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)
3300 Highland Avenue
Manhattan Beach, CA 90266
(Address of principal executive offices) (Zip code)
Corporation Service Company
2711 Centreville 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
(310) 683-5500
Registrant’s telephone number, including area code
Date of fiscal year end: April 30
Date of reporting period: October 31, 2023
Item 1. Reports to Stockholders.
(a) |
![](https://capedge.com/proxy/N-CSRS/0001999371-24-000215/cambria-ncsrs_103123img001.gif)
Semi-Annual Report
October 31, 2023
Cambria Cannabis ETF (TOKE)
Cambria Emerging Shareholder Yield ETF (EYLD)
Cambria Foreign Shareholder Yield ETF (FYLD)
Cambria Global Asset Allocation ETF (GAA)
Cambria Global Momentum ETF (GMOM)
Cambria Global Real Estate ETF (BLDG)
Cambria Global Tail Risk ETF (FAIL)
Cambria Global Value ETF (GVAL)
Cambria Shareholder Yield ETF (SYLD)
Cambria Tail Risk ETF (TAIL)
Cambria Trinity ETF (TRTY)
Cambria Value and Momentum ETF (VAMO)
Cambria Investment Management
Table of Contents
This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus.
Schedules of Investments | |
1 | |
3 | |
6 | |
9 | |
11 | |
13 | |
15 | |
16 | |
19 | |
21 | |
22 | |
24 | |
27 | |
31 | |
35 | |
41 | |
53 | |
66 | |
68 | |
70 |
Semi-Annual Report | October 31, 2023 1
The accompanying notes are an integral part of these financial statements.
Cambria Cannabis ETF | |
Country Composition | |
United States | 65.5% |
Canada | 13.7% |
Great Britain | 12.6% |
Ireland | 7.7% |
Israel | 0.6% |
| 100.0% |
Percentages are based upon corporate bonds, U.S. Treasury obligations, common stocks, preferred stocks and convertible preferred stocks as a percentage of total investments.
Sector Weightings | |
Cambria Cannabis ETF | |
Consumer Staples | 51.8% |
Health Care | 29.8% |
Materials | 5.5% |
Real Estate | 4.9% |
Financials | 3.1% |
Industrials | 2.2% |
Consumer Discretionary | 1.8% |
Information Technology | 0.9% |
| 100.0% |
Percentages based on total investments.
| Shares |
| Value |
COMMON STOCKS - 92.7% | | | |
Consumer Discretionary - 1.7% | | ||
Greenlane Holdings, Inc. – Class A(a) | 2,871 | | $1,593 |
GrowGeneration Corp.(a) | 75,950 | | 154,938 |
| | | 156,531 |
Consumer Staples - 47.9% | | ||
Altria Group, Inc. | 15,750 | | 632,678 |
British American Tobacco PLC | 14,000 | | 417,580 |
Constellation Brands, Inc. – Class A | 4,200 | | 983,429 |
Imperial Brands PLC | 38,710 | | 823,848 |
Philip Morris International, Inc. | 7,350 | | 655,326 |
Turning Point Brands, Inc. | 20,300 | | 407,015 |
Universal Corp. | 8,925 | | 401,625 |
Village Farms International, Inc.(a) | 122,780 | | 88,402 |
| | | 4,409,903 |
Financials - 2.8% | | ||
AFC Gamma, Inc. - REIT | 24,675 | | 261,062 |
| | | |
| Shares |
| Value |
Health Care - 27.7%(b) | | ||
Aurora Cannabis, Inc.(a) | 386,365 | | $170,503 |
Canopy Growth Corp.(a) | 61,600 | | 34,816 |
cbdMD, Inc.(a) | 5,860 | | 3,458 |
Charlottes Web Holdings, Inc.(a) | 361,725 | | 91,295 |
Cronos Group, Inc.(a) | 232,330 | | 420,517 |
Intercure Ltd.(a) | 57,995 | | 57,995 |
Jazz Pharmaceuticals PLC(a) | 5,950 | | 755,768 |
MyMD Pharmaceuticals, Inc.(a) | 171,570 | | 72,917 |
Organigram Holdings, Inc.(a) | 177,843 | | 189,802 |
SNDL, Inc.(a) | 245,840 | | 354,010 |
Tilray Brands, Inc.(a) | 215,985 | | 388,773 |
| | | 2,539,854 |
Industrials - 2.1% | | ||
Agrify Corp.(a) | 452 | | 574 |
Hydrofarm Holdings Group, Inc.(a) | 138,565 | | 138,343 |
Urban-Gro, Inc.(a) | 37,730 | | 50,936 |
| | | 189,853 |
Information Technology - 0.8% | | ||
WM Technology, Inc.(a) | 66,640 | | 72,638 |
| | |
|
Materials - 5.1% | | ||
Scotts Miracle-Gro Co. | 10,500 | | 466,620 |
| | | |
Real Estate - 4.6% | | ||
Innovative Industrial Properties, Inc. - REIT | 5,810 | | 417,332 |
| | |
|
Total Common Stocks | | 8,513,793 | |
| | | |
Short-Term Investments - 7.0% | | | |
Money Market Funds - 7.0% | | |
|
First American Treasury Obligations Fund - Class X, 5.28%(b) | 646,877 | | 646,877 |
| |
| |
Total Short-Term Investments | | 646,877 | |
| | | |
Total Investments - 99.7% | | 9,160,670 | |
| | | |
Other Assets in Excess of Liabilities - 0.3% | | 26,558 | |
| | | |
Total Net Assets - 100.0% | | | $9,187,228 |
| | ||
Percentages are stated as a percent of net assets. | |
2www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria Cannabis ETFSchedule of Investments
October 31, 2023 (Unaudited)
PLC - Public Limited Company
REIT - Real Estate Investment Trust
(a)Non-income producing security.
(b)The rate shown represents the 7-day effective yield as of October 31, 2023.
Cambria Cannabis ETF(c)
| Level 1 | Level 2 | Level 3 | Total |
Investments: | | | | |
Common Stocks | $7,835,399 | $— | $— | $7,835,399 |
Real Estate Investment Trusts | 678,394 | — | — | 678,394 |
Short-Term Investments | 646,877 | — | — | 646,877 |
Total Investments | $9,160,670 | $— | $— | $9,160,670 |
(c)Refer to Note 2 in the Notes to Financial Statements for additional information.
Semi-Annual Report | October 31, 2023 3
The accompanying notes are an integral part of these financial statements.
Sector Weightings | |
Cambria Emerging Shareholder Yield ETF | |
Information Technology | 23.2% |
Energy | 17.7% |
Financials | 16.2% |
Materials | 12.0% |
Consumer Discretionary | 10.4% |
Industrials | 9.5% |
Utilities | 4.3% |
Consumer Staples | 3.4% |
Health Care | 2.2% |
Real Estate | 1.1% |
| 100.0% |
Percentages based on total investments.
| Shares |
| Value | |
COMMON STOCKS - 96.1% | | | | |
Brazil - 3.8% | | | ||
Cia de Saneamento de Minas Gerais Copasa MG | 544,000 | | $1,729,622 | |
Cielo SA | 2,544,800 | | 1,791,846 | |
Petroleo Brasileiro SA | 336,000 | | 2,519,125 | |
Ultrapar Participacoes SA | 576,000 | | 2,329,477 | |
| | | 8,370,070 | |
China - 17.1% | | | ||
Anhui Conch Cement Co. Ltd. – Class H | 560,000 | | 1,396,914 | |
Bank of Communications Co. Ltd. – Class H | 4,000,000 | | 2,366,698 | |
China Coal Energy Co. Ltd. – Class H | 2,720,000 | | 2,134,219 | |
China Hongqiao Group Ltd. | 182,000 | | 170,249 | |
China Petroleum & Chemical Corp. | 5,214,000 | | 2,665,218 | |
China Shenhua Energy Co. Ltd. – Class H | 1,120,000 | | 3,435,035 | |
E-Commodities Holdings Ltd. | 11,520,000 | | 1,987,413 | |
Fufeng Group Ltd. | 4,480,000 | | 2,324,373 | |
Huadian Power International Corp. Ltd. – Class H(a) | 7,214,000 | | 2,894,727 | |
JNBY Design Ltd. | 1,520,000 | | 1,849,193 | |
Lonking Holdings Ltd. | 6,880,000 | | 1,063,838 | |
People’s Insurance Co. Group of China Ltd. | 7,663,000 | | 2,526,506 | |
PetroChina Co. Ltd. - Class H | 4,702,000 | | 3,064,464 | |
Shenzhen Expressway Corp. Ltd. – Class H | 2,240,000 | | 1,846,331 | |
Tianli International Holdings Ltd. | 8,800,000 | | 2,507,779 | |
Yankuang Energy Group Co. Ltd. – Class H | 1,920,000 | | 3,336,890 | |
Zhejiang Expressway Co. Ltd. - Class H | 2,240,000 | | 1,686,029 | |
| | | 37,255,876 | |
| Shares |
| Value | |
Hong Kong - 1.1% | | | ||
China Medical System Holdings Ltd. | 1,600,000 | | $2,555,829 | |
| | | | |
India - 7.5% | | | ||
Bank of Baroda | 771,696 | | 1,818,509 | |
Coal India Ltd. | 829,518 | | 3,130,915 | |
Indian Bank | 833,031 | | 4,202,737 | |
Oil & Natural Gas Corp. Ltd. | 1,216,332 | | 2,719,476 | |
Oil India Ltd. | 823,446 | | 2,955,687 | |
Vedanta Ltd. | 878,370 | | 2,285,104 | |
| | | 17,112,428 | |
Indonesia - 1.6% | | | ||
Indo Tambangraya Megah Tbk PT | 992,000 | | 1,656,456 | |
United Tractors Tbk PT | 1,120,000 | | 1,771,483 | |
| | | 3,427,939 | |
South Korea - 14.5% | | | ||
Aekyung Chemical Co. Ltd. | 173,457 | | 1,392,228 | |
DB Insurance Co. Ltd. | 40,320 | | 2,624,211 | |
Doosan Bobcat, Inc. | 53,835 | | 1,544,635 | |
GS Holdings Corp. | 75,546 | | 2,203,926 | |
Hanmi Semiconductor Co. Ltd. | 162,180 | | 6,304,432 | |
HD Hyundai Construction Equipment Co. Ltd. | 52,660 | | ��1,735,123 | |
HD Hyundai Infracore Co. Ltd. | 358,996 | | 1,778,300 | |
Kia Corp. | 42,193 | | 2,402,460 | |
KT&G Corp. | 36,654 | | 2,315,047 | |
LX Semicon Co. Ltd. | 35,064 | | 1,858,933 | |
Poongsan Corp. | 72,464 | | 1,928,904 | |
PSK, Inc. | 138,620 | | 1,761,297 | |
S-Oil Corp. | 39,313 | | 1,932,830 | |
SSANGYONG C&E Co. Ltd. | 448,937 | | 1,851,526 | |
| | | 31,633,852 | |
Mexico - 3.7% | | | ||
Arca Continental SAB de CV | 320,000 | | 2,871,462 | |
Banco del Bajio SA(a) | 928,000 | | 2,825,333 | |
GCC SAB de CV | 272,000 | | 2,426,863 | |
| | | 8,123,658 | |
Poland - 2.6% | | | ||
Powszechna Kasa Oszczednosci Bank Polski SA(b) | 256,852 | | 2,653,862 | |
Powszechny Zaklad Ubezpieczen SA | 270,644 | | 3,059,165 | |
| | | 5,713,027 | |
Russia - 0.0%(c) | | | ||
Alrosa PJSC(b)(d)(e) | 538,800 | | — | |
Federal Grid Co. Unified Energy System PJSC(b)(d)(e) | 328,200,000 | | 4 | |
4www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria Emerging Shareholder Yield ETFSchedule of Investments
October 31, 2023 (Unaudited)
| Shares |
| Value | |
Russia (continued) | | | | |
Gazprom Neft PJSC(b)(d)(e) | 223,200 | | $— | |
Gazprom PJSC(b)(d)(e) | 423,000 | | — | |
Inter RAO UES PJSC(b)(d)(e) | 11,040,000 | | — | |
LUKOIL PJSC(b)(d)(e) | 17,160 | | — | |
Magnitogorsk Iron & Steel Works PJSC(b)(d)(e) | 1,560,000 | | — | |
NovaBev Group PJSC(b)(d)(e) | 20,340 | | — | |
Novolipetsk Steel PJSC(b)(d)(e) | 458,400 | | — | |
OGK-2 PJSC(b)(d)(e) | 94,200,000 | | 1 | |
Sberbank of Russia PJSC(b)(d)(e) | 276,600 | | — | |
Severstal PAO(b)(d)(e) | 85,200 | | — | |
Unipro PJSC(b)(d)(e) | 21,240,000 | | — | |
| | | 5 | |
South Africa - 16.2% | | | ||
Absa Group Ltd. | 18,109 | | 165,102 | |
AECI Ltd. | 441,580 | | 2,615,954 | |
African Rainbow Minerals Ltd. | 210,332 | | 1,733,215 | |
Exxaro Resources Ltd. | 194,856 | | 1,954,676 | |
Investec Ltd. | 514,716 | | 2,816,128 | |
Investec PLC | 523,764 | | 2,902,446 | |
Kumba Iron Ore Ltd. | 79,076 | | 2,095,201 | |
Motus Holdings Ltd. | 507,840 | | 2,521,012 | |
Nedbank Group Ltd. | 185,520 | | 1,996,499 | |
Reunert Ltd. | 918,598 | | 2,892,690 | |
Sanlam Ltd. | 606,580 | | 2,127,546 | |
Sasol Ltd. | 138,814 | | 1,759,093 | |
Sibanye Stillwater Ltd. | 951,576 | | 1,220,264 | |
Thungela Resources Ltd. | 182,408 | | 1,627,994 | |
Tiger Brands Ltd. | 213,990 | | 1,979,329 | |
Truworths International Ltd. | 1,221,486 | | 4,948,206 | |
| | | 35,355,355 | |
Taiwan - 24.2% | | | ||
Asustek Computer, Inc. | 320,000 | | 3,334,669 | |
Catcher Technology Co. Ltd. | 480,000 | | 2,685,987 | |
Chicony Electronics Co. Ltd. | 800,000 | | 3,070,757 | |
China Motor Corp. | 701,000 | | 1,873,800 | |
Dimerco Express Corp. | 1,342,454 | | 3,282,152 | |
Generalplus Technology, Inc. | 1,440,000 | | 2,184,307 | |
Global Mixed Mode Technology, Inc. | 269,000 | | 2,060,937 | |
Holy Stone Enterprise Co. Ltd. | 839,000 | | 2,454,790 | |
Huaku Development Co. Ltd. | 800,000 | | 2,259,288 | |
IEI Integration Corp. | 1,280,000 | | 2,703,253 | |
ITE Technology, Inc. | 960,000 | | 4,809,619 | |
Nantex Industry Co. Ltd. | 1,920,000 | | 2,036,319 | |
O-TA Precision Industry Co. Ltd. | 800,000 | | 2,103,900 | |
| Shares |
| Value | |
Taiwan (continued) | | | | |
Radiant Opto-Electronics Corp. | 640,000 | | $2,446,740 | |
Systex Corp. | 800,000 | | 2,466,471 | |
TaiDoc Technology Corp. | 480,000 | | 2,108,833 | |
Taiwan Semiconductor Co. Ltd. | 765,000 | | 1,834,962 | |
Topco Scientific Co. Ltd. | 52,000 | | 270,942 | |
Transcend Information, Inc. | 800,000 | | 1,810,390 | |
Tripod Technology Corp. | 640,000 | | 3,255,742 | |
Utechzone Co. Ltd. | 888,000 | | 1,894,546 | |
Winstek Semiconductor Co. Ltd. | 701,000 | | 1,819,769 | |
| | | 52,768,173 | |
Thailand - 0.1% | | | ||
Tisco Financial Group PCL | 72,800 | | 194,950 | |
| | | | |
Turkey - 3.7% | | | ||
Aksa Akrilik Kimya Sanayii AS | 48,165 | | 150,690 | |
Dogus Otomotiv Servis ve Ticaret AS | 413,580 | | 3,629,144 | |
Enerjisa Enerji AS(a) | 2,572,728 | | 4,418,813 | |
| | | 8,198,647 | |
Total Common Stocks | | 210,709,809 | | |
| | | | |
Short-Term Investments - 3.9% | | | | |
Money Market Funds - 3.9% | | |
| |
First American Treasury Obligations Fund - Class X, 5.28%(f) | 8,559,437 | | 8,559,437 | |
| | | | |
Total Short-Term Investments | | 8,559,437 | | |
| | | | |
Total Investments - 100.0% | | 219,269,246 | | |
| | | | |
Liabilities in Excess of Other Assets - 0.0%(c) | | (102,330 | ) | |
| | | | |
Total Net Assets - 100.0% | | | $219,166,916 | |
| ||||
Percentages are stated as a percent of net assets. | | |
AS - Turkish Joint Stock Company
PAO - Russian Public Stock Company
PJSC - Private Joint Stock Company
PLC - Public Limited Company
SA - Brazilian Limited Liability Corporation
Semi-Annual Report | October 31, 2023 5
The accompanying notes are an integral part of these financial statements.
Cambria Emerging Shareholder Yield ETFSchedule of Investments
October 31, 2023 (Unaudited)
(a)Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of October 31, 2023, the value of these securities total $10,138,873 or 4.6% of the Fund’s net assets.
(b)Non-income producing security.
(c)Represents less than 0.05% of net assets.
(d)Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting through its Valuation Committee. These securities represented $5 or 0.0% of net assets as of October 31, 2023.
(e)These securities are considered to be illiquid. The aggregate value of these securities at October 31, 2023 was $5, which represent 0.00% of the Fund’s net assets.
(f)The rate shown represents the 7-day effective yield as of October 31, 2023.
Represents less than 0.05% of net assets.
Cambria Emerging Shareholder Yield ETF(g)
| Level 1 | Level 2 | Level 3(h) | Total |
| | | | |
Investments: | ||||
Common Stocks | | | | |
Brazil | $8,370,070 | $— | $— | $8,370,070 |
China | 37,255,876 | — | — | 37,255,876 |
Hong Kong | 2,555,829 | — | — | 2,555,829 |
India | 17,112,428 | — | — | 17,112,428 |
Indonesia | 3,427,939 | — | — | 3,427,939 |
Korea | 31,633,852 | — | — | 31,633,852 |
Mexico | 8,123,658 | — | — | 8,123,658 |
Poland | 5,713,027 | — | — | 5,713,027 |
Russia | — | — | 5 | 5 |
South Africa | 35,355,355 | — | — | 35,355,355 |
Taiwan | 52,768,173 | — | — | 52,768,173 |
Thailand | 194,950 | — | — | 194,950 |
Turkey | 8,198,647 | — | — | 8,198,647 |
Total Common Stocks | 210,709,804 | — | 5 | 210,709,809 |
Short-Term Investments | 8,559,437 | — | — | 8,559,437 |
Total Investments | $219,269,241 | $— | $5 | $219,269,246 |
(g) Refer to Note 2 in the Notes to Financial Statements for additional information.
