Cambria Shareholder Yield ETF (SYLD)

Cambria Foreign Shareholder Yield ETF (FYLD)

Cambria Global Value ETF (GVAL)

Cambria Global Momentum ETF (GMOM)

Cambria Global Asset Allocation ETF (GAA)

Cambria Value and Momentum ETF (VAMO)

Cambria Global Tail Risk ETF (FAIL)

Cambria Emerging Shareholder Yield ETF (EYLD)

Cambria Tail Risk ETF (TAIL)

Cambria Trinity ETF (TRTY)

Cambria Cannabis ETF (TOKE)

Cambria Global Real Estate ETF (BLDG)

  

Annual Report

 

April 30, 2022

 

 

 

 

 

 

 

 

Cambria Investment Management

 

Table of Contents

 

 

 

 

Shareholder Letter (Unaudited) 1
Manager’s Discussion and Analysis of Fund Performance (Unaudited) 7
Schedules of Investments  
Cambria Shareholder Yield ETF 19
Cambria Foreign Shareholder Yield ETF 22
Cambria Global Value ETF 25
Cambria Global Momentum ETF 29
Cambria Global Asset Allocation ETF 31
Cambria Value and Momentum ETF 34
Cambria Global Tail Risk ETF 37
Cambria Emerging Shareholder Yield ETF 39
Cambria Tail Risk ETF 42
Cambria Trinity ETF 43
Cambria Cannabis ETF 46
Cambria Global Real Estate ETF 48
Statements of Assets and Liabilities 50
Statements of Operations 53
Statements of Changes in Net Assets 56
Financial Highlights 62
Notes to Financial Statements 74
Report of Independent Registered Public Accounting Firm 90
Disclosure of Fund Expenses (Unaudited) 91
Approval of Advisory Agreement & Board Considerations (Unaudited) 93
Liquidity Risk Management Program (Unaudited) 97
Trustees and Officers of the Cambria ETF Trust (Unaudited) 98
Notice to Shareholders (Unaudited) 100
Supplemental Information (Unaudited) 101

  

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

 

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

 

 

 

 

Cambria ETF Trust Shareholder Letter
  April 30, 2022 (Unaudited)

 

Dear Shareholder:

 

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

 

SYLD

 

The Cambria Shareholder Yield ETF (“SYLD”) launched on May 13, 2013. For the three-month period ended April 30, 2022, SYLD posted a loss of 2.42%. For the 12-month period ended April 30, 2022, SYLD posted a loss of 0.21%. For the period since inception through April 30, 2022, SYLD gained 214.53%.

 

We believe that the S&P 500 Index (S&P 500) serves as a suitable benchmark for SYLD. The table below shows the performance of the Fund (NAV) vs. S&P 500 for the three-month, 12-month and since inception periods ended April 30, 2022.

 

  Vs Benchmark
  SYLD S&P 500
Annualized Returns Since Inception 13.64% 13.07%
Cumulative Returns Since Inception 214.53% 200.80%
12 Months Ended 4/30/2022 -0.21% -0.21%
3 Months Ended 4/30/2022 -2.42% -8.17%

 

The Fund’s performance (NAV) as of April 30, 2022 is as follows: -0.21% (1 year), 14.86% (annualized five year), and 13.64% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2022 is as follows: -0.30% (1 year), 15.89% (annualized five year), and 13.64% (annualized since inception).

 

FYLD

 

The Cambria Foreign Shareholder Yield ETF (“FYLD”) launched on December 2, 2013. For the three-month period ended April 30, 2022, FYLD posted a loss of 3.06%. For the 12-month period ended April 30, 2022, FYLD posted a loss of 0.31%. For the period since inception through April 30, 2022, FYLD posted a gain of 46.54%.

 

We believe that the MSCI EAFE Index (MSCI EAFE) serves as a suitable benchmark for FYLD. The table below shows the performance of the Fund (NAV) vs. MSCI EAFE for the three-month, 12-month and since inception periods ended April 30, 2022.

 

  Vs Benchmark
  FYLD MSCI EAFE
Annualized Returns Since Inception 4.65% 4.14%
Cumulative Returns Since Inception 46.54% 40.68%
12 Months Ended 4/30/2022 -0.31% -7.70%
3 Months Ended 4/30/2022 -3.06% -7.33%

 

The Fund’s performance (NAV) as of April 30, 2022 is as follows: -0.31% (1 year), 7.27% (annualized five year), and 4.65% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2022 is as follows: -1.47% (1 year), 7.10% (annualized five year), and 4.59% (annualized since inception).

 

GVAL

 

The Cambria Global Value ETF (“GVAL”) launched on March 11, 2014. For the three-month period ended April 30, 2022, GVAL posted a loss of 10.89%. For the 12-month period ended April 30, 2022, GVAL posted a loss of 7.47%. For the period since inception through April 30, 2022, the Fund posted a gain of 2.63%.

 

Following the Russian invasion of Ukraine Russian stock markets were halted on February 28, 2022. As a result, Cambria began fair valuing its Russian securities and subsequently wrote these positions down to 0. This resulted in an unrealized loss to the fund of $5,407,704 USD representing a 4.87% decrease in the net assets of the fund.

 

 
Annual Report | April 30, 2022 1

 

 

 

 

Cambria ETF Trust Shareholder Letter
  April 30, 2022 (Unaudited)

 

We believe that the MSCI ACWI Index (MSCI ACWI) serves as a suitable benchmark for GVAL. The table below shows the performance of the Fund (NAV) vs. MSCI ACWI for the three-month, 12-month and since inception periods ended April 30, 2022.

 

  Vs Benchmark
  GVAL MSCI ACWI
Annualized Returns Since Inception 0.32% 8.51%
Cumulative Returns Since Inception 2.63% 94.36%
12 Months Ended 4/30/2022 -7.47% -5.04%
3 Months Ended 4/30/2022 -10.89% -8.32%

 

The Fund’s performance (NAV) as of April 30, 2022 is as follows: -7.47% (1 year), 1.07% (annualized five year), and 0.32% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2022 is as follows: -8.08% (1 year), 0.77% (annualized five year), and 0.22% (annualized since inception).

 

GMOM

 

The Cambria Global Momentum ETF (“GMOM”) launched on November 3, 2014. For the three-month period ended April 30, 2022, GMOM posted a gain of 4.99%. For the 12-month period ended April 30, 2022, GMOM posted a gain of 10.19%. For the period since inception through April 30, 2022, GMOM posted a gain of 48.57%.

 

We believe that a suitable benchmark for GMOM is the S&P Balanced Equity and Bond – Moderate Index (SPBXMI) because the equity-bond blend is the precursor to most modern asset allocation strategies. The table below shows the performance of the Fund (NAV) vs. SPBXMI for the three-month, 12-month and since inception periods ended April 30, 2022.

 

  Vs Benchmark
  GMOM SPBXMI
Annualized Returns Since Inception 5.43% 6.94%
Cumulative Returns Since Inception 48.57% 65.21%
12 Months Ended 4/30/2022 10.19% -4.40%
3 Months Ended 4/30/2022 4.99% -8.26%

 

The Fund’s performance (NAV) as of April 30, 2022 is as follows: 10.19% (1 year), 7.44% (annualized five year), and 5.43% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2022 is as follows: 10.05% (1 year), 7.44% (annualized five year), and 5.41% (annualized since inception).

 

GAA

 

The Cambria Global Asset Allocation ETF (“GAA”) launched on December 9, 2014. For the three-month period ended April 30, 2022, GAA posted a loss of 3.98%. For the 12-month period ended April 30, 2022, GAA posted a loss of 3.01%. For the period since inception through April 30, 2022, GAA posted a gain of 46.17%.

 

We believe that a suitable benchmark for GAA is the S&P Balanced Equity and Bond – Moderate Index (SPBXMI) because the equity-bond blend is the precursor to most modern asset allocation strategies. The table below shows the performance of the Fund (NAV) vs. SPBXMI for the three-month, 12-month and since inception periods ended April 30, 2022.

 

  Vs Benchmark
  GAA SPBXMI
Annualized Returns Since Inception 5.27% 6.77%
Cumulative Returns Since Inception 46.17% 62.30%
12 Months Ended 4/30/2022 -3.01% -4.40%
3 Months Ended 4/30/2022 -3.98% -8.26%

 

The Fund’s performance (NAV) as of April 30, 2022 is as follows: -3.01% (1 year), 6.04% (annualized five year), and 5.27% (annualized since inception). The Fund’s performance (Market Price) as April 30, 2022 is as follows: -2.84% (1 year), 6.22% (annualized five year), and 5.39% (annualized since inception).

 

 
2 www.cambriafunds.com

 

 

 

 

Cambria ETF Trust Shareholder Letter
  April 30, 2022 (Unaudited)

 

VAMO

 

The Cambria Value and Momentum ETF (“VAMO”) launched on September 8, 2015. For the three-month period ended April 30, 2022, VAMO posted a gain of 7.91%. For the 12-month period ended April 30, 2022, VAMO posted a gain of 14.17%. For the period since inception through April 30, 2022, VAMO posted a gain of 10.84%.

