UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
________
FORM N-CSR
________
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act File Number 811-22704
CAMBRIA ETF TRUST
(Exact name of registrant as specified in charter)
________
2321 Rosecrans Avenue
Suite 3225
El Segundo, CA 90245
(Address of principal executive offices) (Zip code)
Corporation Service Company
2711 Centerville Road
Suite 400
Wilmington, DE 19808
(Name and address of agent for service)
With a Copy to:
W. John McGuire
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, D.C. 20004
Registrant’s telephone number, including area code: 1-310-683-5500
Date of fiscal year end: April 30, 2017
Date of reporting period: April 30, 2017
Item 1. Reports to Stockholders.
![](https://capedge.com/proxy/N-CSR/0001398344-17-008393/fp0026601_i.jpg)
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 Sovereign High Yield Bond ETF (SOVB)
Cambria Emerging Shareholder Yield ETF (EYLD)
Cambria Tail Risk ETF (TAIL)
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 Sovereign High Yield Bond ETF (SOVB)
Cambria Emerging Shareholder Yield ETF (EYLD)
Cambria Tail Risk ETF (TAIL)
Annual Report
April 30, 2017
Cambria Investment Management
Table of Contents
Shareholder Letter (Unaudited) | 2 |
Manager’s Discussion and Analysis of Fund Performance (Unaudited) | 7 |
Schedules of Investments | |
Cambria Shareholder Yield ETF | 15 |
Cambria Foreign Shareholder Yield ETF | 17 |
Cambria Global Value ETF | 20 |
Cambria Global Momentum ETF | 23 |
Cambria Global Asset Allocation ETF | 24 |
Cambria Value and Momentum ETF | 25 |
Cambria Sovereign High Yield Bond ETF | 27 |
Cambria Emerging Shareholder Yield ETF | 29 |
Cambria Tail Risk ETF | 32 |
Statements of Assets and Liabilities | 33 |
Statements of Operations | 35 |
Statements of Changes in Net Assets | 37 |
Financial Highlights | 41 |
Notes to Financial Statements | 43 |
Report of Independent Registered Public Accounting Firm | 58 |
Disclosure of Fund Expenses (Unaudited) | 59 |
Trustees and Officers of the Cambria ETF Trust (Unaudited) | 61 |
Board Consideration of the Investment Advisory Agreement (Unaudited) | 63 |
Notice to Shareholders (Unaudited) | 67 |
Supplemental Information (Unaudited) | 68 |
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-Q within sixty days after the end of the period. The Funds’ Forms N-Q are available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
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.
1
Cambria Investment Management
Shareholder Letter
(Unaudited)
Dear Shareholder:
We are pleased to present the following annual report for the Cambria ETF Trust.
● | SYLD |
The Cambria Shareholder Yield ETF (“SYLD”) seeks to achieve its investment objective by investing, under normal market conditions, primarily in equity securities that provide a high “shareholder yield.” Cambria views equity securities as providing a high shareholder yield if they exhibit strong cash flows, as reflected by their payment of dividends to shareholders and their return of capital to shareholders in other forms, such as through net stock buybacks and net debt paydown. These metrics generally result in the Fund’s portfolio holding value stocks (as opposed to growth stocks).
SYLD launched on May 13, 2013, at $25.00 per share. For the three-month quarter ended April 30, 2017, SYLD posted a gain of 3.24%. For the 12-month period ended April 30, 2017, SYLD gained 20.62%. For the period since inception through April 30, 2017, SYLD posted a cumulative gain of 57.32%.
We believe that the S&P 500 serves as a suitable benchmark for SYLD and, at the end of the Fund’s first complete calendar year; we identified the S&P 500 in the Fund’s prospectus as an appropriate broad-based benchmark for the Fund. The table below shows the performance of the Fund vs. its benchmark, the S&P 500, for the three-month, 12-month, and since inception periods ended April 30, 2017.
vs. Benchmark | ||
SYLD | S&P 500 | |
Cumulative Returns Since Fund Inception | 57.32% | 58.58% |
12 Months Ended 4/30/2017 | 20.62% | 17.92% |
3 Months Ended 4/30/2017 | 3.24% | 5.16% |
● | FYLD |
The Cambria Foreign Shareholder Yield ETF (“FYLD”) seeks to achieve its investment objective by investing at least 80% of its assets in the components of the Cambria Foreign Shareholder Yield Index, and the Index identifies the 100 issuers in the relevant universe that have exhibited, in the aggregate, the strongest cash flows, the highest dividends paid to shareholders, and net stock buybacks and debt paydown. These metrics generally result in the Fund’s portfolio holding value stocks (as opposed to growth stocks).
FYLD launched on December 2, 2013, at $25.00 per share. For the three-month quarter ended April 30, 2017, FYLD posted a gain of 5.50%. For the 12-month period ended April 30, 2017, FYLD posted a gain of 11.93%. From the Fund’s launch date through April 30, 2017, FYLD posted a cumulative gain of 3.16%.
We believe that the MSCI EAFE Index serves as a suitable benchmark for FYLD and, at the end of the Fund’s first complete calendar year, we identified the MSCI EAFE Index in the prospectus as an appropriate broad-based benchmark for the Fund. The table below shows the performance of the Fund vs. its benchmark, the MSCI EAFE Index, for the three-month, 12-month, and since inception periods ended April 30, 2017.
vs. Benchmark | ||
FYLD | MSCI EAFE | |
Cumulative Returns Since Fund Inception | 3.16% | 8.80% |
12 Months Ended 4/30/2017 | 11.93% | 11.83% |
3 Months Ended 4/30/2017 | 5.50% | 7.09% |
2
Cambria Investment Management
Shareholder Letter
(Unaudited) (Continued)
● | GVAL |
The Cambria Global Value ETF (“GVAL”) seeks to achieve its investment objective by investing at least 80% of its assets in the components of the Cambria Global Value Index. The GVAL index is a quantitative, value-oriented stock selection methodology that selects up to 11 countries trading at long-term discount (relative to other countries’ equity markets). Within the selected countries, the model selects stocks trading at the most attractive valuations, i.e., value stocks. Such a strategy will likely underperform when it faces headwinds during growth periods.
GVAL launched on March 11, 2014, at $25.00 per share. For the three-month quarter ended April 30, 2017, GVAL posted a gain of 6.38%. For the 12-month period ended April 30, 2017, GVAL posted a gain of 20.85%. For the period from launch through April 30, 2017, the Fund posted a 2.68% cumulative loss.
We believe that the MSCI ACWI Index serves as a suitable benchmark for GVAL. The table below shows the performance of GVAL vs. its benchmark, the MSCI ACWI Index, for the three-month, 12-month, and since inception periods ended April 30, 2017.
vs. Benchmark | ||
GVAL | ACWI | |
Cumulative Returns Since Fund Inception | -2.68% | 20.67% |
12 Months Ended 4/30/2017 | 20.85% | 15.77% |
3 Months Ended 4/30/2017 | 6.38% | 5.85% |
● | GMOM |
The Cambria Global Momentum ETF (“GMOM”) launched on November 3, 2014, at $25.00 per share. For the three-month quarter ended April 30, 2017, GMOM posted a gain of 3.73%. For the 12-month period ended April 30, 2017, GMOM posted a gain of 10.52%. From the period from inception through April 30, 2017, GMOM posted a cumulative gain of 3.80%.
We believe that a suitable benchmark for GMOM is the S&P Balanced Equity and Bond – Moderate Index (SPBXMI). We believe the “blended” portfolio of US equities and US Treasuries is a suitable benchmark for GMOM because the equity-bond blend is the precursor to most modern asset allocation strategies. This benchmark has long been used by academia and practitioners alike as a measurement for broad asset allocation strategies. The table below shows the performance of GMOM vs. its benchmark, SPBXMI, for the three-month, 12-month, and since inception periods ended April 30, 2017.
vs. Benchmark | ||
GMOM | SPBXMI | |
Cumulative Returns Since Fund Inception | 3.80% | 15.77% |
12 Months Ended 4/30/2017 | 10.52% | 8.07% |
3 Months Ended 4/30/2017 | 3.73% | 3.58% |
● | GAA |
The Cambria Global Asset Allocation ETF (“GAA”) launched on December 9, 2014, at $25.00 per share. For the three-month quarter ended April 30, 2017, GAA posted a gain of 3.39%. For the 12-month period ended April 30, 2017, GAA posted a gain of 9.08%. From the Fund’s inception through April 30, 2017, GAA posted a cumulative gain of 9.00%.
3
Cambria Investment Management
Shareholder Letter
(Unaudited) (Continued)
We believe that a suitable benchmark for GAA is the S&P Balanced Equity and Bond – Moderate Index (SPBXMI). We believe the “blended” portfolio of US equities and US Treasuries is a suitable benchmark for GAA because the equity-bond blend is the precursor to most modern asset allocation strategies. This benchmark has long been used by academia and practitioners alike as a measurement for broad asset allocation strategies. The table below shows the performance of GAA vs. its benchmark, SPBXMI, for the three-month, 12-month, and since inception periods ended April 30, 2017.
vs. Benchmark | ||
GAA | SPBXMI | |
Cumulative Returns Since Fund Inception | 9.00% | 16.10% |
12 Months Ended 4/30/2017 | 9.08% | 8.07% |
3 Months Ended 4/30/2017 | 3.39% | 3.58% |
Each of GMOM and GAA are designed to provide an investor with a stand-alone, fully diversified investment portfolio. Thus, the performance of each Fund is expected to be moderate under most market conditions, and the performance of each Fund has been in line with Cambria’s expectations. In general, we believe market conditions have been favorable for US and foreign equities. We further believe that US equities may currently be trading at prices that are above their fair valuation — although not in “bubble” territory. Nevertheless, we expect valuations to be a headwind in the years ahead and we appreciate your continuing confidence in us as asset managers.
● | VAMO |
The Cambria Value and Momentum ETF (“VAMO”) seeks to protect against market fluctuation through the use of a rules-based hedging strategy. VAMO launched on September 8, 2015, at $25.00 per share. For the three-month period ended April 30, 2017, VAMO posted a loss of 0.56%. For the 12-month period ended April 30, 2017, VAMO posted a gain of 4.98%. From the Fund’s inception through April 30, 2017, VAMO posted a cumulative loss of 4.43%.
We believe that the S&P 500 Index serves as a suitable benchmark for VAMO. The table below shows the performance of the Fund vs. its benchmark, the S&P 500 Index, for the three-month, 12-month, and since inception periods ended April 30, 2017.
vs. Benchmark | ||
VAMO | S&P 500 | |
Cumulative Returns Since Fund Inception | -4.43% | 25.36% |
12 Months Ended 4/30/2017 | 4.98% | 17.92% |
3 Months Ended 4/30/2017 | -0.56% | 5.16% |
● | SOVB |
The Cambria Sovereign High Yield Bond ETF (“SOVB”) launched on February 22, 2016, at $25.00 per share. For the three-month period ended April 30, 2017, SOVB posted a gain of 4.24%. For the 12-month period ended April 30, 2017, SOVB posted a gain of 4.51%. Since inception, SOVB posted a cumulative gain of 12.87%.
We believe that the Citi World Government Bond Index (“WGBI”) serves as a suitable benchmark for SOVB. The table below shows the performance of the Fund vs. WGBI for the three-month, 12-month, and since inception periods ended April 30, 2017.
vs. Benchmark | ||
SOVB | WGBI | |
Cumulative Returns Since Fund Inception | 12.87% | 0.06% |
12 Months Ended 4/30/2017 | 4.51% | -3.61% |
3 Months Ended 4/30/2017 | 4.24% | 1.84% |
4
Cambria Investment Management
Shareholder Letter
(Unaudited) (Continued)
● | EYLD |
The Cambria Emerging Shareholder Yield ETF (“EYLD”) seeks to achieve its investment objective by investing at least 80% of its assets in the components of the Cambria Emerging Shareholder Yield Index, and the Index identifies the 100 issuers in the relevant universe that have exhibited, in the aggregate, the strongest cash flows, the highest dividends paid to shareholders, and net stock buybacks and debt paydown. These metrics generally result in the Fund’s portfolio holding value stocks (as opposed to growth stocks).
EYLD launched on July 13, 2016, at $25.00 per share. For the three-month period ended April 30, 2017, EYLD posted a gain of 8.02%. Since inception, EYLD posted a cumulative gain of 18.57%.
For the purpose of this commentary, we are using the iShares MSCI Emerging Markets ETF (“EEM”) as a proxy for the benchmark index. The table below shows the performance of the Fund vs. EEM for the three-month and since inception periods ended April 30, 2017.
vs. Benchmark | ||
EYLD | EEM | |
Cumulative Returns Since Fund Inception | 18.57% | 16.01% |
3 Months Ended 4/30/2017 | 8.02% | 8.03% |
● | TAIL |
The Cambria Tail Risk ETF (“TAIL”) launched on April 5, 2017, at $25.00 per share. For the period ended April 30, 2017, TAIL posted a cumulative loss of 1.04%.
We believe that the Bloomberg Barclay U.S. Short Treasury Index serves as a suitable benchmark for TAIL. The table below shows the performance of the Fund vs. its benchmark since the inception of TAIL through April 30, 2017.
vs. Benchmark | ||
TAIL | Short Treasury Index | |
Cumulative Returns Since Fund Inception | -1.04% | 0.05% |
TAIL held US Treasuries and a basket of S&P 500 Index put options. Some of the losses generated by the put position were offset by gains of the Treasury bonds.
Sincerely, | ||
![]() | ![]() | |
Mebane Faber and Eric Richardson |
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.
The performance data quoted represents past performance. Past performance does not guarantee future results.
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.
5
Cambria Investment Management
Shareholder Letter
(Unaudited) (Concluded)
The Cambria Foreign Shareholder Yield Index represents issuers with strong cash flows, highest dividends paid to shareholders, net stock buybacks and net debt paydowns. The initial screening universe for this Index includes issuers in foreign developed countries with marketing capitalizations of at least $200 million. The Index is comprised of the 100 issuers with high rankings across a composite of the aforementioned factors.
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 Cambria Global Value Index consists of equity securities of issuers that are domiciled in, trade in, or have exposure to a market that is undervalued according to various valuation metrics. The initial screening universe for this Index includes issuers having a market capitalization of at least $200 million.
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. The MSCI ACWI consists of 46 country indexes comprising 23 developed and 23 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.
Cambria Global Asset Allocation Index is designed to model absolute positive returns with reduced volatility, and manageable risk and drawdowns, by identifying an investable portfolio of equity and fixed income securities, real estate, commodities and currencies.
The World Government Bond Index (WGBI) 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.
The MSCI ACWI Growth Index captures large and mid cap securities exhibiting overall growth style characteristics across 23 Developed Markets (DM) countries and 23 Emerging Markets (EM) countries.
The MSCI ACWI Value Index captures large and mid cap securities exhibiting overall value style characteristics across 23 Developed Markets countries and 23 Emerging Markets (EM) countries.
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.
The Bloomberg Barclays U.S. Short Treasury Index tracks the market for Treasury bills issued by the U.S. Government. U.S. treasury bills are issues in fixed maturity terms of 4-, 13-, 26- and 52- weeks.
6
Cambria Investment Management
Manager’s Discussion and Analysis of Fund Performance
(Unaudited)
Comparison of Change in the Value of a $10,000 Investment in
the Cambria Shareholder Yield ETF versus the S&P 500 Index
The Fund returned 20.62% for the fiscal year ended April 30, 2017. During this 12-month period, overweights in Financials, Industrials, and Materials contributed significantly to the Fund’s outperformance of the S&P 500.
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED APRIL 30, 2017 | ||
One Year Return | Since Inception (Annualized)* | |
Cambria Shareholder Yield ETF | 20.62% | 12.11% |
S&P 500 Index | 17.92% | 12.33% |
![](https://capedge.com/proxy/N-CSR/0001398344-17-008393/fp0026601_7.jpg)
* 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.
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%.
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.
7
Cambria Investment Management
Manager’s Discussion and Analysis of Fund Performance
(Unaudited) (Continued)
Comparison of Change in the Value of a $10,000 Investment in the Cambria Foreign Shareholder
Yield ETF versus the Cambria Foreign Shareholder Yield Index and the MSCI EAFE Index
The Fund returned 11.93% for the fiscal year ended April 30, 2017. During this 12-month period, allocations to Japan and Switzerland made the largest contributions to the Fund’s outperformance of its benchmark; whereas, allocations to Canada, Scandinavian countries, and Germany detracted from Fund performance.
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED APRIL 30, 2017 | ||
One Year Return | Since Inception (Annualized)* | |
Cambria Foreign Shareholder Yield ETF | 11.93% | 0.92% |
Cambria Foreign Shareholder Yield Index | 12.18% | 1.32% |
MSCI EAFE Index | 11.83% | 2.50% |
![](https://capedge.com/proxy/N-CSR/0001398344-17-008393/fp0026601_8.jpg)
* 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.
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%.
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.
Cambria Foreign Shareholder Yield Index represents issuers with strong cash flows, highest dividends paid to shareholders, net stock buybacks and net debt paydowns. The initial screening universe for this Index includes issuers in foreign developed countries with marketing capitalizations of at least $200 million. The Index is comprised of the 100 issuers with high rankings across a composite of the aforementioned factors.
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.
8
Cambria Investment Management
Manager’s Discussion and Analysis of Fund Performance
(Unaudited) (Continued)
Comparison of Change in the Value of a $10,000 Investment in the
Cambria Global Value ETF versus the Cambria Global Value Index and the MSCI ACWI Index
Cambria Global Value ETF versus the Cambria Global Value Index and the MSCI ACWI Index
The Fund returned 20.85% for the fiscal year ended April 30, 2017. During this 12-month period, allocations to Brazil, Russia, and Austria made the largest contributions to Fund performance; whereas, allocations to Italy, China, and Czech Republic detracted from Fund performance.
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED APRIL 30, 2017 | ||
One Year Return | Since Inception (Annualized)* | |
Cambria Global Value ETF | 20.85% | -0.86% |
Cambria Global Value Index | 21.07% | -0.49% |
MSCI ACWI Index | 15.77% | 6.17% |
![](https://capedge.com/proxy/N-CSR/0001398344-17-008393/fp0026601_9.jpg)
* 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.
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 0.69%.
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 0.69%.
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.
Cambria Global Value Index consists of equity securities of issuers that are domiciled in, trade in, or have exposure to a market that is undervalued according to various valuation metrics. The initial screening universe for this Index includes issuers having a market capitalization of at least $200 million.
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.
9
Cambria Investment Management
Manager’s Discussion and Analysis of Fund Performance
(Unaudited) (Continued)
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
Cambria Global Momentum ETF versus the S&P Balanced Equity & Bond – Moderate Index
The Fund returned 10.52% for the fiscal year ended April 30, 2017. During this 12-month period, allocations to Mortgage Real Estate, global tech stocks, domestic small cap stocks, and global value stocks were the primary drivers of the Fund’s positive performance.
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED APRIL 30, 2017 | ||
One Year Return | Since Inception (Annualized)* | |
Cambria Global Momentum ETF | 10.52% | 1.51% |
S&P Balanced Equity & Bond – Moderate Index | 8.07% | 6.05% |
S&P 500 Index | 17.92% | 9.23% |
![](https://capedge.com/proxy/N-CSR/0001398344-17-008393/fp0026601_10.jpg)
* 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.
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 0.80%.
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 0.80%.
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.
10
Cambria Investment Management
Manager’s Discussion and Analysis of Fund Performance
(Unaudited) (Continued)
Comparison of Change in the Value of a $10,000 Investment in the Cambria Global Asset Allocation ETF
versus the Cambria Global Asset Allocation Index and S&P Balanced Equity & Bond – Moderate Index
The Fund returned 9.08% for the fiscal year ended April 30, 2017. During this 12-month period, allocations to global equities, emerging market debt, and US TIPS made the largest contributions to Fund performance; whereas, allocations to commodities and intermediate and long-term US treasuries detracted from Fund performance.
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED APRIL 30, 2017 | ||
One Year Return | Since Inception (Annualized)* | |
Cambria Global Asset Allocation ETF | 9.08% | 3.67% |
Cambria Global Asset Allocation Index | 8.12% | 1.54% |
S&P Balanced Equity & Bond – Moderate Index | 8.07% | 6.44% |
S&P 500 Index | 17.92% | 8.56% |
![](https://capedge.com/proxy/N-CSR/0001398344-17-008393/fp0026601_11.jpg)
* 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.
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 0.25%.
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 0.25%.
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.
Cambria Global Asset Allocation Index is designed to model absolute positive returns with reduced volatility, and manageable risk and drawdowns, by identifying an investable portfolio of equity and fixed income securities, real estate, commodities and currencies.
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.
11
Cambria Investment Management
Manager’s Discussion and Analysis of Fund Performance
(Unaudited) (Continued)
Comparison of Change in the Value of a $10,000 Investment in the
Cambria Value and Momentum ETF versus the Cambria Value & Momentum Index and S&P 500 Index
Cambria Value and Momentum ETF versus the Cambria Value & Momentum Index and S&P 500 Index
The Fund returned 4.98% for the fiscal year ended April 30, 2017. During this 12-month period, allocations to Energy, Consumer Staples, Technology, and Utilities made the largest contributions to Fund performance; whereas, allocations to Technology, Financials, and Consumer Discretionary detracted from Fund performance. During this period, VAMO maintained an average short hedge of 50% to the S&P 500, which returned 17.92% during this period.
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED APRIL 30, 2017 | ||
One Year Return | Since Inception (Annualized)* | |
Cambria Value and Momentum ETF | 4.98% | -2.72% |
Cambria Value and Momentum Index | 22.48% | 8.94% |
S&P 500 Index | 17.92% | 14.74% |
![](https://capedge.com/proxy/N-CSR/0001398344-17-008393/fp0026601_12.jpg)
* 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.
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%.
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.
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.
12
Cambria Investment Management
Manager’s Discussion and Analysis of Fund Performance
(Unaudited) (Continued)
Comparison of Change in the Value of a $10,000 Investment in the
Cambria Sovereign High Yield Bond ETF versus the Citigroup World Government Bond Index
Cambria Sovereign High Yield Bond ETF versus the Citigroup World Government Bond Index
The Fund returned 4.51% for the fiscal year ended April 30, 2017. During this 12-month period, allocations to debt issues of Russia, South Africa, Greece, and Brazil made the largest contributions to Fund performance; whereas, allocations to debt issues of Turkey, Malaysia, and China detracted from Fund performance.
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED APRIL 30, 2017 | ||
One Year Return | Since Inception (Annualized)* | |
Cambria Sovereign High Yield Bond ETF | 4.51% | 10.74% |
Citigroup World Government Bond Index | -3.61% | 0.05% |
![](https://capedge.com/proxy/N-CSR/0001398344-17-008393/fp0026601_13.jpg)
* 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.
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 0.60%.
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 0.60%.
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.
Citigroup 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.
13
Cambria Investment Management
Manager’s Discussion and Analysis of Fund Performance
(Unaudited) (Concluded)
Comparison of Change in the Value of a $10,000 Investment in the
Cambria Emerging Shareholder Yield ETF versus the Cambria Emerging
Cambria Emerging Shareholder Yield ETF versus the Cambria Emerging
Shareholder Yield Index and MSCI Emerging Market Total Return Index
The Fund returned 18.57% for the since inception period ended April 30, 2017. During this period, allocations to stocks in Brazil, India, South Africa, and Poland made the largest contributions to Fund performance; whereas, allocations to stocks in China and Taiwan detracted from Fund performance.
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIOD ENDED APRIL 30, 2017 | |
Cumulative Inception to Date* | |
Cambria Emerging Shareholder Yield ETF | 18.57% |
Cambria Emerging Shareholder Yield Index | 21.39% |
MSCI Emerging Market Total Return Index | 16.01% |
![](https://capedge.com/proxy/N-CSR/0001398344-17-008393/fp0026601_14.jpg)
* 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.
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 0.69%.
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 0.69%.
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.
14
Cambria Investment Management
Schedule of Investments Ÿ Cambria Shareholder Yield ETF
April 30, 2017
![]() |
Description | Shares | Value | ||||||
COMMON STOCK — 99.8% | ||||||||
Consumer Discretionary — 19.9% | ||||||||
American Eagle Outfitters | 98,860 | $ | 1,392,937 | |||||
Best Buy | 24,273 | 1,257,584 | ||||||
Big Lots | 26,925 | 1,359,443 | ||||||
CBS, Cl B | 19,388 | 1,290,465 | ||||||
Children's Place | 16,167 | 1,855,972 | ||||||
Cooper Tire & Rubber | 31,974 | 1,224,604 | ||||||
Dillard's, Cl A | 6,910 | 382,607 | ||||||
Finish Line, Cl A | 46,274 | 731,592 | ||||||
Francesca's Holdings* | 50,813 | 801,829 | ||||||
Group 1 Automotive | 14,516 | 1,000,878 | ||||||
Guess? | 63,497 | 708,627 | ||||||
Home Depot | 13,440 | 2,097,984 | ||||||
Kohl's | 22,680 | 885,201 | ||||||
Lear | 7,531 | 1,074,373 | ||||||
Lowe's | 22,940 | 1,947,147 | ||||||
Macy's | 14,606 | 426,787 | ||||||
O'Reilly Automotive* | 7,534 | 1,869,562 | ||||||
Six Flags Entertainment | 27,315 | 1,710,192 | ||||||
Target | 13,211 | 737,834 | ||||||
Visteon* | 7,961 | 819,585 | ||||||
Whirlpool | 7,492 | 1,391,115 | ||||||
24,966,318 | ||||||||
Consumer Staples — 6.0% | ||||||||
Archer-Daniels-Midland | 11,948 | 546,621 | ||||||
CVS Health | 15,836 | 1,305,520 | ||||||
Dr Pepper Snapple Group | 18,722 | 1,715,871 | ||||||
Nu Skin Enterprises, Cl A | 27,875 | 1,539,536 | ||||||
Pilgrim's Pride | 43,767 | 1,136,191 | ||||||
Wal-Mart Stores | 16,976 | 1,276,256 | ||||||
7,519,995 | ||||||||
Energy — 3.8% | ||||||||
CVR Energy | 33,764 | 739,094 | ||||||
HollyFrontier | 25,089 | 706,004 | ||||||
Murphy Oil | 35,736 | 935,568 | ||||||
Nabors Industries | 127,202 | 1,315,269 | ||||||
Valero Energy | 16,291 | 1,052,562 | ||||||
4,748,497 | ||||||||
Financials — 36.3% | ||||||||
Aflac | 17,625 | 1,319,760 | ||||||
Allied World Assurance Holdings | 23,863 | 1,266,887 | ||||||
Allstate | 21,080 | 1,713,593 | ||||||
American Express | 13,452 | 1,066,071 | ||||||
American Financial Group | 10,766 | 1,047,640 | ||||||
American International Group | 20,129 | 1,226,057 | ||||||
Ameriprise Financial | 11,107 | 1,420,030 | ||||||
Ares Capital | 45,152 | 794,675 | ||||||
Assurant | 16,699 | 1,607,112 | ||||||
Assured Guaranty | 44,334 | 1,690,455 | ||||||
Axis Capital Holdings | 26,302 | 1,733,302 | ||||||
Bank of America | 57,670 | 1,346,018 | ||||||
Capital One Financial | 12,569 | 1,010,296 | ||||||
CNO Financial Group | 62,492 | 1,316,706 | ||||||
Discover Financial Services | 15,579 | 975,090 | ||||||
Everest Re Group | 7,822 | 1,968,876 | ||||||
Fifth Third Bancorp | 52,836 | 1,290,784 | ||||||
First Horizon National | 57,535 | 1,055,767 | ||||||
Green Dot, Cl A* | 55,912 | 1,917,222 | ||||||
Hartford Financial Services Group | 24,233 | 1,171,908 | ||||||
JPMorgan Chase | 11,537 | 1,003,719 | ||||||
Legg Mason | 29,019 | 1,084,730 | ||||||
Leucadia National | 42,828 | 1,087,403 | ||||||
Lincoln National | 18,168 | 1,197,816 | ||||||
PNC Financial Services Group | 8,799 | 1,053,680 | ||||||
Principal Financial Group | 16,788 | 1,093,402 | ||||||
Prospect Capital | 121,140 | 1,126,602 | ||||||
Prudential Financial | 9,995 | 1,069,765 | ||||||
Regions Financial | 89,337 | 1,228,384 | ||||||
SunTrust Banks | 30,748 | 1,746,794 | ||||||
Synchrony Financial | 31,419 | 873,448 | ||||||
Synovus Financial | 24,161 | 1,009,930 | ||||||
Travelers | 13,770 | 1,675,258 | ||||||
Unum Group | 33,078 | 1,532,504 | ||||||
US Bancorp | 17,898 | 917,809 | ||||||
Voya Financial | 25,392 | 949,153 | ||||||
45,588,646 | ||||||||
Health Care — 0.7% | ||||||||
Express Scripts Holding* | 15,504 | 951,015 | ||||||
Industrials — 15.9% | ||||||||
Cummins | 11,361 | 1,714,829 | ||||||
Delta Air Lines | 25,557 | 1,161,310 | ||||||
Eaton | 24,727 | 1,870,350 | ||||||
GATX | 17,826 | 1,067,778 | ||||||
General Dynamics | 5,141 | 996,274 |
The accompanying notes are an integral part of the financial statements.
