Cambria Investment Management
Notes to the Financial Statements
October 31, 2014 (Unaudited) (Continued)
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. Debt securities are priced based upon valuations provided by independent, third-party pricing agents, if available. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seeks to obtain a bid price from at least one independent broker.
Securities for which market prices are not “readily available” are valued in accordance with fair value procedures established by the Board. The Funds’ fair value procedures are implemented through a fair value committee (the “Committee”) designated by the Board. Some of the more common reasons that may necessitate that a security be valued using fair value procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; the security has not been traded for an extended period of time; the security’s primary pricing source is not able or willing to provide a price; or trading of the security is subject to local government-imposed restrictions. When a security is valued in accordance with the fair value procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee.
In accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP, the Funds disclose fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:
| | • | Level 1 – Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date; |
| | • | Level 2 – Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and |
| | • | Level 3 – Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity). |
For the period ended October 31, 2014, there have been no significant changes to the Funds’ fair valuation methodologies.
Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars on the date of valuation. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars at the relevant rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of realized or unrealized gains and losses resulting from changes in the foreign exchange rate from fluctuations arising from changes in the market prices of the securities. These gains and losses are included in net realized and unrealized gains and losses on investments on the Statement of Operations. Net realized and unrealized gains and losses on foreign currency transactions represent net foreign exchange gains or losses from foreign currency exchange contracts, disposition of foreign currencies, currency gains or losses realized between trade and settlement dates on securities transactions and the difference between the amount of the investment income and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent amounts actually received or paid.
Cambria Investment Management
Notes to the Financial Statements
October 31, 2014 (Unaudited) (Continued)
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
Federal Income Taxes — The Funds intend to qualify as “regulated investment companies” under Sub-chapter M of the Internal Revenue Code of 1986, as amended. If so qualified, the Funds will not be subject to U.S. federal income tax to the extent they distribute substantially all of their net investment income and net capital gains to their shareholders.
The Funds evaluate tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether it is “more-likely-than-not” (i.e., greater than 50 percent) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold are recorded as a tax benefit or expense in the current year. The Funds did not record any tax provisions in the current period. However, management’s conclusions regarding tax positions may be subject to review and adjustment at a later date based on factors including, but not limited to, examination by tax authorities (i.e., the last three tax year ends, as applicable), on-going analysis of and changes to tax laws, regulations and interpretations thereof.
As of and during the period ended October 31, 2014, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations. During the period, the Funds did not incur any interest or penalties.
Master Limited Partnerships — Entities commonly referred to as “MLPs” are generally organized under state law as limited partnerships or limited liability companies. The Funds intend to primarily invest in MLPs receiving partnership taxation treatment under the Internal Revenue Code of 1986 (the “Code”), and whose interests or “units” are traded on securities exchanges like shares of corporate stock. To be treated as a partnership for U.S. federal income tax purposes, an MLP whose units are traded on a securities exchange must receive at least 90% of its income from qualifying sources such as interest, dividends, real estate rents, gain from the sale or disposition of real property, income and gain from mineral or natural resources activities, income and gain from the transportation or storage of certain fuels, and, in certain circumstances, income and gain from commodities or futures, forwards and options with respect to commodities. Mineral or natural resources activities include exploration, development, production, processing, mining, refining, marketing and transportation (including pipelines) of oil and gas, minerals, geothermal energy, fertilizer, timber or industrial source carbon dioxide. An MLP consists of a general partner and limited partners (or in the case of MLPs organized as limited liability companies, a managing member and members). The general partner or managing member typically controls the operations and management of the MLP and has an ownership stake in the partnership. The limited partners or members, through their ownership of limited partner or member interests, provide capital to the entity, are intended to have no role in the operation and management of the entity and receive cash distributions. The MLPs themselves generally do not pay U.S. federal income taxes. Thus, unlike investors in corporate securities, direct MLP investors are generally not subject to double taxation (i.e., corporate level tax and tax on corporate dividends). Currently, most MLPs operate in the energy and/or natural resources sector.
Organizational Expenses — All organizational and offering expenses of the Trust were borne by the Investment Adviser and will not be subject to future recoupment. As a result, organizational and offering expenses are not reflected in the statement of assets and liabilities.
