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, 2022
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, 2022 (Unaudited) |
| Sector Weightings | ||||
| Cambria Shareholder Yield ETF | ||||
| Consumer Discretionary | 26.31 | % | ||
| Financials | 22.94 | % | ||
| Materials | 19.10 | % | ||
| Energy | 13.80 | % | ||
| Health Care | 6.37 | % | ||
| Industrials | 4.93 | % | ||
| Information Technology | 4.77 | % | ||
| Consumer Staples | 1.15 | % | ||
| Communication Services | 0.63 | % | ||
| 100.00 | % | |||
Percentages based on total investments, excluding investments purchased with collateral from securities loaned.
| Cambria Shareholder Yield ETF | Shares | Value | ||||||
| Common Stocks (99.34%) | ||||||||
| Communication Services (0.63%) | ||||||||
| Lumen Technologies, Inc. | 525,620 | $ | 3,868,563 | |||||
| Consumer Discretionary (26.13%) | ||||||||
| Abercrombie & Fitch Co., Class A(a) | 208,939 | 3,673,148 | ||||||
| Adtalem Global Education, Inc.(a) | 148,719 | 6,201,582 | ||||||
| Advance Auto Parts, Inc. | 34,850 | 6,618,712 | ||||||
| AutoNation, Inc.(a) | 66,215 | 7,039,317 | ||||||
| Bed Bath & Beyond, Inc.(a)(b) | 655,994 | 2,997,893 | ||||||
| Big 5 Sporting Goods Corp.(b) | 359,351 | 4,632,034 | ||||||
| Big Lots, Inc.(b) | 249,297 | 4,704,234 | ||||||
| Caleres, Inc. | 222,220 | 6,073,273 | ||||||
| Citi Trends, Inc.(a) | 223,192 | 5,046,371 | ||||||
| Dick's Sporting Goods, Inc.(b) | 52,070 | 5,923,483 | ||||||
| Dillard's, Inc., Class A(b) | 30,757 | 10,112,594 | ||||||
| Ethan Allen Interiors, Inc. | 218,120 | 5,581,691 | ||||||
| Foot Locker, Inc. | 150,470 | 4,769,899 | ||||||
| Grand Canyon Education, Inc.(a) | 64,985 | 6,539,441 | ||||||
| Haverty Furniture Cos., Inc. | 169,125 | 4,495,343 | ||||||
| Hibbett, Inc. | 91,271 | 5,697,136 | ||||||
| LKQ Corp. | 110,364 | 6,140,653 | ||||||
| Macy's, Inc. | 266,295 | 5,552,251 | ||||||
| ODP Corp.(a) | 125,255 | 4,956,340 | ||||||
| Oxford Industries, Inc. | 58,028 | 5,903,188 | ||||||
| Penske Automotive Group, Inc. | 76,055 | 8,489,259 | ||||||
| PulteGroup, Inc. | 129,355 | 5,172,906 | ||||||
| Smith & Wesson Brands, Inc. | 378,635 | 4,274,789 | ||||||
| Sturm Ruger & Co., Inc. | 82,410 | 4,625,673 | ||||||
| Shares | Value | |||||||
| Consumer Discretionary (continued) | ||||||||
| Tapestry, Inc. | 157,030 | $ | 4,974,710 | |||||
| Toll Brothers, Inc. | 173,225 | 7,462,533 | ||||||
| Tri Pointe Homes, Inc.(a) | 268,550 | 4,498,213 | ||||||
| Whirlpool Corp. | 36,080 | 4,987,699 | ||||||
| Zumiez, Inc.(a) | 191,378 | 4,292,609 | ||||||
| 161,436,974 | ||||||||
| Consumer Staples (1.14%) | ||||||||
| Sprouts Farmers Market, Inc.(a) | 239,235 | 7,057,433 | ||||||
| Energy (13.71%) | ||||||||
| APA Corp. | 139,195 | 6,327,805 | ||||||
| California Resources Corp. | 127,920 | 5,770,471 | ||||||
| Chord Energy Corp. | 59,568 | 9,119,265 | ||||||
| CNX Resources Corp.(a) | 359,160 | 6,037,480 | ||||||
| CVR Energy, Inc. | 297,865 | 11,634,607 | ||||||
| Diamondback Energy, Inc. | 48,995 | 7,697,604 | ||||||
| Exxon Mobil Corp. | 69,085 | 7,655,309 | ||||||
| Marathon Oil Corp. | 227,345 | 6,922,655 | ||||||
| Marathon Petroleum Corp. | 56,607 | 6,431,687 | ||||||
| Pioneer Natural Resources Co. | 25,152 | 6,449,224 | ||||||
| Valero Energy Corp. | 84,665 | 10,629,691 | ||||||
| 84,675,798 | ||||||||
| Financials (22.79%) | ||||||||
| Aflac, Inc. | 100,040 | 6,513,604 | ||||||
| Allstate Corp. | 46,330 | 5,849,162 | ||||||
| Ally Financial, Inc. | 152,339 | 4,198,463 | ||||||
| American Financial Group, Inc. | 44,280 | 6,425,471 | ||||||
| Ameriprise Financial, Inc. | 24,805 | 7,667,722 | ||||||
| Assured Guaranty, Ltd. | 123,205 | 7,292,504 | ||||||
| Cathay General Bancorp | 150,880 | 6,880,128 | ||||||
| Comerica, Inc. | 86,715 | 6,113,407 | ||||||
| Discover Financial Services | 51,455 | 5,374,989 | ||||||
| Encore Capital Group, Inc.(a) | 100,450 | 5,114,914 | ||||||
| Federated Hermes, Inc. | 179,990 | 6,254,653 | ||||||
| Hilltop Holdings, Inc. | 183,065 | 5,299,732 | ||||||
| Hope Bancorp, Inc. | 408,360 | 5,541,445 | ||||||
| Lincoln National Corp. | 86,100 | 4,638,207 | ||||||
| Loews Corp. | 101,065 | 5,762,726 | ||||||
| MetLife, Inc. | 85,690 | 6,273,365 | ||||||
| Mr Cooper Group, Inc.(a) | 120,335 | 4,752,029 | ||||||
| Northwest Bancshares, Inc. | 383,673 | 5,778,115 | ||||||
| Principal Financial Group, Inc. | 90,405 | 7,967,393 | ||||||
| Regions Financial Corp. | 258,076 | 5,664,768 | ||||||
| SLM Corp. | 325,950 | 5,407,511 | ||||||
| Synchrony Financial | 126,895 | 4,512,386 | ||||||
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2022 | 1 |
| Cambria Shareholder Yield ETF | Schedule of Investments |
| October 31, 2022 (Unaudited) |
| Shares | Value | |||||||
| Financials (continued) | ||||||||
| Voya Financial, Inc. | 83,025 | $ | 5,675,589 | |||||
| Zions Bancorp NA | 112,340 | 5,834,940 | ||||||
| 140,793,223 | ||||||||
| Health Care (6.33%) | ||||||||
| Allscripts Healthcare Solutions, Inc.(a) | 256,455 | 3,769,889 | ||||||
| AMN Healthcare Services, Inc.(a) | 51,532 | 6,467,266 | ||||||
| Cigna Corp. | 23,370 | 7,549,912 | ||||||
| McKesson Corp. | 27,470 | 10,695,994 | ||||||
| Quest Diagnostics, Inc. | 37,128 | 5,333,437 | ||||||
| Universal Health Services, Inc., Class B | 45,715 | 5,296,997 | ||||||
| 39,113,495 | ||||||||
| Industrials (4.89%) | ||||||||
| Boise Cascade Co. | 95,940 | 6,405,914 | ||||||
| Crane Holdings Co. | 51,308 | 5,148,245 | ||||||
| ManpowerGroup, Inc. | 67,482 | 5,286,540 | ||||||
| Matson, Inc. | 79,950 | 5,882,721 | ||||||
| Veritiv Corp.(a) | 64,668 | 7,518,301 | ||||||
| 30,241,721 | ||||||||
| Information Technology (4.74%) | ||||||||
| Arrow Electronics, Inc.(a) | 48,175 | 4,878,200 | ||||||