15
Cambria Investment Management
Schedule of Investments Ÿ Cambria Shareholder Yield ETF
April 30, 2017 (Concluded)
Description | Shares | Value | ||||||
Greenbrier | 27,011 | $ | 1,173,628 | |||||
ManpowerGroup | 14,136 | 1,427,453 | ||||||
MRC Global* | 65,118 | 1,187,101 | ||||||
Northrop Grumman | 9,437 | 2,321,125 | ||||||
Parker-Hannifin | 11,818 | 1,900,335 | ||||||
Southwest Airlines | 35,250 | 1,981,755 | ||||||
United Continental Holdings* | 28,176 | 1,978,237 | ||||||
Wabash National | 52,146 | 1,187,886 | ||||||
19,968,061 | ||||||||
Information Technology — 9.9% | ||||||||
Apple | 13,015 | 1,869,605 | ||||||
Applied Materials | 27,240 | 1,106,216 | ||||||
Corning | 53,484 | 1,543,014 | ||||||
DXC Technology* | 3,298 | 248,472 | ||||||
Hewlett Packard Enterprise | 38,346 | 714,386 | ||||||
HP | 44,947 | 845,902 | ||||||
NetApp | 14,649 | 583,763 | ||||||
Sanmina* | 47,073 | 1,753,469 | ||||||
Symantec | 40,621 | 1,284,842 | ||||||
Texas Instruments | 24,938 | 1,974,591 | ||||||
Western Digital | 6,288 | 560,072 | ||||||
12,484,332 | ||||||||
Materials — 6.2% | ||||||||
Alcoa | 43,695 | 1,473,832 | ||||||
Huntsman | 62,379 | 1,545,128 | ||||||
LyondellBasell Industries, Cl A | 9,580 | 812,001 | ||||||
Packaging Corp of America | 18,980 | 1,874,845 | ||||||
Trinseo | 17,026 | 1,130,526 | ||||||
Worthington Industries | 22,170 | 964,395 | ||||||
7,800,727 | ||||||||
Telecommunication Services — 0.4% | ||||||||
CenturyLink | 19,712 | 506,007 | ||||||
Utilities — 0.7% | ||||||||
AES | 77,374 | 875,100 | ||||||
Total Common Stock | ||||||||
(Cost $106,298,198) | 125,408,698 | |||||||
Total Investments — 99.8% | ||||||||
(Cost $106,298,198) | $ | 125,408,698 | ||||||
Other Assets and Liabilities — 0.2% | 273,632 | |||||||
Net Assets — 100.0% | $ | 125,682,330 |
Percentages based on Net Assets.
* | Non-income producing security. |
Cl — Class
As of April 30, 2017, 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.
There have been no transfers between Level 1, Level 2 or Level 3 assets and liabilities. It is the Fund’s policy to recognize transfers into and out of all Levels at the end of the reporting period.
The accompanying notes are an integral part of the financial statements.
16
Cambria Investment Management
Schedule of Investments Ÿ Cambria Foreign Shareholder Yield ETF
April 30, 2017
![]() |
Description | Shares | Value | ||||||
COMMON STOCK — 97.3% | ||||||||
Australia — 7.2% | ||||||||
Cabcharge Australia | 123,714 | $ | 243,636 | |||||
Caltex Australia | 14,803 | 331,094 | ||||||
CIMIC Group | 18,401 | 510,224 | ||||||
Fortescue Metals Group | 87,764 | 348,961 | ||||||
Monadelphous Group | 83,456 | 780,523 | ||||||
Myer Holdings | 310,255 | 257,874 | ||||||
Seven Group Holdings | 72,245 | 599,936 | ||||||
3,072,248 | ||||||||
Austria — 1.4% | ||||||||
OMV | 13,034 | 600,218 | ||||||
Belgium — 1.0% | ||||||||
Ageas | 10,820 | 443,162 | ||||||
Canada — 11.1% | ||||||||
Capital Power, Cl Common Subscription Receipt | 23,125 | 421,487 | ||||||
Ensign Energy Services | 62,900 | 349,739 | ||||||
Genworth MI Canada | 14,187 | 352,324 | ||||||
Great Canadian Gaming * | 22,200 | 396,333 | ||||||
Great-West Lifeco, Cl Common Subscription Receipt | 12,961 | 348,652 | ||||||
IGM Financial | 8,851 | 265,909 | ||||||
Labrador Iron Ore Royalty | 21,620 | 280,812 | ||||||
Magna International | 11,248 | 469,844 | ||||||
Metro, Cl A | 23,092 | 791,358 | ||||||
Rogers Sugar | 91,254 | 415,809 | ||||||
Sandvine | 131,806 | 307,053 | ||||||
TFI International | 14,179 | 308,707 | ||||||
4,708,027 | ||||||||
Denmark — 4.2% | ||||||||
Novo Nordisk, Cl B | 7,861 | 305,886 | ||||||
Pandora | 4,149 | 448,425 | ||||||
Topdanmark * | 17,258 | 472,379 | ||||||
Tryg | 30,123 | 577,910 | ||||||
1,804,600 | ||||||||
Finland — 5.0% | ||||||||
Kesko, Cl B | 8,736 | 409,384 | ||||||
Metso | 18,839 | 675,768 | ||||||
Stora Enso, Cl R | 51,509 | 612,708 | ||||||
UPM-Kymmene | 16,613 | 438,479 | ||||||
2,136,339 | ||||||||
France — 9.7% | ||||||||
AXA | 13,407 | 357,950 | ||||||
BNP Paribas | 8,443 | 595,780 | ||||||
Casino Guichard Perrachon | 6,789 | 408,958 | ||||||
CNP Assurances | 23,868 | 498,409 | ||||||
Engie | 17,223 | 242,955 | ||||||
Metropole Television | 20,464 | 466,226 | ||||||
Natixis | 78,440 | 545,736 | ||||||
Neopost | 14,208 | 576,201 | ||||||
Solocal Group * | 371,406 | 440,175 | ||||||
4,132,390 | ||||||||
Germany — 2.8% | ||||||||
E.ON | 24,507 | 191,060 | ||||||
Freenet | 16,074 | 504,446 | ||||||
Muenchener Rueckversicherungs | 2,671 | 511,931 | ||||||
1,207,437 | ||||||||
Hong Kong — 5.7% | ||||||||
Belle International Holdings (A) | 385,324 | 261,065 | ||||||
Hang Lung Properties | 127,954 | 335,580 | ||||||
Li & Fung | 375,889 | 157,540 | ||||||
Shanghai Industrial Holdings | 100,204 | 316,908 | ||||||
Swire Pacific, Cl A | 30,829 | 296,861 | ||||||
Television Broadcasts (A) | 72,829 | 279,955 | ||||||
Xinyi Glass Holdings | 444,000 | 393,863 | ||||||
Yingde Gases Group | 518,000 | 396,907 | ||||||
2,438,679 | ||||||||
Italy — 1.4% | ||||||||
STMicroelectronics | 36,351 | 587,622 | ||||||
Japan — 16.3% | ||||||||
Aoyama Trading | 10,499 | 374,847 | ||||||
Autobacs Seven | 30,067 | 454,747 | ||||||
Dai Nippon Printing | 34,052 | 378,780 | ||||||
DIC | 8,500 | 302,332 | ||||||
Hokkoku Bank | 111,000 | 416,219 | ||||||
ITOCHU | 29,600 | 418,476 | ||||||
Nabtesco | 14,300 | 405,364 | ||||||
Nikkiso | 33,300 | 339,647 | ||||||
NTT DOCOMO | 18,870 | 455,013 | ||||||
Sankyo | 7,949 | 277,029 | ||||||
Sumitomo Bakelite | 74,000 | 475,299 | ||||||
Suzuki Motor | 7,400 | 308,812 |
The accompanying notes are an integral part of the financial statements.
17
Cambria Investment Management
Schedule of Investments Ÿ Cambria Foreign Shareholder Yield ETF
April 30, 2017 (Continued)
Description | Shares | Value | ||||||
TOKAI Holdings | 44,200 | $ | 340,198 | |||||
Toyo Kanetsu | 185,000 | 472,976 | ||||||
Tsugami | 37,000 | 280,467 | ||||||
UT Group | 62,900 | 817,037 | ||||||
Zeon | 37,000 | 421,198 | ||||||
6,938,441 | ||||||||
Netherlands — 1.6% | ||||||||
Aegon | 93,018 | 474,098 | ||||||
BinckBank | 44,624 | 221,802 | ||||||
695,900 | ||||||||
New Zealand — 1.7% | ||||||||
SKY Network Television | 141,460 | 374,908 | ||||||
Tower | 394,017 | 330,050 | ||||||
704,958 | ||||||||
Norway — 5.6% | ||||||||
DNB | 30,495 | 476,285 | ||||||
Grieg Seafood | 49,765 | 390,945 | ||||||
Salmar | 34,062 | 808,110 | ||||||
Telenor | 18,688 | 302,107 | ||||||
Yara International | 10,709 | 398,126 | ||||||
2,375,573 | ||||||||
Portugal — 2.0% | ||||||||
EDP - Energias de Portugal | 127,409 | 420,524 | ||||||
Galp Energia SGPS | 27,057 | 420,583 | ||||||
841,107 | ||||||||
Singapore — 0.9% | ||||||||
Venture | 43,310 | 378,186 | ||||||
Spain — 3.2% | ||||||||
Endesa | 16,508 | 389,044 | ||||||
Gas Natural SDG | 22,442 | 507,501 | ||||||
Mediaset Espana Comunicacion** | 32,286 | 445,066 | ||||||
1,341,611 | ||||||||
Sweden — 3.0% | ||||||||
JM | 16,111 | 567,149 | ||||||
SSAB, Cl A * | 107,245 | 467,615 | ||||||
Telia | 54,445 | 221,903 | ||||||
1,256,667 | ||||||||
Switzerland — 3.1% | ||||||||
Adecco Group | 6,046 | 449,044 | ||||||
Swiss Re | 4,932 | 429,258 | ||||||
Zurich Insurance Group | 1,628 | 450,604 | ||||||
1,328,906 | ||||||||
United Kingdom — 10.4% | ||||||||
Cape | 104,730 | 326,569 | ||||||
Carillion | 95,065 | 273,961 | ||||||
Centamin | 188,071 | 430,911 | ||||||
EI Group * | 239,427 | 433,374 | ||||||
HSBC Holdings | 50,190 | 413,765 | ||||||
Intermediate Capital Group | 52,042 | 526,432 | ||||||
J Sainsbury | 119,560 | 426,469 | ||||||
Kingfisher | 83,409 | 368,712 | ||||||
Legal & General Group | 82,448 | 262,802 | ||||||
Rio Tinto | 10,070 | 399,367 | ||||||
Royal Mail | 48,065 | 250,572 | ||||||
Vodafone Group | 129,836 | 334,730 | ||||||
4,447,664 | ||||||||
Total Common Stock | ||||||||
(Cost $41,120,061) | 41,439,735 | |||||||
Total Investments — 97.3% | ||||||||
(Cost $41,120,061) | $ | 41,439,735 | ||||||
Other Assets and Liabilities — 2.7% | 1,165,172 | |||||||
Net Assets — 100.0% | $ | 42,604,907 |
Percentages based on Net Assets.
* | Non-income producing security. |
** | All or a portion of the security are considered delayed deliveries. |
(A) | Security is fair valued using methods determined in good faith by the Fair Value Committee of the Fund. The total value of such securities as of April 30, 2017, was $541,020 and represents 1.3% of Net Assets. |
Cl — Class
The accompanying notes are an integral part of the financial statements.
18
Cambria Investment Management
Schedule of Investments Ÿ Cambria Foreign Shareholder Yield ETF
April 30, 2017 (Concluded)
The following is a list of the inputs used as of April 30, 2017, in valuing the Fund’s investments carried at value:
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 40,898,715 | $ | 541,020 | $ | — | $ | 41,439,735 | ||||||||
Total Investments in Securities | $ | 40,898,715 | $ | 541,020 | $ | — | $ | 41,439,735 |
Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.
For the year ended April 30, 2017, there were transfers between Level 1 and Level 2 investments in securities. Securities with a value of $541,020 transferred from Level 1 to Level 2. The primary reason for the changes in the classification occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is primarily trading. There have been no transfers between Level 2 or Level 3 assets and liabilities. It is the Fund’s policy to recognize transfers into and out of all Levels at the end of the reporting period.
The accompanying notes are an integral part of the financial statements.
19
Cambria Investment Management
Schedule of Investments Ÿ Cambria Global Value ETF
April 30, 2017
![]() |
Description | Shares | Value | ||||||
COMMON STOCK — 96.9% | ||||||||
Austria — 12.2% | ||||||||
Agrana Beteiligungs | 10,296 | $ | 1,083,748 | |||||
AMAG Austria Metall (A) | 36,975 | 1,735,934 | ||||||
Erste Group Bank | 35,244 | 1,260,003 | ||||||
EVN | 83,853 | 1,110,252 | ||||||
Lenzing | 20,235 | 3,773,591 | ||||||
OMV | 27,621 | 1,271,952 | ||||||
Raiffeisen Bank International * | 38,016 | 866,730 | ||||||
UNIQA Insurance Group | 94,149 | 785,994 | ||||||
Vienna Insurance Group Wiener Versicherung Gruppe | 25,344 | 657,190 | ||||||
Voestalpine | 28,017 | 1,170,554 | ||||||
13,715,948 | ||||||||
Brazil — 6.3% | ||||||||
AMBEV | 170,775 | 982,452 | ||||||
Banco do Brasil | 130,835 | 1,351,198 | ||||||
Banco Santander Brasil | 232,756 | 2,003,401 | ||||||
Cia Siderurgica Nacional * | 300,069 | 727,944 | ||||||
Cosan Industria e Comercio | 84,744 | 984,393 | ||||||
JBS | 314,965 | 1,017,120 | ||||||
7,066,508 | ||||||||
Czech Republic — 7.0% | ||||||||
CEZ | 62,198 | 1,085,571 | ||||||
Fortuna Entertainment Group * | 189,684 | 884,993 | ||||||
Komercni Banka | 34,715 | 1,345,029 | ||||||
Pegas Nonwovens | 40,689 | 1,402,170 | ||||||
Philip Morris CR | 2,277 | 1,248,413 | ||||||
Unipetrol | 164,340 | 1,860,196 | ||||||
7,826,372 | ||||||||
Greece — 7.6% | ||||||||
Alpha Bank AE * | 22,583 | 47,969 | ||||||
Athens Water Supply & Sewage | 107,415 | 621,309 | ||||||
Bank of Greece | 58,212 | 729,853 | ||||||
FF Group * | 16,671 | 354,841 | ||||||
Hellenic Petroleum | 123,453 | 711,386 | ||||||
Hellenic Telecommunications Organization | 56,078 | 545,496 | ||||||
Intralot -Integrated Lottery Systems & Services * | 400,653 | 541,176 | ||||||
JUMBO | 47,783 | 754,206 | ||||||
Karelia Tobacco | 4,158 | 1,164,260 | ||||||
Metka Industrial Construction | 68,310 | 520,871 | ||||||
Motor Oil Hellas Corinth Refineries | 91,476 | 1,551,471 | ||||||
National Bank of Greece * | 28,039 | 8,735 | ||||||
OPAP | 55,353 | 548,694 | ||||||
Piraeus Bank * | 12,885 | 2,737 | ||||||
Public Power * | 122,699 | 451,758 | ||||||
8,554,762 | ||||||||
Hungary — 1.2% | ||||||||
Magyar Telekom Telecommunications | 94,152 | 157,512 | ||||||
Richter Gedeon Nyrt | 51,000 | 1,234,934 | ||||||
1,392,446 | ||||||||
Italy — 5.7% | ||||||||
Atlantia | 41,538 | 1,053,359 | ||||||
Enel | 232,947 | 1,107,362 | ||||||
Eni | 51,381 | 798,683 | ||||||
Intesa Sanpaolo | 326,931 | 952,282 | ||||||
Saipem * | 52,965 | 22,824 | ||||||
Telecom Italia * | 912,431 | 810,038 | ||||||
UniCredit | 16,363 | 266,294 | ||||||
Unipol Gruppo Finanziario | 171,369 | 763,863 | ||||||
UnipolSai | 250,431 | 575,597 | ||||||
6,350,302 | ||||||||
Norway — 6.2% | ||||||||
Aker Solutions* | 155,502 | 887,444 | ||||||
DNB | 46,286 | 722,916 | ||||||
Gjensidige Forsikring | 35,455 | 544,667 | ||||||
Norsk Hydro | 143,359 | 818,145 | ||||||
Petroleum Geo-Services * | 207,539 | 488,754 | ||||||
Statoil | 35,083 | 578,996 | ||||||
Storebrand | 153,255 | 1,010,276 | ||||||
Telenor | 35,876 | 579,966 | ||||||
TGS Nopec Geophysical | 37,038 | 809,263 | ||||||
Yara International | 15,062 | 559,957 | ||||||
7,000,384 | ||||||||
Poland — 8.8% | ||||||||
Alior Bank * | 21,309 | 409,733 | ||||||
Asseco Poland | 26,363 | 371,061 | ||||||
Bank Millennium * | 233,975 | 417,382 | ||||||
Bank Pekao | 9,669 | 350,324 | ||||||
Bank Zachodni WBK | 4,888 | 448,831 | ||||||
CCC | 9,044 | 523,168 | ||||||
Cyfrowy Polsat * | 67,487 | 422,576 | ||||||
Energa | 62,485 | 160,433 | ||||||
Eurocash | 50,139 | 444,623 |
The accompanying notes are an integral part of the financial statements.
20
Cambria Investment Management
Schedule of Investments Ÿ Cambria Global Value ETF
April 30, 2017 (Continued)
Description | Shares | Value | ||||||
Grupa Azoty | 19,208 | $ | 338,784 | |||||
Grupa Lotos * | 57,451 | 895,858 | ||||||
ING Bank Slaski * | 11,936 | 551,077 | ||||||
KGHM Polska Miedz | 14,016 | 444,774 | ||||||
LLP SA | 239 | 427,578 | ||||||
Lubelski Wegiel Bogdanka | 18,538 | 346,656 | ||||||
mBank | 3,515 | 392,348 | ||||||
Orange Polska | 163,268 | 194,868 | ||||||
PGE Polska Grupa Energetyczna | 74,659 | 221,906 | ||||||
Polski Koncern Naftowy ORLEN | 26,254 | 785,075 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo | 305,364 | 521,115 | ||||||
Powszechna Kasa Oszczednosci Bank Polski | 50,400 | 458,501 | ||||||
Powszechny Zaklad Ubezpieczen | 36,371 | 401,289 | ||||||
Tauron Polska Energia | 352,836 | 299,245 | ||||||
9,827,205 | ||||||||
Portugal — 9.5% | ||||||||
Altri SGPS | 50,617 | 236,263 | ||||||
Banco BPI, Cl G * | 141,299 | 165,923 | ||||||
Banco Comercial Portugues, Cl R * | 49,467 | 11,035 | ||||||
Banco Espirito Santo * (B) (C) | 318,087 | — | ||||||
BANIF - Banco Internacional do Funchal * (B) (C) | 60,980,850 | — | ||||||
CIMPOR Cimentos de Portugal SGPS * | 340,164 | 111,162 | ||||||
Corticeira Amorim SGPS | 320,859 | 3,844,632 | ||||||
CTT-Correios de Portugal | 20,120 | 114,822 | ||||||
EDP - Energias de Portugal | 320,398 | 1,057,500 | ||||||
Galp Energia SGPS | 89,850 | 1,396,658 | ||||||
Jeronimo Martins SGPS | 29,554 | 542,455 | ||||||
Mota-Engil SGPS | 58,412 | 148,508 | ||||||
Navigator | 48,177 | 203,934 | ||||||
NOS SGPS | 29,806 | 170,715 | ||||||
Pharol SGPS | 582,083 | 149,639 | ||||||
REN - Redes Energeticas Nacionais SGPS * | 73,528 | 216,174 | ||||||
Semapa-Sociedade de Investimento e Gestao | 86,031 | 1,349,477 | ||||||
Sonae * | 693,990 | 712,118 | ||||||
Teixeira Duarte | 842,589 | 253,322 | ||||||
10,684,337 | ||||||||
Russia** — 10.7% | ||||||||
Alrosa PJSC | 1,202,256 | 2,071,947 | ||||||
Gazprom Neft PJSC | 318,780 | 1,121,886 | ||||||
Gazprom PJSC | 355,113 | 853,026 | ||||||
Rosneft PJSC | 188,496 | 1,050,442 | ||||||
Sberbank of Russia PJSC | 547,569 | 1,588,976 | ||||||
Severstal PJSC | 158,004 | 2,153,764 | ||||||
Unipro PJSC | 21,344,004 | 944,811 | ||||||
Uralkali * | 281,259 | 740,587 | ||||||
VTB Bank PJSC | 1,230,254,982 | 1,441,632 | ||||||
11,967,071 | ||||||||
Singapore — 6.3% | ||||||||
CapitaLand | 277,200 | 745,999 | ||||||
City Developments | 89,100 | 688,107 | ||||||
ComfortDelGro | 376,200 | 737,779 | ||||||
Golden Agri-Resources | 2,861,100 | 737,212 | ||||||
Jardine Cycle & Carriage | 19,800 | 669,330 | ||||||
Oversea-Chinese Banking | 99,000 | 694,414 | ||||||
SATS | 198,000 | 721,340 | ||||||
Sembcorp Industries | 326,700 | 708,514 | ||||||
Singapore Airlines | 99,000 | 726,300 | ||||||
United Overseas Bank | 39,600 | 617,886 | ||||||
7,046,881 | ||||||||
Spain — 8.8% | ||||||||
Acciona | 12,709 | 1,048,539 | ||||||
Banco Bilbao Vizcaya Argentaria | 102,711 | 822,230 | ||||||
Banco Santander | 142,667 | 930,423 | ||||||
CaixaBank | 205,270 | 932,192 | ||||||
Enagas | 33,686 | 886,165 | ||||||
Endesa | 39,810 | 938,203 | ||||||
Ferrovial | 45,251 | 962,918 | ||||||
Gas Natural SDG | 49,433 | 1,117,872 | ||||||
Iberdrola | 151,803 | 1,091,701 | ||||||
Mapfre | 314,869 | 1,098,931 | ||||||
9,829,174 | ||||||||
Turkey — 6.6% | ||||||||
Akbank | 277,101 | 741,911 | ||||||
Eregli Demir ve Celik Fabrikalari | 417,780 | 765,705 | ||||||
Haci Omer Sabanci Holding | 247,995 | 738,689 | ||||||
KOC Holding | 159,489 | 749,860 | ||||||
Petkim Petrokimya Holding | 546,183 | 755,010 | ||||||
Turkiye Halk Bankasi | 222,552 | 738,091 | ||||||
Turkiye Is Bankasi, Cl C | 379,467 | 748,902 | ||||||
Turkiye Sise ve Cam Fabrikalari | 591,228 | 742,375 | ||||||
Turkiye Vakiflar Bankasi TAO, Cl D | 434,907 | 743,222 | ||||||
Yapi ve Kredi Bankasi * | 615,978 | 747,439 | ||||||
7,471,204 | ||||||||
Total Common Stock | ||||||||
(Cost $110,698,297) | 108,732,594 |
The accompanying notes are an integral part of the financial statements.
21
Cambria Investment Management
Schedule of Investments Ÿ Cambria Global Value ETF
April 30, 2017 (Concluded)
Description | Shares | Value | ||||||
PREFERRED STOCK — 3.3% | ||||||||
Brazil — 3.3% | ||||||||
Banco Bradesco | 127,535 | $ | 1,341,226 | |||||
Cia Energetica de Minas Gerais | 213,246 | 593,908 | ||||||
Telefonica Brasil | 65,736 | 976,705 | ||||||
Vale | 100,007 | 824,871 | ||||||
Total Preferred Stock | ||||||||
(Cost $4,521,979) | 3,736,710 | |||||||
Total Investments — 100.2% | ||||||||
(Cost $115,220,276) | $ | 112,469,304 | ||||||
Other Assets and Liabilities — (0.2)% | (279,180 | ) | ||||||
Net Assets — 100.0% | $ | 112,190,124 |
Percentages based on Net Assets.
* | Non-income producing security. |
** | All or a portion of the security are considered delayed deliveries. |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities are deemed to be liquid by the Board of Trustees. The total value of such securities at April 30, 2017 was $1,735,934 and represents 1.5% of Net Assets. |
(B) | Security is fair valued using methods determined in good faith by the Fair Value Committee of the Fund. The total value of such securities as of April 30, 2017, was $0 and represents 0.0% of Net Assets. |
(C) | Securities considered illiquid. The total value of such securities as of April 30, 2017 was $0 and represented 0.0% of Net Assets. See Note 2 in Notes to Financial Statements. |
Cl — Class
PJSC — Private Joint Stock Company
The following is a list of the inputs used as of April 30, 2017, in valuing the Fund’s investments carried at value:
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Common Stock | $ | 108,732,594 | $ | — | $ | — | $ | 108,732,594 | ||||||||
Preferred Stock | 3,736,710 | — | — | 3,736,710 | ||||||||||||
Total Investments in Securities | $ | 112,469,304 | $ | — | $ | — | $ | 112,469,304 |
(1) | Included in Level 3 are two securities with total value of $0. A reconciliation of Level 3 investments and disclosures of significant unobservable inputs are presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets. |
Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.
There have been no transfers between Level 1 and Level 2 assets and liabilities. There were no transfers into Level 3. It is the Fund’s policy to recognize transfers into and out of all Levels at the end of the reporting period.
The accompanying notes are an integral part of the financial statements.
22
Cambria Investment Management
Schedule of Investments Ÿ Cambria Global Momentum ETF
April 30, 2017
![]() |
Description | Shares | Value | ||||||
EXCHANGE TRADED FUNDS — 98.5% | ||||||||
Cambria Emerging Shareholder Yield ETF‡ | 129,036 | $ | 3,867,209 | |||||
Cambria Foreign Shareholder Yield ETF‡ | 135,072 | 3,129,618 | ||||||
Cambria Global Value ETF‡ | 156,299 | 3,566,743 | ||||||
Cambria Shareholder Yield ETF‡ | 88,325 | 3,003,050 | ||||||
FlexShares Global Upstream Natural Resources Index Fund | 118,764 | 3,478,598 | ||||||
iShares Global Financials ETF | 57,561 | 3,521,006 | ||||||
iShares Global Materials ETF | 62,798 | 3,733,969 | ||||||
iShares Global Tech ETF | 27,806 | 3,551,382 | ||||||
iShares Micro-Capital ETF | 34,548 | 2,990,129 | ||||||
iShares Mortgage Real Estate Capped ETF | 74,264 | 3,484,467 | ||||||
PowerShares DB Base Metals Fund* | 252,627 | 4,019,296 | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 90,629 | 3,365,961 | ||||||
VanEck Vectors Emerging Markets High Yield Bond ETF | 131,629 | 3,276,246 | ||||||
Vanguard FTSE Emerging Markets ETF | 85,736 | 3,458,590 | ||||||
Vanguard Small-Capital ETF | 22,369 | 3,006,841 | ||||||
Vanguard Small-Capital Value ETF | 28,906 | 3,565,555 | ||||||
WisdomTree Emerging Markets SmallCap Dividend Fund | 75,955 | 3,433,926 | ||||||
Total Exchange Traded Funds | ||||||||
(Cost $54,725,758) | 58,452,586 | |||||||
Total Investments — 98.5% | ||||||||
(Cost $54,725,758) | $ | 58,452,586 | ||||||
Other Assets and Liabilities — 1.5% | 875,273 | |||||||
Net Assets — 100.0% | $ | 59,327,859 |
Percentages based on Net Assets.
* | Non-income producing security. |
‡ | 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 (see Note 5). |
ETF — Exchanged Traded Fund
FTSE — Financial Times Stock Exchange
SPDR — Standard & Poor’s Depositary Receipt
As of April 30, 2017, 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.
There have been no transfers between Level 1, Level 2 or Level 3 assets and liabilities. It is the Fund’s policy to recognize transfers into and out of all Levels at the end of the reporting period.
The accompanying notes are an integral part of the financial statements.
23
Cambria Investment Management
Schedule of Investments Ÿ Cambria Global Asset Allocation ETF
April 30, 2017
![]() |
Description | Shares | Value | ||||||
EXCHANGE TRADED FUNDS — 99.7% | ||||||||
Cambria Emerging Shareholder Yield ETF‡ | 131,815 | $ | 3,950,496 | |||||
Cambria Foreign Shareholder Yield ETF‡ | 31,059 | 719,637 | ||||||
Cambria Global Value ETF‡ | 68,279 | 1,558,127 | ||||||
Cambria Shareholder Yield ETF‡ | 34,162 | 1,161,508 | ||||||
Cambria Sovereign High Yield Bond ETF‡ | 48,092 | 1,324,935 | ||||||
iShares 20+ Year Treasury Bond ETF | 5,974 | 730,919 | ||||||
iShares 7-10 Year Treasury Bond ETF | 10,295 | 1,097,447 | ||||||
iShares Edge MSCI USA Momentum Factor ETF | 21,199 | 1,797,251 | ||||||
iShares iBoxx $Investment Grade Corporate Bond ETF | 9,106 | 1,083,523 | ||||||
PowerShares DB Optimum Yield Diversified Commodity Strategy Portfolio | 133,980 | 2,171,816 | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 18,560 | 689,318 | ||||||
SPDR Bloomberg Barclays International Corporate Bond ETF | 22,282 | 712,355 | ||||||
SPDR Bloomberg Barclays TIPS ETF | 19,314 | 1,100,319 | ||||||
SPDR Citi International Government Inflation-Protected Bond ETF | 19,873 | 1,099,573 | ||||||
VanEck Vectors Emerging Markets High Yield Bond ETF | 59,334 | 1,476,823 | ||||||
VanEck Vectors International High Yield Bond ETF | 28,101 | 699,996 | ||||||
Vanguard Emerging Markets Government Bond ETF | 21,584 | 1,736,001 | ||||||
Vanguard FTSE All World ex-US Small-Capital ETF | 7,395 | 780,025 | ||||||
Vanguard FTSE Developed Markets ETF | 36,656 | 1,472,471 | ||||||
Vanguard Global ex-U.S. Real Estate ETF | 19,372 | 1,054,999 | ||||||
Vanguard Mid-Capital ETF | 11,745 | 1,654,518 | ||||||
Vanguard REIT ETF | 13,543 | 1,121,225 | ||||||
Vanguard Short-Term Bond ETF | 9,019 | 720,979 | ||||||
Vanguard Short-Term Corporate Bond ETF | 9,048 | 723,116 | ||||||
Vanguard Total Bond Market ETF | 35,243 | 2,874,067 | ||||||
Vanguard Total International Bond ETF | 34,336 | 1,866,162 | ||||||
Vanguard Total Stock Market ETF | 13,717 | 1,681,841 | ||||||
Total Exchange Traded Funds | ||||||||
(Cost $35,841,202) | 37,059,447 | |||||||
Total Investments — 99.7% | ||||||||
(Cost $35,841,202) | $ | 37,059,447 | ||||||
Other Assets and Liabilities — 0.3% | 122,948 | |||||||
Net Assets — 100.0% | $ | 37,182,395 |
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 (see Note 5). |
ETF — Exchanged Traded Fund
FTSE — Financial Times Stock Exchange
MSCI — Morgan Stanley Capital International
REIT — Real Estate Investment Trust
SPDR — Standard & Poor’s Depositary Receipt
TIPS — Treasury Inflation Protected Security
As of April 30, 2017, 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.
