment                
(Cost $745,193)             745,193  
                 
Total Investments (90.86%)                
(Cost $58,129,346)           $ 58,183,149  
                 
Other Assets Less Liabilities (9.14%)             5,853,206  
                 
Net Assets (100.00%)           $ 64,036,355  

 

Percentages based on Net Assets.

 

(a) Non-income producing security.

(b) This security or a partial position of this security is on loan at April 30, 2023. The total value of securities on loan at April 30, 2023 was $726,496.

(c) This security was purchased with cash collateral held from securities on loan. The total value of such securities as of April 30, 2023 was $745,193.

(d) Rate shown is the 7-day effective yield as of April 30, 2023.

The accompanying notes are an integral part of the financial statements.

34 www.cambriafunds.com