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)
Semi-Annual Report
October 31, 2021
Cambria Investment Management
Table of Contents
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 Shareholder Yield ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| Sector Weightings | ||||
| Cambria Shareholder Yield ETF | ||||
| Financials | 26.33 | % | ||
| Consumer Discretionary | 23.35 | % | ||
| Materials | 13.76 | % | ||
| Industrials | 10.93 | % | ||
| Energy | 7.92 | % | ||
| Information Technology | 7.36 | % | ||
| Health Care | 3.57 | % | ||
| Communication Services | 3.22 | % | ||
| Consumer Staples | 2.50 | % | ||
| Utilities | 1.06 | % | ||
| 100.00 | % | |||
Percentages based on total investments, excluding investments purchased with collateral from securities loaned.
| Cambria Shareholder Yield ETF | Shares | Value | ||||||
| Common Stocks (99.14%) | ||||||||
| Communication Services (3.19%) | ||||||||
| AMC Networks, Inc., Class A(a)(b) | 61,281 | $ | 2,438,371 | |||||
| Discovery, Inc., Class C(a) | 80,289 | 1,811,320 | ||||||
| Fox Corp., Class B | 71,379 | 2,638,168 | ||||||
| Lumen Technologies, Inc.(b) | 253,836 | 3,010,495 | ||||||
| 9,898,354 | ||||||||
| Consumer Discretionary (23.15%) | ||||||||
| Abercrombie & Fitch Co., Class A(a) | 68,698 | 2,716,319 | ||||||
| Advance Auto Parts, Inc. | 16,830 | 3,795,502 | ||||||
| AutoNation, Inc.(a) | 31,977 | 3,873,054 | ||||||
| Bed Bath & Beyond, Inc.(a)(b) | 115,444 | 1,620,834 | ||||||
| Big 5 Sporting Goods Corp.(b) | 101,822 | 2,462,056 | ||||||
| Big Lots, Inc.(b) | 53,361 | 2,361,224 | ||||||
| Brunswick Corp. | 29,007 | 2,700,262 | ||||||
| Buckle, Inc.(b) | 87,516 | 3,642,416 | ||||||
| Citi Trends, Inc.(a) | 42,075 | 3,254,922 | ||||||
| Dillard's, Inc., Class A(b) | 29,403 | 6,796,209 | ||||||
| Foot Locker, Inc. | 44,055 | 2,100,102 | ||||||
| Haverty Furniture Cos., Inc.(b) | 81,675 | 2,344,072 | ||||||
| Hibbett, Inc.(b) | 34,006 | 2,633,425 | ||||||
| LKQ Corp. | 53,018 | 2,920,231 | ||||||
| Penske Automotive Group, Inc. | 36,729 | 3,895,110 | ||||||
| PulteGroup, Inc. | 62,469 | 3,003,510 | ||||||
| Qurate Retail, Inc., Series A | 266,211 | 2,779,243 | ||||||
| Smith & Wesson Brands, Inc. | 182,853 | 3,931,340 | ||||||
| Sturm Ruger & Co., Inc.(b) | 39,798 | 3,139,266 | ||||||
| Shares | Value | |||||||
| Consumer Discretionary (continued) | ||||||||
| Toll Brothers, Inc. | 83,655 | $ | 5,033,521 | |||||
| Tri Pointe Homes, Inc.(a) | 129,690 | 3,137,201 | ||||||
| Whirlpool Corp. | 17,424 | 3,673,502 | ||||||
| 71,813,321 | ||||||||
|
Consumer Staples (2.48%) |
||||||||
| Nu Skin Enterprises, Inc., Class A(b) | 65,142 | 2,615,451 | ||||||
| Tyson Foods, Inc., Class A | 34,749 | 2,778,878 | ||||||
| Walgreens Boots Alliance, Inc. | 48,708 | 2,290,250 | ||||||
| 7,684,579 | ||||||||
| Energy (7.86%) | ||||||||
| Chevron Corp. | 24,057 | 2,754,286 | ||||||
| CVR Energy, Inc. | 143,847 | 2,757,547 | ||||||
| Delek US Holdings, Inc.(a) | 6 | 117 | ||||||
| Helmerich & Payne, Inc. | 104,841 | 3,254,265 | ||||||
| HollyFrontier Corp. | 80,982 | 2,737,191 | ||||||
| Murphy Oil Corp. | 224,433 | 6,245,970 | ||||||
| Oasis Petroleum, Inc. | 28,616 | 3,451,089 | ||||||
| Valero Energy Corp.(b) | 40,887 | 3,161,792 | ||||||
| 24,362,257 | ||||||||
| Financials (26.10%) | ||||||||
| Aflac, Inc. | 48,312 | 2,592,905 | ||||||
| Allstate Corp. | 22,374 | 2,766,993 | ||||||
| Ally Financial, Inc. | 55,638 | 2,656,158 | ||||||
| Ameriprise Financial, Inc. | 11,979 | 3,619,215 | ||||||
| Assured Guaranty, Ltd. | 59,499 | 3,306,954 | ||||||
| Cathay General Bancorp | 72,864 | 3,074,132 | ||||||
| Citizens Financial Group, Inc. | 54,945 | 2,603,294 | ||||||
| Comerica, Inc. | 41,877 | 3,563,314 | ||||||
| Discover Financial Services | 24,849 | 2,815,889 | ||||||
| Federated Hermes, Inc. | 86,922 | 2,895,372 | ||||||
| Hilltop Holdings, Inc. | 88,407 | 3,133,144 | ||||||
| Hope Bancorp, Inc. | 197,208 | 2,877,265 | ||||||
| Investors Bancorp, Inc. | 202,851 | 3,103,620 | ||||||
| JPMorgan Chase & Co. | 15,840 | 2,691,058 | ||||||
| Lincoln National Corp. | 41,580 | 2,999,997 | ||||||
| MetLife, Inc. | 41,382 | 2,598,790 | ||||||
| PacWest Bancorp | 76,824 | 3,646,835 | ||||||
| PNC Financial Services Group, Inc. | 13,860 | 2,924,876 | ||||||
| SLM Corp. | 157,410 | 2,888,473 | ||||||
| Sterling Bancorp | 129,690 | 3,300,611 | ||||||
| SVB Financial Group(a) | 5,200 | 3,730,480 | ||||||
| Synchrony Financial | 61,281 | 2,846,502 | ||||||
| Unum Group | 89,496 | 2,279,463 | ||||||
| US Bancorp | 46,629 | 2,814,993 | ||||||
| Voya Financial, Inc. | 40,095 | 2,797,428 | ||||||
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 1 |
| Cambria Shareholder Yield ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| Shares | Value | |||||||
| Financials (continued) | ||||||||
| Webster Financial Corp. | 53,757 | $ | 3,008,242 | |||||
| Zions Bancorp NA | 54,252 | 3,417,333 | ||||||
| 80,953,336 | ||||||||
| Health Care (3.54%) | ||||||||
| Biogen, Inc.(a) | 10,791 | 2,877,744 | ||||||
| McKesson Corp. | 13,266 | 2,757,736 | ||||||
| Quest Diagnostics, Inc. | 17,836 | 2,617,968 | ||||||
| Universal Health Services, Inc., Class B | 22,077 | 2,739,756 | ||||||
| 10,993,204 | ||||||||
| Industrials (10.83%) | ||||||||
| Acuity Brands, Inc. | 19,305 | 3,965,826 | ||||||
| Boise Cascade Co. | 46,332 | 2,623,318 | ||||||
| Cummins, Inc. | 10,989 | 2,635,602 | ||||||
| Eaton Corp. PLC | 21,384 | 3,523,228 | ||||||
| ManpowerGroup, Inc. | 24,849 | 2,401,656 | ||||||
| MSC Industrial Direct Co., Inc., Class A(b) | 27,918 | 2,347,066 | ||||||
| nVent Electric PLC | 90,189 | 3,197,200 | ||||||
| Quanta Services, Inc. | 34,749 | 4,214,359 | ||||||
| Ryder System, Inc. | 33,908 | 2,880,484 | ||||||
| Snap-on, Inc. | 12,177 | 2,474,731 | ||||||
| Veritiv Corp.(a) | 31,066 | 3,332,450 | ||||||
| 33,595,920 | ||||||||
| Information Technology (7.30%) | ||||||||
| Apple, Inc. | 32,472 | 4,864,306 | ||||||
| Arrow Electronics, Inc.(a) | 23,265 | 2,692,924 | ||||||
| HP, Inc. | 95,634 | 2,900,579 | ||||||
| Intel Corp. | 56,133 | 2,750,517 | ||||||
| Juniper Networks, Inc. | 99,297 | 2,931,248 | ||||||
| Sanmina Corp.(a) | 67,815 | 2,560,016 | ||||||
| Western Union Co.(b) | 99,792 | 1,818,210 | ||||||
| Xerox Holdings Corp. | 119,493 | 2,126,975 | ||||||
| 22,644,775 | ||||||||
| Materials (13.64%) | ||||||||
| Cabot Corp. | 57,123 | 3,047,512 | ||||||
| Domtar Corp.(a) | 81,180 | 4,431,616 | ||||||
| DuPont de Nemours, Inc. | 41,382 | 2,880,187 | ||||||
| Huntsman Corp. | 93,258 | 3,038,346 | ||||||
| International Paper Co. | 48,015 | 2,384,905 | ||||||
| Louisiana-Pacific Corp. | 70,587 | 4,159,692 | ||||||
| LyondellBasell Industries NV, Class A | 28,215 | 2,618,916 | ||||||
| Nucor Corp. | 39,600 | 4,421,340 | ||||||
| Reliance Steel & Aluminum Co. | 17,523 | 2,561,162 | ||||||
| Shares | Value | |||||||
| Materials (continued) | ||||||||
| Resolute Forest Products, Inc. | 299,673 | $ | 3,524,155 | |||||
| Schweitzer-Mauduit International, Inc. | 77,157 | 2,688,150 | ||||||
| Steel Dynamics, Inc. | 60,192 | 3,977,487 | ||||||
| Sylvamo Corp.(a) | 4,365 | 122,913 | ||||||
| Worthington Industries, Inc. | 44,946 | 2,441,467 | ||||||
| 42,297,848 | ||||||||
| Utilities (1.05%) | ||||||||
| UGI Corp. | 74,943 | 3,253,276 | ||||||
| Total Common Stocks | ||||||||
| (Cost $295,331,143) | 307,496,870 | |||||||
| Shares | Value | |||||||
| Short-Term Investment (5.31%) | ||||||||
| Fidelity Investments Money Market | ||||||||
| Treasury Portfolio Institutional | ||||||||
| Class, 0.01%(c)(d) | 16,458,630 | $ | 16,458,630 | |||||
| Total Short-Term Investment | ||||||||
| (Cost $16,458,630) | 16,458,630 | |||||||
| Total Investments (104.45%) | ||||||||
| (Cost $311,789,773) | $ | 323,955,500 | ||||||
| Liabilities Less Other Assets (-4.45%) | (13,785,647 | ) | ||||||
| Net Assets (100.00%) | $ | 310,169,853 | ||||||
Percentages based on Net Assets.
| (a) | Non-income producing security. |
| (b) | This security or a partial position of this security is on loan at October 31, 2021. The total value of securities on loan at October 31, 2021 was $25,957,095. |
| (c) | Rate shown is the 7-day effective yield as of October 31, 2021. |
| (d) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of October 31, 2021 was $16,458,630. |
| The accompanying notes are an integral part of the financial statements. |
| 2 | www.cambriafunds.com |
| Cambria Shareholder Yield ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
Investment Abbreviations:
PLC - Public Limited Company
As of October 31, 2021, 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.
For the period ended October 31, 2021 there have been no transfers in or out of Level 3.
Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.
| The accompanying notes are an integral part of the financial statements. |
| Semi-Annual Report | October 31, 2021 | 3 |
| Cambria Foreign Shareholder Yield ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| Sector Weightings | ||||
| Cambria Foreign Shareholder Yield ETF | ||||
| Financials | 25.52 | % | ||
| Materials | 18.50 | % | ||
| Industrials | 13.60 | % | ||
| Consumer Discretionary | 7.83 | % | ||
| Information Technology | 7.60 | % | ||
| Communication Services | 7.41 | % | ||
| Consumer Staples | 7.01 | % | ||
| Energy | 6.73 | % | ||
| Other | 1.71 | % | ||
| Real Estate | 1.68 | % | ||
| Utilities | 1.47 | % | ||
| Health Care | 0.94 | % | ||
| 100.00 | % | |||
Percentages based on total investments, excluding investments purchased with collateral from securities loaned.
| Cambria Foreign Shareholder Yield ETF | Shares | Value | ||||||
| Common Stocks (95.04%) | ||||||||
| Australia (5.99%) | ||||||||
| AGL Energy, Ltd. | 24,824 | $ | 106,814 | |||||
| BHP Group, Ltd. | 14,152 | 389,424 | ||||||
| Challenger, Ltd. | 85,405 | 445,865 | ||||||
| Downer EDI, Ltd. | 83,694 | 396,639 | ||||||
| Fortescue Metals Group, Ltd. | 34,394 | 360,408 | ||||||
| Super Retail Group, Ltd. | 45,559 | 443,132 | ||||||
| Worley, Ltd. | 29,551 | 240,525 | ||||||
| 2,382,807 | ||||||||
| Belgium (2.14%) | ||||||||
|
Ageas SA |
8,484 | 412,897 | ||||||
| Solvay SA | 3,683 | 437,677 | ||||||
| 850,574 | ||||||||
| Canada (11.82%) | ||||||||
| Canadian Natural Resources, Ltd. | 11,600 | 493,019 | ||||||
| Canadian Tire Corp., Ltd., Class A | 2,900 | 411,896 | ||||||
| Corus Entertainment, Inc., Class B | 81,200 | 368,077 | ||||||
| Finning International, Inc. | 14,500 | 429,282 | ||||||
| Great-West Lifeco, Inc. | 10,161 | 298,935 | ||||||
| Home Capital Group, Inc.(a) | 14,500 | 470,524 | ||||||
| Imperial Oil, Ltd. | 11,600 | 392,728 | ||||||
| Labrador Iron Ore Royalty Corp. | 16,948 | 490,665 | ||||||
| Mullen Group, Ltd. | 37,700 | 389,916 | ||||||
| Suncor Energy, Inc. | 11,600 | 305,090 | ||||||
| Shares | Value | |||||||
| Canada (continued) | ||||||||
| Teck Resources, Ltd | 23,200 | $ | 647,485 | |||||
| 4,697,617 | ||||||||
| Denmark (1.42%) | ||||||||
| Scandinavian Tobacco Group A/S, Class A(b) | 25,085 | 563,682 | ||||||
| Finland (1.08%) | ||||||||
| Sampo Oyj(a) | 8,091 | 430,248 | ||||||
| France (5.80%) | ||||||||
| AXA SA | 14,355 | 417,516 | ||||||
| Carrefour SA | 21,112 | 382,068 | ||||||
| Cie de Saint-Gobain | 5,655 | 389,355 | ||||||
| Metropole Television SA | 17,110 | 376,992 | ||||||
| Nexity SA | 7,627 | 348,089 | ||||||
| Rexel SA | 19,778 | 392,336 | ||||||
| 2,306,356 | ||||||||
| Germany (4.21%) | ||||||||
| DWS Group GmbH & Co. KGaA(b) | 6,467 | 279,747 | ||||||
| Evonik Industries AG | 10,817 | 350,375 | ||||||
| Freenet AG | 16,356 | 421,261 | ||||||
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 2,095 | 620,472 | ||||||
| 1,671,855 | ||||||||
| Great Britain (13.16%) | ||||||||
| abrdn PLC | 85,173 | 296,072 | ||||||
| Aviva PLC | 73,573 | 397,417 | ||||||
| Berkeley Group Holdings PLC | 3,802 | 226,601 | ||||||
| BP PLC | 85,231 | 408,484 | ||||||
| British American Tobacco PLC | 10,759 | 374,953 | ||||||
| Direct Line Insurance Group PLC | 65,079 | 260,423 | ||||||
| Legal & General Group PLC | 88,110 | 348,364 | ||||||
| Man Group PLC | 199,404 | 635,025 | ||||||
| Mondi PLC | 15,167 | 378,812 | ||||||
| Persimmon PLC | 9,425 | 350,971 | ||||||
| Quilter PLC(b) | 133,545 | 284,379 | ||||||
| Rio Tinto PLC | 7,894 | 492,686 | ||||||
| Tate & Lyle PLC | 37,961 | 336,750 | ||||||
| WPP PLC | 30,508 | 440,898 | ||||||
| 5,231,835 | ||||||||
| Hong Kong (8.10%) | ||||||||
| China Resources Cement Holdings, Ltd. | 188,500 | 158,931 | ||||||
| Kingboard Holdings, Ltd. | 72,500 | 317,284 | ||||||
The accompanying notes are an integral part of the financial statements.
| 4 | www.cambriafunds.com |
| Cambria Foreign Shareholder Yield ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| Shares | Value | |||||||
| Hong Kong (continued) | ||||||||
| Kingboard Laminates Holdings, Ltd. | 226,200 | $ | 354,687 | |||||
| Kunlun Energy Co., Ltd. | 490,100 | 448,495 | ||||||
| Lee & Man Paper Manufacturing, Ltd. | 406,000 | 304,741 | ||||||
| New World Development Co., Ltd. | 66,700 | 289,329 | ||||||
| PC Partner Group, Ltd. | 406,000 | 515,555 | ||||||
| Shougang Fushan Resources Group, Ltd. | 2,146,000 | 565,426 | ||||||
| VTech Holdings, Ltd. | 34,800 | 267,692 | ||||||
| 3,222,140 | ||||||||
| Italy (3.63%) | ||||||||
| Anima Holding SpA(b) | 72,529 | 384,843 | ||||||
| Eni SpA | 27,492 | 394,209 | ||||||
| Unipol Gruppo SpA | 67,048 | 385,213 | ||||||
| UnipolSai Assicurazioni SpA | 96,454 | 279,199 | ||||||
| 1,443,464 | ||||||||
| Japan (18.91%) | ||||||||
| Aozora Bank, Ltd. | 14,500 | 331,538 | ||||||
| Asahi Holdings, Inc. | 20,300 | 362,096 | ||||||
| Dai Nippon Printing Co., Ltd. | 14,500 | 357,491 | ||||||
| Dai-ichi Life Holdings, Inc. | 20,300 | 427,729 | ||||||
| Daiwabo Holdings Co., Ltd. | 23,200 | 406,903 | ||||||
| H.U. Group Holdings, Inc. | 14,500 | 356,855 | ||||||
| Isuzu Motors, Ltd. | 29,000 | 389,041 | ||||||
| Japan Tobacco, Inc. | 14,500 | 284,402 | ||||||
| Kewpie Corp. | 17,400 | 380,899 | ||||||
| Marubeni Corp. | 43,500 | 366,854 | ||||||
| Mixi, Inc. | 14,500 | 331,410 | ||||||
| Nippon Carbon Co., Ltd. | 8,700 | 335,481 | ||||||
| Nippon Electric Glass Co., Ltd. | 17,400 | 443,034 | ||||||
| Nippon Yusen KK | 8,700 | 624,400 | ||||||
| Nishimatsu Construction Co., Ltd. | 11,600 | 334,337 | ||||||
| Nitto Denko Corp. | 5,800 | 451,889 | ||||||
| Sumitomo Rubber Industries, Ltd. | 29,000 | 356,473 | ||||||
| Tama Home Co., Ltd.(c) | 14,500 | 298,333 | ||||||
| Ube Industries, Ltd. | 17,400 | 323,650 | ||||||
| Yamato Holdings Co., Ltd. | 14,500 | 355,837 | ||||||
| 7,518,652 | ||||||||
| Luxembourg (3.26%) | ||||||||
| APERAM SA | 8,207 | 489,356 | ||||||
| ArcelorMittal SA | 13,108 | 444,585 | ||||||
| RTL Group SA | 6,264 | 361,191 | ||||||
| 1,295,132 | ||||||||
| Netherlands (5.93%) | ||||||||
| Aegon NV | 82,447 | 417,930 | ||||||
| Shares | Value | |||||||
| Netherlands (continued) | ||||||||
| ASR Nederland NV | 8,976 | $ | 419,824 | |||||
| Boskalis Westminster | 12,093 | 360,672 | ||||||
| Flow Traders(b) | 8,990 | 305,123 | ||||||
| Koninklijke Ahold Delhaize NV | 10,121 | 329,118 | ||||||
| NN Group NV | 9,802 | 524,858 | ||||||
| 2,357,525 | ||||||||
| New Zealand (1.03%) | ||||||||
| Fletcher Building, Ltd. | 79,547 | 408,714 | ||||||
| Norway (1.39%) | ||||||||
| Telenor ASA | 14,648 | 231,218 | ||||||
| Yara International ASA | 6,177 | 322,308 | ||||||
| 553,526 | ||||||||
| Singapore (1.43%) | ||||||||
| UMS Holdings, Ltd. | 580,000 | 567,742 | ||||||
| Spain (0.78%) | ||||||||
| Repsol SA | 24,273 | 310,227 | ||||||
| Sweden (1.89%) | ||||||||
| Betsson AB | 69,716 | 485,447 | ||||||
| Telia Co. AB(c) | 67,807 | 266,830 | ||||||
| 752,277 | ||||||||
| Switzerland (3.07%) | ||||||||
| Ferrexpo PLC | 70,412 | 300,650 | ||||||
| Holcim, Ltd. | 7,105 | 354,707 | ||||||
| Zurich Insurance Group AG | 1,276 | 565,671 | ||||||
| 1,221,028 | ||||||||
| Total Common Stocks | ||||||||
| (Cost $35,893,659) | 37,785,401 | |||||||
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 5 |
| Cambria Foreign Shareholder Yield ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| Shares | Value | |||||||
| Short-Term Investment (1.05%) | ||||||||
| Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(d)(e) | 417,830 | $ | 417,830 | |||||
| Total Short-Term Investment | ||||||||
| (Cost $417,830) | 417,830 | |||||||
| Total Investments (96.09%) | ||||||||
| (Cost $36,311,489) | $ | 38,203,231 | ||||||
| Other Assets Less Liabilities (3.91%) | 1,555,581 | |||||||
| Net Assets (100.00%) | $ | 39,758,812 | ||||||
Percentages based on Net Assets.
| (a) | Non-income producing security. |
| (b) | 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 October 31, 2021, the fair value of securities restricted under Rule 144A in the aggregate was $1,817,774, representing 4.57% of net assets. |
| (c) | This security or a partial position of this security is on loan at October 31, 2021. The total value of securities on loan at October 31, 2021 was $394,349. |
| (d) | Rate shown is the 7-day effective yield as of October 31, 2021. |
| (e) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of October 31, 2021 was $417,830. |
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 October 31, 2021, 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.
For the period ended October 31, 2021 there have been no transfers in or out of Level 3.
Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.
| The accompanying notes are an integral part of the financial statements. | |
| 6 | www.cambriafunds.com |
| Cambria Global Value ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| Sector Weightings | ||||
| Cambria Global Value ETF | ||||
| Financials | 27.87 | % | ||
| Materials | 16.59 | % | ||
| Utilities | 16.03 | % | ||
| Energy | 9.58 | % | ||
| Other | 8.71 | % | ||
| Consumer Staples | 7.03 | % | ||
| Industrials | 5.73 | % | ||
| Consumer Discretionary | 3.44 | % | ||
| Real Estate | 2.68 | % | ||
| Communication Services | 2.34 | % | ||
| 100.00 | % | |||
Percentages based on total investments, excluding investments purchased with collateral from securities loaned.
| Cambria Global Value ETF | Shares | Value | ||||||
| Common Stocks (87.81%) | ||||||||
| Austria (9.28%) | ||||||||
| BAWAG Group AG(a) | 34,884 | $ | 2,195,750 | |||||
| Erste Group Bank AG | 21,594 | 926,117 | ||||||
| Erste Group Bank AG(b) | 28,302 | 1,214,999 | ||||||
| IMMOFINANZ AG | 51,624 | 1,236,517 | ||||||
| Raiffeisen Bank International AG | 54,864 | 1,604,600 | ||||||
| UNIQA Insurance Group AG | 131,112 | 1,220,105 | ||||||
| Voestalpine AG | 43,848 | 1,664,607 | ||||||
| Wienerberger AG | 54,648 | 1,934,364 | ||||||
| 11,997,059 | ||||||||
| Chile (5.14%) | ||||||||
| Banco de Credito e Inversiones SA | 29,604 | 996,888 | ||||||
| CAP SA | 202,068 | 2,000,063 | ||||||
| Cencosud SA | 787,536 | 1,152,020 | ||||||
| Cia Cervecerias Unidas SA | 127,116 | 1,065,009 | ||||||
| Colbun SA | 6,459,048 | 445,424 | ||||||
| Empresa Nacional de Telecomunicaciones SA | 178,632 | 612,421 | ||||||
| Latam Airlines Group SA(b) | 252,936 | 369,159 | ||||||
| 6,640,984 | ||||||||
| Czech Republic (9.00%) | ||||||||
| CEZ AS | 129,384 | 4,271,291 | ||||||
| Komercni Banka AS(b) | 64,368 | 2,497,468 | ||||||
| Moneta Money Bank AS(a)(b) | 792,072 | 3,096,414 | ||||||
| Philip Morris CR AS | 2,484 | 1,765,360 | ||||||
| 11,630,533 | ||||||||
| Shares | Value | |||||||
| Great Britain (6.87%) | ||||||||
| Aviva PLC | 185,436 | $ | 1,001,664 | |||||
| Barratt Developments PLC | 97,308 | 882,923 | ||||||
| Direct Line Insurance Group PLC | 249,264 | 997,465 | ||||||
| J Sainsbury PLC | 297,432 | 1,218,710 | ||||||
| Kingfisher PLC | 210,060 | 963,051 | ||||||
| Legal & General Group PLC | 273,456 | 1,081,175 | ||||||
| M&G PLC | 345,924 | 945,882 | ||||||
| Persimmon PLC | 23,760 | 884,781 | ||||||
| Phoenix Group Holdings PLC | 101,088 | 908,367 | ||||||
| 8,884,018 | ||||||||
| Greece (7.99%) | ||||||||
| FF Group(b)(c) | 25,407 | 0 | ||||||
| Hellenic Petroleum SA | 134,676 | 927,887 | ||||||
| Hellenic Telecommunications | ||||||||
| Organization SA | 91,800 | 1,623,652 | ||||||
| JUMBO SA | 52,121 | 773,636 | ||||||
| Karelia Tobacco Co. Inc SA | 4,605 | 1,501,197 | ||||||
| Motor Oil Hellas Corinth Refineries SA(b) | 99,792 | 1,693,482 | ||||||
| Mytilineos SA | 89,424 | 1,630,214 | ||||||
| Public Power Corp. SA(b) | 200,772 | 2,175,871 | ||||||
| 10,325,939 | ||||||||
| Poland (12.53%) | ||||||||
| Alior Bank SA(b) | 205,848 | 3,248,453 | ||||||
| Bank Polska Kasa Opieki SA | 38,772 | 1,280,366 | ||||||
| Eurocash SA | 140,508 | 346,898 | ||||||
| Grupa Lotos SA(b) | 62,671 | 973,606 | ||||||
| Jastrzebska Spolka Weglowa SA(b)(d) | 227,988 | 2,960,104 | ||||||
| KGHM Polska Miedz SA | 41,580 | 1,598,730 | ||||||
| PGE Polska Grupa Energetyczna SA(b) | 455,436 | 1,119,626 | ||||||
| Polski Koncern Naftowy ORLEN SA | 43,308 | 934,189 | ||||||
| Powszechna Kasa Oszczednosci Bank Polski SA(b) | 112,212 | 1,372,538 | ||||||
| Santander Bank Polska SA | 11,124 | 1,033,033 | ||||||
| Tauron Polska Energia SA(b) | 1,620,457 | 1,334,659 | ||||||
| 16,202,202 | ||||||||
| Portugal (6.37%) | ||||||||
| Altri SGPS SA | 55,216 | 357,447 | ||||||
| Corticeira Amorim SGPS SA | 140,015 | 1,952,004 | ||||||
| Energias de Portugal SA | 349,522 | 1,973,372 | ||||||
| Galp Energia SGPS SA | 98,013 | 1,018,823 | ||||||
| Greenvolt-Energias Renovaveis SA(b) | 994 | 7,837 | ||||||
| Jeronimo Martins SGPS SA | 32,236 | 730,392 | ||||||
| Mota-Engil SGPS SA(b)(d) | 191,160 | 298,325 | ||||||
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 7 |
| Cambria Global Value ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| Shares | Value | |||||||
| Portugal (continued) | ||||||||
| Navigator Co. SA | 262,764 | $ | 1,026,695 | |||||
| NOS SGPS SA | 162,540 | 633,963 | ||||||
| REN - Redes Energeticas Nacionais SGPS SA | 80,178 | 244,227 | ||||||
| 8,243,085 | ||||||||
| Russia (9.98%) | ||||||||
| Alrosa PJSC | 1,311,552 | 2,310,929 | ||||||
| Gazprom Neft PJSC | 347,760 | 2,477,080 | ||||||
| Gazprom PJSC | 387,396 | 1,912,132 | ||||||
| Rosneft Oil Co. PJSC | 205,632 | 1,846,403 | ||||||
| Sberbank of Russia PJSC | 298,673 | 1,500,200 | ||||||
| Severstal PAO | 86,184 | 1,958,354 | ||||||
| Unipro PJSC | 23,284,368 | 895,938 | ||||||
| 12,901,036 | ||||||||
| Singapore (6.88%) | ||||||||
| CapitaLand Integrated Commercial Trust | 65,148 | 103,869 | ||||||
| Capitaland Investment, Ltd.(b) | 421,200 | 1,074,474 | ||||||
| City Developments, Ltd. | 162,000 | 879,377 | ||||||
| ComfortDelGro Corp., Ltd. | 583,200 | 674,669 | ||||||
| Golden Agri-Resources, Ltd. | 4,480,540 | 880,492 | ||||||
| Jardine Cycle & Carriage, Ltd. | 43,200 | 720,801 | ||||||
| Oversea-Chinese Banking Corp., Ltd. | 129,600 | 1,134,060 | ||||||
| SATS, Ltd.(b) | 291,600 | 906,047 | ||||||
| Sembcorp Industries, Ltd. | 486,000 | 724,405 | ||||||
| Sembcorp Marine, Ltd.(b) | 2,386,746 | 139,824 | ||||||
| Singapore Airlines, Ltd.(b) | 151,200 | 583,048 | ||||||
| United Overseas Bank, Ltd. | 54,000 | 1,071,190 | ||||||
| 8,892,256 | ||||||||
| Spain (7.78%) | ||||||||
| Acciona SA | 6,930 | 1,328,240 | ||||||
| Banco Bilbao Vizcaya Argentaria SA | 112,044 | 785,169 | ||||||
| Banco Santander SA(d) | 155,636 | 589,493 | ||||||
| CaixaBank SA | 223,927 | 643,268 | ||||||
| Enagas SA | 36,746 | 824,295 | ||||||
| Endesa SA | 43,428 | 1,001,296 | ||||||
| Ferrovial SA | 25,057 | 789,612 | ||||||
| Iberdrola SA | 165,600 | 1,955,499 | ||||||
| Mapfre SA | 343,489 | 726,844 | ||||||
| Naturgy Energy Group SA(d) | 53,924 | 1,416,904 | ||||||
| 10,060,620 | ||||||||
| Turkey (5.99%) | ||||||||
| Akbank TAS | 910,141 | 554,756 | ||||||
| Eregli Demir ve Celik Fabrikalari TAS | 653,924 | 1,339,272 | ||||||
| Haci Omer Sabanci Holding AS | 654,666 | 757,217 | ||||||
| Shares | Value | |||||||
| Turkey (continued) | ||||||||
| KOC Holding AS | 348,999 | $ | 855,981 | |||||
| Petkim Petrokimya Holding AS(b) | 1,915,064 | 1,300,746 | ||||||
| Turkiye Halk Bankasi AS(b) | 942,631 | 434,352 | ||||||
| Turkiye Is Bankasi AS, Class C | 987,278 | 578,154 | ||||||
| Turkiye Sise ve Cam Fabrikalari AS | 900,722 | 811,343 | ||||||
| Turkiye Vakiflar Bankasi TAO, Class D(b) | 955,707 | 341,963 | ||||||
| Yapi ve Kredi Bankasi AS | 2,716,135 | 771,276 | ||||||
| 7,745,060 | ||||||||
| Total Common Stocks | ||||||||
| (Cost $106,517,960) | 113,522,792 | |||||||
| Shares | Value | |||||||
| Exchange Traded Funds (7.35%) | ||||||||
| Colombia (7.35%) | ||||||||
| Equity ETF (7.35%) | ||||||||
| iShares® MSCI Colombia ETF*(d) | 869,500 | 9,499,288 | ||||||
| Total Exchange Traded Funds | ||||||||
| (Cost $7,027,693) | 9,499,288 | |||||||
| Shares | Value | |||||||
| Short-Term Investment (1.52%) | ||||||||
| Fidelity Investments Money Market | ||||||||
| Treasury Portfolio Institutional Class, 0.01%(e)(f) | 1,967,547 | $ | 1,967,547 | |||||
| Total Short-Term Investment | ||||||||
| (Cost $1,967,547) | 1,967,547 | |||||||
| Total Investments (96.68%) | ||||||||
| (Cost $115,513,200) | $ | 124,989,627 | ||||||
| Other Assets Less Liabilities (3.32%) | 4,292,445 | |||||||
| Net Assets (100.00%) | $ | 129,282,072 | ||||||
Percentages based on Net Assets.