Security Transactions and Investment Income — Security transactions are accounted for on trade date. Costs used in determining realized gains and losses on the sale of investment securities are based on specific identification. Dividend income is recorded on the ex-dividend date. Interest income is recognized on the accrual basis.
Dividends and Distributions to Shareholders — The Funds generally pay out dividends from their net investment income, if any, quarterly, and distributes their net capital gains, if any, to shareholders at least annually. All distributions are recorded on ex-dividend date.
Cambria Investment Management
Notes to the Financial Statements
October 31, 2014 (Unaudited) (Continued)
2. SIGNIFICANT ACCOUNTING POLICIES (concluded)
Creation Units — The Funds issue and redeem shares on a continuous basis at NAV in groups of 50,000 shares called ‘‘Creation Units.’’ Purchasers of Creation Units (“Authorized Participants”) must pay a creation transaction fee per transaction. The fee is typically a single charge and will be the same regardless of the number of Creation Units purchased by an investor on the same day. An Authorized Participant who holds Creation Units and wishes to redeem at NAV would also pay a Redemption Fee per transaction to the custodian on the date of such redemption, regardless of the number of Creation Units redeemed that day.
Except when aggregated in Creation Units, shares are not redeemable securities of a Fund. Shares of the Fund may only be purchased or redeemed by Authorized Participants. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Fund. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees.
If a Creation Unit is purchased or redeemed for cash, a higher transaction fee will be charged. The following table discloses Creation Unit breakdown for the period ended October 31, 2014:
| | | | | | | | | | | | | | |
| Cambria Shareholder Yield ETF | | | 50,000 | | | $ | 700 | | | $ | 1,557,500 | | | $ | 700 | | None |
| Cambria Foreign Shareholder Yield ETF | | | 50,000 | | | | 2,000 | | | | 1,215,500 | | | | 2,000 | | Up to 2.0% |
| Cambria Global Value ETF | | | 50,000 | | | | 2,500 | | | | 1,076,000 | | | | 2,500 | | Up to 2.0% |
3. RELATED PARTIES
Investment Advisory Agreement — The Investment Adviser is responsible for overseeing the management and business affairs of the Funds, and has discretion to purchase and sell securities in accordance with the Funds’ objectives, policies, and restrictions. The Investment Adviser reviews, supervises, and administers the Funds’ investment program. The Investment Adviser has entered into an investment advisory agreement (“Management Agreement”) with respect to the Funds. Pursuant to that Management Agreement, the Funds pay the Investment Adviser an annual advisory fee based on its average daily nets assets for the services and facilities it provides payable at an annual rate of 0.59%.
With respect to the Cambria Shareholder Yield ETF and Cambria Foreign Shareholder Yield ETF, the Investment Adviser bears all of the costs of the Funds except for the advisory fee, payments under the Funds’ 12b-1 plan, brokerage expenses, acquired fund fees and expenses, taxes, interest (including borrowing costs and dividend expenses on securities sold short), litigation expenses and other extraordinary expenses. With respect to the Cambria Global Value ETF, the Investment Adviser bears all of the costs of the Fund except for the advisory fee, payments under the Fund’s 12b-1 plan, brokerage expenses, custodial expenses, acquired fund fees and expenses, taxes, interest (including borrowing costs and dividend expenses on securities sold short), litigation expenses and other extraordinary expenses. The Cambria Global Value ETF may pay up to 0.10% in custody fees. The Management Agreement for the Funds provides that it may be terminated at any time, without the payment of any penalty, by the Board of Trustees or, with respect to the Funds, by a majority of the outstanding shares of the Funds, on 60 days’ written notice to the Investment Adviser, and by the Investment Adviser on 60 days’ written notice to the Trust and that it shall be automatically terminated if it is assigned.
Cambria Investment Management
Notes to the Financial Statements
October 31, 2014 (Unaudited) (Continued)
3. RELATED PARTIES (concluded)
Administrator, Custodian and Transfer Agent — SEI Investments Global Fund Services (the “Administrator”) serves as the Funds’ Administrator pursuant to an administration agreement. Brown Brothers Harriman (the “Custodian” and “Transfer Agent”) serves as the Funds’ Custodian and Transfer Agent pursuant to a Custodian Agreement and a Transfer Agency Services Agreement.