| DXC Technology Co.(a) | 172,610 | 4,962,537 | ||||||
| HP, Inc. | 198,030 | 5,469,589 | ||||||
| Sanmina Corp.(a) | 115,650 | 6,482,183 | ||||||
| Western Union Co. | 284,958 | 3,849,783 | ||||||
| Xerox Holdings Corp. | 247,435 | 3,619,974 | ||||||
| 29,262,266 | ||||||||
| Materials (18.98%) | ||||||||
| Alpha Metallurgical Resources, Inc. | 42,803 | 7,227,287 | ||||||
| CF Industries Holdings, Inc. | 54,374 | 5,777,781 | ||||||
| Dow, Inc. | 113,775 | 5,317,843 | ||||||
| DuPont de Nemours, Inc. | 85,690 | 4,901,468 | ||||||
| Greif, Inc., Class A | 91,430 | 6,053,580 | ||||||
| Huntsman Corp. | 193,110 | 5,167,624 | ||||||
| International Paper Co. | 132,291 | 4,446,301 | ||||||
| Louisiana-Pacific Corp. | 146,165 | 8,280,247 | ||||||
| LyondellBasell Industries NV, Class A | 58,425 | 4,466,591 | ||||||
| Mosaic Co. | 184,295 | 9,905,856 | ||||||
| Nucor Corp. | 82,000 | 10,773,160 | ||||||
| Olin Corp. | 107,010 | 5,666,180 | ||||||
| Reliance Steel & Aluminum Co. | 36,285 | 7,310,702 | ||||||
| Resolute Forest Products, Inc.(a) | 313,480 | 6,523,519 | ||||||
| Ryerson Holding Corp. | 276,135 | 9,264,329 | ||||||
| Shares | Value | |||||||
| Materials (continued) | ||||||||
| Steel Dynamics, Inc. | 124,640 | $ | 11,722,392 | |||||
| Worthington Industries, Inc. | 93,070 | 4,426,409 | ||||||
| 117,231,269 | ||||||||
| Total Common Stocks | ||||||||
| (Cost $626,730,058) | 613,680,742 | |||||||
| Shares | Value | |||||||
| Short-Term Investment (2.87%) | ||||||||
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 3.01%(c)(d) |
17,734,232 | $ | 17,734,232 | |||||
| Total Short-Term Investment | ||||||||
| (Cost $17,734,232) | 17,734,232 | |||||||
| Total Investments (102.21%) | ||||||||
| (Cost $644,464,290) | $ | 631,414,974 | ||||||
| Liabilities Less Other Assets (-2.21%) | (13,635,194 | ) | ||||||
| Net Assets (100.00%) | $ | 617,779,780 | ||||||
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, 2022. The total value of securities on loan at October 31, 2022 was $17,412,667. |
| (c) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of October 31, 2022 was $17,734,232. |
| (d) | Rate shown is the 7-day effective yield as of October 31, 2022. |
As of October 31, 2022, 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.
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. | |
| 2 | www.cambriafunds.com |
| Cambria Foreign Shareholder Yield ETF | Schedule of Investments |
| October 31, 2022 (Unaudited) |
| Sector Weightings | ||||
| Cambria Foreign Shareholder Yield ETF | ||||
| Financials | 20.88 | % | ||
| Materials | 20.84 | % | ||
| Industrials | 16.79 | % | ||
| Energy | 15.08 | % | ||
| Consumer Discretionary | 7.56 | % | ||
| Consumer Staples | 6.78 | % | ||
| Communication Services | 5.63 | % | ||
| Information Technology | 5.17 | % | ||
| Real Estate | 1.27 | % | ||
| 100.00 | % | |||
Percentages based on total investments, excluding investments purchased with collateral from securities loaned.
| Cambria Foreign Shareholder Yield ETF | Shares | Value | ||||||
| Common Stocks (98.17%) | ||||||||
| Australia (8.28%) | ||||||||
| CSR, Ltd. | 238,350 | $ | 705,895 | |||||
| Downer EDI, Ltd. | 216,450 | 621,652 | ||||||
| Fortescue Metals Group, Ltd. | 88,950 | 836,387 | ||||||
| GrainCorp, Ltd., Class A | 176,325 | 944,024 | ||||||
| Mineral Resources, Ltd. | 27,600 | 1,291,066 | ||||||
| Super Retail Group, Ltd. | 117,825 | 774,773 | ||||||
| Whitehaven Coal, Ltd. | 133,050 | 768,504 | ||||||
| Yancoal Australia, Ltd.(a) | 209,400 | 691,147 | ||||||
| 6,633,448 | ||||||||
| Canada (14.12%) | ||||||||
| Canadian Natural Resources, Ltd. | 15,000 | 899,659 | ||||||
| Corus Entertainment, Inc., Class B | 360,000 | 568,136 | ||||||
| Crescent Point Energy Corp. | 127,500 | 996,715 | ||||||
| Great-West Lifeco, Inc. | 26,261 | 607,973 | ||||||
| Home Capital Group, Inc. | 37,500 | 725,034 | ||||||
| Imperial Oil, Ltd. | 30,000 | 1,631,960 | ||||||
| Interfor Corp. | 30,000 | 532,903 | ||||||
| Labrador Iron Ore Royalty Corp.(a) | 43,812 | 908,174 | ||||||
| Mullen Group, Ltd. | 97,500 | 979,759 | ||||||
| Stelco Holdings, Inc. | 37,500 | 944,416 | ||||||
| Suncor Energy, Inc. | 30,000 | 1,031,893 | ||||||
| West Fraser Timber Co., Ltd. | 7,500 | 563,126 | ||||||
| Whitecap Resources, Inc. | 120,000 | 930,157 | ||||||
| 11,319,905 | ||||||||
| Shares | Value | |||||||
| Denmark (2.52%) | ||||||||
| D/S Norden A/S | 18,000 | $ | 933,650 | |||||
| Scandinavian Tobacco Group A/S, Class A(b) | 64,875 | 1,087,522 | ||||||
| 2,021,172 | ||||||||
| Finland (1.15%) | ||||||||
| Sampo Oyj(c) | 20,100 | 919,298 | ||||||
| France (5.81%) | ||||||||
| AXA SA | 37,125 | 917,219 | ||||||
| Carrefour SA | 54,600 | 878,713 | ||||||
| Coface SA | 70,200 | 781,858 | ||||||
| Metropole Television SA | 44,250 | 457,854 | ||||||
| Nexity SA | 32,400 | 649,351 | ||||||
| TotalEnergies SE | 17,775 | 967,894 | ||||||
| 4,652,889 | ||||||||
| Germany (1.72%) | ||||||||
| DWS Group GmbH & Co. KGaA(b) | 20,175 | 546,299 | ||||||
| Freenet AG | 42,300 | 832,297 | ||||||
| 1,378,596 | ||||||||
| Great Britain (12.67%) | ||||||||
| abrdn PLC | 413,850 | 754,620 | ||||||
| Anglo American PLC | 18,375 | 549,676 | ||||||
| Aviva PLC | 144,606 | 693,354 | ||||||
| Balfour Beatty PLC | 224,325 | 768,168 | ||||||
| BP PLC | 220,425 | 1,212,857 | ||||||
| British American Tobacco PLC | 27,825 | 1,095,622 | ||||||
| Direct Line Insurance Group PLC | 343,982 | 796,059 | ||||||
| Legal & General Group PLC | 227,858 | 608,586 | ||||||
| Man Group PLC | 257,850 | 640,788 | ||||||
| Persimmon PLC | 41,700 | 624,073 | ||||||
| Quilter PLC(b) | 593,939 | 658,381 | ||||||
| Rio Tinto PLC | 20,406 | 1,061,733 | ||||||
| WPP PLC | 78,900 | 693,097 | ||||||
| 10,157,014 | ||||||||