| The accompanying notes are an integral part of the financial statements. | |
| 8 | www.cambriafunds.com |
| Cambria Global Value ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| * | 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) | 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 October 31, 2021, the fair value of securities restricted under Rule 144A in the aggregate was $5,292,164, representing 4.09% of net assets. |
| (b) | Non-income producing security. |
| (c) | Level 3 security in accordance with fair value hierarchy. |
| (d) | This security or a partial position of this security is on loan at October 31, 2021. The total value of securities on loan at October 31, 2021 was $1,861,750. |
| (e) | Rate shown is the 7-day effective yield as of October 31, 2021. |
| (f) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of October 31, 2021 was $1,967,547. |
Investment Abbreviations:
ETF- Exchange Traded Fund
PJSC - Private Joint Stock Company
PLC - Public Limited Company
MSCI - Morgan Stanley Capital International
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 9 |
| Cambria Global Value ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
Transactions with affiliated companies during the period ended October 31, 2021 are as follows:
| Security Name | Value at April 30, 2021 |
Purchases at Cost |
Proceeds from Sales |
Change in Unrealized Appreciation/ (Depreciation) |
Realized Gain/(Loss) |
Value at October 31, 2021 |
Shares at October 31, 2021 |
Dividends | ||||||||||||||||||||||||
| iShares MSCI | ||||||||||||||||||||||||||||||||
| Colombia ETF | $ | 8,347,450 | $ | 177,704 | $ | (74,865 | ) | $ | 1,037,665 | $ | 11,334 | $ | 9,499,288 | 869,500 | $ | 33,319 | ||||||||||||||||
| $ | 8,347,450 | $ | 177,704 | $ | (74,865 | ) | $ | 1,037,665 | $ | 11,334 | $ | 9,499,288 | 869,500 | $ | 33,319 | |||||||||||||||||
Cambria Global Value ETF
| Level 2 - | ||||||||||||||||
| Other | Level 3 - | |||||||||||||||
| Level 1 - Quoted | Significant | Significant | ||||||||||||||
| Investments in Securities at | and Unadjusted | Observable | Unobservable | |||||||||||||
| Value | Prices | Inputs | Inputs(1) | Total | ||||||||||||
| Common Stocks | ||||||||||||||||
| Austria | $ | 11,997,059 | – | $ | – | 11,997,059 | ||||||||||
| Chile | 6,640,984 | – | – | 6,640,984 | ||||||||||||
| Czech Republic | 11,630,533 | – | – | 11,630,533 | ||||||||||||
| Great Britain | 8,884,018 | – | – | 8,884,018 | ||||||||||||
| Greece | 10,325,939 | – | – | 10,325,939 | ||||||||||||
| Poland | 16,202,202 | – | – | 16,202,202 | ||||||||||||
| Portugal | 8,243,085 | – | – | 8,243,085 | ||||||||||||
| Russia | 12,901,036 | – | – | 12,901,036 | ||||||||||||
| Singapore | 8,892,256 | – | – | 8,892,256 | ||||||||||||
| Spain | 10,060,620 | – | – | 10,060,620 | ||||||||||||
| Turkey | 7,745,060 | – | – | 7,745,060 | ||||||||||||
| Exchange Traded Funds | ||||||||||||||||
| Colombia | 9,499,288 | – | – | 9,499,288 | ||||||||||||
| Short-Term Investment | 1,967,547 | – | – | 1,967,547 | ||||||||||||
| Total | $ | 124,989,627 | $ | – | $ | – | $ | 124,989,627 | ||||||||
For the period ended October 31, 2021 there have been no transfers in or out of Level 3.
Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.
| (1) | Included in Level 3 is one security with total value of $0. A reconciliation of Level 3 investments and disclosures of significant unobservable inputs are 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. | |
| 10 | www.cambriafunds.com |
| Cambria Global Momentum ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| 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.
| Cambria Global Momentum ETF | Shares | Value | ||||||
| Exchange Traded Funds (99.44%) | ||||||||
| Global (27.73%) | ||||||||
| Commodity ETF (15.03%) | ||||||||
| Invesco DB Base Metals Fund(a) | 206,759 | $ | 4,428,777 | |||||
| Invesco DB Energy Fund(a) | 272,445 | 4,969,397 | ||||||
| 9,398,174 | ||||||||
| Equity ETF (12.70%) | ||||||||
| Cambria Global Real Estate ETF*(b) | 131,692 | 4,295,582 | ||||||
| Cambria Global Value ETF*(b) | 151,525 | 3,645,692 | ||||||
| 7,941,274 | ||||||||
| International (14.35%) | ||||||||
| Equity ETF (14.35%) | ||||||||
| Cambria Emerging Shareholder Yield ETF*(b) | 142,248 | 5,078,182 | ||||||
| Cambria Foreign Shareholder Yield ETF*(b) | 140,941 | 3,891,381 | ||||||
| 8,969,563 | ||||||||
| North America (7.31%) | ||||||||
| Commodity ETF (7.31%) | ||||||||
| iShares® Global Energy ETF(b) | 157,358 | 4,571,250 | ||||||
| United States (50.05%) | ||||||||
| Commodity ETF (6.94%) | ||||||||
| Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 196,021 | 4,337,945 | ||||||
| Equity ETF (43.11%) | ||||||||
| Cambria Shareholder Yield ETF*(b) | 161,228 | 10,113,833 | ||||||
| Cambria Value and Momentum ETF* | 310,429 | 7,816,602 | ||||||
| Vanguard® Small-Cap ETF(b) | 19,229 | 4,412,863 | ||||||
| Vanguard® Small-Cap Value ETF(b) | 26,035 | 4,607,414 | ||||||
| 26,950,712 | ||||||||
| Shares | Value | |||||||
| Equity ETF (continued) | ||||||||
| Total Exchange Traded Funds | ||||||||
| (Cost $51,528,879) | $ | 62,168,918 | ||||||
| Shares | Value | |||||||
| Short-Term Investment (10.47%) | ||||||||
| Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(c)(d) | 6,547,246 | $ | 6,547,246 | |||||
| Total Short-Term Investment | ||||
| (Cost $6,547,246) | 6,547,246 | |||
| Total Investments (109.91%) | ||||
| (Cost $58,076,125) | $ | 68,716,164 | ||
| Liabilities Less Other Assets (-9.91%) | (6,199,444 | ) | ||
| Net Assets (100.00%) | $ | 62,516,720 | ||
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) | Non-income producing security. | |
| (b) | This security or a partial position of this security is on loan at October 31, 2021. The total value of securities on loan at October 31, 2021 was $6,382,163. |
| (c) | Rate shown is the 7-day effective yield as of October 31, 2021. | |
| (d) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of October 31, 2021 was $6,547,246. |
Investment Abbreviations:
ETF - Exchange Traded Fund
FTSE - Financial Times Stock Exchange
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 11 |
| Cambria Global Momentum ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
Transactions with affiliated companies during the period ended October 31, 2021 are as follows:
| Change in | ||||||||||||||||||||||||||||||||
| Unrealized | Value at | Shares at | ||||||||||||||||||||||||||||||
| Value at | Purchases | Proceeds | Appreciation/ | Realized | October 31, | October 31, | ||||||||||||||||||||||||||
| Security Name | April 30, 2021 | at Cost | from Sales | (Depreciation) | Gain/(Loss) | 2021 | 2021 | Dividends | ||||||||||||||||||||||||
| Cambria Emerging Shareholder Yield ETF | $ | 5,783,508 | $ | 125,240 | $ | (252,485 | ) | $ | (632,156 | ) | $ | 54,075 | $ | 5,078,182 | 142,248 | $ | 256,579 | |||||||||||||||
| Cambria Foreign Shareholder Yield ETF | 4,020,942 | 94,724 | (187,660 | ) | (62,093 | ) | 25,468 | 3,891,381 | 140,941 | 145,977 | ||||||||||||||||||||||
| Cambria Global Real Estate ETF | – | 4,449,037 | (102,332 | ) | (47,492 | ) | (3,631 | ) | 4,295,582 | 131,692 | 19,932 | |||||||||||||||||||||
| Cambria Global Value ETF | 3,553,933 | 88,828 | (174,534 | ) | 166,842 | 10,623 | 3,645,692 | 151,525 | 77,667 | |||||||||||||||||||||||
| Cambria Shareholder Yield ETF | 10,330,758 | 252,592 | (488,925 | ) | (183,083 | ) | 202,491 | 10,113,833 | 161,228 | 88,682 | ||||||||||||||||||||||
| Cambria Value and Momentum ETF | 3,875,793 | 4,039,263 | (360,076 | ) | 246,552 | 15,070 | 7,816,602 | 310,429 | 29,869 | |||||||||||||||||||||||
| $ | 27,564,934 | $ | 9,049,684 | $ | (1,566,012 | ) | $ | (511,430 | ) | $ | 304,096 | $ | 34,841,272 | 1,038,063 | $ | 618,706 | ||||||||||||||||
As of October 31, 2021, 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.
For the period ended October 31, 2021 there have been no transfers in or out of Level 3.
Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.
| The accompanying notes are an integral part of the financial statements. | |
| 12 | www.cambriafunds.com |
| Cambria Global Asset Allocation ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| 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.
| Cambria Global Asset Allocation ETF | Shares | Value | ||||||
| Exchange Traded Funds (99.18%) | ||||||||
| Global (16.08%) | ||||||||
| Commodity ETF (0.90%) | ||||||||
| Graniteshares Gold Trust(a)(b) | 26,697 | $ | 472,270 | |||||
| Equity ETF (14.75%) | ||||||||
| Alpha Architect Value Momentum Trend ETF | 34,254 | 948,264 | ||||||
| Cambria Global Real Estate ETF* | 120,054 | 3,915,969 | ||||||
| Cambria Global Value ETF* | 118,800 | 2,858,328 | ||||||
| 7,722,561 | ||||||||
| Fixed Income ETF (0.43%) | ||||||||
|
Cambria Global Tail Risk Bond ETF*(a) |
10,072 | 224,203 | ||||||
| International (32.36%) | ||||||||
| Equity ETF (16.50%) | ||||||||
| Alpha Architect International Quantitative Momentum ETF(b) | 35,079 | 1,233,241 | ||||||
| Cambria Emerging Shareholder Yield ETF*(b) | 141,669 | 5,057,512 | ||||||
| Cambria Foreign Shareholder Yield ETF* | 85,173 | 2,351,627 | ||||||
| 8,642,380 | ||||||||
| Fixed Income ETF (15.86%) | ||||||||
| SPDR® FTSE International Government Inflation- Protected Bond ETF(b) | 25,311 | 1,398,686 | ||||||
| VanEck Emerging Markets High Yield Bond ETF | 77,550 | 1,771,242 | ||||||
| VanEck International High Yield Bond ETF | 38,709 | 947,360 | ||||||
| VanEck J. P. Morgan EM Local Currency Bond ETF | 67,584 | 1,989,673 | ||||||
| Shares | Value | |||||||
| Fixed Income ETF (continued) | ||||||||
| Vanguard® Total International Bond ETF(b) | 38,808 | $ | 2,199,249 | |||||
| 8,306,210 | ||||||||
| United States (50.74%) | ||||||||
| Commodity ETF (9.24%) | ||||||||
| Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 218,691 | 4,839,632 | ||||||
| Equity ETF (18.78%) | ||||||||
| Alpha Architect US Quantitative Momentum ETF(a)(b) | 42,207 | 2,214,268 | ||||||
| Cambria Shareholder Yield ETF* | 81,939 | 5,140,033 | ||||||
| Cambria Value and Momentum ETF* | 98,439 | 2,478,694 | ||||||
| 9,832,995 | ||||||||
| Fixed Income ETF (22.72%) | ||||||||
| iShares® Short Treasury Bond ETF(b) | 8,283 | 914,774 | ||||||
| Schwab US TIPS Bond ETF | 24,717 | 1,556,677 | ||||||
| Vanguard® Intermediate-Term Corporate Bond ETF(b) | 15,939 | 1,496,513 | ||||||
| Vanguard® Intermediate-Term Government Bond ETF | 27,489 | 1,841,763 | ||||||
| Vanguard® Long-Term Treasury Bond ETF(b) | 19,371 | 1,728,474 | ||||||
| Vanguard® Short-Term Corporate Bond ETF | 11,682 | 956,522 | ||||||
| Vanguard® Total Bond Market ETF | 39,897 | 3,406,406 | ||||||
| 11,901,129 | ||||||||
| Total Exchange Traded Funds | ||||||||
| (Cost $45,035,132) | 51,941,380 | |||||||
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 13 |
| Cambria Global Asset Allocation ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| Shares | Value | |||||||
| Short-Term Investment (10.23%) | ||||||||
| Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(c)(d) | 5,358,978 | $ | 5,358,978 | |||||
| Total Short-Term Investment | ||||||||
| (Cost $5,358,978) | 5,358,978 | |||||||
| Total Investments (109.41%) | ||||||||
| (Cost $50,394,110) | $ | 57,300,358 | ||||||
| Liabilities Less Other Assets (-9.41%) | ||||||||
| (4,930,279 | ) | |||||||
| Net Assets (100.00%) | $ | 52,370,079 | ||||||
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) | Non-income producing security. |
| (b) | This security or a partial position of this security is on loan at October 31, 2021. The total value of securities on loan at October 31, 2021 was $5,209,068. |
| (c) | Rate shown is the 7-day effective yield as of October 31, 2021. |
| (d) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of October 31, 2021 was $5,358,978. |
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. | |
| 14 | www.cambriafunds.com |
|
Cambria Global Asset Allocation ETF |
Schedule of Investments |
| October 31, 2021 (Unaudited) |
Transactions with affiliated companies during the period ended October 31, 2021 are as follows:
| Security Name | Value
at April 30, 2021 |
Purchases at Cost |
Proceeds from Sales |
Change
in Unrealized Appreciation/ (Depreciation) |
Realized Gain/(Loss) |
Value
at October 31, 2021 |
Shares
at October 31, 2021 |
Dividends | ||||||||||||||||||||||||
| Cambria Emerging Shareholder Yield ETF | $ | 5,622,843 | $ | 168,510 | $ | (152,402 | ) | $ | (611,337 | ) | $ | 29,898 | $ | 5,057,512 | 141,669 | $ | 259,491 | |||||||||||||||
| Cambria Foreign Shareholder Yield ETF | 2,372,077 | 73,351 | (69,868 | ) | (26,853 | ) | 2,920 | 2,351,627 | 85,173 | 89,521 | ||||||||||||||||||||||
| Cambria Global Real Estate ETF | 3,801,330 | 118,104 | (115,498 | ) | 86,905 | 25,128 | 3,915,969 | 120,054 | 96,858 | |||||||||||||||||||||||
| Cambria Global Tail Risk ETF | 235,634 | – | – | (11,431 | ) | – | 224,203 | 10,072 | – | |||||||||||||||||||||||
| Cambria Global Value ETF | 2,720,057 | 85,068 | (83,304 | ) | 132,696 | 3,811 | 2,858,328 | 118,800 | 61,593 | |||||||||||||||||||||||
| Cambria Shareholder Yield ETF | 5,125,284 | 158,292 | (153,549 | ) | (69,435 | ) | 79,441 | 5,140,033 | 81,939 | 45,789 | ||||||||||||||||||||||
| Cambria Value and Momentum ETF | 2,271,007 | 72,595 | (72,294 | ) | 181,882 | 25,504 | 2,478,694 | 98,439 | 9,609 | |||||||||||||||||||||||
| $ | 22,148,232 | $ | 675,920 | $ | (646,915 | ) | $ | (317,573 | ) | $ | 166,702 | $ | 22,026,366 | 656,146 | $ | 562,861 | ||||||||||||||||
As of October 31, 2021, 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.
For the period ended October 31, 2021 there have been no transfers in or out of Level 3.
Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 15 |
| Schedule of Investments | |
| October 31, 2021 (Unaudited) |
| Sector Weightings | ||||
| Cambria Value and Momentum ETF | ||||
| Financials | 25.48 | % | ||
| Consumer Discretionary | 21.61 | % | ||
| Energy | 14.85 | % | ||
| Materials | 13.04 | % | ||
| Industrials | 12.29 | % | ||
| Health Care | 4.89 | % | ||
| Information Technology | 3.85 | % | ||
| Consumer Staples | 2.27 | % | ||
| Communication Services | 0.88 | % | ||
| Real Estate | 0.84 | % | ||
| 100.00 | % | |||
Percentages based on total investments, excluding investments purchased with collateral from securities loaned.
| Cambria Value and Momentum ETF | Shares | Value | ||||||
| Common Stocks (93.68%) | ||||||||
| Communication Services (0.83%) | ||||||||
| IDT Corp.(a) | 4,085 | $ | 197,592 | |||||
| Consumer Discretionary (20.25%) | ||||||||
| Bed Bath & Beyond, Inc.(a)(b) | 7,749 | 108,796 | ||||||
| Big 5 Sporting Goods Corp.(b) | 15,118 | 365,553 | ||||||
| Buckle, Inc.(b) | 5,510 | 229,326 | ||||||
| Century Communities, Inc. | 2,793 | 187,299 | ||||||
| Citi Trends, Inc.(a)(b) | 2,128 | 164,622 | ||||||
| Container Store Group, Inc.(a) | 10,317 | 114,106 | ||||||
| Dick's Sporting Goods, Inc. | 1,311 | 162,839 | ||||||
| Dillard's, Inc., Class A | 1,824 | 421,599 | ||||||
| Ethan Allen Interiors, Inc. | 5,966 | 138,471 | ||||||
| G-III Apparel Group, Ltd.(a) | 5,377 | 154,105 | ||||||
| Green Brick Partners, Inc.(a) | 6,315 | 164,506 | ||||||
| Group 1 Automotive, Inc. | 1,083 | 194,723 | ||||||
| Haverty Furniture Cos., Inc. | 4,921 | 141,233 | ||||||
| Hibbett, Inc. | 3,402 | 263,451 | ||||||
| Hovnanian Enterprises, Inc., Class A(a) | 1,653 | 139,282 | ||||||
| Kohl's Corp. | 3,230 | 156,752 | ||||||
| Macy's, Inc. | 7,733 | 204,693 | ||||||
| MarineMax, Inc.(a) | 3,211 | 166,298 | ||||||
| Movado Group, Inc. | 5,434 | 180,952 | ||||||
| Rent-A-Center, Inc., Class A | 4,160 | 221,562 | ||||||
| Shoe Carnival, Inc. | 4,750 | 160,882 | ||||||
| Smith & Wesson Brands, Inc. | 8,549 | 183,803 | ||||||
| Shares | Value | |||||||
| Consumer Discretionary (continued) | ||||||||
| TravelCenters of America, Inc.(a) | 5,529 | $ | 298,068 | |||||
| Vista Outdoor, Inc.(a) | 7,108 | 297,399 | ||||||
| 4,820,320 | ||||||||
| Consumer Staples (2.13%) | ||||||||
| Sanderson Farms, Inc. | 950 | 179,978 | ||||||
| United Natural Foods, Inc.(a) | 7,547 | 327,464 | ||||||
| 507,442 | ||||||||
| Energy (13.91%) | ||||||||
| Antero Resources Corp.(a) | 14,900 | 296,063 | ||||||
| Centennial Resource Development, Inc., Class A(a) | 36,917 | 265,802 | ||||||
| CONSOL Energy, Inc.(a) | 7,201 | 198,099 | ||||||
| Green Plains, Inc.(a) | 7,353 | 279,046 | ||||||
| Marathon Oil Corp. | 14,269 | 232,870 | ||||||
| Matador Resources Co. | 12,800 | 535,680 | ||||||
| Oasis Petroleum, Inc. | 1,881 | 226,849 | ||||||
| Ovintiv, Inc. | 12,592 | 472,452 | ||||||
| Patterson-UTI Energy, Inc. | 22,325 | 191,102 | ||||||
| PDC Energy, Inc. | 3,876 | 202,754 | ||||||
| SandRidge Energy, Inc.(a)(b) | 15,827 | 202,586 | ||||||
| Whiting Petroleum Corp.(a) | 3,211 | 209,132 | ||||||
| 3,312,435 | ||||||||
| Financials (23.87%) | ||||||||
| Ally Financial, Inc. | 3,496 | 166,899 | ||||||
| American Financial Group, Inc. | 1,406 | 191,272 | ||||||
| American National Group, Inc. | 931 | 176,620 | ||||||
| Berkshire Hills Bancorp, Inc. | 6,422 | 174,357 | ||||||
| Cadence Bank | 5,014 | 145,509 | ||||||
| Capital One Financial Corp. | 1,121 | 169,305 | ||||||
| CIT Group, Inc. | 3,382 | 167,510 | ||||||
| CNO Financial Group, Inc. | 6,645 | 160,410 | ||||||
| Cowen, Inc. | 5,629 | 212,382 | ||||||
| Customers Bancorp, Inc.(a) | 5,244 | 279,453 | ||||||
| Donnelley Financial Solutions, Inc.(a) | 6,213 | 238,082 | ||||||
| Great Western Bancorp, Inc. | 5,282 | 179,852 | ||||||
| Hanmi Financial Corp. | 8,455 | 187,616 | ||||||
| Jefferies Financial Group, Inc. | 4,864 | 209,152 | ||||||
| Meta Financial Group, Inc. | 4,195 | 232,571 | ||||||
| Morgan Stanley | 2,194 | 225,499 | ||||||
| Mr Cooper Group, Inc.(a) | 9,977 | 437,392 | ||||||
| PacWest Bancorp | 4,256 | 202,032 | ||||||
| Regions Financial Corp. | 8,607 | 203,814 | ||||||
| Silvergate Capital Corp., Class A(a) | 2,526 | 395,622 | ||||||
| SLM Corp. | 8,588 | 157,590 | ||||||
| State Auto Financial Corp. | 3,534 | 181,330 | ||||||
| The accompanying notes are an integral part of the financial statements. | |
| 16 | www.cambriafunds.com |
|
Cambria Value and Momentum ETF |
Schedule of Investments |
| October 31, 2021 (Unaudited) |
| Shares | Value | |||||||
| Financials (continued) | ||||||||
| Sterling Bancorp | 6,935 | $ | 176,496 | |||||
| Stewart Information Services Corp. | 2,527 | 179,847 | ||||||
| SuRo Capital Corp.(b) | 9,416 | 135,025 | ||||||
| SVB Financial Group(a) | 437 | 313,504 | ||||||
| Synovus Financial Corp. | 3,952 | 184,124 | ||||||
| 5,683,265 | ||||||||
| Health Care (4.58%) | ||||||||
| Civitas Solutions, Inc.(a) | 7,976 | 447,772 | ||||||
| Community Health Systems, Inc.(a) | 11,362 | 148,842 | ||||||
| Fulgent Genetics, Inc.(a)(b) | 1,501 | 124,463 | ||||||
| Owens & Minor, Inc. | 10,303 | 369,672 | ||||||
| 1,090,749 | ||||||||
| Industrials (11.51%) | ||||||||
| ArcBest Corp. | 3,439 | 308,994 | ||||||
| Atkore, Inc.(a) | 1,900 | 179,607 | ||||||
| Boise Cascade Co. | 3,952 | 223,762 | ||||||
| Infrastructure and Energy Alternatives, Inc.(a)(b) | 10,123 | 112,062 | ||||||
| Manitowoc Co., Inc.(a) | 8,398 | 179,969 | ||||||
| MasTec, Inc.(a) | 1,862 | 165,960 | ||||||
| MYR Group, Inc.(a) | 2,489 | 254,252 | ||||||
| Quanta Services, Inc. | 3,633 | 440,610 | ||||||
| Resideo Technologies, Inc.(a) | 7,559 | 186,405 | ||||||
| RR Donnelley & Sons Co.(a) | 41,800 | 267,520 | ||||||
| Veritiv Corp.(a) | 3,933 | 421,893 | ||||||
| 2,741,034 | ||||||||
| Information Technology (3.61%) | ||||||||
| Amkor Technology, Inc. | 10,965 | 240,353 | ||||||
| Aviat Networks, Inc.(a) | 4,902 | 140,197 | ||||||
| Kulicke & Soffa Industries, Inc. | 2,755 | 157,035 | ||||||
| SYNNEX Corp. | 1,482 | 155,610 | ||||||
| Turtle Beach Corp.(a) | 5,788 | 166,463 | ||||||
| 859,658 | ||||||||
| Materials (12.21%) | ||||||||
| AdvanSix, Inc. | 6,042 | 293,641 | ||||||
| Alcoa Corp. | 6,702 | 307,957 | ||||||
| Alpha Metallurgical Resources, Inc.(a) | 3,610 | 223,062 | ||||||
| Domtar Corp.(a) | 3,287 | 179,437 | ||||||
| Intrepid Potash, Inc.(a) | 5,187 | 252,659 | ||||||
| Louisiana-Pacific Corp. | 3,173 | 186,985 | ||||||
| Nucor Corp. | 1,843 | 205,771 | ||||||
| Olympic Steel, Inc. | 6,194 | 167,052 | ||||||
| Resolute Forest Products, Inc. | 18,126 | 213,162 | ||||||
| Shares | Value | |||||||
| Materials (continued) | ||||||||
| Schnitzer Steel Industries, Inc., Class A | 4,351 | $ | 234,084 | |||||
| Steel Dynamics, Inc. | 3,021 | 199,628 | ||||||
| TimkenSteel Corp.(a) | 16,454 | 229,533 | ||||||
| United States Steel Corp. | 8,151 | 215,105 | ||||||
| 2,908,076 | ||||||||
| Real Estate (0.78%) | ||||||||
| Jones Lang LaSalle, Inc.(a) | 722 | 186,442 | ||||||
| Total Common Stocks | ||||||||
| (Cost $17,858,954) | 22,307,013 | |||||||
| Shares | Value | |||||||
| Short-Term Investment (4.50%) | ||||||||
| Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(c)(d) | 1,070,627 | $ | 1,070,627 | |||||
| Total Short-Term Investment | ||||||||
| (Cost $1,070,627) | 1,070,627 | |||||||
| Total Investments (98.18%) | ||||||||
| (Cost $18,929,581) | $ | 23,377,640 | ||||||
| Other Assets Less Liabilities (1.82%) | 433,577 | |||||||
| Net Assets (100.00%) | $ | 23,811,217 | ||||||
Percentages based on Net Assets.
| (a) | Non-income producing security. | |
| (b) | This security or a partial position of this security is on loan at October 31, 2021. The total value of securities on loan at October 31, 2021 was $724,728. | |
| (c) | Rate shown is the 7-day effective yield as of October 31, 2021. | |
| (d) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of October 31, 2021 was $1,070,627. |
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 17 |
| Cambria Value and Momentum ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
The open futures contracts held by the Fund as of October 31, 2021 are as follows:
| Type of | Number
of Contracts |
Expiration | Notional | Notional | Unrealized | |||||||||||||
| Contract | Short | Date | Amount | Value | Depreciation | |||||||||||||
| S&P® 500 Mini Future | 40 | Dec-2021 | $ | (8,938,416 | ) | $ | (9,194,000 | ) | $ | (255,584 | ) | |||||||
For the period ended October 31, 2021, the monthly average notional value of the short equity futures contracts held was $(9,933,335) and the ending notional value of the futures contacts was $(9,194,000).