(h)A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or at the end of the period in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.
6www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Sector Weightings | |
Cambria Foreign Shareholder Yield ETF | |
Energy | 24.4% |
Financials | 20.9% |
Materials | 17.3% |
Industrials | 17.0% |
Consumer Discretionary | 6.8% |
Information Technology | 4.8% |
Communication Services | 4.5% |
Consumer Staples | 3.1% |
Real Estate | 1.2% |
| 100.0% |
Percentages based on total investments.
| Shares |
| Value | |
Common Stocks - 97.7% | | | | |
Australia - 7.9% | | | ||
CSR Ltd. | 589,475 | | $2,097,762 | |
Fortescue Metals Group Ltd. | 217,972 | | 3,083,426 | |
New Hope Corp. Ltd. | 651,554 | | 2,384,813 | |
Santos Ltd. | 431,400 | | 2,098,957 | |
Super Retail Group Ltd. | 289,045 | | 2,416,623 | |
Whitehaven Coal Ltd. | 338,930 | | 1,590,999 | |
Woodside Energy Group Ltd. | 94,571 | | 2,055,291 | |
Yancoal Australia Ltd. | 533,422 | | 1,634,354 | |
| | | 17,362,225 | |
Austria - 0.9% | | | ||
Wienerberger AG | 82,343 | | 1,998,697 | |
| | | | |
Canada - 17.8% | | | ||
Canadian Natural Resources Ltd. | 36,896 | | 2,342,933 | |
Corus Entertainment, Inc. – Class B | 1,260,958 | | 581,946 | |
Crescent Point Energy Corp. | 312,256 | | 2,503,902 | |
Imperial Oil Ltd. | 74,096 | | 4,222,683 | |
Interfor Corp.(a) | 114,632 | | 1,414,353 | |
International Petroleum Corp.(a) | 192,979 | | 2,041,740 | |
Labrador Iron Ore Royalty Corp. | 107,544 | | 2,365,309 | |
MEG Energy Corp.(a) | 165,782 | | 3,275,592 | |
Mullen Group Ltd. | 239,170 | | 2,269,679 | |
Parex Resources, Inc. | 110,488 | | 2,117,736 | |
Peyto Exploration & Development Corp. | 202,476 | | 2,131,711 | |
Secure Energy Services, Inc. | 415,164 | | 2,305,219 | |
Stelco Holdings, Inc. | 91,888 | | 2,589,496 | |
Suncor Energy, Inc. | 73,490 | | 2,379,979 | |
Trican Well Service Ltd. | 657,772 | | 2,224,590 | |
| Shares |
| Value | |
Canada (continued) | | | | |
West Fraser Timber Co. Ltd. | 19,104 | | $1,289,305 | |
Whitecap Resources, Inc. | 295,072 | | 2,278,869 | |
| | | 38,335,042 | |
Denmark - 2.3% | | | ||
D/S Norden AS | 44,176 | | 2,508,865 | |
Scandinavian Tobacco Group A/S – Class A(b) | 158,727 | | 2,356,012 | |
| | | 4,864,877 | |
Finland - 1.0% | | | ||
Mandatum Oyj(a) | 51,202 | | 197,854 | |
Sampo Oyj | 49,065 | | 1,926,591 | |
| | | 2,124,445 | |
France - 6.9% | | | ||
Amundi SA(b) | 36,461 | | 1,898,878 | |
AXA SA | 91,550 | | 2,707,975 | |
Coface SA | 172,605 | | 2,078,368 | |
Metropole Television SA | 112,722 | | 1,410,978 | |
Nexity SA | 82,534 | | 1,151,000 | |
SCOR SE | 103,153 | | 3,072,467 | |
TotalEnergies SE | 43,564 | | 2,913,209 | |
| | | 15,232,875 | |
Germany - 3.7% | | | ||
Bayerische Motoren Werke AG | 18,340 | | 1,700,509 | |
DWS Group GmbH & Co. KGaA(b) | 51,393 | | 1,504,122 | |
Freenet AG | 104,077 | | 2,636,367 | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 5,698 | | 2,281,997 | |
| | | 8,122,995 | |
Hong Kong - 6.4% | | | ||
China Resources Cement Holdings Ltd. | 3,056,868 | | 785,190 | |
CK Hutchison Holdings Ltd. | 364,922 | | 1,844,371 | |
New World Development Co. Ltd. | 764,216 | | 1,400,448 | |
Orient Overseas International Ltd. | 95,526 | | 1,204,261 | |
Pacific Basin Shipping Ltd. | 6,113,738 | | 1,765,701 | |
PC Partner Group Ltd. | 2,604,000 | | 1,034,911 | |
Shougang Fushan Resources Group Ltd. | 6,596,934 | | 2,166,592 | |
Skyworth Group Ltd. | 4,967,412 | | 1,796,463 | |
VTech Holdings Ltd. | 267,476 | | 1,556,951 | |
| | | 13,554,888 | |
Italy - 4.1% | | | ||
Anima Holding SpA(b) | 458,179 | | 1,869,386 | |
Eni SpA | 174,326 | | 2,845,762 | |
Unipol Gruppo SpA | 423,795 | | 2,292,311 | |
UnipolSai Assicurazioni SpA | 733,075 | | 1,735,942 | |
| | | 8,743,401 | |
Semi-Annual Report | October 31, 2023 7
The accompanying notes are an integral part of these financial statements.
Cambria Foreign Shareholder Yield ETFSchedule of Investments
October 31, 2023 (Unaudited)
| Shares |
| Value | |
Japan - 21.3% | | | ||
Citizen Watch Co. Ltd. | 536,800 | | $3,091,714 | |
Dai-ichi Life Holdings, Inc. | 129,600 | | 2,715,551 | |
Hakuto Co. Ltd. | 70,600 | | 2,356,827 | |
Iyogin Holdings, Inc. | 442,500 | | 3,154,355 | |
Japan Petroleum Exploration Co. Ltd. | 73,700 | | 2,504,074 | |
Japan Post Holdings Co. Ltd. | 275,500 | | 2,424,654 | |
Japan Tobacco, Inc. | 91,700 | | 2,130,138 | |
Kamigumi Co. Ltd. | 110,000 | | 2,213,426 | |
Kawasaki Kisen Kaisha Ltd. | 55,600 | | 1,886,530 | |
Kokuyo Co. Ltd. | 146,600 | | 2,251,590 | |
Macnica Holdings, Inc. | 53,600 | | 2,130,562 | |
Mitsubishi Logistics Corp. | 73,300 | | 1,896,152 | |
Mitsuboshi Belting Ltd. | 92,100 | | 2,630,995 | |
Mitsui & Co. Ltd. | 70,900 | | 2,533,830 | |
MS&AD Insurance Group Holdings, Inc. | 58,600 | | 2,123,634 | |
Press Kogyo Co. Ltd. | 699,500 | | 2,953,522 | |
Sumitomo Warehouse Co. Ltd. | 147,300 | | 2,340,085 | |
Tokio Marine Holdings, Inc. | 92,200 | | 2,033,479 | |
Yamato Kogyo Co. Ltd. | 55,300 | | 2,618,792 | |
| | | 45,989,910 | |
Luxembourg - 1.5% | | | ||
APERAM SA | 62,946 | | 1,741,673 | |
RTL Group SA | 41,266 | | 1,439,151 | |
| | | 3,180,824 | |
Netherlands - 1.9% | | | ||
NN Group NV | 61,839 | | 1,979,968 | |
Stellantis NV | 120,355 | | 2,241,319 | |
| | | 4,221,287 | |
New Zealand - 0.6% | | | ||
Fletcher Building Ltd. | 524,061 | | 1,318,976 | |
| | | | |
Norway - 4.0% | | | ||
Elkem ASA(b) | 667,733 | | 1,032,896 | |
Golden Ocean Group Ltd. | 238,184 | | 1,759,043 | |
Hoegh Autoliners ASA | 366,800 | | 2,965,015 | |
Telenor ASA | 186,171 | | 1,902,382 | |
Yara International ASA | 40,693 | | 1,329,604 | |
| | | 8,988,940 | |
Spain - 2.3% | | | ||
ACS Actividades de Construccion y Servicios SA | 65,228 | | 2,358,337 | |
Repsol SA | 174,716 | | 2,555,787 | |
| | | 4,914,124 | |
Sweden - 2.3% | | | ||
SSAB AB | 826,034 | | 4,849,898 | |
| | | | |
| Shares |
| Value | |
Switzerland - 1.8% | | | ||
Glencore PLC | 360,328 | | $1,905,787 | |
Holcim AG | 33,203 | | 2,046,968 | |
| | | 3,952,755 | |
United Kingdom - 11.0% | | | ||
abrdn PLC | 1,008,170 | | 1,919,559 | |
Aviva PLC(a) | 351,782 | | 1,700,033 | |
Balfour Beatty PLC | 571,443 | | 2,147,582 | |
Barratt Developments PLC | 406,879 | | 2,046,907 | |
BP PLC | 541,851 | | 3,310,090 | |
British American Tobacco PLC | 68,112 | | 2,031,588 | |
Legal & General Group PLC | 580,430 | | 1,491,393 | |
Man Group PLC/Jersey | 626,859 | | 1,672,406 | |
Persimmon PLC | 106,226 | | 1,311,783 | |
Quilter PLC(b) | 1,512,973 | | 1,469,316 | |
Rio Tinto PLC | 49,970 | | 3,191,680 | |
WPP PLC | 191,738 | | 1,646,718 | |
| | | 23,939,055 | |
Total Common Stocks | | 211,695,214 | | |
| | | | |
Short-Term Investments - 1.3% | | | | |
Money Market Funds - 1.3% | | |
| |
First American Treasury Obligations Fund - Class X, 5.28%(c) | 2,733,419 | | 2,733,419 | |
| | | | |
Total Short-Term Investments | | 2,733,419 | | |
| | | | |
Total Investments - 99.0% | | 214,428,633 | | |
| | | | |
Other Assets in Excess of Liabilities - 1.0% | | 2,233,185 | | |
| | | | |
Total Net Assets - 100.0% | | | $216,661,818 | |
| ||||
Percentages are stated as a percent of net assets. | | |
GmH - German Company with limited liability
KgaA - German Master Limited Partnership
Oyj - Finnish public stock company
PLC - Public Limited Company
SpA - Italian Public Limited Company
8www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria Foreign Shareholder Yield ETFSchedule of Investments
October 31, 2023 (Unaudited)
(a)Non-income producing security.
(b)Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of October 31, 2023, the value of these securities total $10,130,610 or 4.7% of the Fund’s net assets.
(c)The rate shown represents the 7-day effective yield as of October 31, 2023.
Cambria Foreign Shareholder Yield ETF(d)
| Level 1 | Level 2 | Level 3 | Total |
Investments: | | | | |
Common Stocks | $211,695,214 | $— | $— | $211,695,214 |
Short-Term Investments | 2,733,419 | — | — | 2,733,419 |
Total Investments | $214,428,633 | $— | $— | $214,428,633 |
(d)Refer to Note 2 in the Notes to Financial Statements for additional information.
Semi-Annual Report | October 31, 2023 9
The accompanying notes are an integral part of these financial statements.
Sector Weightings | |
Cambria Global Asset Allocation ETF | |
Exchange Traded Funds | 100.0% |
| 100.0% |
Percentages based on total investments.
| Shares |
| Value | |
Exchange Traded Funds - 98.7% | | | | |
Alpha Architect International Quantitative Momentum ETF | 39,520 | | $935,834 | |
Alpha Architect US Quantitative Momentum ETF | 46,550 | | 1,910,133 | |
Alpha Architect Value Momentum Trend ETF | 21,964 | | 470,030 | |
Cambria Emerging Shareholder Yield ETF(a) | 166,136 | | 4,557,109 | |
Cambria Foreign Shareholder Yield ETF(a) | 95,418 | | 2,237,552 | |
Cambria Global Real Estate ETF(a) | 142,500 | | 3,132,065 | |
Cambria Global Value ETF(a) | 147,364 | | 2,817,305 | |
Cambria Shareholder Yield ETF(a) | 67,070 | | 3,957,129 | |
Cambria Value and Momentum ETF(a) | 83,410 | | 2,175,066 | |
Graniteshares Gold Trust(b) | 87,666 | | 1,720,884 | |
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 235,144 | | 3,451,913 | |
Schwab US TIPS ETF | 27,626 | | 1,381,853 | |
SPDR FTSE International Government Inflation-Protected Bond ETF | 32,718 | | 1,245,901 | |
VanEck Emerging Markets High Yield Bond ETF | 112,632 | | 1,967,681 | |
VanEck Gold Miners ETF/USA | 15,732 | | 440,653 | |
VanEck International High Yield Bond ETF | 52,364 | | 1,013,757 | |
VanEck J. P. Morgan EM Local Currency Bond ETF | 129,124 | | 3,060,239 | |
Vanguard® Intermediate-Term Corporate Bond ETF | 19,950 | | 1,485,278 | |
Vanguard® Intermediate-Term Treasury ETF | 35,454 | | 2,003,860 | |
Vanguard® Long-Term Treasury ETF | 29,678 | | 1,561,360 | |
Vanguard® Short-Term Corporate Bond ETF | 14,174 | | 1,061,066 | |
Vanguard® Total Bond Market ETF | 47,500 | | 3,255,175 | |
Vanguard® Total International Bond ETF | 53,428 | | 2,547,447 | |
Total Exchange Traded Funds | | 48,389,290 | | |
| | | |
| Shares |
| Value | |
Short-Term Investments - 1.2% | | | | |
Money Market Funds - 1.2% | | |
| |
First American Treasury Obligations Fund - Class X, 5.28%(c) | 575,959 | | $575,959 | |
| | | | |
Total Short-Term Investments | | 575,959 | | |
| | | | |
Total Investments - 99.9% | | 48,965,249 | | |
| | | | |
Other Assets in Excess of Liabilities - 0.1% | | 24,696 | | |
| | | | |
Total Net Assets - 100.0% | | | $48,989,945 | |
| ||||
Percentages are stated as a percent of net assets. | | |
ETF - Exchange Traded Funds
FTSE - Financial Times Stock Exchange
SPDR - Standard & Poor’s Depository Receipt
TIPS - Treasury Inflated Protected Security
(a)Affiliated company as defined by the Investment Company Act of 1940.
(b)Non-income producing security.
(c)The rate shown represents the 7-day effective yield as of October 31, 2023.
10www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria Global Asset Allocation ETFSchedule of Investments
October 31, 2023 (Unaudited)
Transactions with affiliated companies during the period ended October 31, 2023 are as follows:
Security Name | Market Value as of | Purchases | Purchases In-Kind | Sales | Sales | Market Value as of | Share Balance as of | Dividends | Change in Unrealized | Realized |
Cambria Emerging Shareholder Yield ETF | $4,781,062 | $— | $369,250 | $— | $(374,639) | $4,557,109 | $166,136 | $240,402 | $(221,505) | $2,941 |
Cambria Foreign Shareholder Yield ETF | 2,422,663 | — | 179,774 | — | (184,180) | 2,237,552 | 95,418 | 98,031 | (183,546) | 2,841 |
Cambria Global Real Estate ETF | 3,079,046 | 400,349 | 265,996 | — | (259,848) | 3,132,065 | 142,500 | 130,910 | (351,559) | (1,919) |
Cambria Global Value ETF | 3,046,014 | — | 228,587 | — | (234,871) | 2,817,305 | 147,364 | 136,399 | (228,820) | 6,395 |
Cambria Shareholder Yield ETF | 3,896,096 | — | 324,679 | — | (316,924) | 3,957,129 | 67,070 | 19,205 | (105,610) | 158,888 |
Cambria Value and Momentum ETF | 2,051,536 | — | 172,852 | — | (166,911) | 2,175,066 | 83,410 | 10,697 | 53,967 | 63,622 |
Grand Total | $19,276,417 | $400,349 | $1,541,138 | $— | $(1,537,373) | $18,876,226 | $701,898 | $635,644 | $(1,037,073) | $232,768 |
Cambria Global Asset Allocation ETF(a)
| Level 1 | Level 2 | Level 3 | Total |
Investments: | | | | |
Exchange Traded Funds | $48,389,290 | $— | $— | $48,389,290 |
Short-Term Investments | 575,959 | — | — | 575,959 |
Total Investments | $48,965,249 | $— | $— | $48,965,249 |
(a)Refer to Note 2 in the Notes to Financial Statements for additional information.
Semi-Annual Report | October 31, 2023 11
The accompanying notes are an integral part of these financial statements.
Sector Weightings | |
Cambria Global Momentum ETF | |
Exchange Traded Funds | 100.0% |
| 100.0% |
Percentages based on total investments.
| Shares |
| Value | |
Exchange Traded Funds - 99.2% | | | | |
Cambria Emerging Shareholder Yield ETF(a) | 662,918 | | $18,183,840 | |
Cambria Foreign Shareholder Yield ETF(a) | 749,169 | | 17,568,012 | |
Cambria Shareholder Yield ETF(a) | 144,023 | | 8,497,357 | |
Cambria Value and Momentum ETF(a) | 349,633 | | 9,117,310 | |
iMGP DBi Managed Futures Strategy ETF | 316,354 | | 9,107,832 | |
Invesco DB Energy Fund | 419,260 | | 9,404,002 | |
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 636,511 | | 9,343,981 | |
iShares® Global Consumer Discretionary ETF | 57,967 | | 8,037,125 | |
iShares® Global Energy ETF | 231,140 | | 9,139,276 | |
iShares® Global Tech ETF | 169,465 | | 9,795,077 | |
Grizzle Growth ETF(b) | 377,058 | | 8,892,724 | |
United States Commodity Index Fund(c) | 158,635 | | 9,377,629 | |
Vanguard® Total Stock Market ETF | 42,109 | | 8,707,720 |
WisdomTree Managed Futures Strategy Fund | 258,821 | | $8,688,621 | |
Total Exchange Traded Funds | | 143,860,506 | | |
| | | | |
Short-Term Investments - 0.8% | | | | |
Money Market Funds - 0.8% | | |
| |
First American Treasury Obligations Fund - Class X, 5.28%(d) | 1,180,027 | | 1,180,027 | |
| | | | |
Total Short-Term Investments | | 1,180,027 | | |
| | | | |
Total Investments - 100.0% | | | 145,040,533 | |
| | | | |
Liabilities in Excess of Other Assets - 0.0%(d) | | (46,555) | ||
| | | | |
Total Net Assets - 100.0% | | $144,993,978 | | |
| ||||
Percentages are stated as a percent of net assets. | | |
(a)Affiliated company as defined by the Investment Company Act of 1940.