 

We believe that the S&P 500 Index (S&P 500) serves as a suitable benchmark for VAMO, as VAMO offers a diversified, value-oriented exposure to US equities with downside risk hedging. The table below shows the performance of the Fund (NAV) vs. S&P 500 for the three-month, 12-month and since inception periods ended April 30, 2022.

 

  Vs Benchmark
  VAMO S&P 500
Annualized Returns Since Inception 1.56% 13.93%
Cumulative Returns Since Inception 10.84% 137.79%
12 Months Ended 4/30/2022 14.17% 0.21%
3 Months Ended 4/30/2022 7.91% -8.17%

 

The Fund’s performance (NAV) as of April 30, 2022 is as follows: 14.17% (1 year), 3.01% (annualized five year), and 1.56% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2022 is as follows 14.34% (1 year), 2.80% (annualized five year), and 1.45% (annualized since inception).

 

FAIL

 

The Cambria Global Tail Risk ETF (“FAIL”) launched on February 22, 2016 and changed its name and investment objective on March 15, 2021. Fund performance prior to March 15, 2021 reflects the investment objective and principal investment strategy of the Fund when it was the Cambria Sovereign Bond ETF and it sought income and capital appreciation from investments in securities and instruments that provide exposure to sovereign and quasi-sovereign bonds. For the three-month period ended April 30, 2022, the Fund posted a gain of 2.11%. For the 12-month period ended April 30, 2022, the Fund posted a loss of -7.98%. For the period since inception through April 30, 2022, the Fund posted a gain of 5.54%.

 

We believe that a suitable benchmark for FAIL, given the Fund’s new investment objective and principal investment strategy, is the Bloomberg Barclays US Short Treasury Index (“Short Treasury”). Prior to March 15, 2021, the Fund’s performance benchmark was the FTSE World Government Bond Index (WGBI). The table below shows the performance of the Fund (NAV) vs. the spliced benchmark (WGBI/Short Treasury) and Short Treasury for the three-month, 12-month and since inception periods ended April 30, 2022.

 

  Vs Benchmark
  FAIL/* Spliced Index –
WGBI/Short Treasury**
Short Treasury 
Annualized Returns Since Inception 0.88% 2.41% 1.03%
Cumulative Returns Since Inception 5.54% 15.98% 6.57%
12 Months Ended 4/30/2022 -7.98% 0.14% -0.14%
3 Months Ended 4/30/2022 2.11% -0.08% -0.08%

 

* The Fund’s objective changed effective March 15, 2021.
** Reflects performance of WGBI prior to March 15, 2021 and Short Treasury thereafter

 

The Fund’s performance (NAV) as of April 30, 2022 is as follows: -7.98% (1 year), -1.33% (annualized five year), and 0.88% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2022 is as follows: -8.12% (1 year), -1.82% (annualized five year), and 0.65% (annualized since inception).

 

 
Annual Report | April 30, 2022 3

 

 

 

 

Cambria ETF Trust Shareholder Letter
  April 30, 2022 (Unaudited)

 

EYLD

 

The Cambria Emerging Shareholder Yield ETF (“EYLD”) launched on July 13, 2016. For the three-month period ended April 30, 2022, EYLD posted a loss of 13.62%. For the 12-month period ended April 30, 2022, EYLD posted a loss of -16.81%. For the period since inception through April 30, 2022, EYLD posted a gain of 57.80%.

 

Following the Russian invasion of Ukraine Russian stock markets were halted on February 28, 2022. As a result, Cambria began fair valuing its Russian securities and subsequently wrote these positions down to 0. This resulted in an unrealized loss to the fund of $7,596,461. USD representing a 7.68% decrease in the net assets of the fund.

 

We believe that the MSCI Emerging Markets Index (MSCI EEM) serves as a suitable benchmark for EYLD. The table below shows the performance of the Fund (NAV) vs. MSCI EEM for the three-month, 12-month and since inception periods ended April 30, 2022.

 

  Vs Benchmark
  EYLD MSCI EEM
Annualized Returns Since Inception 8.19% 6.73%
Cumulative Returns Since Inception 57.80% 45.88%
12 Months Ended 4/30/2022 -16.81% -18.06%
3 Months Ended 4/30/2022 -13.62% -10.40%

 

The Fund’s performance (NAV) as of April 30, 2022 is as follows: -16.81% (1 year), 5.88% (annualized 5 year), and 8.19% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2022 is as follows: -18.81% (1 year), 5.19% (annualized 5 year) and 7.87% (annualized since inception).

 

TAIL

 

The Cambria Tail Risk ETF (“TAIL”) launched on April 5, 2017. For the three-month period ended April 30, 2022, TAIL posted a loss of 4.44%. For the 12-month period ended April 30, 2022, TAIL posted a loss of 9.14%. For the period since inception through April 30, 2022, TAIL posted a loss of 28.86%.

 

We believe that a suitable benchmark for TAIL is the Bloomberg Barclays Short Treasury Index (Short Treasury). TAIL is not an aggressive hedging strategy, and as such, an index of short-term Treasuries which approximates a conservative money-market fund is a suitable benchmark. Short Treasury tracks the market for treasury bills issued by the US government. The table below shows the performance of the Fund (NAV) vs. Short Treasury for the three-month, 12-month and since inception periods ended April 30, 2022.

 

  Vs Benchmark
  TAIL Short Treasury
Annualized Returns Since Inception -6.50% 1.15%
Cumulative Returns Since Inception -28.86% 5.99%
12 Months Ended 4/30/2022 -9.14% -0.14%
3 Months Ended 4/30/2022 -4.44% -0.08%

 

The Fund’s performance (NAV) as of April 30, 2022 is as follows: -9.14% (1 year), -6.39% (annualized 5 year), and -6.50% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2022 is as follows: -9.13% (1 year), -6.43% (annualized 5 year), and -6.47% (annualized since inception).

 

TRTY

 

The Cambria Trinity ETF (“TRTY”) launched on September 10, 2018. For the three-month period ended April 30, 2022, TRTY posted a gain of 0.70%. For the 12-month period ended April 30, 2022, TRTY posted a gain of 3.98%. For the period since inception through April 30, 2022, TRTY posted a gain of 20.90%.

 

We believe that a suitable benchmark for TRTY is the S&P Balanced Equity and Bond – Moderate Index (SPBXMI) because the equity-bond blend is the precursor to most modern asset allocation strategies. The table below shows the performance of the Fund (NAV) vs. SPBXMI for the three-month, 12-month and since inception periods ended April 30, 2022.

 

 
4 www.cambriafunds.com

 

 

 

 

Cambria ETF Trust Shareholder Letter
  April 30, 2022 (Unaudited)

 

  Vs Benchmark
  TRTY SPBXMI
Annualized Returns Since Inception 5.36% 7.22%
Cumulative Returns Since Inception 20.90% 28.84%
12 Months Ended 4/30/2022 3.98% -4.40%
3 Months Ended 4/30/2022 0.70% -8.26%

 

The Fund’s performance (NAV) as of April 30, 2022 is as follows: 3.98% (1 year) and 5.36% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2022 is as follows 4.72% (1 year) and 5.57% (annualized since inception).

 

TOKE

 

The Cambria Cannabis ETF (“TOKE”) launched on July 25, 2019. For the three-month period ended April 30, 2022, TOKE posted a loss of 14.45%. For the 12-month period ended April 30, 2022, TOKE posted a loss of 46.49%. For the period since inception through April 30, 2022, TOKE posted a loss of 56.29%.

 

We believe that the S&P 500 Index (S&P 500) serves as a suitable benchmark for TOKE. The table below shows the performance of the Fund (NAV) vs. S&P 500 for the three-month, 12-month and since inception periods ended April 30, 2022.

 

  Vs Benchmark
  TOKE S&P 500
Annualized Returns Since Inception -25.83% 13.86%
Cumulative Returns Since Inception -56.29% 43.25%
12 Months Ended 4/30/2022 -46.49% 0.21%
3 Months Ended 4/30/2022 -14.45% -8.17%

 

The Fund’s performance (NAV) as of April 30, 2022 is as follows: -46.49% (1 year) and -25.83% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2022 is as follows: -46.17% (1 year) and -25.60% (annualized since inception).

 

BLDG

 

The Global Real Estate ETF (“BLDG”) launched on September 24, 2020. For the three-month period ended April 30, 2022, BLDG posted a loss of 0.83%. For the 12-month period ended April 30, 2022, BLDG posted a gain of 4.70%. For the period since inception through April 30, 2022, BLDG posted a gain of 34.44%.

 

We believe that a suitable benchmark for BLDG is the FTSE EPRA/NAREIT Global REIT Index (ENXG). The table below shows the performance of the Fund (NAV) vs. ENXG for the three-month, 12-month and since inception periods ended April 30, 2022.