Distribution Agreement — SEI Investments Distribution Co., a wholly-owned subsidiary of SEI Investments and an affiliate of the Administrator (the “Distributor”), serves as the Funds’ distributor of Creation Units pursuant to a distribution agreement. The Distributor does not maintain any secondary market in Fund shares.
The Trust has adopted a Distribution and Service Plan (“Plan”) pursuant to Rule 12b-1 under the Investment Company Act of 1940 (the “1940 Act”). In accordance with its Plan, the Funds are authorized to pay an amount up to 0.25% of its average daily net assets each year for certain distribution-related activities. However, no such fee is currently paid by the Funds, and the Board of Trustees has not currently approved the commencement of any payments under the Plan.
4. INVESTMENT TRANSACTIONS
For the period ended October 31, 2014, the purchases and sales of investments in securities excluding in-kind transactions, long-term U.S. Government and short-term securities were:
| | | | | | | |
| Cambria Shareholder Yield ETF | | $ | 44,229,149 | | | $ | 40,773,633 | |
| Cambria Foreign Shareholder Yield ETF | | | 20,949,430 | | | | 21,008,599 | |
| Cambria Global Value ETF | | | 5,731,454 | | | | 391,715 | |
For the period ended October 31, 2014, in-kind transactions associated with creations and redemptions were:
| | | | | | | | | | |
| Cambria Shareholder Yield ETF | | $ | 16,743,699 | | | $ | 19,279,956 | | | $ | 2,366,765 | |
| Cambria Foreign Shareholder Yield ETF | | | 16,696,695 | | | | 7,774,790 | | | | (331,670 | ) |
| Cambria Global Value ETF | | | 38,582,774 | | | | 1,816,851 | | | | (162,591 | ) |
5. PRINCIPAL RISKS
As with all exchange traded funds (‘‘ETFs’’), a shareholder of the Fund is subject to the risk that his or her investment could lose money. The Funds are subject to the principal risks noted below, any of which may adversely affect the Fund’s net asset value (‘‘NAV’’), trading price, yield, total return and ability to meet its investment objective. A more complete description of principal risks is included in the prospectus under the heading ‘‘Principal Risks’’.
Dividend Paying Security Risk — Securities that pay high dividends as a group can fall out of favor with the market, causing these companies to underperform companies that do not pay high dividends. Also, changes in the dividend policies of companies owned by the Funds and the capital resources available for these companies’ dividend payments may adversely affect the Funds.
Cambria Investment Management
Notes to the Financial Statements
October 31, 2014 (Unaudited) (Continued)
5. PRINCIPAL RISKS (concluded)
Equity Investing Risk — An investment in the Funds involves risks similar to those of investing in any fund holding equity securities, such as market fluctuations, changes in interest rates and perceived trends in stock prices. The values of equity securities could decline generally or could underperform other investments. In addition, securities may decline in value due to factors affecting a specific issuer, market or securities markets generally.
Management Risk — The Cambria Shareholder Yield ETF is actively managed using proprietary investment strategies and processes. The Cambria Foreign Shareholder Yield ETF and Cambria Emerging Shareholder Yield ETF are passively managed, meaning that they are designed to track the performance of an underlying index. There can be no guarantee that these strategies and processes will produce the intended results and no guarantee that the Fund will achieve its investment objective. This could result in the Fund’s underperformance compared to other funds with similar investment objectives.
Foreign Investment Risk — Returns on investments in foreign securities in the Cambria Foreign Shareholder Yield ETF and the Cambria Global Value ETF could be more volatile than, or trail the returns on, investments in U.S. securities. Investments in or exposures to foreign securities in the Cambria Foreign Shareholder Yield ETF and the Cambria Global Value ETF are subject to special risks, including risks associated with foreign securities generally, including differences in information available about issuers of securities and investor protection standards applicable in other jurisdictions; capital controls risks, including the risk of a foreign jurisdiction imposing restrictions on the ability to repatriate or transfer currency or other assets; currency risks; political, diplomatic and economic risks; regulatory risks; and foreign market and trading risks, including the costs of trading and risks of settlement in foreign jurisdictions.