There have been no transfers between Level 1, Level 2 or Level 3 assets and liabilities. It is the Fund’s policy to recognize transfers into and out of all Levels at the end of the reporting period.
The accompanying notes are an integral part of the financial statements.
24
Cambria Investment Management
Schedule of Investments Ÿ Cambria Value and Momentum ETF
April 30, 2017
![]() |
Description | Shares | Value | ||||||
COMMON STOCK — 92.6% | ||||||||
Consumer Discretionary — 7.8% | ||||||||
Best Buy | 1,323 | $ | 68,545 | |||||
Big 5 Sporting Goods | 3,295 | 50,743 | ||||||
Career Education* | 9,554 | 96,973 | ||||||
Children's Place | 518 | 59,466 | ||||||
Cooper-Standard Holdings* | 593 | 67,051 | ||||||
DeVry Education Group | 1,797 | 68,016 | ||||||
Eldorado Resorts* | 3,680 | 70,380 | ||||||
K12* | 4,165 | 78,510 | ||||||
Superior Industries International | 1,923 | 41,825 | ||||||
Tilly's, Cl A | 4,321 | 41,309 | ||||||
642,818 | ||||||||
Consumer Staples — 3.8% | ||||||||
Central Garden & Pet, Cl A* | 2,582 | 90,964 | ||||||
SpartanNash | 2,870 | 105,616 | ||||||
Universal | 1,617 | 118,769 | ||||||
315,349 | ||||||||
Energy — 2.4% | ||||||||
Exterran* | 2,499 | 68,398 | ||||||
McDermott International* | 7,729 | 50,548 | ||||||
SandRidge Energy* | 4,315 | 79,482 | ||||||
198,428 | ||||||||
Financials — 31.4% | ||||||||
Allied World Assurance Holdings | 1,439 | 76,397 | ||||||
Allstate | 628 | 51,050 | ||||||
Ambac Financial Group* | 2,554 | 49,624 | ||||||
American Equity Investment Life Holding | 3,275 | 77,683 | ||||||
American Financial Group | 1,155 | 112,393 | ||||||
American National Insurance | 371 | 43,377 | ||||||
Assurant | 1,085 | 104,420 | ||||||
Assured Guaranty | 2,083 | 79,425 | ||||||
Bank of America | 3,268 | 76,275 | ||||||
Cincinnati Financial | 649 | 46,786 | ||||||
Citizens Financial Group | 2,190 | 80,395 | ||||||
CNA Financial | 1,751 | 79,250 | ||||||
Employers Holdings | 1,511 | 60,440 | ||||||
EZCORP, Cl A* | 8,281 | 74,943 | ||||||
Green Bancorp* | 4,487 | 80,766 | ||||||
Green Dot, Cl A* | 1,853 | 63,539 | ||||||
Health Insurance Innovations, Cl A* | 3,169 | 53,081 | ||||||
Horace Mann Educators | 2,450 | 94,693 | ||||||
Lincoln National | 868 | 57,227 | ||||||
MBIA* | 5,046 | 42,386 | ||||||
NMI Holdings, Cl A* | 6,912 | 80,179 | ||||||
Old Republic International | 5,152 | 106,543 | ||||||
Principal Financial Group | 1,218 | 79,328 | ||||||
Progressive | 2,674 | 106,211 | ||||||
Prudential Financial | 551 | 58,974 | ||||||
Regions Financial | 4,006 | 55,083 | ||||||
Reinsurance Group of America, Cl A | 868 | 108,535 | ||||||
Selective Insurance Group | 2,625 | 138,601 | ||||||
State National | 3,400 | 49,878 | ||||||
Travelers | 362 | 44,041 | ||||||
Unum Group | 1,663 | 77,047 | ||||||
Voya Financial | 2,038 | 76,180 | ||||||
World Acceptance* | 880 | 46,552 | ||||||
WR Berkley | 1,484 | 100,882 | ||||||
Zions Bancorporation | 1,858 | 74,376 | ||||||
2,606,560 | ||||||||
Health Care — 1.5% | ||||||||
Lantheus Holdings* | 9,716 | 126,308 | ||||||
Industrials — 24.9% | ||||||||
ACCO Brands* | 4,760 | 67,830 | ||||||
ArcBest | 2,046 | 54,117 | ||||||
Astec Industries | 1,458 | 92,364 | ||||||
Brady, Cl A | 1,552 | 60,450 | ||||||
Brink's | 2,877 | 176,648 | ||||||
Chart Industries* | 2,708 | 98,869 | ||||||
Fluor | 803 | 41,210 | ||||||
Gibraltar Industries* | 1,566 | 61,465 | ||||||
Greenbrier | 1,364 | 59,266 | ||||||
IES Holdings* | 2,949 | 58,980 | ||||||
Insteel Industries | 1,475 | 51,345 | ||||||
Jacobs Engineering Group | 1,641 | 90,124 | ||||||
Kelly Services, Cl A | 2,199 | 49,082 | ||||||
Kimball International, Cl B | 3,270 | 58,108 | ||||||
Manitowoc | 9,777 | 58,369 | ||||||
Meritor* | 4,519 | 80,483 | ||||||
MRC Global* | 2,785 | 50,771 | ||||||
MYR Group* | 2,883 | 121,836 | ||||||
Navigant Consulting* | 2,218 | 53,165 | ||||||
SkyWest | 4,557 | 169,520 | ||||||
Spartan Motors | 8,750 | 72,188 |
The accompanying notes are an integral part of the financial statements.
25
Cambria Investment Management
Schedule of Investments Ÿ Cambria Value and Momentum ETF
April 30, 2017 (Concluded)
Description | Shares | Value | ||||||
Supreme Industries, Cl A | 4,472 | $ | 89,619 | |||||
Tetra Tech | 1,435 | 63,068 | ||||||
Tutor Perini* | 4,053 | 125,034 | ||||||
United Continental Holdings* | 1,085 | 76,178 | ||||||
Wabash National | 3,783 | 86,177 | ||||||
2,066,266 | ||||||||
Information Technology — 15.1% | ||||||||
Advanced Energy Industries* | 3,276 | 241,768 | ||||||
Alpha & Omega Semiconductor* | 3,583 | 59,299 | ||||||
Arrow Electronics* | 663 | 46,742 | ||||||
Benchmark Electronics* | 2,398 | 76,017 | ||||||
II-VI* | 1,989 | 65,935 | ||||||
Insight Enterprises* | 1,881 | 79,190 | ||||||
InterDigital | 897 | 80,641 | ||||||
Kimball Electronics* | 3,159 | 54,493 | ||||||
MoneyGram International* | 4,856 | 86,485 | ||||||
NETGEAR* | 1,048 | 49,413 | ||||||
PCM* | 2,775 | 69,930 | ||||||
Sanmina* | 2,935 | 109,328 | ||||||
SYNNEX | 469 | 50,854 | ||||||
Tech Data* | 553 | 52,894 | ||||||
TTM Technologies* | 4,918 | 82,278 | ||||||
Unisys* | 3,816 | 43,121 | ||||||
1,248,388 | ||||||||
Materials — 3.9% | ||||||||
Alcoa | 1,965 | 66,279 | ||||||
Century Aluminum* | 6,210 | 84,705 | ||||||
Schnitzer Steel Industries, Cl A | 2,274 | 42,979 | ||||||
TimkenSteel* | 3,605 | 54,363 | ||||||
Trinseo | 1,180 | 78,352 | ||||||
326,678 | ||||||||
Telecommunication Services — 1.8% | ||||||||
Boingo Wireless* | 10,493 | 149,945 | ||||||
Total Common Stock | ||||||||
(Cost $6,802,106) | 7,680,740 | |||||||
Total Investments — 92.6% | ||||||||
(Cost $6,802,106) | $ | 7,680,740 | ||||||
Other Assets and Liabilities — 7.4% | 610,152 | |||||||
Net Assets — 100.0% | $ | 8,290,892 |
Percentages based on Net Assets.
* | Non-income producing security. |
Cl — Class
The open futures contracts held by the Fund at April 30, 2017, is as follows:
Type of Contract | Number of Contracts Short | Expiration Date | Notional Amount | Unrealized Depreciation | |||||||||
S&P 500 Index EMINI | (35) | Jun-2017 | $ | (4,165,875 | ) | $ | (14,750 | ) |
For the year ended April 30, 2017, the monthly average notional value of the short equity futures contracts held was $(2,709,145) and the ending notional value of short equity futures contracts held was $(4,165,875).
As of April 30, 2017, all of the Fund’s investments in securities and futures contracts 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.
There have been no transfers between Level 1, Level 2 or Level 3 assets and liabilities. It is the Fund’s policy to recognize transfers into and out of all Levels at the end of the reporting period.
The accompanying notes are an integral part of the financial statements.
26
Cambria Investment Management
Schedule of Investments Ÿ Cambria Sovereign High Yield Bond ETF
April 30, 2017
![]() |
Description | Face Amount(1) | Value | ||||||
SOVEREIGN DEBT — 84.2% | ||||||||
Australia — 3.8% | ||||||||
Queensland Treasury | ||||||||
5.750%, 07/22/24 | AUD | 203,000 | $ | 181,655 | ||||
4.750%, 07/21/25 (A) | AUD | 217,000 | 184,571 | |||||
366,226 | ||||||||
Brazil — 7.8% | ||||||||
Brazilian Government International Bond | ||||||||
8.500%, 01/05/24 | BRL | 2,450,000 | 741,009 | |||||
China — 5.0% | ||||||||
China Government Bond | ||||||||
3.160%, 06/27/23 | CNY | 3,500,000 | 476,459 | |||||
Greece — 8.3% | ||||||||
Hellenic Republic Government Bond | ||||||||
4.750%, 04/17/19 (A) | EUR | 203,000 | 214,837 | |||||
3.650%, 02/24/24 (B) | EUR | 349,097 | 321,549 | |||||
3.000%, 02/24/23 (B) | EUR | 273,175 | 256,380 | |||||
792,766 | ||||||||
Hungary — 4.3% | ||||||||
Hungary Government Bond | ||||||||
3.000%, 06/26/24 | 5,740,000 | 20,138 | ||||||
Hungary Government Bond | ||||||||
6.000%, 11/24/23 | HUF | 46,410,000 | 194,831 | |||||
5.500%, 06/24/25 | HUF | 47,390,000 | 193,588 | |||||
408,557 | ||||||||
Indonesia — 2.8% | ||||||||
Indonesia Government International Bond | ||||||||
8.375%, 03/15/24 | IDR | 1,652,000,000 | 132,976 | |||||
7.000%, 05/15/27 | IDR | 1,778,000,000 | 132,993 | |||||
265,969 | ||||||||
Malaysia — 4.3% | ||||||||
Malaysia Government Bond | ||||||||
4.392%, 04/15/26 | MYR | 70,000 | 16,372 | |||||
Malaysia Government Bond | ||||||||
4.498%, 04/15/30 | MYR | 995,000 | 230,776 | |||||
4.181%, 07/15/24 | MYR | 642,000 | 150,124 | |||||
Malaysia Government Investment Issue | ||||||||
4.070%, 09/30/26 | MYR | 70,000 | 15,934 | |||||
413,206 | ||||||||
Mexico — 8.3% | ||||||||
Mexican Bonos | ||||||||
10.000%, 12/05/24 | MXN | 3,705,100 | 229,699 | |||||
5.750%, 03/05/26 | MXN | 4,812,500 | 232,211 | |||||
8.500%, 05/31/29 | MXN | 2,812,600 | 163,417 | |||||
7.500%, 06/03/27 | MXN | 3,029,600 | 164,023 | |||||
789,350 | ||||||||
New Zealand — 2.4% | ||||||||
New Zealand Government Bond | ||||||||
4.500%, 04/15/27 | NZD | 301,000 | 231,938 | |||||
Philippines — 4.2% | ||||||||
Philippine Government Bond | ||||||||
8.000%, 07/19/31 | PHP | 15,182,800 | 396,324 | |||||
Poland — 4.6% | ||||||||
Poland Government Bond | ||||||||
5.750%, 04/25/29 | PLN | 994,000 | 314,031 | |||||
Republic of Poland Government Bond | ||||||||
3.250%, 07/25/25 | PLN | 231,000 | 59,609 | |||||
2.500%, 07/25/26 | PLN | 252,000 | 60,778 | |||||
434,418 | ||||||||
Romania — 4.3% | ||||||||
Romania Government Bond | ||||||||
5.850%, 04/26/23 | RON | 490,000 | 134,298 | |||||
5.800%, 07/26/27 | RON | 490,000 | 135,577 | |||||
4.750%, 02/24/25 | RON | 525,000 | 135,239 | |||||
405,114 | ||||||||
Russia — 8.2% | ||||||||
Russian Federal Bond - OFZ | ||||||||
7.600%, 04/14/21 | RUB | 15,127,000 | 265,187 | |||||
7.600%, 07/20/22 | RUB | 15,435,000 | 271,779 | |||||
7.000%, 01/25/23 | RUB | 13,972,000 | 239,024 | |||||
775,990 | ||||||||
South Africa — 5.9% | ||||||||
Republic of South Africa Government Bond | ||||||||
8.000%, 01/31/30 | ZAR | 2,726,857 | 186,931 | |||||
7.000%, 02/28/31 | ZAR | 3,025,736 | 188,635 | |||||
South Africa Government Bond | ||||||||
8.250%, 03/31/32 | ZAR | 2,719,766 | 186,585 | |||||
562,151 | ||||||||
Thailand — 3.6% | ||||||||
Thailand Government Bond | ||||||||
3.625%, 06/16/23 | THB | 11,127,000 | 344,297 |
The accompanying notes are an integral part of the financial statements.
27
Cambria Investment Management
Schedule of Investments Ÿ Cambria Sovereign High Yield Bond ETF
April 30, 2017 (Concluded)
Description | Face Amount(1) | Value | ||||||
Turkey — 6.4% | ||||||||
Turkey Government Bond | ||||||||
10.600%, 02/11/26 | TRY | 280,000 | $ | 80,761 | ||||
10.400%, 03/20/24 | TRY | 280,000 | 79,224 | |||||
9.000%, 07/24/24 | TRY | 301,000 | 79,806 | |||||
8.800%, 09/27/23 | TRY | 301,000 | 78,895 | |||||
8.000%, 03/12/25 | TRY | 594,016 | 147,837 | |||||
7.100%, 03/08/23 | TRY | 603,326 | 145,568 | |||||
612,091 | ||||||||
Total Sovereign Debt | ||||||||
(Cost $7,767,717) | 8,015,865 | |||||||
Total Investments — 84.2% | ||||||||
(Cost $7,767,717) | $ | 8,015,865 | ||||||
Other Assets and Liabilities — 15.8% | 1,505,504 | |||||||
Net Assets — 100.0% | $ | 9,521,369 |
Percentages based on Net Assets.
(1) | In foreign currency unless otherwise indicated. |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities are deemed to be liquid by the Board of Trustees. The total value of such securities at April 30, 2017 was $399,408 and represents 4.2% of Net Assets. |
(B) | Step Bond - The rate reflected on the Schedule of Investments is the effective yield on April 30, 2017. The coupon on a step bond changes on a specified date. |
AUD — Australian Dollar
BRL — Brazilian Real
CNY — Chinese Yuan
EUR — Euro
HUF — Hungarian Forint
IDR — Indonesian Rupiah
MXN — Mexican Peso
MYR — Malaysian Ringgit
NZD — New Zealand Dollar
PHP — Philippine Peso
PLN — Polish Zloty
RON — Romanian Leu
RUB — Russian Ruble
THB — Thailand Baht
TRY— Turkish Lira
ZAR — South African Rand
As of April 30, 2017, all of the Fund’s investments in securities were considered Level 2, 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.
There have been no transfers between Level 1, Level 2 or Level 3 assets and liabilities. It is the Fund’s policy to recognize transfers into and out of all Levels at the end of the reporting period.
The accompanying notes are an integral part of the financial statements.
28
Cambria Investment Management
Schedule of Investments Ÿ Cambria Emerging Shareholder Yield ETF
April 30, 2017
![]() |
Description | Shares | Value | ||||||
COMMON STOCK — 95.5% | ||||||||
Brazil — 6.5% | ||||||||
Cia de Gas de Sao Paulo - COMGAS | 6,400 | $ | 86,098 | |||||
Ez Tec Empreendimentos e Participacoes | 19,200 | 122,917 | ||||||
Magazine Luiza | 8,000 | 557,597 | ||||||
766,612 | ||||||||
China — 1.7% | ||||||||
China Petroleum & Chemical ADR | 1,336 | 108,711 | ||||||
CNOOC ADR | 776 | 90,132 | ||||||
198,843 | ||||||||
Colombia — 0.9% | ||||||||
Banco de Bogota | 4,888 | 100,186 | ||||||
Czech Republic — 1.2% | ||||||||
O2 Czech Republic | 11,768 | 138,933 | ||||||
Greece — 1.9% | ||||||||
Aegean Airlines | 13,128 | 112,973 | ||||||
Motor Oil Hellas Corinth Refineries | 6,688 | 113,431 | ||||||
226,404 | ||||||||
Hong Kong — 10.7% | ||||||||
China Communications Services, Cl H | 192,000 | 109,350 | ||||||
Fantasia Holdings Group | 336,000 | 53,132 | ||||||
Guangzhou R&F Properties | 70,400 | 118,565 | ||||||
Guolian Securities, Cl H | 180,000 | 97,424 | ||||||
Qingdao Port International, Cl H (A) | 160,000 | 85,159 | ||||||
Red Star Macalline Group, Cl H (A) | 96,000 | 102,685 | ||||||
Shenzhen Expressway, Cl H | 112,000 | 102,089 | ||||||
Sinopec Engineering Group, Cl H | 104,000 | 101,615 | ||||||
Sinopec Shanghai Petrochemical ADR | 2,024 | 113,304 | ||||||
Tianneng Power International | 144,000 | 126,072 | ||||||
Weiqiao Textile, Cl H (B) (C) | 82,500 | 59,184 | ||||||
Xingda International Holdings | 240,000 | 96,267 | ||||||
Zoomlion Heavy Industry Science and Technology | 208,000 | 98,674 | ||||||
1,263,520 | ||||||||
Hungary — 2.0% | ||||||||
MOL Hungarian Oil & Gas | 1,608 | 121,083 | ||||||
OTP Bank | 4,256 | 119,710 | ||||||
240,793 | ||||||||
India — 8.6% | ||||||||
Chennai Petroleum | 22,042 | 130,529 | ||||||
GHCL | 31,603 | 127,851 | ||||||
Hindustan Petroleum | 6,928 | 57,741 | ||||||
Hindustan Zinc | 33,856 | 141,018 | ||||||
Indian Oil | 25,666 | 175,569 | ||||||
Mphasis | 12,136 | 101,165 | ||||||
Rural Electrification | 53,120 | 167,254 | ||||||
Sonata Software | 40,153 | 105,110 | ||||||
1,006,237 | ||||||||
Mexico — 0.8% | ||||||||
Rassini, Cl A * | 43,200 | 99,709 | ||||||
Poland — 2.9% | ||||||||
Budimex | 2,208 | 156,527 | ||||||
Polski Koncern Naftowy ORLEN | 5,968 | 178,462 | ||||||
334,989 | ||||||||
Russia** — 7.1% | ||||||||
Bashneft PJSC | 2,224 | 123,958 | ||||||
Center for Cargo Container Traffic TransContainer PJSC | 2,040 | 119,686 | ||||||
Gazprom PJSC ADR | 22,600 | 107,124 | ||||||
Lukoil PJSC ADR | 2,288 | 113,370 | ||||||
M.Video PJSC | 20,968 | 140,625 | ||||||
Rosneft PJSC GDR | 18,784 | 103,969 | ||||||
Tatneft PJSC ADR | 3,280 | 129,101 | ||||||
837,833 | ||||||||
South Africa — 13.6% | ||||||||
Assore | 7,376 | 119,081 | ||||||
Barclays Africa Group | 7,864 | 86,503 | ||||||
Barloworld | 11,160 | 100,562 | ||||||
Bidvest Group | 10,192 | 121,652 | ||||||
Coronation Fund Managers | 21,112 | 100,143 | ||||||
Exxaro Resources | 6,208 | 52,902 | ||||||
FirstRand | 30,448 | 113,578 | ||||||
Imperial Holdings | 9,464 | 119,676 | ||||||
Liberty Holdings | 11,224 | 90,288 | ||||||
Old Mutual | 36,744 | 92,632 | ||||||
Sanlam | 22,752 | 120,691 | ||||||
Sasol ADR | 3,568 | 108,895 | ||||||
Standard Bank Group | 10,968 | 121,764 | ||||||
Telkom SOC | 21,792 | 121,942 | ||||||
Wilson Bayly Holmes-Ovcon | 11,536 | 123,909 | ||||||
1,594,218 |
The accompanying notes are an integral part of the financial statements.
29
Cambria Investment Management
Schedule of Investments Ÿ Cambria Emerging Shareholder Yield ETF
April 30, 2017 (Continued)
Description | Shares | Value | ||||||
South Korea — 12.5% | ||||||||
Dongbu Insurance | 216 | $ | 12,908 | |||||
GS Holdings | 2,344 | 122,154 | ||||||
Hana Financial Group | 4,832 | 166,460 | ||||||
Hyosung | 872 | 110,351 | ||||||
Hyundai Marine & Fire Insurance | 3,872 | 124,881 | ||||||
Korea Electric Power ADR | 3,800 | 75,278 | ||||||
LG Uplus | 10,344 | 131,357 | ||||||
LS | 2,000 | 114,597 | ||||||
POSCO ADR | 2,120 | 125,122 | ||||||
Samsung Electronics | 80 | 156,850 | ||||||
SK Innovation | 824 | 123,829 | ||||||
S-Oil | 624 | 54,673 | ||||||
Woori Bank | 11,584 | 152,193 | ||||||
1,470,653 | ||||||||
Taiwan — 20.3% | ||||||||
Actron Technology | 24,000 | 84,717 | ||||||
Asustek Computer | 8,000 | 78,619 | ||||||
Aten International | 40,000 | 110,171 | ||||||
Chang Wah Electromaterials | 24,000 | 124,093 | ||||||
Chaun-Choung Technology | 16,000 | 62,842 | ||||||
Chicony Electronics | 40,055 | 105,677 | ||||||
Chilisin Electronics | 40,000 | 108,714 | ||||||
Chin-Poon Industrial | 48,000 | 98,001 | ||||||
Chunghwa Telecom ADR | 2,592 | 87,713 | ||||||
CyberPower Systems | 24,000 | 77,876 | ||||||
Elite Advanced Laser | 24,000 | 105,797 | ||||||
Elite Material | 32,000 | 127,805 | ||||||
Eurocharm Holdings | 32,000 | 92,274 | ||||||
Hon Hai Precision Industry | 32,000 | 104,789 | ||||||
Ibase Technology | 40,000 | 79,016 | ||||||
Micro-Star International | 32,000 | 64,168 | ||||||
Nishoku Technology | 16,000 | 43,539 | ||||||
Phison Electronics | 16,000 | 150,874 | ||||||
Powertech Technology | 40,000 | 125,551 | ||||||
Shin Zu Shing | 32,000 | 88,773 | ||||||
Simplo Technology | 32,000 | 107,123 | ||||||
Sitronix Technology | 32,000 | 96,092 | ||||||
Syncmold Enterprise | 8,000 | 17,739 | ||||||
Topco Scientific | 32,000 | 104,683 | ||||||
Tripod Technology | 48,000 | 135,706 | ||||||
2,382,352 | ||||||||
Thailand — 1.9% | ||||||||
PTT Exploration & Production | 42,248 | 118,781 | ||||||
Thai Oil | 46,400 | 104,631 | ||||||
223,412 |
Description | Shares/ Number of Rights | Value | ||||||
Turkey — 2.9% | ||||||||
Aygaz | 24,720 | $ | 98,617 | |||||
Kordsa Teknik Tekstil | 45,072 | 102,784 | ||||||
Tekfen Holding | 23,776 | 61,315 | ||||||
Vestel Beyaz Esya Sanayi ve Ticaret | 21,784 | 77,459 | ||||||
340,175 | ||||||||
Total Common Stock | ||||||||
(Cost $10,218,753) | 11,224,869 | |||||||
RIGHT — 0.0% | ||||||||
Brazil — 0.0% | ||||||||
Cia de Gas de Sao Paulo - COMGAS | ||||||||
Expires 05/31/17* | ||||||||
(Cost $—) | 137 | 7 | ||||||
Total Investments — 95.5% | ||||||||
(Cost $10,218,753) | $ | 11,224,876 | ||||||
Other Assets and Liabilities — 4.5% | 533,913 | |||||||
Net Assets — 100.0% | $ | 11,758,789 |
Percentages based on Net Assets.
* | Non-income producing security. |
** | All or a portion of the security are considered delayed deliveries. |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities are deemed to be liquid by the Board of Trustees. The total value of such securities at April 30, 2017 was $187,844 and represents 1.6% of Net Assets. |
(B) | Security is fair valued using methods determined in good faith by the Fair Value Committee of the Fund. The total value of such security as of April 30, 2017, was $59,184 and represents 0.5% of Net Assets. |
(C) | Securities considered illiquid. The total value of such securities as of April 30, 2017 was $59,184 and represented 0.5% of Net Assets. See Note 2 in Notes to Financial Statements. |
ADR — American Depositary Receipt
Cl — Class
GDR — Global Depositary Receipt
PJSC — Private Joint Stock Company
The accompanying notes are an integral part of the financial statements.
30
Cambria Investment Management
Schedule of Investments Ÿ Cambria Emerging Shareholder Yield ETF
April 30, 2017 (Concluded)
The following is a list of the inputs used as of April 30, 2017 in valuing the Fund’s investments carried at value:
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Common Stock | $ | 11,165,685 | $ | — | $ | 59,184 | $ | 11,224,869 | ||||||||
Right | — | 7 | — | 7 | ||||||||||||
Total Investments in Securities | $ | 11,165,685 | $ | 7 | $ | 59,184 | $ | 11,224,876 |
(1) | As of April 30, 2017, the Level 3 security is not valued via third party pricing vendors and broker quotes. If significant, the disclosure of the unobservable inputs and the interrelationships and sensitivity between these inputs is required for those Level 3 securities that are not valued by third party vendors or broker quotes. |
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value:
Common Stock | ||||
Beginning balance as of July 14, 2016(1) | $ | — | ||
Realized gain (loss) | 1,438 | |||
Change in unrealized appreciation (depreciation) | (4,658 | ) | ||
Purchases | 74,667 | |||
Sales | (12,263 | ) | ||
Ending balance as of April 30, 2017 | $ | 59,184 |
(1) | Commenced operations on July 14, 2016. |
The following table summarizes the quantitative inputs and assumptions used for items categorized as material Level 3 investments as of April 30, 2017. The disclosures below also include qualitative information on the sensitivity of the fair value measurements to changes in the significant unobservable inputs.
Assets | Fair Value at 4/30/17 | Valuation Technique(s) | Unobservable Input | Discount Percentage | ||||||
Common Stock | $ | 59,184 | Discount from the Last Traded Price | Last Traded Price Comparability Adjustment % | 0.0 | % |
Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.
There have been no transfers between Level 1, Level 2 or Level 3 assets and liabilities. It is the Fund’s policy to recognize transfers into and out of all Levels at the end of the reporting period.
The accompanying notes are an integral part of the financial statements.
31
Cambria Investment Management
Schedule of Investments Ÿ Cambria Tail Risk ETF
April 30, 2017
![]() |
Description | Face Amount/ Contracts | Value | ||||||
U.S. TREASURY OBLIGATION — 92.7% | ||||||||
U.S. Treasury Note | ||||||||
2.250%, 02/15/27 | $ | 2,300,000 | $ | 2,293,261 | ||||
Total U.S. Treasury Obligation | ||||||||
(Cost $2,279,622) | 2,293,261 | |||||||
Total Investments — 92.7% | ||||||||
(Cost $2,279,622) | $ | 2,293,261 | ||||||
Other Assets and Liabilities — 7.3% | 180,542 | |||||||
Net Assets — 100.0% | $ | 2,473,803 | ||||||
PURCHASED OPTIONS*‡ — 5.2% | ||||||||
SPX, Put Option, Expires 9/15/2017, Strike Price $2,125 | 9 | $ | 15,345 | |||||
SPX, Put Option, Expires 6/16/2017, Strike Price $2,125 | 3 | 933 | ||||||
SPX, Put Option, Expires 12/15/2017, Strike Price $2,125 | 9 | 28,530 | ||||||
SPX, Put Option, Expires 3/16/2018, Strike Price $2,125 | 9 | 44,370 | ||||||
SPX, Put Option, Expires 6/15/2018, Strike Price $2,125 | 6 | 38,280 | ||||||
Total Purchased Options | ||||||||
(Cost $170,624) | $ | 127,458 |
Percentages based on Net Assets.
* | Non-income producing security. |
‡ | For the period ended April 30, 2017, the average notional value of equity purchased options held was $127,458 and the ending notional value of equity purchased options held was $127,458. |
The following is a list of the inputs used as of April 30, 2017 in valuing the Fund’s investments carried at value:
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Obligation | $ | — | $ | 2,293,261 | $ | — | $ | 2,293,261 | ||||||||
Total Investments in Securities | $ | — | $ | 2,293,261 | $ | — | $ | 2,293,261 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchased Options | $ | 127,458 | $ | — | $ | — | $ | 127,458 | ||||||||
Total Other Financial Instruments | $ | 127,458 | $ | — | $ | — | $ | 127,458 |
Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.
There have been no transfers between Level 1, Level 2 or Level 3 assets and liabilities. It is the Fund’s policy to recognize transfers into and out of all Levels at the end of the reporting period.
The accompanying notes are an integral part of the financial statements.