 

  Vs Benchmark
  BLDG ENXG
Annualized Returns Since Inception 20.32% 25.20%
Cumulative Returns Since Inception 34.44% 43.27%
12 Months Ended 4/30/2022 4.70% 5.69%
3 Months Ended 4/30/2022 -0.83% -2.10%

 

The Fund’s performance (NAV) as of April 30, 2022 is as follows: 4.70% (1 year) and 34.44% (cumulative since inception). The Fund’s performance (Market Price) as of April 30, 2022 is as follows: 4.49% (1 year) and 34.08% (cumulative since inception).

 

Sincerely,

 

Mebane Faber

 

 
Annual Report | April 30, 2022 5

 

 

 

 

Cambria ETF Trust Shareholder Letter
  April 30, 2022 (Unaudited)

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

 
6 www.cambriafunds.com

 

 

 

 

  Manager’s Discussion and
Cambria Shareholder Yield ETF Analysis of Fund Performance
  April 30, 2022 (Unaudited)

 

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

 

For the 12-month period ended April 30, 2022, SYLD returned -0.21% at net asset value (NAV) and -0.30% at market underperforming its benchmark, the S&P 500 Index, by 0.42%. Overweight allocation and security selection in consumer discretionary were main drivers of underperformance relative to the benchmark, while an overweight allocation and security selection in materials and energy offset underperformance somewhat relative to the benchmark.

 

On a contribution to total return basis energy, materials and industrials were the best performers contributing 3.29%, 2.34% and 0.17% respectively. On a contribution to total return basis consumer discretionary, financials and Industrials were the worst performing sectors contributing -4.57%, -1.15% and -0.80% respectively.

 

Average Annual Total Return for the Periods Ended April 30, 2022

 

  1 Year 3 Year 5 Year Since Inception*
Cambria Shareholder Yield ETF - NAV -0.21% 20.30% 14.86% 13.64%
Cambria Shareholder Yield ETF - Market -0.30% 20.34% 14.89% 13.64%
S&P 500 Index   0.21% 13.85% 13.66% 13.07%

 

 

* Fund inception date is May 13, 2013.

 

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

 

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

 

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

 

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

 

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

 

 
Annual Report | April 30, 2022 7

 

 

 

 

  Manager’s Discussion and
Cambria Foreign Shareholder Yield ETF Analysis of Fund Performance
  April 30, 2022 (Unaudited)

 

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

 

For the 12-month period ended April 30, 2022, FYLD returned -0.31% at net asset value (NAV) and -1.47% at market outperforming its benchmark, the MSCI EAFE Total Return Index, by 7.39%. During this period, an overweight allocation to Canada and security selection in Hong Kong and Japan relative to EAFE were the primary driver of outperformance relative to the benchmark. Security selection in the UK detracted from FYLD’s outperformance relative to the benchmark.

 

On a contribution to total return basis Canada, Hong Kong, and Australian allocations were the best performers contributing 3.04%, 1.00% and 0.72% respectively. On a contribution to total return basis Japan, United Kingdom and Sweden allocations were the worst performers contributing -1.76%, -0.94% and -0.61% respectively.

 

Average Annual Total Return for the Periods Ended April 30, 2022

 

  1 Year 3 Year 5 Year Since Inception*
Cambria Foreign Shareholder Yield ETF - NAV -0.31% 8.41% 7.27% 4.65%
Cambria Foreign Shareholder Yield ETF - Market -1.47% 8.29% 7.10% 4.59%
MSCI EAFE Index -7.70% 4.93% 5.27% 4.14%

 

 

* Fund inception date is December 2, 2013.

 

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

 

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

 

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

 

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

 

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

 

 
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  Manager’s Discussion and
Cambria Global Value ETF Analysis of Fund Performance
  April 30, 2022 (Unaudited)

 

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

 

For the 12-month period ended April 30, 2022, GVAL returned -7.47% at net asset value (NAV) and -8.08% at market underperforming its benchmark, the MSCI ACWI Total Return Index, by 2.43%. GVAL had an overweight allocation to Russia relative to the benchmark prior to the invasion to Ukraine. Exposure to Russia and Austria were primary drivers of GVAL’s underperformance. Underperformance was offset somewhat by an overweight allocation to the Czech Republic and an underweight allocation to China.

 

On a contribution to total return basis Czech Republic, Colombia, and Singapore allocations were the best performers contributing 2.47%, 1.44% and 0.98% respectively. On a contribution to total return basis Russia, Chile and Austria allocations were the worst performers contributing -10.14%, -1.85% and -1.47% respectively.

 

Average Annual Total Return for the Periods Ended April 30, 2022

 

  1 Year 3 Year 5 Year Since Inception*
Cambria Global Value ETF - NAV -7.47% -1.43% 1.07% 0.32%
Cambria Global Value ETF - Market -8.08% -1.26% 0.77% 0.22%
MSCI ACWI -5.04% 9.93% 10.00% 8.51%

 

 

* Fund inception date is March 11, 2014.

 

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

 

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

 

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

 

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

 

MSCI ACWI (All Country World Index) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI consists of 45 country indices comprising 24 developed and 21 emerging market country indices. The developed market country indices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indices included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey. 

 

 
Annual Report | April 30, 2022 9

 

 

 

 

  Manager’s Discussion and
Cambria Global Momentum ETF Analysis of Fund Performance
  April 30, 2022 (Unaudited)

 

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

 

For the 12-month period ended April 30, 2022, GMOM returned 10.19% at net asset value (NAV) and 10.05% at market outperforming its benchmark, the S&P Balanced Equity & Bond Moderate Index, by 14.59%. GMOM is a tactical trend and momentum strategy and was concentrated in Real Assets over the period. It’s Overweight exposure to the energy and commodities relative to the benchmark were the primary drivers of outperformance over the period.

 

On a contribution to total return basis energy, commodities, and hedged US equity were the best performers contributing 7.15%, 3.90% and 1.06% respectively. On a contribution to total return basis materials, emerging market equity and global financials were the worst performers contributing -0.55%, -0.48% and -0.45% respectively.

 

Average Annual Total Return for the Periods Ended April 30, 2022

 

  1 Year 3 Year 5 Year Since Inception*
Cambria Global Momentum ETF - NAV 10.19% 10.55% 7.44% 5.43%
Cambria Global Momentum ETF - Market 10.05% 10.51% 7.44% 5.41%
S&P Balanced Equity & Bond – Moderate Index -4.40% 7.20% 7.37% 6.94%

 

 

* Fund inception date is November 3, 2014.

 

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

 

Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.96%.

 

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

 

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

 

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

 

 
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  Manager’s Discussion and
Cambria Global Asset Allocation ETF Analysis of Fund Performance
  April 30, 2022 (Unaudited)

 

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

 

For the 12-month period ended April 30, 2022, GAA returned -3.01% at net asset value (NAV) and -2.84% at market outperforming its benchmark, the S&P Balanced Equity & Bond Moderate Index, by 1.39%. GAA is a buy and hold global asset allocation portfolio. An overweight allocation to commodities was the primary of outperformance relative to the benchmark. Emerging market stocks were the largest detractor from performance during the period.

 

On a contribution to total return basis commodities, hedged US equity and global real estate with the best performers contributing 2.92%, 0.57% and 0.32% respectively. On a contribution to total return basis emerging market equity, emerging market fixed income and US bonds were the worst performers contributing -2.37%, -1.07% and -0.58% respectively.

 

Average Annual Total Return for the Periods Ended April 30, 2022

 

  1 Year 3 Year 5 Year Since Inception*
Cambria Global Asset Allocation ETF - NAV -3.01% 6.69% 6.04% 5.27%
Cambria Global Asset Allocation ETF - Market -2.84% 7.10% 6.22% 5.39%
S&P Balanced Equity & Bond – Moderate Index -4.40% 7.20% 7.37% 6.77%

 

 

* Fund inception date is December 9, 2014.

 

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

 

Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.41%.

 

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

 

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

 

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

 

 
Annual Report | April 30, 2022 11

 

 

 

 

  Manager’s Discussion and
Cambria Value and Momentum ETF Analysis of Fund Performance
  April 30, 2022 (Unaudited)

 

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

 

For the 12-month period ended April 30, 2022, VAMO returned 14.17% at net asset value (NAV) and 14.34% at market outperforming its benchmark, the S&P 500 Index, by 13.96%. Overweight allocation and security selection in energy, security selection in materials, and an underweight allocation to communication services, along with a hedge against the S&P 500 drove VAMO’s outperformance relative to its benchmark.

 

On a contribution to total return basis energy, materials and industrials were the best performing sectors contributing 7.79%, 3.01% and 0.57% respectively. On a contribution to total return basis consumer discretionary, communication services and information technology we the worst performing sectors contributing -1.66%, -0.41% and -0.35% respectively.

