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

 

 

 

Schedules of Investments  
Cambria Shareholder Yield ETF 1
Cambria Foreign Shareholder Yield ETF 4
Cambria Global Value ETF 7
Cambria Global Momentum ETF 11
Cambria Global Asset Allocation ETF 13
Cambria Value and Momentum ETF 16
Cambria Global Tail Risk ETF 19
Cambria Emerging Shareholder Yield ETF 21
Cambria Tail Risk ETF 24
Cambria Trinity ETF 25
Cambria Cannabis ETF 28
Cambria Global Real Estate ETF 30
Statements of Assets and Liabilities 32
Statements of Operations 35
Statements of Changes in Net Assets 38
Financial Highlights 44
Notes to Financial Statements 56
Disclosure of Fund Expenses (Unaudited) 70
Supplemental Information (Unaudited) 72

 

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

 

 

 

Cambria Value and Momentum ETF

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