(b)Affiliated investment managed by Tidal Investments LLC, the Fund’s sub-adviser.
(c)Non-income producing security.
(d)The rate shown represents the 7-day effective yield as of October 31, 2023.
(e)Represents less than 0.05% of net assets.
Transactions with affiliated companies during the period ended October 31, 2023 are as follows:
Security Name | Market Value as of | Purchases | Purchases In-Kind | Sales | Sales In-Kind | Market Value as of | Share Balance as of | Dividends | Change in Unrealized Gain (Loss) | Realized Gain/Loss |
Cambria Emerging Shareholder Yield ETF | $21,819,192 | $179,000 | $— | $— | $(2,909,064) | $18,183,840 | $662,918 | $1,064,588 | $(953,845) | $48,557 |
Cambria Foreign Shareholder Yield ETF | 21,697,862 | 10,304,825 | — | (10,226,994) | (2,388,314) | 17,568,012 | 749,169 | 546,121 | (945,254) | (874,113) |
Cambria Shareholder Yield ETF | — | 9,489,066 | — | — | (486,000) | 8,497,357 | 144,023 | 45,181 | (504,945) | (764) |
Cambria Value and Momentum ETF | — | 9,395,809 | — | — | (249,881) | 9,117,310 | 349,633 | — | (29,089) | 471 |
Grizzle Growth ETF | — | 9,404,591 | — | — | (255,888) | 8,892,724 | 377,058 | — | (262,244) | 6,265 |
| $43,517,054 | $38,773,291 | $— | $(10,226,994) | $(6,289,147) | $62,259,243 | $2,282,801 | $1,655,890 | $(2,695,377) | $(819,584) |
12www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria Global Momentum ETFSchedule of Investments
October 31, 2023 (Unaudited)
Investments no longer affiliated as of October 31, 2023
Security Name | Market Value as of | Purchases | Purchases In-Kind | Sales | Sales In-Kind | Market Value as of | Share Balance as of | Dividends | Change in Unrealized Gain (Loss) | Realized Gain/Loss |
Cambria Global Value ETF | $22,308,015 | $— | $(17,946,869) | $— | $(2,268,697) | $— | $— | $694,341 | $(1,194,611) | $(897,838) |
Invesco DB Precious Metals Fund | 11,918,973 | — | — | (10,201,839) | (1,003,346) | — | — | — | (747,254) | 33,466 |
| $34,226,988 | $— | $(17,946,869) | $(10,201,839) | $(3,272,043) | $— | $— | $694,341 | $(1,941,865) | $(864,372) |
| | | | | | | | | | |
Grand Total | $77,744,042 | $38,773,291 | $(17,946,869) | $(20,428,833) | $(9,561,190) | $62,259,243 | $2,282,801 | $2,350,231 | $(4,637,242) | $(1,683,956) |
Cambria Global Momentum ETF(a)
| Level 1 | Level 2 | Level 3 | Total |
Investments: | | | | |
Exchange Traded Funds | $143,860,506 | $— | $— | $143,860,506 |
Short-Term Investments | 1,180,027 | — | — | 1,180,027 |
Total Investments | $145,040,533 | $— | $— | $145,040,533 |
(a)Refer to Note 2 in the Notes to Financial Statements for additional information.
Semi-Annual Report | October 31, 2023 13
The accompanying notes are an integral part of these financial statements.
Sector Weightings | |
Cambria Global Real Estate ETF | |
Real Estate | 100.0% |
| 100.0% |
Percentages based on total investments.
| Shares |
| Value |
Real Estate Investment Trusts - 94.7% | | | |
Australia - 4.3% | | ||
BWP Trust | 118,788 | | $244,897 |
Hotel Property Investments Ltd. | 139,118 | | 225,918 |
Mirvac Group | 148,827 | | 171,823 |
Vicinity Ltd. | 236,531 | | 255,073 |
| | | 897,711 |
France - 3.6% | | ||
Carmila SA | 14,896 | | 208,367 |
Klepierre SA | 13,091 | | 317,201 |
Mercialys SA | 27,892 | | 237,281 |
| | | 762,849 |
Hong Kong - 2.6% | | ||
Champion Real Estate Investment Trust | 627,000 | | 197,909 |
Fortune Real Estate Investment Trust | 304,000 | | 170,157 |
Sunlight Real Estate Investment Trust | 608,000 | | 167,826 |
| | | 535,892 |
Japan - 3.8% | | ||
Ooedo Onsen Reit Investment Corp. | 684 | | 293,320 |
Tokyu Real Estate Investment Trust, Inc. | 190 | | 226,132 |
Tosei Reit Investment Corp. | 304 | | 273,364 |
| | | 792,816 |
Malaysia - 2.4% | | ||
IGB Real Estate Investment Trust | 830,300 | | 296,256 |
Pavilion Real Estate Investment Trust | 849,300 | | 215,690 |
| | | 511,946 |
Mexico - 7.8% | | ||
Concentradora Fibra Danhos SA de CV | 355,300 | | 381,135 |
FIBRA Macquarie Mexico(a) | 187,530 | | 288,540 |
Fibra Uno Administracion SA de CV | 216,790 | | 329,592 |
Prologis Property Mexico SA de CV | 64,600 | | 231,935 |
TF Administradora Industrial S de RL de CV | 224,200 | | 363,615 |
| | | 1,594,817 |
| Shares |
| Value |
Netherlands - 2.7% | | ||
Vastned Retail NV | 12,958 | | $259,410 |
Wereldhave NV | 20,311 | | 305,818 |
| | | 565,228 |
Singapore - 2.4% | | ||
AIMS APAC Real Estate Investment Trust | 248,900 | | 218,150 |
PARAGON Real Estate Investment Trust | 450,300 | | 261,468 |
| | | 479,618 |
South Africa - 4.9% | | ||
Growthpoint Properties Ltd. | 395,656 | | 205,709 |
Redefine Properties Ltd. | 1,460,568 | | 274,285 |
SA Corporate Real Estate Ltd. | 2,667,980 | | 273,419 |
Stor-Age Property Real Estate Investment Trust Ltd. | 406,429 | | 261,685 |
| | | 1,015,098 |
Thailand - 2.5% | | ||
Frasers Property Thailand Industrial Freehold & Leasehold Real Estate Investment Trust | 1,018,400 | | 272,008 |
WHA Premium Growth Freehold & Leasehold Real Estate Investment Trust | 1,018,400 | | 256,424 |
| | | 528,432 |
Turkey - 1.2% | | ||
Emlak Konut Gayrimenkul Yatirim Ortakligi AS | 1,100,860 | | 255,008 |
| | | |
United States - 56.5%(b) | | ||
Agree Realty Corp. | 4,560 | | 255,086 |
Apple Hospitality Real Estate Investment Trust, Inc. | 19,475 | | 305,368 |
Armada Hoffler Properties, Inc. | 26,828 | | 267,207 |
AvalonBay Communities, Inc. | 1,235 | | 204,689 |
Brixmor Property Group, Inc. | 15,200 | | 316,008 |
Broadstone Net Lease, Inc. | 14,079 | | 199,218 |
CareTrust Real Estate Investment Trust, Inc. | 15,314 | | 329,557 |
Chatham Lodging Trust | 24,909 | | 230,408 |
Community Healthcare Trust, Inc. | 7,372 | | 211,355 |
COPT Defense Properties | 11,400 | | 259,920 |
Empire State Realty Trust, Inc. | 45,809 | | 370,595 |
EPR Properties | 6,384 | | 272,597 |
Equity Commonwealth | 12,217 | | 231,390 |
Equity Residential | 5,035 | | 278,587 |
Essential Properties Realty Trust, Inc. | 9,272 | | 203,520 |
14www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria Global Real Estate ETFSchedule of Investments
October 31, 2023 (Unaudited)
| Shares |
| Value |
United States (continued) | | ||
Four Corners Property Trust, Inc. | 12,654 | | $269,530 |
Franklin Street Properties Corp. | 66,500 | | 115,710 |
Gaming and Leisure Properties, Inc. | 5,187 | | 235,438 |
Getty Realty Corp. | 7,752 | | 206,358 |
Global Net Lease, Inc. | 49,379 | | 392,069 |
Highwoods Properties, Inc. | 7,600 | | 135,964 |
Hudson Pacific Properties, Inc. | 42,389 | | 189,055 |
Innovative Industrial Properties, Inc. | 3,249 | | 233,376 |
InvenTrust Properties Corp. | 12,863 | | 322,861 |
Kilroy Realty Corp. | 5,700 | | 162,906 |
LTC Properties, Inc. | 7,391 | | 233,630 |
LXP Industrial Trust | 21,641 | | 171,180 |
Mid-America Apartment Communities, Inc. | 1,482 | | 175,098 |
National Health Investors, Inc. | 5,073 | | 253,853 |
NexPoint Diversified Real Estate Trust | 25,100 | | 197,788 |
NNN REIT, Inc. | 7,600 | | 276,108 |
Omega Healthcare Investors, Inc. | 9,975 | | 330,173 |
Orion Office Real Estate Investment Trust, Inc. | 35,169 | | 168,108 |
Physicians Realty Trust | 18,126 | | 196,848 |
Regency Centers Corp. | 9,042 | | 544,878 |
Retail Opportunity Investments Corp. | 19,000 | | 223,060 |
Rexford Industrial Realty, Inc. | 5,700 | | 246,468 |
RPT Realty | 26,600 | | 287,014 |
Sabra Health Care Real Estate Investment Trust, Inc. | 24,092 | | 328,615 |
Saul Centers, Inc. | 7,600 | | 264,252 |
SITE Centers Corp. | 22,800 | | 265,848 |
Spirit Realty Capital, Inc. | 7,505 | | 270,105 |
STAG Industrial, Inc. | 6,346 | | 210,814 |
Tanger Factory Outlet Centers, Inc. | 16,397 | | 369,752 |
Universal Health Realty Income Trust | 6,707 | | 257,817 |
VICI Properties, Inc. | 9,310 | | 259,749 |
| | | 11,729,930 |
Total Real Estate Investment Trusts | | 19,669,345 | |
| |||
Common Stocks - 2.4% | | | |
Canada - 1.0% | | ||
H&R Real Estate Investment Trust | 33,174 | | 204,056 |
| |||
Turkey - 1.4% | | ||
Yeni Gimat Gayrimenkul Ortakligi AS | 219,165 | | 287,739 |
| |||
Total Common Stocks | | 491,795 | |
| | | |
| Shares |
| Value |
Short-Term Investments - 2.4% | | | |
Money Market Funds - 2.4% | | |
|
First American Treasury Obligations Fund - Class X, 5.28%(b) | 505,809 | | $505,809 |
| |
| |
Total Short-Term Investments | | 505,809 | |
| | | |
Total Investments - 99.5% | | 20,666,949 | |
| | | |
Other Assets in Excess of Liabilities - 0.5% | | 107,477 | |
| | | |
Total Net Assets - 100.0% | | | $20,774,426 |
| | ||
Percentages are stated as a percent of net assets. | |
AS - Turkish Joint Stock Company
NV - Dutch Public Limited Liability Company
PLC - Public Limited Company
REIT - Real Estate Investment Trust
SA de CV - Mexican Public Limited Company with Variable Capital
(a)Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of October 31, 2023, the value of these securities total $288,540 or 1.4% of the Fund’s net assets.
(b)The rate shown represents the 7-day effective yield as of October 31, 2023.
Cambria Global Real Estate ETF(c)
| Level 1 | Level 2 | Level 3 | Total |
Investments: | | | | |
Real Estate Investment Trusts | $19,669,345 | $— | $— | $19,669,345 |
Common Stocks | 491,795 | — | — | 491,795 |
Short-Term Investments | 505,809 | — | — | 505,809 |
Total Investments | $20,666,949 | $— | $— | $20,666,949 |
(c)Refer to Note 2 in the Notes to Financial Statements for additional information.
Semi-Annual Report | October 31, 2023 15
The accompanying notes are an integral part of these financial statements.
Sector Weightings | |
Cambria Global Tail Risk ETF | |
Exchange Traded Funds | 79.8% |
Purchased Options | 15.2% |
Foreign Government Bond | 5.0% |
| 100.0% |
Percentages based on total investments.
| Shares |
| Value |
Exchange Traded Funds - 74.9% | | | |
iShares® 7-10 Year Treasury Bond ETF | 8,435 | | $755,693 |
iShares® TIPS Bond ETF | 7,254 | | 745,711 |
VanEck J. P. Morgan EM Local Currency Bond ETF | 29,150 | | 690,855 |
Vanguard® Total International Bond ETF | 14,221 | | 678,057 |
Total Exchange Traded Funds | | | 2,870,316 |
| Notional Amount |
| Contracts |
| Value |
Options Purchased - 14.3% | | | | | |
Put Options - 14.3% | | | | | |
MSCI EAFE Index | | | | | |
Expires 12/25/2023, | $779,166 | | 4 | | $9,500 |
Expires 03/15/2024, | 2,337,496 | | 12 | | 105,840 |
Expires 06/21/2024, | 2,727,079 | | 14 | | 157,640 |
Expires 09/20/2024, | 779,166 | | 4 | | 34,620 |
MSCI Emerging Markets Index | | | | | |
Expires 12/15/2023, | 366,079 | | 4 | | 16,320 |
Expires 03/15/2024, | 1,464,314 | | 16 | | 82,560 |
Expires 06/21/2024, | 1,464,314 | | 16 | | 99,920 |
Expires 09/20/2024, | 732,157 | | 8 | | 41,600 |
Total Put Options | | | | | 548,000 |
Total Options Purchased | | | | | 548,000 |
| Currency Face Amount |
| Value |
Foreign Government Bond - 4.7% | | | |
Colombian TES, 7.500%, 08/26/2026 | 812,500,000 | | $181,624 |
| | | |
Total Foreign Government Bond | | | 181,624 |
| | | |
| Shares | | |
Short-Term Investments - 4.7% | | | |
Money Market Funds - 4.7% | | |
|
First American Treasury Obligations Fund - Class X, 5.28%(a) | 181,994 | | 181,994 |
Total Short-Term Investments | | | 181,994 |
| | | |
Total Investments - 98.6% | | | 3,781,934 |
| | | |
Other Assets in Excess of Liabilities - 1.4% | | | 52,401 |
| | | |
Total Net Assets - 100.0% | | | $3,834,335 |
| |||
Percentages are stated as a percent of net assets. | | |
EAFE - Europe, Australasia and Far East
ETF - Exchange Traded Funds
MSCI - Morgan Stanley Capital International
TES - Trans Eurpoean Banking Services
TIPS - Treasure Inflated Protected Security
(a)The rate shown represents the 7-day effective yield as of October 31, 2023.
Cambria Global Tail Risk ETF(b)
| Level 1 | Level 2 | Level 3 | Total |
Investments: | | | | |
Exchange Traded Funds | $2,870,316 | $— | $— | $2,870,316 |
Options Purchased | — | 548,000 | — | 548,000 |
Foreign Government Bond | — | 181,624 | — | 181,624 |
Short-Term Investments | 181,994 | — | — | 181,994 |
Total Investments | $3,052,310 | $729,624 | $— | $3,781,934 |
(b) Refer to Note 2 in the Notes to Financial Statements for additional information.
16www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Sector Weightings | |
Cambria Global Value ETF | |
Financials | 35.0% |
Utilities | 16.7% |
Energy | 10.1% |
Materials | 9.6% |
Industrials | 8.9% |
Real Estate | 6.8% |
Consumer Staples | 5.2% |
Consumer Discretionary | 3.4% |
Information Technology | 1.5% |
Communication Services | 1.5% |
Health Care | 1.3% |
| 100.0% |
Percentages based on total investments.
| Shares |
| Value | |
Common Stocks – 93.3% | | | | |
Austria - 9.5% | | | ||
ANDRITZ AG | 14,490 | | $665,403 | |
AT&S Austria Technologie & | 32,655 | | 818,198 | |
BAWAG Group AG(a) | 19,950 | | 885,316 | |
Erste Group Bank AG(b) | 47,254 | | 1,685,736 | |
EVN AG(b) | 42,315 | | 1,148,441 | |
OMV AG | 21,210 | | 928,214 | |
Raiffeisen Bank International AG(b) | 62,580 | | 905,172 | |
Verbund AG - Class A | 11,130 | | 965,686 | |
Voestalpine AG | 29,295 | | 730,290 | |
Wienerberger AG | 33,075 | | 802,824 | |
| | | 9,535,280 | |
Brazil - 5.8% | | | ||
Atacadao SA | 399,000 | | 710,670 | |
Banco Santander Brasil SA | 147,000 | | 782,853 | |
Centrais Eletricas Brasileiras SA | 126,000 | | 867,199 | |
Cia Siderurgica Nacional SA | 315,000 | | 736,619 | |
JBS S/A | 252,000 | | 1,003,152 | |
Telefonica Brasil SA | 94,500 | | 846,456 | |
Vale SA | 63,000 | | 862,575 | |
| | | 5,809,524 | |
Chile - 8.7% | | | ||
Banco Santander Chile | 19,190,220 | | 836,651 | |
CAP SA | 79,485 | | 434,459 | |
Cencosud SA | 593,460 | | 961,472 | |
Cia Sud Americana de Vapores SA | 8,344,875 | | 463,397 | |
| Shares |
| Value | |
Chile (continued) | | | | |
Colbun SA | 9,456,720 | | $1,372,968 | |
Empresas CMPC SA | 637,350 | | 1,139,397 | |
Empresas Copec SA | 132,090 | | 874,451 | |
Enel Américas SA(b) | 8,988,420 | | 923,949 | |
Falabella SA | 351,120 | | 714,990 | |
Quinenco SA | 343,770 | | 930,445 | |
| | | 8,652,179 | |
Czech Republic - 7.9% | | | ||
CEZ AS | 40,950 | | 1,752,216 | |
Komercni Banka AS | 72,660 | | 2,127,993 | |
Moneta Money Bank AS(a) | 645,645 | | 2,494,318 | |
Philip Morris CR AS | 2,415 | | 1,662,109 | |
| | | 8,036,636 | |
Greece - 0.0%(c) | | | ||
FF Group(b)(d) | 25,407 | | — | |
| | | | |
Hong Kong - 6.8% | | | ||
BOC Hong Kong Holdings Ltd. | 315,000 | | 833,264 | |
China Overseas Land & Investment Ltd. | 367,500 | | 694,118 | |
China Resources Land Ltd. | 210,000 | | 786,301 | |
CK Asset Holdings Ltd. | 157,500 | | 786,972 | |
CK Hutchison Holdings Ltd. | 157,500 | | 796,029 | |
Geely Automobile Holdings Ltd. | 735,000 | | 833,130 | |
Orient Overseas International Ltd. | 52,500 | | 661,848 | |
Sino Land Co. Ltd. | 840,000 | | 838,363 | |
Swire Properties Ltd. | 378,000 | | 731,340 | |
| | | 6,961,365 | |
Italy - 10.0% | | | ||
A2A SpA | 574,245 | | 1,076,075 | |
Assicurazioni Generali SpA | 47,250 | | 937,161 | |
Banco BPM SpA | 219,660 | | 1,120,973 | |
Enel SpA | 155,190 | | 983,269 | |
Eni SpA | 65,520 | | 1,069,573 | |
Intesa Sanpaolo SpA | 360,780 | | 937,748 | |
Leonardo SpA | 78,855 | | 1,187,720 | |
Pirelli & C SpA(a) | 188,475 | | 837,786 | |
UniCredit SpA | 45,570 | | 1,139,142 | |
UnipolSai Assicurazioni SpA | 369,810 | | 875,721 | |
| | | 10,165,168 | |
Malaysia - 7.9% | | | ||
CIMB Group Holdings Bhd | 808,500 | | 968,944 | |
Hartalega Holdings Bhd(b) | 1,785,000 | | 775,517 | |
Hong Leong Bank Bhd | 199,500 | | 812,320 | |
Malayan Banking Bhd | 462,000 | | 874,644 | |
Semi-Annual Report | October 31, 2023 17
The accompanying notes are an integral part of these financial statements.