 

Average Annual Total Return for the Periods Ended April 30, 2022

 

  1 Year 3 Year 5 Year Since Inception*
Cambria Value and Momentum ETF - NAV 14.17% 9.12% 3.01% 1.56%
Cambria Value and Momentum ETF - Market 14.34% 8.92% 2.80% 1.45%
S&P 500 Index 0.21% 13.85% 13.66% 13.93%

 

 

* Fund inception date is September 8, 2015.

 

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

 

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

 

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

 

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

 

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

 

 
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  Manager’s Discussion and
Cambria Global Tail Risk ETF Analysis of Fund Performance
  April 30, 2022 (Unaudited)

 

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

 

For the 12-month period ended April 30, 2022, FAIL returned -7.98% at net asset value and -8.12% at market underperforming its benchmark, the Bloomberg Short Treasury Total Return Index, by 7.97%. Exposure to longer duration international developed and emerging market sovereign bonds, as well as US Treasuries drove negative performance. This negative performance was partially offset by positive returns from the options overly.

 

On a contribution to total return basis foreign developed sovereign bonds, emerging market sovereign bond and US treasuries were the worst performers. MXEA and MXEF Index options were the best performers.

 

Average Annual Total Return for the Periods Ended April 30, 2022

 

  1 Year 3 Year 5 Year Since Inception*
Cambria Global Tail Risk ETF - NAV -7.98% -2.76% -1.33% 0.88%
Cambria Global Tail Risk ETF - Market -8.12% -3.16% -1.82% 0.65%
Bloomberg US Short Treasury Index -0.14% 0.81% 1.16% 1.03%
FTSE/Citi World Government Bond Index -18.45% -3.65% -1.17% -0.89%

 

 

* Fund inception date is February 22, 2016.

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

 
Annual Report | April 30, 2022 13

 

 

 

 

  Manager’s Discussion and
Cambria Emerging Shareholder Yield ETF Analysis of Fund Performance
  April 30, 2022 (Unaudited)

 

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

 

For the 12-month period ended April 30, 2022, EYLD returned -16.81% at net asset value (NAV) and -18.81% at market outperforming its benchmark, the MSCI Emerging Markets Total Return Index, by 0.98%. Underweight allocation and security selection in China, and security selection in India and South Korea relative to the MSCI Emerging Markets Total Return Index were the primary drivers of outperformance. Exposure to Russia as well as security selection in Taiwan were the main detractors from performance relative to the benchmark.

 

On a contribution to total return basis India, Turkey and Australia allocations were the best performers contributing 1.52%, 1.02% and 0.50% respectively. On a contribution to total return basis Russia, Taiwan and China allocations were the worst performers contributing -16.87%, -3.88% and -1.44% respectively.

 

Average Annual Total Return for the Periods Ended April 30, 2022

 

  1 Year 3 Year 5 Year Since Inception*
Cambria Emerging Shareholder Yield ETF - NAV -16.81% 3.96% 5.88% 8.19%
Cambria Emerging Shareholder Yield ETF - Market -18.81% 3.07% 5.19% 7.87%
MSCI Emerging Markets Index -18.06% 2.60% 4.69% 6.73%

 

 

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

 

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

 

Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.65%.

 

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

 

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

 

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

 

 
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  Manager’s Discussion and
Cambria Tail Risk ETF Analysis of Fund Performance
  April 30, 2022 (Unaudited)

 

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

 

For the 12-month period ended April 30, 2022, TAIL returned -9.14% at net asset value (NAV) and -9.13% at market underperforming its benchmark, the Bloomberg Short Treasury Total Return Index, by 9.00%. Longer duration US Treasuries were the core driver of underperformance during the period.

 

On a contribution to total return basis US treasuries were the worst performer contributing -6.97% to performance.

 

Average Annual Total Return for the Periods Ended April 30, 2022

 

  1 Year 3 Year 5 Year Since Inception*
Cambria Tail Risk ETF - NAV -9.14% -4.56% -6.39% -6.50%
Cambria Tail Risk ETF - Market -9.13% -4.54% -6.43% -6.47%
Bloomberg US Short Treasury Index -0.14% 0.81% 1.16% 1.15%

 

 

* Fund inception date is April 5, 2017.

 

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

 

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

 

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

 

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

 

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

 

 
Annual Report | April 30, 2022 15

 

 

 

 

  Manager’s Discussion and
Cambria Trinity ETF Analysis of Fund Performance
  April 30, 2022 (Unaudited)

 

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

 

For the 12-month period ended April 30, 2022, TRTY returned 3.98% at net asset value (NAV) and 4.72% at market outperforming its benchmark, the S&P Balanced Equity & Bond Moderate Index, by 8.38%. The main drivers of outperformance were overweight exposure to commodities, energy, and hedged US equity exposure relative to the benchmark.

 

On a contribution to total return basis commodities, energy and hedged US equity were the best performers contributing 2.66%, 2.51% and 1.28% respectively. On a contribution to total return basis emerging market equity, intermediate term US treasuries and emerging market fixed income were the worst performers contributing -0.94%, 0.60% and 0.52% respectively.

 

Average Annual Total Return for the Periods Ended April 30, 2022

 

  1 Year 3 Year Since Inception*
Cambria Trinity ETF - NAV 3.98% 7.14% 5.36%
Cambria Trinity ETF - Market 4.72% 7.34% 5.57%
S&P Balanced Equity & Bond – Moderate Index -4.40% 7.20% 7.22%

 

 

* Fund inception date is September 10, 2018.

 

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

 

Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.44%.

 

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

 

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

 

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

 

 
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  Manager’s Discussion and
Cambria Cannabis ETF Analysis of Fund Performance
  April 30, 2022 (Unaudited)

 

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

 

For the 12-month period ended April 30, 2022, TOKE returned -46.49% at net asset value (NAV) and -46.17% at market underperforming its benchmark, the S&P 500 Total Return Index, by 46.70%. Underperformance of TOKE over the period can be attributed to the underperformance of marijuana and ancillary marijuana companies relative to the S&P 500. As a thematic fund, we generally expect the Fund to underperform when the overall cannabis industry does poorly and vice versa.

 

On a contribution to total return basis Arena Pharmaceuticals, British American Tobacco, and Altria Group were the best performers contributing 2.85%, 0.80% and 0.70% respectively. On a contribution to total return basis Tilray Brans Inc, Greenlane Holdings and Scotts Miracle-Gro were the worst performers contributing -9.99%, -4.64% and -3.73% respectively.

 

Average Annual Total Return for the Periods Ended April 30, 2022

 

  1 Year Since Inception
Cambria Cannabis ETF - NAV -46.49% -25.83%
Cambria Cannabis ETF - Market -46.17% -25.60%
S&P 500 Index 0.21% 13.86%

 

 

* Fund inception date is July 25, 2019.

 

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

 

Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.59%; however, TOKE’s investment adviser has agreed to waive 17 basis points (0.17%) of its management fees for the Fund until at least August 31, 2022. This agreement may be terminated only by, or with the consent of, the Trust’s Board of Trustees.

 

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

 

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

 

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

 

 
Annual Report | April 30, 2022 17

 

 

 

 

  Manager’s Discussion and
Cambria Global Real Estate ETF Analysis of Fund Performance
  April 30, 2022 (Unaudited)

 

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

 

For the 12-month period ended April 30, 2022, BLDG returned 4.70% at net asset value (NAV) and 4.49% at market underperforming its benchmark, the FTSE EPRA/NAREIT Global REIT Total Return Index, by 0.99%. During this period, the primary driver for underperformance relative to the benchmark was security selection in the United States, Turkey and Japan.

 

On a contribution to total return basis United States, Canada and South Africa allocations were the best performers contributing 5.57%, 0.56% and 0.54% respectively. On a contribution to total return basis Japan, Turkey and Hong Kong allocations were the worst performers contributing -1.67%, -0.49% and -0.25% respectively.

 

Average Annual Total Return for the Periods Ended April 30, 2022

 

  1 Year Since Inception
Cambria Global Real Estate ETF - NAV 4.70% 20.32%
Cambria Global Real Estate ETF - Market 4.49% 20.12%
FTSE EPRA Nareit Global REITs Index 5.69% 25.20%

 

 

* Fund inception date is September 24, 2020.