Non-Correlation Risk — The returns of the Cambria Foreign Shareholder Yield ETF and the Cambria Global Value ETF may not match the return of their Underlying Indexes for a number of reasons. For example, each Fund incurs operating expenses not applicable to the Underlying Index, and incurs costs in buying and selling securities, especially when rebalancing the Fund’s securities holdings to reflect changes in the composition of its Underlying Index. In addition, the performance of each Fund and its Underlying Index may vary due to asset valuation differences and differences between each Fund’s portfolio and its Underlying Index resulting from legal restrictions, cost or liquidity constraints.
Index Risk — Unlike many investment companies, the Cambria Foreign Shareholder Yield ETF and the Cambria Global Value ETF do not utilize an investing strategy that seeks returns in excess of each Fund’s respective Underlying Index. Therefore, a Fund would not necessarily buy or sell a security unless that security is added or removed, respectively, from its respective Underlying Index, even if that security generally is underperforming.
6. GUARANTEES AND INDEMNIFICATIONS
In the normal course of business, the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. Additionally, under the Funds’ organizational documents, the officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, the Investment Adviser is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.
Cambria Investment Management
Notes to the Financial Statements
October 31, 2014 (Unaudited) (Continued)
7. INCOME TAXES
The amount and character of income and capital gain distributions to be paid, if any, are determined in accordance with Federal income tax regulations, which may differ from U.S. GAAP. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. These book/tax differences may be temporary or permanent. To the extent these differences are permanent in nature, they are charged or credited to undistributed net investment income (loss), accumulated net realized gain (loss) or paid-in capital, as appropriate, in the period that the differences arise.
For tax purposes, short-term realized gains are considered ordinary income. The tax character of dividends and distributions declared during the last two fiscal years were as follows:
| | | | | | | | | | | | | |
| Cambria Shareholder Yield ETF | | | | | | | | | | | | |
| 2013 | | $ | 2,820,294 | | | $ | — | | | $ | — | | | $ | 2,820,294 | |
| Cambria Foreign Shareholder Yield ETF | | | | | | | | | | | | | | | | |
| 2013 | | | 218,964 | | | | — | | | | — | | | | 218,964 | |
| Cambria Global Value ETF | | | | | | | | | | | | | | | | |
| 2013 | | | — | | | | — | | | | — | | | | — | |
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. As of April 30, 2014, there were no losses carried forward.
As of April 30, 2014, the components of distributable earnings on a tax basis were as follows:
| | | Undistributed Ordinary Income | | | Undistributed Long-Term Capital Gain | | | Qualified Late-Year Losses | | | Unrealized Appreciation (Depreciation) | | | Other Temporary Differences | | | Total Distributable Earnings | |
| Cambria Shareholder Yield ETF | | $ | 3,816,712 | | | $ | 2,331 | | | $ | — | | | $ | 18,090,708 | | | $ | — | | | $ | 21,909,751 | |
| Cambria Foreign Shareholder Yield ETF | | | 612,629 | | | | — | | | | (14,347 | ) | | | 2,773,038 | | | | (482 | ) | | | 3,370,838 | |
| Cambria Global Value ETF | | | 42,998 | | | | — | | | | — | | | | 169,903 | | | | 2,067 | | | | 214,968 | |
Deferred Late-Year Losses represent ordinary losses realized on investment transactions from January 1, 2014 through April 30, 2014 and capital and specified losses realized on investment transactions from November 1, 2013 through April 30, 2014 that, in accordance with Federal income tax regulations, the Funds defer and treat as having arisen in the following year.