| Hong Kong (7.13%) | ||||||||
| China Resources Cement Holdings, Ltd. | 1,087,500 | 393,457 | ||||||
| Kingboard Holdings, Ltd. | 187,500 | 462,441 | ||||||
| Kingboard Laminates Holdings, Ltd. | 585,000 | 467,276 | ||||||
| Lee & Man Paper Manufacturing, Ltd. | 1,875,000 | 568,497 | ||||||
| New World Development Co., Ltd. | 172,500 | 352,927 | ||||||
| Orient Overseas International, Ltd. | 37,500 | 547,954 | ||||||
| Pacific Basin Shipping, Ltd. | 1,725,000 | 417,534 | ||||||
| PC Partner Group, Ltd.(a) | 1,050,000 | 501,615 | ||||||
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2022 | 3 |
| Cambria Foreign Shareholder Yield ETF | Schedule of Investments |
| October 31, 2022 (Unaudited) |
| Shares | Value | |||||||
| Hong Kong (continued) | ||||||||
| Shougang Fushan Resources Group, Ltd. | 2,700,000 | $ | 732,644 | |||||
| Skyworth Group, Ltd. | 1,950,000 | 715,446 | ||||||
| VTech Holdings, Ltd. | 105,000 | 558,464 | ||||||
| 5,718,255 | ||||||||
| Italy (3.63%) | ||||||||
| Anima Holding SpA(b) | 187,575 | 581,323 | ||||||
| Eni SpA | 71,100 | 931,287 | ||||||
| Unipol Gruppo SpA | 173,400 | 746,455 | ||||||
| UnipolSai Assicurazioni SpA | 287,775 | 648,986 | ||||||
| 2,908,051 | ||||||||
| Japan (26.11%) | ||||||||
| Aozora Bank, Ltd. | 37,500 | 644,860 | ||||||
| Citizen Watch Co., Ltd. | 217,500 | 914,204 | ||||||
| Dai-ichi Life Holdings, Inc. | 52,500 | 832,367 | ||||||
| Gree, Inc. | 150,000 | 844,346 | ||||||
| Hakuto Co., Ltd. | 45,000 | 1,160,597 | ||||||
| Inabata & Co., Ltd. | 52,500 | 867,497 | ||||||
| Inpex Corp. | 82,500 | 842,227 | ||||||
| Japan Post Insurance Co., Ltd. | 52,500 | 775,699 | ||||||
| Japan Tobacco, Inc. | 37,500 | 621,406 | ||||||
| Joyful Honda Co., Ltd. | 75,000 | 914,960 | ||||||
| Kamigumi Co., Ltd. | 45,000 | 855,846 | ||||||
| Kewpie Corp. | 45,000 | 710,885 | ||||||
| Meiwa Corp.(a) | 120,375 | 591,776 | ||||||
| Mitsubishi Logistics Corp. | 30,000 | 658,731 | ||||||
| Mitsuboshi Belting, Ltd. | 37,500 | 798,194 | ||||||
| Mitsui & Co., Ltd. | 45,000 | 996,570 | ||||||
| NGK Spark Plug Co., Ltd. | 45,000 | 820,135 | ||||||
| Nippon Yusen KK | 59,200 | 1,074,554 | ||||||
| Nisshinbo Holdings, Inc. | 112,500 | 780,793 | ||||||
| Nitto Kogyo Corp. | 52,500 | 869,263 | ||||||
| Press Kogyo Co., Ltd. | 285,000 | 797,337 | ||||||
| Sompo Holdings, Inc. | 22,500 | 937,103 | ||||||
| Sumitomo Osaka Cement Co., Ltd. | 30,000 | 638,555 | ||||||
| Sumitomo Warehouse Co., Ltd. | 60,000 | 814,688 | ||||||
| Tokio Marine Holdings, Inc. | 28,400 | 513,967 | ||||||
| Yamato Kogyo Co., Ltd. | 22,500 | 653,687 | ||||||
| 20,930,247 | ||||||||
| Luxembourg (2.67%) | ||||||||
| ArcelorMittal SA | 37,200 | 832,864 | ||||||
| ArcelorMittal SA(a) | 33,900 | 759,315 | ||||||
| RTL Group SA | 16,200 | 549,771 | ||||||
| 2,141,950 | ||||||||
| Shares | Value | |||||||
| Netherlands (2.61%) | ||||||||
| ASR Nederland NV | 23,190 | $ | 1,021,892 | |||||
| NN Group NV | 25,350 | 1,073,484 | ||||||
| 2,095,376 | ||||||||
| New Zealand (0.77%) | ||||||||
| Fletcher Building, Ltd. | 205,725 | 614,786 | ||||||
| Norway (2.58%) | ||||||||
| Elkem ASA(b)(c) | 262,125 | 871,888 | ||||||
| Telenor ASA | 53,403 | 485,428 | ||||||
| Yara International ASA | 15,975 | 712,995 | ||||||
| 2,070,311 | ||||||||
| Spain (1.21%) | ||||||||
| Repsol SA | 71,250 | 967,824 | ||||||
| Sweden (3.62%) | ||||||||
| Betsson AB | 180,300 | 1,312,912 | ||||||
| SSAB AB | 206,100 | 958,335 | ||||||
| SSAB AB | 130,425 | 627,720 | ||||||
| 2,898,967 | ||||||||
| Switzerland (1.57%) | ||||||||
| Ferrexpo PLC | 382,050 | 447,336 | ||||||
| Glencore PLC | 141,450 | 810,265 | ||||||
| 1,257,601 | ||||||||
| Total Common Stocks | ||||
| (Cost $92,356,464) | 78,685,690 | |||
| 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, 2022 (Unaudited) |
| Shares | Value | |||||||
| Short-Term Investment (2.14%) | ||||||||
| Fidelity
Investments Money Market Treasury Portfolio Institutional Class, 3.01%(d)(e) |
1,711,689 | $ | 1,711,689 | |||||
| Total Short-Term Investment | ||||||||
| (Cost $1,711,689) | 1,711,689 | |||||||
| Total Investments (100.31%) | ||||||||
| (Cost $94,068,153) | $ | 80,397,379 | ||||||
| Liabilities Less Other Assets (-0.31%) | (245,949 | ) | ||||||
| Net Assets (100.00%) | $ | 80,151,430 | ||||||
Percentages based on Net Assets.
| (a) | This security or a partial position of this security is on loan at October 31, 2022. The total value of securities on loan at October 31, 2022 was $1,741,050. |
| (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, 2022, the fair value of securities restricted under Rule 144A in the aggregate was $3,745,413, representing 4.67% of net assets. |
| (c) | Non-income producing security. |
| (d) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of October 31, 2022 was $1,711,689. |
| (e) | Rate shown is the 7-day effective yield as of October 31, 2022. |
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, 2022, 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.
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, 2022 | 5 |
| Cambria Global Value ETF | Schedule of Investments |
| October 31, 2022 (Unaudited) |
| Sector Weightings | ||||
| Cambria Global Value ETF | ||||
| Financials | 33.93 | % | ||
| Utilities | 14.85 | % | ||
| Materials | 13.28 | % | ||
| Energy | 10.88 | % | ||
| Industrials | 9.76 | % | ||
| Consumer Staples | 7.16 | % | ||
| Real Estate | 3.26 | % | ||
| Communication Services | 2.59 | % | ||
| Consumer Discretionary | 1.78 | % | ||
| Health Care | 0.93 | % | ||
| Information Technology | 0.91 | % | ||
| Other | 0.67 | % | ||
| 100.00 | % | |||
Percentages based on total investments, excluding investments purchased with collateral from securities loaned.