 

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

 

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

 

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

 

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

 

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

 

 
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Cambria Shareholder Yield ETF Schedule of Investments

April 30, 2022

 

Sector Weightings        
Cambria Shareholder Yield ETF        
Consumer Discretionary     24.78 %
Financials     23.52 %
Materials     17.72 %
Energy     10.39 %
Industrials     6.83 %
Health Care     6.05 %
Information Technology     5.26 %
Consumer Staples     3.78 %
Communication Services     1.67 %
      100.00 %

 

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

 

    Shares   Value
Common Stocks (97.98%)                
Communication Services (1.64%)                
Fox Corp., Class B     121,849     $ 4,050,261  
Lumen Technologies, Inc.     433,316       4,359,159  
              8,409,420  
Consumer Discretionary (24.27%)                
Abercrombie & Fitch Co., Class A(a)     117,768       4,072,418  
Advance Auto Parts, Inc.     28,730       5,735,370  
AutoNation, Inc.(a)     54,587       6,327,179  
Bed Bath & Beyond, Inc.(a)(b)     197,904       2,693,473  
Big 5 Sporting Goods Corp.(b)     174,552       2,525,767  
Big Lots, Inc.(b)     91,091       2,814,712  
Citi Trends, Inc.(a)(b)     71,825       2,008,945  
Dick's Sporting Goods, Inc.(b)     42,926       4,138,925  
Dillard's, Inc., Class A(b)     50,193       15,249,135  
Ethan Allen Interiors, Inc.     179,816       4,268,832  
Foot Locker, Inc.     75,205       2,204,259  
Haverty Furniture Cos., Inc.(b)     139,425       3,461,923  
Hibbett, Inc.     58,296       2,517,221  
LKQ Corp.     90,888       4,510,771  
Macy's, Inc.     219,531       5,306,064  
ODP Corp.(a)     103,259       4,443,235  
Penske Automotive Group, Inc.     62,699       6,572,109  
PulteGroup, Inc.     106,639       4,453,245  
Smith & Wesson Brands, Inc.     312,143       4,285,723  
Sturm Ruger & Co., Inc.(b)     67,938       4,629,975  
Tapestry, Inc.     129,454       4,261,626  
Toll Brothers, Inc.     142,805       6,621,868  
Tri Pointe Homes, Inc.(a)     221,390       4,576,131  
Veritiv Corp.(a)     53,256       7,484,598  
Whirlpool Corp.     29,744       5,399,131  
    Shares   Value
Consumer Discretionary (continued)      
Zumiez, Inc.(a)     118,300     $ 4,333,329  
              124,895,964  
Consumer Staples (3.71%)                
J M Smucker Co.     35,997       4,929,069  
Nu Skin Enterprises, Inc., Class A     111,202       4,741,653  
Sprouts Farmers Market, Inc.(a)     197,223       5,877,246  
Walgreens Boots Alliance, Inc.     83,148       3,525,475  
              19,073,443  
Energy (10.18%)                
APA Corp.     114,751       4,696,758  
California Resources Corp.     105,456       4,240,386  
CVR Energy, Inc.     245,557       6,156,114  
Exxon Mobil Corp.     56,953       4,855,243  
Helmerich & Payne, Inc.     178,971       8,238,035  
HF Sinclair Corp.(a)     138,242       5,255,961  
Marathon Oil Corp.     187,421       4,670,531  
Oasis Petroleum, Inc.     49,056       6,507,769  
Valero Energy Corp.(b)     69,797       7,780,970  
              52,401,767  
Financials (23.04%)                
Aflac, Inc.     82,472       4,723,996  
Allstate Corp.     38,194       4,833,069  
Ally Financial, Inc.     94,978       3,795,321  
Ameriprise Financial, Inc.     20,449       5,429,005  
Assured Guaranty, Ltd.     101,569       5,601,530  
Cathay General Bancorp     124,384       4,986,555  
Citizens Financial Group, Inc.     102,842       4,051,975  
Comerica, Inc.     71,487       5,854,785  
Discover Financial Services     42,419       4,770,441  
Federated Hermes, Inc.     148,382       4,225,919  
First Horizon Corp.     204,490       4,576,486  
Hilltop Holdings, Inc.(b)     150,917       3,846,874  
Hope Bancorp, Inc.     336,648       4,814,066  
JPMorgan Chase & Co.     27,040       3,227,494  
Lincoln National Corp.     70,980       4,269,447  
MetLife, Inc.     70,642       4,639,767  
Mr Cooper Group, Inc.(a)     99,203       4,461,159  
PacWest Bancorp     131,144       4,313,326  
SLM Corp.     268,710       4,495,518  
Synchrony Financial     104,611       3,850,731  
Unum Group     152,776       4,662,724  
US Bancorp     79,599       3,865,328  
Voya Financial, Inc.     68,445       4,321,617  
Webster Financial Corp.     194,251       9,710,632  

 

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

Annual Report | April 30, 2022 19

 

 

 

 

Cambria Shareholder Yield ETF Schedule of Investments

April 30, 2022

 

    Shares   Value
Financials (continued)        
Zions Bancorp NA     92,612     $ 5,233,504  
              118,561,269  
Health Care (5.93%)                
Allscripts Healthcare Solutions, Inc.(a)(b)     211,419       4,367,917  
Cigna Corp.     19,266       4,754,463  
Innoviva, Inc.(a)(b)     331,409       5,653,838  
McKesson Corp.     22,646       7,011,428  
Quest Diagnostics, Inc.     30,576       4,092,292  
Universal Health Services, Inc., Class B     37,687       4,617,788  
              30,497,726  
Industrials (6.70%)                
Boise Cascade Co.     79,092       5,977,773  
Crane Co.     42,926       4,130,769  
Cummins, Inc.     18,759       3,549,015  
ManpowerGroup, Inc.     42,419       3,826,194  
Matson, Inc.     65,910       5,669,578  
Quanta Services, Inc.     59,319       6,879,818  
Snap-on, Inc.(b)     20,787       4,417,030  
              34,450,177  
Information Technology (5.15%)                
Arrow Electronics, Inc.(a)     39,715       4,680,810  
DXC Technology Co.(a)     142,298       4,083,953  
HP, Inc.     163,254       5,979,994  
Juniper Networks, Inc.     169,507       5,342,861  
Western Union Co.(b)     170,352       2,855,099  
Xerox Holdings Corp.     203,983       3,549,304  
              26,492,021  
Materials (17.36%)                
DuPont de Nemours, Inc.     70,642       4,657,427  
Greif, Inc., Class A     75,374       4,573,695  
Huntsman Corp.     159,198       5,392,036  
International Paper Co.     81,965       3,793,340  
Louisiana-Pacific Corp.     120,497       7,774,467  
LyondellBasell Industries NV, Class A     48,165       5,106,935  
Mosaic Co.     151,931       9,483,533  
Nucor Corp.     67,600       10,463,128  
Olin Corp.     88,218       5,063,713  
Reliance Steel & Aluminum Co.     29,913       5,930,252  
Resolute Forest Products, Inc.     511,563       7,131,188  
Schweitzer-Mauduit International, Inc.     137,987       3,471,753  
Steel Dynamics, Inc.     102,752       8,810,984  

 

    Shares   Value
Materials (continued)        
United States Steel Corp.     132,327     $ 4,034,650  
Worthington Industries, Inc.     76,726       3,649,856  
              89,336,957  
Total Common Stocks                
(Cost $515,323,710)             504,118,744  
                 
      Shares       Value  
Short-Term Investment (5.55%)                
Fidelity Investments Money Market              
Treasury Portfolio Institutional Class, 0.01%(c)(d)     28,574,596     $ 28,574,597  
                 
Total Short-Term Investment                
(Cost $28,574,597)             28,574,597  
                 
Total Investments (103.53%)                
(Cost $543,898,307)           $ 532,693,341  
                 
Liabilities Less Other Assets (-3.53%)       (18,158,947 )
                 
Net Assets (100.00%)           $ 514,534,394  
Percentages based on Net Assets.                

 

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

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Cambria Shareholder Yield ETF Schedule of Investments

April 30, 2022

 

(a) Non-income producing security.
(b) This security or a partial position of this security is on loan at April 30, 2022. The total value of securities on loan at April 30, 2022 was $27,074,248.
(c) This security was purchased with cash collateral held from securities on loan. The total value of such securities as of April 30, 2022 was $28,574,597.
(d) Rate shown is the 7-day effective yield as of April 30, 2022.

 

Investment Abbreviations:

 

PLC - Public Limited Company

 

As of April 30, 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.