Cambria Global Value ETFSchedule of Investments
October 31, 2023 (Unaudited)
| Shares |
| Value | |
Malaysia (continued) | | | | |
Petronas Chemicals Group Bhd | 525,000 | | $808,794 | |
Public Bank Bhd | 892,500 | | 779,263 | |
RHB Bank Bhd | 682,500 | | 799,318 | |
Sime Darby Bhd | 1,753,500 | | 842,799 | |
Sime Darby Plantation Bhd | 777,000 | | 707,772 | |
Top Glove Corp. Bhd(b) | 3,570,000 | | 543,236 | |
| | | 7,912,607 | |
Poland - 10.5% | | | ||
Alior Bank SA(b) | 122,430 | | 1,923,628 | |
Jastrzebska Spolka Weglowa SA(b) | 60,690 | | 719,569 | |
KGHM Polska Miedz SA | 30,345 | | 808,686 | |
Lubelski Wegiel Bogdanka SA | 79,380 | | 693,530 | |
ORLEN SA | 189,057 | | 2,984,843 | |
PGE Polska Grupa Energetyczna SA(b) | 437,010 | | 757,185 | |
Powszechny Zaklad Ubezpieczen SA | 141,330 | | 1,597,493 | |
Tauron Polska Energia SA(b) | 1,242,150 | | 1,090,850 | |
| | | 10,575,784 | |
Russia - 0.0%(c) | | | ||
Alrosa PJSC(d)(e) | 1,262,976 | | — | |
Gazprom Neft PJSC(d)(e) | 334,880 | | — | |
Gazprom PJSC(b)(d)(e) | 373,048 | | — | |
Rosneft Oil Co. PJSC(d)(e) | 198,016 | | — | |
Sberbank of Russia PJSC(d)(e) | 287,609 | | — | |
Severstal PAO(b)(d)(e) | 82,992 | | — | |
Unipro PJSC(b)(d)(e) | 22,421,984 | | — | |
| | | — | |
Singapore - 8.9% | | | ||
CapitaLand Ascott Trust – REIT | 17,206 | | 11,310 | |
CapitaLand Investment Ltd./Singapore | 315,000 | | 676,405 | |
CDL Hospitality Trusts | 18,650 | | 13,213 | |
City Developments Ltd. | 168,000 | | 775,488 | |
Genting Singapore Ltd. | 1,386,000 | | 870,584 | |
Jardine Cycle & Carriage Ltd. | 42,000 | | 865,062 | |
Oversea-Chinese Banking Corp. Ltd. | 105,000 | | 972,428 | |
Sembcorp Industries Ltd. | 378,000 | | 1,267,224 | |
Singapore Airlines Ltd. | 241,500 | | 1,077,723 | |
United Overseas Bank Ltd. | 42,000 | | 828,865 | |
UOL Group Ltd. | 178,500 | | 769,200 | |
Venture Corp. Ltd. | 73,500 | | 628,090 | |
| | | 8,755,592 | |
Spain - 9.5% | | | ||
Acciona SA | 4,830 | | 608,164 | |
Banco Bilbao Vizcaya Argentaria SA | 132,510 | | 1,040,630 | |
Banco Santander SA | 325,710 | | 1,194,501 | |
CaixaBank SA | 295,470 | | 1,198,962 | |
| Shares |
| Value | |
Spain (continued) | | | | |
Enagas SA | 43,155 | | $721,236 | |
Endesa SA | 44,940 | | 844,744 | |
Ferrovial SE | 36,855 | | 1,109,054 | |
Iberdrola SA | 82,005 | | 911,080 | |
Mapfre SA | 523,740 | | 1,087,280 | |
Naturgy Energy Group SA | 31,185 | | 881,016 | |
| | | 9,596,667 | |
United Kingdom - 7.8% | | | ||
Anglo American PLC | 21,685 | | 552,576 | |
Aviva PLC(b) | 132,366 | | 639,676 | |
Barclays PLC | 510,720 | | 816,914 | |
BP PLC | 180,689 | | 1,103,803 | |
Legal & General Group PLC | 305,774 | | 785,675 | |
Lloyds Banking Group PLC | 1,737,855 | | 843,644 | |
Rio Tinto PLC | 13,765 | | 879,197 | |
Segro PLC - REIT | 64,470 | | 558,551 | |
Shell PLC | 33,390 | | 1,074,053 | |
Vodafone Group PLC | 619,710 | | 570,193 | |
| | | 7,824,282 | |
Total Common Stocks | | 93,825,084 | | |
| | | | |
Preferred Stocks - 2.9% | | | | |
Brazil - 2.9% | | | ||
Gerdau SA, 0.00% | 187,425 | | 813,380 | |
Itau Unibanco Holding SA, 0.00% | 210,000 | | 1,117,112 | |
Petroleo Brasileiro SA, 0.00% | 147,000 | | 1,012,607 | |
| | | 2,943,099 | |
Total Preferred Stocks | | 2,943,099 | | |
| | | | |
Short-Term Investments - 3.1% | | | | |
Money Market Funds - 3.1% | | |
| |
First American Treasury Obligations Fund - Class X, 5.28%(f) | 3,081,586 | | 3,081,586 | |
| | | | |
Total Short-Term Investments | | 3,081,586 | | |
| | | | |
Total Investments - 99.3% | | 99,849,769 | | |
| | | | |
Other Assets in Excess of Liabilities - 0.7% | | 681,380 | | |
| | | | |
Total Net Assets - 100.0% | | | $100,531,149 | |
| ||||
Percentages are stated as a percent of net assets. | | |
18www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria Global Value ETFSchedule of Investments
October 31, 2023 (Unaudited)
PJSC - Private Joint Stock Company
PLC - Public Limited Company
REIT - Real Estate Investment Trust
(a)Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of October 31, 2023, the value of these securities total $4,217,420 or 4.2% of the Fund’s net assets.
(b)Non-income producing security.
(c)Represents less than 0.05% of net assets.
(d)Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting through its Valuation Committee. These securities represented $0 or 0.0% of net assets as of October 31, 2023.
(e)These securities are considered to be illiquid. The aggregate value of these securities at October 31, 2023 was $0, which represent 0.00% of the Fund’s net assets.
(f)The rate shown represents the 7-day effective yield as of October 31, 2023.
Cambria Global Value ETF(g)
| Level 1 | Level 2 | Level 3(h) | Total |
Investments: | | | | |
Common Stocks | | | | |
Austria | $9,535,280 | $— | $— | $9,535,280 |
Brazil | 5,809,524 | — | — | 5,809,524 |
Chile | 8,652,179 | — | — | 8,652,179 |
Czech Republic | 8,036,636 | — | — | 8,036,636 |
Greece | — | — | — | — |
Hong Kong | 6,961,365 | — | — | 6,961,365 |
Italy | 10,165,168 | — | — | 10,165,168 |
Malaysia | 7,912,607 | — | — | 7,912,607 |
Poland | 10,575,784 | — | — | 10,575,784 |
Russia | — | — | 0(i) | 0(i) |
Singapore | 8,755,592 | — | — | 8,755,592 |
Spain | 9,596,667 | — | — | 9,596,667 |
United Kingdom | 7,824,282 | — | — | 7,824,282 |
Total Common Stocks | 93,825,084 | — | — | 93,825,084 |
Preferred Stocks | 2,943,099 | — | — | 2,943,099 |
Short-Term Investments | 3,081,586 | — | — | 3,081,586 |
Total Investments | $99,849,769 | $— | $— | $99,849,769 |
(g)Refer to Note 2 in the Notes to Financial Statements for additional information.
(h)A reconciliation of Level 3 investments is 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.
(i)Rounds to zero.
Semi-Annual Report | October 31, 2023 19
The accompanying notes are an integral part of these financial statements.
Sector Weightings | |
Cambria Shareholder Yield ETF | |
Energy | 24.3% |
Materials | 19.3% |
Financials | 18.6% |
Consumer Discretionary | 16.7% |
Industrials | 8.1% |
Health Care | 5.7% |
Information Technology | 4.6% |
Communication Services | 1.9% |
Consumer Staples | 0.8% |
| 100.0% |
Percentages based on total investments.
| Shares |
| Value | |
Common Stocks - 99.9% | | | | |
Communication Services - 1.9% | | | ||
Comcast Corp. | 195,576 | | $8,075,333 | |
Fox Corp. | 238,850 | | 7,258,652 | |
| | | 15,333,985 | |
Consumer Discretionary - 16.7% | | | ||
Adtalem Global Education, Inc.(a) | 203,725 | | 10,552,955 | |
Advance Auto Parts, Inc. | 47,770 | | 2,485,473 | |
AutoNation, Inc.(a) | 90,763 | | 11,806,451 | |
Big 5 Sporting Goods Corp. | 493,998 | | 3,487,626 | |
Dillard’s, Inc. - Class A | 42,150 | | 13,085,468 | |
Ethan Allen Interiors, Inc. | 298,984 | | 7,851,320 | |
Foot Locker, Inc. | 206,254 | | 4,329,271 | |
Haverty Furniture Cos., Inc. | 231,825 | | 6,039,041 | |
KB Home | 187,708 | | 8,296,694 | |
LKQ Corp. | 152,021 | | 6,676,762 | |
ODP Corp.(a) | 171,691 | | 7,712,360 | |
Oxford Industries, Inc. | 79,523 | | 6,711,741 | |
Penske Automotive Group, Inc. | 82,775 | | 11,843,447 | |
PulteGroup, Inc. | 177,311 | | 13,048,316 | |
Tapestry, Inc. | 215,246 | | 5,932,180 | |
Toll Brothers, Inc. | 189,051 | | 13,367,797 | |
Whirlpool Corp. | 49,456 | | 5,171,119 | |
| | | 138,398,021 | |
Consumer Staples - 0.8% | | | ||
Cal-Maine Foods, Inc. | 144,822 | | 6,561,885 | |
| | |
| |
| Shares |
| Value | |
Energy - 24.3% | | | ||
APA Corp. | 190,799 | | $7,578,536 | |
California Resources Corp. | 175,344 | | 9,221,341 | |
Chevron Corp. | 57,809 | | 8,424,506 | |
Civitas Resources, Inc. | 122,000 | | 9,202,460 | |
CNX Resources Corp.(a) | 492,312 | | 10,693,017 | |
ConocoPhillips | 76,713 | | 9,113,504 | |
CONSOL Energy, Inc. | 146,940 | | 13,502,316 | |
Coterra Energy, Inc. | 327,365 | | 9,002,538 | |
CVR Energy, Inc. | 408,293 | | 13,371,595 | |
Devon Energy Corp. | 140,781 | | 6,556,171 | |
EOG Resources, Inc. | 71,936 | | 9,081,920 | |
Exxon Mobil Corp. | 94,697 | | 10,023,677 | |
HF Sinclair Corp. | 149,492 | | 8,278,867 | |
Marathon Oil Corp. | 311,629 | | 8,510,588 | |
Marathon Petroleum Corp. | 77,556 | | 11,730,345 | |
Occidental Petroleum Corp. | 138,252 | | 8,545,356 | |
Pioneer Natural Resources Co. | 34,282 | | 8,193,398 | |
Plains GP Holdings LP – Class A | 704,467 | | 11,046,043 | |
Range Resources Corp. | 276,785 | | 9,919,974 | |
SM Energy Co. | 218,899 | | 8,826,008 | |
Valero Energy Corp. | 80,766 | | 10,257,282 | |
| | | 201,079,442 | |
Financials - 18.5% | | | ||
Affiliated Managers Group, Inc. | 57,013 | | 6,998,916 | |
Aflac, Inc. | 137,128 | | 10,711,067 | |
Allstate Corp. | 63,506 | | 8,137,024 | |
Ally Financial, Inc. | 208,783 | | 5,050,461 | |
American Financial Group, Inc. | 60,696 | | 6,637,715 | |
Ameriprise Financial, Inc. | 34,001 | | 10,695,695 | |
Assured Guaranty Ltd. | 168,881 | | 10,538,175 | |
Cathay General Bancorp | 206,816 | | 7,013,131 | |
Discover Financial Services | 70,531 | | 5,789,184 | |
Federated Hermes, Inc. - Class B | 246,718 | | 7,820,961 | |
Jefferies Financial Group, Inc. | 252,346 | | 8,120,494 | |
Lincoln National Corp. | 118,020 | | 2,569,295 | |
Loews Corp. | 138,533 | | 8,867,497 | |
MetLife, Inc. | 117,458 | | 7,048,655 | |
Mr Cooper Group, Inc.(a) | 164,947 | | 9,324,454 | |
PennyMac Financial Services, Inc. | 116,334 | | 7,817,645 | |
Principal Financial Group, Inc. | 123,921 | | 8,386,973 | |
PROG Holdings, Inc.(a) | 270,603 | | 7,411,816 | |
SLM Corp. | 446,790 | | 5,808,270 | |
Synchrony Financial | 173,939 | | 4,878,989 | |
Western Union Co. | 390,590 | | 4,409,761 | |
| | | 154,036,178 | |
20www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria Shareholder Yield ETF Schedule of Investments
October 31, 2023 (Unaudited)
| Shares |
| Value | |
Health Care - 5.7% | | | ||
AMN Healthcare Services, Inc.(a) | 70,531 | | $5,350,482 | |
Cigna Group | 32,034 | | 9,904,913 | |
McKesson Corp. | 20,854 | | 9,496,077 | |
Quest Diagnostics, Inc. | 51,142 | | 6,653,574 | |
Universal Health Services, Inc. – | 62,663 | | 7,888,645 | |
Viatris, Inc. | 894,704 | | 7,962,866 | |
| | | 47,256,557 | |
Industrials - 8.1% | | | ||
Atkore, Inc.(a) | 69,969 | | 8,695,747 | |
Builders FirstSource, Inc.(a) | 61,539 | | 6,678,212 | |
Encore Wire Corp. | 43,937 | | 7,857,254 | |
ManpowerGroup, Inc. | 92,449 | | 6,468,657 | |
Matson, Inc. | 109,590 | | 9,539,810 | |
Owens Corning | 85,204 | | 9,659,577 | |
Ryder System, Inc. | 91,371 | | 8,912,327 | |
Veritiv Corp. | 53,517 | | 9,066,315 | |
| | | 66,877,899 | |
Information Technology - 4.6% | | | ||
Arrow Electronics, Inc.(a) | 66,035 | | 7,489,029 | |
DXC Technology Co.(a) | 236,602 | | 4,772,262 | |
HP, Inc. | 271,446 | | 7,147,173 | |
Kulicke & Soffa Industries, Inc. | 150,954 | | 6,281,196 | |
Sanmina Corp.(a) | 158,484 | | 8,062,082 | |
Xerox Holdings Corp. | 339,167 | | 4,354,904 | |
| | | 38,106,646 | |
Materials - 19.3% | | | ||
Alpha Metallurgical Resources, Inc. | 58,448 | | 12,856,221 | |
CF Industries Holdings, Inc. | 74,465 | | 5,940,818 | |
Dow, Inc. | 155,955 | | 7,538,865 | |
DuPont de Nemours, Inc. | 117,458 | | 8,560,339 | |
Greif, Inc. – Class A | 125,326 | | 7,958,201 | |
Huntsman Corp. | 264,702 | | 6,175,498 | |
International Paper Co. | 181,245 | | 6,113,394 | |
Louisiana-Pacific Corp. | 200,353 | | 10,274,102 | |
LyondellBasell Industries NV – Class A | 80,085 | | 7,226,870 | |
Mosaic Co. | 252,619 | | 8,205,065 | |
Nucor Corp. | 78,250 | | 11,564,568 | |
Olin Corp. | 146,682 | | 6,266,255 | |
Reliance Steel & Aluminum Co. | 49,737 | | 12,652,097 | |
Ryerson Holding Corp. | 378,507 | | 10,995,628 | |
Steel Dynamics, Inc. | 85,424 | | 9,098,510 | |
Sylvamo Corp. | 167,959 | | 7,440,584 | |
United States Steel Corp. | 305,421 | | 10,350,718 | |
Warrior Met Coal, Inc. | 211,593 | | 10,310,927 | |
| | | 159,528,660 | |
| Shares |
| Value | |
Total Common Stocks | | $827,179,273 | | |
| | | | |
Short-Term Investments - 0.1% | | | | |
Money Market Funds - 0.1% | | |
| |
First American Treasury Obligations Fund - Class X, 5.28%(b) | 1,097,025 | | 1,097,025 | |
| | | | |
Total Short-Term Investments | | 1,097,025 | | |
| | | | |
Total Investments - 100.0% | | 828,276,298 | | |
| | | | |
Other Assets in Excess of Liabilities - 0.0%(c) | | 141,015 | | |
| | | | |
Total Net Assets - 100.0% | | | $828,417,313 | |
| ||||
Percentages are stated as a percent of net assets. | | |
(a)Non-income producing security.