As of October 31, 2021, 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.
For the period ended October 31, 2021 there have been no transfers in or out of Level 3.
Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.
| The accompanying notes are an integral part of the financial statements. | |
| 18 | www.cambriafunds.com |
| Schedule of Investments | |
| October 31, 2021 (Unaudited) |
| Sector Weightings |
||||
| Cambria Global Tail Risk ETF | ||||
| Exchange Traded Funds | 75.08 | % | ||
| Sovereign Debt | 16.51 | % | ||
| Purchased Options | 8.41 | % | ||
| 100.00 | % | |||
Percentages based on total investments, excluding investments purchased with collateral from securities loaned.
| Cambria Global Tail Risk ETF | Shares | Value | ||||||
| Exchange Traded Funds (72.91%) | ||||||||
| International (27.10%) | ||||||||
| Fixed Income ETF (27.10%) | ||||||||
| VanEck J. P. Morgan EM Local Currency Bond ETF | 24,910 | $ | 733,350 | |||||
| Vanguard® Total International Bond ETF | 13,635 | 772,696 | ||||||
| 1,506,046 | ||||||||
| United States (45.81%) | ||||||||
| Fixed Income ETF (45.81%) | ||||||||
| iShares® 7-10 Year Treasury Bond ETF | 10,981 | 1,258,752 | ||||||
| iShares® TIPS Bond ETF(a) | 10,000 | 1,286,700 | ||||||
| 2,545,452 | ||||||||
| Total Exchange Traded Funds | ||||||||
| (Cost $4,060,069) | 4,051,498 | |||||||
| Currency | Face Amount | Value | ||||||||
| Sovereign Debt (16.03%) | ||||||||||
| Turkey Government Bond, | ||||||||||
| 8.500%, 9/14/2022 | TRY | 4,641,000 | 451,356 | |||||||
| Colombian TES | ||||||||||
| 7.000%, 5/4/2022 | COP | 819,000,000 | 221,167 | |||||||
| 7.500%, 8/26/2026 | COP | 812,500,000 | 218,506 | |||||||
| 891,029 | ||||||||||
| Total Sovereign Debt | ||||||||||
| (Cost $1,530,301) | 891,029 | |||||||||
| Notional | |||||||||||
| Contracts | Amount | Value | |||||||||
| Purchased Options (8.16%) | |||||||||||
| Put Options | |||||||||||
| MSCI EAFE Index-MXEA US | |||||||||||
| Expires 12/16/21, Strike | |||||||||||
| Price $2,100 | 3 | $ | 700,659 | $ | 2,085 | ||||||
| Expires 03/17/22, Strike | |||||||||||
| Price $2,150 | 18 | 4,203,952 | 70,920 | ||||||||
| Expires 06/17/22, Strike | |||||||||||
| Price $2,200 | 9 | 2,101,976 | 77,265 | ||||||||
| Expires 09/16/22, Strike | |||||||||||
| Price $2,200 | 3 | 700,659 | 33,810 | ||||||||
| MSCI Emerging Markets Index-MXEF US | |||||||||||
| Expires 12/17/21, Strike | |||||||||||
| Price $1,300 | 3 | 379,426 | 15,915 | ||||||||
| Expires 03/18/22, Strike | |||||||||||
| Price $1,250 | 20 | 2,529,508 | 116,600 | ||||||||
| Expires 06/17/22, Strike | |||||||||||
| Price $1,250 | 9 | 1,138,278 | 75,510 | ||||||||
| Expires 09/15/22, Strike | |||||||||||
| Price $1,200 | 7 | 885,328 | 61,460 | ||||||||
| Total Purchased Options | |||||||||||
| (Cost $678,004) | 453,565 | ||||||||||
| Shares | Value | |||||||
| Short-Term Investment (5.40%) | ||||||||
| Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(b)(c) | 299,863 | $ | 299,863 | |||||
| Total Short-Term Investment | ||||||||
| (Cost $299,863) | 299,863 | |||||||
| Total Investments (102.50%) | ||||||||
| (Cost $6,568,237) | $ | 5,695,955 | ||||||
| Liabilities Less Other Assets (-2.50%) | (138,649 | ) | ||||||
| Net Assets (100.00%) | $ | 5,557,306 | ||||||
| Percentages based on Net Assets. | ||||||||
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 19 |
| Cambria Global Tail Risk ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| (a) | This security or a partial position of this security is on loan at October 31, 2021. The total value of securities on loan at October 31, 2021 was $295,941. | |
| (b) | Rate shown is the 7-day effective yield as of October 31, 2021. | |
| (c) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of October 31, 2021 was $299,863. |
Currency Abbreviations:
COP — Colombian Peso
TRY— Turkish Lira
Investment Abbreviations:
EAFE - Europe, Australasia and Far East
ETF - Exchange Traded Funds
MSCI - Morgan Stanley Capital International
MXEA - Ticker for MSCI EAFE Index
MXEF - Ticker for MSCI Emerging Markets Index
TIPS - Treasury Inflation Protected Security
Cambria Global Tail Risk ETF
| Investments
in Securities at Value |
Level 1 - Quoted and Unadjusted Prices |
Level 2 - Other Significant Observable Inputs |
Level 3 - Significant Unobservable Inputs |
Total | ||||||||||||
| Exchange Traded Funds | $ | 4,051,498 | $ | – | $ | – | $ | 4,051,498 | ||||||||
| Sovereign Debt | – | 891,029 | – | 891,029 | ||||||||||||
| Short-Term Investment | 299,863 | – | – | 299,863 | ||||||||||||
| Total | $ | 4,351,361 | $ | 891,029 | $ | – | $ | 5,242,390 | ||||||||
| Other Financial Instruments | ||||||||||||||||
| Purchased Options | $ | 453,565 | $ | – | $ | – | $ | 453,565 | ||||||||
| Total | $ | 453,565 | $ | – | $ | – | $ | 453,565 | ||||||||
As of October 31, 2021, all of the Fund's investments in securities were considered Level 1 or Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. generally accepted accounting principles.
For the period ended October 31, 2021 there have been no transfers in or out of Level 3.
Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.
| The accompanying notes are an integral part of the financial statements. | |
| 20 | www.cambriafunds.com |
| Cambria Emerging Shareholder Yield ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| Sector Weightings | ||||
| Cambria Emerging Shareholder Yield ETF | ||||
| Materials | 28.33 | % | ||
| Information Technology | 23.03 | % | ||
| Industrials | 12.69 | % | ||
| Consumer Discretionary | 11.54 | % | ||
| Energy | 8.70 | % | ||
| Financials | 4.75 | % | ||
| Utilities | 3.99 | % | ||
| Consumer Staples | 3.14 | % | ||
| Real Estate | 1.48 | % | ||
| Communication Services | 0.98 | % | ||
| Other | 0.78 | % | ||
| Health Care | 0.59 | % | ||
| 100.00 | % | |||
Percentages based on total investments, excluding investments purchased with collateral from securities loaned.
| Cambria Emerging Shareholder Yield ETF | Shares | Value | ||||||
| Common Stocks (97.05%) | ||||||||
| Australia (1.34%) | ||||||||
| BHP Group PLC | 43,296 | $ | 1,140,974 | |||||
| Brazil (0.78%) | ||||||||
| Camil Alimentos SA | 384,000 | 662,702 | ||||||
| China (16.55%) | ||||||||
| Angang Steel Co., Ltd., Class H | 1,632,000 | 878,874 | ||||||
| Anhui Conch Cement Co., Ltd., Class H | 96,000 | 477,502 | ||||||
| Bank of Communications Co., Ltd., Class H | 960,000 | 571,274 | ||||||
| China Hongqiao Group, Ltd. | 638,400 | 709,744 | ||||||
| China Lilang, Ltd. | 960,000 | 546,597 | ||||||
| China Medical System Holdings, Ltd. | 288,000 | 490,827 | ||||||
| China Petroleum & Chemical Corp., ADR | 9,399 | 457,543 | ||||||
| China Sanjiang Fine Chemicals Co., Ltd. | 1,790,400 | 538,466 | ||||||
| China Shenhua Energy Co., Ltd., Class H | 336,000 | 723,779 | ||||||
| Fufeng Group, Ltd. | 1,344,000 | 464,669 | ||||||
| Greatview Aseptic Packaging Co., Ltd. | 1,344,000 | 552,767 | ||||||
| Shares | Value | |||||||
| China (continued) | ||||||||
| Greenland Hong Kong Holdings, Ltd. | 2,064,000 | $ | 440,362 | |||||
| Greentown Management Holdings Co., Ltd.(a)(b) | 1,680,000 | 829,150 | ||||||
| JNBY Design, Ltd.(b) | 456,000 | 765,421 | ||||||
| Lonking Holdings, Ltd. | 2,064,000 | 604,835 | ||||||
| Qingdao Port International Co., Ltd., Class H(a)(b) | 960,000 | 482,437 | ||||||
| Shenzhen Expressway Co., Ltd., Class H | 672,000 | 633,090 | ||||||
| Sinopec Shanghai Petrochemical Co., Ltd., ADR | 16,474 | 384,833 | ||||||
| Sinotruk Hong Kong, Ltd. | 360,000 | 496,935 | ||||||
| Tianneng Power International, Ltd.(c) | 288,000 | 329,069 | ||||||
| Xinte Energy Co., Ltd.(c) | 307,200 | 989,057 | ||||||
| Yanzhou Coal Mining Co., Ltd., Class H | 768,000 | 1,139,094 | ||||||
| Zhejiang Expressway Co., Ltd., Class H | 672,000 | 596,815 | ||||||
| 14,103,140 | ||||||||
| Colombia (0.75%) | ||||||||
| Banco De Bogota Sa | 31,920 | 643,361 | ||||||
| Czech Republic (0.95%) | ||||||||
| O2 Czech Republic AS | 70,608 | 810,903 | ||||||
| India (9.92%) | ||||||||
| Balrampur Chini Mills, Ltd.(d) | 234,816 | 1,025,265 | ||||||
| Cosmo Films, Ltd. | 42,144 | 890,142 | ||||||
| GHCL, Ltd. | 139,392 | 785,835 | ||||||
| HSIL, Ltd. | 339,072 | 1,077,695 | ||||||
| Phillips Carbon Black, Ltd.(d) | 343,824 | 1,009,231 | ||||||
| Polyplex Corp., Ltd. | 58,416 | 1,315,430 | ||||||
| Redington India, Ltd. | 575,328 | 1,104,077 | ||||||
| Vedanta, Ltd. | 305,520 | 1,240,338 | ||||||
| 8,448,013 | ||||||||
| Russia (16.05%) | ||||||||
| Alrosa PJSC | 431,040 | 759,484 | ||||||
| Beluga Group PJSC | 16,272 | 906,582 | ||||||
| Federal Grid Co. Unified Energy System PJSC | 262,560,000 | 686,606 | ||||||
| Gazprom Neft PJSC | 178,560 | 1,271,876 | ||||||
| Gazprom PJSC | 338,400 | 1,670,294 | ||||||
| Inter RAO UES PJSC | 8,832,000 | 598,517 | ||||||
| LUKOIL PJSC | 13,728 | 1,401,796 | ||||||
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 21 |
| Cambria Emerging Shareholder Yield ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| Shares | Value | |||||||
| Russia (continued) | ||||||||
| Magnitogorsk Iron & Steel Works PJSC | 1,248,000 | $ | 1,164,870 | |||||
| Novolipetsk Steel PJSC | 366,720 | 1,156,890 | ||||||
| OGK-2 PJSC | 75,360,000 | 744,060 | ||||||
| Sberbank of Russia PJSC | 221,280 | 1,111,464 | ||||||
| Severstal PAO | 68,160 | 1,548,796 | ||||||
| Unipro PJSC | 16,992,000 | 653,820 | ||||||
| 13,675,055 | ||||||||
| South Africa (9.52%) | ||||||||
| AECI, Ltd. | 132,432 | 974,491 | ||||||
| African Rainbow Minerals, Ltd. | 121,536 | 1,619,393 | ||||||
| Exxaro Resources, Ltd. | 47,472 | 519,783 | ||||||
| Impala Platinum Holdings, Ltd. | 81,072 | 1,050,831 | ||||||
| Kumba Iron Ore, Ltd. | 23,712 | 720,596 | ||||||
| Motus Holdings, Ltd. | 152,304 | 1,016,324 | ||||||
| Reunert, Ltd. | 275,462 | 914,480 | ||||||
| Truworths International, Ltd. | 366,298 | 1,293,014 | ||||||
| 8,108,912 | ||||||||
| South Korea (8.23%) | ||||||||
| Chungdahm Learning, Inc. | 33,360 | 984,913 | ||||||
| Hanmi Semiconductor Co., Ltd. | 54,912 | 1,510,779 | ||||||
| Huchems Fine Chemical Corp. | 50,064 | 1,128,909 | ||||||
| Iones Co., Ltd. | 109,440 | 809,175 | ||||||
| Kolon Global Corp. | 45,264 | 1,007,115 | ||||||
| Motonic Corp. | 69,936 | 664,318 | ||||||
| SSANGYONG C&E Co., Ltd. | 134,689 | 904,804 | ||||||
| 7,010,013 | ||||||||
| Taiwan (24.82%) | ||||||||
| ASROCK, Inc. | 192,000 | 1,197,907 | ||||||
| Asustek Computer, Inc. | 48,000 | 609,310 | ||||||
| Catcher Technology Co., Ltd. | 96,000 | 555,801 | ||||||
| Chenbro Micom Co., Ltd. | 288,000 | 778,812 | ||||||
| Chicony Electronics Co., Ltd. | 240,000 | 685,258 | ||||||
| CyberPower Systems, Inc. | 144,000 | 390,960 | ||||||
| Dimerco Express Corp. | 414,720 | 1,284,046 | ||||||
| Generalplus Technology, Inc. | 336,000 | 792,621 | ||||||
| Gigabyte Technology Co., Ltd. | 144,000 | 582,556 | ||||||
| Global Mixed Mode Technology, Inc. | 144,000 | 1,162,522 | ||||||
| Holy Stone Enterprise Co., Ltd. | 240,000 | 1,018,394 | ||||||
| Huaku Development Co., Ltd. | 240,000 | 785,371 | ||||||
| ITE Technology, Inc. | 307,200 | 1,148,886 | ||||||
| Micro-Star International Co., Ltd. | 158,400 | 797,454 | ||||||
| Nantex Industry Co., Ltd. | 336,000 | 984,735 | ||||||
| Nishoku Technology, Inc. | 240,000 | 730,136 | ||||||
| Shares | Value | |||||||
| Taiwan (continued) | ||||||||
| O-TA Precision Industry Co., Ltd. | 144,000 | $ | 901,020 | |||||
| Radiant Opto-Electronics Corp. | 192,000 | 671,795 | ||||||
| Sea Sonic Electronics Co., Ltd. | 302,400 | 864,513 | ||||||
| Sunonwealth Electric Machine Industry Co., Ltd. | 336,000 | 465,182 | ||||||
| Systex Corp. | 240,000 | 744,808 | ||||||
| TA-I Technology Co., Ltd. | 336,000 | 767,247 | ||||||
| Thinking Electronic Industrial Co., Ltd. | 144,000 | 880,306 | ||||||
| Topco Scientific Co., Ltd. | 192,000 | 952,802 | ||||||
| Transcend Information, Inc. | 240,000 | 582,556 | ||||||
| Tripod Technology Corp. | 192,000 | 811,263 | ||||||
| 21,146,261 | ||||||||
| Thailand (0.72%) | ||||||||
| Tisco Financial Group PLC | 220,800 | 613,842 | ||||||
| Turkey (7.42%) | ||||||||
| Aksa Akrilik Kimya Sanayii AS | 355,680 | 867,187 | ||||||
| Dogus Otomotiv Servis ve Ticaret AS | 239,040 | 903,051 | ||||||
| Enerjisa Enerji AS(a)(b) | 509,232 | 622,901 | ||||||
| Eregli Demir ve Celik Fabrikalari TAS | 497,424 | 1,018,752 | ||||||
| Is Yatirim Menkul Degerler AS | 981,168 | 1,632,899 | ||||||
| Tofas Turk Otomobil Fabrikasi AS | 208,848 | 1,277,331 | ||||||
| 6,322,121 | ||||||||
| Total Common Stocks | ||||||||
| (Cost $77,209,008) | 82,685,297 | |||||||
| The accompanying notes are an integral part of the financial statements. | |
| 22 | www.cambriafunds.com |
| Cambria Emerging Shareholder Yield ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| Shares | Value | |||||||
| Short-Term Investment (1.25%) | ||||||||
| Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(e)(f) | 1,068,336 | $ | 1,068,336 | |||||
| Total Short-Term Investment | ||||||||
| (Cost $1,068,336) | 1,068,336 | |||||||
| Total Investments (98.30%) | ||||||||
| (Cost $78,277,344) | $ | 83,753,633 | ||||||
| Other Assets Less Liabilities (1.70%) | 1,447,768 | |||||||
| Net Assets (100.00%) | $ | 85,201,401 | ||||||
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 October 31, 2021, the fair value of securities restricted under Rule 144A in the aggregate was $1,934,488, representing 2.27% of net assets. |
| (b) | Securities exempt from registration under the Securities Act, and may be deemed to be "restricted securities" under the Securities Act. As of October 31, 2021, the aggregate market value of those securities was $2,699,909 representing 3.17% of the Fund's net assets. |
| (c) | This security or a partial position of this security is on loan at October 31, 2021. The total value of securities on loan at October 31, 2021 was $985,824. |
| (d) | Non-income producing security. |
| (e) | Rate shown is the 7-day effective yield as of October 31, 2021. |
| (f) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of October 31, 2021 was $1,068,336. |
Investment Abbreviations:
ADR - American Depository Receipt
AS - Turkish Joint Stock Companies
PAO - Russian Public Stock Companies
PJSC - Private Joint Stock Company
PLC - Public Limited Company
SA - Brazilian Limited Liability Corporation
TAS - Turkish Joint Stock Companies
As of October 31, 2021, 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.
For the period ended October 31, 2021 there have been no transfers in or out of Level 3.
Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 23 |
| Cambria Tail Risk ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| Sector Weightings | ||||
| Cambria Tail Risk ETF | ||||
| U.S. Treasury Obligations | 94.54 | % | ||
| Purchased Options | 5.46 | % | ||
| 100.00 | % | |||
Percentages based on total investments, excluding investments purchased with collateral from securities loaned.
| Cambria Tail Risk ETF | Face Amount | Value | ||||||
| U.S. Treasury Obligations (92.53%) | ||||||||
| U.S. Treasury Bond, 0.625%, 5/15/2030 | $ | 307,216,000 | $ | 285,435,000 | ||||
| United States Treasury Inflation Indexed Bonds, 0.125%, 7/15/2030 | 16,699,432 | 18,580,289 | ||||||
| 304,015,289 | ||||||||
| Total U.S. Treasury Obligations | ||||||||
| (Cost $315,833,272) | 304,015,289 | |||||||
| Notional | ||||||||||||
| Contracts | Amount | Value | ||||||||||
| Purchased Options (5.34%) | ||||||||||||
| Put Options | ||||||||||||
| S&P 500® Index | ||||||||||||
| Expires 12/16/21, Strike Price $4,100 | 25 | $ | 11,513,450 | $ | 45,875 | |||||||
| Expires 03/17/22, Strike Price $4,100 | 76 | 35,000,888 | 600,780 | |||||||||
| Expires 03/18/22, Strike Price $3,900 | 138 | 63,554,244 | 787,290 | |||||||||
| Expires 06/16/22, Strike Price $4,100 | 95 | 43,751,110 | 1,304,350 | |||||||||
| Expires 06/17/22, Strike Price $3,900 | 244 | 112,371,272 | 2,569,320 | |||||||||
| Expires 09/15/22, Strike Price $4,100 | 400 | 184,215,200 | 7,494,000 | |||||||||
| Expires 12/15/22, Strike Price $4,000 | 88 | 40,527,344 | 1,823,800 | |||||||||
| Notional | ||||||||||||
| Contracts | Amount | Value | ||||||||||
| Purchased Options (continued) | ||||||||||||
| Expires 12/15/22, Strike Price $4,200 | 115 | $ | 52,961,870 | $ | 2,933,650 | |||||||
| Total Purchased Options | ||||||||||||
| (Cost $28,144,085) | 17,559,065 | |||||||||||
| Total Investments (97.87%) | ||||||||||||
| (Cost $343,977,357) | $ | 321,574,354 | ||||||||||
| Other Assets Less Liabilities (2.13%) | 6,991,214 | |||||||||||
| Net Assets (100.00%) | $ | 328,565,568 | ||||||||||
Percentages based on Net Assets.
Cambria Tail Risk ETF
| Investments in Securities at Value | Level 1 - Quoted and Unadjusted Prices |
Level 2 - Other Significant Observable Inputs |
Level 3 - Significant Unobservable Inputs |
Total | ||||||||||||
| U.S. Treasury | ||||||||||||||||
| Obligations | $ | – | $ | 304,015,289 | $ | – | $ | 304,015,289 | ||||||||
| Total | $ | – | $ | 304,015,289 | $ | – | $ | 304,015,289 | ||||||||
| Other Financial | ||||||||||||||||
| Instruments | ||||||||||||||||
| Purchased Options | $ | 17,559,065 | $ | – | $ | – | $ | 17,559,065 | ||||||||
| Total | $ | 17,559,065 | $ | – | $ | – | $ | 17,559,065 | ||||||||
For the period ended October 31, 2021 there have been no transfers in or out of Level 3.
Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.
| The accompanying notes are an integral part of the financial statements. | |
| 24 | www.cambriafunds.com |
| Cambria Trinity ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| Sector Weightings | ||||
| Cambria Trinity ETF | ||||
| Exchange Traded Funds | 100.00 | % | ||
| 100.00 | % | |||
Percentages based on total investments, excluding investments purchased with collateral from securities loaned.
|
Cambria Trinity ETF |
Shares | Value | ||||||
| Exchange Traded Funds (98.45%) | ||||||||
| Global (19.86%) | ||||||||
| Alternative ETF (1.03%) | ||||||||
| iM DBi Managed Futures Strategy ETF | 16,281 | $ | 473,289 | |||||
| Commodity ETF (5.24%) | ||||||||
| Invesco DB Base Metals Fund(a) | 58,245 | 1,247,608 | ||||||
| Invesco DB Energy Fund(a) | 63,657 | 1,161,103 | ||||||
| 2,408,711 | ||||||||
| Equity ETF (13.59%) | ||||||||
| Alpha Architect Value Momentum Trend ETF | 32,405 | 897,077 | ||||||
| Cambria Global Real Estate ETF*(b) | 78,263 | 2,552,814 | ||||||
| Cambria Global Value ETF* | 116,479 | 2,802,485 | ||||||
| 6,252,376 | ||||||||
| International (18.88%) | ||||||||
| Equity ETF (13.71%) | ||||||||
| Cambria Emerging Shareholder Yield ETF*(b) | 84,632 | 3,021,320 | ||||||
| Cambria Foreign Shareholder Yield ETF*(b) | 118,974 | 3,284,872 | ||||||
| 6,306,192 | ||||||||
| Fixed Income ETF (5.17%) | ||||||||
| SPDR® FTSE International Government Inflation-Protected Bond ETF(b) | 15,576 | 860,730 | ||||||
| VanEck J. P. Morgan EM Local Currency Bond ETF | 51,612 | 1,519,457 | ||||||
| 2,380,187 | ||||||||
| North America (2.55%) | ||||||||
| Commodity ETF (2.55%) | ||||||||
| iShares® Global Energy ETF(b) | 40,359 | 1,172,429 | ||||||
| Shares | Value | |||||||
| United States (57.16%) | ||||||||
| Alternative ETF (5.96%) | ||||||||
| First Trust Managed Futures Strategy Fund(b) | 25,144 | $ | 1,207,347 | |||||
| WisdomTree Managed Futures Strategy Fund | 42,219 | 1,531,705 | ||||||
| 2,739,052 | ||||||||
| Commodity ETF (7.81%) | ||||||||
| Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 162,373 | 3,593,315 | ||||||
| Equity ETF (29.35%) | ||||||||
| Cambria Shareholder Yield ETF* | 90,007 | 5,646,139 | ||||||
| Cambria Value and Momentum ETF* | 216,499 | 5,451,445 | ||||||
| Vanguard® Small-Cap ETF | 5,115 | 1,173,842 | ||||||
| Vanguard® Small-Cap Value ETF | 6,930 | 1,226,402 | ||||||
| 13,497,828 | ||||||||
| Fixed Income ETF (14.04%) | ||||||||
| Schwab US TIPS Bond ETF | 12,708 | 800,350 | ||||||
| Vanguard® Intermediate-Term Government Bond ETF | 51,678 | 3,462,426 | ||||||
| Vanguard® Total Bond Market ETF | 25,725 | 2,196,400 | ||||||
| 6,459,176 | ||||||||
| Total Exchange Traded Funds | ||||||||
| (Cost $39,798,719) | 45,282,555 | |||||||
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 25 |
| Cambria Trinity ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| Shares | Value | |||||||
| Short-Term Investment (5.00%) | ||||||||
| Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(c)(d) | 2,300,540 | $ | 2,300,540 | |||||
| Total Short-Term Investment | ||||||||
| (Cost $2,300,540) | 2,300,540 | |||||||
| Total Investments (103.45%) | ||||||||
| (Cost $42,099,259) | $ | 47,583,095 | ||||||
| Liabilities Less Other Assets (-3.45%) | ||||||||
| (1,589,038 | ) | |||||||
| Net Assets (100.00%) | ||||||||
| $ | 45,994,057 | |||||||
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) | Non-income producing security. | |
| (b) | This security or a partial position of this security is on loan at October 31, 2021. The total value of securities on loan at October 31, 2021 was $2,224,057. | |
| (c) | Rate shown is the 7-day effective yield as of October 31, 2021. | |
| (d) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of October 31, 2021 was $2,300,540. |
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. | |
| 26 | www.cambriafunds.com |
| Cambria Trinity ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
Transactions with affiliated companies during the period ended October 31, 2021 are as follows:
| Change in | ||||||||||||||||||||||||||||||||
| Unrealized | Value at | Shares at | ||||||||||||||||||||||||||||||
| Value at | Purchases | Proceeds | Appreciation/ | Realized | October 31, | October 31, | ||||||||||||||||||||||||||
| Security Name | April 30, 2021 | at Cost | from Sales | (Depreciation) | Gain/(Loss) | 2021 | 2021 | Dividends | ||||||||||||||||||||||||
| Cambria Emerging Shareholder Yield ETF | $ | 3,257,557 | $ | 101,268 | $ | – | $ | (337,505 | ) | $ | – | $ | 3,021,320 | 84,632 | $ | 150,459 | ||||||||||||||||
| Cambria Foreign Shareholder Yield ETF | 3,213,038 | 104,816 | – | (32,982 | ) | – | 3,284,872 | 118,974 | 121,370 | |||||||||||||||||||||||
| Cambria Global Real Estate ETF | 1,490,084 | 1,030,215 | – | 32,515 | – | 2,552,814 | 78,263 | 42,502 | ||||||||||||||||||||||||
| Cambria Global Tail Risk ETF | – | – | – | – | – | – | – | – | ||||||||||||||||||||||||
| Cambria Global Value ETF | 2,586,481 | 85,190 | – | 130,814 | – | 2,802,485 | 116,479 | 58,613 | ||||||||||||||||||||||||
| Cambria Shareholder Yield ETF | 5,459,364 | 182,300 | – | 4,475 | – | 5,646,139 | 90,007 | 48,818 | ||||||||||||||||||||||||
| Cambria Tail Risk ETF | – | – | – | – | – | – | – | – | ||||||||||||||||||||||||
| Cambria Value and Momentum ETF | 3,689,825 | 1,449,746 | – | 311,874 | – | 5,451,445 | 216,499 | 20,511 | ||||||||||||||||||||||||
| $ | 19,696,349 | $ | 2,953,535 | $ | – | $ | 109,191 | $ | – | $ | 22,759,075 | 704,854 | $ | 442,273 | ||||||||||||||||||
| As of October 31, 2021, 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. | |
| For the period ended October 31, 2021 there have been no transfers in or out of Level 3. | |
| Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements. |
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 27 |
| Cambria Cannabis ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| Country Composition (October 31, 2021) (Unaudited) | ||||
| United States | 52.58 | % | ||
| Canada | 31.14 | % | ||
| Great Britain | 8.50 | % | ||
| Ireland | 4.39 | % | ||
| 96.61 | % | |||
Percentages are based upon corporate bonds, U.S. Treasury obligations, common stocks, preferred stocks and convertible preferred stocks as a percentage of net assets.