32
Cambria Investment Management
Statements of Assets and Liabilities
April 30, 2017
Cambria Shareholder Yield ETF | Cambria Foreign Shareholder Yield ETF | Cambria Global Value ETF | Cambria Global Momentum ETF | Cambria Global Asset Allocation ETF | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investments at Fair Value | $ | 125,408,698 | $ | 41,439,735 | $ | 112,469,304 | $ | 44,885,966 | $ | 28,344,744 | ||||||||||
Affiliated Investments at Value | — | — | — | 13,566,620 | 8,714,703 | |||||||||||||||
Foreign Currency at Value | — | 319,262 | 175,969 | — | — | |||||||||||||||
Cash and Cash Equivalents | 222,925 | 520,615 | 391,465 | 896,231 | 118,608 | |||||||||||||||
Segregated cash balances with Authorized Participants for deposit securities | — | 41,887 | — | — | — | |||||||||||||||
Dividends Receivable, Net | 96,242 | 203,430 | 347,234 | — | — | |||||||||||||||
Receivable for Capital Shares Sold | — | — | — | 1,236,036 | 1,282,151 | |||||||||||||||
Receivable for Investment Securities Sold | — | — | 13,251,197 | — | — | |||||||||||||||
Reclaims Receivable | 18,990 | 142,414 | 183,564 | — | — | |||||||||||||||
Total Assets | 125,746,855 | 42,667,343 | 126,818,733 | 60,584,853 | 38,460,206 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Payable for Investment Securities Purchased | — | — | 14,559,403 | 1,230,285 | 1,277,811 | |||||||||||||||
Payable Due to Investment Adviser | 64,525 | 20,549 | 53,238 | 26,709 | — | |||||||||||||||
Custodian Fees Payable | — | — | 15,968 | — | — | |||||||||||||||
Collateral payable upon return of deposit securities | — | 41,887 | — | — | — | |||||||||||||||
Total Liabilities | 64,525 | 62,436 | 14,628,609 | 1,256,994 | 1,277,811 | |||||||||||||||
Net Assets | $ | 125,682,330 | $ | 42,604,907 | $ | 112,190,124 | $ | 59,327,859 | $ | 37,182,395 | ||||||||||
Net Assets Consist of: | ||||||||||||||||||||
Paid-in Capital | $ | 106,424,877 | $ | 46,950,635 | $ | 115,748,111 | $ | 59,309,809 | $ | 36,529,437 | ||||||||||
Undistributed Net Investment Income | 30,016 | 348,186 | 456,029 | — | 11,732 | |||||||||||||||
Accumulated Net Realized Gain (Loss) on Unaffiliated Investments and Affiliated Investments | 117,169 | (5,004,528 | ) | (1,219,166 | ) | (3,708,778 | ) | (577,019 | ) | |||||||||||
Net Unrealized Appreciation (Depreciation) on Unaffiliated Investments and Affiliated Investments | 19,110,500 | 319,674 | (2,750,972 | ) | 3,726,828 | 1,218,245 | ||||||||||||||
Net Unrealized Depreciation on Foreign Currency Transactions | (232 | ) | (9,060 | ) | (43,878 | ) | — | — | ||||||||||||
Net Assets | $ | 125,682,330 | $ | 42,604,907 | $ | 112,190,124 | $ | 59,327,859 | $ | 37,182,395 | ||||||||||
Outstanding Shares of Beneficial Interest | ||||||||||||||||||||
(unlimited authorization — no par value) | 3,700,000 | 1,850,010 | 4,950,010 | 2,400,001 | 1,450,001 | |||||||||||||||
Net Asset Value, Offering and Redemption Price Per Share | $ | 33.97 | $ | 23.03 | $ | 22.66 | $ | 24.72 | $ | 25.64 | ||||||||||
Investments at Cost | $ | 106,298,198 | $ | 41,120,061 | $ | 115,220,276 | $ | 42,205,680 | $ | 27,892,226 | ||||||||||
Affiliated Investments at Cost | — | — | — | 12,520,078 | 7,948,976 | |||||||||||||||
Cost of Foreign Currency | — | 317,170 | 175,285 | — | — |
The accompanying notes are an integral part of the financial statements.
33
Cambria Investment Management
Statements of Assets and Liabilities
April 30, 2017
Cambria Value and Momentum ETF | Cambria Sovereign High Yield Bond ETF | Cambria Emerging Shareholder Yield ETF | Cambria Tail Risk ETF | |||||||||||||
Assets: | ||||||||||||||||
Investments at Fair Value | $ | 7,680,740 | $ | 8,015,865 | $ | 11,224,876 | $ | 2,293,261 | ||||||||
Purchased Options at Value | — | — | — | 127,458 | ||||||||||||
Foreign Currency at Value | — | 81,714 | 194,120 | — | ||||||||||||
Cash and Cash Equivalents | 269,655 | 982,883 | 1,096,503 | 43,336 | ||||||||||||
Cash at Broker | 337,835 | — | — | — | ||||||||||||
Segregated cash balances with Authorized Participants for deposit securities | — | — | 33,067 | — | ||||||||||||
Variation Margin Receivable | 8,061 | — | — | — | ||||||||||||
Dividends Receivable, Net | 1,965 | — | 4,503 | — | ||||||||||||
Receivable for Investment Securities Sold | — | 338,463 | — | — | ||||||||||||
Interest Receivable | — | 107,381 | — | 10,722 | ||||||||||||
Reclaims Receivable | — | — | 1,746 | — | ||||||||||||
Total Assets | 8,298,256 | 9,526,306 | 12,554,815 | 2,474,777 | ||||||||||||
Liabilities: | ||||||||||||||||
Payable Due to Investment Adviser | 7,364 | 4,573 | 6,020 | 974 | ||||||||||||
Custodian Fees Payable | — | — | 1,844 | — | ||||||||||||
Payable to Broker | — | — | 724,844 | — | ||||||||||||
Collateral payable upon return of deposit securities | — | — | 33,067 | — | ||||||||||||
Accrued foreign capital gains tax on appreciated securities | — | 364 | 30,251 | — | ||||||||||||
Total Liabilities | 7,364 | 4,937 | 796,026 | 974 | ||||||||||||
Net Assets | $ | 8,290,892 | $ | 9,521,369 | $ | 11,758,789 | $ | 2,473,803 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in Capital | $ | 8,328,882 | $ | 9,180,120 | $ | 10,868,583 | $ | 2,500,050 | ||||||||
Undistributed Net Investment Income | 154 | 61,457 | 46,114 | 2,278 | ||||||||||||
Accumulated Net Realized Gain (Loss) on Investments and Purchased Options | (902,028 | ) | 30,364 | (132,886 | ) | 1,002 | ||||||||||
Net Unrealized Appreciation (Depreciation) on Investments and Purchased Options | 878,634 | 248,148 | 1,006,123 | (29,527 | ) | |||||||||||
Net Unrealized Appreciation (Depreciation) on Foreign Currency Transactions | — | 1,644 | 1,106 | — | ||||||||||||
Net Unrealized Depreciation on Futures Contracts | (14,750 | ) | — | — | — | |||||||||||
Accumulated foreign capital gains tax on appreciated securities | — | (364 | ) | (30,251 | ) | — | ||||||||||
Net Assets | $ | 8,290,892 | $ | 9,521,369 | $ | 11,758,789 | $ | 2,473,803 | ||||||||
Outstanding Shares of Beneficial Interest | ||||||||||||||||
(unlimited authorization — no par value) | 350,004 | 350,000 | 400,004 | 100,002 | ||||||||||||
Net Asset Value, Offering and Redemption Price Per Share | $ | 23.69 | $ | 27.20 | $ | 29.40 | $ | 24.74 | ||||||||
Investments at Cost | $ | 6,802,106 | $ | 7,767,717 | $ | 10,218,753 | $ | 2,279,622 | ||||||||
Affiliated Investments at Cost | — | — | — | — | ||||||||||||
Cost of Purchased Options | — | — | — | 170,624 | ||||||||||||
Cost of Foreign Currency | — | 81,294 | 193,065 | — |
The accompanying notes are an integral part of the financial statements.
34
Cambria Investment Management
Statements of Operations
For the year ended April 30, 2017
Cambria Shareholder Yield ETF | Cambria Foreign Shareholder Yield ETF | Cambria Global Value ETF | Cambria Global Momentum ETF | Cambria Global Asset Allocation ETF | ||||||||||||||||
Investment Income: | ||||||||||||||||||||
Dividend Income | $ | 2,860,387 | $ | 1,364,044 | $ | 2,953,913 | $ | 657,112 | $ | 652,850 | ||||||||||
Dividend Income from Affiliated Investments | — | — | — | 78,370 | 113,574 | |||||||||||||||
Interest Income | 3,895 | 751 | 1,118 | 1,857 | 409 | |||||||||||||||
Less: Foreign Taxes Withheld | 13,578 | (93,283 | ) | (314,986 | ) | — | — | |||||||||||||
Total Investment Income | 2,877,860 | 1,271,512 | 2,640,045 | 737,339 | 766,833 | |||||||||||||||
Expenses: | ||||||||||||||||||||
Management Fees | 764,602 | 170,646 | 492,485 | 184,527 | — | |||||||||||||||
Custodian Fees | — | — | 72,190 | — | — | |||||||||||||||
Other Fees | 2,390 | — | — | — | — | |||||||||||||||
Total Expenses | 766,992 | 170,646 | 564,675 | 184,527 | — | |||||||||||||||
Net Investment Income | 2,110,868 | 1,100,866 | 2,075,370 | 552,812 | 766,833 | |||||||||||||||
Net Realized and Unrealized Gains (Losses) on Investments: | ||||||||||||||||||||
Net Realized Gain (Loss) on Unaffiliated Investments(1) | 9,915,364 | (857,118 | ) | 1,630,071 | 34,609 | (153,887 | ) | |||||||||||||
Net Realized Gain (Loss) on Affiliated Investments(1) | — | — | — | (24,201 | ) | 31,848 | ||||||||||||||
Capital Gain Distributions Received from Unaffiliated Investments | — | — | — | 1,568 | 13,111 | |||||||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | 115 | (8,615 | ) | (805 | ) | — | — | |||||||||||||
Net Change in Unrealized Appreciation on Unaffiliated Investments | 11,411,349 | 3,344,104 | 13,518,072 | 2,398,511 | 1,132,325 | |||||||||||||||
Net Change in Unrealized Appreciation on Affiliated Investments | — | — | — | 956,555 | 929,581 | |||||||||||||||
Net Change in Unrealized Depreciation on Foreign Currency Translation | (270 | ) | (7,642 | ) | (47,292 | ) | — | — | ||||||||||||
Net Realized and Unrealized Gain on Investments | 21,326,558 | 2,470,729 | 15,100,046 | 3,367,042 | 1,952,978 | |||||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 23,437,426 | $ | 3,571,595 | $ | 17,175,416 | $ | 3,919,854 | $ | 2,719,811 |
(1) | Includes realized gain as a result of in-kind transactions. (See Note 5 in Notes to Financial Statements). |
The accompanying notes are an integral part of the financial statements.
35
Cambria Investment Management
Statements of Operations
For the year or period ended April 30, 2017
Cambria Value and Momentum ETF | Cambria Sovereign High Yield Bond ETF | Cambria Emerging Shareholder Yield ETF(1) | Cambria Tail Risk ETF(2) | |||||||||||||
Investment Income: | ||||||||||||||||
Dividend Income | $ | 64,640 | $ | — | $ | 168,344 | $ | — | ||||||||
Interest Income | — | 305,318 | — | 3,252 | ||||||||||||
Less: Foreign Taxes Withheld | — | (1,097 | ) | (17,803 | ) | — | ||||||||||
Total Investment Income | 64,640 | 304,221 | 150,541 | 3,252 | ||||||||||||
Expenses: | ||||||||||||||||
Management Fees | 32,946 | 40,105 | 33,670 | 974 | ||||||||||||
Broker Expense | 3,695 | — | — | — | ||||||||||||
Custodian Fees | — | — | 5,184 | — | ||||||||||||
Total Expenses | 36,641 | 40,105 | 38,854 | 974 | ||||||||||||
Net Investment Income | 27,999 | 264,116 | 111,687 | 2,278 | ||||||||||||
Net Realized and Unrealized Gains (Losses) on Investments: | ||||||||||||||||
Net Realized Gain (Loss) on Unaffiliated Investments(3) | (37,101 | ) | 28,207 | (20,751 | ) | — | ||||||||||
Net Realized Gains on Purchased Options | — | — | — | 1,002 | ||||||||||||
Net Realized Loss on Futures Contracts | (479,165 | ) | — | — | — | |||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | — | 4,549 | (14,206 | ) | — | |||||||||||
Net Change in Unrealized Appreciation on Unaffiliated Investments | 694,366 | 46,318 | 1,006,123 | 13,639 | ||||||||||||
Net Change in Unrealized Depreciation on Purchased Options | — | — | — | (43,166 | ) | |||||||||||
Net Change in Unrealized Appreciation on Futures Contracts | 28,853 | — | — | — | ||||||||||||
Change in Accumulated Foreign Capital Gains Tax on Appreciated Securities | — | (364 | ) | (30,251 | ) | — | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Translation | — | 591 | 1,106 | — | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 206,953 | 79,301 | 942,021 | (28,525 | ) | |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 234,952 | $ | 343,417 | $ | 1,053,708 | $ | (26,247 | ) |
(1) | Commenced operations on July 14, 2016. |
(2) | Commenced operations on April 6, 2017. |
(3) | Includes realized gain or loss as a result of in-kind transactions. (See Note 5 in Notes to Financial Statements). |
The accompanying notes are an integral part of the financial statements.
36
Cambria Investment Management
Statements of Changes in Net Assets
Cambria Shareholder Yield ETF | Cambria Foreign Shareholder Yield ETF | |||||||||||||||
Year Ended April 30, 2017 | Year Ended April 30, 2016 | Year Ended April 30, 2017 | Year Ended April 30, 2016 | |||||||||||||
Operations: | ||||||||||||||||
Net Investment Income | $ | 2,110,868 | $ | 3,756,107 | $ | 1,100,866 | $ | 1,408,400 | ||||||||
Net Realized Gain (Loss) on Investments(1) | 9,915,364 | 8,220,198 | (857,118 | ) | (7,426,632 | ) | ||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | 115 | 338 | (8,615 | ) | 71,284 | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 11,411,349 | (20,357,482 | ) | 3,344,104 | 1,054,154 | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Translation | (270 | ) | 38 | (7,642 | ) | (5,776 | ) | |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 23,437,426 | (8,380,801 | ) | 3,571,595 | (4,898,570 | ) | ||||||||||
Distributions to Shareholders: | ||||||||||||||||
Investment Income | (2,080,769 | ) | (3,873,914 | ) | (683,048 | ) | (1,478,338 | ) | ||||||||
Net Realized Gains | — | (7,516,422 | ) | — | — | |||||||||||
Return of Capital | — | (176,238 | ) | — | (201,561 | ) | ||||||||||
Total Distributions to Shareholders | (2,080,769 | ) | (11,566,574 | ) | (683,048 | ) | (1,679,899 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||
Issued | 6,673,132 | 4,477,385 | 16,416,416 | — | ||||||||||||
Redeemed | (39,744,687 | ) | (74,228,527 | ) | (3,195,354 | ) | (27,620,154 | ) | ||||||||
Increase (Decrease) in Net Assets from Capital Share Transactions | (33,071,555 | ) | (69,751,142 | ) | 13,221,062 | (27,620,154 | ) | |||||||||
Total Increase (Decrease) in Net Assets | (11,714,898 | ) | (89,698,517 | ) | 16,109,609 | (34,198,623 | ) | |||||||||
Net Assets: | ||||||||||||||||
Beginning of Year | 137,397,228 | 227,095,745 | 26,495,298 | 60,693,921 | ||||||||||||
End of Year (Includes Undistributed (Distributions in Excess of) Net Investment Income of $30,016, $(198), $348,186 and $(63,752), respectively) | $ | 125,682,330 | $ | 137,397,228 | $ | 42,604,907 | $ | 26,495,298 | ||||||||
Share Transactions: | ||||||||||||||||
Issued | 200,000 | 150,000 | 750,000 | — | ||||||||||||
Redeemed | (1,300,000 | ) | (2,550,000 | ) | (150,000 | ) | (1,300,000 | ) | ||||||||
Net Increase (Decrease) in Shares Outstanding from Share Transactions | (1,100,000 | ) | (2,400,000 | ) | 600,000 | (1,300,000 | ) |
(1) | Includes realized gain as a result of in-kind transactions. (See Note 5 in Notes to Financial Statements). |
The accompanying notes are an integral part of the financial statements.
37
Cambria Investment Management
Statements of Changes in Net Assets
Cambria Global Value ETF | Cambria Global Momentum ETF | |||||||||||||||
Year Ended April 30, 2017 | Year Ended April 30, 2016 | Year Ended April 30, 2017 | Year Ended April 30, 2016 | |||||||||||||
Operations: | ||||||||||||||||
Net Investment Income | $ | 2,075,370 | $ | 1,679,970 | $ | 552,812 | $ | 403,361 | ||||||||
Net Realized Gain (Loss) on Investments(1) | 1,630,071 | (2,715,464 | ) | 10,408 | (3,572,734 | ) | ||||||||||
Net Realized Loss on Foreign Currency Transactions | (805 | ) | (234,783 | ) | — | — | ||||||||||
Capital Gain Distributions Received from Investments | — | — | 1,568 | 129,573 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Unaffiliated Investments and Affiliated Investments | 13,518,072 | (7,643,381 | ) | 3,355,066 | 183,657 | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Translation | (47,292 | ) | 234,205 | — | — | |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 17,175,416 | (8,679,453 | ) | 3,919,854 | (2,856,143 | ) | ||||||||||
Distributions to Shareholders: | ||||||||||||||||
Investment Income | (1,965,865 | ) | (1,427,287 | ) | (530,781 | ) | (449,733 | ) | ||||||||
Return of Capital | — | — | (39,767 | ) | (24,940 | ) | ||||||||||
Total Distributions to Shareholders | (1,965,865 | ) | (1,427,287 | ) | (570,548 | ) | (474,673 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||
Issued | 28,631,893 | 5,536,613 | 35,515,650 | 1,134,445 | ||||||||||||
Redeemed | (1,087,609 | ) | (6,574,021 | ) | (1,176,541 | ) | (16,725,720 | ) | ||||||||
Increase (Decrease) in Net Assets from Capital Share Transactions | 27,544,284 | (1,037,408 | ) | 34,339,109 | (15,591,275 | ) | ||||||||||
Total Increase (Decrease) in Net Assets | 42,753,835 | (11,144,148 | ) | 37,688,415 | (18,922,091 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of Year | 69,436,289 | 80,580,437 | 21,639,444 | 40,561,535 | ||||||||||||
End of Year (Includes Undistributed (Distributions in Excess of) Net Investment Income of $456,029, $346,131, $– and $(15,160), respectively) | $ | 112,190,124 | $ | 69,436,289 | $ | 59,327,859 | $ | 21,639,444 | ||||||||
Share Transactions: | ||||||||||||||||
Issued | 1,400,000 | 250,000 | 1,500,000 | 50,000 | ||||||||||||
Redeemed | (50,000 | ) | (350,000 | ) | (50,000 | ) | (700,000 | ) | ||||||||
Net Increase (Decrease) in Shares Outstanding from Share Transactions | 1,350,000 | (100,000 | ) | 1,450,000 | (650,000 | ) |
(1) | Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements). |
The accompanying notes are an integral part of the financial statements.
38
Cambria Investment Management
Statements of Changes in Net Assets
Cambria Global Asset Allocation ETF | Cambria Value and Momentum ETF | |||||||||||||||
Year Ended April 30, 2017 | Year Ended April 30, 2016 | Year Ended April 30, 2017 | Period Ended April 30, 2016(1) | |||||||||||||
Operations: | ||||||||||||||||
Net Investment Income | $ | 766,833 | $ | 758,017 | $ | 27,999 | $ | 10,552 | ||||||||
Net Realized Loss on Investments and Futures Contracts | (122,039 | )(2) | (1,218,889 | )(2) | (516,266 | ) | (361,602 | )(2) | ||||||||
Capital Gain Distributions Received from Unaffiliated and Affiliated Investments | 13,111 | 128,122 | — | — | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts | 2,061,906 | (1,411,706 | ) | 723,219 | 140,665 | |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,719,811 | (1,744,456 | ) | 234,952 | (210,385 | ) | ||||||||||
Distributions to Shareholders: | ||||||||||||||||
Investment Income | (777,368 | ) | (812,989 | ) | (28,879 | ) | (9,518 | ) | ||||||||
Net Realized Gains | — | (2,164 | ) | — | — | |||||||||||
Total Distributions to Shareholders | (777,368 | ) | (815,153 | ) | (28,879 | ) | (9,518 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||
Issued | 14,843,502 | 6,325,166 | 3,547,675 | 8,035,273 | ||||||||||||
Redeemed | (3,755,694 | ) | (11,399,910 | ) | — | (3,278,226 | ) | |||||||||
Increase (Decrease) in Net Assets from Capital Share Transactions | 11,087,808 | (5,074,744 | ) | 3,547,675 | 4,757,047 | |||||||||||
Total Increase (Decrease) in Net Assets | 13,030,251 | (7,634,353 | ) | 3,753,748 | 4,537,144 | |||||||||||
Net Assets: | ||||||||||||||||
Beginning of Year/Period | 24,152,144 | 31,786,497 | 4,537,144 | — | ||||||||||||
End of Year/Period (Includes Undistributed (Distributions in Excess of) Net Investment Income of $11,732, $—, $154 and $1,034, respectively) | $ | 37,182,395 | $ | 24,152,144 | $ | 8,290,892 | $ | 4,537,144 | ||||||||
Share Transactions: | ||||||||||||||||
Issued | 600,000 | 250,000 | 150,000 | 350,004 | ||||||||||||
Redeemed | (150,000 | ) | (500,000 | ) | — | (150,000 | ) | |||||||||
Net Increase (Decrease) in Shares Outstanding from Share Transactions | 450,000 | (250,000 | ) | 150,000 | 200,004 |
(1) | Commenced operations on September 8, 2015. |
(2) | Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements). |
The accompanying notes are an integral part of the financial statements.
39
Cambria Investment Management
Statements of Changes in Net Assets
Cambria Sovereign High Yield Bond ETF | Cambria Emerging Shareholder Yield ETF | Cambria Tail Risk ETF | ||||||||||||||
Year Ended April 30, 2017 | Period Ended April 30, 2016(1) | Period Ended April 30, 2017(2) | Period Ended April 30, 2017(3) | |||||||||||||
Operations: | ||||||||||||||||
Net Investment Income | $ | 264,116 | $ | 21,691 | $ | 111,687 | $ | 2,278 | ||||||||
Net Realized Gain (Loss) on Investments and Purchased Options | 28,207 | — | (20,751 | )(4) | 1,002 | |||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | 4,549 | 2,417 | (14,206 | ) | — | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments and Purchased Options | 46,318 | 201,830 | 1,006,123 | (29,527 | ) | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Translation | 591 | 1,053 | 1,106 | — | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Capital Tax Gains on Appreciated Securities | (364 | ) | — | (30,251 | ) | — | ||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 343,417 | 226,991 | 1,053,708 | (26,247 | ) | |||||||||||
Distributions to Shareholders: | ||||||||||||||||
Investment Income | (218,944 | ) | — | (55,329 | ) | — | ||||||||||
Net Realized Gains | (10,215 | ) | — | — | — | |||||||||||
Total Distributions to Shareholders | (229,159 | ) | — | (55,329 | ) | — | ||||||||||
Capital Share Transactions: | ||||||||||||||||
Issued | 6,666,175 | 3,822,496 | 12,207,140 | 2,500,050 | ||||||||||||
Redeemed | (1,308,551 | ) | — | (1,446,730 | ) | — | ||||||||||
Increase in Net Assets from Capital Share Transactions | 5,357,624 | 3,822,496 | 10,760,410 | 2,500,050 | ||||||||||||
Total Increase in Net Assets | 5,471,882 | 4,049,487 | 11,758,789 | 2,473,803 | ||||||||||||
Net Assets: | ||||||||||||||||
Beginning of Year/Period | 4,049,487 | — | — | — | ||||||||||||
End of Year/Period (Includes Undistributed Net Investment Income of $61,457, $24,108, $46,114 and $2,278, respectively) | $ | 9,521,369 | $ | 4,049,487 | $ | 11,758,789 | $ | 2,473,803 | ||||||||
Share Transactions: | ||||||||||||||||
Issued | 250,000 | 150,000 | 450,004 | 100,002 | ||||||||||||
Redeemed | (50,000 | ) | — | (50,000 | ) | — | ||||||||||
Net Increase in Shares Outstanding from Share Transactions | 200,000 | 150,000 | 400,004 | 100,002 |
(1) | Commenced operations on February 22, 2016. |
(2) | Commenced operations on July 14, 2016. |
(3) | Commenced operations on April 6, 2017. |
(4) | Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements). |
The accompanying notes are an integral part of the financial statements.
40
Cambria Investment Management
Financial Highlights
Selected Per Share Data & Ratios
For a Share Outstanding Throughout the Period
For a Share Outstanding Throughout the Period
Net Asset Value, Beginning of Period | Net Investment Income* | Net Realized and Unrealized Gain (Loss) on Investments | Total from Operations | Distributions from Investment Income | Distributions from Net Realized Capital Gains | Return of Capital | Total Distributions | Net Asset Value, End of Period | Total Return(1) | Net Assets End of Period (000) | Ratio of Expenses to Average Net Assets(2) | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover(1)(3) | |||||||||||||||||||||||||||||||||||||||||||
Cambria Shareholder Yield ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 28.62 | $ | 0.50 | $ | 5.35 | $ | 5.85 | $ | (0.50 | ) | $ | — | $ | — | $ | (0.50 | ) | $ | 33.97 | 20.62 | % | $ | 125,682 | 0.59 | % | 1.63 | % | 50 | % | ||||||||||||||||||||||||||
2016 | $ | 31.54 | $ | 0.64 | $ | (1.45 | ) | $ | (0.81 | ) | $ | (0.69 | ) | $ | (1.39 | ) | $ | (0.03 | ) | $ | (2.11 | ) | $ | 28.62 | (2.59 | )% | $ | 137,397 | 0.59 | % | 2.10 | % | 43 | % | ||||||||||||||||||||||
2015 | $ | 29.95 | $ | 0.65 | $ | 2.29 | $ | 2.94 | $ | (0.55 | ) | $ | (0.80 | ) | $ | — | $ | (1.35 | ) | $ | 31.54 | 9.92 | % | $ | 227,096 | 0.59 | % | 2.09 | % | 41 | % | |||||||||||||||||||||||||
2014(4) | $ | 25.00 | $ | 0.45 | $ | 4.98 | $ | 5.43 | $ | (0.36 | ) | $ | (0.12 | ) | $ | — | $ | (0.48 | ) | $ | 29.95 | 21.81 | % | $ | 205,156 | 0.59 | %(5) | 1.67 | %(5) | 89 | % | |||||||||||||||||||||||||
Cambria Foreign Shareholder Yield ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 21.20 | $ | 0.81 | $ | 1.59 | $ | 2.40 | $ | (0.57 | ) | $ | — | $ | — | $ | (0.57 | ) | $ | 23.03 | 11.93 | % | $ | 42,605 | 0.59 | % | 3.80 | % | 43 | % | ||||||||||||||||||||||||||
2016 | $ | 23.80 | $ | 0.81 | $ | (2.61 | ) | $ | (1.80 | ) | $ | (0.68 | ) | $ | — | $ | (0.12 | ) | $ | (0.80 | ) | $ | 21.20 | (7.67 | )% | $ | 26,495 | 0.59 | % | 3.83 | % | 53 | % | |||||||||||||||||||||||
2015 | $ | 26.63 | $ | 0.93 | $ | (2.70 | ) | $ | (1.77 | ) | $ | (0.77 | ) | $ | (0.29 | ) | $ | — | $ | (1.06 | ) | $ | 23.80 | (6.67 | )% | $ | 60,694 | 0.59 | % | 3.76 | % | 48 | % | |||||||||||||||||||||||
2014(6) | $ | 25.00 | $ | 0.41 | $ | 1.33 | $ | 1.74 | $ | (0.11 | ) | $ | — | $ | — | $ | (0.11 | ) | $ | 26.63 | 6.96 | % | $ | 66,572 | 0.59 | %(5) | 3.91 | %(5) | 15 | % | ||||||||||||||||||||||||||
Cambria Global Value ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 19.29 | $ | 0.50 | $ | 3.38 | $ | 3.88 | $ | (0.51 | ) | $ | — | $ | — | $ | (0.51 | ) | $ | 22.66 | 20.85 | % | $ | 112,190 | 0.68 | % | 2.48 | % | 16 | % | ||||||||||||||||||||||||||
2016 | $ | 21.78 | $ | 0.45 | $ | (2.57 | ) | $ | (2.12 | ) | $ | (0.37 | ) | $ | — | $ | — | $ | (0.37 | ) | $ | 19.29 | (9.76 | )% | $ | 69,436 | 0.69 | % | 2.36 | % | 15 | % | ||||||||||||||||||||||||
2015 | $ | 25.73 | $ | 0.68 | $ | (4.10 | ) | $ | (3.42 | ) | $ | (0.52 | ) | $ | (0.01 | ) | $ | — | $ | (0.53 | ) | $ | 21.78 | (13.29 | )% | $ | 80,580 | 0.69 | % | 3.10 | % | 25 | % | |||||||||||||||||||||||
2014(7) | $ | 25.00 | $ | 0.14 | $ | 0.59 | $ | 0.73 | $ | — | $ | — | $ | — | $ | — | $ | 25.73 | 2.92 | % | $ | 23,160 | 0.69 | %(5) | 4.11 | %(5) | — | % | ||||||||||||||||||||||||||||
Cambria Global Momentum ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 22.78 | $ | 0.42 | $ | 1.95 | $ | 2.37 | $ | (0.40 | ) | $ | — | $ | (0.03 | ) | $ | (0.43 | ) | $ | 24.72 | 10.52 | % | $ | 59,328 | 0.59 | % | 1.77 | % | 106 | % | |||||||||||||||||||||||||
2016 | $ | 25.35 | $ | 0.34 | $ | (2.51 | ) | $ | (2.17 | ) | $ | (0.38 | ) | $ | — | $ | (0.02 | ) | $ | (0.40 | ) | $ | 22.78 | (8.61 | )% | $ | 21,639 | 0.59 | % | 1.43 | % | 316 | % | |||||||||||||||||||||||
2015(8) | $ | 25.00 | $ | 0.30 | $ | 0.39 | $ | 0.69 | $ | (0.34 | ) | $ | — | $ | — | $ | (0.34 | ) | $ | 25.35 | 2.76 | % | $ | 40,562 | 0.59 | %(5) | 2.40 | %(5) | 16 | % |
* | Per share data calculated using average shares method. |
(1) | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of Fund shares. |
(2) | Expense ratios do not include expenses of the underlying funds. |
(3) | Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions. |
(4) | Inception date May 13, 2013. |
(5) | Annualized. |
(6) | Inception date December 2, 2013. |
(7) | Inception date March 11, 2014. |
(8) | Inception date November 3, 2014. |
The accompanying notes are an integral part of the financial statements.