| Cambria Global Value ETF | Shares | Value | ||||||
| Common Stocks (98.86%) | ||||||||
| Austria (0.66%) | ||||||||
| Erste Group Bank AG | 24,606 | $ | 613,759 | |||||
| Brazil (9.55%) | ||||||||
| Atacadao SA | 243,800 | 919,412 | ||||||
| Banco Santander Brasil SA(a) | 148,400 | 852,966 | ||||||
| Centrais Eletricas Brasileiras SA | 127,200 | 1,229,030 | ||||||
| Cia Siderurgica Nacional SA | 243,800 | 578,644 | ||||||
| Gerdau SA | 180,200 | 898,994 | ||||||
| Itau Unibanco Holding SA | 212,000 | 1,245,200 | ||||||
| JBS SA | 137,800 | 666,125 | ||||||
| Petroleo Brasileiro SA | 148,400 | 856,126 | ||||||
| Telefonica Brasil SA | 95,400 | 765,158 | ||||||
| Vale SA | 63,600 | 825,181 | ||||||
| 8,836,836 | ||||||||
| Chile (8.98%) | ||||||||
| Banco Santander Chile | 19,372,984 | 694,019 | ||||||
| CAP SA | 80,242 | 429,386 | ||||||
| Cencosud SA | 599,112 | 806,436 | ||||||
| Cia Sud Americana de Vapores SA | 8,424,350 | 584,838 | ||||||
| Colbun SA | 13,638,278 | 1,340,122 | ||||||
| Empresas CMPC SA | 643,420 | 1,020,880 | ||||||
| Empresas COPEC SA | 133,348 | 918,949 | ||||||
| Enel Americas SA | 9,074,024 | 899,035 | ||||||
| Shares | Value | |||||||
| Chile (continued) | ||||||||
| Falabella SA | 354,464 | $ | 693,074 | |||||
| Quinenco SA | 347,044 | 922,876 | ||||||
| 8,309,615 | ||||||||
| Czech Republic (8.52%) | ||||||||
| CEZ AS | 68,794 | 2,249,804 | ||||||
| Komercni Banka AS | 73,352 | 2,104,190 | ||||||
| Moneta Money Bank AS(b) | 651,794 | 1,902,645 | ||||||
| Philip Morris CR AS | 2,438 | 1,632,027 | ||||||
| 7,888,666 | ||||||||
| Great Britain (8.47%) | ||||||||
| Anglo American PLC | 21,942 | 656,380 | ||||||
| Aviva PLC | 134,692 | 645,819 | ||||||
| Barclays PLC | 515,584 | 873,665 | ||||||
| BP PLC | 184,334 | 1,014,271 | ||||||
| Legal & General Group PLC | 308,884 | 824,999 | ||||||
| Lloyds Banking Group PLC | 1,754,406 | 845,424 | ||||||
| Rio Tinto PLC | 14,098 | 733,525 | ||||||
| Segro PLC | 65,084 | 585,912 | ||||||
| Shell PLC | 33,708 | 929,300 | ||||||
| Vodafone Group PLC | 625,612 | 729,219 | ||||||
| 7,838,514 | ||||||||
| Greece (–%)(c) | ||||||||
| FF Group(d)(e)(f)(g) | 25,407 | 0 | ||||||
| Malaysia (8.16%) | ||||||||
| CIMB Group Holdings Bhd | 816,200 | 952,924 | ||||||
| Hartalega Holdings Bhd | 943,400 | 430,995 | ||||||
| Hong Leong Bank Bhd | 201,400 | 901,359 | ||||||
| Malayan Banking Bhd | 466,400 | 847,372 | ||||||
| Petronas Chemicals Group Bhd | 402,800 | 742,897 | ||||||
| Public Bank Bhd | 901,000 | 851,834 | ||||||
| RHB Bank Bhd | 689,000 | 833,562 | ||||||
| Sime Darby Bhd | 1,770,200 | 842,417 | ||||||
| Sime Darby Plantation Bhd | 784,400 | 729,983 | ||||||
| Top Glove Corp. Bhd | 2,491,000 | 418,854 | ||||||
| 7,552,197 | ||||||||
| Norway (5.89%) | ||||||||
| Aker BP ASA | 16,854 | 537,258 | ||||||
| DNO ASA | 414,142 | 540,177 | ||||||
| Elkem ASA(b)(e) | 154,442 | 513,710 | ||||||
| Equinor ASA | 15,264 | 558,443 | ||||||
| Golden Ocean Group, Ltd. | 64,448 | 529,413 | ||||||
| Norsk Hydro ASA | 87,344 | 554,336 | ||||||
| Storebrand ASA | 75,472 | 586,577 | ||||||
| The accompanying notes are an integral part of the financial statements. | |
| 6 | www.cambriafunds.com |
| Cambria Global Value ETF | Schedule of Investments |
| October 31, 2022 (Unaudited) |
| Shares | Value | |||||||
| Norway (continued) | ||||||||
| TGS ASA | 38,584 | $ | 527,015 | |||||
| Var Energi ASA | 136,740 | 466,272 | ||||||
| Yara International ASA | 14,310 | 638,683 | ||||||
| 5,451,884 | ||||||||
| Poland (7.01%) | ||||||||
| Alior Bank SA(a)(e) | 123,596 | 761,132 | ||||||
| Jastrzebska Spolka Weglowa SA(a) | 61,268 | 533,100 | ||||||
| KGHM Polska Miedz SA | 30,634 | 613,822 | ||||||
| Lubelski Wegiel Bogdanka SA(a) | 80,136 | 562,317 | ||||||
| PGE Polska Grupa Energetyczna SA(e) | 441,172 | 503,632 | ||||||
| Polski Koncern Naftowy ORLEN SA | 126,380 | 1,453,838 | ||||||
| Polskie Gornictwo Naftowe i Gazownictwo SA(e) | 697,056 | 751,648 | ||||||
| Powszechny Zaklad Ubezpieczen SA | 142,676 | 800,929 | ||||||
| Tauron Polska Energia SA(e) | 1,253,980 | 509,304 | ||||||
| 6,489,722 | ||||||||
| Portugal (9.62%) | ||||||||
| Altri SGPS SA | 139,920 | 779,185 | ||||||
| Banco Comercial Portugues SA | 6,318,130 | 901,618 | ||||||
| Energias de Portugal SA | 210,304 | 919,661 | ||||||
| Galp Energia SGPS SA | 83,104 | 843,860 | ||||||
| Greenvolt-Energias Renovaveis SA(e) | 27,370 | 210,437 | ||||||
| Jeronimo Martins SGPS SA | 46,004 | 953,823 | ||||||
| Mota-Engil SGPS SA | 723,450 | 867,948 | ||||||
| Navigator Co. SA | 233,306 | 889,518 | ||||||
| NOS SGPS SA | 222,706 | 872,433 | ||||||
| REN - Redes Energeticas Nacionais SGPS SA | 318,742 | 825,291 | ||||||
| Sonae SGPS SA | 870,896 | 837,855 | ||||||
| 8,901,629 | ||||||||
| Russia (–%)(c) | ||||||||
| Alrosa PJSC(d)(f)(g) | 1,262,976 | 0 | ||||||
| Gazprom Neft PJSC(d)(f)(g) | 334,880 | 0 | ||||||
| Gazprom PJSC(d)(f)(g) | 373,048 | 0 | ||||||
| Rosneft Oil Co. PJSC(d)(f)(g) | 198,016 | 0 | ||||||
| Sberbank of Russia PJSC(d)(e)(f)(g) | 287,609 | 0 | ||||||
| Severstal PAO(d)(f)(g) | 82,992 | 0 | ||||||
| Unipro PJSC(d)(f)(g) | 22,421,984 | 0 | ||||||
| 0 | ||||||||
| Singapore (9.31%) | ||||||||
| Capitaland Investment, Ltd./Singapore | 318,000 | 676,166 | ||||||
| CDL Hospitality Trusts | 23,850 | 19,544 | ||||||
| City Developments, Ltd. | 169,600 | 914,134 | ||||||
| Shares | Value | |||||||
| Singapore (continued) | ||||||||
| Genting Singapore, Ltd. | 1,643,000 | $ | 934,314 | |||||
| Jardine Cycle & Carriage, Ltd. | 42,400 | 890,771 | ||||||
| Oversea-Chinese Banking Corp., Ltd. | 106,000 | 908,293 | ||||||
| Sembcorp Industries, Ltd. | 445,200 | 915,182 | ||||||
| Singapore Airlines, Ltd.(e) | 243,800 | 905,897 | ||||||
| United Overseas Bank, Ltd. | 42,400 | 831,467 | ||||||
| UOL Group, Ltd. | 180,200 | 787,961 | ||||||
| Venture Corp., Ltd. | 74,200 | 834,986 | ||||||
| 8,618,715 | ||||||||
| Spain (9.32%) | ||||||||
| Acciona SA | 4,876 | 877,486 | ||||||
| Banco Bilbao Vizcaya Argentaria SA | 191,118 | 983,836 | ||||||
| Banco Santander SA | 328,812 | 852,015 | ||||||
| CaixaBank SA | 298,284 | 988,394 | ||||||
| Enagas SA | 43,566 | 707,163 | ||||||
| Endesa SA | 45,368 | 757,037 | ||||||
| Ferrovial SA | 37,206 | 908,558 | ||||||
| Iberdrola SA | 82,786 | 840,631 | ||||||
| Mapfre SA | 528,728 | 906,564 | ||||||
| Naturgy Energy Group SA | 31,482 | 807,670 | ||||||
| 8,629,354 | ||||||||
| Turkey (13.37%) | ||||||||
| Akbank TAS | 1,601,342 | 1,257,726 | ||||||
| Eregli Demir ve Celik Fabrikalari TAS | 425,590 | 679,051 | ||||||
