Sector Weightings | ||||
Cambria Tail Risk ETF | ||||
U.S. Treasury Obligations | 95.3 | % | ||
Purchased Options | 4.7 | % | ||
100.0 | % | |||
Percentages based on total investments. | ||||
Cambria Tail Risk ETF | ||||||||||||
Schedule of Investments | ||||||||||||
January 31, 2024 (Unaudited) | ||||||||||||
Par | Value | |||||||||||
U.S. Treasury Obligations - 92.9% | ||||||||||||
U.S. Treasury Bond, 4.125%, 11/15/2032 | $ | 85,554,000 | $ | 86,676,896 | ||||||||
Total U.S. Treasury Obligations (Cost $87,029,654) | 86,676,896 | |||||||||||
Notional Amount | Contracts | |||||||||||
Options Purchased - 4.5% | ||||||||||||
Put Options - 4.5% | $ | – | ||||||||||
S&P 500® Index | – | $ | – | |||||||||
Expires 03/15/2024, Strike Price $3,800 | $ | 21,320,860 | 44 | 11,220 | ||||||||
Expires 06/21/2024, Strike Price $4,400 | 24,712,815 | 51 | 224,910 | |||||||||
Expires 09/20/2024, Strike Price $4,000 | 65,416,275 | 135 | 547,425 | |||||||||
Expires 09/20/2024, Strike Price $4,200 | 34,888,680 | 72 | 397,440 | |||||||||
Expires 12/20/2024, Strike Price $4,100 | 72,200,185 | 149 | 1,084,720 | |||||||||
Expires 12/20/2024, Strike Price $4,200 | 18,898,035 | 39 | 325,650 | |||||||||
Expires 03/21/2025, Strike Price $4,400 | 58,632,365 | 121 | 1,645,600 | |||||||||
Total Options Purchased (Cost $8,536,612) | 4,236,965 | |||||||||||
Shares | ||||||||||||
Short-Term Investments - 0.3% | ||||||||||||
Money Market Funds - 0.3% | ||||||||||||
First American Treasury Obligations Fund - Class X, 5.25%(a) | 272,199 | 272,199 | ||||||||||
Total Short-Term Investments (Cost $272,199) | 272,199 | |||||||||||
Total Investments - 97.7% (Cost $95,838,465) | 91,186,060 | |||||||||||
Other Assets in Excess of Liabilities - 2.3% | 2,175,068 | |||||||||||
Total Net Assets - 100.0% | $ | 93,361,128 | ||||||||||
Percentages are stated as a percent of net assets. |
(a) | The rate shown represents the 7-day effective yield as of January 31, 2024. |
Cambria Tail Risk ETF | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments: | ||||||||||||||||
U.S. Treasury Obligations | $ | – | $ | 86,676,896 | $ | – | $ | 86,676,896 | ||||||||
Options Purchased | – | 4,236,965 | – | 4,236,965 | ||||||||||||
Short-Term Investments | 272,199 | – | – | 272,199 | ||||||||||||
Total Investments | $ | 272,199 | $ | 90,913,861 | $ | – | $ | 91,186,060 | ||||||||
Refer to the Schedule of Investments for industry classifications.