41
Cambria Investment Management
Financial Highlights
Selected Per Share Data & Ratios
For a Share Outstanding Throughout the Period
For a Share Outstanding Throughout the Period
Net Asset Value, Beginning of Period | Net Investment Income* | Net Realized and Unrealized Gain (Loss) on Investments | Total from Operations | Distributions from Investment Income | Distributions from Net Realized Capital Gains | Total Distributions | Net Asset Value, End of Period | Total Return(1) | Net Assets End of Period (000) | Ratio of Expenses to Average Net Assets(2) | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover(1)(3) | ||||||||||||||||||||||||||||||||||||||||
Cambria Global Asset Allocation ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 24.15 | $ | 0.65 | $ | 1.51 | $ | 2.16 | $ | (0.67 | ) | $ | — | $ | (0.67 | ) | $ | 25.64 | 9.08 | % | $ | 37,182 | — | % | 2.60 | % | 9 | % | ||||||||||||||||||||||||
2016 | $ | 25.43 | $ | 0.58 | $ | (1.26 | ) | $ | (0.68 | ) | $ | (0.60 | ) | $ | — | $ | (0.60 | ) | $ | 24.15 | (2.58 | )% | $ | 24,152 | — | % | 2.44 | % | 8 | % | ||||||||||||||||||||||
2015(4) | $ | 25.00 | $ | 0.18 | $ | 0.46 | $ | 0.64 | $ | (0.21 | ) | $ | — | $ | (0.21 | ) | $ | 25.43 | 2.58 | % | $ | 31,786 | — | %(5) | 1.81 | %(5) | 4 | % | ||||||||||||||||||||||||
Cambria Value and Momentum ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 22.69 | $ | 0.12 | $ | 1.01 | $ | 1.13 | $ | (0.13 | ) | $ | — | $ | (0.13 | ) | $ | 23.69 | 4.98 | % | $ | 8,291 | 0.66 | %(6) | 0.50 | % | 76 | % | ||||||||||||||||||||||||
2016(7) | $ | 25.00 | $ | 0.08 | $ | (2.32 | ) | $ | (2.24 | ) | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 22.69 | (8.96 | )% | $ | 4,537 | 0.66 | %(5)(6) | 0.55 | %(5) | 48 | % | ||||||||||||||||||||||
Cambria Sovereign High Yield Bond ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | $ | 26.99 | $ | 1.04 | $ | 0.14 | $ | 1.18 | $ | (0.93 | ) | $ | (0.04 | ) | $ | (0.97 | ) | $ | 27.20 | 4.51 | % | $ | 9,521 | 0.59 | % | 3.88 | % | 86 | % | |||||||||||||||||||||||
2016(8) | $ | 25.00 | $ | 0.19 | $ | 1.80 | $ | 1.99 | $ | — | $ | — | $ | — | $ | 26.99 | 7.96 | % | $ | 4,049 | 0.59 | %(5) | 3.82 | %(5) | — | % | ||||||||||||||||||||||||||
Cambria Emerging Shareholder Yield ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2017(9) | $ | 25.00 | $ | 0.43 | $ | 4.18 | $ | 4.61 | $ | (0.21 | ) | $ | — | $ | (0.21 | ) | $ | 29.40 | 18.57 | % | $ | 11,759 | 0.69 | %(5) | 2.00 | %(5) | 33 | % | ||||||||||||||||||||||||
Cambria Tail Risk ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2017(10) | $ | 25.00 | $ | 0.02 | $ | (0.28 | ) | $ | (0.26 | ) | $ | — | $ | — | $ | — | $ | 24.74 | (1.04 | )% | $ | 2,474 | 0.59 | %(5) | 1.38 | %(5) | — | % |
* | Per share data calculated using average shares method. |
(1) | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of Fund shares. |
(2) | Expense ratios do not include expenses of the underlying funds. |
(3) | Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions. |
(4) | Inception date December 9, 2014. |
(5) | Annualized. |
(6) | Includes broker expense of 0.07%. |
(7) | Inception date September 8, 2015. |
(8) | Inception date February 22, 2016. |
(9) | Inception date July 13, 2016. |
(10) | Inception date April 5, 2017. |
The accompanying notes are an integral part of the financial statements.
42
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017
1. ORGANIZATION
Cambria ETF Trust (the “Trust”), a Delaware statutory trust, was formed on September 9, 2011 as a diversified, open-end registered management investment company under the Investment Company Act of 1940, as amended. The Trust is comprised of multiple Exchange Traded Funds (ETFs): Cambria Global Income and Currency Strategies ETF, Cambria Shareholder Yield ETF, Cambria Foreign Shareholder Yield ETF, Cambria Emerging Shareholder Yield ETF, Cambria Sovereign High Yield Bond ETF, Cambria Global Value ETF, Cambria Global Momentum ETF, Cambria Value and Momentum ETF, Cambria Global Asset Allocation ETF, Cambria Tail Risk ETF and Dhandho Junoon ETF. These financial statements relate only to Cambria Shareholder Yield ETF, Cambria Foreign Shareholder Yield ETF, Cambria Global Value ETF, Cambria Global Momentum ETF, Cambria Global Asset Allocation ETF, Cambria Value and Momentum ETF, Cambria Sovereign High Yield Bond ETF, Cambria Emerging Shareholder Yield ETF, and Cambria Tail Risk ETF (each a “Fund” and collectively, the “Funds”). Financial statements for Dhandho Junoon ETF are separate. Cambria Global Income and Currency Strategies ETF has not yet commenced operations. Cambria Investment Management, L.P. (the “Investment Adviser”) serves as the investment adviser to the Funds. The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. Each Fund is diversified.
The investment objective of the Cambria Shareholder Yield ETF is to seek income and capital appreciation with an emphasis on income from investments in the U.S. equity market. The Fund inception date is May 13, 2013. The Fund commenced operations on May 14, 2013.
The investment objective of the Cambria Foreign Shareholder Yield ETF is to seek investment results that correspond (before fees and expenses) generally to the price and yield performance of its underlying index, the Cambria Foreign Shareholder Yield Index. The Fund inception date is December 2, 2013. The Fund commenced operations on December 3, 2013.
The investment objective of the Cambria Global Value ETF is to seek investment results that correspond (before fees and expenses) generally to the price and yield performance of its underlying index, the Cambria Global Value Index. The Fund inception date is March 11, 2014. The Fund commenced operations on March 12, 2014.
The investment objective of the Cambria Global Momentum ETF is to seek to preserve and grow capital from investments in the U.S. and foreign equity, fixed income, commodity and currency markets, independent of market direction. The Fund inception date is November 3, 2014. The Fund commenced operations on November 4, 2014.
The investment objective of the Cambria Global Asset Allocation ETF is to seek to track performance (before fees and expenses) of the Cambria Global Asset Allocation Index. The Fund inception date is December 9, 2014. The Fund commenced operations on December 10, 2014.
The investment objective of the Cambria Value and Momentum ETF is to seek income and capital appreciation from investments in the U.S. equity market. The Fund inception date is September 8, 2015. The Fund commenced operations on September 9, 2015.
The investment objective of the Cambria Sovereign High Yield Bond ETF is to seek income and capital appreciation from investments in securities and instruments that provide exposure to sovereign and quasi-sovereign bonds. The Fund inception date is February 22, 2016. The Fund commenced operations on February 23, 2016.
The investment objective of the Cambria Emerging Shareholder Yield ETF is to seek investment results that correspond (before fees and expenses) generally to the price and yield performance of its underlying index, the Cambria Emerging Shareholder Yield Index. The Fund inception date is July 13, 2016. The Fund commenced operations on July 14, 2016.
The investment objective of the Cambria Tail Risk ETF is to provide income and capital appreciation from investments in the U.S. market while protecting against significant downside risk. The Fund inception date is April 5, 2017. The Fund commenced operations on April 6, 2017.
43
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Continued)
1. ORGANIZATION (continued)
Shares of the Funds are listed and traded on the NYSE Arca, Inc. Market prices for the Shares may be different from their net asset value (“NAV”). The Funds will issue and redeem Shares on a continuous basis at NAV only in large blocks of Shares, typically 50,000 Shares, called “Creation Units.” Creation Units are to be issued and redeemed principally in kind for a basket of securities and a balancing cash amount. Shares generally will trade in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day.
The Funds are an investment company and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the Significant Accounting Policies followed by the Funds.
Use of Estimates — The Funds are investment companies in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”).Therefore, the Funds follow the accounting and reporting guidance for investment companies. The preparation of financial statements in conformity with U.S.GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates, and could have a material impact to the Funds.
Security Valuation — Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ), including securities traded over the counter, are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded (or at approximately 4:00 pm Eastern Time if a security’s primary exchange is normally open at that time), or, if there is no such reported sale, at the most recent quoted bid.
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 its 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
44
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Continued)
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
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 Funds have 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 year or period ended April 30, 2017, 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 Statements 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. These gains and losses are included in net realized and unrealized gains and losses on foreign currency transactions on the Statements of Operations.
Futures Contracts — To the extent consistent with its investment objective and strategies, Cambria Value and Momentum ETF utilized futures contracts during the year ended April 30, 2017. The Fund’s investment in futures contracts are designed to enable the Fund to more closely approximate the performance of their benchmark indices. Cambria Value and Momentum ETF chose to invest in futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, Cambria Value and Momentum ETF records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. A margin deposit was made upon entering into futures contracts and is included in Cash at Broker on the Statements of Assets and Liabilities.
Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that Cambria Value and Momentum ETF could lose more than the original margin deposit required to initiate a futures transaction.
Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities.
45
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Continued)
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
It is the Fund’s policy to present the gross variation margin payable and the gross variation margin receivable of the future contracts separately on the Statements of Assets and Liabilities, as Cambria Value and Momentum ETF does not have a master netting agreement with the counterparty to the futures contracts. Refer to the Cambria Value and Momentum ETF Schedule of Investments for details regarding open future contracts as of April 30, 2017. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. Cumulative appreciation (depreciation) of futures contracts are reported in the Cambria Value and Momentum ETF Schedule of Investments. Realized gains or losses on equity rate futures contracts related to the Fund is recognized on the Statement of Operations as part of Net Realized Gain (Loss) on Futures Contracts and any change in unrealized appreciation or depreciation is recognized on the Statements of Operations as Net Change in Unrealized Gain (Loss) on Futures Contracts.
Options — The Cambria Tail Risk ETF may purchase put and call options on securities. A put option on a security gives the purchaser of the option the right (but not the obligation) to sell, and the writer of the option the obligation to buy, the underlying security at a stated price (the “exercise price”) at any time before the option expires. A call option on a security gives the purchaser the right (but not the obligation) to buy, and the writer the obligation to sell, the underlying security at the exercise price at any time before the option expires. The purchase price for a put or call option is the “premium” paid by the purchaser for the right to sell or buy. The Cambria Tail Risk ETF may purchase put options to hedge against a decline in the value of its portfolio. By using put options in this way, the Fund would reduce any profit it might otherwise have realized in the underlying security by the amount of the premium paid for the put option and by transaction costs. In similar fashion, the Cambria Tail Risk ETF may purchase call options to protect against an increase in the price of securities that the Fund anticipates purchasing in the future, a practice sometimes referred to as “anticipatory hedging.” The premium paid for the call option plus any transaction costs will reduce the benefit, if any, realized by the Cambria Tail Risk ETF upon exercise of the option, and, unless the price of the underlying security rises sufficiently, the option may expire unexercised. Refer to the Cambria Tail Risk ETF Schedule of Investments for details regarding option contracts as of April 30, 2017. Realized gains or losses on purchased options related to the Fund is recognized on the Statement of Operations as part of Net Realized Gain (Loss) On Purchased Options and any change in unrealized appreciation or depreciation is recognized on the Statement of Operations as Net Change in Unrealized Appreciation (Depreciation) on Purchased Options.
Federal Income Taxes — The Funds selected a tax year end of April 30, 2017, other than the Cambria Sovereign High Yield Bond ETF, which has selected a tax year end of May 31, 2017. 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 period.
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 year or period ended April 30, 2017, 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 Statements of Operations. During the period, the Funds did not incur any interest or penalties.
46
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Continued)
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
Offering Expenses — All offering expenses of the Trust were borne by the Investment Adviser and are not subject to future recoupment. As a result, organizational and offering expenses are not reflected in the Statements of Assets and Liabilities.
Expenses — Expenses included in the accompanying financial statements reflect the expenses of each Fund and do not include any expenses associated with the underlying funds.
Security Transactions and Investment Income — Security transactions are accounted for on trade date. Dividend income received from the underlying funds is recognized on the ex-dividend date and is recorded as income distributions in the Statements of Operations. Capital gain distributions received from the underlying funds are recognized on ex-dividend date and are recorded on the Statements of Operations as such. Costs used in determining realized gains and losses on the sales of investment securities are on the basis of specific identification. Dividend income is recorded on the ex-dividend date. Interest income is recognized on the accrual basis. Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income. Withholding taxes on foreign dividends have been provided for in accordance with the Funds’ understanding of the applicable country’s tax rules and regulations.
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.
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.
The Distributor has entered into Participant Agreements with certain broker-dealers and others that allow those parties to be Authorized Participants and to subscribe for and redeem shares of the Funds. Such Authorized Participants may from time to time hold, of record or beneficially, a substantial percentage of the Funds’ shares outstanding, act as executing or clearing broker for investment transactions on behalf of the Fund and/or serve as counterparty to derivative transactions with the Fund.
Except when aggregated in Creation Units, shares are not redeemable securities of a Fund. Shares of the Funds 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 Funds. 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.
47
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Continued)
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
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 year or period ended April 30, 2017:
Creation Unit Shares | Transaction Fee | Value | Redemption Fee | Variable Charge | |||||||||||||
Cambria Shareholder Yield ETF | 50,000 | $ | 700 | $ | 1,698,500 | $ | 700 | None | |||||||||
Cambria Foreign Shareholder Yield ETF | 50,000 | 2,000 | 1,151,500 | 2,000 | Up to 2.0% | ||||||||||||
Cambria Global Value ETF | 50,000 | 3,500 | 1,133,000 | 3,500 | Up to 2.0% | ||||||||||||
Cambria Global Momentum ETF | 50,000 | 500 | 1,236,000 | 500 | Up to 2.0% | ||||||||||||
Cambria Global Asset Allocation ETF | 50,000 | 500 | 1,282,000 | 500 | None | ||||||||||||
Cambria Value and Momentum ETF | 50,000 | 700 | 1,184,500 | 700 | None | ||||||||||||
Cambria Sovereign High Yield Bond ETF | 50,000 | 550 | 1,360,000 | 550 | Up to 2.0% | ||||||||||||
Cambria Emerging Shareholder Yield ETF | 50,000 | 3,500 | 1,470,000 | 3,500 | Up to 2.0% | ||||||||||||
Cambria Tail Risk ETF | 50,000 | 500 | 1,237,000 | 500 | None |
To the extent the Funds permit the contribution of securities in exchange for the purchase of shares (contribution in-kind), shares may be issued in advance of receipt by the Funds of all or a portion of the applicable Deposit Securities. In these circumstances, the Funds may require the Authorized Participant to maintain with the Trust 115% of the daily mark-to-market value of the Deposit Securities.
Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.
Information concerning illiquid securities is as follows:
Cambria Global Value ETF
Security | Shares | Dates Acquired | Cost Basis | ||||||
Banco Espirito Santo | 318,087 | 3/11/14 | $ | 449,606 | |||||
BANIF - Banco Internacional do Funchal | 60,980,850 | 3/11/14(1) | 747,095 |
(1) | Purchased on various dates beginning on 3/11/14. |
Cambria Emerging Shareholder Yield ETF
Security | Shares | Dates Acquired | Cost Basis | ||||||
Weiqiao Textile | 82,500 | 7/13/16(1) | $ | 63,842 |
(1) | Purchased on various dates beginning on 3/11/14. |
48
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Continued)
3. OFFSETTING ASSETS AND LIABILITIES
The Funds are required to disclose the impact of offsetting assets and liabilities represented in the statements of assets and liabilities to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities are financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of setoff criteria: the amounts owed by the Funds to another party are determinable, the Funds has the right to set off the amounts owed with the amounts owed by the other party, the Funds intends to set off, and the Funds right of setoff is enforceable at law.
As of April 30, 2017, the Funds financial instruments and derivative instruments are not subject to a master netting arrangement.
4. 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 each Fund’s 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%, excluding the Cambria Global Asset Allocation ETF which is not charged an advisory fee. This allows the cost-conscious investor to hold a diversified, low cost asset allocation portfolio in the Cambria Global Asset Allocation ETF.
With respect to each fund, except the Cambria Global Value ETF and Cambria Emerging Shareholder Yield ETF, the Investment Adviser bears all of the costs of the Funds except for the advisory fee, payments under each Fund’s 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 and Cambria Emerging Shareholder Yield ETF, the Investment Adviser bears all of the costs of each 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 and Cambria Emerging Shareholder Yield 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.
Additionally, the Investment Adviser earned $33,763 in management fees from the Cambria Global Momentum ETF related to the Fund’s investment in affiliated funds, Cambria Shareholder Yield ETF, Cambria Foreign Shareholder Yield ETF, Cambria Global Value ETF, Cambria Sovereign High Yield Bond ETF and Cambria Emerging Shareholder Yield ETF.
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 & Co. (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.
49
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Continued)
4. RELATED PARTIES (continued)
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.
Certain officers and trustees of the Funds are officers/employees of the Investment Adviser or the Administrator.
5. INVESTMENT TRANSACTIONS
For the year or period ended April 30, 2017, the purchases and sales of investments in securities excluding in-kind transactions, long-term U.S. Government and short-term securities were:
Purchases | Sales and Maturities | |||||||
Cambria Shareholder Yield ETF | $ | 66,236,393 | $ | 64,019,877 | ||||
Cambria Foreign Shareholder Yield ETF | 13,624,771 | 12,277,647 | ||||||
Cambria Global Value ETF | 19,609,934 | 13,658,444 | ||||||
Cambria Global Momentum ETF | 35,468,081 | 33,238,043 | ||||||
Cambria Global Asset Allocation ETF | 2,570,800 | 2,650,133 | ||||||
Cambria Value and Momentum ETF | 3,961,860 | 4,286,574 | ||||||
Cambria Sovereign High Yield Bond ETF | 7,879,298 | 4,491,246 | ||||||
Cambria Emerging Shareholder Yield ETF(1) | 8,546,755 | 2,412,606 | ||||||
Cambria Tail Risk ETF(2) | 2,329,268 | — |
(1) | The Fund commenced operations on July 14, 2016. |
(2) | The Fund commenced operations on April 6, 2017. |
For the year or period ended April 30, 2017 there were no purchases and sales of U.S. Government securities.
For the year or period ended April 30, 2017, in-kind transactions associated with creations and redemptions were:
Purchases | Sales and Maturities | Net Realized Gain (Loss) | ||||||||||
Cambria Shareholder Yield ETF | $ | 6,568,189 | $ | 39,302,674 | $ | 5,507,419 | ||||||
Cambria Foreign Shareholder Yield ETF | 16,286,102 | 3,106,749 | 28,648 | |||||||||
Cambria Global Value ETF | 25,286,996 | 971,685 | 235,207 | |||||||||
Cambria Global Momentum ETF | 35,311,850 | 1,146,097 | 54,612 | |||||||||
Cambria Global Asset Allocation ETF | 14,780,563 | 3,735,247 | 156,745 | |||||||||
Cambria Value and Momentum ETF | 3,238,094 | — | — | |||||||||
Cambria Sovereign High Yield Bond ETF | — | — | — | |||||||||
Cambria Emerging Shareholder Yield ETF(1) | 4,824,337 | 718,982 | 110,390 | |||||||||
Cambria Tail Risk ETF(2) | — | — | — |
(1) | The Fund commenced operations on July 14, 2016. |
(2) The Fund commenced operations on April 6, 2017.
50
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Continued)
5. INVESTMENT TRANSACTIONS (continued)
The following is a summary of investment transactions in affiliates for the year ended April 30, 2017:
Cambria Global Momentum ETF | ||||||||||||||||||||||||||
Value of Shares Held as of 04/30/16 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value of Shares Held as of 04/30/17 | Dividend Income | ||||||||||||||||||||
Cambria Emerging Shareholder Yield ETF(1) | ||||||||||||||||||||||||||
$ | — | $ | 3,619,208 | $ | (81,473 | ) | $ | 330,746 | $ | (1,272 | ) | $ | 3,867,209 | $ | 18,230 | |||||||||||
Cambria Foreign Shareholder Yield ETF | ||||||||||||||||||||||||||
$ | — | $ | 2,879,006 | $ | — | $ | 250,612 | $ | — | $ | 3,129,618 | $ | — | |||||||||||||
Cambria Global Value ETF | ||||||||||||||||||||||||||
$ | — | $ | 4,418,494 | $ | (1,209,747 | ) | $ | 370,254 | $ | (12,258 | ) | $ | 3,566,743 | $ | 7,848 | |||||||||||
Cambria Shareholder Yield ETF | ||||||||||||||||||||||||||
$ | — | $ | 4,124,479 | $ | (1,171,006 | ) | $ | 94,930 | $ | (45,353 | ) | $ | 3,003,050 | $ | 24,506 | |||||||||||
Cambria Sovereign High Yield Bond ETF | ||||||||||||||||||||||||||
$ | 1,185,431 | $ | 708,907 | $ | (1,839,033 | ) | $ | (89,987 | ) | $ | 34,682 | $ | — | $ | 27,786 | |||||||||||
Cambria Global Asset Allocation ETF | ||||||||||||||||||||||||||
Value of Shares Held as of 04/30/16 | Purchases at Cost | Proceeds from Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value of Shares Held as of 04/30/17 | Dividend Income | ||||||||||||||||||||
Cambria Emerging Shareholder Yield ETF(1) | ||||||||||||||||||||||||||
$ | — | $ | 3,812,047 | $ | (359,873 | ) | $ | 488,978 | $ | 9,344 | $ | 3,950,496 | $ | 22,512 | ||||||||||||
Cambria Foreign Shareholder Yield ETF | ||||||||||||||||||||||||||
$ | 446,609 | $ | 272,738 | $ | (66,852 | ) | $ | 66,093 | $ | 1,049 | $ | 719,637 | $ | 13,493 | ||||||||||||
Cambria Global Value ETF | ||||||||||||||||||||||||||
$ | 909,385 | $ | 569,621 | $ | (138,437 | ) | $ | 210,451 | $ | 7,107 | $ | 1,558,127 | $ | 27,033 | ||||||||||||
Cambria Shareholder Yield ETF | ||||||||||||||||||||||||||
$ | 673,580 | $ | 443,535 | $ | (106,355 | ) | $ | 146,678 | $ | 4,070 | $ | 1,161,508 | $ | 13,100 | ||||||||||||
Cambria Sovereign High Yield Bond ETF | ||||||||||||||||||||||||||
$ | 902,887 | $ | 534,274 | $ | (139,885 | ) | $ | 17,381 | $ | 10,278 | $ | 1,324,935 | $ | 37,436 |
(1) | The Fund commenced operations on July 14, 2016. |
51
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Continued)
6. PRINCIPAL RISKS
As with all exchange traded funds (‘‘ETFs’’), shareholders of the Funds are subject to the risk that their investment could lose money. The Funds are subject to certain principal risks noted below, as noted in their prospectus, 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.
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, Cambria Global Momentum ETF, Cambria Value and Momentum ETF, Cambria Sovereign High Yield Bond ETF and Cambria Tail Risk ETF (the “Active Funds”) are actively managed using proprietary investment strategies and processes. The Cambria Foreign Shareholder Yield ETF, Cambria Global Value ETF, Cambria Global Asset Allocation ETF and Cambria Emerging Shareholder Yield ETF (the “Index Funds”) 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 could be more volatile than, or trail the returns on, investments in U.S. securities. Investments in or exposures to foreign securities by each Fund 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.
Exchange-Traded Funds and Exchange-Traded Products and Investment Companies Risk — The risks of investing in securities of ETFs, ETPs and investment companies typically reflect the risks of the types of instruments in which the underlying ETF, ETP or investment company invests. In addition, with such investments, the Funds bear its proportionate share of the fees and expenses of the underlying entity. As a result, the Funds’ operating expenses may be higher and performance may be lower.
Non-Correlation Risk — The returns of the Index Funds may not match the return of their Underlying Indexes for a number of reasons. For example, each Index Fund incurs operating expenses not applicable to the Underlying Index, and incurs costs in buying and selling securities, especially when rebalancing the Index Fund’s securities holdings to reflect changes in the composition of its Underlying Index. In addition, the performance of each Index Fund and its Underlying Index may vary due to asset valuation differences and differences between each Index Fund’s portfolio and its Underlying Index resulting from legal restrictions, cost or liquidity constraints.
Index Risk — Unlike many investment companies, the Index Funds do not utilize an investing strategy that seeks returns in excess of each Fund’s respective Underlying Index. Therefore, an Index 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.
52
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Continued)
6. PRINCIPAL RISKS (continued)
Cash and Cash Equivalents — Cash and cash equivalents may consist of cash balances and time deposits maintained or held at Brown Brothers Harriman. Such amounts may be in excess of Federal Deposit Insurance Corporation limitations.
Futures Contracts Risk — Risks associated with the use of futures contracts include the following: (i) an imperfect correlation between movements in prices of index futures contracts and movements in the value of the stock index that the instrument is designed to simulate; and (ii) the possibility of an illiquid secondary market for a futures contract and the resulting inability to close a position prior to its maturity date. Investments in futures may expose the Fund to leverage.
Fixed Income Risk — A decline in an issuer’s credit rating may cause a decrease in the value of its fixed income securities and an increase in their investment risk and volatility. During periods of falling interest rates, an issuer of a callable bond held by the Funds may “call” (or repay) the security before its stated maturity, and the Funds may have to reinvest the proceeds at lower interest rates, resulting in a decline in the Funds’ income. The market value of fixed income securities generally changes in response to changes in interest rates. As interest rates rise, the value of certain fixed income securities is likely to decrease. Similarly, if interest rates decline, the value of fixed income securities is likely to increase.
High Yield Securities Risk — High yield securities and unrated securities of comparable credit quality are subject to the increased risk of an issuer’s inability to meet principal and interest payment obligations in the Funds. High yield securities are subject to a greater risk of default and investments in them are inherently speculative. The secondary markets in which high yield securities are traded may be less liquid and more volatile than the market for higher grade securities.
Sovereign Debt Securities Risk — Investments in sovereign and quasi-sovereign debt obligations involve special risks not present in corporate debt obligations. The issuer of the sovereign debt or the authorities that control the repayment of the debt may be unable or unwilling to repay principal or interest when due, and the Sovereign High Yield Bond ETF may have limited recourse in the event of a default. During periods of economic uncertainty, the market prices of sovereign debt, and the Sovereign High Yield Bond ETF’s net asset value, may be more volatile than prices of U.S. debt obligations. In the past, certain non-U.S. markets have encountered difficulties in servicing their debt obligations, withheld payments of principal and interest and declared moratoria on the payment of principal and interest on their sovereign debts.
Options Risk — The value of the Fund’s positions in options fluctuates in response to changes in the value of the underlying index. The Fund also risks losing all or part of the cash paid for purchasing put options. Because the Cambria Tail Risk ETF only purchases put options, the Fund’s losses from its exposure to put options is limited to the amount of premiums paid to the option seller.
7. 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.
53
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Continued)
8. 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.
Accordingly, the following permanent differences which are primarily attributable to partnership adjustments, reclassification of distributions paid and received, reallocation of dividend incomes from underlying funds, certain foreign currency related transactions, redemptions in-kind and sale of passive foreign investment companies, have been reclassified to/from the following accounts.
Paid-in Capital | Undistributed Net Investment Income (Loss) | Accumulated Net Realized Loss | ||||||||||
Cambria Shareholder Yield ETF | $ | 5,597,858 | $ | 115 | $ | (5,597,973 | ) | |||||
Cambria Foreign Shareholder Yield ETF | 25,913 | (5,880 | ) | (20,033 | ) | |||||||
Cambria Global Value ETF | 234,009 | 393 | (234,402 | ) | ||||||||
Cambria Global Momentum ETF | 55,227 | (6,871 | ) | (48,356 | ) | |||||||
Cambria Global Asset Allocation ETF | 158,641 | 22,267 | (180,908 | ) | ||||||||
Cambria Value and Momentum ETF | — | — | — | |||||||||
Cambria Sovereign High Yield Bond ETF | — | (7,823 | ) | 7,823 | ||||||||
Cambria Emerging Shareholder Yield ETF | 108,173 | (10,244 | ) | (97,929 | ) | |||||||
Cambria Tail Risk ETF | — | — | — |
These reclassifications had no impact on the net assets or the net asset value per share of the Funds.