| Haci Omer Sabanci Holding AS | 712,744 | 1,284,255 | ||||||
| KOC Holding AS | 355,312 | 1,061,302 | ||||||
| Petkim Petrokimya Holding AS(e) | 1,497,250 | 1,081,056 | ||||||
| Turkiye Halk Bankasi AS(e) | 2,640,248 | 1,168,763 | ||||||
| Turkiye Is Bankasi AS, Class C | 3,014,341 | 1,509,255 | ||||||
| Turkiye Sise ve Cam Fabrikalari AS | 788,322 | 1,406,882 | ||||||
| Turkiye Vakiflar Bankasi TAO, Class D(e) | 3,209,892 | 1,477,834 | ||||||
| Yapi ve Kredi Bankasi AS | 2,933,020 | 1,451,206 | ||||||
| 12,377,330 | ||||||||
| Total Common Stocks | ||||
| (Cost $117,139,649) | 91,508,221 | |||
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2022 | 7 |
| Cambria Global Value ETF | Schedule of Investments |
| October 31, 2022 (Unaudited) |
| Shares | Value | |||||||
| Short-Term Investment (1.11%) | ||||||||
| Fidelity Investments Money Market | ||||||||
| Treasury Portfolio Institutional Class, 3.01%(h)(i) | 1,028,658 | $ | 1,028,658 | |||||
|
Total Short-Term Investment (Cost $1,028,658) |
1,028,658 | |||||||
|
Total Investments (99.97%) (Cost $118,168,307) |
$ | 92,536,879 | ||||||
| Other Assets Less Liabilities (0.03%) | 23,738 | |||||||
| Net Assets (100.00%) | $ | 92,560,617 | ||||||
| Percentages based on Net Assets. | ||||||||
| (a) | This security or a partial position of this security is on loan at October 31, 2022. The total value of securities on loan at October 31, 2022 was $946,017. |
| (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, 2022, the fair value of securities restricted under Rule 144A in the aggregate was $2,416,355, representing 2.61% of net assets. |
| (c) | Less than 0.005%. |
| (d) | Level 3 security in accordance with fair value hierarchy. |
| (e) | Non-income producing security. |
| (f) | These securities are considered to be illiquid. The aggregate value of these securities at October 31, 2022 was $0, which represent 0.00% of the Fund's Net Assets. |
| (g) | Fair valued security; valued by management in accordance with procedures approved by the Fund's Board of Trustees. As of October 31, 2022, these securities had an aggregate market value of $1,265,700 or 1.24% of total net assets. |
| (h) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of October 31, 2022 was $1,028,658. |
| (i) | Rate shown is the 7-day effective yield as of October 31, 2022. |
Investment Abbreviations:
ETF - Exchange Traded Fund
PJSC - Private Joint Stock Company
PLC - Public Limited Company
| The accompanying notes are an integral part of the financial statements. | |
| 8 | www.cambriafunds.com |
| Cambria Global Value ETF | Schedule of Investments |
| October 31, 2022 (Unaudited) |
Investments no longer affiliated as of October 31, 2022:
|
Security Name |
Market Value as of April 30, 2022 |
Purchases | Purchases In-Kind |
Sales | Sales In-Kind |
Market Value as of October 31, 2022 |
Share Balance as of October 31, 2022 |
Dividends | Change in Unrealized Gain (Loss) |
Realized Gain/Loss |
||||||||||||||||||||||||||||||
| iShares MSCI Colombia ETF | $ | 9,137,885 | $ | – | $ | – | $ | (6,550,036 | ) | $ | (635,957 | ) | $ | – | $ | – | $ | 328,977 | $ | (2,573,718 | ) | $ | 621,826 | |||||||||||||||||
| Grand Total | $ | 9,137,885 | $ | – | $ | – | $ | (6,550,036 | ) | $ | (635,957 | ) | $ | – | $ | – | $ | 328,977 | $ | (2,573,718 | ) | $ | 621,826 | |||||||||||||||||
Cambria Global Value ETF
| Investments in Securities at Value | Level 1 - Quoted and Unadjusted Prices |
Level 2 - Other Significant Observable Inputs |
Level 3 - Significant Unobservable Inputs(1) |
Total | ||||||||||||
| Common Stocks | ||||||||||||||||
| Austria | $ | 613,759 | – | $ | – | 613,759 | ||||||||||
| Brazil | 8,836,836 | – | – | 8,836,836 | ||||||||||||
| Chile | 8,309,615 | – | – | 8,309,615 | ||||||||||||
| Czech Republic | 7,888,666 | – | – | 7,888,666 | ||||||||||||
| Great Britain | 7,838,514 | – | – | 7,838,514 | ||||||||||||
| Malaysia | 7,552,197 | – | – | 7,552,197 | ||||||||||||
| Norway | 5,451,884 | – | – | 5,451,884 | ||||||||||||
| Poland | 6,489,722 | – | – | 6,489,722 | ||||||||||||
| Portugal | 8,901,629 | – | – | 8,901,629 | ||||||||||||
| Russia | – | – | 0 | 0 | ||||||||||||
| Singapore | 8,618,715 | – | – | 8,618,715 | ||||||||||||
| Spain | 8,629,354 | – | – | 8,629,354 | ||||||||||||
| Turkey | 12,377,330 | – | – | 12,377,330 | ||||||||||||
| Short-Term Investment | 1,028,658 | – | – | 1,028,658 | ||||||||||||
| Total | $ | 92,536,879 | $ | – | $ | – | $ | 92,536,879 | ||||||||
| (1) | The Fund considers, no cap transfers to Level 3 at the ending of the reporting period, which was $0 at the end of the reporting period. |
Change in unrealized appreciation/depreciation on Level 3 holding as of October 31, 2022 is $(9,000,241).
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, 2022 | 9 |
| Cambria Global Momentum ETF | Schedule of Investments |
| October 31, 2022 (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 (98.11%) | ||||||||
| Global (13.54%) | ||||||||
| Alternative ETF (6.91%) | ||||||||
| iMGP DBi Managed Futures Strategy ETF | 355,264 | $ | 12,174,897 | |||||
| Commodity ETF (6.63%) | ||||||||
| iShares® Global Energy ETF(a) | 291,336 | 11,670,920 | ||||||
| North America (20.48%) | ||||||||
| Equity ETF (6.00%) | ||||||||
| Cambria Tail Risk ETF* | 683,810 | 10,571,703 | ||||||
| Fixed Income ETF (14.48%) | ||||||||
| iShares® 1-3 Year Treasury Bond ETF | 315,004 | 25,515,324 | ||||||
| United States (64.09%) | ||||||||
| Alternative ETF (6.13%) | ||||||||
| First Trust Managed Futures Strategy Fund(a) | 210,694 | 10,807,422 | ||||||
| Equity ETF (14.66%) | ||||||||
| Cambria Value and Momentum ETF* | 923,680 | 25,826,093 | ||||||
| Fixed Income ETF (43.30%) | ||||||||
| iShares® 7-10 Year Treasury Bond ETF | 264,618 | 24,982,585 | ||||||
| iShares® Short Treasury Bond ETF(a) | 232,654 | 25,584,960 | ||||||
| Schwab US TIPS Bond ETF(a) | 491,660 | 25,708,902 | ||||||
| 76,276,447 | ||||||||
| Shares | Value | |||||||
| Fixed Income ETF (continued) | ||||||||
| Total
Exchange Traded Funds (Cost $172,738,446) |
$ | 172,842,806 | ||||||
| Shares | Value | |||||||
| Short-Term Investment (6.10%) | ||||||||
|
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 3.01%(b)(c) |
10,747,472 | $ | 10,747,472 | |||||
| Total
Short-Term Investment (Cost $10,747,472) |
10,747,472 | |||||||
| Total
Investments (104.21%) (Cost $183,485,918) |
$ | 183,590,278 | ||||||
| Liabilities Less Other Assets (-4.21%) | (7,412,936 | ) | ||||||
| Net Assets (100.00%) | $ | 176,177,342 | ||||||
Percentages based on Net Assets.