(b)The rate shown represents the 7-day effective yield as of October 31, 2023.
(c)Represents less than 0.05% of net assets.
Cambria Shareholder Yield ETF(d)
| Level 1 | Level 2 | Level 3 | Total |
Investments: | | | | |
Common Stocks | $827,179,273 | $— | $— | $827,179,273 |
Short-Term Investments | 1,097,025 | — | — | 1,097,025 |
Total Investments | $828,276,298 | $— | $— | $828,276,298 |
(d)Refer to Note 2 in the Notes to Financial Statements for additional information.
Semi-Annual Report | October 31, 2023 21
The accompanying notes are an integral part of these financial statements.
Sector Weightings | |
Cambria Tail Risk ETF | |
U.S. Treasury Obligations | 90.3% |
Purchased Options | 9.7% |
| 100.0% |
Percentages based on total investments.
| Par |
| Value |
U.S. Treasury Obligations - 85.2% | | | |
U.S. Treasury Bond, 4.125%, 11/15/2032 | $110,580,000 | | $104,178,455 |
Total U.S. Treasury Obligations | | 104,178,455 |
| Notional Amount |
| Contracts |
| Value |
Options Purchased - 9.2% | | | | | |
Put Options - 9.2% | | | | | |
S&P 500® Index | | | | | |
Expires 12/15/2023, | $25,582,180 | | 61 | | $39,345 |
Expires 3/15/2024, | 77,585,300 | | 185 | | 1,043,400 |
Expires 6/21/2024, | 89,747,320 | | 214 | | 1,958,100 |
Expires 9/20/2024, | 51,583,740 | | 123 | | 2,710,305 |
Expires 9/20/2024, | 56,196,920 | | 134 | | 2,182,860 |
Expires 12/202024, | 63,326,380 | | 151 | | 3,284,250 |
Total Options | | 11,218,260 | |||
| | | | | |
Total Investments - 94.4% | | 115,396,715 | |||
| | | | | |
Other Assets in Excess of Liabilities - 5.6% | | 6,889,058 | |||
| | | | | |
Total Net Assets - 100.0% | | | | | $122,285,773 |
| |||||
Percentages are stated as a percent of net assets. | |
Cambria Tail Risk ETF(a)
| Level 1 | Level 2 | Level 3 | Total |
Investments: | | | | |
U.S. Treasury Obligations | $— | $104,178,455 | $— | $104,178,455 |
Options | — | 11,218,260 | — | 11,218,260 |
Total Investments | $— | $115,396,715 | $— | $115,396,715 |
(a)Refer to Note 2 in the Notes to Financial Statements for additional information.
22www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Sector Weightings | |
Cambria Trinity ETF | |
Exchange Traded Funds | 100.0% |
| 100.0% |
Percentages based on total investments.
| Shares |
| Value |
Exchange Traded Funds - 98.7% | | | |
Alpha Architect Value Momentum Trend ETF | 23,191 | | $496,287 |
Cambria Emerging Shareholder Yield ETF(a) | 339,782 | | 9,320,220 |
Cambria Foreign Shareholder Yield ETF(a) | 403,580 | | 9,463,951 |
Cambria Global Real Estate ETF(a) | 178,687 | | 3,927,433 |
Cambria Global Value ETF(a) | 251,821 | | 4,814,314 |
Cambria Shareholder Yield ETF(a) | 118,387 | | 6,984,833 |
Cambria Value and Momentum ETF(a) | 442,560 | | 11,540,548 |
First Trust Managed Futures Strategy Fund | 72,609 | | 3,512,177 |
iMGP DBi Managed Futures Strategy ETF | 232,888 | | 6,704,846 |
Invesco DB Energy Fund | 102,393 | | 2,296,675 |
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 471,500 | | 6,921,620 |
iShares® Global Consumer Discretionary ETF | 15,675 | | 2,173,339 |
iShares® Global Energy ETF | 60,928 | | 2,409,093 |
iShares® Global Tech ETF | 43,177 | | 2,495,631 |
KFA Mount Lucas Managed Future | 38,384 | | 1,241,722 |
Schwab US TIPS ETF | 45,503 | | 2,276,060 |
Simplify Managed Futures Strategy ETF | 45,185 | | 1,193,788 |
SPDR® FTSE International Government Inflation-Protected Bond ETF | 56,140 | | 2,137,811 |
Grizzle Growth ETF(b) | 93,685 | | 2,209,514 |
United States Commodity Index Fund(c) | 41,694 | | 2,464,720 |
VanEck J. P. Morgan EM Local Currency Bond ETF | 298,403 | | 7,072,151 |
Vanguard® Intermediate-Term Treasury ETF | 146,292 | | 8,268,424 |
Vanguard® Total Bond Market ETF | 95,675 | | 6,556,608 |
Vanguard® Total Stock Market ETF | 11,165 | | 2,308,810 |
WisdomTree Managed Futures Strategy Fund | 68,114 | | 2,286,587 |
Total Exchange Traded Funds | | 111,077,162 | |
| | | |
| Shares |
| Value |
Short-Term Investments - 1.3% | | | |
Money Market Funds - 1.3% | | |
|
First American Treasury Obligations Fund - Class X, 5.28%(d) | 1,419,067 | | $1,419,067 |
Total Short-Term Investments | | 1,419,067 | |
| | | |
Total Investments - 100.0% | | | 112,496,229 |
| | | |
Other Assets in Excess of Other Assets - 0.0%(e) | | 19,615 | |
| | | |
Total Net Assets - 100.0% | | $112,515,844 | |
| |||
Percentages are stated as a percent of net assets. | |
ETF - Exchange Traded Funds
FTSE - Financial Times Stock Exchange
SPDR - Standard & Poor’s Depository Receipt
TIPS - Treasury Inflated Protected Security
(a) Affiliated company as defined by the Investment Company Act of 1940.
(b)Affiliated investment managed by Tidal Investments LLC, the Fund’s sub-adviser.
(c)Non-income producing security.
(d)The rate shown represents the 7-day effective yield as of October 31, 2023.
(e)Represents less than 0.05% of net assets.
Semi-Annual Report | October 31, 2023 23
The accompanying notes are an integral part of these financial statements.
Cambria Trinity ETFSchedule of Investments
October 31, 2023 (Unaudited)
Transactions with affiliated companies during the period ended October 31, 2023 are as follows:
Security Name | Market Value as of | Purchases | Purchases In-Kind | Sales | Sales | Market Value as of | Share Balance as of | Dividends | Change in Unrealized Gain (Loss) | Realized |
Cambria Emerging Shareholder Yield ETF | $9,884,898 | $96,705 | $199,658 | $— | $(415,048) | $9,320,220 | $339,782 | $512,229 | $(469,469) | $23,476 |
Cambria Foreign Shareholder Yield ETF | 10,429,729 | 2,576,344 | 34,854 | (2,317,714) | (414,662) | 9,463,951 | 403,580 | 360,052 | (669,703) | (174,897) |
Cambria Global Real Estate ETF | 4,513,970 | — | 92,379 | (29,357) | (185,791) | 3,927,433 | 178,687 | 174,026 | (445,488) | (18,280) |
Cambria Global Value ETF | 10,618,324 | — | 215,004 | (4,860,258) | (219,873) | 4,814,314 | 251,821 | 490,357 | (375,868) | (563,015) |
Cambria Shareholder Yield ETF | 4,751,297 | 2,467,396 | 100,502 | — | (289,239) | 6,984,833 | 118,387 | 60,535 | (75,593) | 30,470 |
Cambria Value and Momentum ETF | 9,232,280 | 1,962,523 | 196,712 | — | (412,911) | 11,540,548 | 442,560 | 49,684 | 549,534 | 12,410 |
Grizzle Growth ETF | — | 2,274,672 | — | — | — | 2,209,514 | 93,685 | — | (65,158) | — |
Grand Total | $49,430,498 | $9,377,640 | $839,109 | $(7,207,329) | $(1,937,524) | $48,260,813 | $1,828,502 | $1,646,883 | $(1,551,745) | $(689,836) |
Cambria Trinity ETF(a)
| Level 1 | Level 2 | Level 3 | Total |
Investments: | | | | |
Exchange Traded Funds | $111,077,162 | $— | $— | $111,077,162 |
Short-Term Investments | 1,419,067 | — | — | 1,419,067 |
Total Investments | $112,496,229 | $— | $— | $112,496,229 |
(a)Refer to Note 2 in the Notes to Financial Statements for additional information.
24www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Sector Weightings | |
Cambria Value and Momentum ETF | |
Consumer Discretionary | 23.6% |
Financials | 18.1% |
Industrials | 17.1% |
Energy | 16.0% |
Materials | 11.7% |
Information Technology | 7.6% |
Health Care | 4.0% |
Communication Services | 1.9% |
| 100.0% |
Percentages based on total investments.
| Shares |
| Value | |
Common Stocks - 87.1% | | | | |
Communication Services - 1.7% | | | ||
Scholastic Corp. | 14,256 | | $526,046 | |
Telephone and Data Systems, Inc. | 29,342 | | 533,731 | |
| | | 1,059,777 | |
Consumer Discretionary - 20.6% | | | ||
Adtalem Global Education, Inc.(a) | 12,000 | | 621,600 | |
Asbury Automotive Group, Inc.(a) | 2,439 | | 466,751 | |
AutoNation, Inc.(a) | 4,416 | | 574,433 | |
Beazer Homes USA, Inc.(a) | 20,933 | | 506,369 | |
Century Communities, Inc. | 8,380 | | 515,370 | |
DR Horton, Inc. | 5,192 | | 542,045 | |
Green Brick Partners, Inc.(a) | 15,192 | | 587,930 | |
Group 1 Automotive, Inc. | 2,736 | | 690,375 | |
KB Home | 8,400 | | 371,280 | |
Lennar Corp. – Class A | 4,850 | | 517,398 | |
M/I Homes, Inc.(a) | 8,331 | | 683,725 | |
MDC Holdings, Inc. | 9,648 | | 366,142 | |
Meritage Homes Corp. | 4,518 | | 515,142 | |
ODP Corp.(a) | 11,975 | | 537,917 | |
Patrick Industries, Inc. | 7,283 | | 547,317 | |
Penske Automotive Group, Inc. | 4,992 | | 714,256 | |
Perdoceo Education Corp. | 40,566 | | 733,840 | |
PulteGroup, Inc. | 8,919 | | 656,349 | |
PVH Corp. | 5,280 | | 392,568 | |
Taylor Morrison Home Corp.(a) | 13,693 | | 524,716 | |
Toll Brothers, Inc. | 8,598 | | 607,965 | |
Tri Pointe Homes, Inc.(a) | 13,632 | | 341,618 | |
Upbound Group, Inc. | 14,160 | | 369,010 | |
Urban Outfitters, Inc.(a) | 13,776 | | 476,925 | |
| | | 12,861,041 | |
| Shares |
| Value | |
Energy - 13.9% | | | ||
California Resources Corp. | 9,286 | | $488,351 | |
Chord Energy Corp. | 4,714 | | 779,318 | |
Civitas Resources, Inc. | 8,448 | | 637,233 | |
CNX Resources Corp.(a) | 23,079 | | 501,276 | |
CONSOL Energy, Inc. | 9,120 | | 838,036 | |
Earthstone Energy, Inc. | 26,422 | | 559,354 | |
Exxon Mobil Corp. | 5,568 | | 589,373 | |
Gulfport Energy Corp.(a) | 4,464 | | 551,795 | |
Helix Energy Solutions Group, Inc.(a) | 78,497 | | 769,271 | |
Marathon Petroleum Corp. | 4,800 | | 726,000 | |
PBF Energy, Inc. - Class A | 15,671 | | 744,843 | |
Permian Resources Corp. | 62,945 | | 917,108 | |
Plains GP Holdings LP – Class A | 39,792 | | 623,939 | |
| | | 8,725,897 | |
Financials - 15.9% | | | ||
American Equity Investment Life Holding Co.(a) | 11,712 | | 620,268 | |
Bancorp, Inc.(a) | 16,810 | | 599,277 | |
eHealth, Inc.(a) | 61,619 | | 528,691 | |
Enova International, Inc.(a) | 11,498 | | 458,540 | |
First Citizens BancShares, Inc. – Class A | 336 | | 463,929 | |
Genworth Financial, Inc. – Class A(a) | 110,291 | | 660,643 | |
Loews Corp. | 11,198 | | 716,783 | |
MGIC Investment Corp. | 28,512 | | 480,142 | |
Mr Cooper Group, Inc.(a) | 12,624 | | 713,635 | |
Old Republic International Corp. | 21,120 | | 578,266 | |
Oscar Health, Inc.(a) | 51,600 | | 264,192 | |
Pathward Financial, Inc. | 11,379 | | 515,355 | |
Primerica, Inc. | 2,256 | | 431,257 | |
PROG Holdings, Inc.(a) | 13,824 | | 378,639 | |
Radian Group, Inc. | 17,376 | | 440,308 | |
Remitly Global, Inc.(a) | 23,904 | | 643,735 | |
Unum Group | 17,664 | | 863,769 | |
Voya Financial, Inc. | 7,968 | | 532,023 | |
| | | 9,889,452 | |
Health Care - 3.5% | | | ||
Arcturus Therapeutics Holdings, Inc.(a) | 17,520 | | 334,632 | |
Cardinal Health, Inc. | 7,043 | | 640,913 | |
Cross Country Healthcare, Inc.(a) | 21,868 | | 506,463 | |
McKesson Corp. | 1,488 | | 677,576 | |
| | | 2,159,584 | |
Industrials - 14.8% | | | ||
ArcBest Corp. | 5,487 | | 597,425 | |
Atkore, Inc.(a) | 3,582 | | 445,171 | |
Boise Cascade Co. | 9,984 | | 935,999 | |
Builders FirstSource, Inc.(a) | 5,962 | | 646,996 | |
Semi-Annual Report | October 31, 2023 25
The accompanying notes are an integral part of these financial statements.
Cambria Value and Momentum ETFSchedule of Investments
October 31, 2023 (Unaudited)
| Shares |
| Value | |
Industrials (continued) | | | | |
EMCOR Group, Inc. | 3,109 | | $642,475 | |
Encore Wire Corp. | 3,936 | | 703,875 | |
Fluence Energy, Inc.(a) | 18,576 | | 321,736 | |
GMS, Inc.(a) | 6,336 | | 370,529 | |
Insteel Industries, Inc. | 16,560 | | 462,190 | |
Matson, Inc. | 5,451 | | 474,510 | |
Mueller Industries, Inc. | 18,048 | | 680,590 | |
MYR Group, Inc.(a) | 3,168 | | 366,949 | |
Owens Corning | 3,456 | | 391,807 | |
SkyWest, Inc.(a) | 11,088 | | 467,581 | |
Sterling Infrastructure, Inc.(a) | 8,256 | | 601,450 | |
Terex Corp. | 7,584 | | 347,347 | |
Veritiv Corp. | 2,903 | | 491,797 | |
Wabash National Corp. | 16,656 | | 344,613 | |
| | | 9,293,040 | |
Information Technology - 6.6% | | | ||
Arrow Electronics, Inc.(a) | 3,168 | | 359,283 | |
Avnet, Inc. | 16,080 | | 744,987 | |
Crane NXT Co. | 7,824 | | 406,848 | |
Insight Enterprises, Inc.(a) | 3,024 | | 433,339 | |
InterDigital, Inc. | 4,752 | | 357,588 | |
Jabil, Inc. | 4,224 | | 518,707 | |
Photronics, Inc.(a) | 26,304 | | 482,941 | |
Sanmina Corp.(a) | 9,763 | | 496,644 | |
Vishay Intertechnology, Inc. | 15,360 | | 341,606 | |
| | | 4,141,943 | |
Materials - 10.1% | | | ||
Alpha Metallurgical Resources, Inc. | 4,560 | | 1,003,018 | |
Commercial Metals Co. | 12,028 | | 508,664 | |
Nucor Corp. | 4,656 | | 688,110 | |
O-I Glass, Inc.(a) | 21,120 | | 326,304 | |
Olympic Steel, Inc. | 10,023 | | 508,868 | |
Reliance Steel & Aluminum Co. | 2,352 | | 598,302 | |
Resolute Forest Products(a)(b)(c) | 66,033 | | 93,767 | |
Steel Dynamics, Inc. | 5,137 | | 547,142 | |
TimkenSteel Corp.(a) | 41,568 | | 845,077 | |
Warrior Met Coal, Inc. | 14,496 | | 706,390 | |
Westlake Corp. | 4,765 | | 549,690 | |
| | | 6,375,332 | |
Total Common Stocks | | 54,506,066 | | |
|
| Shares |
| Value | |
Short-Term Investments - 2.9% | | | | |
Money Market Funds - 2.9% | | |
| |
First American Treasury Obligations Fund - Class X, 5.28%(d) | 1,837,910 | | $1,837,910 | |
| ||||
Total Short-Term Investments | | 1,837,910 | | |
| ||||
Total Investments - 90.0% | | 56,343,976 | | |
| ||||
Other Assets in Excess of Liabilities - 10.0% | | 6,247,308 | | |
| ||||
Total Net Assets - 100.0% | | | $62,591,284 | |
| ||||
Percentages are stated as a percent of net assets. | | |
(a)Non-income producing security.
(b)Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting through its Valuation Committee. These securities represented $93,767 or 0.1% of net assets as of October 31, 2023.
(c)These securities are considered to be illiquid. The aggregate value of these securities at October 31, 2023 was $0, which represents 0.00% of the Fund’s net assets.
(d)The rate shown represents the 7-day effective yield as of October 31, 2023.
The open futures contracts held by the Fund as of October 31, 2023 are as follows:
Description | Contracts Sold | Expiration Date | Notional | Notional | Value / Unrealized Appreciation (Depreciation) |
S&P® 500 Index | (192) | December 15, 2023 | $ (40,904,078) | $ (42,904,078) | $ 2,466,478 |
For the period ended October 31, 2023, the monthly average notional value of the short equity futures contracts held was $(31,559,976) and the ending notional value of the futures contracts was $(42,904,078)
26www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria Value and Momentum ETFSchedule of Investments
October 31, 2023 (Unaudited)
Cambria Value and Momentum ETF(a)
| Level 1 | Level 2 | Level 3(b) | Total |
Investment | ||||
| | | | |
Common Stocks | | | | |
Communication Services | $1,059,777 | $— | $— | $1,059,777 |
Consumer Discretionary | 12,861,041 | — | — | 12,861,041 |
Energy | 8,725,897 | — | — | 8,725,897 |
Financials | 9,889,452 | — | — | 9,889,452 |
Health Care | 2,159,584 | — | — | 2,159,584 |
Industrials | 9,293,040 | — | — | 9,293,040 |
Information Technology | 4,141,943 | — | — | 4,141,943 |
Materials | 6,281,565 | — | 93,767 | 6,375,332 |
Common Stocks - Total | 54,412,299 | — | 93,767 | 54,506,066 |
Short-Term Investments | 1,837,910 | — | — | 1,837,910 |
Total Investments | $56,250,209 | $— | $93,767 | $56,343,976 |
| | | | |
Other Financial Instruments: | | | | |
Long | | | | |
Futures | $2,466,478 | $— | $— | $2,466,478 |
Total Long | $2,466,478 | $— | $— | $2,466,478 |
(a)Refer to Note 2 in the Notes to Financial Statements for additional information.