54
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Continued)
8. INCOME TAXES (continued)
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:
Ordinary Income | Long-Term Capital Gain | Return of Capital | Totals | |||||||||||||
Cambria Shareholder Yield ETF | ||||||||||||||||
2017 | $ | 2,080,769 | $ | — | $ | — | $ | 2,080,769 | ||||||||
2016 | 3,914,264 | 7,476,072 | 176,238 | 11,566,574 | ||||||||||||
Cambria Foreign Shareholder Yield ETF | ||||||||||||||||
2017 | $ | 683,048 | $ | — | $ | — | $ | 683,048 | ||||||||
2016 | 1,478,338 | — | 201,561 | 1,679,899 | ||||||||||||
Cambria Global Value ETF | ||||||||||||||||
2017 | $ | 1,965,865 | $ | — | $ | — | $ | 1,965,865 | ||||||||
2016 | 1,427,287 | — | — | 1,427,287 | ||||||||||||
Cambria Global Momentum ETF | ||||||||||||||||
2017 | $ | 530,781 | $ | — | $ | 39,767 | $ | 570,548 | ||||||||
2016 | 449,733 | — | 24,940 | 474,673 | ||||||||||||
Cambria Global Asset Allocation ETF | ||||||||||||||||
2017 | $ | 777,368 | $ | — | $ | — | $ | 777,368 | ||||||||
2016 | 794,101 | 21,052 | — | 815,153 | ||||||||||||
Cambria Value and Momentum ETF | ||||||||||||||||
2017 | $ | 28,879 | $ | — | $ | — | $ | 28,879 | ||||||||
2016 | 9,518 | — | — | 9,518 | ||||||||||||
Cambria Sovereign High Yield Bond ETF | ||||||||||||||||
2017 | $ | 229,159 | $ | — | $ | — | $ | 229,159 | ||||||||
2016 | — | — | — | — | ||||||||||||
Cambria Emerging Shareholder Yield ETF | ||||||||||||||||
2017 | $ | 55,329 | $ | — | $ | — | $ | 55,329 | ||||||||
Cambria Tail Risk ETF | ||||||||||||||||
2017 | $ | — | $ | — | $ | — | $ | — |
As of April 30, 2017, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
Cambria Shareholder Yield ETF | Cambria Foreign Shareholder Yield ETF | Cambria Global Value ETF | Cambria Global Momentum ETF | |||||||||||||
Undistributed Ordinary Income | $ | 30,015 | $ | 434,996 | $ | 459,035 | $ | — | ||||||||
Undistributed Long-Term Capital Gain | 117,168 | — | — | — | ||||||||||||
Capital Loss Carryforwards | — | (5,004,528 | ) | (1,025,220 | ) | (3,611,136 | ) | |||||||||
Unrealized Appreciation (Depreciation) | 19,110,268 | 223,804 | (2,991,802 | ) | 3,629,186 | |||||||||||
Other Temporary Differences | 2 | — | — | — | ||||||||||||
Total Distributable Earnings (Accumulated Losses) | $ | 19,257,453 | $ | (4,345,728 | ) | $ | (3,557,987 | ) | $ | 18,050 |
55
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Continued)
8. INCOME TAXES (continued)
Cambria Global Asset Allocation ETF | Cambria Value and Momentum ETF | Cambria Sovereign High Yield Bond ETF | Cambria Emerging Shareholder Yield ETF | |||||||||||||
Undistributed Ordinary Income | $ | 11,732 | $ | 154 | $ | 199,378 | $ | 110,574 | ||||||||
Undistributed Long-Term Capital Gain | — | — | 12,338 | — | ||||||||||||
Capital Loss Carryforwards | (577,019 | ) | (916,779 | ) | — | (84,513 | ) | |||||||||
Unrealized Appreciation | 1,218,245 | 878,634 | 221,380 | 864,145 | ||||||||||||
Other Temporary Differences | — | 1 | (91,847 | ) | — | |||||||||||
Total Distributable Earnings (Accumulated Losses) | $ | 652,958 | $ | (37,990 | ) | $ | 341,249 | $ | 890,206 |
Cambria Tail Risk ETF | ||||
Undistributed Ordinary Income | $ | 2,278 | ||
Post October Losses | (42,164 | ) | ||
Unrealized Depreciation | (29,527 | ) | ||
Other Temporary Differences | 43,166 | |||
Total Accumulated Losses | $ | (26,247 | ) |
Under the Regulated Investment Company Modernization Act of 2010, the Fund is permitted to carry forward losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, post-enactment losses that are carried forward will retain their character as either short term or long term capital losses. As of April 30, 2017, the Funds have the following capital loss carryforwards and offset capital gains for an unlimited period:
Non-Expiring Short-Term Loss | Non-Expiring Long-Term Loss | Total | ||||||||||
Cambria Shareholder Yield ETF | $ | — | $ | — | $ | — | ||||||
Cambria Foreign Shareholder Yield ETF | — | 5,004,528 | 5,004,528 | |||||||||
Cambria Global Value ETF | 146,182 | 879,038 | 1,025,220 | |||||||||
Cambria Global Momentum ETF | 3,611,136 | — | 3,611,136 | |||||||||
Cambria Global Asset Allocation ETF | — | 577,019 | 577,019 | |||||||||
Cambria Value and Momentum ETF | 636,342 | 280,437 | 916,779 | |||||||||
Cambria Sovereign High Yield Bond ETF | — | — | — | |||||||||
Cambria Emerging Shareholder Yield ETF | 84,513 | — | 84,513 | |||||||||
Cambria Tail Risk ETF | — | — | — |
Post-October capital losses represent capital losses realized on investment transactions from November 1, 2016 through April 30, 2017, that, in accordance with Federal income tax regulations, the Funds may elect to defer and treat as having arisen in the following fiscal year.
56
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Concluded)
8. INCOME TAXES (continued)
The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Funds at April 30, 2017, were as follows:
Cambria Investment Management | Federal Tax Cost | Aggregated Gross Unrealized Appreciation | Aggregated Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Cambria Shareholder Yield ETF | $ | 106,298,198 | $ | 23,603,528 | $ | (4,493,028 | ) | $ | 19,110,500 | |||||||
Cambria Foreign Shareholder Yield ETF | 41,206,871 | 3,528,950 | (3,296,086 | ) | 232,864 | |||||||||||
Cambria Global Value ETF | 115,417,228 | 11,653,947 | (14,601,871 | ) | (2,947,924 | ) | ||||||||||
Cambria Global Momentum ETF | 54,823,400 | 3,726,828 | (97,642 | ) | 3,629,186 | |||||||||||
Cambria Global Asset Allocation ETF | 35,841,202 | 1,487,267 | (269,022 | ) | 1,218,245 | |||||||||||
Cambria Value and Momentum ETF | 6,802,106 | 998,429 | (119,795 | ) | 878,634 | |||||||||||
Cambria Sovereign High Yield Bond ETF | 7,795,765 | 329,253 | (109,153 | ) | 220,100 | |||||||||||
Cambria Emerging Shareholder Yield ETF | 10,331,586 | 1,191,132 | (297,842 | ) | 893,290 | |||||||||||
Cambria Tail Risk ETF | 2,279,622 | 13,639 | — | 13,639 |
9. REGULATORY MATTERS
In October 2016, the Securities and Exchange Commission (the “SEC”) released its Final Rule on Investment Company Reporting Modernization (the “Rule”). The Rule which introduces two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contains amendments to Regulation S-X which impact financial statement presentation, particularly the presentation of derivative investments. Although still evaluating the impact of the Rule, management believes that many of the Regulation S-X amendments are consistent with the Funds’ current financial statement presentation and expects that the Funds will be able to comply with the Rule’s Regulation S-X amendments by the August 1, 2017 compliance date.
10. 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 except as follows:
Effective June 26, 2017 the Cambria Sovereign High Yield Bond ETF changed its name to Cambria Sovereign Bond ETF.
57
Cambria Investment Management
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees of
Cambria ETF Trust
Cambria ETF Trust
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Cambria Shareholder Yield ETF, Cambria Foreign Shareholder Yield ETF, Cambria Global Value ETF, Cambria Global Momentum ETF, Cambria Global Asset Allocation ETF, Cambria Value and Momentum ETF, Cambria Sovereign High Yield Bond ETF, Cambria Emerging Shareholder Yield ETF and Cambria Tail Risk ETF (the “Funds”), each a series of Cambria ETF Trust, as of April 30, 2017, and the related statements of operations for the year then ended, the statements of changes in net assets and financial highlights for each of the two periods in the period then ended for Cambria Shareholder Yield ETF, Cambria Foreign Shareholder Yield ETF, Cambria Global Value ETF, Cambria Global Momentum ETF, Cambria Global Asset Allocation ETF, Cambria Value and Momentum ETF and Cambria Sovereign High Yield Bond ETF, and the related statements of operations and changes in net assets and financial highlights for the period July 14, 2016 (commencement of operations) through April 30, 2017 for Cambria Emerging Shareholder Yield ETF, and the related statements of operations and changes in net assets and financial highlights for the period April 6, 2017 (commencement of operations) through April 30, 2017 for Cambria Tail Risk ETF. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The Funds’ financial highlights for the periods on or prior to April 30, 2015, were audited by other auditors, whose report date June 26, 2015, expressed an unqualified opinion on those financial highlights.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of April 30, 2017, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Cambria Shareholder Yield ETF, Cambria Foreign Shareholder Yield ETF, Cambria Global Value ETF, Cambria Global Momentum ETF, Cambria Global Asset Allocation ETF, Cambria Value and Momentum ETF, Cambria Sovereign High Yield Bond ETF, Cambria Emerging Shareholder Yield ETF and Cambria Tail Risk ETF as of April 30, 2017, the results of their operations, the changes in their net assets, and the financial highlights for the periods indicated above, in conformity with accounting principles generally accepted in the United States of America.
![](https://capedge.com/proxy/N-CSR/0001398344-17-008393/fp0026601_58.jpg)
COHEN & COMPANY, LTD.
Cleveland, Ohio
June 29, 2017
Cleveland, Ohio
June 29, 2017
58
Cambria Investment Management
Disclosure of Fund Expenses
(Unaudited)
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 (November 1, 2015 to April 30, 2017).
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.
59
Cambria Investment Management
Disclosure of Fund Expenses
(Unaudited) (Concluded)
Beginning Account Value 11/1/16 | Ending Account Value 4/30/17 | Annualized Expense Ratios | Expenses Paid During Period(1) | |
Cambria Shareholder Yield ETF | ||||
Actual Fund Return | $ 1,000.00 | $ 1,160.50 | 0.59% | $ 3.18 |
Hypothetical 5% Return | $ 1,000.00 | $ 1,021.85 | 0.59% | $ 2.97 |
Cambria Foreign Shareholder Yield ETF | ||||
Actual Fund Return | $ 1,000.00 | $ 1,100.90 | 0.59% | $ 3.07 |
Hypothetical 5% Return | $ 1,000.00 | $ 1,021.99 | 0.59% | $ 2.97 |
Cambria Global Value ETF | ||||
Actual Fund Return | $ 1,000.00 | $ 1,135.20 | 0.67% | $ 3.56 |
Hypothetical 5% Return | $ 1,000.00 | $ 1,021.46 | 0.67% | $ 3.37 |
Cambria Global Momentum ETF | ||||
Actual Fund Return | $ 1,000.00 | $ 1,083.00 | 0.59% | $ 3.05 |
Hypothetical 5% Return | $ 1,000.00 | $ 1,021.99 | 0.59% | $ 2.97 |
Cambria Global Asset Allocation ETF | ||||
Actual Fund Return | $ 1,000.00 | $ 1,054.30 | —% | $ — |
Hypothetical 5% Return | $ 1,000.00 | $ 1,024.79 | —% | $ — |
Cambria Value and Momentum ETF | ||||
Actual Fund Return | $ 1,000.00 | $ 1,059.50 | 0.66% | $ 3.35 |
Hypothetical 5% Return | $ 1,000.00 | $ 1,021.66 | 0.66% | $ 3.31 |
Cambria Sovereign High Yield Bond ETF | ||||
Actual Fund Return | $ 1,000.00 | $ 1,024.00 | 0.59% | $ 2.96 |
Hypothetical 5% Return | $ 1,000.00 | $ 1,021.87 | 0.59% | $ 2.96 |
Cambria Emerging Shareholder Yield ETF | ||||
Actual Fund Return | $ 1,000.00 | $ 1,122.10 | 0.68% | $ 3.56 |
Hypothetical 5% Return | $ 1,000.00 | $ 1,021.44 | 0.68% | $ 3.39 |
Cambria Tail Risk ETF | ||||
Actual Fund Return | $ 1,000.00 | $ 989.60 | 0.59% | $ 0.39(2) |
Hypothetical 5% Return | $ 1,000.00 | $ 1,002.90 | 0.59% | $ 0.39 |
(1) | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied 181/365 (to reflect the one-half year period). |
(2) | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied 24/365 (to reflect the actual time the Fund was operations from 04/06/17-04/30/17). |
60
Cambria Investment Management
Trustees and Officers
(Unaudited)
Set forth below are the names, ages, position with the Trust, term of office, length of time served and the principal occupations for the last five years of each of the persons currently serving as Trustees and Officers of the Trust. Trustees who are deemed not to be “interested persons” of the Trust are referred to as “Independent Trustees.” Mr. Richardson is a Trustee who is deemed to be an “interested” Trustee of the Fund as that term is defined in the 1940 Act by virtue of his employment with and ownership interest in the Investment Adviser. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling (855) 383-4636. The following chart lists Trustees and Officers as of April 30, 2017.
Name, Address, Age(1) | Position(s) Held with the Trust and Length of Time Served(2) | Principal Occupation(s) During the Past 5 Years | Other Directorships Held by Trustee During the Past 5 Years |
INTERESTED TRUSTEE(3) | |||
Eric W. Richardson DOB: 1966 | Trustee and President of the Trust (since 2012) | Co-founder and Chief Executive Officer, Cambria Investment Management, L.P. (2006-present); Manager, Cambria Indices, LLC (2013-present). | None |
INDEPENDENT TRUSTEES | |||
Eric Leake DOB: 1970 | Trustee (Since 2013) | Partner and Chief Investment Officer, Anchor Capital Management Group, Inc. (since 1996). | Board Member, National Association of Active Investment Management (NAAIM) (2008-2010). |
Dennis G. Schmal DOB: 1947 | Trustee (Since 2013) | Self-employed consultant (since 2003). | Director, AssetMark (formerly Genworth) Mutual Funds (2007-present); Director, Merriman Holdings Inc. (formerly MCF Corp.) (financial services) (2003-present); Director, Owens Realty Mortgage Inc. (real estate) (2013-present); Director and Chairman, Pacific Metrics Corporation (2005-2014) (educational services); Director and Chairman, Sitoa Global (2011-2013) (e-commerce); Trustee, Wells Fargo GAI Hedge Funds (2008-present). |
(1) | Unless otherwise noted, the business address of each trustee is Cambria ETF Trust, 2321 Rosecrans Avenue, Suite 3225, El Segundo CA 90245. Trustees oversee 12 funds in the Cambria ETF Trust. |
(2) | Each Trustee shall hold office during the lifetime of this trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns, or is removed in accordance with the Trust’s Trust Instrument. |
(3) | Denotes Trustees who may be deemed to be “interested” persons of the Fund as that term is defined in the 1940 Act by virtue of their affiliation with (the Distributor and/or its affiliates.) |
61
Cambria Investment Management
Trustees and Officers
(Unaudited) (Concluded)
Name, Address, Age(4) | Position(s) Held with the Trust and Length of Time Served(5) | Principal Occupation(s) During the Past 5 Years |
OFFICERS(6) | ||
Ryan DelGiudice DOB: 1990 | Chief Compliance Officer and Anti-Money Laundering Officer (Since 2017) | Vice President (2015-present), Manager (2013-2015), Cipperman Compliance Services; Chief Compliance Officer, Aspiration Funds (2014-present); Associate, Bank of New York Mellon (regulatory administration) (2012-2013). |
Mebane Faber DOB: 1977 | Vice President (Since 2012) | Co-founder and Chief Investment Officer, Cambria Investment Management, L.P. (2006-present); Manager, Cambria Indices, LLC (2013-present). |
Eric Kleinschmidt(7) 1 Freedom Valley Drive Oaks, PA 19456 DOB: 1968 | Principal Financial Officer (Since 2016) | Director of Fund Accounting, SEI Investments Global Funds Services since 2004. |
(4) | Unless otherwise noted, the business address of each officer is Cambria ETF Trust, 2321 Rosecrans Avenue, Suite 3225, El Segundo CA 90245. |
(5) | Each Trustee shall hold office during the lifetime of this trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns, or is removed in accordance with the Trust’s Trust Instrument. |
(6) | Officers oversee 12 funds in the Cambria ETF Trust. |
(7) | Certain officers and/or interested trustees of the Fund are also officers of the distributor, the advisor or the administrator. |
62
Cambria Investment Management
Approval of Advisory Agreements & Board Considerations
April 30, 2017 (Unaudited)
Board Consideration of the Investment Advisory Agreements
The Board of Trustees (the “Board”) of Cambria ETF Trust (the “Trust”), including those Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), attended an in-person meeting held on March 16, 2017, called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the investment advisory agreements (the “Agreements”) between the Trust and Cambria Investment Management, L.P. (“Cambria”) applicable to each series of the Trust (each, a “Fund” and collectively, the “Funds”): Cambria Shareholder Yield ETF (“SYLD”), Cambria Foreign Shareholder Yield ETF (“FYLD”), Cambria Emerging Shareholder Yield ETF (“EYLD”), Cambria Sovereign High Yield Bond ETF (“SOVB”), Cambria Global Momentum ETF (“GMOM”), Cambria Global Asset Allocation ETF (“GAA”), Cambria Global Value ETF (“GVAL”), and Cambria Value and Momentum ETF (“VAMO”). In preparation for its deliberations, the Board requested and reviewed written responses from Cambria to a due diligence questionnaire circulated on the Board’s behalf. During its deliberations, the Board received an oral presentation from Cambria and was assisted by the advice of independent legal counsel.
In evaluating the Agreements, the Board reviewed information regarding Cambria’s personnel, operations, and financial condition. In addition, the Board considered that the evaluation process with respect to Cambria is an ongoing one and, in this regard, the Board considers information at each regularly scheduled meeting, including, among other things, information concerning performance and services provided by Cambria. At the meeting, the Board considered: (1) the nature, extent and quality of the services provided by Cambria; (2) the investment performance of Cambria with respect to the Funds; (3) the costs of the services provided by Cambria and the profitability to Cambria derived from its relationship with the Funds; (4) the advisory fee and total expense ratio of the Funds compared to a relevant peer group of funds; (5) the extent to which economies of scale would be realized as the Funds grow and whether the advisory fee would enable investors to share in the benefits of economies of scale; (6) benefits (such as soft dollars, if any) received by Cambria and its affiliates from their relationship with the Funds; (7) Cambria’s reputation, expertise and resources in the financial markets; and (8) other factors the Board deemed relevant.
Nature, Quality and Extent of Services. The Board reviewed the nature, quality and extent of the overall services provided by Cambria to the Funds. In particular, the Board considered the responsibilities of Cambria, recognizing that Cambria had invested significant time and effort in structuring the Trust and the Funds, obtaining the necessary exemptive relief from the Securities and Exchange Commission (“SEC”), arranging service providers, exploring various sales channels, and assessing the appeal for each Fund’s investment strategy. In addition, the Board considered that Cambria is responsible for providing investment advisory services to the Funds, monitoring compliance with each Fund’s objectives, policies and restrictions, and carrying out directives of the Board. The Board also considered the services provided by Cambria in the oversight of the Trust’s distributor, administrator, transfer agent, and custodian. The Board also discussed and considered the role of Cambria Indices, LLC as index provider to FYLD, GVAL, and GAA (collectively, the “Index Funds”). In addition, the Board evaluated the integrity of Cambria’s personnel, the professional qualifications and experience of the portfolio management team in managing assets, their experiences with Cambria’s services, and the adequacy of Cambria’s resources and financial condition.
Performance. The Board noted that it considered the performance of the Funds throughout the year and reviewed each Fund’s performance for the three-month, 12-month, and since inception periods, as applicable. In this regard, among other things, the Board considered each Fund’s total returns compared to the total returns of a group of funds historically identified by Cambria as comparable (a Fund’s “peer group”) and an index by which to compare the Fund’s performance (a Fund’s “benchmark”). The Board noted that: (1) SYLD outperformed its benchmark, the S&P 500 Index, during all three periods, and performed in line with its peer group; (2) FYLD outperformed its benchmark, the MSCI EAFE Index, for the three- and 12-month periods, and generally performed in line with its peer group; (3) GVAL underperformed its benchmark, the MSCI ACWI Index, and peer group during the since inception period, but outperformed during the three- and 12-month periods; (4) GMOM underperformed its benchmark, a blended index consisting of the S&P Balanced Equity and Bond - Moderate Index (SPBXMI), during the since inception period, but outperformed its benchmark for the three- and 12-month periods, and generally performed in line with its peer group; (5) GAA underperformed its benchmark, SPBXMI, for the since inception
63
Cambria Investment Management
Approval of Advisory Agreements & Board Considerations
April 30, 2017 (Unaudited) (Continued)
period, outperformed its benchmark for the three- and 12-month periods, and generally performed in line with its peer group; (6) VAMO underperformed its benchmark, the S&P 500 Index, during all three periods, but outperformed most of its peer group during the three- and 12-month periods; (7) SOVB, which launched on February 23, 2016, outperformed its benchmark, the World Government Bond Index, for both the three-month and since inception periods and generally performed in line with its peer group; and (8) EYLD, which launched on July 13, 2016, outperformed its benchmark, the iShares MSCI Emerging Markets ETF, for both the three-month and since inception periods and generally performed in line with its peer group. The Board also took into consideration Cambria’s representations regarding the performance of the Funds, including that: (1) the Funds’ investment strategies may cause them to underperform their benchmarks and/or peer groups during certain periods, but should benefit the Funds’ shareholders in the long term; and (2) the value-oriented nature of certain Funds’ investments may cause them to underperform their benchmarks and peer groups during periods when markets favor growth stocks. With respect to the Index Funds, the Board also considered the quality of the index each Fund seeks to track, each Fund’s tracking error relative to its underlying index, and Cambria’s representation that each Fund’s tracking error met the expectations described in the SEC exemptive order on which Cambria and the Funds rely to operate as ETFs. The Board also considered each Fund’s portfolio turnover rate.
Comparative Fees and Expenses. The Board considered each Fund’s advisory fees in relation to the estimated costs of the advisory and related services provided by Cambria. The Trustees noted that each Fund charges a unitary advisory fee through which, Cambria, not the Funds, is responsible for paying many of the expenses necessary to service the Funds, including the expenses of other service providers. In considering the advisory fees, the Board reviewed and considered the fees in light of the nature, quality and extent of the services provided by Cambria. Because the Funds charge unitary advisory fees, the Board considered how the Funds’ total expense ratios compared to those of the funds in their peer groups. After comparing expense ratios, the Board noted that the estimated total expense ratios of (i) SYLD, FYLD, and GAA were higher than the average expense ratio of their peer funds; and (ii) EYLD, SOVB, GVAL, VAMO, and GMOM were lower than the average expense ratio of their peer funds, and, overall, each Fund’s total expense ratio was generally comparable to the range of total expense ratios charged by its peer group of funds. The Board considered Cambria’s representations that, in almost all cases, the peer groups’ advisory fee rates were equal to the peer groups’ gross expense ratios. The Board also considered Cambria’s representation that it would continue to monitor the Funds’ expense ratios as compared to those of their peer groups and seek to ensure that the Funds remain competitive.
Costs and Profitability. The Board then considered the profits realized by Cambria in connection with providing services to the Funds. The Board reviewed profit and loss information provided by Cambria with respect to each of the launched Funds. In particular, the Board noted Cambria’s representation of its long-term commitment to the success of the Funds and the unitary fee structure under which Cambria bears the risk that the Funds’ expenses may increase. The Board further considered the costs associated with the personnel, systems and equipment necessary to manage the Funds and to meet the regulatory and compliance requirements adopted by the SEC and other regulatory bodies as well as other expenses Cambria pays in accordance with the Agreements.
Other Benefits. The Board then considered the extent to which Cambria derives ancillary benefits from the Funds’ operations. The Board discussed the potential benefits to Cambria resulting from its ability to use the Funds’ assets to engage in soft dollar transactions. The Board noted that Cambria did not have any affiliates that would benefit from the Funds’ operations. The Board reviewed the degree to which Cambria may receive compensation from the Funds based upon a Fund’s investment in other Cambria ETFs. The Board also considered that Cambria, not the applicable Index Fund, pays any licensing fees attributable to underlying Cambria indices to Cambria’s affiliated index provider.
Economies of Scale. The Board next considered the absence of breakpoints in Cambria’s fee schedule for each Fund and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in each Fund’s asset levels. The Board determined that it is difficult to predict when economies of scale might be realized for Cambria and the Funds, many of which launched recently. The Board, thus, determined to monitor potential economies of scale, as well as the appropriateness of introducing breakpoints, as assets managed by each Fund grow larger.
64
Cambria Investment Management
Approval of Advisory Agreements & Board Considerations
April 30, 2017 (Unaudited) (Continued)
Conclusion. The Board did not identify any single factor as being of paramount importance, and different Trustees may have given different weight to different factors. The Board reviewed a memorandum from Fund counsel discussing the legal standards applicable to its consideration of the Agreements. Based on its review, including consideration of each of the factors referenced above, the Board determined, in the exercise of its reasonable business judgment, that the advisory arrangements, as outlined in the Agreements, were fair and reasonable in light of the services performed or to be performed, expenses incurred or to be incurred, and such other matters as the Board considered relevant. In light of the foregoing, the Board, including a majority of the Independent Trustees, determined to approve the renewal of the Agreements.
Cambria Tail Risk ETF
At an in-person meeting held on March 8, 2016, the Board, including the Independent Trustees, considered the approval of the investment advisory agreement between the Trust and Cambria (the “Agreement”) pertaining to the Cambria Tail Risk ETF (“TAIL”). In preparation for its deliberations, the Board requested and reviewed written responses from Cambria to a due diligence questionnaire circulated on the Board’s behalf. During its deliberations, the Board received an oral presentation from Cambria, and was assisted by the advice of independent legal counsel.
In evaluating the Agreement, the Board reviewed information regarding Cambria’s personnel, operations, and financial condition. In addition, the Board considered that the evaluation process with respect to Cambria is an ongoing one and, in this regard, the Board considers information at each regularly scheduled meeting including, among other things, information concerning performance and services provided by Cambria. At the meeting, the Board considered: (1) the nature, extent and quality of the services to be provided by Cambria to TAIL; (2) the investment performance of Cambria with respect to other actively-managed Cambria ETFs; (3) the costs of the services provided by Cambria and the expected profitability to Cambria derived from its relationship with TAIL; (4) the advisory fee and total expense ratio of TAIL compared to a relevant peer group of funds; (5) the extent to which economies of scale would be realized as TAIL grows and whether the advisory fee would enable investors to share in the benefits of economies of scale; (6) benefits (such as soft dollars, if any) received by Cambria and its affiliates from their relationship with TAIL; (7) Cambria’s reputation, expertise and resources in the financial markets; and (8) other factors the Board deemed relevant.
Nature, Quality and Extent of Services. The Board reviewed the nature, quality and extent of the overall services to be provided by Cambria to TAIL. In particular, the Board considered the responsibilities of Cambria, recognizing that Cambria had invested significant time and effort in structuring the Trust and TAIL, obtaining the necessary exemptive relief from the SEC, arranging service providers, exploring various sales channels and assessing the appeal for TAIL’s investment strategy. In addition, the Board considered that Cambria is responsible for providing investment advisory services to TAIL, monitoring compliance with TAIL’s objectives, policies and restrictions, and carrying out directives of the Board. The Board also considered the services provided by Cambria in the oversight of the Trust’s distributor, administrator, transfer agent, and custodian. In addition, the Board evaluated the integrity of Cambria’s personnel, the professional qualifications and experience of the portfolio management team in managing assets, their experiences with Cambria’s services, and the adequacy of Cambria’s resources and financial condition.
Performance. The Board noted that, since TAIL had not yet commenced investment operations, TAIL had no investment performance. The Board noted, however, that Cambria has been relatively successful in advising other ETFs, including other series of the Trust, using different quantitative investment strategies. The Board further noted that Cambria had performed extensive research on the strategy underlying TAIL.
Comparative Fees and Expenses. The Board considered that Cambria proposed charging a unitary advisory fee of 0.59% to TAIL. The Trustees noted that under the unitary fee structure proposed, Cambria, and not TAIL, would be responsible for paying many of the expenses necessary to service TAIL, including those of other service providers. In considering the advisory fee, the Board reviewed and considered the fee in light of the nature, quality and extent of the services to be provided by Cambria to TAIL. With respect to the proposed advisory fee and estimated total expense ratio for TAIL, the Board considered how the proposed fee and expense ratio compared to the advisory fees and expense ratios of ETFs
65
Cambria Investment Management
Approval of Advisory Agreements & Board Considerations
April 30, 2017 (Unaudited) (Concluded)
with comparable strategies, noting how differences between fund strategies might impact fees. The Board noted that TAIL’s proposed unitary advisory fee is lower than the total expense ratio of each of its peer funds. The Board then considered Cambria’s representation that it would continue to monitor TAIL’s expense ratio as compared to those of its peer funds and seek to ensure that TAIL remains competitive.
Costs and Profitability. The Board considered the estimated profits to be realized by Cambria in connection with providing services to TAIL. The Board noted that since TAIL had not yet launched, it was difficult to estimate how profitable it would be to Cambria. The Board, however, reviewed estimated profit and loss information provided by Cambria with respect to TAIL. In particular, the Board noted Cambria’s representation of its long-term commitment to the success of TAIL and its unitary fee structure under which it bears the risk that TAIL expenses may increase. The Board further considered the costs associated with the personnel, systems and equipment necessary to manage TAIL and to meet the regulatory and compliance requirements adopted by the SEC and other regulatory bodies as well as other expenses Cambria would pay in accordance with the Agreement.
Other Benefits. The Board then considered the extent to which Cambria derives ancillary benefits from TAIL’s operations. The Board discussed the potential benefits to Cambria resulting from its ability to use TAIL’s assets to engage in soft dollar transactions. The Board noted that Cambria did not have any affiliates that would benefit from TAIL’s operations. The Board also reviewed the degree to which Cambria may receive compensation from other Cambria ETFs based upon TAIL’s investment in other Cambria ETFs.
Economies of Scale. The Board also considered whether economies of scale would be realized by TAIL as its assets grow larger, including the extent to which this is reflected in the level of fees to be charged. The Board noted that the proposed advisory fee for TAIL does not include breakpoints, but that it was premature - before the commencement of investment operations - to evaluate potential economies of scale. The Board, thus, determined to monitor potential economies of scale, as well as the appropriateness of introducing breakpoints, as assets managed by TAIL grow larger.