Annual Report | April 30, 2022 21

 

 

 

 

Cambria Foreign Shareholder Yield ETF

Schedule of Investments

April 30, 2022

 

Sector Weightings

Cambria Foreign Shareholder Yield ETF        
Financials     22.56 %
Materials     18.60 %
Industrials     16.09 %
Energy     11.89 %
Communication Services     8.19 %
Information Technology     7.83 %
Consumer Staples     7.48 %
Consumer Discretionary     6.04 %
Real Estate     1.32 %
      100.00 %

 

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

 

    Shares   Value
Common Stocks (97.49%)        
Australia (8.72%)        
Challenger, Ltd.(a)     150,195     $ 773,616  
CSR, Ltd.     162,078       703,129  
Downer EDI, Ltd.     147,186       578,207  
Fortescue Metals Group, Ltd.     60,486       924,387  
GrainCorp, Ltd., Class A     119,901       875,963  
Mineral Resources, Ltd.     18,768       776,270  
Super Retail Group, Ltd.     80,121       600,060  
Woodside Petroleum, Ltd.     26,826       590,413  
              5,822,045  
Belgium (1.08%)                
Ageas SA     14,908       721,565  
                 
Canada (11.76%)                
Canadian Natural Resources, Ltd.     20,400       1,262,604  
Celestica, Inc.(b)     66,300       745,240  
Corus Entertainment, Inc., Class B     147,900       484,692  
Great-West Lifeco, Inc.     17,861       492,736  
Home Capital Group, Inc.     25,500       635,986  
Imperial Oil, Ltd.     20,400       1,027,106  
Interfor Corp.     20,400       581,519  
Labrador Iron Ore Royalty Corp.(a)     29,796       806,219  
Mullen Group, Ltd.     66,300       634,279  
Suncor Energy, Inc.     20,400       733,330  
West Fraser Timber Co., Ltd.     5,100       448,247  
              7,851,958  

 

    Shares   Value
Denmark (1.39%)        
Scandinavian Tobacco Group A/S, Class A(c)     44,115     $ 927,821  
                 
France (6.38%)                
AXA SA     25,245       678,058  
Carrefour SA     37,128       789,632  
Coface SA     47,736       579,634  
Metropole Television SA     30,090       562,178  
Nexity SA     13,413       410,069  
TotalEnergies SE     12,750       635,207  
Vivendi SE(a)     52,173       603,239  
              4,258,017  
Germany (1.88%)                
DWS Group GmbH & Co. KGaA(c)     13,719       455,317  
Freenet AG     28,764       798,368  
              1,253,685  
Great Britain (12.38%)                
abrdn PLC     173,910       413,967  
Anglo American PLC     12,495       563,427  
Aviva PLC     129,387       704,969  
Berkeley Group Holdings PLC     8,724       447,590  
BP PLC     149,889       737,986  
British American Tobacco PLC     18,921       797,515  
Direct Line Insurance Group PLC     151,043       481,850  
Legal & General Group PLC     154,946       491,184  
Man Group PLC     350,676       1,036,251  
Persimmon PLC     16,575       437,687  
Quilter PLC(c)     288,711       478,486  
Rio Tinto PLC     13,878       995,748  
WPP PLC     53,652       678,021  
              8,264,681  
Hong Kong (10.08%)                
China Resources Cement Holdings, Ltd.     739,500       617,271  
Kingboard Holdings, Ltd.     127,500       580,063  
Kingboard Laminates Holdings, Ltd.     397,800       618,473  
Lee & Man Paper Manufacturing, Ltd.     765,000       368,510  
New World Development Co., Ltd.     117,300       449,947  
Orient Overseas International, Ltd.     25,500       716,873  
Pacific Basin Shipping, Ltd.     1,173,000       547,111  
PC Partner Group, Ltd.(a)     714,000       897,163  
Shougang Fushan Resources Group, Ltd.     3,774,000       1,428,416  

 

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

22 www.cambriafunds.com

 

 

 

 

Cambria Foreign Shareholder Yield ETF

Schedule of Investments

April 30, 2022

 

    Shares   Value
Hong Kong (continued)        
VTech Holdings, Ltd.     71,400     $ 507,270  
              6,731,097  
Italy (3.77%)                
Anima Holding SpA(c)     127,551       629,742  
Eni SpA     48,348       682,955  
Unipol Gruppo SpA     117,912       649,324  
UnipolSai Assicurazioni SpA     195,687       554,086  
              2,516,107  
Japan (22.91%)                
Aozora Bank, Ltd.     25,500       511,670  
Dai Nippon Printing Co., Ltd.     25,500       534,267  
Dai-ichi Life Holdings, Inc.     35,700       716,476  
Hakuto Co., Ltd.     30,600       543,266  
Hosiden Corp.     61,200       587,596  
Idemitsu Kosan Co., Ltd.     25,500       669,062  
Inabata & Co., Ltd.     35,700       585,120  
Inpex Corp.     56,100       662,263  
Isuzu Motors, Ltd.     51,000       596,163  
Japan Tobacco, Inc.     25,500       436,904  
Kewpie Corp.     30,600       516,386  
Marubeni Corp.     76,500       838,538  
Meiwa Corp.(a)     86,700       585,906  
Mitsui & Co., Ltd.     30,600       742,747  
Mixi, Inc.     30,600       529,119  
Nippon Carbon Co., Ltd.     15,300       491,038  
Nippon Electric Glass Co., Ltd.     30,600       618,484  
Nippon Yusen KK     15,300       1,115,300  
Nisshinbo Holdings, Inc.     76,500       574,745  
Oyo Corp.     35,700       544,956  
Press Kogyo Co., Ltd.     193,800       583,901  
Sumitomo Osaka Cement Co., Ltd.     20,400       569,046  
Sumitomo Warehouse Co., Ltd.     40,800       686,628  
Tama Home Co., Ltd.(a)     25,500       499,488  
Tokio Marine Holdings, Inc.     10,200       551,676  
              15,290,745  
Luxembourg (1.89%)                
ArcelorMittal SA     23,052       683,965  
RTL Group SA     11,016       576,884  
              1,260,849  
Netherlands (5.03%)                
ASR Nederland NV     15,774       721,213  
Boskalis Westminster     21,267       742,621  
Flow Traders(c)     15,810       515,375  
Koninklijke Ahold Delhaize NV     17,799       527,449  
    Shares   Value
Netherlands (continued)        
NN Group NV     17,238     $ 853,616  
              3,360,274  
New Zealand (0.84%)                
Fletcher Building, Ltd.     139,893       559,048  
                 
Norway (1.61%)                
Telenor ASA     36,315       514,563  
Yara International ASA     10,863       556,738  
              1,071,301  
Spain (1.10%)                
Repsol SA     48,450       730,141  
                 
Sweden (2.87%)                
Betsson AB(b)     122,604       759,139  
SSAB AB     88,689       572,085  
Telia Co. AB     140,918       586,665  
              1,917,889  
Switzerland (3.80%)                
Ferrexpo PLC     139,689       290,353  
Glencore PLC     96,186       601,480  
Holcim AG     12,495       618,488  
Zurich Insurance Group AG     2,244       1,028,630  
              2,538,951  
Total Common Stocks                
(Cost $66,999,726)             65,076,174  

 

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

Annual Report | April 30, 2022 23

 

 

 

 

Cambria Foreign Shareholder Yield ETF

Schedule of Investments

April 30, 2022

 

    Shares   Value
Short-Term Investment (2.40%)        
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(d)(e)     1,602,264     $ 1,602,264  
                 
Total Short-Term Investment                
(Cost $1,602,264)             1,602,264  
                 
Total Investments (99.89%)                
(Cost $68,601,990)           $ 66,678,438  
                 
Other Assets Less Liabilities (0.11%)         76,535  
               
Net Assets (100.00%)           $ 66,754,973  
Percentages based on Net Assets.                

 

(a) This security or a partial position of this security is on loan at April 30, 2022. The total value of securities on loan at April 30, 2022 was $1,529,051.
(b) Non-income producing security.
(c) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of April 30, 2022, the fair value of securities restricted under Rule 144A in the aggregate was $3,006,741, representing 4.50% of net assets.
(d) This security was purchased with cash collateral held from securities on loan. The total value of such securities as of April 30, 2022 was $1,602,264.
(e) Rate shown is the 7-day effective yield as of April 30, 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 April 30, 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.

24 www.cambriafunds.com

 

 

 

 

Cambria Global Value ETF Schedule of Investments
  April 30, 2022

 

Sector Weightings      

Cambria Global Value ETF

Financials

    25.80 %
Utilities     18.46 %
Materials     15.22 %
Other     10.03 %
Consumer Staples     8.15 %
Industrials     7.81 %
Energy     5.34 %
Real Estate     3.42 %
Communication Services     3.18 %
Consumer Discretionary     2.59 %
      100.00 %

 

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

 

    Shares     Value  
Common Stocks (87.65%)            
             
Austria (8.02%)            
BAWAG Group AG(a)     32,300     $ 1,557,907  
Erste Group Bank AG     21,594       675,674  
Erste Group Bank AG(b)     24,606       785,404  
IMMOFINANZ AG     47,800       1,156,789  
Raiffeisen Bank International AG     50,800       588,436  
UNIQA Insurance Group AG     121,400       934,920  
Voestalpine AG     40,600       1,073,347  
Wienerberger AG     50,600       1,441,276  
              8,213,753  
Chile (6.70%)                
Banco de Credito e Inversiones SA     27,420       848,551  
CAP SA     199,600       2,475,690  
Cencosud SA     815,100       1,304,718  
Cia Cervecerias Unidas SA     133,200       890,333  
Colbun SA     7,632,200       545,323  
Empresa Nacional de                
Telecomunicaciones SA     195,600       714,497  
Latam Airlines Group SA(b)     323,500       85,571  
              6,864,683  
Czech Republic (11.33%)                
CEZ AS     119,800       5,140,672  
Komercni Banka AS     59,600       1,977,499  
Moneta Money Bank AS(a)     733,400       2,750,920  
Philip Morris CR AS     2,300       1,735,280  
              11,604,371  
  Shares     Value  
Great Britain (6.47%)            
Aviva PLC     171,700     $ 935,513  
Barratt Developments PLC     90,100       560,250  
Direct Line Insurance Group PLC     230,800       736,287  
J Sainsbury PLC     275,400       807,922  
Kingfisher PLC     194,500       619,506  
Legal & General Group PLC     253,200       802,653  
M&G PLC     320,300       862,715  
Persimmon PLC     22,000       580,942  
Phoenix Group Holdings PLC     93,600       716,777  
              6,622,565  