| Sector Weightings | ||||
| Cambria Cannabis ETF | ||||
| Health Care | 39.88 | % | ||
| Consumer Staples | 36.94 | % | ||
| Real Estate | 12.56 | % | ||
| Materials | 5.52 | % | ||
| Consumer Discretionary | 5.10 | % | ||
| 100.00 | % | |||
Percentages based on total investments, excluding investments purchased with collateral from securities loaned.
|
Cambria Cannabis ETF |
Shares | Value | ||||||
| Common Stocks (96.61%) | ||||||||
| Consumer Discretionary (4.92%) | ||||||||
| Greenlane Holdings, Inc., Class A(a)(b) | 449,135 | $ | 768,021 | |||||
| GrowGeneration Corp.(a) | 30,487 | 642,666 | ||||||
| 1,410,687 | ||||||||
| Consumer Staples (35.69%) | ||||||||
| Altria Group, Inc. | 21,500 | 948,365 | ||||||
| British American Tobacco PLC | 34,744 | 1,210,834 | ||||||
| Constellation Brands, Inc., Class A | 8,655 | 1,876,491 | ||||||
| Imperial Brands PLC | 57,964 | 1,223,217 | ||||||
| Neptune Wellness Solutions, | ||||||||
| Inc.(a)(b) | 480,181 | 244,604 | ||||||
| NewAge, Inc.(a)(b) | 334,067 | 494,419 | ||||||
| Philip Morris International, Inc. | 12,384 | 1,170,783 | ||||||
| Turning Point Brands, Inc. | 30,186 | 1,152,200 | ||||||
| Universal Corp. | 16,168 | 759,896 | ||||||
| Village Farms International, Inc.(a)(b) | 150,844 | 1,141,889 | ||||||
| 10,222,698 | ||||||||
| Shares | Value | |||||||
| Health Care (38.53%) | ||||||||
| Arena Pharmaceuticals, Inc.(a) | 24,894 | $ | 1,428,667 | |||||
| Aurora Cannabis, Inc.(a)(b) | 88,593 | 587,372 | ||||||
| Canopy Growth Corp.(a) | 75,680 | 955,838 | ||||||
| cbdMD, Inc.(a)(b) | 195,099 | 345,325 | ||||||
| Charlottes Web Holdings, Inc.(a) | 287,894 | 469,898 | ||||||
| Cronos Group, Inc.(a) | 139,879 | 725,972 | ||||||
| HEXO Corp.(a)(b) | 122,182 | 179,607 | ||||||
| Jazz Pharmaceuticals PLC(a) | 9,454 | 1,257,760 | ||||||
| MediPharm Labs Corp.(a)(b) | 662,286 | 133,784 | ||||||
| Organigram Holdings, Inc.(a)(b) | 353,890 | 780,640 | ||||||
| Tilray, Inc.(a)(b) | 316,819 | 3,263,236 | ||||||
| Valens Co., Inc.(a)(b) | 605,139 | 909,469 | ||||||
| 11,037,568 | ||||||||
| Materials (5.34%) | ||||||||
| Scotts Miracle-Gro Co. | 10,297 | 1,528,692 | ||||||
| Real Estate (12.13%) | ||||||||
| Innovative Industrial Properties, Inc.(c) | 13,207 | 3,474,630 | ||||||
| Total Common Stocks | ||||||||
| (Cost $36,903,170) | 27,674,275 | |||||||
| Shares | Value | |||||||
| Short-Term Investment (22.58%) | ||||||||
| Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(d)(e)(f) | 6,468,814 | $ | 6,468,814 | |||||
| Total Short-Term Investment | ||||||||
| (Cost $6,468,814) | 6,468,814 | |||||||
| Total Investments (119.19%) | ||||||||
| (Cost $43,371,984) | $ | 34,143,089 | ||||||
| Liabilities Less Other Assets (-19.19%) | (5,497,347 | ) | ||||||
| Net Assets (100.00%) | $ | 28,645,742 | ||||||
| Percentages based on Net Assets. | ||||||||
| The accompanying notes are an integral part of the financial statements. | |
| 28 | www.cambriafunds.com |
| Cambria Cannabis ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| (a) | Non-income producing security. | |
| (b) | This security or a partial position of this security is on loan at October 31, 2021. The total value of securities on loan at October 31, 2021 was $5,624,903. | |
| (c) | Real Estate Investment Trust. | |
| (d) | Rate shown is the 7-day effective yield as of October 31, 2021. | |
| (e) | To obtain a copy of the fund's shareholder report, please go to the Securities and Exchange Commission's website at www.sec.gov. | |
| (f) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of October 31, 2021 was $6,468,814. |
Investment Abbreviations:
ADR - American Depository Receipt
PLC - Public Limited Company
As of October 31, 2021, 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.
For the period ended October 31, 2021 there have been no transfers in or out of Level 3.
Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 29 |
| Cambria Global Real Estate ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| Sector Weightings | ||||
| Cambria Global Real Estate ETF | ||||
| Real Estate | 100.00 | % | ||
| 100.00 | % | |||
Percentages based on total investments, excluding investments purchased with collateral from securities loaned.
| Cambria Global Real Estate ETF | Shares | Value | ||||||
| Common Stocks (97.30%)(a) | ||||||||
| Canada (9.19%) | ||||||||
| Artis Real Estate Investment Trust | 26,400 | $ | 250,006 | |||||
| Dream Industrial Real Estate Investment Trust | 27,568 | 377,568 | ||||||
| H&R Real Estate Investment Trust | 24,997 | 343,567 | ||||||
| RioCan Real Estate Investment Trust | 13,200 | 237,741 | ||||||
| Slate Office REIT | 56,400 | 234,696 | ||||||
| SmartCentres Real Estate Investment Trust | 13,791 | 347,561 | ||||||
| 1,791,139 | ||||||||
| Great Britain (1.50%) | ||||||||
| AEW UK REIT PLC(b) | 199,032 | 291,452 | ||||||
| Guernsey (1.32%) | ||||||||
| BMO Commercial Property Trust, Ltd. | 183,420 | 257,044 | ||||||
| Hong Kong (1.16%) | ||||||||
| Prosperity REIT | 576,000 | 225,795 | ||||||
| Japan (13.55%) | ||||||||
| AEON REIT Investment Corp. | 180 | 243,211 | ||||||
| Frontier Real Estate Investment Corp. | 60 | 265,321 | ||||||
| Fukuoka REIT Corp. | 156 | 231,451 | ||||||
| Hoshino Resorts REIT, Inc. | 36 | 234,683 | ||||||
| Ichigo Hotel REIT Investment Corp. | 300 | 256,635 | ||||||
| Japan Metropolitan Fund Invest | 264 | 242,053 | ||||||
| Japan Prime Realty Investment Corp. | 72 | 263,742 | ||||||
| Mirai Corp. | 480 | 221,944 | ||||||
| Ooedo Onsen Reit Investment Corp. | 324 | 231,683 | ||||||
| Samty Residential Investment Corp. | 216 | 227,797 | ||||||
| Shares | Value | |||||||
| Japan (continued) | ||||||||
| Tosei Reit Investment Corp. | 192 | $ | 221,017 | |||||
| 2,639,537 | ||||||||
| Mexico (1.44%) | ||||||||
| Concentradora Fibra Danhos SA de CV | 229,644 | 279,861 | ||||||
| Netherlands (2.23%) | ||||||||
| Eurocommercial Properties NV | 9,552 | 222,941 | ||||||
| Wereldhave NV | 13,704 | 212,439 | ||||||
| 435,380 | ||||||||
| Singapore (2.42%) | ||||||||
| AIMS APAC REIT | 226,836 | 242,228 | ||||||
| EC World Real Estate Investment Trust(b) | 386,400 | 229,232 | ||||||
| 471,460 | ||||||||
| South Africa (4.92%) | ||||||||
| Arrowhead Properties, Ltd., Class B | 1,041,528 | 271,377 | ||||||
| Hyprop Investments, Ltd. | 125,280 | 242,687 | ||||||
| SA Corporate Real Estate, Ltd. | 1,537,884 | 214,448 | ||||||
| Vukile Property Fund, Ltd. | 290,136 | 230,779 | ||||||
| 959,291 | ||||||||
| Turkey (2.13%) | ||||||||
| Sinpas Gayrimenkul Yatirim Ortakligi AS(c) | 462,552 | 193,893 | ||||||
| Yeni Gimat Gayrimenkul Ortakligi AS | 141,564 | 221,902 | ||||||
| 415,795 | ||||||||
| United States (57.44%) | ||||||||
| Alpine Income Property Trust, Inc. | 12,000 | 221,280 | ||||||
| American Finance Trust, Inc. | 27,732 | 229,621 | ||||||
| American Homes 4 Rent, Class A | 6,600 | 267,960 | ||||||
| Armada Hoffler Properties, Inc. | 19,116 | 262,080 | ||||||
| AvalonBay Communities, Inc. | 1,200 | 284,016 | ||||||
| Bluerock Residential Growth REIT, Inc. | 20,160 | 272,765 | ||||||
| Brandywine Realty Trust | 17,076 | 226,257 | ||||||
| Brixmor Property Group, Inc. | 10,488 | 245,839 | ||||||
| Broadstone Net Lease, Inc. | 8,400 | 223,356 | ||||||
| Camden Property Trust | 1,200 | 195,720 | ||||||
| Cedar Realty Trust, Inc. | 13,200 | 293,964 | ||||||
| Columbia Property Trust, Inc. | 13,572 | 260,175 | ||||||
| CubeSmart | 5,184 | 285,172 | ||||||
| Duke Realty Corp. | 4,884 | 274,676 | ||||||
| Equity Residential | 2,400 | 207,360 | ||||||
| Extra Space Storage, Inc. | 1,500 | 296,055 | ||||||
| The accompanying notes are an integral part of the financial statements. | |
| 30 | www.cambriafunds.com |
| Cambria Global Real Estate ETF | Schedule of Investments |
| October 31, 2021 (Unaudited) |
| Shares | Value | |||||||
| United States (continued) | ||||||||
| Franklin Street Properties Corp. | 44,460 | $ | 200,070 | |||||
| Highwoods Properties, Inc. | 5,304 | 237,831 | ||||||
| Industrial Logistics Properties Trust | 9,456 | 265,619 | ||||||
| Kimco Realty Corp. | 11,532 | 260,623 | ||||||
| Kite Realty Group Trust | 11,076 | 224,843 | ||||||
| Life Storage, Inc. | 2,244 | 300,270 | ||||||
| LTC Properties, Inc. | 5,400 | 172,044 | ||||||
| Mid-America Apartment Communities, Inc. | 1,200 | 245,052 | ||||||
| National Health Investors, Inc. | 3,156 | 169,730 | ||||||
| National Retail Properties, Inc. | 5,136 | 232,969 | ||||||
| Omega Healthcare Investors, Inc. | 6,252 | 183,559 | ||||||
| One Liberty Properties, Inc. | 8,856 | 276,839 | ||||||
| Paramount Group, Inc. | 25,200 | 213,696 | ||||||
| Piedmont Office Realty Trust, Inc., Class A | 12,804 | 227,399 | ||||||
| PS Business Parks, Inc. | 1,608 | 285,742 | ||||||
| Public Storage | 864 | 287,003 | ||||||
| Realty Income Corp. | 3,636 | 259,719 | ||||||
| Retail Opportunity Investments Corp. | 13,524 | 240,321 | ||||||
| Retail Value, Inc. | 11,268 | 70,538 | ||||||
| RPT Realty | 18,000 | 239,220 | ||||||
| Sabra Health Care REIT, Inc. | 14,268 | 201,892 | ||||||
| Saul Centers, Inc. | 5,424 | 251,674 | ||||||
| SITE Centers Corp. | 16,032 | 254,748 | ||||||
| Spirit Realty Capital, Inc. | 5,088 | 248,956 | ||||||
| STAG Industrial, Inc. | 6,276 | 273,194 | ||||||
| STORE Capital Corp. | 7,188 | 246,764 | ||||||
| Tanger Factory Outlet Centers, Inc.(d) | 12,324 | 207,043 | ||||||
| UMH Properties, Inc. | 11,124 | 266,309 | ||||||
| Urstadt Biddle Properties, Inc., Class A | 12,912 | 253,592 | ||||||
| Ventas, Inc. | 2,237 | 119,389 | ||||||
| VICI Properties, Inc.(d) | 7,884 | 231,395 | ||||||
| 11,194,339 | ||||||||
| Total Common Stocks | ||||||||
| (Cost $18,208,247) | 18,961,093 | |||||||
| Shares | Value | |||||||
| United States (continued) | ||||||||
| Total Investments (98.91%) | ||||||||
| (Cost $18,522,497) | $ | 19,275,343 | ||||||
| Other Assets Less Liabilities (1.09%) | 211,819 | |||||||
| Net Assets (100.00%) | $ | 19,487,162 | ||||||
Percentages based on Net Assets.
| (a) | Real Estate Investment Trust. |
| (b) | 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 October 31, 2021, the fair value of securities restricted under Rule 144A in the aggregate was $520,684, representing 2.67% of net assets. |
| (c) | Non-income producing security. |
| (d) | This security or a partial position of this security is on loan at October 31, 2021. The total value of securities on loan at October 31, 2021 was $302,525. |
Investment Abbreviations:
AS- Turkish Joint Stock Companies
NV- Dutch Public Limited Liability Companies
PLC- Public Limited Company
REIT- Real Estate Investment Trust
SA de CV- Mexican Public Limited Company with Variable Capital
As of October 31, 2021, 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.
For the period ended October 31, 2021 there have been no transfers in or out of Level 3.
Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 31 |
|
Cambria ETF Trust |
||
| October 31, 2021 (Unaudited) |
| Cambria
Shareholder Yield ETF |
Cambria
Foreign Shareholder Yield ETF |
Cambria
Global Value ETF |
Cambria
Global Momentum ETF | |||||||||||||
| Assets | ||||||||||||||||
| Unaffiliated Investments at Value* | $ | 323,955,500 | $ | 38,203,231 | $ | 115,490,339 | $ | 33,874,892 | ||||||||
| Affiliated Investments at Value | – | – | 9,499,288 | 34,841,272 | ||||||||||||
| Foreign Currency at Value | – | 21,010 | 372,223 | – | ||||||||||||
| Cash and cash equivalents | 2,625,885 | 1,702,803 | 5,376,673 | 372,233 | ||||||||||||
| Dividends receivable, Net | 186,615 | 85,017 | 383,485 | – | ||||||||||||
| Unrealized Appreciation on Foreign Currency Spot Contracts | – | 13 | – | – | ||||||||||||
| Reclaims receivable | 15,802 | 183,392 | 246,200 | – | ||||||||||||
| Other assets | 1,935 | 47 | 1,340 | 6,368 | ||||||||||||
| Total Assets | 326,785,737 | 40,195,513 | 131,369,548 | 69,094,765 | ||||||||||||
|
Liabilities |
||||||||||||||||
| Payable for collateral upon return of securities loaned | 16,458,630 | 417,830 | 1,967,547 | 6,547,246 | ||||||||||||
| Foreign Currency Overdraft at Value | 4,222 | – | – | – | ||||||||||||
| Payable due to investment adviser | 153,032 | 18,871 | 63,561 | 30,799 | ||||||||||||
| Custodian fees payable | – | – | 56,368 | – | ||||||||||||
| Total Liabilities | 16,615,884 | 436,701 | 2,087,476 | 6,578,045 | ||||||||||||
| Net Assets | $ | 310,169,853 | $ | 39,758,812 | $ | 129,282,072 | $ | 62,516,720 | ||||||||
|
Net Assets Consists of |
||||||||||||||||
| Paid-in Capital | $ | 279,261,758 | $ | 39,974,664 | $ | 145,425,794 | $ | 58,535,642 | ||||||||
| Total Distributable Earnings/(Loss) | 30,908,095 | (215,852 | ) | (16,143,722 | ) | 3,981,078 | ||||||||||
| Net Assets | $ | 310,169,853 | $ | 39,758,812 | $ | 129,282,072 | $ | 62,516,720 | ||||||||
| Outstanding Shares of Beneficial Interest (Unlimited Authorization - No Par Value) | 4,950,000 | 1,450,010 | 5,400,010 | 2,050,001 | ||||||||||||
| Net Asset Value, Offering and Redemption Price Per Share | $ | 62.66 | $ | 27.42 | $ | 23.94 | $ | 30.50 | ||||||||
| Unaffiliated Investments at Cost | $ | 311,789,773 | $ | 36,311,489 | $ | 108,485,506 | $ | 28,704,061 | ||||||||
| Affiliated Investments at Cost | $ | – | $ | – | $ | 7,027,694 | $ | 29,372,064 | ||||||||
| Cost of Foreign Currency | $ | – | $ | 21,019 | $ | 375,142 | $ | – | ||||||||
| Cost of Foreign Currency Overdraft | $ | (4,103 | ) | $ | – | $ | – | $ | – | |||||||
| *Includes value of securities on loan | $ | 25,957,095 | $ | 394,349 | $ | 1,861,750 | $ | 6,382,163 | ||||||||
|
The accompanying notes are an integral part of the financial statements. | ||
|
32 |
www.cambriafunds.com | |
|
Cambria ETF Trust |
Statements of Assets and Liabilities |
| October 31, 2021 (Unaudited) |
| Cambria
Global Asset Allocation ETF |
Cambria
Value and Momentum ETF |
Cambria
Global Tail Risk ETF |
Cambria
Emerging Shareholder Yield ETF | |||||||||||||
| Assets | ||||||||||||||||
| Unaffiliated Investments at Value* | $ | 35,273,992 | $ | 23,377,640 | $ | 5,695,955 | $ | 83,753,633 | ||||||||
| Affiliated Investments at Value | 22,026,366 | – | – | – | ||||||||||||
| Foreign Currency at Value | – | – | 31,566 | 36,743 | ||||||||||||
| Cash and cash equivalents | 424,708 | 759,656 | – | 2,540,683 | ||||||||||||
| Cash at Broker for futures contracts | – | 765,288 | – | – | ||||||||||||
| Cash at Broker for options contracts | – | – | 140,099 | – | ||||||||||||
| Dividends receivable, Net | – | 5,860 | – | 90,775 | ||||||||||||
| Reclaims receivable | – | – | 5,572 | 1,209 | ||||||||||||
| Interest receivable | – | – | 15,351 | – | ||||||||||||
| Other assets | 3,991 | 144 | 54 | 1,541 | ||||||||||||
| Total Assets | 57,729,057 | 24,908,588 | 5,888,597 | 86,365,205 | ||||||||||||
| Liabilities | ||||||||||||||||
| Payable for collateral upon return of securities loaned | 5,358,978 | 1,070,627 | 299,863 | 1,068,336 | ||||||||||||
| Cash and cash equivalents overdraft | – | – | 28,319 | – | ||||||||||||
| Variation Margin Payable | – | 19,019 | – | – | ||||||||||||
| Deferred foreign capital gains tax payable | – | – | – | 91,458 | ||||||||||||
| Payable due to investment adviser | – | 7,725 | 3,109 | 41,015 | ||||||||||||
| Custodian fees payable | – | – | – | 22,374 | ||||||||||||
| Total Liabilities | 5,358,978 | 1,097,371 | 331,291 | 1,163,804 | ||||||||||||
| Net Assets | $ | 52,370,079 | $ | 23,811,217 | $ | 5,557,306 | $ | 85,201,401 | ||||||||
| Net Assets Consists of | ||||||||||||||||
| Paid-in Capital | $ | 45,987,839 | $ | 29,094,897 | $ | 7,559,578 | $ | 78,887,522 | ||||||||
| Total Distributable Earnings/(Loss) | 6,382,240 | (5,283,680 | ) | (2,002,272 | ) | 6,313,879 | ||||||||||
| Net Assets | $ | 52,370,079 | $ | 23,811,217 | $ | 5,557,306 | $ | 85,201,401 | ||||||||
| Outstanding Shares of Beneficial Interest (Unlimited Authorization - No Par Value) | 1,650,001 | 950,004 | 250,000 | 2,400,004 | ||||||||||||
| Net Asset Value, Offering and Redemption Price Per Share | $ | 31.74 | $ | 25.06 | $ | 22.23 | $ | 35.50 | ||||||||
| Unaffiliated Investments at Cost | $ | 32,301,479 | $ | 18,929,581 | $ | 6,568,237 | $ | 78,277,344 | ||||||||
| Affiliated Investments at Cost | $ | 18,092,630 | $ | – | $ | – | $ | – | ||||||||
| Cost of Foreign Currency | $ | – | $ | – | $ | 34,191 | $ | 36,655 | ||||||||
| *Includes value of securities on loan | $ | 5,209,068 | $ | 724,728 | $ | 295,941 | $ | 985,824 | ||||||||
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 33 |
| Cambria ETF Trust |
Statements of Assets and Liabilities | |
| October 31, 2021 (Unaudited) |
| Cambria
Tail Risk ETF |
Cambria Trinity ETF | Cambria
Cannabis ETF |
Cambria
Global Real Estate ETF |
|||||||||||||
| Assets | ||||||||||||||||
| Unaffiliated Investments at Value* | $ | 321,574,354 | $ | 24,824,020 | $ | 34,143,089 | $ | 19,275,343 | ||||||||
| Affiliated Investments at Value | – | 22,759,075 | – | – | ||||||||||||
| Foreign Currency at Value | – | – | – | 40,689 | ||||||||||||
| Cash and cash equivalents | 4,632,057 | 706,859 | 936,343 | 485,743 | ||||||||||||
| Cash at Broker for options contracts | 1,635,643 | – | – | – | ||||||||||||
| Dividends receivable, Net | – | – | 38,240 | 33,494 | ||||||||||||
| Reclaims receivable | – | – | – | 3,698 | ||||||||||||
| Receivable for investments sold | – | – | – | 102,975 | ||||||||||||
| Receivable due from Advisor | – | – | 4,296 | – | ||||||||||||
| Interest receivable | 893,186 | – | – | – | ||||||||||||
| Other assets | – | 4,643 | 7,499 | 32 | ||||||||||||
| Total Assets | 328,735,240 | 48,294,597 | 35,129,467 | 19,941,974 | ||||||||||||
| Liabilities | ||||||||||||||||
| Payable for collateral upon return of securities loaned | – | 2,300,540 | 6,468,814 | 314,250 | ||||||||||||
| Payable for investments purchased | – | – | – | 130,769 | ||||||||||||
| Payable due to investment adviser | 169,672 | – | 14,911 | 9,793 | ||||||||||||
| Total Liabilities | 169,672 | 2,300,540 | 6,483,725 | 454,812 | ||||||||||||
|
Net Assets |
$ | 328,565,568 | $ | 45,994,057 | $ | 28,645,742 | $ | 19,487,162 | ||||||||
| Net Assets Consists of | ||||||||||||||||
| Paid-in Capital | $ | 407,048,871 | $ | 41,518,889 | $ | 39,463,043 | $ | 17,270,284 | ||||||||
| Total Distributable Earnings/(Loss) | (78,483,303 | ) | 4,475,168 | (10,817,301 | ) | 2,216,878 | ||||||||||
| Net Assets | $ | 328,565,568 | $ | 45,994,057 | $ | 28,645,742 | $ | 19,487,162 | ||||||||
|
Outstanding Shares of Beneficial Interest (Unlimited Authorization - No Par Value) |
18,200,002 | 1,650,002 | 2,150,002 | 600,002 | ||||||||||||
| Net Asset Value, Offering and Redemption Price Per Share | $ | 18.05 | $ | 27.88 | $ | 13.32 | $ | 32.48 | ||||||||
| Unaffiliated Investments at Cost | $ | 343,977,357 | $ | 22,799,951 | $ | 43,371,984 | $ | 18,522,497 | ||||||||
| Affiliated Investments at Cost | $ | – | $ | 19,299,308 | $ | – | $ | – | ||||||||
| Cost of Foreign Currency | $ | – | $ | – | $ | – | $ | 41,888 | ||||||||
| *Includes value of securities on loan | $ | – | $ | 2,224,057 | $ | 5,624,903 | $ | 302,525 | ||||||||
The accompanying notes are an integral part of the financial statements.
| 34 | www.cambriafunds.com |
| Cambria ETF Trust | ||
| For the Six Months Ended October 31, 2021 (Unaudited) |
|
Cambria Shareholder |
Cambria
Foreign |
Cambria Global |
Cambria Global |
|||||||||||||
| Yield ETF | ETF | Value ETF | Momentum ETF | |||||||||||||
| Investment Income: | ||||||||||||||||
| Dividend Income from Unaffiliated Investments | $ | 3,479,654 | $ | 1,195,584 | $ | 3,907,223 | $ | 164,040 | ||||||||
| Dividend Income from Affiliated Investments | – | – | 33,319 | 618,706 | ||||||||||||
| Income from Securities Lending | 5,619 | 2,899 | 17,361 | 33,472 | ||||||||||||
| Less: Foreign Taxes Withheld | – | (116,304 | ) | (676,523 | ) | – | ||||||||||
| Total Investment Income | 3,485,273 | 1,082,179 | 3,281,380 | 816,218 | ||||||||||||
| Expenses: | ||||||||||||||||
| Management Fees | 921,162 | 106,667 | 373,666 | 185,399 | ||||||||||||
| Custodian Fees | – | – | 43,318 | – | ||||||||||||
| Total Expenses | 921,162 | 106,667 | 416,984 | 185,399 | ||||||||||||
| Net Expenses | 921,162 | 106,667 | 416,984 | 185,399 | ||||||||||||
| Net Investment Income | 2,564,111 | 975,512 | 2,864,396 | 630,819 | ||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments: | ||||||||||||||||
| Net Realized Gain on Unaffiliated Investments(a) | 18,276,738 | 3,586,000 | 48,413 | 3,658,071 | ||||||||||||
| Net Realized Gain on Affiliated Investments(a) | – | – | 11,334 | 304,096 | ||||||||||||
| Net Realized Loss on Foreign Currency Transactions | – | (24,363 | ) | (67,736 | ) | – | ||||||||||
| Net Change in Unrealized Appreciation/(Depreciation) on Unaffiliated Investments | (21,953,089 | ) | (3,610,183 | ) | 3,990,210 | (1,723,852 | ) | |||||||||
| Net Change in Unrealized Appreciation/(Depreciation) on Affiliated Investments | – | – | 1,037,665 | (511,430 | ) | |||||||||||
| Net Change in Unrealized Depreciation on Foreign Currency Translation | (62 | ) | (5,603 | ) | (14,661 | ) | – | |||||||||
| Net Realized and Unrealized Gain/(Loss) on Investments | (3,676,413 | ) | (54,149 | ) | 5,005,225 | 1,726,885 | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | (1,112,302 | ) | $ | 921,363 | $ | 7,869,621 | $ | 2,357,704 | |||||||
The accompanying notes are an integral part of the financial statements.