Conclusion. In approving the Agreement, the Board did not identify any single factor as being of paramount importance, and different Trustees may have given different weight to different factors. The Board reviewed a memorandum from Fund counsel discussing the legal standards applicable to its consideration of the Agreement. Based on its review, including consideration of each of the factors referenced above, the Board determined, in the exercise of its reasonable business judgment, that the advisory arrangement, as outlined in the Agreement, was fair and reasonable in light of the services to be performed, expenses to be incurred, and such other matters as the Board considered relevant. In light of the foregoing, the Board, including a majority of the Independent Trustees, determined to approve the Agreement for TAIL.
66
Cambria Investment Management
Notice to Shareholders
April 30, 2017 (Unaudited)
For shareholders that do not have an April 30, 2017, tax year end, this notice is for informational purposes only. For shareholders with an April 30, 2017 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended April 30, 2017, the Funds are designating the following items with regard to distributions paid during the year.
Return of Capital | Long-Term Capital Gain Distributions | Ordinary Income Distributions | Total Distributions | Qualifying Dividends(1) | Qualifying Dividend Income(2) | U.S. Government Interest(3) | Qualified Interest Income(4) | Qualified Short-Term Capital Gain(5) | Foreign Tax Credit(6) | |
Cambria Shareholder Yield ETF | 0.00% | 0.00% | 100.00% | 100.00% | 100.00% | 100.00% | 0.00% | 0.14% | 0.00% | N/A |
Cambria Foreign Shareholder Yield ETF | 0.00% | 0.00% | 100.00% | 100.00% | 0.00% | 100.00% | 0.00% | 0.06% | 0.00% | 10.91% |
Cambria Global Value ETF | 0.00% | 0.00% | 100.00% | 100.00% | 0.00% | 99.31% | 0.00% | 0.04% | 0.00% | 13.81 |
Cambria Global Momentum ETF | 6.97% | 0.00% | 93.03% | 100.00% | 16.96% | 43.90% | 0.00% | 0.26% | 0.00% | N/A |
Cambria Global Asset Allocation ETF | 0.00% | 0.00% | 100.00% | 100.00% | 15.41% | 32.72% | 0.00% | 0.05% | 0.00% | N/A |
Cambria Value and Momentum ETF | 0.00% | 0.00% | 100.00% | 100.00% | 100.00% | 100.00% | 0.00% | 0.00% | 0.00% | N/A |
Cambria Sovereign High Yield Bond ETF | 0.00% | 0.00% | 100.00% | 100.00% | 0.00% | 0.00% | 0.00% | 0.00% | 100.00% | N/A |
Cambria Emerging Shareholder Yield ETF | 0.00% | 0.00% | 100.00% | 100.00% | 0.00% | 57.30% | 0.00% | 0.00% | 0.00% | 24.29% |
(1) | Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary Income distributions (the total of short term capital gain and net investment income distributions). |
(2) | The percentage in this column represents the amount of “Qualifying Dividend Income” as created by the Jobs and Growth Relief Reconciliation Act of 2003 and its reflected as a percentage of ordinary income distributions (the total of short term capital gain and net investment income distributions). It is the intention of each of the aforementioned funds to designate the maximum amount permitted by law. |
(3) | “U.S. Government Interest represents the amount of interest that was derived from U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders of the Fund who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income. |
(4) | The percentage in this column represents the amount of “Qualifying Interest Income” as created by the American Jobs Creation Act of 2004 and is a percentage of net investment income that is exempt from U.S. withholding tax when paid for foreign investors. |
(5) | The percentage in this column represents the amount of “Qualifying Short-Term Capital Gain” as created by the American Jobs Creation Act of 2004 and is reflected as a percentage of short-term capital gain distributions that is exempt from U.S. withholding tax when paid to foreign investors. |
(6) | The percentage in this column represents the “Qualifying Foreign Taxes” as a percentage of ordinary distributions during the fiscal year ended April 30, 2017. The Cambria Foreign Shareholder Yield ETF, the Cambria Global Value ETF and the Cambria Emerging Shareholder Yield ETF expect to pass through $83,648, $314,986 and $17,755 respectively, as foreign tax credits on Form 1099-DIV for the year ending December 31, 2017 which shareholders of these portfolios will receive in late January 2018. In addition, for the year ended April 30, 2017, gross foreign source income amounted to $1,366,194, $2,984,378 and $168,968 respectively, and will be reported on Form 1099-DIV for the year ending December 31, 2017, which shareholders of these portfolios will receive in late January 2018. |
The information reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending April 30, 2017. Complete information will be computed and reported in conjunction with your 2017 Form 1099-DIV.
67
Cambria Investment Management
Supplemental Information
(Unaudited)
Net asset value, or “NAV”, is the price per share at which a Fund issues and redeems shares. It is calculated in accordance with the standard formula for valuing mutual fund shares. The “Market Price” of a 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. A Fund’s Market Price may be at, above or below its NAV. The NAV of a Fund will fluctuate with changes in the market value of the Fund’s holdings. The Market Price of a Fund generally fluctuates in response to 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 a Fund on a given day, generally at the time NAV is calculated. A premium is the amount that a Fund is trading above the reported NAV, expressed as a percentage of a NAV. A discount is the amount that the Fund is trading below the reported NAV, expressed as a percentage of the NAV.
Market Price One Year Total Return | Market Price Cumulative Inception Date Total Return | Market Price, End of Period | ||||||||||
Cambria Shareholder Yield ETF | 20.59 | % | — | % | $ | 33.95 | ||||||
Cambria Foreign Shareholder Yield ETF | 13.72 | — | 23.11 | |||||||||
Cambria Global Value ETF | 20.99 | — | 22.81 | |||||||||
Cambria Global Momentum ETF | 10.34 | — | 24.68 | |||||||||
Cambria Global Asset Allocation ETF | 9.08 | — | 25.64 | |||||||||
Cambria Value and Momentum ETF | 5.29 | — | 23.76 | |||||||||
Cambria Sovereign High Yield Bond ETF | 4.98 | — | 27.52 | |||||||||
Cambria Emerging Shareholder Yield ETF | — | 20.45 | 29.87 | |||||||||
Cambria Tail Risk ETF | — | (0.64 | ) | 24.84 |
Cambria Shareholder Yield ETF
Premium/Discount Analysis
Inception Date 5/13/13
Analysis Period 5/13/13-4/30/17
Percent Above or Below Par | Number of Days at Discount/Premium | Percent of Days at Discount/Premium | |
-5.00% | — | — | |
-4.50% | — | — | |
-4.00% | — | — | |
-3.50% | — | — | |
Fund Sold at Discount | -3.00% | — | — |
-2.50% | 1 | 0.10% | |
-2.00% | — | — | |
-1.50% | — | — | |
-1.00% | — | — | |
-0.50% | 551 | 55.30% | |
Sold at Par | 0.00% | — | — |
0.50% | 444 | 44.60% | |
1.00% | — | — | |
1.50% | — | — | |
2.00% | — | — | |
Fund Sold at Premium | 2.50% | — | — |
3.00% | — | — | |
3.50% | — | — | |
4.00% | — | — | |
4.50% | — | — | |
5.00% | — | — |
68
Cambria Investment Management
Supplemental Information
(Unaudited) (Continued)
Cambria Foreign Shareholder Yield ETF
Premium/Discount Analysis
Inception Date 12/2/13
Analysis Period 12/2/13-4/30/17
Percent Above or Below Par | Number of Days at Discount/Premium | Percent of Days at Discount/Premium | |
-5.00% | — | — | |
-4.50% | — | — | |
-4.00% | — | — | |
-3.50% | — | — | |
Fund Sold at Discount | -3.00% | 2 | 0.30% |
-2.50% | 2 | 0.30% | |
-2.00% | 1 | 0.50% | |
-1.50% | — | — | |
-1.00% | 7 | 3.60% | |
-0.50% | 17 | 8.70% | |
Sold at Par | 0.00% | — | — |
0.50% | 38 | 19.50% | |
1.00% | 39 | 20.00% | |
1.50% | 51 | 26.20% | |
2.00% | 32 | 16.40% | |
Fund Sold at Premium | 2.50% | 6 | 3.08% |
3.00% | 2 | 1.03% | |
3.50% | 2 | 1.03% | |
4.00% | — | — | |
4.50% | — | — | |
5.00% | — | — |
Cambria Global Value ETF
Premium/Discount Analysis
Inception Date 3/11/14
Analysis Period 3/11/14-4/30/17
Percent Above or Below Par | Number of Days at Discount/Premium | Percent of Days at Discount/Premium | |
-5.00% | — | — | |
-4.50% | — | — | |
-4.00% | — | — | |
-3.50% | — | — | |
Fund Sold at Discount | -3.00% | — | — |
-2.50% | 1 | 0.10% | |
-2.00% | 1 | 0.10% | |
-1.50% | 16 | 2.00% | |
-1.00% | 58 | 7.30% | |
-0.50% | 188 | 23.80% | |
Sold at Par | 0.00% | — | — |
0.50% | 345 | 43.60% | |
1.00% | 156 | 19.70% | |
1.50% | 20 | 2.50% | |
2.00% | 6 | 0.80% | |
Fund Sold at Premium | 2.50% | — | — |
3.00% | — | — | |
3.50% | — | — | |
4.00% | — | — | |
4.50% | — | — | |
5.00% | — | — |
69
Cambria Investment Management
Supplemental Information
(Unaudited) (Continued)
Cambria Global Momentum ETF
Premium/Discount Analysis
Inception Date 11/3/14
Analysis Period 11/3/14-4/30/17
Percent Above or Below Par | Number of Days at Discount/Premium | Percent of Days at Discount/Premium | |
-5.00% | — | — | |
-4.50% | — | — | |
-4.00% | — | — | |
-3.50% | — | — | |
Fund Sold at Discount | -3.00% | — | — |
-2.50% | — | — | |
-2.00% | — | — | |
-1.50% | — | — | |
-1.00% | — | — | |
-0.50% | 260 | 41.50% | |
Sold at Par | 0.00% | — | — |
0.50% | 362 | 57.80% | |
1.00% | 4 | 0.60% | |
1.50% | — | — | |
2.00% | — | — | |
Fund Sold at Premium | 2.50% | — | — |
3.00% | — | — | |
3.50% | — | — | |
4.00% | — | — | |
4.50% | — | — | |
5.00% | — | — |
Cambria Global Asset Allocation ETF
Premium/Discount Analysis
Inception Date 12/9/14
Analysis Period 12/9/14-4/30/17
Percent Above or Below Par | Number of Days at Discount/Premium | Percent of Days at Discount/Premium | |
-5.00% | — | — | |
-4.50% | — | — | |
-4.00% | — | — | |
-3.50% | — | — | |
Fund Sold at Discount | -3.00% | — | — |
-2.50% | — | — | |
-2.00% | — | — | |
-1.50% | — | — | |
-1.00% | — | — | |
-0.50% | 241 | 40.10% | |
Sold at Par | 0.00% | — | — |
0.50% | 355 | 59.10% | |
1.00% | 5 | 0.80% | |
1.50% | — | — | |
2.00% | — | — | |
Fund Sold at Premium | 2.50% | — | — |
3.00% | — | — | |
3.50% | — | — | |
4.00% | — | — | |
4.50% | — | — | |
5.00% | — | — |
70
Cambria Investment Management
Supplemental Information
(Unaudited) (Continued)
Cambria Value and Momentum ETF
Premium/Discount Analysis
Inception Date 9/8/15
Analysis Period 9/8/15-4/30/17
Percent Above or Below Par | Number of Days at Discount/Premium | Percent of Days at Discount/Premium | |
-5.00% | — | — | |
-4.50% | — | — | |
-4.00% | — | — | |
-3.50% | — | — | |
Fund Sold at Discount | -3.00% | — | — |
-2.50% | — | — | |
-2.00% | — | — | |
-1.50% | — | — | |
-1.00% | 4 | 1.00% | |
-0.50% | 104 | 25.20% | |
Sold at Par | 0.00% | — | — |
0.50% | 290 | 70.20% | |
1.00% | 15 | 3.60% | |
1.50% | — | — | |
2.00% | — | — | |
Fund Sold at Premium | 2.50% | — | — |
3.00% | — | — | |
3.50% | — | — | |
4.00% | — | — | |
4.50% | — | — | |
5.00% | — | — |
Cambria Sovereign High Yield Bond ETF
Premium/Discount Analysis
Inception Date 2/22/16
Analysis Period 2/22/16-4/30/17
Percent Above or Below Par | Number of Days at Discount/Premium | Percent of Days at Discount/Premium | |
-5.00% | — | — | |
-4.50% | — | — | |
-4.00% | — | — | |
-3.50% | — | — | |
Fund Sold at Discount | -3.00% | — | — |
-2.50% | — | — | |
-2.00% | — | — | |
-1.50% | — | — | |
-1.00% | — | — | |
-0.50% | — | — | |
Sold at Par | 0.00% | — | — |
0.50% | 6 | 2.01% | |
1.00% | 106 | 35.50% | |
1.50% | 97 | 32.40% | |
2.00% | 25 | 8.40% | |
Fund Sold at Premium | 2.50% | 38 | 12.70% |
3.00% | 15 | 5.00% | |
3.50% | 9 | 3.01% | |
4.00% | 2 | 0.67% | |
4.50% | 1 | 0.33% | |
5.00% | — | — |
71
Cambria Investment Management
Supplemental Information
(Unaudited) (Concluded)
Cambria Emerging Shareholder Yield ETF
Premium/Discount Analysis
Inception Date 7/13/16
Analysis Period 7/13/16-4/30/17
Percent Above or Below Par | Number of Days at Discount/Premium | Percent of Days at Discount/Premium | |
-5.00% | — | — | |
-4.50% | — | — | |
-4.00% | — | — | |
-3.50% | — | — | |
Fund Sold at Discount | -3.00% | — | — |
-2.50% | — | — | |
-2.00% | 1 | 0.50% | |
-1.50% | — | — | |
-1.00% | 7 | 3.60% | |
-0.50% | 17 | 8.70% | |
Sold at Par | 0.00% | — | — |
0.50% | 38 | 19.50% | |
1.00% | 39 | 20.00% | |
1.50% | 51 | 26.20% | |
2.00% | 32 | 16.40% | |
Fund Sold at Premium | 2.50% | 6 | 3.08% |
3.00% | 2 | 1.03% | |
3.50% | 2 | 1.03% | |
4.00% | — | — | |
4.50% | — | — | |
5.00% | — | — |
Cambria Tail Risk ETF
Premium/Discount Analysis
Inception Date 4/6/17
Analysis Period 4/5/17-4/30/17
Percent Above or Below Par | Number of Days at Discount/Premium | Percent of Days at Discount/Premium | |
-5.00% | — | — | |
-4.50% | — | — | |
-4.00% | — | — | |
-3.50% | — | — | |
Fund Sold at Discount | -3.00% | — | — |
-2.50% | — | — | |
-2.00% | — | — | |
-1.50% | — | — | |
-1.00% | — | — | |
-0.50% | 7 | 41.20% | |
Sold at Par | 0.00% | — | — |
0.50% | 9 | 52.95% | |
1.00% | 1 | 5.90% | |
1.50% | — | — | |
2.00% | — | — | |
Fund Sold at Premium | 2.50% | — | — |
3.00% | — | — | |
3.50% | — | — | |
4.00% | — | — | |
4.50% | — | — | |
5.00% | — | — |
72
THIS PAGE INTENTIONALLY LEFT BLANK
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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:
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue
Washington, District of Columbia 20004-2541
Independent Registered Public Accounting Firm:
Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, Ohio 44115
This information must be preceded or accompanied by a current prospectus.
CIM-AR-001-0400
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Dhandho Junoon ETF (JUNE)
Annual Report
April 30, 2017
Cambria Investment Management
Table of Contents
Shareholder Letter (Unaudited) | 2 |
Manager’s Discussion and Analysis of Fund Performance (Unaudited) | 3 |
Schedule of Investments | 4 |
Statement of Assets and Liabilities | 5 |
Statements of Operations | 6 |
Statements of Changes in Net Assets | 7 |
Financial Highlights | 8 |
Notes to Financial Statements | 9 |
Report of Independent Registered Public Accounting Firm | 17 |
Disclosure of Fund Expenses (Unaudited) | 18 |
Trustees and Officers of the Cambria ETF Trust (Unaudited) | 19 |
Board Consideration of the Investment Advisory Agreement (Unaudited) | 21 |
Notice to Shareholders (Unaudited) | 23 |
Supplemental Information (Unaudited) | 24 |
The Fund files it’s 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-Q within sixty days after the end of the period. The Fund’s Form N-Q is available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that Cambria Investment Management L.P., the Fund’s investment advisor, uses to determine how to vote proxies relating to Fund securities, as well as information relating to how the Fund 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.
1
Cambria Investment Management
Shareholder Letter
(Unaudited)
Dear Shareholder:
We are pleased to present the following annual report for the Cambria ETF Trust on behalf of the Dhandho Junoon ETF (“JUNE”).
● | JUNE |
JUNE launched on March 31, 2016 at $25.00 per share. For the three-month period ended April 30, 2017, JUNE posted a gain of 0.65%. For the 12-month period ended April 30, 2017, JUNE posted a gain of 9.22%. Since inception, JUNE posted a cumulative gain of 7.02%. Cambria took over as investment adviser of JUNE on January 23, 2017.
We believe that the S&P 500 Index serves as a suitable benchmark for JUNE. The table below shows the performance of the Fund vs. its benchmark, the S&P 500, for the three-month, 12-month, and since inception periods ended April 30, 2017.
vs. Benchmark | ||
JUNE | S&P 500 | |
Cumulative Returns Since Fund Inception | 7.02% | 18.38% |
12 Months Ended 4/30/2017 | 9.22% | 17.92% |
3 Months Ended 4/30/2017 | 0.65% | 5.16% |
Sincerely, | |
![]() ![]() | |
Mebane Faber and Eric Richardson |
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.
The performance data quoted represents past performance. Past performance does not guarantee future results.
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.
2
Cambria Investment Management
Manager’s Discussion and Analysis of Fund Performance
(Unaudited)
Comparison of Change in the Value of a $10,000 Investment in the Dhandho Junoon ETF versus the S&P 500 Total Return Index
The Fund returned 9.22% for the 12-month period ended April 30, 2017. During this 12-month period, allocations to Consumer Discretionary, Technology, Financials, and Materials detracted from the Fund’s performance; whereas, allocations to Telecom, Industrials, and Real Estate contributed to Fund performance.
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED APRIL 30, 2017 | |||
Six Month Return | One Year Return | Since Inception (Annualized)* | |
Dhandho Junoon ETF | 8.33% | 9.22% | 6.46% |
Dhandho Junoon Index | 8.78% | 10.10% | 7.33% |
S&P 500 Total Return Index | 13.32% | 17.92% | 16.87% |
![](https://capedge.com/proxy/N-CSR/0001398344-17-008393/fp0026601_3.jpg)
* Inception date is March 31, 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.
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 0.75%.
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 0.75%.
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.
The Dhandho Junoon Index tracks the price movements of a portfolio of stocks of approximately 100 U.S. companies and American Depositary Receipts (“ADRs”) across 3 buckets: (1) Share Buybacks, (2) Select Value Manager Holdings, and (3) Spin-Offs. The index inception date is March 1st, 2016. The Index is calculated as a total return Index, which means that returns assume reinvestment of any dividends and distributions during this period.
The S&P 500 Total Return Index is the Standard & Poor’s composite index of 500 stocks, a widely recognized, unmanaged index of common stock prices. Index performance shown in the table is total return, which assumes reinvestment of any dividends and distributions during the period.
3
Cambria Investment Management
Schedule of Investments Ÿ Dhandho Junoon ETF
April 30, 2017
![]() |
Description | Shares | Value | ||||||
COMMON STOCK — 100.1% | ||||||||
Consumer Discretionary — 52.9% | ||||||||
AutoZone* | 474 | $ | 328,098 | |||||
Barnes & Noble Education* | 2,349 | 24,453 | ||||||
Brinker International | 4,221 | 186,526 | ||||||
CarMax* | 3,404 | 199,134 | ||||||
CBS, Cl B | 2,315 | 154,086 | ||||||
Comcast, Cl A | 9 | 353 | ||||||
Fiat Chrysler Automobiles* | 179 | 2,035 | ||||||
Gannett | 3,038 | 25,398 | ||||||
H&R Block | 1,299 | 32,202 | ||||||
Lear | 2,007 | 286,319 | ||||||
Marriott Vacations Worldwide | 1,422 | 156,676 | ||||||
Murphy USA* | 2,490 | 173,230 | ||||||
New Media Investment Group | 2,951 | 38,835 | ||||||
News, Cl A | 7,304 | 92,907 | ||||||
NVR* | 77 | 162,566 | ||||||
Six Flags Entertainment | 648 | 40,572 | ||||||
Time | 5,037 | 76,562 | ||||||
Visteon* | 77 | 7,927 | ||||||
Wendy's | 9,149 | 134,856 | ||||||
2,122,735 | ||||||||
Consumer Staples — 0.9% | ||||||||
British American Tobacco ADR | 527 | 35,857 | ||||||
Financials — 3.2% | ||||||||
Berkshire Hathaway, Cl B* | 779 | 128,699 | ||||||
Health Care — 1.1% | ||||||||
DaVita* | 84 | 5,797 | ||||||
Halyard Health* | 1,005 | 39,697 | ||||||
45,494 | ||||||||
Industrials — 22.0% | ||||||||
Actuant, Cl A | 5,558 | 151,733 | ||||||
American Airlines Group | 800 | 34,096 | ||||||
Engility Holdings* | 4,116 | 116,689 | ||||||
Huntington Ingalls Industries | 1,323 | 265,777 | ||||||
Moog, Cl A* | 2,106 | 144,577 | ||||||
Quanta Services* | 3,939 | 139,598 | ||||||
Vectrus* | 1,245 | 31,673 | ||||||
884,143 | ||||||||
Information Technology — 11.3% | ||||||||
Apple | 228 | 32,752 | ||||||
Celestica* | 9,977 | 142,172 | ||||||
Cimpress* | 140 | 11,491 | ||||||
CSRA | 219 | 6,369 | ||||||
Microsoft | 6 | 411 | ||||||
Science Applications International | 3,062 | 223,495 | ||||||
Vishay Precision Group* | 2,015 | 34,658 | ||||||
451,348 | ||||||||
Materials — 8.7% | ||||||||
Ashland Global Holdings | 1,095 | 135,233 | ||||||
Mosaic | 4,914 | 132,334 | ||||||
Rayonier Advanced Materials | 6,032 | 79,924 | ||||||
347,491 | ||||||||
Total Common Stock | ||||||||
(Cost $4,017,870) | 4,015,767 | |||||||
Total Investments — 100.1% | ||||||||
(Cost $4,017,870) | $ | 4,015,767 | ||||||
Other Assets and Liabilities — (0.1)% | (3,245 | ) | ||||||
Net Assets — 100.0% | $ | 4,012,522 |
Percentages based on Net Assets.
* | Non-income producing security. |
ADR — American Depositary Receipt
Cl — Class
As of April 30, 2017, 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.
There have been no transfers between Level 1, Level 2 or Level 3 assets and liabilities. It is the Fund’s policy to recognize transfers into and out of all Levels at the end of the reporting period.
The accompanying notes are an integral part of the financial statements.
4
Cambria Investment Management
Statement of Assets and Liabilities
April 30, 2017
Dhandho Junoon ETF | ||||
Assets: | ||||
Investments at Fair Value | $ | 4,015,767 | ||
Receivable for Investment Securities Sold | 670,308 | |||
Dividend Receivable | 1,660 | |||
Reclaims Receivable | 11 | |||
Total Assets | 4,687,746 | |||
Liabilities: | ||||
Payable for Capital Shares Redeemed | 672,897 | |||
Payable Due to Investment Adviser | 1,993 | |||
Payable Due to Custodian | 334 | |||
Total Liabilities | 675,224 | |||
Net Assets | $ | 4,012,522 | ||
Net Assets Consist of: | ||||
Paid-in Capital | $ | 3,889,839 | ||
Undistributed Net Investment Income | — | |||
Accumulated Net Realized Gain on Investments | 124,786 | |||
Net Unrealized Depreciation on Investments | (2,103 | ) | ||
Net Assets | $ | 4,012,522 | ||
Outstanding Shares of Beneficial Interest | ||||
(unlimited authorization — no par value) | 152,000 | |||
Net Asset Value, Offering and Redemption Price Per Share | $ | 26.40 | ||
Investments at Cost | $ | 4,017,870 |
The accompanying notes are an integral part of the financial statements.
5
Cambria Investment Management
Statements of Operations
For the periods ended April 30, 2017 and October 31, 2016
Dhandho Junoon ETF | ||||||||
For the period November 1, 2016 to April 30, 2017 | For the period April 1, 2016 to October 31, 2016(2) | |||||||
Investment Income: | ||||||||
Dividend Income from Investments | $ | 19,777 | $ | 28,859 | ||||
Interest Income | 2 | — | ||||||
Less: Foreign Taxes Withheld | (36 | ) | (55 | ) | ||||
Total Investment Income | 19,743 | 28,804 | ||||||
Expenses: | ||||||||
Management Fees | 10,347 | 15,648 | ||||||
Total Expenses | 10,347 | 15,648 | ||||||
Net Investment Income | 9,396 | 13,156 | ||||||
Net Realized and Unrealized Gains (Losses) on Investments: | ||||||||
Net Realized Gain (Loss) on Investments (1) | 204,041 | (141,309 | ) | |||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 21,148 | (23,251 | ) | |||||
Net Realized and Unrealized Gain (Loss) on Investments | 225,189 | (164,560 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 234,585 | $ | (151,404 | ) |
(1) | Includes realized gain or loss as a result of in-kind transactions. (See Note 4 in Notes to Financial Statements). |
(2) | Fund commenced operations on April 1, 2016. |
The accompanying notes are an integral part of the financial statements.
6
Cambria Investment Management
Statements of Changes in Net Assets
Dhandho Junoon ETF | ||||||||
Period Ended April 30, 2017(1) | Period Ended October 31, 2016(2) | |||||||
Operations: | ||||||||
Net Investment Income (Loss) | $ | 9,396 | $ | 13,156 | ||||
Net Realized Gain (Loss) on Investments | 204,041 | (3) | (141,309 | ) | ||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 21,148 | (23,251 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 234,585 | (151,404 | ) | |||||
Distributions to Shareholders: | ||||||||
Investment Income | (21,999 | ) | — | |||||
Total Distributions to Shareholders | (21,999 | ) | — | |||||
Capital Share Transactions: | ||||||||
Issued | 1,966,929 | 6,190,725 | ||||||
Redeemed | (672,897 | ) | (3,583,417 | ) | ||||
Increase in Net Assets from Capital Share Transactions | 1,294,032 | 2,607,308 | ||||||
Total Increase in Net Assets | 1,506,618 | 2,455,904 | ||||||
Net Assets: | ||||||||
Beginning of Period | 2,505,904 | 50,000 | ||||||
End of and Period (Includes Undistributed Net Investment Income of $— and $13,156, respectively) | $ | 4,012,522 | $ | 2,505,904 | ||||
Share Transactions: | ||||||||
Beginning shares | — | 2,000 | ||||||
Issued | 75,000 | 250,000 | ||||||
Redeemed | (25,000 | ) | (150,000 | ) | ||||
Net Increase in Shares Outstanding from Share Transactions | 50,000 | 102,000 |
(1) | November 1, 2016 to April 30, 2017 (see Note 1). |
(2) | Commenced operations April 1, 2016. |
(3) | Includes realized gain or loss as a result of in-kind transactions. (See Note 4 in Notes to Financial Statements). |
The accompanying notes are an integral part of the financial statements.
7
Cambria Investment Management
Financial Highlights
Selected Per Share Data & Ratios
For a Share Outstanding Throughout the Periods
For a Share Outstanding Throughout the Periods
Net Asset Value, Beginning of Period | Net Investment Income* | Net Realized and Unrealized Gain (Loss) on Investments | Total from Operations | Distributions from Investment Income | Total Distributions | Net Asset Value, End of Period | Total Return(1) | Net Assets End of Period (000) | Ratio of Expenses to Average Net Assets | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover(1)(2) | |||||||||||||||||||||||||||||
Dhandho Junoon ETF | ||||||||||||||||||||||||||||||||||||||||
2017† | $ | 24.57 | $ | 0.09 | $ | 1.96 | $ | 2.05 | $ | (0.22 | ) | $ | (0.22 | ) | $ | 26.40 | 8.33 | % | $ | 4,013 | 0.75 | %(4) | 0.68 | %(4) | 92 | %(5) | ||||||||||||||
2016†† | $ | 24.87 | (3) | $ | 0.09 | $ | (0.39 | ) | $ | (0.30 | ) | $ | — | $ | — | $ | 24.57 | (1.21 | )% | $ | 2,506 | 0.75 | %(4) | 0.63 | %(4) | 16 | %(5) |
* | Per share data calculated using average shares method. |
† | November 1, 2016 to April 30, 2017 (see Note 1). |
†† | April 1, 2016 (commencement of operations) to October 31, 2016 (see Note 1). |
(1) | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of Fund shares. |
(2) | Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions. |
(3) | The net asset value at the beginning of the period differs from the beginning net asset value reflected on the Statement of Changes in Net Assets due to a change in unrealized gain/(loss) from the inception date, March 31, 2016, to when the initial basket was created. |
(4) | Annualized. |
(5) | Not annualized. |
The accompanying notes are an integral part of the financial statements.
8
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017
1. ORGANIZATION
Cambria ETF Trust (the “Trust”), a Delaware statutory trust, was formed on September 9, 2011 as a diversified, open-end registered management investment company under the Investment Company Act of 1940, as amended with multiple funds. The financial statements herein are those of the Dhandho Junoon ETF (the “Fund”). The financial statements of the remaining funds of the Trust are presented separately. The assets of each fund are segregated, and a shareholder’s interest is limited to the fund in which shares are held. Cambria Investment Management, L.P. (the “Investment Adviser”) serves as the investment adviser to the Fund. The Fund is non-diversified.