 

Greece (8.96%)            
FF Group(b)(c)     25,407       0  
Hellenic Petroleum Holdings SA     124,700       952,440  
Hellenic Telecommunications                
Organization SA     85,000       1,649,946  
JUMBO SA     48,265       786,163  
Karelia Tobacco Co. Inc SA(d)     4,195       1,265,700  
Motor Oil Hellas Corinth Refineries SA     92,400       1,471,912  
Mytilineos SA     82,800       1,546,096  
Public Power Corp. SA(b)     185,900       1,500,285  
              9,172,542  

 

Poland (11.96%)            
Alior Bank SA(b)     190,600       1,562,817  
Bank Polska Kasa Opieki SA     35,900       793,818  
Eurocash SA     130,100       349,321  
Grupa Lotos SA     58,031       908,698  
Jastrzebska Spolka Weglowa SA(e)     211,100       3,220,799  
KGHM Polska Miedz SA     38,500       1,259,155  
PGE Polska Grupa Energetyczna SA(b)     421,700       940,262  
Polski Koncern Naftowy ORLEN SA     40,100       681,483  
Powszechna Kasa Oszczednosci                
Bank Polski SA     103,900       769,169  
Santander Bank Polska SA     10,300       628,876  
Tauron Polska Energia SA(b)     1,500,425       1,134,121  
              12,248,519  

 

Portugal (7.80%)            
Altri SGPS SA     71,400       478,681  
Corticeira Amorim SGPS SA     129,647       1,348,566  
Energias de Portugal SA     347,200       1,627,013  
Galp Energia SGPS SA     102,900       1,262,490  
Greenvolt-Energias Renovaveis SA(b)     994       7,414  
Jeronimo Martins SGPS SA     35,700       745,704  
Mota-Engil SGPS SA(b)(e)     260,400       351,079  

 

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

Annual Report | April 30, 2022 25

 

 

 

 

Cambria Global Value ETF Schedule of Investments
  April 30, 2022

 

    Shares     Value  
Portugal (continued)            
Navigator Co. SA     278,700     $ 1,152,540  
NOS SGPS SA     184,300       781,988  
REN - Redes Energeticas Nacionais                
SGPS SA     74,234       226,326  
              7,981,801  
Russia (–%)(f)                
Alrosa PJSC(c)(d)(g)     1,262,976       0  
Gazprom Neft PJSC(c)(d)(g)     334,880       0  
Gazprom PJSC(c)(d)(g)     373,048       0  
Rosneft Oil Co. PJSC(c)(d)(g)     198,016       0  
Sberbank of Russia PJSC(c)(d)(g)     287,609       0  
Severstal PAO(c)(d)(g)     82,992       0  
Unipro PJSC(c)(d)(g)     22,421,984       0  
              0  

 

Singapore (9.13%)            
CapitaLand Integrated Commercial Trust     60,324       101,634  
Capitaland Investment, Ltd.     390,000       1,192,885  
City Developments, Ltd.     150,000       926,281  
ComfortDelGro Corp., Ltd.     540,000       573,990  
Golden Agri-Resources, Ltd.     4,148,652       974,953  
Jardine Cycle & Carriage, Ltd.     40,000       838,787  
Oversea-Chinese Banking Corp., Ltd.     120,000       1,075,093  
SATS, Ltd.(b)     270,000       888,318  
Sembcorp Industries, Ltd.     450,000       959,905  
Sembcorp Marine, Ltd.(b)     2,209,954       174,182  
Singapore Airlines, Ltd.(b)     140,000       556,781  
United Overseas Bank, Ltd.     50,000       1,084,276  
              9,347,085  
Spain (8.79%)                
Acciona SA     6,418       1,269,503  
Banco Bilbao Vizcaya Argentaria SA     103,748       553,703  
Banco Santander SA(e)     144,108       428,184  
CaixaBank SA     207,343       675,460  
Enagas SA     34,026       738,377  
Endesa SA     40,212       849,708  
Ferrovial SA     23,233       602,694  
Iberdrola SA     153,336       1,781,002  
Mapfre SA     318,049       585,494  
Naturgy Energy Group SA(e)     49,932       1,513,378  
              8,997,503  
Turkey (8.49%)                
Akbank TAS     1,000,900       601,285  
Eregli Demir ve Celik Fabrikalari TAS     649,600       1,468,225  
Haci Omer Sabanci Holding AS     686,800       926,942  

 

    Shares     Value  
Turkey (continued)            
KOC Holding AS     361,000     $ 977,368  
Petkim Petrokimya Holding AS(b)     1,773,208       1,139,286  
Turkiye Halk Bankasi AS(b)     1,074,000       391,315  
Turkiye Is Bankasi AS, Class C     1,075,600       762,788  
Turkiye Sise ve Cam Fabrikalari AS     935,000       1,141,023  
Turkiye Vakiflar Bankasi TAO, Class D(b)     1,146,300       343,545  
Yapi ve Kredi Bankasi AS     2,854,700       936,298  
              8,688,075  
Total Common Stocks                
                 
(Cost $103,675,822)             89,740,897  
                 
      Shares       Value  
Exchange Traded Funds (8.92%)                
                 
Colombia (8.92%)                
                 
Equity ETF (8.92%)                
iShares® MSCI Colombia ETF(e)(h)     805,100       9,137,885  
                 
Total Exchange Traded Funds                
(Cost $6,564,167)             9,137,885  
                 
      Shares       Value  
Short-Term Investment (2.93%)                
Fidelity Investments Money Market                
Treasury Portfolio Institutional                
Class, 0.01%(i)(j)     2,995,971     $ 2,995,971  
                 
Total Short-Term Investment                
(Cost $2,995,971)             2,995,971  
                 
Total Investments (99.50%)                
(Cost $113,235,960)           $ 101,874,753  
                 
Other Assets Less Liabilities (0.50%)                
              511,578  
Net Assets (100.00%)                
            $ 102,386,331  
Percentages based on Net Assets.                

 

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

26 www.cambriafunds.com

 

 

 

 

Cambria Global Value ETF Schedule of Investments
  April 30, 2022

 

(a) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of April 30, 2022, the fair value of securities restricted under Rule 144A in the aggregate was $4,308,827, representing 4.21% of net assets.
(b) Non-income producing security.

(c) Fair valued security; valued by management in accordance with procedures approved by the Fund's Board of Trustees. As of April 30, 2022, these securities had an aggregate market value of $0 or 0.00% of total net assets.
(d) These securities are considered to be illiquid. The aggregate value of these securities at April 30, 2022 was $1,265,700, which represent 1.24% of the Fund's Net Assets.
(e) This security or a partial position of this security is on loan at April 30, 2022. The total value of securities on loan at April 30, 2022 was $2,829,911.
(f) Less than 0.005%.
(g) Level 3 security in accordance with fair value hierarchy.
(h) Investment is deemed to be an affiliate by virtue of the Fund owning at least 5% of shares of the issuer.
(i) This security was purchased with cash collateral held from securities on loan. The total value of such securities as of April 30, 2022 was $2,995,971.
(j) Rate shown is the 7-day effective yield as of April 30, 2022.

 

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. 

Annual Report | April 30, 2022 27

 

 

 

 

Cambria Global Value ETF Schedule of Investments
  April 30, 2022

 

Transactions with affiliated companies during the period ended April 30, 2022 are as follows:

 

    Market Value                             Market Value     Share Balance           Change in      
  as of           Purchases           Sales     as of     as of           Unrealized     Realized  
Security Name   April 30, 2021     Purchases     In-Kind     Sales     In-Kind     April 30, 2022     April 30, 2022     Dividends     Gain (Loss)     Gain/Loss  
iShares MSCI                                                            
Colombia ETF   $ 8,347,450     $                –     $ 349,490     $     $ (978,915 )   $ 9,137,885       805,100     $ 93,172     $ 1,139,788     $ 280,072  
Grand Total   $ 8,347,450     $     $ 349,490     $                     $ (978,915 )   9,137,885     805,100     $ 93,172     1,139,788     $ 280,072  

 

Cambria Global Value ETF                        

 

Investments in Securities at  

Level 1 - Quoted

and Unadjusted

   

Level 2-
Other

Significant

Observable

   

Level 3-
Significant

Unobservable

       
Value   Prices     Inputs     Inputs(1)     Total  
Common Stocks                        
Austria   $ 8,213,753              –     $           –       8,213,753  
Chile     6,864,683                   6,864,683  
Czech Republic     11,604,371                   11,604,371  
Great Britain     6,622,565                   6,622,565  
Greece     9,172,542                   9,172,542  
Poland     12,248,519                   12,248,519  
Portugal     7,981,801                   7,981,801  
Russia                 0       0  
Singapore     9,347,085                   9,347,085  
Spain     8,997,503                   8,997,503  
Turkey     8,688,075                   8,688,075  
Exchange Traded Funds                                
Colombia     9,137,885                   9,137,885  
Short-Term Investment     2,995,971                   2,995,971  
                                 
Total   $ 101,874,753     $     $ 0     $ 101,874,753  

 

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 April 30, 2022 is ($10,134,181).