| Semi-Annual Report | October 31, 2021 | 35 |
| Cambria ETF Trust | Statements of Operations |
| For the Six Months Ended October 31, 2021 (Unaudited) |
| Cambria Global | Cambria Value and | Cambria Global Tail | Cambria Emerging Shareholder Yield | |||||||||||||
| Asset Allocation ETF | Momentum ETF | Risk ETF | ETF | |||||||||||||
| Investment Income: | ||||||||||||||||
| Dividend Income from Unaffiliated Investments | $ | 283,886 | $ | 183,814 | $ | 78,539 | $ | 3,228,379 | ||||||||
| Dividend Income from Affiliated Investments | 562,861 | – | – | – | ||||||||||||
| Interest Income | – | – | 45,818 | – | ||||||||||||
| Income from Securities Lending | 32,299 | 2,307 | 527 | 8,204 | ||||||||||||
| Less: Foreign Taxes Withheld | – | – | 10,960 | (438,827 | ) | |||||||||||
| Total Investment Income | 879,046 | 186,121 | 135,844 | 2,797,756 | ||||||||||||
| Expenses: | ||||||||||||||||
| Management Fees | – | 66,978 | 20,284 | 216,449 | ||||||||||||
| Custodian Fees | – | – | – | 19,200 | ||||||||||||
| Total Expenses | – | 66,978 | 20,284 | 235,649 | ||||||||||||
| Net Expenses | – | 66,978 | 20,284 | 235,649 | ||||||||||||
| Net Investment Income | 879,046 | 119,143 | 115,560 | 2,562,107 | ||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments: | ||||||||||||||||
| Net Realized Gain on Unaffiliated Investments(a) | 122,004 | 2,182,653 | 1,124 | 3,500,186 | ||||||||||||
| Net Realized Gain on Affiliated Investments(a) | 166,702 | – | – | – | ||||||||||||
| Net Realized Loss on Purchased Options | – | – | (461,373 | ) | – | |||||||||||
| Net Realized Loss on Futures Contracts | – | (1,129,451 | ) | – | – | |||||||||||
| Net Realized Loss on Foreign Currency Transactions | – | – | (1,603 | ) | (73,348 | ) | ||||||||||
| Net Change in Unrealized Appreciation/(Depreciation) on Unaffiliated Investments | 438,228 | 219,217 | (111,352 | ) | (9,743,993 | ) | ||||||||||
| Net Change in Unrealized Depreciation on Affiliated Investments | (317,573 | ) | – | – | – | |||||||||||
| Net Change in Unrealized Appreciation on Purchased Options | – | – | 46,654 | – | ||||||||||||
| Net Change in Unrealized Appreciation on Futures Contracts | – | 49,336 | – | – | ||||||||||||
| Net Change in Unrealized Depreciation on Foreign Currency Translation | – | – | (4,411 | ) | (332 | ) | ||||||||||
| Change in Accumulated Foreign Capital Gains Tax on Appreciated Securities | – | – | – | 72,902 | ||||||||||||
| Net Realized and Unrealized Gain/(Loss) on Investments | 409,361 | 1,321,755 | (530,961 | ) | (6,244,585 | ) | ||||||||||
|
Net Increase/(Decrease) in Net Assets Resulting From Operations |
$ | 1,288,407 | $ | 1,440,898 | $ | (415,401 | ) | $ | (3,682,478 | ) | ||||||
| The accompanying notes are an integral part of the financial statements. | |
| 36 | www.cambriafunds.com |
| Cambria ETF Trust | Statements of Operations |
| For the Six Months Ended October 31, 2021 (Unaudited) |
| Cambria Tail Risk | Cambria Cannabis | Cambria Global Real | ||||||||||||||
| ETF | Cambria Trinity ETF | ETF | Estate ETF | |||||||||||||
| Investment Income: | ||||||||||||||||
| Dividend Income from Unaffiliated Investments | $ | – | $ | 378,476 | $ | 233,447 | $ | 626,352 | ||||||||
| Dividend Income from Affiliated Investments | – | 442,273 | – | – | ||||||||||||
| Interest Income | 1,584,634 | – | – | – | ||||||||||||
| Income from Securities Lending | – | 25,581 | 114,255 | 1,063 | ||||||||||||
| Less: Foreign Taxes Withheld | – | – | – | (27,694 | ) | |||||||||||
| Other Income | 324,563 | – | – | – | ||||||||||||
| Total Investment Income | 1,909,197 | 846,330 | 347,702 | 599,721 | ||||||||||||
| Expenses: | ||||||||||||||||
| Management Fees | 951,521 | – | 100,554 | 49,079 | ||||||||||||
| Total Expenses | 951,521 | – | 100,554 | 49,079 | ||||||||||||
| Waiver of Management Fees | – | – | (28,973 | ) | – | |||||||||||
| Net Expenses | 951,521 | – | 71,581 | 49,079 | ||||||||||||
| Net Investment Income | 957,676 | 846,330 | 276,121 | 550,642 | ||||||||||||
| Net Realized and Unrealized Gains/(Losses) on Investments: | ||||||||||||||||
| Net Realized Gain/(Loss) on Unaffiliated Investments(a) | (2,651,274 | ) | 853,426 | 1,300,437 | 858,591 | |||||||||||
| Net Realized Loss on Purchased Options | (8,574,213 | ) | – | – | – | |||||||||||
| Net Realized Gain/(Loss) on Foreign Currency Transactions | – | – | 19,916 | (28,475 | ) | |||||||||||
| Net Change in Unrealized Appreciation/(Depreciation) on Unaffiliated Investments | 4,604,726 | (288,632 | ) | (12,472,543 | ) | (697,410 | ) | |||||||||
| Net Change in Unrealized Appreciation on Affiliated Investments | – | 109,191 | – | – | ||||||||||||
| Net Change in Unrealized Depreciation on Purchased Options | (6,783,880 | ) | – | – | – | |||||||||||
| Net Change in Unrealized Appreciation/(Depreciation) on Foreign Currency Translation | – | – | 453 | (2,970 | ) | |||||||||||
| Net Realized and Unrealized Gain/(Loss) on Investments | (13,404,641 | ) | 673,985 | (11,151,737 | ) | 129,736 | ||||||||||
| Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | (12,446,965 | ) | $ | 1,520,315 | $ | (10,875,616 | ) | $ | 680,378 | ||||||
| (a) | Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements). |
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 37 |
| Cambria ETF Trust | Statements of Changes in Net Assets |
| Cambria Shareholder Yield ETF | Cambria Foreign Shareholder Yield ETF | |||||||||||||||
| Period Ended October 31, 2021 (Unaudited) |
Year Ended April 30, 2021 |
Period Ended October 31, 2021 (Unaudited) |
Year Ended April 30, 2021 |
|||||||||||||
| Operations | ||||||||||||||||
| Net investment Income | $ | 2,564,111 | $ | 1,955,149 | $ | 975,512 | $ | 732,707 | ||||||||
| Net realized Gain/(Loss) on Investments(a) | 18,276,738 | 20,935,359 | 3,586,000 | (2,026,188 | ) | |||||||||||
| Net realized Gain/(Loss) on Foreign Currency Transactions | – | 385 | (24,363 | ) | (20,864 | ) | ||||||||||
| Net Change in Unrealized Appreciation/(Depreciation) on Investments | (21,953,089 | ) | 46,816,825 | (3,610,183 | ) | 11,522,810 | ||||||||||
| Net Change in Unrealized Appreciation/(Depreciation) on Foreign Currency Translation | (62 | ) | 2,185 | (5,603 | ) | 14,724 | ||||||||||
| Net increase/(decrease) in net assets resulting from operations | (1,112,302 | ) | 69,709,903 | 921,363 | 10,223,189 | |||||||||||
| Total Dividends and Distributions to Shareholders | ||||||||||||||||
| Distributions to shareholders from distributable earnings | (2,701,989 | ) | (1,860,874 | ) | (1,313,254 | ) | (817,590 | ) | ||||||||
| Net decrease from distributions | (2,701,989 | ) | (1,860,874 | ) | (1,313,254 | ) | (817,590 | ) | ||||||||
| Capital Share Transactions | ||||||||||||||||
| Issued | 119,343,075 | 223,169,361 | 11,102,614 | 6,093,530 | ||||||||||||
| Redeemed | (83,382,099 | ) | (74,122,174 | ) | (1,367,461 | ) | (2,945,840 | ) | ||||||||
| Increase in Net Assets from Capital Share Transactions | 35,960,976 | 149,047,187 | 9,735,153 | 3,147,690 | ||||||||||||
| Total Net Increase in Net Assets | 32,146,685 | 216,896,216 | 9,343,262 | 12,553,289 | ||||||||||||
| Net Assets | ||||||||||||||||
| Beginning of Period | 278,023,168 | 61,126,952 | 30,415,550 | 17,862,261 | ||||||||||||
| End of Period | $ | 310,169,853 | $ | 278,023,168 | $ | 39,758,812 | $ | 30,415,550 | ||||||||
| Share Transactions: | ||||||||||||||||
| Issued | 1,850,000 | 3,800,000 | 400,000 | 250,000 | ||||||||||||
| Redeemed | (1,350,000 | ) | (1,400,000 | ) | (50,000 | ) | (150,000 | ) | ||||||||
| Net increase in Shares Outstanding from Share Transactions | 500,000 | 2,400,000 | 350,000 | 100,000 | ||||||||||||
| (a) | Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements). |
| The accompanying notes are an integral part of the financial statements. | |
| 38 | www.cambriafunds.com |
| Cambria ETF Trust | Statements of Changes in Net Assets |
| Cambria Global Value ETF | Cambria Global Momentum ETF | |||||||||||||||
| Period
Ended October 31, 2021 (Unaudited) |
Year
Ended April 30, 2021 |
Period
Ended October 31, 2021 (Unaudited) |
Year
Ended April 30, 2021 | |||||||||||||
| Operations | ||||||||||||||||
| Net investment Income | $ | 2,864,396 | $ | 2,893,138 | $ | 630,819 | $ | 753,531 | ||||||||
| Net realized Gain/(Loss) on Investments(a) | 59,747 | (2,644,970 | ) | 3,962,167 | 5,581,107 | |||||||||||
| Net realized Loss on Foreign Currency Transactions | (67,736 | ) | (19,096 | ) | – | – | ||||||||||
| Net Change in Unrealized Appreciation/(Depreciation) on Investments | 5,027,875 | 36,434,399 | (2,235,282 | ) | 10,801,172 | |||||||||||
| Net Change in Unrealized Appreciation/(Depreciation) on Foreign Currency Translation | (14,661 | ) | 47,728 | – | – | |||||||||||
| Net increase/(decrease) in net assets resulting from operations | 7,869,621 | 36,711,199 | 2,357,704 | 17,135,810 | ||||||||||||
| Total Dividends and Distributions to Shareholders | ||||||||||||||||
| Distributions to shareholders from distributable earnings | (2,686,202 | ) | (2,069,920 | ) | (846,344 | ) | (736,098 | ) | ||||||||
| Return of capital | – | – | – | (62,066 | ) | |||||||||||
| Net decrease from distributions | (2,686,202 | ) | (2,069,920 | ) | (846,344 | ) | (798,164 | ) | ||||||||
| Capital Share Transactions | ||||||||||||||||
| Issued | 2,411,750 | 4,441,041 | 1,542,372 | – | ||||||||||||
| Redeemed | (1,163,666 | ) | (12,819,220 | ) | (2,970,685 | ) | (32,352,992 | ) | ||||||||
| Increase/(Decrease) in Net Assets from Capital Share Transactions | 1,248,084 | (8,378,179 | ) | (1,428,313 | ) | (32,352,992 | ) | |||||||||
| Total Net Increase/(Decrease) in Net Assets | 6,431,503 | 26,263,100 | 83,047 | (16,015,346 | ) | |||||||||||
|
Net Assets |
||||||||||||||||
| Beginning of Period | 122,850,569 | 96,587,469 | 62,433,673 | 78,449,019 | ||||||||||||
| End of Period | $ | 129,282,072 | $ | 122,850,569 | $ | 62,516,720 | $ | 62,433,673 | ||||||||
| Share Transactions: | ||||||||||||||||
| Issued | 100,000 | 200,000 | 50,000 | – | ||||||||||||
| Redeemed | (50,000 | ) | (750,000 | ) | (100,000 | ) | (1,300,000 | ) | ||||||||
| Net increase/(decrease) in Shares Outstanding from Share Transactions | 50,000 | (550,000 | ) | (50,000 | ) | (1,300,000 | ) | |||||||||
| (a) | Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements). |
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 39 |
| Cambria ETF Trust | Statements of Changes in Net Assets |
| Cambria Global Asset Allocation ETF | Cambria Value and Momentum ETF | |||||||||||||||
| Period Ended October 31, 2021 (Unaudited) |
Year
Ended April 30, 2021 |
Period Ended October 31, 2021 (Unaudited) |
Year
Ended April 30, 2021 |
|||||||||||||
| Operations | ||||||||||||||||
| Net investment Income | $ | 879,046 | $ | 1,020,266 | $ | 119,143 | $ | 88,307 | ||||||||
| Net realized Gain/(Loss) on Investments(a) | 288,706 | 130,227 | 1,053,202 | (857,281 | ) | |||||||||||
| Net Change in Unrealized Appreciation on Investments | 120,655 | 12,818,022 | 268,553 | 5,049,206 | ||||||||||||
| Net increase/(decrease) in net assets resulting from operations | 1,288,407 | 13,968,515 | 1,440,898 | 4,280,232 | ||||||||||||
| Total Dividends and Distributions to Shareholders | ||||||||||||||||
| Distributions to shareholders from distributable earnings | (1,015,122 | ) | (1,293,079 | ) | (90,003 | ) | (129,877 | ) | ||||||||
| Net decrease from distributions | (1,015,122 | ) | (1,293,079 | ) | (90,003 | ) | (129,877 | ) | ||||||||
| Capital Share Transactions | ||||||||||||||||
| Issued | 1,598,155 | – | 6,202,673 | 5,459,082 | ||||||||||||
| Redeemed | (1,562,455 | ) | (10,543,847 | ) | (2,308,995 | ) | (1,860,860 | ) | ||||||||
| Increase/(Decrease) in Net Assets from Capital Share Transactions | 35,700 | (10,543,847 | ) | 3,893,678 | 3,598,222 | |||||||||||
| Total Net Increase in Net Assets | 308,985 | 2,131,589 | 5,244,573 | 7,748,577 | ||||||||||||
| Net Assets | ||||||||||||||||
| Beginning of Period | 52,061,094 | 49,929,505 | 18,566,644 | 10,818,067 | ||||||||||||
| End of Period | $ | 52,370,079 | $ | 52,061,094 | $ | 23,811,217 | $ | 18,566,644 | ||||||||
| Share Transactions: | ||||||||||||||||
| Issued | 50,000 | – | 250,000 | 250,000 | ||||||||||||
| Redeemed | (50,000 | ) | (400,000 | ) | (100,000 | ) | (100,000 | ) | ||||||||
| Net increase/(decrease) in Shares Outstanding from Share Transactions | – | (400,000 | ) | 150,000 | 150,000 | |||||||||||
| (a) | Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements). |
| The accompanying notes are an integral part of the financial statements. | |
| 40 | www.cambriafunds.com |
| Cambria ETF Trust | Statements of Changes in Net Assets |
| Cambria Global Tail Risk ETF | Cambria Emerging Shareholder Yield ETF | |||||||||||||||
| Period Ended October 31, 2021 (Unaudited) |
Year
Ended April 30, 2021(a) |
Period Ended October 31, 2021 (Unaudited) |
Year
Ended April 30, 2021 |
|||||||||||||
| Operations | ||||||||||||||||
| Net investment Income | $ | 115,560 | $ | 752,741 | $ | 2,562,107 | $ | 1,679,467 | ||||||||
| Net realized Gain/(Loss) on Investments(b) | (460,249 | ) | 542,650 | 3,500,186 | 298,974 | |||||||||||
| Net realized Loss on Foreign Currency Transactions | (1,603 | ) | (1,742,403 | ) | (73,348 | ) | (19,814 | ) | ||||||||
| Net Change in Unrealized Appreciation/(Depreciation) on | ||||||||||||||||
| Investments | (64,698 | ) | 1,832,600 | (9,743,993 | ) | 19,079,133 | ||||||||||
| Net Change in Unrealized Appreciation/(Depreciation) on Foreign | ||||||||||||||||
| Currency Translation | (4,411 | ) | 46,389 | (332 | ) | (270 | ) | |||||||||
| Change in Accumulated Foreign Capital Gains Tax on Appreciated | ||||||||||||||||
| Securities | – | – | 72,902 | (89,912 | ) | |||||||||||
| Net increase/(decrease) in net assets resulting from operations | (415,401 | ) | 1,431,977 | (3,682,478 | ) | 20,947,578 | ||||||||||
| Total Dividends and Distributions to Shareholders | ||||||||||||||||
| Distributions to shareholders from distributable earnings | – | – | (3,396,753 | ) | (1,434,973 | ) | ||||||||||
| Return of capital | – | (137,642 | ) | – | – | |||||||||||
| Net decrease from distributions | – | (137,642 | ) | (3,396,753 | ) | (1,434,973 | ) | |||||||||
| Capital Share Transactions | ||||||||||||||||
| Issued | – | – | 29,666,425 | 14,388,928 | ||||||||||||
| Redeemed | (1,129,028 | ) | (16,581,071 | ) | – | – | ||||||||||
| Increase/(Decrease) in Net Assets from Capital Share Transactions | (1,129,028 | ) | (16,581,071 | ) | 29,666,425 | 14,388,928 | ||||||||||
| Total Net Increase/(Decrease) in Net Assets | (1,544,429 | ) | (15,286,736 | ) | 22,587,194 | 33,901,533 | ||||||||||
| Net Assets | ||||||||||||||||
| Beginning of Period | 7,101,735 | 22,388,471 | 62,614,207 | 28,712,674 | ||||||||||||
| End of Period | $ | 5,557,306 | $ | 7,101,735 | $ | 85,201,401 | $ | 62,614,207 | ||||||||
| Share Transactions: | ||||||||||||||||
| Issued | – | – | 800,000 | 450,000 | ||||||||||||
| Redeemed | (50,000 | ) | (650,000 | ) | – | – | ||||||||||
|
Net increase/(decrease) in Shares Outstanding from Share Transactions |
(50,000 | ) | (650,000 | ) | 800,000 | 450,000 | ||||||||||
| (a) | Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements). |
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 41 |
| Cambria ETF Trust | Statements of Changes in Net Assets |
| Cambria Tail Risk ETF | Cambria Trinity ETF | |||||||||||||||
| Period Ended October 31, 2021 (Unaudited) |
Year Ended April 30, 2021 |
Period Ended October 31, 2021 (Unaudited) |
Year Ended April 30, 2021 |
|||||||||||||
| Operations | ||||||||||||||||
| Net investment Income | $ | 957,676 | $ | 567,405 | $ | 846,330 | $ | 683,334 | ||||||||
| Net realized Gain/(Loss) on Investments(a) | (11,225,487 | ) | (38,381,528 | ) | 853,426 | 436,007 | ||||||||||
| Net
Change in Unrealized Appreciation/(Depreciation) on Investments |
(2,179,154 | ) | (26,755,742 | ) | (179,441 | ) | 9,135,019 | |||||||||
| Net increase/(decrease) in net assets resulting from operations | (12,446,965 | ) | (64,569,865 | ) | 1,520,315 | 10,254,360 | ||||||||||
| Total Dividends and Distributions to Shareholders | ||||||||||||||||
| Distributions to shareholders from distributable earnings | (972,652 | ) | (505,834 | ) | (726,974 | ) | (727,809 | ) | ||||||||
| Net decrease from distributions | (972,652 | ) | (505,834 | ) | (726,974 | ) | (727,809 | ) | ||||||||
| Capital Share Transactions | ||||||||||||||||
| Issued | 134,298,630 | 519,630,973 | 1,422,701 | 3,840,098 | ||||||||||||
| Redeemed | (74,308,722 | ) | (305,047,736 | ) | – | (6,897,512 | ) | |||||||||
| Increase/(Decrease) in Net Assets from Capital Share Transactions | 59,989,908 | 214,583,237 | 1,422,701 | (3,057,414 | ) | |||||||||||
| Total Net Increase in Net Assets | 46,570,291 | 149,507,538 | 2,216,042 | 6,469,137 | ||||||||||||
| Net Assets | ||||||||||||||||
| Beginning of Period | 281,995,277 | 132,487,739 | 43,778,015 | 37,308,878 | ||||||||||||
| End of Period | $ | 328,565,568 | $ | 281,995,277 | $ | 45,994,057 | $ | 43,778,015 | ||||||||
| Share Transactions: | ||||||||||||||||
| Issued | 7,150,000 | 24,300,000 | 50,000 | 150,000 | ||||||||||||
| Redeemed | (4,000,000 | ) | (15,100,000 | ) | – | (300,000 | ) | |||||||||
| Net increase/(decrease) in Shares Outstanding from Share Transactions | 3,150,000 | 9,200,000 | 50,000 | (150,000 | ) | |||||||||||
| (a) | Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements). |
| The accompanying notes are an integral part of the financial statements. | |
| 42 | www.cambriafunds.com |
| Cambria ETF Trust | Statements of Changes in Net Assets |
| Cambria Cannabis ETF | Cambria Global Real Estate ETF | |||||||||||||||
| For the Period | ||||||||||||||||
| Period Ended | Period Ended | September 23, 2020 | ||||||||||||||
| October 31, 2021 | Year Ended | October 31, 2021 | (Inception) to | |||||||||||||
| (Unaudited) | April 30, 2021 | (Unaudited) | April 30, 2021 | |||||||||||||
| Operations | ||||||||||||||||
| Net investment Income | $ | 276,121 | $ | 574,483 | $ | 550,642 | $ | 183,700 | ||||||||
| Net realized Gain/(Loss) on Investments(a) | 1,300,437 | (1,466,127 | ) | 858,591 | 435,833 | |||||||||||
| Net realized Gain/(Loss) on Foreign Currency Transactions | 19,916 | 10,625 | (28,475 | ) | (2,823 | ) | ||||||||||
| Net Change in Unrealized Appreciation/(Depreciation) on | ||||||||||||||||
| Investments | (12,472,543 | ) | 9,145,840 | (697,410 | ) | 1,450,256 | ||||||||||
| Net Change in Unrealized Appreciation/(Depreciation) on Foreign | ||||||||||||||||
| Currency Translation | 453 | (784 | ) | (2,970 | ) | 1,372 | ||||||||||
| Net increase/(decrease) in net assets resulting from operations | (10,875,616 | ) | 8,264,037 | 680,378 | 2,068,338 | |||||||||||
| Total Dividends and Distributions to Shareholders | ||||||||||||||||
| Distributions to shareholders from distributable earnings | (724,710 | ) | (614,512 | ) | (375,081 | ) | (156,757 | ) | ||||||||
| Net decrease from distributions | (724,710 | ) | (614,512 | ) | (375,081 | ) | (156,757 | ) | ||||||||
| Capital Share Transactions | ||||||||||||||||
| Issued | 1,574,942 | 23,120,137 | 8,091,429 | 12,333,625 | ||||||||||||
| Redeemed | – | (1,136,066 | ) | (3,154,770 | ) | – | ||||||||||
| Increase in Net Assets from Capital Share Transactions | 1,574,942 | 21,984,071 | 4,936,659 | 12,333,625 | ||||||||||||
| Total Net Increase/(Decrease) in Net Assets | (10,025,384 | ) | 29,633,596 | 5,241,956 | 14,245,206 | |||||||||||
| Net Assets | ||||||||||||||||
| Beginning of Period | 38,671,126 | 9,037,530 | 14,245,206 | – | ||||||||||||
| End of Period | $ | 28,645,742 | $ | 38,671,126 | $ | 19,487,162 | $ | 14,245,206 | ||||||||
| Share Transactions: | ||||||||||||||||
| Issued | 100,000 | 1,350,000 | 250,000 | 450,002 | ||||||||||||
| Redeemed | – | (100,000 | ) | (100,000 | ) | – | ||||||||||
| Net increase in Shares Outstanding from Share Transactions | 100,000 | 1,250,000 | 150,000 | 450,002 | ||||||||||||
| (a) | Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements). |
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 43 |
|
Cambria Shareholder Yield ETF |
Financial Highlights |
| For a Share Outstanding Throughout the Periods Presented | |
| Period
Ended October 31, 2021 |
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
| (Unaudited) | April 30, 2021 | April 30, 2020 | April 30, 2019 | April 30, 2018 | April 30, 2017 | |||||||||||||||||||
| Net Asset Value, Beginning of Year/Period | $ | 62.48 | $ | 29.82 | $ | 37.47 | $ | 37.98 | $ | 33.97 | $ | 28.62 | ||||||||||||
| Income/(loss) from investment operations: | ||||||||||||||||||||||||
| Net Investment Income(a) | 0.52 | 0.88 | 0.86 | 0.79 | 0.64 | 0.50 | ||||||||||||||||||
| Net Realized and Unrealized Gain (Loss) on Investments | 0.20 | 32.60 | (7.66 | ) | (0.40 | ) | 3.94 | 5.35 | ||||||||||||||||
| Total from Operations | 0.72 | 33.48 | (6.80 | ) | 0.39 | 4.58 | 5.85 | |||||||||||||||||
| Distributions: | ||||||||||||||||||||||||
| Distributions from Net Investment Income | (0.54 | ) | (0.82 | ) | (0.85 | ) | (0.90 | ) | (0.54 | ) | (0.50 | ) | ||||||||||||
| Distributions from Net Realized Gains | – | – | – | – | (0.03 | ) | – | |||||||||||||||||
| Total Distributions | (0.54 | ) | (0.82 | ) | (0.85 | ) | (0.90 | ) | (0.57 | ) | (0.50 | ) | ||||||||||||
| Net Asset Value, End of Year/Period | $ | 62.66 | $ | 62.48 | $ | 29.82 | $ | 37.47 | $ | 37.98 | $ | 33.97 | ||||||||||||
| Total Return(b) | 1.16 | % | 113.92 | % | (18.43 | )% | 1.10 | % | 13.58 | % | 20.62 | % | ||||||||||||
| Ratios and Supplemental Data | ||||||||||||||||||||||||
| Net Assets, End of Year/Period (in 000s) | $ | 310,170 | $ | 278,023 | $ | 61,127 | $ | 112,414 | $ | 142,440 | $ | 125,682 | ||||||||||||
| Ratio of Expenses to Average Net Assets | 0.59 | %(c) | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | ||||||||||||
| Ratio of Net Investment | ||||||||||||||||||||||||
| Income/(Loss) to Average Net Assets | 1.64 | %(c) | 1.95 | % | 2.40 | % | 2.13 | % | 1.77 | % | 1.63 | % | ||||||||||||
| Portfolio Turnover(b)(d) | 21 | % | 37 | % | 30 | % | 28 | % | 16 | % | 50 | % | ||||||||||||
| (a) | Per share data calculated using the average shares method. |
| (b) | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares. |
| (c) | Annualized. |
| (d) | Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions. |
| The accompanying notes are an integral part of the financial statements. | |
| 44 | www.cambriafunds.com |
|
Cambria Foreign Shareholder Yield ETF |
Financial Highlights |
| For a Share Outstanding Throughout the Periods Presented | |
| Period Ended | ||||||||||||||||||||||||
|
October 31, 2021 (Unaudited) |
Year Ended April 30, 2021 |
Year Ended April 30, 2020 |
Year Ended April 30, 2019 |
Year Ended April 30, 2018 |
Year Ended April 30, 2017 |
|||||||||||||||||||
| Net Asset Value, Beginning of Year/Period | $ | 27.65 | $ | 17.86 | $ | 23.56 | $ | 26.58 | $ | 23.03 | $ | 21.20 | ||||||||||||
| Income/(loss) from investment operations: | ||||||||||||||||||||||||
| Net Investment Income(a) | 0.76 | 0.75 | 0.90 | 1.06 | 0.70 | 0.81 | ||||||||||||||||||
| Net Realized and Unrealized Gain (Loss) on Investments | 0.03 | 9.86 | (5.60 | ) | (2.79 | ) | 3.60 | 1.59 | ||||||||||||||||
| Total from Operations | 0.79 | 10.61 | (4.70 | ) | (1.73 | ) | 4.30 | 2.40 | ||||||||||||||||
| Distributions: | ||||||||||||||||||||||||
| Distributions from Net Investment Income | (1.02 | ) | (0.82 | ) | (1.00 | ) | (1.29 | ) | (0.75 | ) | (0.57 | ) | ||||||||||||
| Total Distributions | (1.02 | ) | (0.82 | ) | (1.00 | ) | (1.29 | ) | (0.75 | ) | (0.57 | ) | ||||||||||||
| Net Asset Value, End of Year/Period | $ | 27.42 | $ | 27.65 | $ | 17.86 | $ | 23.56 | $ | 26.58 | $ | 23.03 | ||||||||||||
|
Total Return(b) |
2.86 | % | 60.72 | % | (20.47 | )% | (6.34 | )% | 19.03 | % | 11.93 | % | ||||||||||||
| Ratios and Supplemental Data | ||||||||||||||||||||||||
| Net Assets, End of Year/Period (in 000s) | $ | 39,759 | $ | 30,416 | $ | 17,862 | $ | 27,095 | $ | 46,511 | $ | 42,605 | ||||||||||||
| Ratio of Expenses to Average Net Assets | 0.59 | %(c) | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | ||||||||||||
| Ratio of Net Investment Income/(Loss) to Average Net Assets | 5.40 | %(c) | 3.29 | % | 4.04 | % | 4.32 | % | 2.78 | % | 3.80 | % | ||||||||||||