| * | Affiliated investment is a registered investment company which is managed by Cambria Investment Management, L.P. (the “Investment Adviser”) or an affiliate of the Investment Adviser or which is distributed by an affiliate of the Fund’s distributor. |
| (a) | This security or a partial position of this security is on loan at October 31, 2022. The total value of securities on loan at October 31, 2022 was $10,524,582. |
| (b) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of October 31, 2022 was $10,747,472. |
| (c) | Rate shown is the 7-day effective yield as of October 31, 2022. |
Investment Abbreviations:
ETF - Exchange Traded Fund
FTSE - Financial Times Stock Exchange
| The accompanying notes are an integral part of the financial statements. | |
| 10 | www.cambriafunds.com |
| Cambria Global Momentum ETF | Schedule of Investments |
| October 31, 2022 (Unaudited) |
Transactions with affiliated companies during the period ended October 31, 2022 are as follows:
| Security Name | Market
Value as of April 30, 2022 |
Purchases | Purchases In-Kind | Sales | Sales In-Kind |
Market
Value as of October 31, 2022 |
Share
Balance as of October 31, 2022 |
Dividends | Change
in Unrealized Gain (Loss) |
Realized Gain/Loss |
||||||||||||||||||||||||||||||
| Cambria Tail Risk ETF | $ | – | $ | 6,544,062 | $ | 5,554,975 | $ | – | $ | (372,665 | ) | $ | 10,571,703 | $ | 683,810 | $ | 48,476 | $ | (1,156,816 | ) | $ | 2,147 | ||||||||||||||||||
| Cambria Value and Momentum ETF | 10,421,504 | – | 15,348,684 | – | (1,403,038 | ) | 25,826,093 | 923,680 | 97,140 | 1,263,428 | 195,515 | |||||||||||||||||||||||||||||
| $ | 10,421,504 | $ | 6,544,062 | $ | 20,903,659 | $ | – | $ | (1,775,703 | ) | $ | 36,397,796 | $ | 1,607,490 | $ | 145,616 | $ | 106,612 | $ | 197,662 | ||||||||||||||||||||
Investments no longer affiliated as of October 31, 2022
| Cambria Shareholder Yield ETF | $ | 6,221,839 | $ | 6,657,218 | $ | 648,650 | $ | (12,817,593 | ) | $ | – | $ | – | $ | – | $ | – | $ | (1,620,522 | ) | $ | 910,408 | ||||||||||||||||||
| Cambria Foreign Shareholder Yield ETF | 4,642,086 | 6,637,884 | 649,185 | (11,231,651 | ) | – | – | (258,827 | ) | (438,677 | ) | |||||||||||||||||||||||||||||
| Cambria Global Real Estate ETF | 4,975,645 | – | – | (4,890,438 | ) | – | – | – | – | 463,685 | (548,892 | ) | ||||||||||||||||||||||||||||
| $ | 15,839,570 | $ | 13,295,102 | $ | 1,297,835 | $ | (28,939,682 | ) | $ | – | $ | – | $ | – | $ | – | $ | (1,415,664 | ) | $ | (77,161 | ) | ||||||||||||||||||
| Grand Total | $ | 26,261,074 | $ | 19,839,164 | $ | 22,201,494 | $ | (28,939,682 | ) | $ | (1,775,703 | ) | $ | 36,397,796 | $ | 1,607,490 | $ | 145,616 | $ | (1,309,052 | ) | $ | 120,501 |
As of October 31, 2022, 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.
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, 2022 | 11 |
| Cambria Global Asset Allocation ETF | Schedule of Investments |
| October 31, 2022 (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 (98.60%) | ||||||||
| Global (13.88%) | ||||||||
| Equity ETF (13.88%) | ||||||||
| Alpha Architect Value Momentum Trend ETF | 36,992 | $ | 967,119 | |||||
| Cambria Global Real Estate ETF* | 105,600 | 2,638,025 | ||||||
| Cambria Global Value ETF*(a) | 124,096 | 2,176,793 | ||||||
| 5,781,937 | ||||||||
| International (33.79%) | ||||||||
| Equity ETF (14.40%) | ||||||||
| Alpha Architect International Quantitative Momentum ETF(a) | 33,280 | 802,511 | ||||||
| Cambria Emerging Shareholder Yield ETF* | 139,904 | 3,476,614 | ||||||
| Cambria Foreign Shareholder Yield ETF* | 80,352 | 1,721,076 | ||||||
| 6,000,201 | ||||||||
| Fixed Income ETF (19.39%) | ||||||||
| SPDR® FTSE International Government Inflation-Protected Bond ETF(a) | 27,552 | 1,098,774 | ||||||
| VanEck Emerging Markets High Yield Bond ETF(a) | 94,848 | 1,553,610 | ||||||
| VanEck International High Yield Bond ETF | 44,096 | 804,311 | ||||||
| VanEck J. P. Morgan EM Local Currency Bond ETF | 108,736 | 2,463,958 | ||||||
| Vanguard® Total International Bond ETF(a) | 44,992 | 2,156,916 | ||||||
| 8,077,569 | ||||||||
| North America (0.77%) | ||||||||
| Commodity ETF (0.77%) | ||||||||
| VanEck Gold Miners ETF/USA | 13,248 | 320,072 | ||||||
| Shares | Value | |||||||
| United States (50.16%) | ||||||||
| Commodity ETF (9.92%) | ||||||||
| Graniteshares Gold Trust(a)(b) | 73,824 | $ | 1,193,734 | |||||
| Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 172,736 | 2,936,512 | ||||||
| 4,130,246 | ||||||||
| Equity ETF (17.70%) | ||||||||
| Alpha Architect US Quantitative Momentum ETF(a) | 39,200 | 2,003,845 | ||||||
| Cambria Shareholder Yield ETF*(a) | 56,480 | 3,407,439 | ||||||
| Cambria Value and Momentum ETF* | 70,240 | 1,963,910 | ||||||
| 7,375,194 | ||||||||
| Fixed Income ETF (22.54%) | ||||||||
| Schwab US TIPS Bond ETF | 23,264 | 1,216,474 | ||||||
| Vanguard® Intermediate-Term Corporate Bond ETF(a) | 16,800 | 1,262,688 | ||||||
| Vanguard® Intermediate-Term Government Bond ETF(a) | 29,856 | 1,725,378 | ||||||
| Vanguard® Long-Term Treasury Bond ETF(a) | 24,992 | 1,487,524 | ||||||
| Vanguard® Short-Term Corporate Bond ETF(a) | 11,936 | 883,145 | ||||||
| Vanguard® Total Bond Market ETF | 40,000 | 2,814,000 | ||||||
| 9,389,209 | ||||||||
| Total Exchange Traded Funds (Cost $44,997,128) |
41,074,428 | |||||||
| 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, 2022 (Unaudited) |
| Shares | Value | |||||||
| Short-Term Investment (19.27%) | ||||||||
| Fidelity Investments Money Market Treasury Portfolio Institutional Class, 3.01%(c)(d) | 8,026,960 | $ | 8,026,960 | |||||
| Total
Short-Term Investment (Cost $8,026,960) |
8,026,960 | |||||||
| Total
Investments (117.87%) (Cost $53,024,088) |
$ | 49,101,388 | ||||||
| Liabilities Less Other Assets (-17.87%) | (7,442,465 | ) | ||||||
| Net Assets (100.00%) | $ | 41,658,923 | ||||||
Percentages based on Net Assets.