(b)A reconciliation of Level 3 investments is 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.
Semi-Annual Report | October 31, 2023 27
The accompanying notes are an integral part of these financial statements.
|
| Cambria |
| Cambria Emerging Shareholder |
| Cambria Foreign Shareholder |
|
Assets: | | | | | | | |
Unaffiliated investments, at value | | $9,160,670 | | $219,269,246 | | $214,428,633 | |
Foreign currency, at value | | 10,158 | | 213,932 | | 1,106,148 | |
Dividends and interest receivable | | 19,799 | | 374,643 | | 1,575,205 | |
Other assets | | — |
| 19,075 |
| — |
|
Total assets | | 9,190,627 |
| 219,876,896 |
| 217,109,986 |
|
| | | | | | | |
Liabilities: | | | | | | | |
Payable due to investment adviser | | 3,399 | | 100,359 | | 105,262 | |
Deferred foreign capital gains tax payable | | — | | 295,603 | | — | |
Due to broker | | — | | 273,517 | | 342,906 | |
Custodian fees payable | | — |
| 40,501 |
| — |
|
Total liabilities | | 3,399 |
| 709,980 |
| 448,168 |
|
| | | | | | | |
Net Assets | | $9,187,228 |
| $219,166,916 |
| $216,661,818 |
|
| | | | | | | |
Net Assets Consists of: | | | | | | | |
Paid-in capital | | $35,693,505 | | $241,388,528 | | $237,364,824 | |
Total distributable (accumulated) earnings (losses) | | (26,506,277 | ) | (22,221,612 | ) | (20,703,006 | ) |
| | | | | | | |
Net Assets | | $9,187,228 |
| $219,166,916 |
| $216,661,818 |
|
| | | | | | | |
Net Asset Value | | | | | | | |
Outstanding shares of beneficial interest (Unlimited Authorization – | | 1,750,002 | | 8,000,004 | | 9,300,010 | |
Net asset value, offering and redemption price per share | | $5.25 | | $27.40 | | $23.30 | |
| | | | | | | |
Unaffiliated investments at cost | | $28,426,690 | | $234,553,706 | | $227,155,906 | |
Cost of foreign currency | | $10,195 | | $216,697 | | $1,112,638 | |
28www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria ETF TrustStatements of Assets and Liabilities
October 31, 2023 (Unaudited)
|
| Cambria Global Asset Allocation ETF |
| Cambria Global Momentum ETF |
| Cambria Global Real Estate ETF |
|
Assets: | | | | | | | |
Unaffiliated investments, at value | | $30,089,023 | | $82,781,290 | | $20,666,949 | |
Affiliated investments, at value | | 18,876,226 | | 62,259,243 | | — | |
Foreign currency, at value | | — | | — | | 62,227 | |
Dividends receivable, net | | 2,606 | | 5,688 | | 52,765 | |
Interest receivable | | — | | — | | 2,009 | |
Other assets | | 22,090 |
| 20,500 |
| 1,008 |
|
Total assets | | 48,989,945 |
| 145,066,721 |
| 20,783,950 |
|
| | | | | | | |
Liabilities: | | | | | | | |
Payable due to investment adviser | | — | | 72,743 | | 9,516 | |
Due to broker | | — |
| — |
| 8 |
|
Total liabilities | | — |
| 72,743 |
| 9,524 |
|
| | | | | | | |
Net Assets | | $48,989,945 |
| $144,993,978 |
| $20,774,426 |
|
| | | | | | | |
Net Assets Consists of: | | | | | | | |
Paid-in capital | | $53,348,220 | | $164,159,012 | | $27,337,016 | |
Total distributable (accumulated) earnings (losses) | | (4,358,275 | ) | (19,165,034 | ) | (6,562,590 | ) |
| | | | | | | |
Net Assets | | $48,989,945 |
| $144,993,978 |
| $20,774,426 |
|
| | | | | | | |
Net Asset Value | | | | | | | |
Outstanding shares of beneficial interest (unlimited authorization ‐ | | 1,900,001 | | 5,500,001 | | 950,002 | |
Net asset value, offering and redemption price per share | | $25.78 | | $26.36 | | $21.87 | |
| | | | | | | |
Unaffiliated investments at cost | | $34,383,542 | | $81,727,736 | | $23,565,557 | |
Affiliated investments at cost | | 19,796,348 | | 64,658,712 | | — | |
Cost of foreign currency | | $— | | $— | | $62,803 | |
Semi-Annual Report | October 31, 2023 29
The accompanying notes are an integral part of these financial statements.
Cambria ETF TrustStatements of Assets and Liabilities
October 31, 2023 (Unaudited)
|
| Cambria Global Tail Risk ETF |
| Cambria Global Value ETF |
| Cambria Shareholder |
|
Assets: | | | | | | | |
Unaffiliated investments, at value | | $3,781,934 | | $99,849,769 | | $828,276,298 | |
Foreign Currency, at value | | 6,581 | | 329,979 | | — | |
Dividends receivable, net | | — | | 645,490 | | 334,021 | |
Interest receivable | | 21,967 | | 14,961 | | 193,377 | |
Cash at broker for options contracts | | 25,728 |
| — |
| — |
|
Total assets | | 3,836,210 |
| 100,840,199 |
| 828,803,696 |
|
| | | | | | | |
Liabilities: | | | | | | | |
Payable due to investment adviser | | 1,875 | | 53,113 | | 386,383 | |
Due to broker | | — | | 234,952 | | — | |
Custodian fees | | — | | 14,559 | | | |
Other liabilities | | — |
| 6,426 |
| — |
|
Total liabilities | | 1,875 |
| 309,050 |
| 386,383 |
|
| | | | | | | |
Net Assets | | $3,834,335 |
| $100,531,149 |
| $828,417,313 |
|
| | | | | | | |
Net Assets Consists of: | | | | | | | |
Paid-in capital | | $5,218,048 | | $144,787,700 | | $880,616,654 | |
Total distributable (accumulated) earnings (losses) | | (1,383,713 | ) | (44,256,551 | ) | (52,199,341 | ) |
| | | | | | | |
Net Assets | | $3,834,335 |
| $100,531,149 |
| $828,417,313 |
|
| | | | | | | |
Net Asset Value | | | | | | | |
Outstanding shares of beneficial interest (unlimited authorization ‐ | | 200,000 | | 5,250,010 | | 14,050,000 | |
Net asset value, offering and redemption price per share | | $19.17 | | $19.15 | | $58.96 | |
| | | | | | | |
Unaffiliated investments at cost | | $3,969,778 | | $118,619,625 | | $841,604,266 | |
Cost of foreign currency | | $34,192 | | $332,043 | | $— | |
30www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria ETF TrustStatements of Assets and Liabilities
October 31, 2023 (Unaudited)
|
| Cambria Tail |
| Cambria Trinity ETF |
| Cambria Value and Momentum ETF |
|
Assets: | | | | | | | |
Unaffiliated investments, at value | | $115,396,715 | | $64,235,416 | | $56,343,976 | |
Affiliated investments, at value | | — | | 48,260,813 | | — | |
Cash and cash equivalents | | 36,587,847 | | — | | — | |
Dividends receivable, net | | — | | 7,126 | | 14,999 | |
Interest receivable | | 2,142,902 | | — | | 15,810 | |
Deposits with broker for futures contracts | | — | | — | | 6,497,440 | |
Deposit with broker for options contracts | | 5,753,628 | | — | | — | |
Other assets | | 15,523 |
| 17,189 |
| — |
|
Total assets | | 159,896,615 |
| 112,520,544 |
| 62,872,225 |
|
| | | | | | | |
Liabilities: | | | | | | | |
Payable for capital shares redeemed | | 37,531,365 | | — | | — | |
Payable due to investment adviser | | 79,477 | | — | | 26,541 | |
Due to broker | | — |
| 4,700 |
| 254,400 |
|
Total liabilities | | 37,610,842 |
| 4,700 |
| 284,284 |
|
| | | | | | | |
Net Assets | | $122,285,773 |
| $112,515,844 |
| $62,591,284 |
|
| | | | | | | |
Net Assets Consists of: | | | | | | | |
Paid-in capital | | $294,693,058 | | $120,366,245 | | $79,497,423 | |
Total distributable (accumulated) earnings (losses) | | (172,407,285 | ) | (7,850,401 | ) | (16,906,139 | ) |
| | | | | | | |
Net Assets | | $122,285,773 |
| $112,515,844 |
| $62,591,284 |
|
| | | | | | | |
Net Asset Value | | | | | | | |
Outstanding shares of beneficial interest (unlimited authorization ‐ | | 9,500,002 | | 4,700,002 | | 2,400,004 | |
Net asset value, offering and redemption price per share | | $12.87 | | $23.94 | | $26.08 | |
| | | | | | | |
Unaffiliated investments at cost | | $123,471,645 | | $67,755,673 | | $52,106,534 | |
Affiliated investments at cost | | — | | 50,470,501 | | — | |
Semi-Annual Report | October 31, 2023 31
The accompanying notes are an integral part of these financial statements.
|
| Cambria Cannabis ETF |
| Cambria Emerging Shareholder Yield ETF |
| Cambria Foreign Shareholder Yield ETF |
|
Investment Income: | | | | | | | |
Dividend income from unaffiliated investments | | $171,927 | | $8,565,770 | | $7,622,322 | |
Less: foreign taxes withheld | | — | | (1,137,250 | ) | (630,240 | ) |
Interest income | | 5,370 | | 55,776 | | 36,762 | |
Income from securities lending | | 11,838 | | 6,640 | | 58,065 | |
Other income | | 24,140 |
| 132,158 |
| 93,013 |
|
Total investment income | | 213,275 |
| 7,623,094 |
| 7,179,922 |
|
| | | | | | | |
Expenses: | | | | | | | |
Management fees | | 30,688 | | 567,134 | | 607,707 | |
Custodian fees | | — |
| 57,604 |
| — |
|
Total expenses | | 30,688 | | 624,738 | | 607,707 | |
Waiver of management fees | | (8,842 | ) | — |
| — |
|
Net expenses | | 21,846 |
| 624,738 |
| 607,707 |
|
Net Investment income | | 191,429 |
| 6,998,356 |
| 6,572,215 |
|
| | | | | | | |
Net Realized and Unrealized Gain (Loss) on Investments | | | | | | | |
Net realized gain (loss) from: | | | | | | | |
Unaffiliated investments | | (382,844 | ) | (1,658,087 | ) | (1,933,670 | ) |
Foreign currency transactions | | 4,289 | | (128,753 | ) | 96,847 | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | |
Unaffiliated investments | | (1,313,340 | ) | 7,464,034 | | (12,708,989 | ) |
Foreign currency translations | | (1,599 | ) | (11,898,511 | ) | (7,374 | ) |
Net realized and unrealized gain (loss) on investments and foreign currency | | (1,693,494 | ) | (6,221,317 | ) | (14,553,186 | ) |
Net Increase (Decrease) in Net Assets Resulting From Operations | | $(1,502,065 | ) | $777,039 |
| $(7,980,971 | ) |
32www.cambriafunds.com
Cambria ETF TrustStatements of Operations
For the Six Months Ended October 31, 2023 (Unaudited)
The accompanying notes are an integral part of these financial statements.
|
| Cambria Global Asset |
| Cambria Global Momentum ETF |
| Cambria Global Real Estate ETF |
|
Investment Income: | | | | | | | |
Dividend income from unaffiliated investments | | $446,412 | | $1,482,556 | | $705,519 | �� |
Dividend income from affiliated investments | | 635,644 | | 2,350,231 | | — | |
Less: foreign taxes withheld | | — | | — | | (43,752 | ) |
Interest income | | 4,294 | | 11,838 | | 4,330 | |
Income from securities lending | | 25,450 | | 91,957 | | 490 | |
Other income | | 12,083 |
| 39,469 |
| 6,523 |
|
Total investment income | | 1,123,883 |
| 3,976,051 |
| 673,110 |
|
| | | | | | | |
Expenses: | | | | | | | |
Management Fees | | — |
| 487,117 |
| 69,501 |
|
Total expenses | | — |
| 487,117 |
| 69,501 |
|
Net expenses | | — |
| 487,117 |
| 69,501 |
|
Net Investment income | | 1,123,883 |
| 3,488,934 |
| 603,609 |
|
| | | | | | | |
Realized and Unrealized Gain (Loss) on Investments | | | | | | | |
Net realized gain (loss) from: | | | | | | | |
Unaffiliated investments | | 315,410 | | (1,728,035 | ) | (193,261 | ) |
Affiliated investments | | 232,768 | | (1,683,956 | ) | — | |
Foreign currency transactions | | — | | — | | (2,463 | ) |
Net change in unrealized appreciation (depreciation) on: | | | | | | | |
Unaffiliated investments | | (2,037,540 | ) | (2,580,556 | ) | (1,900,043 | ) |
Affiliated investments | | (1,037,073 | ) | (4,637,242 | ) | — | |
Foreign currency translations | | — |
| — |
| (395 | ) |
Net realized and unrealized gain (loss) on investments and foreign currency | | (2,526,435 | ) | (10,629,789 | ) | (2,096,162 | ) |
Net Decrease in Net Assets Resulting From Operations | | $(1,402,552 | ) | $(7,140,855 | ) | $(1,492,553 | ) |
Cambria ETF TrustStatements of Operations
For the Six Months Ended October 31, 2023 (Unaudited)
Semi-Annual Report | October 31, 2023 33
The accompanying notes are an integral part of these financial statements.
|
| Cambria Global Tail Risk ETF |
| Cambria Global Value ETF |
| Cambria Shareholder Yield ETF |
|
Investment Income: | | | | | | | |
Dividend income from unaffiliated | | $52,949 | | $5,325,957 | | $9,744,060 | |
Less: foreign taxes withheld | | — | | (754,695 | ) | — | |
Interest income | | 25,539 | | 34,440 | | 26,112 | |
Income from securities lending | | 335 | | 13,206 | | 36,984 | |
Other income | | 4,164 |
| 94,818 |
| 91,898 |
|
Total investment income | | 82,987 |
| 4,713,726 |
| 9,899,054 |
|
| | | | | | | |
Expenses: | | | | | | | |
Management Fees | | 12,247 | | 385,725 | | 2,314,108 | |
Custodian fees | | — |
| 25,329 |
| — |
|
Total expenses | | 12,247 |
| 411,054 |
| 2,314,108 |
|
Net expenses | | 12,247 |
| 411,054 |
| 2,314,108 |
|
Net Investment income | | 70,740 |
| 4,302,672 |
| 7,584,946 |
|
| | | | | | | |
Realized and Unrealized Gain (Loss) on Investments | | | | | | | |
Net realized gain (loss) from: | | | | | | | |
Unaffiliated investments | | (354,357 | ) | (588,908 | ) | (14,813,246 | ) |
Foreign currency transactions | | (1,771 | ) | (51,364 | ) | — | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | |
Unaffiliated investments | | 255,970 | | (8,181,397 | ) | 20,269,022 | |
Foreign currency translations | | (6,290 | ) | 6,166 |
| 6 |
|
Net realized and unrealized gain (loss) on investments and foreign currency | | (106,448 | ) | (8,815,503 | ) | 5,455,782 |
|
Net Increase (Decrease) in Net Assets Resulting From Operations | | $(35,708 | ) | $(4,512,831 | ) | $13,040,728 |
|
34www.cambriafunds.com
Cambria ETF TrustStatements of Operations
For the Six Months Ended October 31, 2023 (Unaudited)
The accompanying notes are an integral part of these financial statements.
|
| Cambria Tail |
| Cambria Trinity ETF |
| Cambria Value and Momentum ETF |
|
Investment Income: | | | | | | | |
Dividend income from unaffiliated investments | | $— | | $923,284 | | $439,560 | |
Dividend income from affiliated investments | | — | | 1,646,883 | | — | |
Interest income | | 3,376,619 | | 13,930 | | 6,023 | |
Income from securities lending | | — | | 17,625 | | — | |
Other income | | 81,007 |
| 48,788 |
| 3,475 |
|
Total investment income | | 3,457,626 |
| 2,650,510 |
| 449,058 |
|
| | | | | | | |
Expenses: | | | | | | | |
Management fees | | 539,367 |
| — |
| 174,260 |
|
Total expenses | | 539,367 |
| — |
| 174,260 |
|
Net expenses | | 539,367 |
| — |
| 174,260 |
|
Net Investment income | | 2,918,259 |
| 2,650,510 |
| 274,798 |
|
| | | | | | | |
Realized and Unrealized Gain (Loss) on Investments | | | | | | | |
Net realized gain (loss) from: | | | | | | | |
Unaffiliated investments | | (24,337,048 | ) | (683,987 | ) | (1,066,921 | ) |
Affiliated investments | | — | | (689,836 | ) | — | |
Futures contracts | | — | | — | | (3,231,426 | ) |
Net change in unrealized appreciation (depreciation) on: | | | | | | | |
Unaffiliated investments | | 1,033,236 | | (2,295,253 | ) | 4,183,639 | |
Affiliated investments | | — | | (1,551,745 | ) | — | |
Futures contracts | | — |
| — |
| 3,687,521 |
|
Net realized and unrealized gain (loss) on investments and foreign currency | | (23,303,812 | ) | (5,220,821 | ) | 3,572,813 |
|
Net Increase (Decrease) in Net Assets Resulting From Operations | | $(20,385,553 | ) | $(2,570,311 | ) | $3,847,611 |
|
Semi-Annual Report | October 31, 2023 35
The accompanying notes are an integral part of these financial statements.