| Portfolio Turnover(b)(d) | 34 | % | 59 | % | 47 | % | 53 | % | 44 | % | 43 | % | ||||||||||||
| (a) | Per share data calculated using the average shares method. |
| (b) | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares. |
| (c) | Annualized. |
| (d) | Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions. |
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 45 |
| Cambria Global Value ETF | Financial Highlights |
| For a Share Outstanding Throughout the Periods Presented |
| Period Ended | ||||||||||||||||||||||||
| October 31, 2021 | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
| (Unaudited) | April 30, 2021 | April 30, 2020 | April 30, 2019 | April 30, 2018 | April 30, 2017 | |||||||||||||||||||
| Net Asset Value, Beginning of Year/Period | $ | 22.96 | $ | 16.37 | $ | 23.37 | $ | 26.05 | $ | 22.66 | $ | 19.29 | ||||||||||||
| Income/(loss) from investment operations: | ||||||||||||||||||||||||
| Net Investment Income(a) | 0.54 | 0.53 | 0.62 | 0.64 | 0.56 | 0.50 | ||||||||||||||||||
| Net Realized and Unrealized Gain (Loss) on Investments | 0.94 | 6.44 | (6.91 | ) | (2.33 | ) | 3.34 | 3.38 | ||||||||||||||||
| Total from Operations | 1.48 | 6.97 | (6.29 | ) | (1.69 | ) | 3.90 | 3.88 | ||||||||||||||||
| Distributions: | ||||||||||||||||||||||||
| Distributions from Net Investment Income | (0.50 | ) | (0.38 | ) | (0.71 | ) | (0.61 | ) | (0.51 | ) | (0.51 | ) | ||||||||||||
| Distributions from Net Realized Gains | – | – | – | (0.38 | ) | – | – | |||||||||||||||||
| Total Distributions | (0.50 | ) | (0.38 | ) | (0.71 | ) | (0.99 | ) | (0.51 | ) | (0.51 | ) | ||||||||||||
| Net Asset Value, End of Year/Period | $ | 23.94 | $ | 22.96 | $ | 16.37 | $ | 23.37 | $ | 26.05 | $ | 22.66 | ||||||||||||
| Total Return(b) | 6.51 | % | 43.20 | % | (27.71 | )% | (6.24 | )% | 17.42 | % | 20.85 | % | ||||||||||||
| Ratios and Supplemental Data | ||||||||||||||||||||||||
| Net
Assets, End of Year/Period (in 000s) |
$ | 129,282 | $ | 122,851 | $ | 96,587 | $ | 158,894 | $ | 210,975 | $ | 112,190 | ||||||||||||
| Ratio of Expenses to Average Net Assets | 0.66 | %(c) | 0.66 | % | 0.65 | % | 0.69 | % | 0.68 | % | 0.68 | % | ||||||||||||
| Ratio of Net Investment Income/(Loss) to Average Net Assets | 4.52 | %(c) | 2.75 | % | 2.84 | % | 2.74 | % | 2.22 | % | 2.48 | % | ||||||||||||
| Portfolio Turnover(b)(d) | 1 | % | 14 | % | 25 | % | 20 | % | 14 | % | 16 | % | ||||||||||||
| (a) | Per share data calculated using the average shares method. |
| (b) | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares. |
| (c) | Annualized. |
| (d) | Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions. |
| The accompanying notes are an integral part of the financial statements. | |
| 46 | www.cambriafunds.com |
| Cambria Global Momentum ETF | Financial Highlights |
| For a Share Outstanding Throughout the Periods Presented |
| Period
Ended October 31, 2021 (Unaudited) |
Year
Ended |
Year
Ended April 30, 2020 |
Year
Ended April 30, 2019 |
Year
Ended April 30, 2018 |
Year
Ended |
|||||||||||||||||||
| Net Asset Value, Beginning of Year/Period | $ | 29.73 | $ | 23.07 | $ | 25.09 | $ | 27.39 | $ | 24.72 | $ | 22.78 | ||||||||||||
| Income/(loss) from investment operations: | ||||||||||||||||||||||||
| Net Investment Income(a) | 0.30 | 0.29 | 0.56 | 0.62 | 0.42 | 0.42 | ||||||||||||||||||
| Net Realized and Unrealized Gain (Loss) on Investments | 0.88 | 6.69 | 2.02 | (2.33 | ) | 2.75 | 1.95 | |||||||||||||||||
| Total from Operations | 1.18 | 6.98 | (1.46 | ) | (1.71 | ) | 3.17 | 2.37 | ||||||||||||||||
| Distributions: | ||||||||||||||||||||||||
| Distributions from Net Investment Income | (0.41 | ) | (0.30 | ) | (0.54 | ) | (0.59 | ) | (0.50 | ) | (0.40 | ) | ||||||||||||
| Return of Capital | – | (0.02 | ) | (0.02 | ) | – | – | (0.03 | ) | |||||||||||||||
| Total Distributions | (0.41 | ) | (0.32 | ) | (0.56 | ) | (0.59 | ) | (0.50 | ) | (0.43 | ) | ||||||||||||
| Net Asset Value, End of Year/Period | $ | 30.50 | $ | 29.73 | $ | 23.07 | $ | 25.09 | $ | 27.39 | $ | 24.72 | ||||||||||||
|
Total Return(b) |
4.00 | % | 30.49 | % | (6.02 | )% | (6.23 | )% | 12.97 | % | 10.52 | % | ||||||||||||
| Ratios and Supplemental Data | ||||||||||||||||||||||||
| Net Assets, End of Year/Period (in 000s) | $ | 62,517 | $ | 62,434 | $ | 78,449 | $ | 129,199 | $ | 105,457 | $ | 59,328 | ||||||||||||
| Ratio of Expenses to Average Net Assets(c) | 0.59 | %(d) | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | ||||||||||||
| Ratio of Net Investment Income/(Loss) to Average Net Assets(e) | 2.01 | %(d) | 1.13 | % | 2.25 | % | 2.39 | % | 1.57 | % | 1.78 | % | ||||||||||||
| Portfolio Turnover(b)(f) | 27 | % | 115 | % | 251 | % | 204 | % | 50 | % | 106 | % | ||||||||||||
| (a) | Per share data calculated using the average shares method. | |
| (b) | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares. | |
| (c) | Expense ratios do not include expenses of the underlying funds. | |
| (d) | Annualized. | |
| (e) | Recognition of net investment income by the Fund is affected by the timing of declarations of dividends by the underling investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies in which the Fund invests. | |
| (f) | Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions. |
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 47 |
| Cambria Global Asset Allocation ETF | Financial Highlights |
| For a Share Outstanding Throughout the Periods Presented |
|
Period Ended October 31, 2021 |
Year
Ended April 30, 2021 |
Year
Ended April 30, 2020 |
Year
Ended April 30, 2019 |
Year
Ended April 30, 2018 |
Year
Ended April 30, 2017 |
|||||||||||||||||||
| Net Asset Value, Beginning of Year/Period | $ | 31.55 | $ | 24.36 | $ | 26.82 | $ | 27.38 | $ | 25.64 | $ | 24.15 | ||||||||||||
| Income/(loss) from investment operations: | ||||||||||||||||||||||||
| Net Investment Income(a) | 0.52 | 0.58 | 0.86 | 0.75 | 0.74 | 0.65 | ||||||||||||||||||
| Net Realized and Unrealized Gain (Loss) on Investments | 0.27 | 7.33 | (2.36 | ) | (0.53 | ) | 1.66 | 1.51 | ||||||||||||||||
| Total from Operations | 0.79 | 7.91 | (1.50 | ) | 0.22 | 2.40 | 2.16 | |||||||||||||||||
| Distributions: | ||||||||||||||||||||||||
| Distributions from Net Investment Income | (0.60 | ) | (0.72 | ) | (0.85 | ) | (0.77 | ) | (0.66 | ) | (0.67 | ) | ||||||||||||
| Distributions from Net Realized Gains | – | – | (0.11 | ) | (0.01 | ) | – | – | ||||||||||||||||
| Total Distributions | (0.60 | ) | (0.72 | ) | (0.96 | ) | (0.78 | ) | (0.66 | ) | (0.67 | ) | ||||||||||||
| Net Asset Value, End of Year/Period | $ | 31.74 | $ | 31.55 | $ | 24.36 | $ | 26.82 | $ | 27.38 | $ | 25.64 | ||||||||||||
| Total Return(b) | 2.51 | % | 33.00 | % | (5.87 | )% | 0.91 | % | 9.43 | % | 9.08 | % | ||||||||||||
| Ratios and Supplemental Data | ||||||||||||||||||||||||
| Net Assets, End of Year/Period (in 000s) | $ | 52,370 | $ | 52,061 | $ | 49,930 | $ | 64,368 | $ | 67,073 | $ | 37,182 | ||||||||||||
| Ratio of Expenses to Average Net Assets(c) | 0.00 | %(d) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||||
| Ratio of Net Investment Income/(Loss) to Average Net Assets(e) | 3.27 | %(d) | 2.07 | % | 3.24 | % | 2.85 | % | 2.72 | % | 2.62 | % | ||||||||||||
| Portfolio Turnover(b)(f) | 0 | % | 20 | % | 9 | % | 2 | % | 30 | % | 9 | % | ||||||||||||
| (a) | Per share data calculated using the average shares method. | |
| (b) | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares. | |
| (c) | Expense ratios do not include expenses of the underlying funds. | |
| (d) | Annualized. | |
| (e) | Recognition of net investment income by the Fund is affected by the timing of declarations of dividends by the underling investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies in which the Fund invests. | |
| (f) | Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions. |
| The accompanying notes are an integral part of the financial statements. | |
| 48 | www.cambriafunds.com |
| Cambria Value and Momentum ETF | Financial Highlights |
| For a Share Outstanding Throughout the Periods Presented |
| Period Ended October 31, 2021 (Unaudited) |
Year Ended |
Year Ended April 30, 2020 |
Year Ended April 30, 2019 |
Year Ended April 30, 2018 |
Year Ended April 30, 2017 |
||||||||||||||
| Net Asset Value, Beginning of Year/Period | $ | 23.21 | $ | 16.64 | $ | 20.83 | $ | 25.09 | $ | 23.69 | $ | 22.69 | |||||||
| Income/(loss) from investment operations: | |||||||||||||||||||
| Net Investment Income(a) | 0.13 | 0.14 | 0.18 | 0.21 | 0.24 | 0.12 | |||||||||||||
| Net Realized and Unrealized Gain (Loss) on Investments | 1.81 | 6.63 | (4.17 | ) | (4.23 | ) | 1.27 | 1.01 | |||||||||||
| Total from Operations | 1.94 | 6.77 | (3.99 | ) | (4.02 | ) | 1.51 | 1.13 | |||||||||||
| Distributions: | |||||||||||||||||||
| Distributions from Net Investment Income | (0.09 | ) | (0.20 | ) | (0.20 | ) | (0.24 | ) | (0.11 | ) | (0.13 | ) | |||||||
| Total Distributions | (0.09 | ) | (0.20 | ) | (0.20 | ) | (0.24 | ) | (0.11 | ) | (0.13 | ) | |||||||
| Net Asset Value, End of Year/Period | $ | 25.06 | $ | 23.21 | $ | 16.64 | $ | 20.83 | $ | 25.09 | $ | 23.69 | |||||||
| Total Return(b) | 8.39 | % | 41.05 | % | (19.32 | )% | (16.10 | )% | 6.40 | % | 4.98 | % | |||||||
| Ratios and Supplemental Data | |||||||||||||||||||
| Net Assets, End of Year/Period (in 000s) | $ | 23,811 | $ | 18,567 | $ | 10,818 | $ | 19,790 | $ | 32,617 | $ | 8,291 | |||||||
| Ratio of Expenses to Average Net Assets | 0.59 | %(c) | 0.61 | %(d) | 0.63 | %(e) | 0.64 | %(f) | 0.65 | %(g) | 0.66 | %(h) | |||||||
| Ratio of Net Investment Income/(Loss) to Average Net Assets | 1.05 | %(c) | 0.70 | % | 0.92 | % | 0.86 | % | 1.00 | % | 0.50 | % | |||||||
|
Portfolio Turnover(b)(i) |
37 | % | 97 | % | 76 | % | 89 | % | 93 | % | 76 | % | |||||||
| (a) | Per share data calculated using the average shares method. | |
| (b) | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares. | |
| (c) | Annualized. | |
| (d) | Includes broker expense of 0.02%. | |
| (e) | Includes broker expense of 0.04%. | |
| (f) | Includes broker expense of 0.05%. | |
| (g) | Includes broker expense of 0.06%. | |
| (h) | Includes broker expense of 0.07%. | |
| (i) | Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions. |
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 49 |
| Cambria Global Tail Risk ETF | Financial Highlights |
| For a Share Outstanding Throughout the Periods Presented |
|
Period
Ended |
Year
Ended |
Year
Ended April 30, 2020 |
Year
Ended April 30, 2019 |
Year
Ended April 30, 2018 |
Year
Ended April 30, 2017 |
|||||||||||||||||||
| Net Asset Value, Beginning of Year/Period | $ | 23.67 | $ | 23.57 | $ | 24.83 | $ | 27.57 | $ | 27.20 | $ | 26.99 | ||||||||||||
| Income/(loss) from investment operations: | ||||||||||||||||||||||||
| Net Investment Income(b) | 0.39 | 0.94 | 1.18 | 1.18 | 1.39 | 1.04 | ||||||||||||||||||
| Net Realized and Unrealized Gain (Loss) on Investments | (1.83 | )(c) | (0.69 | )(c) | (1.36 | ) | (2.70 | ) | 0.64 | (c) | 0.14 | |||||||||||||
| Total from Operations | (1.44 | ) | 0.25 | (0.18 | ) | (1.52 | ) | 2.03 | 1.18 | |||||||||||||||
|
Distributions: |
||||||||||||||||||||||||
| Distributions
from Net Investment Income |
– | – | (0.96 | ) | (1.09 | ) | (1.44 | ) | (0.93 | ) | ||||||||||||||
| Distributions from Net Realized Gains | – | – | (0.12 | ) | (0.13 | ) | (0.22 | ) | (0.04 | ) | ||||||||||||||
| Return of Capital | – | (0.15 | ) | – | – | – | – | |||||||||||||||||
| Total Distributions | – | (0.15 | ) | (1.08 | ) | (1.22 | ) | (1.66 | ) | (0.97 | ) | |||||||||||||
| Net Asset Value, End of Year/Period | $ | 22.23 | $ | 23.67 | $ | 23.57 | $ | 24.83 | $ | 27.57 | $ | 27.20 | ||||||||||||
| Total Return(d) | (6.08 | )% | 1.03 | % | (1.00 | )% | (5.44 | )% | 7.56 | % | 4.51 | % | ||||||||||||
| Ratios and Supplemental Data | ||||||||||||||||||||||||
| Net Assets, End of Year/Period (in 000s) | $ | 5,557 | $ | 7,102 | $ | 22,388 | $ | 18,623 | $ | 19,299 | $ | 9,521 | ||||||||||||
| Ratio of Expenses to Average Net Assets | 0.59 | %(e) | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | ||||||||||||
| Ratio of Net Investment | ||||||||||||||||||||||||
| Income/(Loss) to Average Net Assets | 3.36 | %(e) | 3.71 | % | 4.72 | % | 4.69 | % | 4.97 | % | 3.88 | % | ||||||||||||
| Portfolio Turnover(d)(f) | 1 | % | 53 | % | 36 | % | 37 | % | 25 | % | 86 | % | ||||||||||||
| (a) | Prior to March 15, 2021, the Cambria Global Tail Risk ETF was known as the Cambria Sovereign Bond ETF. | |
| (b) | Per share data calculated using the average shares method. | |
| (c) | The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains of investments for the period because of the sales and repurchases of the fund shares in relation to fluctuating market value of the investments of the fund. | |
| (d) | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares. | |
| (e) | Annualized. | |
| (f) | Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions. |
| The accompanying notes are an integral part of the financial statements. | |
| 50 | www.cambriafunds.com |
|
Cambria Emerging Shareholder Yield ETF |
Financial Highlights |
|
For a Share Outstanding Throughout the Periods Presented |
|
Period Ended |
Year Ended April 30, 2021 |
Year Ended April 30, 2020 |
Year Ended April 30, 2019 |
Year Ended April 30, 2018 |
Period Ended April 30, 2017(a) |
|||||||||||||||||||
| Net Asset Value, Beginning of Year/Period | $ | 39.13 | $ | 24.97 | $ | 31.38 | $ | 35.83 | $ | 29.40 | $ | 25.00 | ||||||||||||
| Income/(loss) from investment operations: | ||||||||||||||||||||||||
| Net Investment Income(b) | 1.31 | 1.27 | 1.30 | 1.29 | 1.01 | 0.43 | ||||||||||||||||||
| Net Realized and Unrealized Gain (Loss) on Investments | (3.16 | ) | 14.04 | (6.35 | ) | (3.58 | ) | 6.40 | 4.18 | |||||||||||||||
| Total from Operations | (1.85 | ) | 15.31 | (5.05 | ) | (2.29 | ) | 7.41 | 4.61 | |||||||||||||||
| Distributions: | ||||||||||||||||||||||||
| Distributions from Net Investment Income | (1.78 | ) | (1.15 | ) | (1.36 | ) | (1.05 | ) | (0.98 | ) | (0.21 | ) | ||||||||||||
| Distributions from Net Realized Gains | – | – | – | (1.11 | ) | – | – | |||||||||||||||||
| Total Distributions | (1.78 | ) | (1.15 | ) | (1.36 | ) | (2.16 | ) | (0.98 | ) | (0.21 | ) | ||||||||||||
| Net Asset Value, End of Year/Period | $ | 35.50 | $ | 39.13 | $ | 24.97 | $ | 31.38 | $ | 35.83 | $ | 29.40 | ||||||||||||
| Total Return(c) | (4.88 | )% | 63.04 | % | (16.89 | )% | (5.80 | )% | 25.75 | % | 18.57 | % | ||||||||||||
| Ratios and Supplemental Data | ||||||||||||||||||||||||
|
Net Assets, End of Year/Period (in 000s) |
$ | 85,201 | $ | 62,614 | $ | 28,713 | $ | 20,395 | $ | 30,458 | $ | 11,759 | ||||||||||||
| Ratio of Expenses to Average Net Assets | 0.64 | %(d) | 0.65 | % | 0.69 | % | 0.66 | % | 0.65 | % | 0.69 | %(d) | ||||||||||||
| Ratio of Net Investment Income/(Loss) to Average Net Assets | 6.98 | %(d) | 4.00 | % | 4.38 | % | 4.09 | % | 2.99 | % | 2.00 | %(d) | ||||||||||||
| Portfolio Turnover(c)(e) | 27 | % | 29 | % | 81 | % | 115 | % | 26 | % | 33 | % | ||||||||||||
| (a) | Inception date July 13, 2016. |
| (b) | Per share data calculated using the average shares method. |
| (c) | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares. |
| (d) | Annualized. |
| (e) | Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions. |
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 51 |
| Cambria Tail Risk ETF | Financial Highlights |
|
For a Share Outstanding Throughout the Periods Presented |
|
Period
Ended (Unaudited) |
Year Ended April 30, 2021 |
Year Ended April 30, 2020 |
Year Ended April 30, 2019 |
Year Ended April 30, 2018 |
Period Ended April 30, 2017(a) |
|||||||||||||||||||
| Net Asset Value, Beginning of Year/Period | $ | 18.74 | $ | 22.65 | $ | 19.87 | $ | 21.58 | $ | 24.74 | $ | 25.00 | ||||||||||||
| Income/(loss) from investment operations: | ||||||||||||||||||||||||
| Net Investment Income(b) | 0.06 | 0.04 | 0.27 | 0.39 | 0.38 | 0.02 | (a) | |||||||||||||||||
| Net Realized and Unrealized Gain (Loss) on Investments | (0.69 | ) | 3.92 | 2.77 | (1.73 | ) | (3.27 | ) | (0.28 | ) | ||||||||||||||
| Total from Operations | (0.63 | ) | 3.88 | 3.04 | (1.34 | ) | (2.89 | ) | (0.26 | ) | ||||||||||||||
| Distributions: | ||||||||||||||||||||||||
| Distributions from Net Investment Income | (0.06 | ) | (0.03 | ) | (0.26 | ) | (0.37 | ) | (0.27 | ) | – | |||||||||||||
| Total Distributions | (0.06 | ) | (0.03 | ) | (0.26 | ) | (0.37 | ) | (0.27 | ) | – | |||||||||||||
| Net Asset Value, End of Year/Period | $ | 18.05 | $ | 18.74 | $ | 22.65 | $ | 19.87 | $ | 21.58 | $ | 24.74 | ||||||||||||
| Total Return(c) | (3.39 | )% | (17.13 | )% | 15.47 | % | (6.31 | )% | (11.74 | )% | (1.04 | )% | ||||||||||||
| Ratios and Supplemental Data | ||||||||||||||||||||||||
| Net Assets, End of Year/Period (in 000s) | $ | 328,566 | $ | 281,995 | $ | 132,488 | $ | 37,745 | $ | 22,658 | $ | 2,474 | ||||||||||||
| Ratio of Expenses to Average Net Assets | 0.59 | %(d) | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | %(d) | ||||||||||||
| Ratio of Net Investment Income/(Loss) to Average Net Assets | 0.59 | %(d) | 0.18 | % | 1.31 | % | 1.89 | % | 1.66 | % | 1.38 | %(d) | ||||||||||||
| Portfolio Turnover(c)(e) | 0 | % | 155 | % | 19 | % | 56 | % | 56 | % | 0 | % | ||||||||||||
| (a) | Inception date April 5, 2017. |
| (b) | Per share data calculated using the average shares method. |
| (c) | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares. |
| (d) | Annualized. |
| (e) | Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions. |
| The accompanying notes are an integral part of the financial statements. | |
| 52 | www.cambriafunds.com |
| Cambria Trinity ETF | Financial Highlights |
| For a Share Outstanding Throughout the Periods Presented |
|
Period
Ended (Unaudited) |
Year Ended April 30, 2021 |
Year Ended April 30, 2020 |
Period Ended April 30, 2019(a) |
|||||||||||||
| Net Asset Value, Beginning of Year/Period | $ | 27.36 | $ | 21.32 | $ | 24.22 | $ | 25.00 | ||||||||
| Income/(loss) from investment operations: | ||||||||||||||||
| Net Investment Income(b) | 0.52 | 0.42 | 0.65 | 0.39 | ||||||||||||
| Net Realized and Unrealized Gain (Loss) on Investments | 0.44 | 6.07 | (2.91 | ) | (0.83 | ) | ||||||||||
| Total from Operations | 0.96 | 6.49 | (2.26 | ) | (0.44 | ) | ||||||||||
| Distributions: | ||||||||||||||||
| Distributions from Net Investment Income | (0.44 | ) | (0.45 | ) | (0.62 | ) | (0.34 | ) | ||||||||
| Distributions from Net Realized Gains | – | – | (0.02 | ) | – | |||||||||||
| Total Distributions | (0.44 | ) | (0.45 | ) | (0.64 | ) | (0.34 | ) | ||||||||
| Net Asset Value, End of Year/Period | $ | 27.88 | $ | 27.36 | $ | 21.32 | $ | 24.22 | ||||||||
| Total Return(c) | 3.54 | % | 30.81 | % | (9.57 | )% | (1.71 | )% | ||||||||
| Ratios and Supplemental Data | ||||||||||||||||
| Net Assets, End of Year/Period (in 000s) | $ | 45,994 | $ | 43,778 | $ | 37,309 | $ | 30,280 | ||||||||
| Ratio of Expenses to Average Net Assets(d) | 0.00 | %(e) | 0.00 | % | 0.00 | % | 0.00 | %(e) | ||||||||
| Ratio of Net Investment Income/(Loss) to Average Net Assets(f) | 3.70 | %(e) | 1.77 | % | 2.74 | % | 2.55 | %(e) | ||||||||
| Portfolio Turnover(c)(g) | 10 | % | 50 | % | 88 | % | 0 | % | ||||||||
| (a) | Inception date September 7, 2018. |
| (b) | Per share data calculated using the average shares method. |
| (c) | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares. |
| (d) | Expense ratios do not include expenses of the underlying funds. |
| (e) | Annualized. |
| (f) | Recognition of net investment income by the Fund is affected by the timing of declarations of dividends by the underling investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies in which the Fund invests. |
| (g) | Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions. |
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 53 |
| Cambria Cannabis ETF | Financial Highlights |
| For a Share Outstanding Throughout the Periods Presented |
|
Period
Ended (Unaudited) |
Year Ended April 30, 2021 |
Period Ended April 30, 2020(a) |
||||||||||
| Net Asset Value, Beginning of Year/Period | $ | 18.86 | $ | 11.30 | $ | 25.00 | ||||||
| Income/(loss) from investment operations: | ||||||||||||
| Net Investment Income(b) | 0.13 | 0.47 | 0.70 | |||||||||
| Net Realized and Unrealized Gain (Loss) on Investments | (5.32 | ) | 7.63 | (13.87 | ) | |||||||
| Total from Operations | (5.19 | ) | 8.10 | (13.17 | ) | |||||||
| Distributions: | ||||||||||||
| Distributions from Net Investment Income | (0.35 | ) | (0.54 | ) | (0.52 | ) | ||||||
| Distributions from Net Realized Gains | – | – | (0.01 | ) | ||||||||
| Total Distributions | (0.35 | ) | (0.54 | ) | (0.53 | ) | ||||||
| Net Asset Value, End of Year/Period | $ | 13.32 | $ | 18.86 | $ | 11.30 | ||||||
| Total Return(c) | (27.93 | )% | 73.84 | % | (53.04 | )% | ||||||
| Ratios and Supplemental Data | ||||||||||||
| Net Assets, End of Year/Period (in 000s) | $ | 28,646 | $ | 38,671 | $ | 9,038 | ||||||
| Ratio of Expenses to Average Net Assets Including Waivers | 0.42 | %(d) | 0.42 | % | 0.42 | %(d) | ||||||
| Ratio of Expenses to Average Net Assets Excluding Waivers | 0.59 | %(d) | 0.59 | % | 0.59 | %(d) | ||||||
| Ratio of Net Investment Income/(Loss) to Average Net Assets | 1.62 | %(d) | 2.94 | % | 6.20 | %(d) | ||||||
| Portfolio Turnover(c)(e) | 30 | % | 8 | % | 4 | % | ||||||
| (a) | Inception date July 24, 2019 |
| (b) | Per share data calculated using the average shares method. |
| (c) | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares. |
| (d) | Annualized. |
| (e) | Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions. |
| The accompanying notes are an integral part of the financial statements. | |
| 54 | www.cambriafunds.com |
| Cambria Global Real Estate ETF | Financial Highlights |
| For a Share Outstanding Throughout the Periods Presented |
|
Period
Ended (Unaudited) |
Period
Ended |
|||||||
| Net Asset Value, Beginning of Year/Period | $ | 31.66 | $ | 25.00 | ||||
| Income/(loss) from investment operations: | ||||||||
| Net Investment Income(b) | 1.07 | 0.56 | ||||||
| Net Realized and Unrealized Gain on Investments | 0.53 | 6.51 | ||||||
| Total from Operations | 1.60 | 7.07 | ||||||
|
Distributions: |
||||||||
| Distributions from Net Investment Income | (0.78 | ) | (0.41 | ) | ||||
| Total Distributions | (0.78 | ) | (0.41 | ) | ||||
|
Net Asset Value, End of Year/Period |
$ | 32.48 | $ | 31.66 | ||||
| Total Return(c) | 5.11 | % | 28.40 | % | ||||
| Ratios and Supplemental Data | ||||||||
| Net Assets, End of Year/Period (in 000s) | $ | 19,487 | $ | 14,245 | ||||
| Ratio of Expenses to Average Net Assets | 0.59 | %(d) | 0.59 | %(d) | ||||
| Ratio of Net Investment Income/(Loss) to Average Net Assets | 6.62 | %(d) | 3.19 | %(d) | ||||
| Portfolio Turnover(c)(e) | 84 | % | 51 | % | ||||
| (a) | Inception date September 23, 2020. |
| (b) | Per share data calculated using the average shares method. |
| (c) | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares. |
| (d) | Annualized. |
| (e) | Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions. |
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2021 | 55 |
| Cambria ETF Trust | Notes to Financial Statements |
| October 31, 2021 (Unaudited) |
1. ORGANIZATION
Cambria ETF Trust (the “Trust”), a Delaware statutory trust, was formed on September 9, 2011 as an open–end registered management investment company under the Investment Company Act of 1940, as amended. The Trust is comprised of multiple exchange traded funds (“ETFs”). These financial statements relate only to Cambria Shareholder Yield ETF, Cambria Foreign Shareholder Yield ETF, Cambria Global Value ETF, Cambria Global Momentum ETF, Cambria Global Asset Allocation ETF, Cambria Value and Momentum ETF, Cambria Global Tail Risk ETF (formerly known as Cambria Sovereign Bond ETF), Cambria Emerging Shareholder Yield ETF, Cambria Tail Risk ETF, Cambria Trinity ETF, Cambria Cannabis ETF and Cambria Global Real Estate ETF (each, a “Fund” and, collectively, the “Funds”). Cambria Investment Management, L.P. (the “Investment Adviser”) serves as the investment adviser to the Funds. The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. Each Fund is diversified and actively managed.
