Sector Weightings | ||||
Cambria Global Tail Risk ETF | ||||
Exchange Traded Funds | 95.00 | % | ||
Purchased Options | 5.00 | % | ||
100.0 | % | |||
Percentages based on total investments. | ||||
Cambria Global Tail Risk ETF | ||||||||||||
Schedule of Investments | ||||||||||||
January 31, 2024 (Unaudited) | ||||||||||||
Shares | Value | |||||||||||
Exchange Traded Funds - 84.2% | ||||||||||||
iShares® 7-10 Year Treasury Bond ETF | 6,327 | $ | 610,302 | |||||||||
iShares® TIPS Bond ETF | 5,441 | 586,812 | ||||||||||
VanEck J. P. Morgan EM Local Currency Bond ETF | 21,863 | 545,919 | ||||||||||
Vanguard Total International Bond ETF | 10,666 | 523,487 | ||||||||||
Total Exchange Traded Funds (Cost $2,327,888) | 2,266,520 | |||||||||||
Notional Amount | Contracts | |||||||||||
Options Purchased - 4.4% Put Options - 4.4% | $ | – | ||||||||||
MSCI EAFE Index | – | $ | – | |||||||||
Expires 03/15/2024, Strike Price $2,000 | $ | 674,461 | 3 | 975 | ||||||||
Expires 06/21/2024, Strike Price $2,000 | 2,473,025 | 11 | 18,260 | |||||||||
Expires 09/20/2024, Strike Price $1,900 | 1,348,923 | 6 | 10,800 | |||||||||
Expires 12/20/2024, Strike Price $2,000 | 674,461 | 3 | 13,410 | |||||||||
MSCI Emerging Markets Index | – | $ | – | |||||||||
Expires 03/15/2024, Strike Price $950 | 390,319 | 4 | 4,400 | |||||||||
Expires 06/21/2024, Strike Price $950 | 1,170,958 | 12 | 30,900 | |||||||||
Expires 09/20/2024, Strike Price $900 | 878,219 | 9 | 20,880 | |||||||||
Expires 12/20/2024, Strike Price $900 | 585,479 | 6 | 19,290 | |||||||||
Total Options Purchased (Cost $268,577) | 118,915 | |||||||||||
Shares | ||||||||||||
Short-Term Investments - 9.7% | ||||||||||||
Money Market Funds - 9.7% | ||||||||||||
First American Treasury Obligations Fund - Class X, 5.25%(a) | 260,328 | 260,328 | ||||||||||
Total Short-Term Investments (Cost $260,328) | 260,328 | |||||||||||
Total Investments - 98.3% (Cost $2,856,793) | 2,645,763 | |||||||||||
Other Assets in Excess of Liabilities - 1.7% | 46,983 | |||||||||||
Total Net Assets - 100.0% | $ | 2,692,746 | ||||||||||
Percentages are stated as a percent of net assets. EAFE - Europe, Australasia and Far East ETF - Exchange Traded Funds MSCI - Morgan Stanley Capital International TIPS - Treasure Inflated Protected Security |
(a) | The rate shown represents the 7-day effective yield as of January 31, 2024. |
Cambria Global Tail Risk ETF
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments: | ||||||||||||||||
Exchange Traded Funds | $ | 2,266,520 | $ | – | $ | – | $ | 2,266,520 | ||||||||
Options Purchased | – | 118,915 | – | 118,915 | ||||||||||||
Short-Term Investments | 260,328 | – | – | 260,328 | ||||||||||||
Total Investments | $ | 2,526,848 | $ | 118,915 | $ | – | $ | 2,645,763 | ||||||||
Refer to the Schedule of Investments for industry classifications.