| * | Affiliated investment is a registered investment company which is managed by Cambria Investment Management, L.P. (the “Investment Adviser”) or an affiliate of the Investment Adviser or which is distributed by an affiliate of the Fund’s distributor. |
| (a) | This security or a partial position of this security is on loan at October 31, 2022. The total value of securities on loan at October 31, 2022 was $7,803,525. |
| (b) | Non-income producing security. |
| (c) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of October 31, 2022 was $8,026,960. |
| (d) | Rate shown is the 7-day effective yield as of October 31, 2022. |
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. | |
| Semi-Annual Report | October 31, 2022 | 13 |
| Cambria Global Asset Allocation ETF | Schedule of Investments |
| October 31, 2022 (Unaudited) |
Transactions with affiliated companies during the period ended October 31, 2022 are as follows:
| Security Name | Market Value as of April 30, 2022 |
Purchases | Purchases In-Kind |
Sales | Sales In-Kind |
Market Value as of October 31, 2022 |
Share Balance as of October 31, 2022 |
Dividends | Change in Unrealized Gain (Loss) |
Realized Gain/Loss |
||||||||||||||||||||||||||||||
| Cambria Emerging Shareholder Yield ETF | $ | 4,171,210 | $ | – | $ | 118,570 | $ | – | $ | (122,241 | ) | $ | 3,476,614 | $ | 139,904 | $ | 192,182 | $ | (694,597 | ) | $ | 3,672 | ||||||||||||||||||
| Cambria Foreign Shareholder Yield ETF | 2,086,741 | – | 59,649 | – | (60,013 | ) | 1,721,076 | 80,352 | 88,672 | (365,665 | ) | 364 | ||||||||||||||||||||||||||||
| Cambria Global Real Estate ETF | 3,468,032 | – | 93,972 | (330,320 | ) | (91,014 | ) | 2,638,025 | 105,600 | 64,435 | (571,097 | ) | 68,452 | |||||||||||||||||||||||||||
| Cambria Value and Momentum ETF | 1,859,253 | – | 56,849 | – | (59,067 | ) | 1,963,910 | 70,240 | 9,964 | 82,237 | 24,638 | |||||||||||||||||||||||||||||
| Cambria Shareholder Yield ETF | 3,437,373 | – | 102,900 | – | (108,106 | ) | 3,407,439 | 56,480 | 41,389 | (80,156 | ) | 55,428 | ||||||||||||||||||||||||||||
| Cambria Global Value ETF | 2,521,469 | – | 69,424 | – | (70,463 | ) | 2,176,793 | 124,096 | 95,818 | (344,675 | ) | 1,038 | ||||||||||||||||||||||||||||
| $ | 17,544,078 | $ | – | $ | 501,364 | $ | (330,320 | ) | $ | (510,904 | ) | $ | 15,383,857 | $ | 576,672 | $ | 492,460 | $ | (1,973,953 | ) | $ | 153,592 | ||||||||||||||||||
As of October 31, 2022, 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.
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. | |
| 14 | www.cambriafunds.com |
| Cambria Value and Momentum ETF | Schedule of Investments |
| October 31, 2022 (Unaudited) |
| Sector Weightings | ||||
| Cambria Value and Momentum ETF | ||||
| Energy | 32.96 | % | ||
| Materials | 22.02 | % | ||
| Financials | 17.91 | % | ||
| Industrials | 7.78 | % | ||
| Consumer Discretionary | 4.80 | % | ||
| Information Technology | 4.37 | % | ||
| Health Care | 3.35 | % | ||
| Consumer Staples | 3.30 | % | ||
| Utilities | 2.56 | % | ||
| Communication Services | 0.95 | % | ||
| 100.00 | % | |||
Percentages based on total investments, excluding investments purchased with collateral from securities loaned.
| Cambria Value and Momentum ETF | Shares | Value | ||||||
| Common Stocks (85.67%) | ||||||||
| Communication Services (0.81%) | ||||||||
| Scholastic Corp. | 26,433 | $ | 1,008,155 | |||||
| Consumer Discretionary (4.12%) | ||||||||
| Adtalem Global Education, Inc.(a) | 22,250 | 927,825 | ||||||
| AutoNation, Inc.(a) | 8,188 | 870,466 | ||||||
| Dillard's, Inc., Class A(b) | 4,272 | 1,404,591 | ||||||
| Group 1 Automotive, Inc. | 5,073 | 877,629 | ||||||
| Penske Automotive Group, Inc. | 9,256 | 1,033,155 | ||||||
| 5,113,666 | ||||||||
| Consumer Staples (2.83%) | ||||||||
| Andersons, Inc. | 26,878 | 947,987 | ||||||
| Cal-Maine Foods, Inc. | 14,596 | 824,820 | ||||||
| Ingles Markets, Inc., Class A | 9,167 | 865,090 | ||||||
| SpartanNash Co. | 24,653 | 880,358 | ||||||
| 3,518,255 | ||||||||
| Energy (28.24%) | ||||||||
| Antero Resources Corp.(a) | 35,159 | 1,288,929 | ||||||
| APA Corp. | 25,009 | 1,136,909 | ||||||
| Arch Resources, Inc., Class A(b) | 6,853 | 1,043,643 | ||||||
| California Resources Corp. | 21,627 | 975,594 | ||||||
| Chesapeake Energy Corp. | 10,413 | 1,064,937 | ||||||
| Chevron Corp. | 5,162 | 933,806 | ||||||
| Chord Energy Corp. | 8,732 | 1,336,782 | ||||||
| Civitas Resources, Inc. | 15,664 | 1,095,070 | ||||||
| CNX Resources Corp.(a) | 54,112 | 909,623 | ||||||
| Shares | Value | |||||||
| Energy (continued) | ||||||||
| ConocoPhillips | 8,277 | $ | 1,043,647 | |||||
| CONSOL Energy, Inc. | 16,910 | 1,065,668 | ||||||
| Continental Resources, Inc. | 14,863 | 1,099,416 | ||||||
| Diamondback Energy, Inc. | 7,209 | 1,132,606 | ||||||
| Earthstone Energy, Inc., Class A(a)(b) | 68,441 | 1,106,007 | ||||||
| EOG Resources, Inc. | 10,680 | 1,458,034 | ||||||
| Exxon Mobil Corp. | 10,324 | 1,144,002 | ||||||
| Helix Energy Solutions Group, Inc.(a) | 215,647 | 1,509,529 | ||||||
| Marathon Oil Corp. | 46,814 | 1,425,486 | ||||||
| Marathon Petroleum Corp. | 8,900 | 1,011,218 | ||||||
| Matador Resources Co. | 29,904 | 1,987,121 | ||||||
| Ovintiv, Inc. | 20,648 | 1,045,821 | ||||||
| Patterson-UTI Energy, Inc. | 76,718 | 1,354,073 | ||||||
| PDC Energy, Inc. | 18,156 | 1,309,774 | ||||||
| Peabody Energy Corp.(a)(c) | 41,474 | 991,229 | ||||||
| Permian Resources Corp.(a) | 172,927 | 1,689,497 | ||||||
| Pioneer Natural Resources Co. | 3,827 | 981,281 | ||||||
| Plains GP Holdings LP, Class A | 73,781 | 925,214 | ||||||
| SandRidge Energy, Inc.(a) | 51,887 | 980,145 | ||||||
| VAALCO Energy, Inc.(b) | 202,119 | 1,040,913 | ||||||
| Valero Energy Corp. | 8,099 | 1,016,829 | ||||||
| 35,102,803 | ||||||||
| Financials (15.35%) | ||||||||
| American Equity Investment Life Holding Co. | 21,716 | 935,525 | ||||||
| American Financial Group, Inc. | 6,586 | 955,694 | ||||||
| American International Group, Inc. | 16,643 | 948,651 | ||||||
| Berkshire Hills Bancorp, Inc. | 30,082 | 879,898 | ||||||
| First Horizon Corp. | 37,113 | 909,640 | ||||||
| Hanmi Financial Corp. | 39,605 | 1,060,622 | ||||||