The investment objective of the Cambria Shareholder Yield ETF is to seek income and capital appreciation. The Fund inception date is May 13, 2013.
The investment objective of the Cambria Foreign Shareholder Yield ETF is to seek income and capital appreciation. The Fund inception date is December 2, 2013.
The investment objective of the Cambria Global Value ETF is to seek income and capital appreciation. The Fund inception date is March 11, 2014.
The investment objective of the Cambria Global Momentum ETF is to seek to preserve and grow capital from investments in the U.S. and foreign equity, fixed income, commodity and currency markets, independent of market direction. The Fund inception date is November 3, 2014.
The investment objective of the Cambria Global Asset Allocation ETF is to seek income and capital appreciation. The Fund inception date is December 9, 2014.
The investment objective of the Cambria Value and Momentum ETF is to seek income and capital appreciation from investments in the U.S. equity market. The Fund inception date is September 8, 2015.
The investment objective of the Cambria Global Tail Risk ETF is to seek income and capital appreciation. The Prior to March 15, 2021, the Fund was known as the Cambria Sovereign Bond ETF and its investment objective was to seek income and capital appreciation from investments in securities and instruments that provide exposure to sovereign and quasi–sovereign bonds. The Fund inception date is February 22, 2016. Fund inception date is February 22, 2016.
The investment objective of the Cambria Emerging Shareholder Yield ETF is to seek income and capital appreciation. The Fund inception date is July 13, 2016.
The investment objective of the Cambria Tail Risk ETF is to seek to provide income and capital appreciation from investments in the U.S. market while protecting against significant downside risk. The Fund inception date is April 5, 2017.
The investment objective of the Cambria Trinity ETF is to seek income and capital appreciation. The Fund inception date is September 7, 2018.
The investment objective of the Cambria Cannabis ETF is to seek capital appreciation from investments in the global equity markets that have exposure to the broad cannabis industry. The Fund inception date is July 24, 2019.
The investment objective of the Cambria Global Real Estate ETF is to seek income and capital appreciation. The Fund inception date is September 23, 2020.
Shares of the Funds are listed and traded on the Cboe BZX Exchange, Inc. (the “Exchange”). Market prices for the shares may be different from their net asset value ("NAV"). The Funds will issue and redeem shares on a continuous basis at NAV only in large blocks of shares, typically 50,000 shares, called "Creation Units." Creation Units are to be issued and redeemed principally in kind for a basket of securities and a balancing cash amount. Shares generally will trade in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day.
The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the Significant Accounting Policies followed by the Funds.
Use of Estimates — The Funds are investment companies in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Funds follow the accounting and reporting guidance for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates, and could have a material impact to the Funds.
| 56 | www.cambriafunds.com |
| Cambria ETF Trust | Notes to Financial Statements |
| October 31, 2021 (Unaudited) |
Security Valuation — Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on the NASDAQ Stock Market (the “NASDAQ”)), including securities traded over the counter, are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded (or at approximately 4:00 pm Eastern Time if a security’s primary exchange is normally open at that time), or, if there is no such reported sale, at the most recent quoted bid.
For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. Debt securities are priced based upon valuations provided by independent, third–party pricing agents, if available. Such values generally reflect the last reported sales price if the security is actively traded. The third–party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker–supplied valuations, or other methodologies designed to identify the market value for such securities. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third–party pricing agent, the Funds seeks to obtain a bid price from at least one independent broker.
Futures are valued at the settlement price established for the business day by the board of trade on which they are traded. Settlement prices for financial futures are provided by an independent pricing agent.
Options are valued at the mean between the last bid and ask prices reported from the options exchange on which such options are listed. If there is no reported sale, long options positions are valued at the most recent bid price, and short option positions are valued at the most recent ask price.
Securities for which market prices are not "readily available" are valued in accordance with fair value procedures established by the Board of Trustees (the “Board”). The Funds’ fair value procedures are implemented through a fair value committee (the “Committee”) designated by the Board. Some of the more common reasons that may necessitate that a security be valued using fair value procedures include: the security's trading has been halted or suspended; the security has been de–listed from a national exchange; the security's primary trading market is temporarily closed at a time when under normal conditions it would be open; the security has not been traded for an extended period of time; the security's primary pricing source is not able or willing to provide a price; or trading of the security is subject to local government–imposed restrictions. When a security is valued in accordance with the fair value procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee.
In accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP, the Funds disclose fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:
| • | Level 1 – Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Funds have the ability to access at the measurement date; |
| • | Level 2 – Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and |
| • | Level 3 – Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity). |
For the period ended October 31, 2021, there have been no significant changes to the Funds’ fair valuation methodologies.
Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars on the date of valuation. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars at the relevant rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of realized or unrealized gains and losses resulting from changes in the foreign exchange rate from fluctuations arising from changes in the market prices of the securities. These gains and losses are included in net realized and unrealized gains and losses on investments on the Statements of Operations. Net realized and unrealized gains and losses on foreign currency transactions represent net foreign exchange gains or losses from foreign currency exchange contracts, disposition of foreign currencies, currency gains or losses realized between trade and settlement dates on securities transactions and the difference between the amount of the investment income and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent amounts actually received or paid. These gains and losses are included in net realized and unrealized gains and losses on foreign currency transactions on the Statements of Operations.
| Semi-Annual Report | October 31, 2021 | 57 |
| Cambria ETF Trust | Notes to Financial Statements |
| October 31, 2021 (Unaudited) |
The value of the Funds’ foreign holdings as measured in U.S. dollars may be affected unfavorably by changes in foreign currency exchange rates, as a change in the value of a foreign currency against the U.S. dollar generally will result in a corresponding change in the U.S. dollar value of securities denominated in that currency held by a Fund. In addition to the risks of foreign currency exchange rates generally, trading in the currencies of certain countries may face periods of limited liquidity or the political risk of exchange controls or currency repatriation restrictions, which may in turn make such holdings denominated in those currencies difficult to value. The Funds may also incur losses in connection with conversions between various currencies.
Futures Contracts — Consistent with its investment objective and strategies, Cambria Value and Momentum ETF utilized futures contracts during the period ended October 31, 2021. The Fund’s investment in futures contracts is designed to enable the Fund to more closely approximate the performance of its benchmark index. Cambria Value and Momentum ETF chose to invest in futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, Cambria Value and Momentum ETF records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. A margin deposit was made upon entering into futures contracts and is included in Cash at Broker for futures contracts on the Statements of Assets and Liabilities.
Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that Cambria Value and Momentum ETF could lose more than the original margin deposit required to initiate a futures transaction.
Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities.
It is the Fund’s policy to present the gross variation margin payable and the gross variation margin receivable of the future contracts separately on the Statements of Assets and Liabilities, as Cambria Value and Momentum ETF does not have a master netting agreement with the counterparty to the futures contracts. Refer to the Cambria Value and Momentum ETF Schedule of Investments for details regarding open future contracts as of October 31, 2021. The fair value of equity futures contracts held in the Fund can be found on the Statements of Assets and Liabilities under the captions variation margin receivable/payable. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. Cumulative appreciation (depreciation) of futures contracts are reported in the Cambria Value and Momentum ETF Schedule of Investments. Realized gains or losses on equity rate futures contracts related to the Fund is recognized on the Statements of Operations as part of net realized gain (loss) on futures contracts and any change in unrealized appreciation or depreciation is recognized on the Statements of Operations as net change in unrealized gain (loss) on futures contracts.
Options Written/Purchased — The Cambria Value and Momentum ETF, Cambria Tail Risk ETF, and Cambria Global Tail Risk ETF may invest in equity options contracts for the purpose of hedging their existing portfolio securities, or securities that they intend to purchase, against fluctuations in fair market value caused by changes in prevailing market interest rates. In particular, (1) the Cambria Value and Momentum ETF may use options to hedge up to 100% of the value of its long portfolio in an attempt to avoid overvalued and downtrending markets, (2) the Cambria Tail Risk ETF utilizes a put option strategy to manage the risk of a significant negative movement in the value of domestic equities over rolling one–month periods, and (3) the Cambria Global Tail Risk ETF utilizes a put option strategy to manage the risk of a significant negative movement in the value of global ex-U.S. equities on a month-by-month basis. A Fund may also invest in equity option contracts to enhance its returns. When the Fund writes or purchases an option, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on affecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss. The risk in writing a call option is a Fund may give up the opportunity for profit if the market price of the security increases. The risk in writing a put option is a Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is a Fund may pay a premium whether or not the option is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. Finally, the risk exists that losses on written options could exceed amounts disclosed on the Statements of Assets and Liabilities.
| 58 | www.cambriafunds.com |
| Cambria ETF Trust | Notes to Financial Statements |
| October 31, 2021 (Unaudited) |
The Cambria Tail Risk ETF and Cambria Global Tail Risk ETF had options contracts as of October 31, 2021, as disclosed in the Fund’s Schedule of Investments. Any realized and change in unrealized gains or losses can be found on the Statements of Operations.
| Asset Derivatives | Liability Derivatives | |||||||||||
| Risk Exposure |
Statements
of Assets and |
Fair Value |
Statements of Assets and Liabilities Location* |
Fair Value | ||||||||
| Cambria Value and Momentum ETF | ||||||||||||
| Equity Risk (Futures Contracts) | Unrealized
appreciation on futures contracts |
N/A | Unrealized depreciation on futures contracts | $ | 255,584 | |||||||
| Total | $ | – | $ | 255,584 | ||||||||
| Cambria Global Tail Risk ETF | ||||||||||||
| Equity Contracts (Purchased Options) | Investments, at value | $ | 453,565 | Investments, at value | N/A | |||||||
| Total | $ | 453,565 | $ | – | ||||||||
| Cambria Tail Risk ETF | ||||||||||||
| Equity Contracts (Purchased Options) | Investments, at value | $ | 17,559,065 | Investments, at value | N/A | |||||||
| Total | $ | 17,559,065 | $ | – | ||||||||
| * | Includes cumulative appreciation/depreciation on futures contracts as reported on the Schedules of Investments. Only current day's variation margin for futures contracts are reported within the Statements of Assets and Liabilities. |
| Risk Exposure | Statements of Operations Location | Realized
Gain/(Loss) on Derivatives Recognized in Income |
Change
in Unrealized Appreciation/ (Depreciation) on Derivatives Recognized in Income |
|||||||
| Cambria Value and Momentum ETF | ||||||||||
| Equity Risk (Futures Contracts) | Net Realized Loss on Futures Contracts/ Net change in Unrealized Appreciation on Futures Contracts | (1,129,451 | ) | 49,336 | ||||||
| Total | $ | (1,129,451 | ) | $ | 49,336 | |||||
| Cambria Global Tail Risk ETF | ||||||||||
| Equity Contracts (Purchased Options) | Net realized Loss on Purchased Options/ Net Change in Unrealized Depreciation on Purchased Options | (461,373 | ) | 46,654 | ||||||
| Total | $ | (461,373 | ) | $ | 46,654 | |||||
| Cambria Tail Risk ETF | ||||||||||
| Equity Contracts (Purchased Options) | Net realized Loss on Purchased Options/ Net Change in Unrealized Depreciation on Purchased Options | (8,574,213 | ) | (6,783,880 | ) | |||||
| Total | $ | (8,574,213 | ) | $ | (6,783,880 | ) | ||||
The average purchased option contracts’ notional amount during the period ended October 31, 2021 for Cambria Global Tail Risk ETF is $15,287,118, and for Cambria Tail Risk ETF is $441,771,333.
| Semi-Annual Report | October 31, 2021 | 59 |
| Cambria ETF Trust | Notes to Financial Statements |
| October 31, 2021 (Unaudited) |
Federal Income Taxes — The Funds intend to qualify as “regulated investment companies” under Sub–chapter M of the Internal Revenue Code of 1986 (the “Code”), as amended. If so qualified, the Funds will not be subject to U.S. federal income tax to the extent they distribute substantially all of their net investment income and net capital gains to their shareholders.
The Funds evaluate tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether it is "more–likely–than–not" (i.e., greater than 50 percent) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. Tax positions not deemed to meet the more–likely–than–not threshold are recorded as a tax benefit or expense in the current period.
The Funds did not record any tax provisions in the current year. However, management’s conclusions regarding tax positions may be subject to review and adjustment at a later date based on factors including, but not limited to, examination by tax authorities (i.e., the last three tax year ends, as applicable), on–going analysis of and changes to tax laws, regulations and interpretations thereof.
As of and during the period ended October 31, 2021, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the period, the Funds did not incur any interest or penalties.
Organizational and Offering Expenses — All organizational and offering expenses of the Trust were borne by the Investment Adviser and are not subject to future recoupment. As a result, organizational and offering expenses are not reflected in the financial statements.
Expenses — Expenses included in the accompanying financial statements reflect the expenses of each Fund and do not include any expenses associated with the underlying funds.
Security Transactions and Investment Income — Security transactions are accounted for on trade date. Dividend income received from the underlying funds is recognized on the ex–dividend date and is recorded as dividend income in the Statements of Operations. Capital gain distributions received from the underlying funds are recognized on ex–dividend date and are recorded on the Statements of Operations as such. Costs used in determining realized gains and losses on the sales of investment securities are on the basis of specific identification. Dividend income is recorded on the ex–dividend date. Dividend income is recorded net of unrecoverable withholding tax. Interest income is recognized on the accrual basis. Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income. Withholding taxes on foreign dividends and foreign capital gains tax have been provided for in accordance with the Funds’ understanding of the applicable country’s tax rules and regulations. Capital gain taxes on securities in certain foreign countries are accrued on unrealized appreciation and are due when realized.
Foreign Taxes — The Funds may be subject to foreign taxes related to foreign income received (a portion of which may be reclaimable), capital gains on the sale of securities, and certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable regulations and rates that exist in the foreign jurisdictions in which the Funds invest.
Dividends and Distributions to Shareholders — The Funds generally pay out dividends from their net investment income, if any, quarterly, and distributes their net capital gains, if any, to shareholders at least annually. All distributions are recorded on ex–dividend date.
Creation Units — The Funds issue and redeem shares on a continuous basis at NAV in groups of 50,000 shares called creation units (“Creation Units”). Purchasers of Creation Units (“Authorized Participants”) must pay a creation transaction fee per transaction. The fee is typically a single charge and will be the same regardless of the number of Creation Units purchased by an investor on the same day. An Authorized Participant who holds Creation Units and wishes to redeem at NAV would also pay a Redemption Fee per transaction to the custodian on the date of such redemption, regardless of the number of Creation Units redeemed that day.
The distributor has entered into participant agreements with certain broker–dealers and others that allow those parties to be Authorized Participants and to subscribe for and redeem shares of the Funds. Such Authorized Participants may from time to time hold, of record or beneficially, a substantial percentage of the Funds’ shares outstanding, act as executing or clearing broker for investment transactions on behalf of the Fund and/or serve as counterparty to derivative transactions with the Fund.
Except when aggregated in Creation Units, shares are not redeemable securities of a Fund. Shares of the Funds may only be purchased or redeemed by Authorized Participants. An Authorized Participant is either (i) a broker–dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a participant agreement with the distributor. Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Funds. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees.
| 60 | www.cambriafunds.com |
| Cambria ETF Trust | Notes to Financial Statements |
| October 31, 2021 (Unaudited) |
If a Creation Unit is purchased or redeemed for cash, a higher transaction fee will be charged. The following table discloses Creation Unit breakdown for the year/period ended October 31, 2021:
| Creation Unit Shares | Creation Fee | Value | Redemption Fee | Variable Charge | ||||||||||||||
| Cambria Shareholder Yield ETF | 50,000 | $ | 700 | $ | 3,133,000 | $ | 700 | None | ||||||||||
| Cambria Foreign Shareholder Yield ETF | 50,000 | 2,500 | 1,371,000 | 2,500 | Up to 2.0% | |||||||||||||
| Cambria Global Value ETF | 50,000 | 3,500 | 1,197,000 | 3,500 | Up to 2.0% | |||||||||||||
| Cambria Global Momentum ETF | 50,000 | 500 | 1,525,000 | 500 | Up to 2.0% | |||||||||||||
| Cambria Global Asset Allocation ETF | 50,000 | 500 | 1,587,000 | 500 | None | |||||||||||||
| Cambria Value and Momentum ETF | 50,000 | 700 | 1,253,000 | 700 | None | |||||||||||||
| Cambria Global Tail Risk ETF | 50,000 | 1,500 | 1,111,500 | 1,500 | Up to 2.0% | |||||||||||||
| Cambria Emerging Shareholder Yield ETF | 50,000 | 3,500 | 1,775,000 | 3,500 | Up to 2.0% | |||||||||||||
| Cambria Tail Risk ETF | 50,000 | 500 | 902,500 | 500 | None | |||||||||||||
| Cambria Trinity ETF | 50,000 | 250 | 1,394,000 | 250 | None | |||||||||||||
| Cambria Cannabis ETF | 50,000 | 500 | 666,000 | 500 | Up to 2.0% | |||||||||||||
| Cambria Global Real Estate ETF | 50,000 | 1,500 | 1,624,000 | 1,500 | Up to 2.0% | |||||||||||||
To the extent the Funds permit the contribution of securities in exchange for the purchase of shares (contribution in–kind), shares may be issued in advance of receipt by the Fund of all or a portion of the applicable Deposit Securities. In these circumstances, the Fund may require the Authorized Participant to maintain with the Trust an amount up to 115% and/or 125% of the daily mark–to–market value of the missing Deposit Securities. Amounts are disclosed as segregated cash balances with authorized participants for deposit securities and Payable for collateral upon return of deposit securities on the Statements of Assets and Liabilities.
Illiquid Securities — A security is considered illiquid if the Fund reasonably expects that the investment cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.
Cash and cash equivalents — Idle cash and currency balances may be swept into various overnight sweep accounts and are classified as cash and cash equivalents on the Statements of Assets and Liabilities. These amounts, at times, may exceed United States federally insured limits. Amounts swept are available on the next business day.
3. OFFSETTING ASSETS AND LIABILITIES
The Funds are required to disclose the impact of offsetting assets and liabilities represented in the Statements of Assets and Liabilities to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities are financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of setoff criteria: the amounts owed by the Funds to another party are determinable, the Funds has the right to set off the amounts owed with the amounts owed by the other party, the Funds intends to set off, and the Funds right of setoff is enforceable at law.
As of October 31, 2021, the Funds’ financial instruments and derivative instruments are not subject to a master netting arrangement. See Note 9 for offsetting related to securities lending.
4. RELATED PARTIES
Investment Advisory Agreement — The Investment Adviser is responsible for overseeing the management and business affairs of the Funds, and has discretion to purchase and sell securities in accordance with the Funds’ objectives, policies, and restrictions. The Investment Adviser reviews, supervises, and administers each Fund’s investment program. The Investment Adviser has entered into an investment advisory agreement (“Management Agreement”) with respect to the Funds. Pursuant to that Management Agreement, the Funds pay the Investment Adviser, on a monthly basis, an annual advisory fee based on their average daily nets assets for the services and facilities it provides payable at an annual rate of 0.59%, excluding the Cambria Global Asset Allocation ETF and Cambria Trinity ETF, neither of which is charged an advisory fee.
With respect to each Fund, except the Cambria Global Value ETF and Cambria Emerging Shareholder Yield ETF, the Investment Adviser bears all of the costs of the Funds, except for the advisory fee, payments under each Fund’s 12b–1 plan, brokerage expenses, acquired fund fees and expenses, taxes, interest (including borrowing costs and dividend expenses on securities sold short), litigation expenses and other extraordinary expenses. With respect to the Cambria Global Value ETF and Cambria Emerging Shareholder Yield ETF, the Investment Adviser bears all of the costs of each Fund, except for the advisory fee, payments under the Fund’s 12b–1 plan, brokerage expenses, custodial expenses, acquired fund fees and expenses, taxes, interest (including borrowing costs and dividend expenses on securities sold short), litigation expenses and other extraordinary expenses. The Cambria Global Value ETF and Cambria Emerging Shareholder Yield ETF may pay up to 0.10% in custody fees. The Management Agreement for the Funds provides that it may be terminated at any time, without the payment of any penalty, by the Board of Trustees or, with respect to the Funds, by a majority of the outstanding shares of the Funds, on 60 days’ written notice to the Investment Adviser, and by the Investment Adviser on 60 days’ written notice to the Trust and that it shall be automatically terminated if it is assigned.
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| Cambria ETF Trust | Notes to Financial Statements |
| October 31, 2021 (Unaudited) |
Cambria Cannabis ETF has agreed to waive 0.17% of its advisory fee, on an annualized basis, through at least August 31, 2022, unless otherwise terminated by the Board. The waived fees are not eligible for recapture by the Investment Adviser.
Additionally, the Investment Adviser earned $95,928 in management fees from the Cambria Global Momentum ETF related to the Fund’s investment in affiliated funds, Cambria Value and Momentum ETF, Cambria Emerging Shareholder Yield ETF, Cambria Tail Risk ETF, Cambria Foreign Shareholder Yield ETF, Cambria Global Value ETF, Cambria Shareholder Yield ETF, and Cambria Global Tail Risk ETF.
Administrator, Custodian and Transfer Agent — ALPS Fund Services, Inc. (the “Administrator”) serves as the Funds’ Administrator pursuant to an administration agreement. Brown Brothers Harriman & Co. (the “Custodian” and “Transfer Agent”) serves as the Funds’ Custodian and Transfer Agent pursuant to a Custodian Agreement and a Transfer Agency Services Agreement.
Distribution Agreement — ALPS Distributors Inc., an affiliate of the Administrator, serves as the Funds’ distributor of Creation Units pursuant to a distribution agreement. The distributor does not maintain any secondary market in Fund shares.
The Trust has adopted a Distribution and Service Plan (“Plan”) pursuant to Rule 12b–1 under the Investment Company Act of 1940 (the “1940 Act”). In accordance with the Plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year for certain distribution–related activities. However, no such fee is currently paid by the Funds, and the Board of Trustees has not currently approved the commencement of any payments under the Plan.
Certain officers and trustees of the Funds during and as of the year/period ended October 31, 2021 are officers/employees of the Investment Adviser, the Administrator, or ALPS Distributors Inc.
5. INVESTMENT TRANSACTIONS
For the period ended October 31, 2021, the purchases and sales of investments in securities, excluding in–kind transactions, long–term U.S. Government and short–term securities, were:
| Fund |
Purchases of Securities |
Proceeds from Sales of Securities |
||||||
| Cambria Shareholder Yield ETF | $ | 64,225,093 | $ | 61,969,635 | ||||
| Cambria Foreign Shareholder Yield ETF | 11,678,901 | 13,111,596 | ||||||
| Cambria Global Value ETF | 1,062,349 | 3,701,826 | ||||||
| Cambria Global Momentum ETF | 16,699,661 | 16,710,948 | ||||||
| Cambria Global Asset Allocation ETF | – | – | ||||||
| Cambria Value and Momentum ETF | 7,538,445 | 8,226,484 | ||||||
| Cambria Global Tail Risk ETF | 68,441 | 814,819 | ||||||
| Cambria Emerging Shareholder Yield ETF | 35,841,370 | 19,310,304 | ||||||
| Cambria Tail Risk ETF | – | – | ||||||
| Cambria Trinity ETF | 4,458,414 | 4,519,163 | ||||||
| Cambria Cannabis ETF | 8,168,701 | 8,816,922 | ||||||
| Cambria Global Real Estate ETF | 11,855,456 | 11,710,700 | ||||||
For the period ended October 31, 2021, the Cambria Tail Risk ETF had purchases and sales of U.S. Government securities of $86,323,779, and $57,791,546, respectively.
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| Cambria ETF Trust | Notes to Financial Statements |
| October 31, 2021 (Unaudited) |
For the period ended October 31, 2021, in–kind transactions associated with creations and redemptions were:
| Fund | Purchases of Securities |
Proceeds from Sales of Securities |
Net Realized Gain/(Loss) |
|||||||||
| Cambria Shareholder Yield ETF | $ | 117,230,821 | $ | 82,024,545 | $ | 17,297,342 | ||||||
| Cambria Foreign Shareholder Yield ETF | 10,647,447 | 1,341,943 | 317,143 | |||||||||
| Cambria Global Value ETF | 2,168,661 | 1,026,960 | 262,248 | |||||||||
| Cambria Global Momentum ETF | 1,532,407 | 2,934,835 | 543,887 | |||||||||
| Cambria Global Asset Allocation ETF | 1,571,503 | 1,544,058 | 288,702 | |||||||||
| Cambria Value and Momentum ETF | 5,795,212 | 2,161,829 | 687,305 | |||||||||
| Cambria Emerging Shareholder Yield ETF | 11,002,317 | – | – | |||||||||
| Cambria Tail Risk ETF | 22,200,974 | 17,623,356 | 283,536 | |||||||||
| Cambria Trinity ETF | 1,406,743 | – | – | |||||||||
| Cambria Cannabis ETF | 1,515,151 | – | – | |||||||||
| Cambria Global Real Estate ETF | 7,892,816 | 3,110,255 | 367,507 | |||||||||
| 6. PRINCIPAL RISKS |
As with all ETFs, shareholders of the Funds are subject to the risk that their investments could lose money, including the possible loss of the entire principal amount of an investment, over short or long periods of time. An investment is not a bank deposit and it is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Funds are subject to the principal risks set forth in their prospectuses under the heading ‘‘Principal Risks.’’ Some of these risks, any of which may adversely affect a Fund’s NAV, trading price, yield, total return, or ability to meet its investment objective, are set forth below.
Cannabis Industry Risk — Cannabis Companies are subject to various laws and regulations that may differ at the local and federal level. These laws and regulations may significantly affect a Cannabis Company’s ability to secure financing, impact the market for cannabis industry sales and services, and set limitations on marijuana use, production, transportation, and storage. Cannabis Companies may also be required to secure permits and authorizations from government agencies to cultivate or research marijuana. In addition, Cannabis Companies are subject to the risks associated with the agricultural, biotechnology, and pharmaceutical industries. The Cambria Cannabis ETF invests in publicly–traded Cannabis Companies primarily listed and traded on a national securities exchange that operates in a jurisdiction where the Cannabis Companies’ cannabis–related business activities are legal under the national and local laws of the relevant jurisdiction, including U.S. federal and state laws.
Cash Redemption Risk — A Fund’s investment strategy may require it to effect redemptions, in whole or in part, for cash. As a result, a Fund may be required to sell portfolio securities in order to obtain the cash needed to distribute redemption proceeds. This may cause a Fund to recognize investment income and/or capital gains or losses that it might not have recognized if it had completely satisfied the redemption in–kind. As a result, such Fund may be less tax efficient if it includes such a cash payment than if the in–kind redemption process was used exclusively (i.e., securities are distributed as payment of redemption proceeds). In addition, cash redemptions may incur higher brokerage costs than in–kind redemptions and these added costs may be borne by the Fund and negatively impact Fund performance.
Commodity Investing Risk. Investing in commodity–related companies may subject a Fund to greater volatility than investments in traditional securities. The commodities markets have experienced periods of extreme volatility. Similar future market conditions may result in rapid and substantial valuation increases or decreases in the Fund’s holdings.
Currency Strategies Risk. Currency exchange rates may fluctuate significantly over short periods of time and can be unpredictably affected by political developments or government intervention. Changes in currency exchange rates may affect the U.S. dollar value of the Fund’s investments.
Cyber Security Risk — Each Fund, and its service providers, may be susceptible to operational and information security risks resulting from a breach in cyber security, including cyber–attacks. A breach in cyber security, intentional or unintentional, may adversely impact the Fund in many ways, including, but not limited to, disruption of the Fund’s operational capacity, loss of proprietary information, theft or corruption of data maintained online or digitally, denial–of–service attacks on websites or network resources, and the unauthorized release of confidential information. Cyber-attacks affecting the Fund’s third–party service providers, including Cambria, the custodian, and the transfer agent, may subject the Fund to many of the same risks associated with direct cyber security breaches and adversely impact the Fund. For instance, cyber–attacks may impact the Fund’s ability to calculate its NAV, cause the release of confidential business information, impede trading, cause the Fund to incur additional compliance costs associated with corrective measures, subject the Fund to regulatory fines or other financial losses, and/or cause reputational damage to the Fund. Cyber security breaches of market makers, Authorized Participants, or the issuers of securities in which the Fund invests could also have material adverse consequences on the Fund’s business operations and cause financial losses for the Fund and its shareholders. While the Fund and its service providers have established business continuity plans and risk management systems designed to address cyber security risks, prevent cyber-attacks and mitigate the impact of cyber security breaches, there are inherent limitations on such plans and systems. In addition, the Fund has no control over the cyber security protections put in place by its service providers or any other third parties whose operations may affect the Fund or its shareholders.