Cambria Investment Management
Notes to the Financial Statements
October 31, 2014 (Unaudited) (Concluded)
7. INCOME TAXES (concluded)
The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Fund at October 31, 2014 were as follows:
Cambria Investment Management | | | | | Aggregated Gross Unrealized Appreciation | | | Aggregated Gross Unrealized Depreciation | | | Net Unrealized Appreciation (Depreciation) | |
| Cambria Shareholder Yield ETF | | $ | 188,837,981 | | | $ | 25,948,606 | | | $ | (4,546,174 | ) | | $ | 21,402,432 | |
| Cambria Foreign Shareholder Yield ETF | | | 73,218,897 | | | | 2,338,728 | | | | (7,592,995 | ) | | | (5,254,267 | ) |
| Cambria Global Value ETF | | | 65,678,614 | | | | 504,980 | | | | (11,632,369 | ) | | | (11,127,389 | ) |
8. OTHER
At October 31, 2014, the records of the Trust reflected that 100% of Cambria Shareholder Yield ETF, the Cambria Foreign Shareholder Yield ETF and Cambria Global Value ETF total Shares outstanding were held by 5, 3, and 4 Authorized Participants, respectively, in the form of Creation Units. However, the individual shares comprising such Creation Units are listed and traded on the NYSE Arca, Inc. and a portion thereof have been purchased and sold by persons other than Authorized Participants. Each Authorized Participant has entered into an agreement with the Funds’ Distributor.
9. SUBSEQUENT EVENTS
The Funds have evaluated the need for additional disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no adjustments were required to the financial statements.
Cambria Investment Management
Disclosure of Fund Expenses
All Exchange Traded Funds (“ETF”) have operating expenses. As a shareholder of an ETF, your investment is affected by these ongoing costs, which include (among others) costs for ETF management, administrative services, brokerage fees and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.
Operating expenses such as these are deducted from an ETF’s gross income and directly reduce its final investment return. These expenses are expressed as a percentage of the ETF’s average net assets; this percentage is known as the ETF’s expense ratio.
The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The table below illustrates your Fund’s costs in two ways:
Actual Fund Return. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.
You can use this information, together with the actual amount you invested in the Fund, to estimate the expenses you paid over that period. Simply divide your actual account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”
Hypothetical 5% Return. This section helps you compare your Fund’s costs with those of other funds. It assumes that the Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) for the period is unchanged. This example is useful in making comparisons because the Commission requires all funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expenses Paid During Period” column with those that appear in the same charts in the shareholder reports for other funds.
NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown may not apply to your specific investment.
| Beginning Account Value 5/1/14 | Ending Account Value 10/31/14 | | Expenses Paid During Period(1) |
| Cambria Shareholder Yield ETF | | | | |
| Actual Fund Return | $1,000.00 | $1,049.90 | 0.59% | $3.05 |
| Hypothetical 5% Return | $1,000.00 | $1,022.23 | 0.59% | $3.01 |
| Cambria Foreign Shareholder Yield ETF | | | | |
| Actual Fund Return | $1,000.00 | $930.00 | 0.59% | $2.87 |
| Hypothetical 5% Return | $1,000.00 | $1,022.23 | 0.59% | $3.01 |
| Cambria Global Value ETF | | | | |
| Actual Fund Return | $1,000.00 | $846.60 | 0.69% | $3.21 |
| Hypothetical 5% Return | $1,000.00 | $1,021.73 | 0.69% | $3.52 |
| (1) | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
Cambria Investment Management
Supplemental Information
Net asset value, or “NAV”, is the price per share at which the Fund issues and redeems shares. It is calculated in accordance with the standard formula for valuing mutual fund shares. The “Market Price” of the Fund generally is determined using the midpoint between the highest bid and the lowest offer on the stock exchange on which the Shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. The Fund’s Market Price may be at, above or below its NAV. The NAV of the Fund will fluctuate with changes in the market value of the Fund’s holdings. The NAV of the Fund may also be impacted by the accrual of deferred taxes. The Market Price of the Fund will fluctuate in accordance with changes in its NAV, as well as market supply and demand.
Premiums or discounts are the differences (expressed as a percentage) between the NAV and Market Price of the Fund on a given day, generally at the time NAV is calculated. A premium is the amount that the Fund is trading above the reported NAV, expressed as a percentage of the NAV. A discount is the amount that the Fund is trading below the reported NAV, expressed as a percentage of the NAV.
Further information regarding premiums and discounts is available on the Funds’ website at www.cambriafunds.com.