 

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.

28 www.cambriafunds.com

 

 

 

 

Cambria Global Momentum ETF

Schedule of Investments

  April 30, 2022

 

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

 

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

 

    Shares   Value
Exchange Traded Funds (99.96%)        
Global (22.13%)        
Commodity ETF (8.68%)        
iShares® Global Energy ETF     199,576     $ 7,080,956  
                 
Equity ETF (13.45%)                
Cambria Global Real Estate ETF*     167,024       4,975,645  
FlexShares Global Upstream Natural                
Resources Index Fund(a)     134,160       5,994,269  
              10,969,914  

 

International (5.69%)        
Equity ETF (5.69%)        
Cambria Foreign Shareholder Yield ETF*(a)     178,748       4,642,086  
                 
North America (25.71%)                
Commodity ETF (12.79%)                
Invesco DB Precious Metals Fund(b)     98,072       4,897,716  
VanEck Gold Miners ETF     158,184       5,534,858  
              10,432,574  
Equity ETF (12.92%)                
iShares® Residential and                
Multisector Real Estate ETF     56,992       5,153,217  
Invesco DB Agriculture Fund(b)     243,776       5,380,136  
              10,533,353  
United States (46.43%)                
Commodity ETF (26.03%)                
Graniteshares Gold Trust(a)(b)     85,072       1,600,204  
Invesco DB Base Metals Fund(b)     261,616       6,218,612  
Invesco DB Energy Fund(b)     345,540       8,773,261  
Invesco Optimum Yield Diversified                
Commodity Strategy No K-1 ETF     248,612       4,636,614  
              21,228,691  
    Shares   Value
Equity ETF (20.40%)        
Cambria Shareholder Yield ETF*(a)     102,232     $ 6,221,839  
Cambria Value and Momentum ETF*(a)     393,710       10,421,504  
              16,643,343  
                 
Total Exchange Traded Funds                
(Cost $73,806,315)             81,530,917  
                 
      Shares       Value  
Short-Term Investment (4.58%)                
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(c)(d)     3,736,139     $ 3,736,139  
                 
Total Short-Term Investment                
(Cost $3,736,139)             3,736,139  

 

Total Investments (104.54%)    
(Cost $77,542,454)   $ 85,267,056  
         
Liabilities Less Other Assets (-4.54%)     (3,704,496 )
         
Net Assets (100.00%)   $ 81,562,560  
         
Percentages based on Net Assets.        

 

* Affiliated investment is a registered investment company which is managed by Cambria Investment Management, L.P. (the “Investment Adviser”) or an affiliate of the Investment Adviser or which is distributed by an affiliate of the Fund’s distributor.
(a) This security or a partial position of this security is on loan at April 30, 2022. The total value of securities on loan at April 30, 2022 was $3,592,240.
(b) Non-income producing security.
(c) This security was purchased with cash collateral held from securities on loan. The total value of such securities as of April 30, 2022 was $3,736,139.
(d) Rate shown is the 7-day effective yield as of April 30, 2022.

 

Investment Abbreviations:

 

ETF - Exchange Traded Fund

FTSE - Financial Times Stock Exchange

 

The accompanying notes are an integral part of the financial statements.
Annual Report | April 30, 2022 29

 

 

 

 

Cambria Global Momentum ETF Schedule of Investments
  April 30, 2022

 

Transactions with affiliated companies during the period ended April 30, 2022 are as follows:

 

    Market Value                   Market Value   Share
Balance
      Change in    
    as of       Purchases       Sales   as of   as of April       Unrealized   Realized
Security Name   April 30, 2021   Purchases   In-Kind    Sales   In-Kind   April 30, 2022   30, 2022   Dividends   Gain (Loss)   Gain/Loss
Cambria Global Real Estate ETF   $     $ 4,344,519       1,305,293     $     $ (199,735 )   $ 4,975,645       167,024     $ 376,318     $ (463,685 )   $ (10,747 )
Cambria Foreign Shareholder Yield ETF     4,020,942             1,219,949             (284,566 )     4,642,086       178,748       207,295       (355,517 )     41,278  
Cambria Value and Momentum ETF     3,875,794       3,847,545       2,568,578             (546,550 )     10,421,504       393,710       82,867       647,096       29,041  
Cambria Shareholder Yield ETF     10,330,758             2,002,863       (5,307,080 )     (738,095 )     6,221,839       102,232       228,460       (1,970,295 )     1,903,688  
    $ 18,227,494     $ 8,192,064     $ 7,096,683     $ (5,307,080 )   $ (1,768,946 )   $ 26,261,074       841,714     $ 894,940     $ (2,142,401 )   $ 1,963,260  

 

Investments no longer affiliated as of April 30, 2022

 

Cambria Emerging Shareholder Yield ETF   $ 5,783,508     $     $ 125,240     $ (4,998,741 )   $ (252,484 )   $           $ 256,579     $ (1,616,366 )   $ 958,843  
Cambria Global Value ETF     3,553,933       396,822       88,828       (3,781,160 )     (174,533 )                 77,667       (111,153 )     27,263  
    $ 9,337,441     $ 396,822     $ 214,068     $ (8,779,901 )   $ (427,017 )   $           $ 334,246     $ (1,727,519 )   $ 986,106  
                                                                                 
Grand Total   $ 27,564,935     $ 8,588,886     $ 7,310,751     $ (14,086,981 )   $ (2,195,963 )   $ 26,261,074       841,714     $ 1,229,186     $ (3,869,920 )   $ 2,949,366  

 

As of April 30, 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.
30 www.cambriafunds.com

 

 

 

 

Cambria Global Asset Allocation ETF Schedule of Investments
  April 30, 2022

 

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

 

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

 

    Shares   Value
Exchange Traded Funds (99.71%)        
Global (15.04%)        
Equity ETF (15.04%)        
Alpha Architect Value Momentum Trend ETF   36,992    $ 921,471 
Cambria Global Real Estate ETF*     116,416       3,468,033  
Cambria Global Value ETF*     124,096       2,521,469  
              6,910,973  

 

International (35.56%)        
Equity ETF (15.62%)        
Alpha Architect International Quantitative Momentum ETF(a)   33,280   915,932 
Cambria Emerging Shareholder Yield ETF*     139,904     4,171,210
Cambria Foreign Shareholder Yield ETF*         80,352         2,086,741
            7,173,883

 

Fixed Income ETF (19.94%)        
SPDR® FTSE International Government Inflation- Protected Bond ETF(a)   27,552     1,370,437
VanEck Emerging Markets High Yield Bond ETF  
 
      94,848      
 
      1,835,309
VanEck International High Yield Bond ETF  
 
 
 
 
44,096
 
 
 
 
 
 
 
916,535
VanEck J. P. Morgan EM Local Currency Bond ETF  
 
 
 
 
108,736
 
 
 
 
 
 
 
2,751,021
Vanguard® Total International Bond ETF(a)  
 
 
 
 
44,992
 
 
 
 
 
 
 
2,286,943
              9,160,245

 

North America (1.01%)        
Commodity ETF (1.01%)        
VanEck Gold Miners ETF     13,248       463,548  

 

    Shares   Value
United States (48.10%)        
Commodity ETF (10.04%)        
Graniteshares Gold Trust(b)     73,824     $ 1,388,630  
Invesco Optimum Yield Diversified                
Commodity Strategy No K-1 ETF     172,736       3,221,526  
              4,610,156  

 

Equity ETF (15.50%)        
Alpha Architect US Quantitative Momentum ETF(a)   39,200    1,824,838 
Cambria Shareholder Yield ETF*     56,480       3,437,373  
Cambria Value and Momentum ETF*     70,240       1,859,253  
              7,121,464  

 

Fixed Income ETF (22.56%)        
Schwab US TIPS Bond ETF     23,264       1,375,367  
Vanguard® Intermediate-Term Corporate Bond ETF(a)     16,800       1,370,376  
Vanguard® Intermediate-Term Government Bond ETF(a)     29,856       1,829,874  
Vanguard® Long-Term Treasury Bond ETF(a)     24,992       1,821,417