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| Cambria ETF Trust | Notes to Financial Statements |
| October 31, 2021 (Unaudited) |
Derivatives Risk — Derivatives are financial instruments that have a value which depends upon, or is derived from, a reference asset, such as one or more underlying securities, pools of securities, indexes, rates or currencies. Derivatives may result in investment exposures that are greater than their cost would suggest; in other words, a small investment in a derivative may have a large impact on Fund performance. The successful use of derivatives generally depends on the ability to predict market movements. The use of these instruments requires special skills and knowledge of investment techniques that are different than those normally required for purchasing and selling securities. If the Adviser uses a derivative instrument at the wrong time or judges market conditions incorrectly, or if the derivative instrument does not perform as expected, these strategies may significantly reduce a Fund’s return. A Fund could also experience losses if it is unable to close out a position because the market for an instrument or position is or becomes illiquid.
Dividend Paying Security Risk — Securities that pay high dividends as a group can fall out of favor with the market, causing these companies to underperform companies that do not pay high dividends. Also, changes in the dividend policies of companies owned by the Funds and the capital resources available for these companies’ dividend payments may adversely affect the Funds.
Emerging Markets Risk — Investments in securities and instruments traded in developing or emerging markets, or that provide exposure to these securities or markets, can involve additional risks relating to political, economic, or regulatory conditions not associated with investments in U.S. securities and instruments or investments in more developed international markets. For example, emerging markets may be subject to, among other risks, greater market volatility; lower trading volume and liquidity; greater social, political and economic uncertainty; governmental controls on foreign investments and limitations on repatriation of invested capital; lower disclosure, corporate governance, auditing and financial reporting standards; fewer protections of property rights; restrictions on the transfer of securities or currency; and settlement and trading practices that differ from U.S. markets and markets of more developed countries. Each of these factors may impact the ability of the Fund to buy, sell or otherwise transfer securities, adversely affect the trading market and price for Fund shares and cause the Fund to decline in value.
Equity Investing Risk — The values of equity securities could decline generally or could underperform other investments. In addition, securities may decline in value due to factors affecting a specific issuer, market or securities markets generally.
Exchange-Traded Funds and Exchange-Traded Products (“ETP”) and Investment Companies Risk — The risks of investing in securities of ETFs, ETPs and investment companies typically reflect the risks of the types of instruments in which the underlying ETF, ETP or investment company invests. In addition, with such investments, a Fund bears its proportionate share of the fees and expenses of the underlying entity. As a result, the Fund’s operating expenses may be higher and performance may be lower.
Fixed Income Risk — A decline in an issuer’s credit rating may cause a decrease in the value of its fixed income securities and an increase in their investment risk and volatility. During periods of falling interest rates, an issuer of a callable bond held by a Fund may “call” (or repay) the security before its stated maturity, and the Fund may have to reinvest the proceeds at lower interest rates, resulting in a decline in the Fund’s income. The market value of fixed income securities generally changes in response to changes in interest rates. As interest rates rise, the value of certain fixed income securities is likely to decrease. Similarly, if interest rates decline, the value of fixed income securities is likely to increase.
Foreign Investment Risk — Returns on investments in foreign securities could be more volatile than, or trail the returns on, investments in U.S. securities. Investments in or exposures to foreign securities by a Fund are subject to special risks, including risks associated with foreign securities generally, including differences in information available about issuers of securities and investor protection standards applicable in other jurisdictions; capital controls risks, including the risk of a foreign jurisdiction imposing restrictions on the ability to repatriate or transfer currency or other assets; currency risks; political, diplomatic and economic risks; regulatory risks; and foreign market and trading risks, including the costs of trading and risks of settlement in foreign jurisdictions.
Futures Contracts Risk — Risks associated with the use of futures contracts include the following: (i) an imperfect correlation between movements in prices of index futures contracts and movements in the value of the stock index that the instrument is designed to simulate; and (ii) the possibility of an illiquid secondary market for a futures contract and the resulting inability to close a position prior to its maturity date. Investments in futures may expose the Fund to leverage.
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| Cambria ETF Trust |
Notes to Financial Statements | |
| October 31, 2021 (Unaudited) |
Geographic Investment Risk – To the extent a Fund invests a significant portion of its assets in the securities of companies of a single country or region, it is more likely to be impacted by events or conditions affecting that country or region.
Hedging Risk – Options used by a Fund to offset its exposure to tail risk or reduce volatility may not perform as intended. There can be no assurance that a Fund’s put option strategy will be effective. It may expose a Fund to losses, e.g., option premiums, to which it would not have otherwise been exposed if it only invested, directly or indirectly, in U.S. government bonds and ex-U.S. sovereign bonds. Further, the put option strategy may not fully protect a Fund against declines in the value of its portfolio securities.
High Yield Securities Risk — High yield securities and unrated securities of comparable credit quality are subject to the increased risk of an issuer’s inability to meet principal and interest payment obligations. High yield securities are subject to a greater risk of default and investments in them are inherently speculative. The secondary markets in which high yield securities are traded may be less liquid and more volatile than the market for higher grade securities.
Inflation-Protected Security Risk — Inflation-protected securities, such as Treasury inflation-protected securities (TIPS), provide protection against inflation. Inflation-protected securities typically decrease in value when real interest rates rise and increase in value when real interest rates fall.
Interest Rate Risk — The market value of fixed income securities generally changes in response to changes in interest rates. As interest rates rise, the value of certain fixed income securities is likely to decrease. Similarly, if interest rates decline, the value of fixed income securities is likely to increase. Interest rate risk is generally lower for shorter-term investments and higher for longer-term investments.
International Closed-Market Trading Risk — Because a Fund’s investments may be traded in markets that are closed when the Exchange is open, there are likely to be deviations between the current pricing of an underlying investment and stale investment pricing (i.e., the last quote from its closed foreign market), resulting in premiums or discounts to NAV that may be greater than those experienced by other ETFs.
Investment Risk — An investment in a Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. When you sell your Shares, they could be worth less than what you paid for them.
Liquidity Risk — A Fund may purchase options and fixed income securities that may be less liquid than other types of investments. The options and fixed income securities purchased by a Fund may not always be liquid. This could have a negative effect on a Fund’s ability to achieve its investment objective and may result in losses to Fund shareholders.
Management Risk — The Funds are all actively managed and use proprietary investment strategies and processes. There can be no guarantee that these strategies and processes will produce the intended results and no guarantee that a Fund will achieve its investment objective. This could result in a Fund’s underperformance compared to other funds with similar investment objectives.
Market Events Risk — Turbulence in the financial markets, reduced liquidity in the equity markets, and/or the advent of certain economic or political events, including global events such as war, acts of terrorism or a public health crisis, may negatively affect issuers, which could have an adverse effect on certain Fund holdings. In addition, there is a risk that policy changes by the U.S. Government, Federal Reserve and/or other government actors, such as increasing interest rates, could cause increased volatility in financial markets and higher levels of Fund redemptions, which could have a negative impact on certain Fund holdings. In a declining stock market, stock prices for all companies (including those in the Fund’s portfolio) may decline, regardless of their long–term prospects.
Market Risk of Recent Events — The respiratory illness COVID-19 caused by a novel coronavirus has resulted in a global pandemic and major disruption to economies and markets around the world, including the United States. Financial markets have experienced extreme volatility and severe losses, and trading in many instruments has been disrupted. Liquidity for many instruments has been greatly reduced for periods of time. Some interest rates are very low and in some cases yields are negative. Some sectors of the economy and individual issuers have experienced particularly large losses. These circumstances may continue for an extended period of time, and may continue to affect adversely the value and liquidity of the Fund’s investments.
Options Risk — Options are subject to correlation risk because there may be an imperfect correlation between the prices of options and movements in the price of the underlying securities. Options may expire unexercised, causing the Fund to lose the premium paid for them. The success of the Fund’s investment in options depends upon many factors, such as the price of the options which is a function of various factors that may change rapidly over time. If a counterparty defaults, the Fund’s only recourse will be to pursue contractual remedies against the counterparty, and the Fund may be unsuccessful in its pursuit. The Fund thus assumes the risk that it may be delayed in or prevented from obtaining payments owed to it pursuant to an over–the–counter options transaction.
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65 |
| Cambria ETF Trust |
Notes to Financial Statements | |
| October 31, 2021 (Unaudited) |
Premium-Discount Risk — The shares may trade above or below their NAV. The NAV of the Fund will generally fluctuate with changes in the market value of the Fund’s holdings. The market prices of shares, however, will generally fluctuate in accordance with changes in NAV as well as the relative supply of, and demand for, shares on the Exchange. The trading price of shares may deviate significantly from NAV during periods of market volatility. Cambria cannot predict whether shares will trade below, at or above their NAV. Price differences may be due, in large part, to the fact that supply and demand forces at work in the secondary trading market for shares will be closely related to, but not identical to, the same forces influencing the prices of the securities held by the Fund. However, given that shares can be purchased and redeemed in large blocks of shares, called Creation Units (unlike shares of closed–end funds, which frequently trade at appreciable discounts from, and sometimes at premiums to, their NAV), and the Fund’s portfolio holdings are fully disclosed on a daily basis, Cambria believes that large discounts or premiums to the NAV of shares should not be sustained, but that may not be the case.
Portfolio Turnover Risk — Because the Cambria Tail Risk ETF and Cambria Global Tail Risk ETF “turn over” their put options every month, the Funds will incur high levels of transaction costs from commissions or mark-ups in the bid/offer spread. Higher portfolio turnover may result in a Fund paying higher levels of transaction costs and generating greater tax liabilities for shareholders. Portfolio turnover risk may cause a Fund’s performance to be less than you expect. While the turnover of the put options is not deemed “portfolio turnover” for accounting purposes, the economic impact to the Cambria Tail Risk ETF and Cambria Global Tail Risk ETF is similar to what could occur if the Fund experienced high portfolio turnover (e.g., in excess of 100% per year). Other Funds' strategies may also result in high portfolio turnover rates.
Real Estate Investments Risk — The Cambria Global Real Estate ETF's investments are concentrated in real estate-related industries, and the Fund may be susceptible to loss due to adverse occurrences affecting these industries. Investments in real estate are subject to certain risks, including declines in the real estate market, decreases in property revenues, increases in interest rates, increases in property taxes and operating expenses, legal and regulatory changes, a lack of credit or capital, defaults by borrowers or tenants, environmental problems and natural disasters. The availability of mortgages and changes in interest rates may also affect real estate values.
Real Estate Investment Trust "REIT" Risk. In addition to the risks associated with the direct ownership of real estate and real estate–related securities, REITs are subject to additional risks, including those related to adverse governmental actions, and the performance of a REIT may be affected by its failure to qualify for tax–free pass through of income or its failure to maintain exemption from registration as an investment company. REITs are dependent upon specialized management skills and may invest in relatively few properties, a small geographic area or a small number of property types. REITs depend generally on their ability to generate cash flow to make distributions to shareholders or unitholders, and may be subject to defaults by borrowers and to self–liquidations. As a result, investments in REITs may be volatile. REITs also have their own fees and expenses, and the Fund will indirectly bear a proportionate share of those fees and expenses.
Secondary Market Trading Risk — Investors buying or selling shares in the secondary market will generally pay brokerage commissions or other charges imposed by brokers as determined by that broker. Brokerage commissions are often a fixed amount and may be a significant proportional cost for investors seeking to buy or sell relatively small amounts of shares. In addition, secondary market investors will also incur the cost of the difference between the price that an investor is willing to pay for shares (the “bid” price) and the price at which an investor is willing to sell shares (the “ask” price). This difference in bid and ask prices is often referred to as the “spread” or “bid/ask spread.” The bid/ask spread varies over time for shares based on trading volume and market liquidity, and is generally lower if the Fund’s shares have more trading volume and market liquidity and higher if the Fund’s shares have little trading volume and market liquidity. Further, increased market volatility may cause increased bid/ask spreads.
Although the shares are listed on the Exchange, there can be no assurance that an active or liquid trading market for them will develop or be maintained. In addition, trading in shares on the Exchange may be halted due to market conditions or for reasons that, in the view of the Exchange, make trading in shares inadvisable. Further, trading in shares on the Exchange is subject to trading halts caused by extraordinary market volatility pursuant to the Exchange “circuit breaker” rules. There can be no assurance that the requirements of the Exchange necessary to maintain the listing of the Fund will continue to be met or will remain unchanged.
Sector Risk — To the extent that a Fund invests a significant portion of its assets in a particular sector, the Fund may be susceptible to loss due to adverse occurrences affecting that sector.
Consumer Staples Sector Risk. The consumer staples sector includes, for example, food and drug retail and companies whose primary lines of business are food, beverage and other household items, including agricultural products. This sector can be significantly affected by, among other things, changes in price and availability of underlying commodities, rising energy prices and global and economic conditions.
Financial Services Sector Risk. Performance of companies in the financial services sector may be adversely impacted by many factors, including, among others, government regulations, economic conditions, credit rating downgrades, changes in interest rates, and decreased liquidity in credit markets. This sector has experienced significant losses in the recent past, and the impact of more stringent capital requirements and of recent or future regulation on any individual financial company or on the sector as a whole cannot be predicted.
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| Cambria ETF Trust |
Notes to Financial Statements | |
| October 31, 2021 (Unaudited) |
Health Care Sector Risk. The health care sector includes, for example, biotechnology, pharmaceutical, health care facilities, and health care equipment and supply companies. This sector can be significantly affected by, among other things, lapsing patent protection, technological developments that make drugs obsolete, government regulation, price controls, and approvals for drugs.
Materials Sector Risk. Issuers in the materials sector may be adversely affected by commodity price volatility, exchange rates, import controls, increased competition, depletion of resources, technical progress, labor relations and government regulations, among other factors. Issuers in the materials sector may be liable for environmental damage and product liability claims. Production of materials may exceed demand as a result of market imbalances or economic downturns, leading to poor investment returns.
Small and Medium Capitalization Company Risk — Investing in securities of small and medium capitalization companies involves greater risk than customarily is associated with investing in larger, more established companies. These companies’ securities may be more volatile and less liquid than those of more established companies. These securities may have returns that vary, sometimes significantly, from the overall securities market. Small and medium capitalization companies are sometimes more dependent on key personnel or limited product lines than larger, more diversified companies. Often, small and medium capitalization companies and the industries in which they focus are still evolving and, as a result, they may be more sensitive to changing market conditions.
7. GUARANTEES AND INDEMNIFICATIONS
In the normal course of business, the Funds enter into contracts with third–party service providers that contain a variety of representations and warranties and that provide general indemnifications. Additionally, under the Funds’ organizational documents, the officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, the Investment Adviser is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.
8. INCOME TAXES
The amount and character of income and capital gain distributions to be paid, if any, are determined in accordance with Federal income tax regulations, which may differ from U.S. GAAP. These differences are primarily attributable to redemption in kind transactions and net operating loss. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period.
For tax purposes, short–term realized gains are considered ordinary income. The tax character of dividends and distributions declared during the fiscal year or period April 30, 2021, were as follows:
|
Fund |
Ordinary Income |
Long-Term Capital |
Return of Capital | |||||||||
| Cambria Shareholder Yield ETF | $ | 1,860,874 | $ | – | $ | – | ||||||
| Cambria Foreign Shareholder Yield ETF | 817,590 | – | – | |||||||||
| Cambria Global Value ETF | 2,069,920 | – | – | |||||||||
| Cambria Global Momentum ETF | 736,098 | – | 62,066 | |||||||||
| Cambria Global Asset Allocation ETF | 1,293,079 | – | – | |||||||||
| Cambria Value and Momentum ETF | 129,877 | – | – | |||||||||
| Cambria Global Tail Risk ETF | – | – | 137,642 | |||||||||
| Cambria Emerging Shareholder Yield ETF | 1,434,973 | – | – | |||||||||
| Cambria Tail Risk ETF | 505,834 | – | – | |||||||||
| Cambria Trinity ETF | 727,809 | – | – | |||||||||
| Cambria Cannabis ETF | 614,512 | – | – | |||||||||
| Cambria Global Real Estate ETF | 156,757 | – | – | |||||||||
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Semi-Annual Report | October 31, 2021 |
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| Cambria ETF Trust |
Notes to Financial Statements | |
| October 31, 2021 (Unaudited) |
The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Funds at October 31, 2021, were as follows:
|
Fund |
Gross
Appreciation |
Gross
Depreciation |
Net
Unrealized |
Cost
of Investments |
||||||||||||
| Cambria Shareholder Yield ETF | $ | 29,958,379 | $ | (17,792,703 | ) | $ | 12,165,676 | $ | 311,789,824 | |||||||
| Cambria Foreign Shareholder Yield ETF | 3,889,567 | (1,997,825 | ) | 1,891,742 | 36,311,489 | |||||||||||
| Cambria Global Value ETF | 27,477,329 | (18,000,912 | ) | 9,476,417 | 115,513,210 | |||||||||||
| Cambria Global Momentum ETF | 10,766,539 | (136,161 | ) | 10,630,378 | 58,085,786 | |||||||||||
| Cambria Global Asset Allocation ETF | 7,592,371 | (704,047 | ) | 6,888,324 | 50,412,034 | |||||||||||
| Cambria Value and Momentum ETF | 5,138,955 | (946,480 | ) | 4,192,475 | 9,991,165 | |||||||||||
| Cambria Global Tail Risk ETF | 33,479 | (916,767 | ) | (883,288 | ) | 6,579,243 | ||||||||||
| Cambria Emerging Shareholder Yield ETF | 11,261,882 | (5,835,318 | ) | 5,426,564 | 78,327,069 | |||||||||||
| Cambria Tail Risk ETF | (6,820,375 | ) | (22,757,309 | ) | (29,577,684 | ) | 351,152,038 | |||||||||
| Cambria Trinity ETF | 5,793,013 | (369,363 | ) | 5,423,650 | 42,159,445 | |||||||||||
| Cambria Cannabis ETF | 3,122,984 | (12,351,879 | ) | (9,228,895 | ) | 43,371,984 | ||||||||||
| Cambria Global Real Estate ETF | 1,401,160 | (643,518 | ) | 757,642 | 18,517,701 | |||||||||||
9. SECURITIES LENDING
The Funds have entered into a Securities Lending Agreement with Brown Brothers Harriman & Co., (the “Lending Agent”) to lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit requirements or other criteria established by the Trust’s Board. These loans, if and when made, may not exceed 33 1/3% of the total asset value of the respective Fund (including the loan collateral). The Funds will not lend portfolio securities to the Adviser or its affiliates unless permissible under the 1940 Act and the rules and promulgations thereunder. Loans of portfolio securities will be fully collateralized by cash, letters of credit or U.S. government securities, and the collateral will be maintained in an amount equal to at least 102% of the then market value of domestic loaned securities and 105% of the value of foreign equity securities. However, due to market fluctuations during the day, the value of securities loaned on a particular day may, during the course of the day, exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior day’s market fluctuations and the current day’s lending activity. Income from lending activity is determined by the amount of interest earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that the Funds may be delayed or restricted from recovering the loaned securities or disposing of the collateral for the loan, which could give rise to loss because of adverse market actions, expenses and/or delays in connection with the disposition of the underlying securities. Any gain or loss in the market price of the securities loaned and income from lending activity by the Funds that might occur during the term of the loan would be for the account of that Fund.
Cash collateral received in connection with securities lending of each applicable Fund is invested in Fidelity Investments Money Market Treasury Portfolio Institutional Class and is presented on the Schedules of Investments.
Securities lending transactions are entered into by a Fund under the Securities Lending Agreement, which permits a Fund, under certain circumstances such as an event of default, to offset amounts payable by a Fund to the same counterparty against amounts receivable from the counterparty to create a net payment due to or from a Fund.
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| Cambria ETF Trust |
Notes to Financial Statements | |
| October 31, 2021 (Unaudited) |
The following is a summary of securities lending agreements held by the Funds, with cash collateral of overnight and continuous maturities and non-cash collateral, if any, which would be subject to offset as of October 31, 2021:
|
Gross
Amount of |
Value
of Cash |
Net Amount |
||||||||||
| Cambria Shareholder Yield ETF | $ | 25,957,095 | $ | 25,957,095 | $ | – | ||||||
| Cambria Foreign Shareholder Yield ETF | 394,349 | 394,349 | – | |||||||||
| Cambria Global Value ETF | 1,861,750 | 1,861,750 | – | |||||||||
| Cambria Global Momentum ETF | 6,382,163 | 6,382,163 | – | |||||||||
| Cambria Global Asset Allocation ETF | 5,209,068 | 5,209,068 | – | |||||||||
| Cambria Value And Momentum ETF | 724,728 | 724,728 | – | |||||||||
| Cambria Global Tail Risk ETF | 295,941 | 295,941 | – | |||||||||
| Cambria Emerging Shareholder Yield ETF | 985,824 | 985,824 | – | |||||||||
| Cambria Trinity ETF | 2,224,057 | 2,224,057 | – | |||||||||
| Cambria Cannabis ETF | 5,624,903 | 5,624,903 | – | |||||||||
| Cambria Global Real Estate ETF | 302,525 | 302,525 | – | |||||||||
| (1) | Excess collateral (received) in connection with the above securities lending transactions is not shown for financial reporting purposes. The value of loaned securities and related collateral outstanding at October 31, 2021 are shown in each Fund’s Schedule of Investments. |
10. SUBSEQUENT EVENTS
Management has evaluated subsequent events through the date of issuance of these financial statements and has determined that there are no subsequent events that require adjustment to, or disclosure in, the financial statements.
|
Semi-Annual Report | October 31, 2021 |
69 |
| Cambria ETF Trust | Disclosure of Fund Expenses |
| October 31, 2021 (Unaudited) |
All ETFs have operating expenses. As a shareholder of an ETF, your investment is affected by these ongoing costs, which include (among others) costs for ETF management and brokerage fees. It is important for you to understand the impact of these costs on your investment returns. Shareholder may incur brokerage commissions on their purchase and sales of Fund Shares, which are not reflected in the examples below.
Operating expenses such as these are deducted from an ETF’s gross income and directly reduce its final investment return. These expenses are expressed as a percentage of the ETF’s average net assets; this percentage is known as the ETF’s expense ratio.
The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other funds. The examples do not reflect any brokerage commissions that you may pay on purchases and sales of Shares. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period (May 1, 2021 to October 31, 2021).
The table below illustrates your Fund’s costs in two ways:
Actual Fund Return. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.
You can use this information, together with the actual amount you invested in the Fund, to estimate the expenses you paid over that period. Simply divide your actual account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”
Hypothetical 5% Return. This section helps you compare your Fund’s costs with those of other funds. It assumes that the Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) for the period is unchanged. This example is useful in making comparisons because the Commission requires all funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expenses Paid During Period” column with those that appear in the same charts in the shareholder reports for other funds.
NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown may not apply to your specific investment.
| Beginning Account Value |
Ending Account Value |
Expenses Paid During period May 1, 2021 - |
||||||||||||
| May 1, 2021 | October 31, 2021 | Expense Ratio (a) | October 31, 2021(b) | |||||||||||
| Cambria Shareholder Yield ETF | ||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,011.60 | 0.59% | $ | 2.99 | |||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.23 | 0.59% | $ | 3.01 | |||||||
| Cambria Foreign Shareholder Yield ETF | ||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,028.60 | 0.59% | $ | 3.02 | |||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.23 | 0.59% | $ | 3.01 | |||||||
| Cambria Global Value ETF | ||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,065.10 | 0.66% | $ | 3.44 | |||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,021.88 | 0.66% | $ | 3.36 | |||||||
| Cambria Global Momentum ETF | ||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,040.00 | 0.59% | $ | 3.03 | |||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.23 | 0.59% | $ | 3.01 | |||||||
| 70 | www.cambriafunds.com |
| Cambria ETF Trust | Disclosure of Fund Expenses |
| October 31, 2021 (Unaudited) |
| Beginning Account Value |
Ending Account Value |
Expenses Paid During period May 1, 2021 – |
|||||||||||||
| May 1, 2021 | October 31, 2021 | Expense Ratio(a) | October 31, 2021(b) | ||||||||||||
| Cambria Global Asset Allocation ETF | |||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,025.10 | –% | $ | – | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,025.21 | –% | $ | – | ||||||||
| Cambria Value and Momentum ETF | |||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,083.90 | 0.59% | $ | 3.10 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.23 | 0.59% | $ | 3.01 | ||||||||
| Cambria Global Tail Risk ETF | |||||||||||||||
| Actual | $ | 1,000.00 | $ | 939.20 | 0.59% | $ | 2.88 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.23 | 0.59% | $ | 3.01 | ||||||||
| Cambria Emerging Shareholder Yield ETF | |||||||||||||||
| Actual | $ | 1,000.00 | $ | 951.20 | 0.64% | $ | 3.15 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,021.98 | 0.64% | $ | 3.26 | ||||||||
| Cambria Tail Risk ETF | |||||||||||||||
| Actual | $ | 1,000.00 | $ | 966.10 | 0.59% | $ | 2.92 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.23 | 0.59% | $ | 3.01 | ||||||||
| Cambria Trinity ETF | |||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,035.40 | –% | $ | – | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,025.21 | –% | $ | – | ||||||||
| Cambria Cannabis ETF | |||||||||||||||
| Actual | $ | 1,000.00 | $ | 720.70 | 0.42% | $ | 1.82 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.09 | 0.42% | $ | 2.14 | ||||||||
| Cambria Global Real Estate ETF | |||||||||||||||
| Actual | $ | 1,000.00 | $ | 1,051.10 | 0.59% | $ | 3.05 | ||||||||
| Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.23 | 0.59% | $ | 3.01 | ||||||||
| (a) | The Fund's expense ratios have been annualized based on the Fund's most recent fiscal half-year expenses. |
| (b) | Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year 184/365 (to reflect the half-year period). |
| Semi-Annual Report | October 31, 2021 | 71 |
| Cambria ETF Trust | Supplemental Information |
| October 31, 2021 (Unaudited) |
Net asset value, or “NAV”, is the price per share at which a Fund issues and redeems shares. It is calculated in accordance with the standard formula for valuing mutual fund shares. The “Market Price” of a Fund generally is determined using the midpoint between the highest bid and the lowest offer on the stock exchange on which the Shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. A Fund’s Market Price may be at, above or below its NAV. The NAV of a Fund will fluctuate with changes in the market value of the Fund’s holdings. The Market Price of a Fund generally fluctuates in response to changes in its NAV, as well as market supply and demand. The data represented in the table below represents past performance and cannot be used to predict future results.
Premiums or discounts are the differences (expressed as a percentage) between the NAV and Market Price of a Fund on a given day, generally at the time NAV is calculated. A premium is the amount that a Fund is trading above the reported NAV, expressed as a percentage of a NAV. A discount is the amount that the Fund is trading below the reported NAV, expressed as a percentage of the NAV.
| Market Price | Market Price, | |||||
| One Year Total Return | End of Period | |||||
| Cambria Shareholder Yield ETF | 83.73% | $ | 62.66 | |||
| Cambria Foreign Shareholder Yield ETF | 47.91% | 27.65 | ||||
| Cambria Global Value ETF | 55.37% | 24.06 | ||||
| Cambria Global Momentum ETF | 31.75% | 30.48 | ||||
| Cambria Global Asset Allocation ETF | 25.17% | 31.96 | ||||
| Cambria Value and Momentum ETF | 45.58% | 25.14 | ||||
| Cambria Global Tail Risk ETF | -8.96% | 22.26 | ||||
| Cambria Emerging Shareholder Yield ETF | 34.39% | 35.71 | ||||
| Cambria Tail Risk ETF | -15.79% | 18.04 | ||||
| Cambria Trinity ETF | 29.70% | 27.94 | ||||
| Cambria Cannabis ETF | 26.02% | 13.40 | ||||
| Cambria Global Real Estate ETF | 36.07% | 32.59 | ||||
| FUND PROXY VOTING POLICIES & PROCEDURES |
The Funds’ policies and procedures used to determine how to vote proxies relating to portfolio securities are available, without charge and upon request, by calling 855–ETF–INFO (383–4636). This information is also available on the SEC’s website at www.sec.gov.
Information regarding how each Fund voted proxies for portfolio securities, if applicable, during the most recent 12–month period ended June 30, is also available without charge and upon request, by calling 855–ETF–INFO (383–4636) or accessing the Trust’s Forms N–PX on the SEC’s website at www.sec.gov.
| PORTFOLIO HOLDINGS |
Quarterly holdings as of the first and third fiscal quarters are available on the Funds’ website at www.cambriafunds.com. The Funds file complete schedules of their portfolio holdings with the SEC for the first and third fiscal quarters on Form N-PORT. Copies of the Funds’ Form N-PORT reports are available, without charge and upon request, by calling 855–ETF–INFO (383–4636). This information is also available on the SEC’s website at www.sec.gov.
| PREMIUM/DISCOUNT INFORMATION |
A table showing the number of days the market price of each Fund’s shares was greater than the Fund’s net asset value and the number of days it was less than the Fund’s net asset value (i.e., premium or discount) for the most recently completed calendar year, and the most recently completed calendar quarters since that year end (or the life of the Fund, if shorter) are available on the Funds’ website at www.cambriafunds.com.
| 72 | www.cambriafunds.com |
Investment Adviser:
Cambria Investment Management, L.P.
2321 Rosecrans Avenue
Suite 3225
El Segundo, CA 90245
Distributor:
ALPS Distributors Inc.
1290 Broadway Suite 1000
Denver, CO 80203
Legal Counsel:
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004-2541
Independent Registered Public Accounting Firm:
Cohen & Company, Ltd.
342 N Water St Suite 830
Milwaukee, WI 53202
This information must be preceded or accompanied by a current prospectus.