The Fund commenced operations on April 1, 2016 as a separate series of the Elevation ETF Trust (the “Elevation Fund”) and was advised by ALPS Advisors, Inc. On December 5, 2016, shareholders of the Elevation Fund voted to approve the Agreement and Plan of Reorganization (the “Plan”), which provided for the reorganization of the Elevation Fund into the identically-named Dhandho Junoon ETF, a newly created series of the Trust. Effective January 20, 2017, all assets and liabilities of the Elevation Fund were acquired by the Fund pursuant to the terms of the Plan.
The investment objective of the Dhandho Junoon ETF is to seek investment results that correspond generally to the performance, before the Fund’s fees and expenses, of the Dhandho Junoon Index. The Fund has elected to qualify as a non-diversified series of the Trust under the 1940 Act.
Shares of the Fund are listed and traded on the NYSE Arca, Inc. Market prices for the Shares may be different from their net asset value (“NAV”). The Fund will issue and redeem Shares on a continuous basis at NAV only in large blocks of Shares, typically 25,000 Shares (50,000 shares prior to April 24, 2017), called “Creation Units.” Creation Units are to be issued and redeemed principally in kind for a basket of securities and a balancing cash amount. Shares generally will trade in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day.
The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
Effective April 30, 2017, the Fund changed its fiscal year end to April 30.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the Significant Accounting Policies followed by the Fund.
Use of Estimates — The Fund is an investment company in conformity with U.S. generally accepted accounting principles (“U.S.GAAP”).Therefore, the Fund follow the accounting and reporting guidance for investment companies. The preparation of financial statements in conformity with U.S.GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates, and could have a material impact to the Fund.
Security Valuation — Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ), including securities traded over the counter, are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded (or at approximately 4:00 pm Eastern Time if a security’s primary exchange is normally open at that time), or, if there is no such reported sale, at the most recent quoted bid.
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
9
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Continued)
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
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 Fund are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Fund 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 Fund’s 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 Fund discloses fair value of its 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 April 30, 2017, there have been no significant changes to the Fund’s fair valuation methodologies.
Federal Income Taxes — The Fund selected a tax year end of April 30, 2017. Prior to April 30, 2017, the Fund’s tax year end was October 31, 2016. The Fund intends to qualify as “regulated investment company” under Sub-chapter M of the Internal Revenue Code of 1986, as amended. If so qualified, the Fund will not be subject to U.S. federal income tax to the extent it distributes substantially all of its net investment income and net capital gains to its shareholders.
The Fund evaluates tax positions taken or expected to be taken in the course of preparing the Fund’s tax return 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 period.
The Fund 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.
10
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Continued)
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
As of and during the period ended April 30, 2017, the Fund did not have a liability for any unrecognized tax benefits. The Fund recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the period, the Fund did not incur any interest or penalties.
Offering Expenses — All offering expenses of the Trust were borne by the Investment Adviser and are not subject to future recoupment. As a result, 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 sales of investment securities are on the basis of specific identification. Dividend income is recorded on the ex-dividend date. Interest income is recognized on the accrual basis. Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income. Withholding taxes on foreign dividends have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and regulations.
Dividends and Distributions to Shareholders — The Fund generally pays out dividends from their net investment income, if any, annually, and distributes their net capital gains, if any, to shareholders at least annually. All distributions are recorded on ex-dividend date.
Creation Units — The Fund issues and redeems shares on a continuous basis at NAV in groups of 25,000 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.
The Distributor has entered into Participant Agreements with certain broker-dealers and others that allow those parties to be Authorized Participants and to subscribe for and redeem shares of the Fund. Such Authorized Participants may from time to time hold, of record or beneficially, a substantial percentage of the Fund’s shares outstanding, act as executing or clearing broker for investment transactions on behalf of the Fund and/or serve as counterparty to derivative transactions with the Fund.
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 April 30, 2017:
Creation Unit Shares | Transaction Fee | Value | Redemption Fee | |||||||||||||
Dhandho Junoon ETF | 25,000 | $ | 500 | $ | 660,000 | $ | 500 |
11
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Continued)
3. RELATED PARTIES
Investment Advisory Agreement — The Investment Adviser is responsible for overseeing the management and business affairs of the Fund, and has discretion to purchase and sell securities in accordance with the Fund’s objectives, policies, and restrictions. The Investment Adviser reviews, supervises, and administers the Fund’s investment program. The Investment Adviser has entered into an investment advisory agreement (“Management Agreement”) with respect to the Fund. Pursuant to that Management Agreement, the Fund pays 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 0.75%.
Prior to January 20, 2017, ALPS Advisors, Inc. served as the Fund’s investment adviser.
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, acquired fund fees and expenses, taxes, interest (including borrowing costs and dividend expenses on securities sold short), litigation expenses and other extraordinary expenses. The Management Agreement for the Fund 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 Fund, by a majority of the outstanding shares of the Fund, 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.
Dhandho Funds LLC (“Dhandho”), the Index provider and the Fund’s sponsor, is not affiliated with the Trust, the Investment Adviser or the distributor. The Investment Adviser has entered into a License Agreement with Dhandho, under which Dhandho agrees to license the use of the Underlying Index to the Investment Adviser. The Investment Adviser has also entered into a Strategic Partnership Agreement with Dhandho, under which Dhandho agrees to reimburse the Investment Adviser for certain covered expenses of the Fund. Dhandho will also provide marketing support for the Fund, including the distribution of marketing materials related to the Fund. Dhandho does not make investment decisions, provide investment advice, or otherwise act in the capacity of an investment adviser to the Fund. The Fund does not pay a separate licensing fee to use the Underlying Index.
Administrator, Custodian and Transfer Agent — SEI Investments Global Fund Services (the “Administrator”) serves as the Fund’s Administrator pursuant to an administration agreement. Brown Brothers Harriman & Co. (the “Custodian” and “Transfer Agent”) serves as the Fund’s Custodian and Transfer Agent pursuant to a Custodian Agreement and a Transfer Agency Services Agreement.
Prior to January 20, 2017, ALPS Fund Services, Inc., an affiliate of the ALPS Advisors, Inc., was the fund accountant and administrator of the Fund.
Distribution Agreement — SEI Investments Distribution Co., a wholly-owned subsidiary of SEI Investments and an affiliate of the Administrator (the “Distributor”), serves as the Fund’s distributor of Creation Units pursuant to a distribution agreement. The Distributor does not maintain any secondary market in Fund shares.
Prior to January 20, 2017, ALPS Distributors, Inc., an affiliated of ALPS Advisor, Inc. served as the distributor.
The Fund 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 Fund is 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 Fund and the Board of Trustees has not currently approved the commencement of any payments under the Plan.
Certain officers and/or interested trustees of the Fund are also officers/employees of the current and prior Distributor, Investment Advisor or the Administrator.
12
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Continued)
4. INVESTMENT TRANSACTIONS
For the period ended April 30, 2017, the purchases and sales of investments in securities excluding in-kind transactions, long-term U.S. Government and short-term securities were:
Purchases | Sales and Maturities | |||||||
Dhandho Junoon ETF | $ | 2,582,224 | $ | 2,607,813 |
For the period ended April 30, 2017 there were no purchases and sales of U.S. Government securities.
For the period ended April 30, 2017, in-kind transactions associated with creations and redemptions were:
Purchases | Sales and Maturities | Realized Gains | ||||||||||
Dhandho Junoon ETF | $ | 1,983,367 | $ | 670,308 | $ | 52,042 |
5. PRINCIPAL RISKS
As with all exchange traded funds (‘‘ETFs’’), shareholders of the Fund is subject to the risk that their investment could lose money. The Fund is 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’’.
Depositary Receipts Risk — The risks of investments in depositary receipts are substantially similar to Foreign Investment Risks. In addition, depositary receipts may not track the price of the underlying foreign securities, and their value may change materially at times when the U.S. markets are not open for trading.
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 Fund and the capital resources available for these companies’ dividend payments may adversely affect the Fund.
Equity Investing Risk — An investment in the Fund 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 Fund is passively-managed, meaning that it is 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 could be more volatile than, or trail the returns on, investments in U.S. securities. Investments in or exposures to foreign securities by the Fund is 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
13
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Continued)
5. PRINCIPAL RISKS (continued)
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 Fund may not match the return of their Underlying Index for a number of reasons. For example, the 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 the Fund and its Underlying Index may vary due to asset valuation differences and differences between the Fund’s portfolio and its Underlying Index resulting from legal restrictions, cost or liquidity constraints.
Index Risk — Unlike many investment companies, the Fund does not utilize an investing strategy that seeks returns in excess of the Fund’s Underlying Index. Therefore, the 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.
Cash — Cash equivalents may consist of cash balances and time deposits maintained or held at Brown Brothers Harriman. Such amounts may be in excess of Federal Deposit Insurance Corporation limitations.
Non-Diversification Risk — The Fund is non-diversified. Investment by the Fund in securities of a limited number of issuers may expose it to greater market risk and potential monetary losses than if its assets were diversified among the securities of a greater number of issuers.
6. GUARANTEES AND INDEMNIFICATIONS
In the normal course of business, the Fund enters into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. Additionally, under the Fund’s organizational documents, the officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. The Fund’s maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Fund. Based on experience, the Investment Adviser is of the view that the risk of loss to the Fund in connection with the Fund’s indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.
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.
14
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Continued)
7. INCOME TAXES (continued)
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.
Accordingly, the following permanent differences which are primarily attributable to partnership adjustments, reclassification of distributions paid and received, reallocation of dividend incomes from underlying funds and redemptions in-kind, have been reclassified to/from the following accounts.
Paid-in Capital | Undistributed Net Investment Loss | Accumulated Net Realized Loss | ||||||||||
Dhandho Junoon ETF | $ | 52,590 | $ | (553 | ) | $ | (52,037 | ) |
These reclassifications had no impact on the net assets or the net asset value per share of the Fund.
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:
Ordinary Income | Long-Term Capital Gain | Return of Capital | Totals | |||||||||||||
Dhandho Junoon ETF | ||||||||||||||||
2017 | $ | 21,999 | $ | — | $ | — | $ | 21,999 | ||||||||
2016 | — | — | — | — |
As of April 30, 2017, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
Dhandho Junoon ETF | ||||
Undistributed Ordinary Income | $ | 64,445 | ||
Undistributed Long-Term Capital Gain | 76,738 | |||
Unrealized Depreciation | (18,498 | ) | ||
Other Temporary Differences | (2 | ) | ||
Total Distributable Earnings | $ | 122,683 |
Under the Regulated Investment Company Modernization Act of 2010, the Fund is permitted to carry forward losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, post-enactment losses that are carried forward will retain their character as either short term or long term capital losses. As of April 30, 2017 the Fund had no capital losses.
For the period ended April 30, 2017 the Fund utilized capital loss carryforwards of $26,352 to offset current year realized gains.
15
Cambria Investment Management
Notes to the Financial Statements
April 30, 2017 (Concluded)
7. INCOME TAXES (continued)
The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Fund at April 30, 2017, were as follows:
Cambria Investment Management | Federal Tax Cost | Aggregated Gross Unrealized Appreciation | Aggregated Gross Unrealized Depreciation | Net Unrealized Depreciation | ||||||||||||
Dhandho Junoon ETF | $ | 4,034,265 | $ | 89,400 | $ | (107,898 | ) | $ | (18,498 | ) |
8. REGULATORY MATTERS
In October 2016, the Securities and Exchange Commission (the “SEC”) released its Final Rule on Investment Company Reporting Modernization (the “Rule”). The Rule which introduces two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contains amendments to Regulation S-X which impact financial statement presentation, particularly the presentation of derivative investments. Although still evaluating the impact of the Rule, management believes that many of the Regulation S-X amendments are consistent with the Fund’s current financial statement presentation and expects that the Fund will be able to comply with the Rule’s Regulation S-X amendments by the August 1, 2017 compliance date.
9. SUBSEQUENT EVENTS
On June 15, 2017, the Board of Trustees approved the closing and liquidation of the Fund. The Fund will liquidate on or around June 30, 2017.
The Fund has 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.
16
Cambria Investment Management
Report of Independent Registered Public Accounting Firm
To the Shareholders of Dhandho Junoon ETF and
Board of Trustees of Cambria ETF Trust
Board of Trustees of Cambria ETF Trust
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Dhandho Junoon ETF (the “Fund”), a series of Cambria ETF Trust, as of April 30, 2017, and the related statements of operations and changes in net assets and financial highlights for each of the two periods in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of April 30, 2017, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Dhandho Junoon ETF as of April 30, 2017, the results of its operations and the changes in its net assets and financial highlights for each of the two periods in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
As described in Note 9 to the financial statements, the Board of Trustees approved the closing and liquidation of the Fund on June 15, 2017, which indicates the Fund is not a going concern. The financial statements do not include any adjustments that might be necessary upon liquidation.
![](https://capedge.com/proxy/N-CSR/0001398344-17-008393/fp0026601_58.jpg)
COHEN & COMPANY, LTD.
Cleveland, Ohio
June 29, 2017
Cleveland, Ohio
June 29, 2017
17
Cambria Investment Management
Disclosure of Fund Expenses
(Unaudited)
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 (November 1, 2016 to April 30, 2017).
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 11/1/16 | Ending Account Value 4/30/17 | Annualized Expense Ratios | Expenses Paid During Period(1) | |
Dhandho Junoon ETF | ||||
Actual Fund Return | $ 1,000.00 | $ 1,083.30 | 0.75% | $ 3.87 |
Hypothetical 5% Return | $ 1,000.00 | $ 1,021.08 | 0.75% | $ 3.76 |
(1) | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied 181/365 (to reflect the one-half year period). |
18
Cambria Investment Management
Trustees and Officers
(Unaudited)
Set forth below are the names, ages, position with the Trust, term of office, length of time served and the principal occupations for the last five years of each of the persons currently serving as Trustees and Officers of the Trust. Trustees who are deemed not to be “interested persons” of the Trust are referred to as “Independent Trustees.” Mr. Richardson is a Trustee who is deemed to be an “interested” Trustee of the Fund as that term is defined in the 1940 Act by virtue of his employment with and ownership interest in the Investment Adviser. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling (855) 383-4636. The following chart lists Trustees and Officers as of April 30, 2017.
Name, Address, Age(1) | Position(s) Held with the Trust and Length of Time Served(2) | Principal Occupation(s) During the Past 5 Years | Other Directorships Held by Trustee During the Past 5 Years |
INTERESTED TRUSTEE(3) | |||
Eric W. Richardson DOB: 1966 | Trustee and President of the Trust (since 2012) | Co-founder and Chief Executive Officer, Cambria Investment Management, L.P. (2006-present); Manager, Cambria Indices, LLC (2013-present). | None |
INDEPENDENT TRUSTEES | |||
Eric Leake DOB: 1970 | Trustee (Since 2013) | Partner and Chief Investment Officer, Anchor Capital Management Group, Inc. (since 1996). | Board Member, National Association of Active Investment Management (NAAIM) (2008-2010). |
Dennis G. Schmal DOB: 1947 | Trustee (Since 2013) | Self-employed consultant (since 2003). | Director, AssetMark (formerly Genworth) Mutual Funds (2007-present); Director, Merriman Holdings Inc. (formerly MCF Corp.) (financial services) (2003-present); Director, Owens Realty Mortgage Inc. (real estate) (2013-present); Director and Chairman, Pacific Metrics Corporation (2005-2014) (educational services); Director and Chairman, Sitoa Global (2011-2013) (e-commerce); Trustee, Wells Fargo GAI Hedge Funds (2008-present). |
(1) | Unless otherwise noted, the business address of each trustee is Cambria ETF Trust, 2321 Rosecrans Avenue, Suite 3225, El Segundo CA 90245. Trustees oversee 12 funds in the Cambria ETF Trust. |
(2) | Each Trustee shall hold office during the lifetime of this trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns, or is removed in accordance with the Trust’s Trust Instrument. |
(3) | Denotes Trustees who may be deemed to be “interested” persons of the Fund as that term is defined in the 1940 Act by virtue of their affiliation with (the Distributor and/or its affiliates.) |
19
Cambria Investment Management
Trustees and Officers
(Unaudited) (Concluded)
Name, Address, Age(4) | Position(s) Held with the Trust and Length of Time Served(5) | Principal Occupation(s) During the Past 5 Years |
OFFICERS(6) | ||
Ryan DelGiudice DOB: 1990 | Chief Compliance Officer (Since 2017) | Vice President (2015-present), Manager (2013-2015), Cipperman Compliance Services; Chief Compliance Officer, Aspiration Funds (2014-present); Associate, Bank of New York Mellon (regulatory administration) (2012-2013). |
Mebane Faber DOB: 1977 | Vice President (Since 2012) | Co-founder and Chief Investment Officer, Cambria Investment Management, L.P. (2006-present); Manager, Cambria Indices, LLC (2013-present). |
Eric Kleinschmidt(7) 1 Freedom Valley Drive Oaks, PA 19456 DOB: 1968 | Principal Financial Officer (Since 2016) | Director of Fund Accounting, SEI Investments Global Funds Services since 2004. |
(4) | Unless otherwise noted, the business address of each officer is Cambria ETF Trust, 2321 Rosecrans Avenue, Suite 3225, El Segundo CA 90245. |
(5) | Each Trustee shall hold office during the lifetime of this trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns, or is removed in accordance with the Trust’s Trust Instrument. |
(6) | Officers oversee 12 funds in the Cambria ETF Trust. |
(7) | Certain officers and/or interested trustees of the Fund are also officers of the distributor, the advisor or the administrator. |
20
Cambria Investment Management
Approval of Advisory Agreement & Board Considerations
April 30, 2017 (Unaudited)
Board Consideration of the Investment Advisory Agreement
Dhandho Junoon ETF
The Board of Trustees (the “Board”) of Cambria ETF Trust (the “Trust”), including those Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), attended an in-person meeting held on September 13, 2016, called for the purpose of, among other things, the consideration of, and voting on, the approval of the investment advisory agreement (the “Agreement”) between the Trust and Cambria Investment Management, L.P. (“Cambria”) applicable to Dhandho Junoon ETF (the “Fund” or “JUNE”). In preparation for its deliberations, the Board requested and reviewed written responses from Cambria to a due diligence questionnaire circulated on the Board’s behalf. During its deliberations, the Board received an oral presentation from Cambria and was assisted by the advice of independent legal counsel.
In evaluating the Agreement, the Board reviewed information regarding Cambria’s personnel, operations, and financial condition. In addition, the Board considered that the evaluation process with respect to Cambria is an ongoing one and, in this regard, the Board considers information at each regularly scheduled meeting, including, among other things, information concerning performance and services provided by Cambria. At the meeting, the Board considered: (1) the nature, extent and quality of the services to be provided by Cambria to JUNE; (2) the investment performance of Cambria with respect to other passively-managed Cambria ETFs; (3) the costs of the services provided by Cambria and the expected profitability to Cambria derived from its relationship with JUNE; (4) the advisory fee and total expense ratio of JUNE compared to a relevant peer group of funds; (5) the extent to which economies of scale would be realized as JUNE grows and whether the advisory fee would enable investors to share in the benefits of economies of scale; (6) benefits (such as soft dollars, if any) received by Cambria and its affiliates from their relationship with JUNE; (7) Cambria’s reputation, expertise and resources in the financial markets; and (8) other factors the Board deemed relevant.
Nature, Quality and Extent of Services. The Board reviewed the nature, quality and extent of the overall services provided by Cambria to JUNE. In particular, the Board considered the responsibilities of Cambria, recognizing that Cambria had invested significant time and effort in structuring the Trust and JUNE, obtaining the necessary exemptive relief from the Securities and Exchange Commission, arranging service providers, exploring various sales channels, and assessing the appeal for JUNE’s investment strategy. In addition, the Board considered that Cambria is responsible for providing investment advisory services to JUNE, monitoring compliance with JUNE’s objectives, policies and restrictions, and carrying out directives of the Board. The Board also considered the services provided by Cambria in the oversight of the Trust’s distributor, administrator, transfer agent, and custodian. In addition, the Board evaluated the integrity of Cambria’s personnel, the professional qualifications and experience of the portfolio management team in managing assets, their experiences with Cambria’s services, and the adequacy of Cambria’s resources and financial condition.
Performance. The Board noted that, since JUNE had not yet commenced investment operations, JUNE had no investment performance. The Board considered that JUNE had previously commenced operations as a series of Elevation ETF Trust on April 1, 2016 but determined the performance of JUNE’s prior management would not be indicative of JUNE’s future performance under Cambria’s portfolio management. The Board noted, however, that Cambria has been relatively successful advising other passively managed ETFs, including other series of the Trust, using different quantitative investment strategies.
Comparative Fees and Expenses. The Board considered that Cambria proposed charging a unitary advisory fee of 0.75% to JUNE. The Trustees noted that under the unitary fee structure proposed, Cambria, and not JUNE, would be responsible for paying many of the expenses necessary to service JUNE, including those of other service providers. In considering the advisory fee, the Board reviewed and considered the fee in light of the nature, quality and extent of the services to be provided by Cambria to JUNE. With respect to the proposed advisory fee and estimated total expense ratio for JUNE, the Board considered how the proposed fee and expense ratio compared to the advisory fees and expense ratios of ETFs
21
Cambria Investment Management
Approval of Advisory Agreement & Board Considerations
April 30, 2017 (Unaudited) (Concluded)
with comparable strategies. The Board noted that JUNE’s proposed unitary advisory fee is comparable to the average total expense ratio of its peer funds. The Board then considered Cambria’s representation that it would continue to monitor JUNE’s expense ratio as compared to those of its peer funds to seek to ensure that JUNE remains competitive.
Costs and Profitability. The Board then considered the estimated profits to be realized by Cambria in connection with providing services to JUNE. The Board noted that since JUNE had not yet launched as a series of the Trust, it was difficult to estimate how profitable it would be to Cambria. The Board, however, reviewed estimated profit and loss information provided by Cambria with respect to JUNE. In particular, the Board also noted Cambria’s representation of its long-term commitment to the success of JUNE and its proposal of a unitary fee structure under which it bears the risk that JUNE expenses may increase. The Board further considered the costs associated with the personnel, systems and equipment necessary to manage JUNE and to meet the regulatory and compliance requirements adopted by the SEC and other regulatory bodies as well as other expenses Cambria would pay in accordance with the Agreement.
Other Benefits. The Board then considered the extent to which Cambria derives ancillary benefits from JUNE’s operations. The Board discussed the potential benefits to Cambria resulting from its ability to use JUNE’s assets to engage in soft dollar transactions. The Board noted that Cambria did not have any affiliates that would benefit from JUNE’s operations. The Board also reviewed the degree to which Cambria may receive compensation from JUNE based upon its investment in other Cambria ETFs.
Economies of Scale. The Board also considered whether economies of scale would be realized by JUNE as its assets grow larger, including the extent to which this is reflected in the level of fees to be charged. The Board noted that the proposed advisory fee for JUNE does not include breakpoints, but that it was premature - before the commencement of investment operations - to evaluate potential economies of scale. The Board, thus, determined to monitor potential economies of scale, as well as the appropriateness of introducing breakpoints, as assets managed by JUNE grow larger.
Conclusion. In approving the Agreement, the Board did not identify any single factor as being of paramount importance, and different Trustees may have given different weight to different factors. The Board reviewed a memorandum from Fund counsel discussing the legal standards applicable to its consideration of the Agreement. Based on its review, including consideration of each of the factors referenced above, the Board determined, in the exercise of its reasonable business judgment, that the advisory arrangement, as outlined in the Agreement, was fair and reasonable in light of the services to be performed, expenses to be incurred, and such other matters as the Board considered relevant. In light of the foregoing, the Board, including a majority of the Independent Trustees, determined to approve the Agreement for JUNE.
22
Cambria Investment Management
Notice to Shareholders
April 30, 2017 (Unaudited)
For shareholders that do not have an April 30, 2017, tax year end, this notice is for informational purposes only. For shareholders with an April 30, 2017 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended April 30, 2017, the Funds are designating the following items with regard to distributions paid during the year.
Return of Capital | Long-Term Capital Gain Distributions | Ordinary Income Distributions | Total Distributions | Qualifying Dividends(1) | Qualifying Dividend Income(2) | U.S. Government Interest(3) | Qualified Interest Income(4) | Qualified Short-Term Capital Gain(5) | |
Dhandho Junoon ETF | 0.00% | 0.00% | 100.00% | 100.00% | 58.76% | 59.32% | 0.00% | 0.00% | 0.00% |
(1) | Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary Income distributions (the total of short term capital gain and net investment income distributions). |
(2) | The percentage in this column represents the amount of “Qualifying Dividend Income” as created by the Jobs and Growth Relief Reconciliation Act of 2003 and its reflected as a percentage of ordinary income distributions (the total of short term capital gain and net investment income distributions). It is the intention of each of the aforementioned funds to designate the maximum amount permitted by law. |
(3) | “U.S. Government Interest represents the amount of interest that was derived from U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders of the Fund who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income. |
(4) | The percentage in this column represents the amount of “Qualifying Interest Income” as created by the American Jobs Creation Act of 2004 and is a percentage of net investment income that is exempt from U.S. withholding tax when paid for foreign investors. |
(5) | The percentage in this column represents the amount of “Qualifying Short-Term Capital Gain” as created by the American Jobs Creation Act of 2004 and is reflected as a percentage of short-term capital gain distributions that is exempt from U.S. withholding tax when paid to foreign investors. |
The information reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending April 30, 2017. Complete information will be computed and reported in conjunction with your 2017 Form 1099-DIV.
23
Cambria Investment Management
Supplemental Information
(Unaudited)
Net asset value, or “NAV”, is the price per share at which a Fund issues and redeems shares. It is calculated in accordance with the standard formula for valuing mutual fund shares. The “Market Price” of a 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. A Fund’s Market Price may be at, above or below its NAV. The NAV of a Fund will fluctuate with changes in the market value of the Fund’s holdings. The NAV of a Fund may also be impacted by the accrual of deferred taxes. The Market Price of a Fund generally fluctuates in response to 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 a Fund on a given day, generally at the time NAV is calculated. A premium is the amount that a Fund is trading above the reported NAV, expressed as a percentage of a NAV. A discount is the amount that the Fund is trading below the reported NAV, expressed as a percentage of the NAV.
Market Price One Year Total Return | Market Price, End of Period | |||||
Dhandho Junoon ETF | 30.99% | $ | 31.69 |
Dhandho Junoon ETF
Premium/ Discount Analysis
Inception Date 3/31/2016
Analysis Period 3/31/2016-4/30/17
Percent Above or Below Par | Number of Days at Discount/Premium | Percent of Days at Discount/Premium | |
-5.00% | — | — | |
-4.50% | — | — | |
-4.00% | — | — | |
-3.50% | — | — | |
Fund Sold at Discount | -3.00% | 2 | 0.33% |
-2.50% | 2 | 0.33% | |
-2.00% | 9 | 1.47% | |
-1.50% | 28 | 4.56% | |
-1.00% | 83 | 13.52% | |
-0.50% | 159 | 61.39% | |
Sold at Par | 0.00% | — | — |
0.50% | 87 | 33.59% | |
1.00% | 12 | 46.30% | |
1.50% | — | — | |
2.00% | 1 | 0.39% | |
Fund Sold at Premium | 2.50% | — | — |
3.00% | — | — | |
3.50% | — | — | |
4.00% | — | — | |
4.50% | — | — | |
5.00% | — | — |
24
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![](https://capedge.com/proxy/N-CSR/0001398344-17-008393/fp0026601_74.jpg)
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:
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue
Washington, District of Columbia 20004-2541
Independent Registered Public Accounting Firm:
Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, Ohio 44115
This information must be preceded or accompanied by a current prospectus.
CIM-AR-002-0100
Item 2. Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant's principal executive officer, principal financial officer, comptroller or principal accounting officer or any person who performs a similar function.
Item 3. Audit Committee Financial Expert.
(a) (1) The Registrant’s Board of Trustees has determined that the Registrant has an audit committee financial expert serving on the audit committee.
(a) (2) The audit committee financial expert Dennis G. Schmal is an independent trustee as defined in Form N-CSR Item 3 (a) (2)
Item 4. Principal Accountant Fees and Services.
Fees billed by Cohen Fund Audit Services, Ltd. (Cohen) related to the Registrant.
Cohen billed the Registrant aggregate fees for services rendered to the Registrant for the fiscal year 2017 and 2016, respectively, as follows:
Fiscal 2017 | Fiscal 2016 | ||||||
All fees and services to the Registrant that were pre-approved | All fees and services to service affiliates that were pre-approved | All other fees and services to service affiliates that did not require pre-approval | All fees and services to the Registrant that were pre-approved | All fees and services to service affiliates that were pre-approved | All other fees and services to service affiliates that did not require pre-approval | ||
(a) | Audit Fees | $115,500 | N/A | N/A | $77,000 | N/A | N/A |
(b) | Audit-Related Fees | $— | $— | $— | $— | $— | $— |
(c) | Tax Fees | $— | $— | $— | $— | $— | $— |
(d) | All Other Fees | $— | $— | $— | $— | $— | $— |
(e)(1) The Trust’s Audit Committee has adopted, and the Board of Trustees has ratified, an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Trust may be pre-approved .
(e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows (Cohen):
Fiscal 2017 | Fiscal 2016 | |
Audit-Related Fees | —% | —% |
Tax Fees | —% | —% |
All Other Fees | —% | —% |
(f) Not Applicable.
(g) The aggregate non-audit fees and services billed by Cohen for the fiscal year 2017 were $0.
(h) During the past fiscal year, Registrant's principal accountant provided certain non-audit services to Registrant's investment adviser or to entities controlling, controlled by, or under common control with Registrant's investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The Audit Committee of Registrant's Board of Trustees reviewed and considered these non-audit services provided by Registrant's principal accountant to Registrant's affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant's independence.
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.
Items 12. Exhibits.
(a)(1) Code of Ethics attached hereto.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are filed hereto.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Cambria ETF Trust | ||
By (Signature and Title) | /s/ Eric Richardson | |
Eric Richardson, President |
Date: July 7, 2017
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By | /s/ Eric Richardson | |
Eric Richardson, President | ||
Date: July 7, 2017 | ||
By | /s/ Eric Kleinschmidt | |
Eric Kleinschmidt, Principal Financial Officer | ||
Date: July 7, 2017 |