| Hope Bancorp, Inc. | 52,243 | 708,938 | ||||||
| Jefferies Financial Group, Inc. | 27,501 | 946,309 | ||||||
| Loews Corp. | 30,794 | 1,755,874 | ||||||
| MetLife, Inc. | 13,795 | 1,009,932 | ||||||
| Mr Cooper Group, Inc.(a) | 23,407 | 924,342 | ||||||
| Old Republic International Corp. | 39,160 | 908,904 | ||||||
| Principal Financial Group, Inc. | 12,994 | 1,145,161 | ||||||
| Regions Financial Corp. | 40,317 | 884,958 | ||||||
| Travelers Cos., Inc. | 10,591 | 1,953,616 | ||||||
| Unum Group | 46,903 | 2,138,308 | ||||||
| Voya Financial, Inc. | 14,774 | 1,009,951 | ||||||
| 19,076,323 | ||||||||
| Health Care (2.87%) | ||||||||
| Cigna Corp. | 3,204 | 1,035,084 | ||||||
| McKesson Corp. | 2,759 | 1,074,272 | ||||||
| The accompanying notes are an integral part of the financial statements. | |
| Semi-Annual Report | October 31, 2022 | 15 |
| Cambria Value and Momentum ETF | Schedule of Investments |
| October 31, 2022 (Unaudited) |
| Shares | Value | |||||||
| Health Care (continued) | ||||||||
| SIGA Technologies, Inc.(b) | 158,598 | $ | 1,457,516 | |||||
| 3,566,872 | ||||||||
| Industrials (6.66%) | ||||||||
| ArcBest Corp. | 16,109 | 1,279,538 | ||||||
| Atlas Air Worldwide Holdings, Inc.(a) | 8,633 | 873,142 | ||||||
| BlueLinx Holdings, Inc.(a) | 13,706 | 965,725 | ||||||
| Boise Cascade Co. | 18,512 | 1,236,046 | ||||||
| Encore Wire Corp. | 7,298 | 1,004,132 | ||||||
| Insteel Industries, Inc. | 30,705 | 809,077 | ||||||
| Mueller Industries, Inc. | 16,732 | 1,048,092 | ||||||
| Veritiv Corp.(a) | 9,167 | 1,065,755 | ||||||
| 8,281,507 | ||||||||
| Information Technology (3.74%) | ||||||||
| Avnet, Inc. | 42,631 | 1,713,340 | ||||||
| Photronics, Inc.(a) | 48,772 | 791,082 | ||||||
| Sanmina Corp.(a) | 38,270 | 2,145,033 | ||||||
| 4,649,455 | ||||||||
| Materials (18.86%) | ||||||||
| Alcoa Corp. | 23,763 | 927,470 | ||||||
| Alpha Metallurgical Resources, Inc. | 8,455 | 1,427,627 | ||||||
| CF Industries Holdings, Inc. | 19,135 | 2,033,285 | ||||||
| Commercial Metals Co. | 47,348 | 2,154,334 | ||||||
| Intrepid Potash, Inc.(a) | 19,234 | 870,338 | ||||||
| Mosaic Co. | 15,486 | 832,372 | ||||||
| Nucor Corp. | 8,633 | 1,134,204 | ||||||
| Olin Corp. | 18,334 | 970,785 | ||||||
| Ramaco Resources, Inc. | 189,837 | 2,143,260 | ||||||
| Reliance Steel & Aluminum Co. | 4,361 | 878,654 | ||||||
| Resolute Forest Products, Inc.(a) | 84,906 | 1,766,894 | ||||||
| Ryerson Holding Corp. | 33,375 | 1,119,731 | ||||||
| Steel Dynamics, Inc. | 14,151 | 1,330,902 | ||||||
| SunCoke Energy, Inc. | 126,914 | 921,396 | ||||||
| TimkenSteel Corp.(a) | 77,074 | 1,344,171 | ||||||
| United States Steel Corp. | 38,181 | 777,365 | ||||||
| Warrior Met Coal, Inc. | 26,878 | 998,249 | ||||||
| Westlake Corp. | 18,779 | 1,814,990 | ||||||
| 23,446,027 | ||||||||
| Utilities (2.19%) | ||||||||
| NRG Energy, Inc. | 42,631 | 1,892,817 | ||||||
| Vistra Corp. | 36,223 | 832,042 | ||||||
| 2,724,859 | ||||||||
| Total Common Stocks (Cost $95,267,546) |
106,487,922 | |||||||
| Shares | Value | |||||||
| Short-Term Investment (2.43%) | ||||||||
| Fidelity Investments Money Market Treasury Portfolio Institutional Class, 3.01%(d)(e) | 3,018,226 | $ | 3,018,226 | |||||
| Total Short-Term Investment (Cost $3,018,226) |
3,018,226 | |||||||
| Total Investments (88.10%) (Cost $98,285,772) |
$ | 109,506,148 | ||||||
| Other Assets Less Liabilities (11.90%) | 14,796,293 | |||||||
| Net Assets (100.00%) | $ | 124,302,441 | ||||||
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, 2022. The total value of securities on loan at October 31, 2022 was $2,990,809. |
| (c) | Security, or portion of security, is being held as collateral for securities sold short. |
| (d) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of October 31, 2022 was $3,018,226. |
| (e) | Rate shown is the 7-day effective yield as of October 31, 2022. |
The open futures contracts held by the Fund as of October 31, 2022 are as follows:
| Type of Contract |
Number of Contracts Short |
Expiration Date |
Notional Amount |
Notional Value | Unrealized Appreciation |
|||||||||||||
| S&P® 500 Mini Future | 469 | Dec-2022 | $ | (89,503,292 | ) | $ | (91,056,350 | ) | $ | (1,553,058 | ) | |||||||
For the period ended October 31, 2022, the monthly average notional value of the short equity futures contracts held was $48,537,260 and the ending notional value of the futures contacts was $91,056,350.
| 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, 2022 (Unaudited) |
As of October 31, 2022, 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.
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, 2022 | 17 |
| Cambria Global Tail Risk ETF | Schedule of Investments |
| October 31, 2022 (Unaudited) |
| Sector Weightings | ||||
| Cambria Global Tail Risk ETF | ||||
| Exchange Traded Funds | 80.52 | % | ||
| Purchased Options | 16.60 | % | ||
| Sovereign Debt | 2.88 | % | ||
| 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 (69.90%) | ||||||||
| International (31.99%) | ||||||||
| Fixed Income ETF (31.99%) | ||||||||
| VanEck J. P. Morgan EM Local Currency Bond ETF | 37,683 | $ | 853,897 | |||||
| Vanguard® Total International Bond ETF(a) | 18,458 | 884,876 | ||||||
| 1,738,773 | ||||||||
| United States (37.91%) | ||||||||
| Fixed Income ETF (37.91%) | ||||||||
| iShares® 7-10 Year Treasury Bond ETF | 11,071 | 1,045,213 | ||||||
| iShares® TIPS Bond ETF | 9,548 | 1,015,812 | ||||||
| 2,061,025 | ||||||||
| Total Exchange Traded Funds (Cost $4,138,007) |
3,799,798 | |||||||
| Currency Face Amount | Value | ||||||
| Sovereign Debt (2.50%) | |||||||
| Colombian TES, 7.500%, 8/26/2026 | COP | 812,500,000 | 135,952 | ||||
| Total Sovereign Debt (Cost $286,067) |
135,952 | ||||||
| Contracts | Notional Amount | Value | ||||||||||
| Purchased Options (14.41%) | ||||||||||||
| Put Options | ||||||||||||
| MSCI EAFE Index-MXEA US 03/17/23 | ||||||||||||
| P1800 | ||||||||||||
| Expires 03/17/23, Strike Price $1,800 |
5 | $ | 875,002 | $ | 57,675 | |||||||
| MSCI EAFE Index-MXEA US 06/16/23 | ||||||||||||
| P1700 | ||||||||||||
| Expires 06/16/23, Strike Price $1,700 |
15 | 2,625,006 | 159,600 | |||||||||
| MSCI EAFE Index-MXEA US 09/15/23 | ||||||||||||