|
| Cambria |
| Cambria |
| ||||
|
| Period Ended October 31, 2023 (Unaudited) |
| Year Ended |
| Period Ended October 31, 2023 (Unaudited) |
| Year Ended | |
Operations: | | | | | | | | | |
Net investment income | | $191,429 | | $459,704 | | $6,998,356 | | $7,748,342 | |
Net realized gain (loss) from investments and foreign currency | | (378,555 | ) | (5,369,724 | ) | (1,786,840 | ) | (4,093,037 | ) |
Net change in unrealized appreciation (depreciation) on investments and translation of assets and liabilities in | | (1,314,939 | ) | (1,820,598 | ) | (4,434,477 | ) | 705,005 |
|
Net increase/(decrease) in net assets from operations | | (1,502,065 | ) | (6,730,618 | ) | 777,039 |
| 4,360,310 |
|
| | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | |
Net distributions to shareholders | | (198,565 | ) | (415,452 | ) | (9,685,701 | ) | (7,385,645 | ) |
| | | | | | | | | |
Capital Transactions: | | | | | | | | | |
Issued | | — | | 1,144,071 | | 52,056,284 | | 87,812,440 | |
Redeemed | | (300,688 | ) | (2,589,495 | ) | — | | (2,492,086 | ) |
Variable fees | | — |
| — |
| 44,068 |
| — |
|
Net increase (decrease) in net assets from capital share transactions | | (300,688 | ) | (1,445,424 | ) | 52,100,352 |
| 85,320,354 |
|
Total net increase (decrease) in net assets | | (2,001,318 | ) | (8,591,494 | ) | 43,191,690 |
| 82,295,019 |
|
| | | | | | | | | |
Net Assets: | | | | | | | | | |
Beginning of the period/year | | 11,188,546 |
| 19,780,040 |
| 175,975,226 |
| 93,680,207 |
|
End of the period/year | | $9,187,228 |
| $11,188,546 |
| $219,166,916 |
| $175,975,226 |
|
| | | | | | | | | |
Share Transactions | | | | | | | | | |
Issued | | — | | 100,000 | | 1,850,000 | | 3,150,000 | |
Redeemed | | (50,000 | ) | (150,000 | ) | — |
| (100,000 | ) |
Net increase (decrease) in shares outstanding from | | (50,000 | ) | (50,000 | ) | 1,850,000 |
| 3,050,000 |
|
36www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria ETF TrustStatements of Changes in Net Assets
|
| Cambria |
| Cambria |
| ||||
|
| Period Ended October 31, 2023 (Unaudited) |
| Year Ended |
| Period Ended October 31, 2023 (Unaudited) |
| Year Ended |
|
Operations: | | | | | | | | | |
Net investment income | | $6,572,215 | | $6,610,333 | | $1,123,883 | | $1,881,940 | |
Net realized gain (loss) from investments and foreign currency | | (1,836,823 | ) | (3,444,366 | ) | 548,178 | | 147,886 | |
Net change in unrealized appreciation (depreciation) on investments and translation of assets and liabilities in | | (12,716,363 | ) | 1,928,741 |
| (3,074,613 | ) | (2,859,609 | ) |
Net increase/(decrease) in net assets from operations | | (7,980,971 | ) | 5,094,708 |
| (1,402,552 | ) | (829,783 | ) |
| | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | |
Net distributions to shareholders | | (8,167,912 | ) | (5,789,832 | ) | (836,219 | ) | (2,092,946 | ) |
| | | | | | | | | |
Capital Transactions: | | | | | | | | | |
Issued | | 63,024,481 | | 121,594,482 | | 3,963,886 | | 9,647,654 | |
Redeemed | | (17,868,111 | ) | — |
| (4,006,907 | ) | (1,386,118 | ) |
Net increase in net assets from capital transactions | | 45,156,370 |
| — |
| (43,021 | ) | 8,261,536 |
|
Total increase in net assets | | 29,007,487 |
| 120,899,358 |
| (2,281,792 | ) | 5,338,807 |
|
| | | | | | | | | |
Net Assets: | | | | | | | | | |
Beginning of the period/year | | 187,654,331 |
| 66,754,973 |
| 51,271,737 |
| 45,932,930 |
|
End of the period/year | | $216,661,818 |
| $187,654,331 |
| $48,989,945 |
| $51,271,737 |
|
| | | | | | | | | |
Share Transactions | | | | | | | | | |
Issued | | 2,600,000 | | 4,900,000 | | 150,000 | | 350,000 | |
Redeemed | | (750,000 | ) | — |
| (150,000 | ) | (50,000 | ) |
Net increase (decrease) in shares outstanding from | | 1,850,000 |
| 4,900,000 |
| — |
| 300,000 |
|
Semi-Annual Report | October 31, 2023 37
The accompanying notes are an integral part of these financial statements.
Cambria ETF TrustStatements of Changes in Net Assets
|
| Cambria |
| Cambria |
| ||||
|
| Period Ended October 31, 2023 (Unaudited) |
| Year Ended |
| Period Ended October 31, 2023 (Unaudited) |
| Year Ended |
|
Operations: | | | | | | | | | |
Net investment income | | $3,488,934 | | $3,365,641 | | $603,609 | | $917,571 | |
Net realized gain (loss) from investments and foreign currency | | (3,411,991 | ) | (12,035,915 | ) | (195,724 | ) | (2,748,431 | ) |
Net change in unrealized (depreciation) on investments and translation of assets and liabilities in foreign currencies | | (7,217,798 | ) | (1,852,719 | ) | (1,900,438 | ) | (1,246,481 | ) |
Net (decrease) in net assets from operations | | (7,140,855 | ) | (10,522,993 | ) | (1,492,553 | ) | (3,077,341 | ) |
| | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | |
Net distributions to shareholders | | (2,268,784 | ) | (3,308,682 | ) | (896,322 | ) | (783,635 | ) |
| | | | | | | | | |
Capital Transactions: | | | | | | | | | |
Issued | | — | | 134,679,294 | | 1,197,842 | | 14,885,328 | |
Redeemed | | (23,548,746 | ) | (24,457,816 | ) | (3,705,397 | ) | (9,162,043 | ) |
Net increase (decrease) in net assets from capital transactions | | (23,548,746 | ) | 110,221,478 |
| (2,507,555 | ) | 5,723,285 |
|
Total increase (decrease) in net assets | | (32,958,385 | ) | 96,389,803 |
| (4,896,430 | ) | 1,862,309 |
|
| | | | | | | | | |
Net Assets: | | | | | | | | | |
Beginning of the period/year | | 177,952,363 |
| 81,562,560 |
| 25,670,856 |
| 23,808,547 |
|
End of the period/year | | $144,993,978 |
| $177,952,363 |
| $20,774,426 |
| $25,670,856 |
|
| | | | | | | | | |
Share Transactions | | | | | | | | | |
Issued | | — | | 4,600,000 | | 50,000 | | 600,000 | |
Redeemed | | (850,000 | ) | (850,000 | ) | (150,000 | ) | (350,000 | ) |
Net increase (decrease) in shares outstanding from | | (850,000 | ) | 3,750,000 |
| (100,000 | ) | 250,000 |
|
38www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria ETF TrustStatements of Changes in Net Assets
|
| Cambria |
| Cambria |
| ||||
|
| Period Ended October 31, 2023 (Unaudited) |
| Year Ended |
| Period Ended October 31, 2023 (Unaudited) |
| Year Ended |
|
Operations: | | | | | | | | | |
Net investment income | | $70,740 | | $104,943 | | $4,302,672 | | $5,746,579 | |
Net realized gain (loss) from investments and foreign currency | | (356,124 | ) | (974,611 | ) | (640,272 | ) | 3,279,818 | |
Net change in unrealized appreciation (depreciation) on investments and translation of assets and liabilities in | | 249,676 |
| 366,834 |
| (8,175,231 | ) | 790,033 |
|
Net (decrease) in net assets from operations | | (35,708 | ) | (502,834 | ) | (4,512,831 | ) | 9,816,430 |
|
| | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | |
Net distributions to shareholders | | (59,803 | ) | — |
| (6,249,975 | ) | (5,123,088 | ) |
| | | | | | | | | |
Capital Transactions: | | | | | | | | | |
Issued | | — | | 3,304,059 | | 1,210 | | 45,063,719 | |
Redeemed | | — | | (3,227,221 | ) | (26,691,497 | ) | (14,165,016 | ) |
Variable fees | | — |
| — |
| 5,866 |
| — |
|
Net increase (decrease) in net assets from capital transactions | | — |
| 76,838 |
| (26,684,421 | ) | 30,898,703 |
|
Total decrease in net assets | | (95,511 | ) | (425,996 | ) | (37,447,227 | ) | 35,592,045 |
|
| | | | | | | | | |
Net Assets: | | | | | | | | | |
Beginning of the period/year | | 3,929,846 |
| 4,355,842 |
| 137,978,376 |
| 102,386,331 |
|
End of the period/year | | $3,834,335 |
| $3,929,846 |
| $100,531,149 |
| $137,978,376 |
|
| | | | | | | | | |
Share Transactions | | | | | | | | | |
Issued | | — | | 150,000 | | (1,350,000 | ) | 2,400,000 | |
Redeemed | | — |
| (150,000 | ) | (50,000 | ) | (750,000 | ) |
Net increase (decrease) in shares outstanding from | | — |
| — |
| (1,400,000 | ) | 1,650,000 |
|
Semi-Annual Report | October 31, 2023 39
The accompanying notes are an integral part of these financial statements.
Cambria ETF TrustStatements of Changes in Net Assets
|
| Cambria |
| Cambria |
| ||||
|
| Period Ended October 31, 2023 (Unaudited) |
| Year Ended |
| Period Ended October 31, 2023 (Unaudited) |
| Year Ended |
|
Operations: | | | | | | | | | |
Net investment income | | $7,584,946 | | $15,537,282 | | $2,918,259 | | $6,158,275 | |
Net realized gain (loss) from investments and foreign currency | | (14,813,246 | ) | (11,730,307 | ) | (24,337,048 | ) | (71,798,664 | ) |
Net change in unrealized appreciation (depreciation) on investments and translation of assets and liabilities in | | 20,269,028 |
| (22,392,723 | ) | 1,033,236 |
| 21,443,374 |
|
Net increase/(decrease) in net assets from operations | | 13,040,728 |
| (18,585,748 | ) | (20,385,553 | ) | (44,197,015 | ) |
| | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | |
Net distributions to shareholders | | (7,728,633 | ) | (18,508,788 | ) | (3,063,258 | ) | (5,934,009 | ) |
| | | | | | | | | |
Capital Transactions: | | | | | | | | | |
Issued | | 122,235,427 | | 322,449,091 | | 14,342,771 | | 287,583,821 | |
Redeemed | | (17,184,217 | ) | (81,834,941 | ) | (92,980,007 | ) | (417,503,209 | ) |
Net increase in net assets from capital transactions | | 105,051,210 |
| 240,614,150 |
| (78,637,236 | ) | (129,919,388 | ) |
Total increase in net assets | | 110,363,305 |
| 203,519,614 |
| (102,086,047 | ) | (180,050,412 | ) |
| | | | | | | | | |
Net Assets: | | | | | | | | | |
Beginning of the period/year | | 718,054,008 |
| 514,534,394 |
| 224,371,820 |
| 404,422,232 |
|
End of the period/year | | $828,417,313 |
| $718,054,008 |
| $122,285,773 |
| $224,371,820 |
|
| | | | | | | | | |
Share Transactions | | | | | | | | | |
Issued | | 2,000,000 | | 5,300,000 | | 1,050,000 | | 17,600,000 | |
Redeemed | | (300,000 | ) | (1,400,000 | ) | (6,900,000 | ) | (26,150,000 | ) |
Net increase (decrease) in shares outstanding from | | 1,700,000 |
| 3,900,000 |
| (5,850,000 | ) | (8,550,000 | ) |
40www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria ETF TrustStatements of Changes in Net Assets
|
| Cambria |
| Cambria |
| ||||
|
| Period Ended October 31, 2023 (Unaudited) |
| Year Ended |
| Period Ended October 31, 2023 (Unaudited) |
| Year Ended |
|
Operations: | | | | | | | | | |
Net investment income | | $2,650,510 | | $3,265,308 | | $274,798 | | $1,773,188 | |
Net realized gain (loss) from investments and foreign currency | | (1,373,823 | ) | (259,452 | ) | (4,298,347 | ) | (4,526,032 | ) |
Net change in unrealized appreciation (depreciation) on investments and translation of assets and liabilities in | | (3,846,998 | ) | (4,059,410 | ) | 7,871,160 |
| (5,164,142 | ) |
Net (decrease) in net assets from operations | | (2,570,311 | ) | (1,053,554 | ) | 3,847,611 |
| (7,916,986 | ) |
| | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | |
Net distributions to shareholders | | (1,851,485 | ) | (4,077,927 | ) | (302,319 | ) | (1,755,804 | ) |
| | | | | | | | | |
Capital Transactions: | | | | | | | | | |
Issued | | 2,809,493 | | 81,891,017 | | 10,412,080 | | 110,716,425 | |
Redeemed | | (4,971,685 | ) | (8,617,238 | ) | (15,402,443 | ) | (68,475,916 | ) |
Net decrease in net assets from capital transactions | | (2,162,192 | ) | 73,273,779 |
| (4,990,363 | ) | 42,240,509 |
|
Total decrease in net assets | | (6,583,988 | ) | 68,142,298 |
| (1,445,071 | ) | 32,567,719 |
|
| | | | | | | | | |
Net Assets: | | | | | | | | | |
Beginning of the period/year | | 119,099,832 |
| 50,957,534 |
| 64,036,355 |
| 31,468,636 |
|
End of the period/year | | $112,515,844 |
| $119,099,832 |
| $62,591,284 |
| $64,036,355 |
|
| | | | | | | | | |
Share Transactions | | | | | | | | | |
Issued | | 50,000 | | 3,250,000 | | 400,000 | | 4,100,000 | |
Redeemed | | (150,000 | ) | (350,000 | ) | (600,000 | ) | (2,700,000 | ) |
Net increase (decrease) in shares outstanding from | | (100,000 | ) | 2,900,000 |
| (200,000 | ) | 1,400,000 |
|
Semi-Annual Report | October 31, 2023 41
The accompanying notes are an integral part of these financial statements.
Period Ended October 31, 2023 (Unaudited) | Year Ended April 30, | Period Ended April 30, 2020(a) | ||||||||||
|
| 2023 | 2022 | 2021 |
| |||||||
Net Asset Value, Beginning of Period/Year | $6.22 | | | $9.89 | | $18.86 | | $11.30 | | | $25.00 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | | | |
Net Investment Income(b) | 0.11 | | | 0.24 | | 0.25 | | 0.47 | | | 0.70 | |
Net Realized and Unrealized Gain (Loss) on Investments | (0.97 | ) | | (3.69 | ) | (8.87 | ) | 7.63 | | | (13.87 | ) |
Total from Operations | (0.86 | ) | | (3.45 | ) | (8.62 | ) | 8.10 | | | (13.17 | ) |
| | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | |
Distributions from Net Investment Income | (0.11 | ) | | (0.22 | ) | (0.35 | ) | (0.54 | ) | | (0.52 | ) |
Distributions from Net Realized Gains | — | | | — | | — | | — | | | (0.01 | ) |
Total Distributions | (0.11 | ) | | (0.22 | ) | (0.35 | ) | (0.54 | ) | | (0.53 | ) |
| | | | | | | | | | | | |
Net Asset Value, End of Period/Year | $5.25 | | | $6.22 | | $9.89 | | $18.86 | | | $11.30 | |
| | | | | | | | | | | | |
Total Return | (13.97 | )%(c) | | (35.04 | )% | (46.49 | )% | 73.84 | % | | (53.04 | )% (c) |
| | | | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | | | |
Net Assets, End of Period/Year (in 000s) | $9,187 | | | $11,189 | | $19,780 | | $38,671 | | | $9,038 | |
| | | | | | | | | | | | |
Ratio of Expenses to Average Net Assets, Including Waivers | 0.42 | %(d) | | 0.42 | % | 0.42 | % | 0.42 | % | | 0.42 | %(d) |
Ratio of Expenses to Average Net Assets, Excluding Waivers | 0.59 | %(d) | | 0.59 | % | 0.59 | % | 0.59 | % | | 0.59 | %(d) |
Ratio of Net Investment Income/(Loss) to Average | 3.51 | %(d) | | 3.17 | % | 1.80 | % | 2.94 | % | | 6.20 | %(d) |
Portfolio Turnover(e) | 0 | %(c) | | 23 | % | 46 | % | 8 | % | | 4 | %(c) |
(a)Inception date July 24, 2019.
(b)Per share data calculated using the average shares method.
(c) Not annualized.
(d)Annualized.
(e) Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.
42www.cambriafunds.com
Cambria Emerging Shareholder Yield ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
The accompanying notes are an integral part of these financial statements.
| Period Ended October 31, 2023 (Unaudited) | | Year Ended April 30, | ||||||||||
|
| 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Net Asset Value, Beginning of Period/Year | $28.61 | | | $30.22 | | $39.13 | | $24.97 | | $31.38 | | $35.83 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | | | | |
Net Investment Income(a) | 1.04 | | | 1.77 | | 1.81 | | 1.27 | | 1.30 | | 1.29 | |
Net Realized and Unrealized Gain (Loss) on Investments | (0.76 | ) | | (1.44 | ) | (8.01 | ) | 14.04 | | (6.35 | ) | (3.58 | ) |
Total from Operations | 0.28 | | | 0.33 | | (6.20 | ) | 15.31 | | (5.05 | ) | (2.29 | ) |
| | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | |
Distributions from Net Investment Income | (1.49 | ) | | (1.57 | ) | (2.16 | ) | (1.15 | ) | (1.36 | ) | (1.05 | ) |
Distributions from Net Realized Gains | — | | | (0.37 | ) | (0.55 | ) | — | | — | | (1.11 | ) |
Total Distributions | (1.49 | ) | | (1.94 | ) | (2.71 | ) | (1.15 | ) | (1.36 | ) | (2.16 | ) |
| | | | | | | | | | | | | |
Net Asset Value, End of Period/Year | $27.40 | | | $28.61 | | $30.22 | | $39.13 | | $24.97 | | $31.38 | |
| | | | | | | | | | | | | |
Total Return | 0.89 | %(b) | | 1.64 | % | (16.81 | )% | 63.04 | % | (16.89 | )% | (5.80 | )% |
| | | | | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | | | | |
Net Assets, End of Period/Year (in 000s) | $8,000 | | | $175,975 | | $93,680 | | $62,614 | | $28,713 | | $20,395 | |
| | | | | | | | | | | | | |
Ratio of Expenses to Average Net Assets | 0.64 | %(c) | | 0.66 | % | 0.64 | % | 0.65 | % | 0.69 | % | 0.66 | % |
Ratio of Net Investment Income (Loss) to Average Net Assets | 7.29 | %(c) | | 6.49 | % | 5.14 | % | 4.00 | % | 4.38 | % | 4.09 | % |
Portfolio Turnover(d) | 14 | %(b) | | 43 | % | 45 | % | 29 | % | 81 | % | 115 | % |
(a)Per share data calculated using the average shares method.