Cambria Shareholder Yield ETF
Premium/Discount Analysis
Inception Date 5/13/13
Analysis Period 5/13/13-10/31/14
| Percent Above or Below Par | Number of Days at Discount/Premium | Percent of Days at Discount/Premium |
| | -5.0% | — | — |
| | -4.5% | — | — |
| | -4.0% | — | — |
| | -3.5% | — | — |
| Fund Sold at Discount | -3.0% | — | — |
| | -2.5% | 1 | 0.27% |
| | -2.0% | — | — |
| | -1.5% | — | — |
| | -1.0% | — | — |
| | | |
| | | |
| | 0.5% | 271 | 73.44% |
| | 1.0% | — | — |
| | 1.5% | — | — |
| | 2.0% | — | — |
| Fund Sold at Premium | 2.5% | — | — |
| | 3.0% | — | — |
| | 3.5% | — | — |
| | 4.0% | — | — |
| | 4.5% | — | — |
| | 5.0% | — | — |
Cambria Investment Management
Supplemental Information
Cambria Foreign Shareholder Yield ETF
Premium/Discount Analysis
Inception Date 12/2/13
Analysis Period 12/02/13-10/31/14
| Percent Above or Below Par | Number of Days at Discount/Premium | Percent of Days at Discount/Premium |
| | -5.0% | — | — |
| | -4.5% | — | — |
| | -4.0% | — | — |
| | -3.5% | — | — |
| Fund Sold at Discount | -3.0% | — | — |
| | -2.5% | — | — |
| | -2.0% | 1 | 0.44% |
| | -1.5% | 5 | 2.18% |
| | -1.0% | 8 | 3.49% |
| | | |
| | | |
| | 0.5% | 101 | 44.10% |
| | 1.0% | 67 | 29.26% |
| | 1.5% | 11 | 4.80% |
| | 2.0% | 1 | 0.44% |
| Fund Sold at Premium | 2.5% | — | — |
| | 3.0% | — | — |
| | 3.5% | — | — |
| | 4.0% | — | — |
| | 4.5% | — | — |
| | 5.0% | — | — |
Cambria Global Value ETF
Premium/Discount Analysis
Inception Date 3/11/14
Analysis Period 03/11/14-10/31/14
| Percent Above or Below Par | Number of Days at Discount/Premium | Percent of Days at Discount/Premium |
| | -5.0% | — | — |
| | -4.5% | — | — |
| | -4.0% | — | — |
| | -3.5% | — | — |
| Fund Sold at Discount | -3.0% | — | — |
| | -2.5% | — | — |
| | -2.0% | — | — |
| | -1.5% | 1 | 0.61% |
| | -1.0% | 5 | 3.05% |
| | | |
| | | |
| | 0.5% | 88 | 53.66% |
| | 1.0% | 42 | 25.61% |
| | 1.5% | 6 | 3.66% |
| | 2.0% | 2 | 1.22% |
| Fund Sold at Premium | 2.5% | — | — |
| | 3.0% | — | — |
| | 3.5% | — | — |
| | 4.0% | — | — |
| | 4.5% | — | — |
| | 5.0% | — | — |
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Investment Adviser:
Cambria Investment Management, L.P.
2321 Rosecrans Avenue
Suite 3225
El Segundo, CA 90245
Distributor:
SEI Investments Distribution Co.
One Freedom Valley Drive
Oaks, PA 19456
Legal Counsel:
K&L Gates LLP
1601 K Street, NW
Washington, District of Columbia 20006
Independent Registered Public Accounting Firm:
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1700
2001 Market Street
Philadelphia, Pennsylvania 19103
This information must be preceded or accompanied by a current prospectus for the Fund.
Item 2. Code of Ethics.
Not applicable for semi-annual report.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual report.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Not applicable to open-end management investment companies.
Item 6. Schedule of Investments.
Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end management investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable. Effective for closed-end management investment companies for fiscal years ending on or after December 31, 2005.
Item 9. Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers.
Not applicable to open-end management investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees during the period covered by this report.
Item 11. Controls and Procedures.
(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report, are effective based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There has been no change in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