(b)Not annualized.
(c) Annualized.
(d)Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.
Cambria Foreign Shareholder Yield ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
Semi-Annual Report | October 31, 2023 43
The accompanying notes are an integral part of these financial statements.
| Period Ended October 31, 2023 (Unaudited) | | Year Ended April 30, | ||||||||||
|
| 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Net Asset Value, Beginning of Year/Period | $25.19 | | | $26.18 | | $27.65 | | $17.86 | | $23.56 | | $26.58 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | | | | |
Net Investment Income(a) | 0.78 | | | 1.54 | | 1.28 | | 0.75 | | 0.90 | | 1.06 | |
Net Realized and Unrealized Gain (Loss) on Investments | (1.61 | ) | | (1.01 | ) | (1.32 | ) | 9.86 | | (5.60 | ) | (2.79 | ) |
Total from Operations | (0.83 | ) | | 0.53 | | (0.04 | ) | 10.61 | | (4.70 | ) | (1.73 | ) |
| | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | |
Distributions from Net Investment Income | (1.06 | ) | | (1.52 | ) | (1.43 | ) | (0.82 | ) | (1.00 | ) | (1.29 | ) |
Total Distributions | (1.06 | ) | | (1.52 | ) | (1.43 | ) | (0.82 | ) | (1.00 | ) | (1.29 | ) |
| | | | | | | | | | | | | |
Net Asset Value, End of Year/Period | $23.30 | | | $25.19 | | $26.18 | | $27.65 | | $17.86 | | $23.56 | |
| | | | | | | | | | | | | |
Total Return | (3.40 | )%(b) | | 2.72 | % | (0.31 | )% | 60.72 | % | (20.47 | )% | (6.34 | )% |
| | | | | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | | | | |
Net Assets, End of Year/Period (in 000s) | $216,662 | | | $187,654 | | $66,755 | | $30,416 | | $17,862 | | $27,095 | |
| | | | | | | | | | | | | |
Ratio of Expenses to Average Net Assets | 0.59 | %(c) | | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % |
Ratio of Net Investment Income/(Loss) to Average Net Assets | 6.39 | %(c) | | 6.56 | % | 4.68 | % | 3.29 | % | 4.04 | % | 4.32 | % |
Portfolio Turnover(d) | 24 | %(b) | | 34 | % | 63 | % | 59 | % | 47 | % | 53 | % |
(a)Per share data calculated using the average shares method.
(b)Not annualized.
(c) Annualized.
(d)Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.
44www.cambriafunds.com
Cambria Global Asset Allocation ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
The accompanying notes are an integral part of these financial statements.
| Period Ended October 31, 2023 (Unaudited) | | Year Ended April 30, | ||||||||||
|
| 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Net Asset Value, Beginning of Period/Year | $26.99 | | | $28.71 | | $31.55 | | $24.36 | | $26.82 | | $27.38 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | | | | |
Net Investment Income(a) | 0.60 | | | 1.11 | | 1.99 | | 0.58 | | 0.86 | | 0.75 | |
Net Realized and Unrealized Gain (Loss) on Investments | (1.36 | ) | | (1.61 | ) | (2.85 | ) | 7.33 | | (2.36 | ) | (0.53 | ) |
Total from Operations | (0.76 | ) | | (0.50 | ) | (0.86 | ) | 7.91 | | (1.50 | ) | 0.22 | |
| | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | |
Distributions from Net Investment Income | (0.45 | ) | | (1.07 | ) | (1.98 | ) | (0.72 | ) | (0.85 | ) | (0.77 | ) |
Distributions from Net Realized Gains | — | | | (0.15 | ) | — | | — | | (0.11 | ) | (0.01 | ) |
Total Distributions | (0.45 | ) | | (1.22 | ) | (1.98 | ) | (0.72 | ) | (0.96 | ) | (0.78 | ) |
| | | | | | | | | | | | | |
Net Asset Value, End of Period/Year | $25.78 | | | $26.99 | | $28.71 | | $31.55 | | $24.36 | | $26.82 | |
| | | | | | | | | | | | | |
Total Return | (2.83 | )%(b) | | (1.58 | )% | (3.01 | )% | 33.00 | % | (5.87 | )% | 0.91 | % |
| | | | | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | | | | |
Net Assets, End of Period/Year (in 000s) | $48,990 | | | $51,272 | | $45,933 | | $52,061 | | $49,930 | | $64,368 | |
| | | | | | | | | | | | | |
Ratio of Expenses to Average Net Assets(c) | 0.00 | %(d)(e) | | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) |
Ratio of Net Investment Income/(Loss) to Average Net Assets(f) | 4.50 | %(d) | | 4.08 | % | 6.36 | % | 2.07 | % | 3.24 | % | 2.85 | % |
Portfolio Turnover(g) | 5 | %(b) | | 0 | % (h) | 8 | % | 20 | % | 9 | % | 2 | % |
(a)Per share data calculated using the average shares method.
(b)Not annualized.
(c) Expense ratios do not include expenses of the underlying funds.
(d)Annualized.
(e) Does not round to 0.01%.
(f) Recognition of net investment income by the Fund is affected by the timing of declarations of dividends by the underling investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies in which the Fund invests.
(g) Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.
(h) Does not round to 1%.
Cambria Global Momentum ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
Semi-Annual Report | October 31, 2023 45
The accompanying notes are an integral part of these financial statements.
| Period Ended October 31, 2023 (Unaudited) | | Year Ended April 30, | ||||||||||
|
| 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Net Asset Value, Beginning of Period/Year | $28.02 | | | $31.37 | | $29.73 | | $23.07 | | $25.09 | | $27.39 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | | | | |
Net Investment Income(a) | 0.59 | | | 0.65 | | 1.28 | | 0.29 | | 0.56 | | 0.62 | |
Net Realized and Unrealized Gain (Loss) on Investments | (1.88 | ) | | (3.42 | ) | 1.68 | | 6.69 | | (2.02 | ) | (2.33 | ) |
Total from Operations | (1.29 | ) | | (2.77 | ) | 2.96 | | 6.98 | | (1.46 | ) | (1.71 | ) |
| | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | |
Distributions from Net Investment Income | (0.37 | ) | | (0.58 | ) | (1.25 | ) | (0.30 | ) | (0.54 | ) | (0.59 | ) |
Distributions from Net Realized Gains | — | | | — | | (0.07 | ) | (0.02 | ) | (0.02 | ) | — | |
Total Distributions | (0.37 | ) | | (0.58 | ) | (1.32 | ) | (0.32 | ) | (0.56 | ) | (0.59 | ) |
| | | | | | | | | | | | | |
Net Asset Value, End of Period/Year | $26.36 | | | $28.02 | | $31.37 | | $29.73 | | $23.07 | | $25.09 | |
| | | | | | | | | | | | | |
Total Return | (4.64 | )%(b) | | (8.81 | )% | 10.19 | % | 30.49 | % | (6.02 | )% | (6.23 | )% |
| | | | | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | | | | |
Net Assets, End of Period/Year (in 000s) | $144,994 | | | $177,952 | | $81,563 | | $62,434 | | $78,449 | | $129,199 | |
| | | | | | | | | | | | | |
Ratio of Expenses to Average Net Assets(c) | 0.59 | %(d) | | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % |
Ratio of Net Investment Income (Loss) to Average Net Assets(d) | 4.22 | %(d) | | 2.25 | % | 4.19 | % | 1.13 | % | 2.25 | % | 2.39 | % |
Portfolio Turnover(f) | 72 | %(b) | | 307 | % | 69 | % | 115 | % | 251 | % | 204 | % |
(a)Per share data calculated using the average shares method.
(b)Not annualized.
(c) Expense ratios do not include expenses of the underlying funds.
(d)Annualized.
(e)Recognition of net investment income by the Fund is affected by the timing of declarations of dividends by the underling investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies in which the Fund invests.
(f)Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.
46www.cambriafunds.com
Cambria Global Real Estate ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
The accompanying notes are an integral part of these financial statements.
| Period Ended October 31, 2023 (Unaudited) | | Year Ended April 30, | | Period Ended | |||||
|
| 2023 | 2022 |
| ||||||
Net Asset Value, Beginning of Period/Year | $24.45 | | | $29.76 | | $31.66 | | | $25.00 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | |
Net Investment Income(b) | 0.62 | | | 1.12 | | 0.56 | | | 0.56 | |
Net Realized and Unrealized Gain (Loss) on Investments | (2.26 | ) | | (5.44 | ) | 0.99 | (c) | | 6.51 | |
Total from Operations | (1.64 | ) | | (4.32 | ) | 1.55 | | | 7.07 | |
| | | | | | | | | | |
Distributions: | | | | | | | | | | |
Distributions from Net Investment Income | (0.94 | ) | | (0.99 | ) | (2.76 | ) | | (0.41 | ) |
Distributions from Net Realized Gains | — | | | — | | (0.49 | ) | | — | |
Return of Capital | | | | — | | (0.20 | ) | | — | |
Total Distributions | (0.94 | ) | | (0.99 | ) | (3.45 | ) | | (0.41 | ) |
| | | | | | | | | | |
Net Asset Value, End of Period/Year | $21.87 | | | $24.45 | | $29.76 | | | $31.66 | |
| | | | | | | | | | |
Total Return | (6.93 | )%(d) | | (14.47 | )% | 4.70 | % | | 28.40 | %(d) |
| | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | |
Net Assets, End of Period/Year (in 000s) | $20,774 | | | $25,671 | | $23,809 | | | $14,245 | |
| | | | | | | | | | |
Ratio of Expenses to Average Net Assets | 0.59 | %(c) | | 0.59 | % | 0.59 | % | | 0.59 | %(c) |
Ratio of Net Investment Income (Loss) to Average Net Assets | 5.12 | %(c) | | 4.29 | % | 3.00 | % | | 3.19 | %(c) |
Portfolio Turnover(f) | 23 | %(d) | | 94 | % | 120 | % | | 51 | %(d) |
(a)Inception date September 23, 2020.
(b)Per share data calculated using the average shares method.
(c) Realized and unrealized gains (losses) per share in this caption are balancing amounts necessary to reconcile the change in net asset value for
the period, and may not reconcile with the aggregate gains and losses in the Statement of Operations due to share transactions for the period.
(d)Not annualized.
(e) Annualized.
(f)Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.
Cambria Global Tail Risk ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
Semi-Annual Report | October 31, 2023 47
The accompanying notes are an integral part of these financial statements.
| Period Ended October 31, 2023 (Unaudited) | | Year Ended April 30, | ||||||||||
|
| 2023 | 2022 | 2021(a) | 2020 | 2019 | |||||||
Net Asset Value, Beginning of Period/Year | $19.65 | | | $21.78 | | $23.67 | | $23.57 | | $24.83 | | $27.57 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | | | | |
Net Investment Income(b) | 0.35 | | | 0.46 | | 0.71 | | 0.94 | | 1.18 | | 1.18 | |
Net Realized and Unrealized Gain (Loss) on Investments | (0.65 | ) | | (2.59 | )(c) | (2.60 | ) | (0.69 | )(c) | (1.36 | ) | (2.70 | ) |
Total from Operations | (0.30 | ) | | (2.13 | ) | (1.89 | ) | 0.25 | | (0.18 | ) | (1.52 | ) |
| | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | |
Distributions from Net Investment Income | (0.18 | ) | | — | | — | | — | | (0.96 | ) | (1.09 | ) |
Distributions from Net Realized Gains | — | | | — | | — | | — | | (0.12 | ) | (0.13 | ) |
Return of Capital | | | | | | — | | (0.15 | ) | — | | — | |
Total Distributions | (0.18 | ) | | — | | — | | (0.15 | ) | (1.08 | ) | (1.22 | ) |
| | | | | | | | | | | | | |
Net Asset Value, End of Period/Year | $19.17 | | | $19.65 | | $21.78 | | $23.67 | | $23.57 | | $24.83 | |
| | | | | | | | | | | | | |
Total Return | (0.87 | )%(d) | | (9.78 | )% | (7.98 | )% | 1.03 | % | (1.00 | )% | (5.44 | )% |
| | | | | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | | | | |
Net Assets, End of Period/Year (in 000s) | $3,834 | | | $3,930 | | $4,356 | | $7,102 | | $22,388 | | $18,623 | |
| | | | | | | | | | | | | |
Ratio of Expenses to Average Net Assets | 0.64 | %(e) | | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % |
Ratio of Net Investment Income (Loss) to Average Net Assets | 3.69 | %(e) | | 2.20 | % | 3.18 | % | 3.71 | % | 4.72 | % | 4.69 | % |
Portfolio Turnover(d) | 0 | %(d) | | 62 | % | 1 | % | 53 | % | 36 | % | 37 | % |
(a)Prior to March 15, 2021, the Cambria Global Tail Risk ETF was known as the Cambria Sovereign Bond ETF.
(b)Per share data calculated using the average shares method.
(c)The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains of investments for the period because of the sales and repurchases of the fund shares in relation to fluctuating market value of the investments of the fund.
(d)Not annualized.
(e)Annualized.
(g)Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.
48www.cambriafunds.com
Cambria Global Value ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
The accompanying notes are an integral part of these financial statements.
| Period Ended October 31, 2023 (Unaudited) | | Year Ended April 30, | ||||||||||
|
| 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Net Asset Value, Beginning of Period/Year | $20.75 | | | $20.48 | | $22.96 | | $16.37 | | $23.37 | | $26.05 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | | | | |
Net Investment Income(a) | 0.67 | | | 1.03 | | 0.96 | | 0.53 | | 0.62 | | 0.64 | |
Net Realized and Unrealized Gain (Loss) on Investments | (1.32 | ) | | 0.24 | | (2.60 | ) | 6.44 | | (6.91 | ) | (2.33 | ) |
Total from Operations | (0.65 | ) | | 1.27 | | (1.64 | ) | 6.97 | | (6.29 | ) | (1.69 | ) |
| | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | |
Distributions from Net Investment Income | (0.95 | ) | | (1.00 | ) | (0.84 | ) | (0.38 | ) | (0.71 | ) | (0.61 | ) |
Distributions from Net Realized Gains | — | | | — | | — | | — | | — | | (0.38 | ) |
Total Distributions | (0.95 | ) | | (1.00 | ) | (0.84 | ) | (0.38 | ) | (0.71 | ) | (0.99 | ) |
| | | | | | | | | | | | | |
Net Asset Value, End of Period/Year | $19.15 | | | $20.75 | | $20.48 | | $22.96 | | $16.37 | | $23.37 | |
| | | | | | | | | | | | | |
Total Return | (3.28) | %(b) | | 6.97 | % | (7.47 | )% | 43.20 | % | (27.71 | )% | (6.24 | )% |
| | | | | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | | | | |
Net Assets, End of Period/Year (in 000s) | $100,531 | | | $137,978 | | $102,386 | | $122,851 | | $96,587 | | $158,894 | |
| | | | | | | | | | | | | |
Ratio of Expenses to Average Net Assets | 0.63 | %(c) | | 0.67 | % | 0.66 | % | 0.66 | % | 0.65 | % | 0.69 | % |
Ratio of Net Investment Income (Loss) to Average Net Assets | 6.59 | %(c) | | 5.48 | % | 4.19 | % | 2.75 | % | 2.84 | % | 2.74 | % |
Portfolio Turnover(d) | 0 | %(b) | | 94 | % | 3 | % | 14 | % | 25 | % | 20 | % |
(a)Per share data calculated using the average shares method.
(b)Not annualized.
(c) Annualized.
(d)Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.
Cambria Shareholder Yield ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
Semi-Annual Report | October 31, 2023 49
The accompanying notes are an integral part of these financial statements.
| Period Ended October 31, 2023 (Unaudited) | | Year Ended April 30, | ||||||||||
|
| 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Net Asset Value, Beginning of Year/Period | $58.14 | | | $60.89 | | $62.48 | | $29.82 | | $37.47 | | $37.98 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | | | | |
Net Investment Income(a) | 0.59 | | | 1.48 | | 1.17 | | 0.88 | | 0.86 | | 0.79 | |
Net Realized and Unrealized Gain (Loss) on Investments | 0.83 | | | (2.54 | ) | (1.27 | ) | 32.60 | | (7.66 | ) | (0.40 | ) |
Total from Operations | 1.42 | | | (1.06 | ) | (0.10 | ) | 33.48 | | (6.80 | ) | 0.39 | |
| | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | |
Distributions from Net Investment Income | (0.60 | ) | | (1.40 | ) | (1.23 | ) | (0.82 | ) | (0.85 | ) | (0.90 | ) |
Distributions from Net Realized Gains | — | | | (0.29 | ) | (0.26 | ) | — | | — | | — | |
Total Distributions | (0.60 | ) | | (1.69 | ) | (1.49 | ) | (0.82 | ) | (0.85 | ) | (0.90 | ) |
| | | | | | | | | | | | | |
Net Asset Value, End of Year/Period | $58.96 | | | $58.14 | | $60.89 | | $62.48 | | $29.82 | | $37.47 | |
| | | | | | | | | | | | | |
Total Return | 2.43 | %(b) | | (1.59 | )% | (0.21 | )% | 113.92 | % | (18.43 | )% | 1.10 | % |
| | | | | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | | | | |
Net Assets, End of Year/Period (in 000s) | $828,417 | | | $718,054 | | $514,534 | | $278,023 | | $61,127 | | $112,414 | |
| | | | | | | | | | | | | |
Ratio of Expenses to Average Net Assets | 0.59 | %(c) | | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % |
Ratio of Net Investment Income/(Loss) to Average Net Assets | 1.94 | %(c) | | 2.42 | % | 1.85 | % | 1.95 | % | 2.40 | % | 2.13 | % |
Portfolio Turnover(d) | 16 | %(b) | | 41 | % | 51 | % | 37 | % | 30 | % | 28 | % |
(a)Per share data calculated using the average shares method.
(b)Not annualized.
(c) Annualized.
(d)Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.
50www.cambriafunds.com
Cambria Tail Risk ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
The accompanying notes are an integral part of these financial statements.
| Period Ended October 31, 2023 (Unaudited) | | Year Ended April 30, | ||||||||||
|
| 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Net Asset Value, Beginning of Period/Year | $14.62 | | | $16.92 | | $18.74 | | $22.65 | | $19.87 | | $21.58 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | | | | |
Net Investment Income(a) | 0.22 | | | 0.29 | | 0.13 | | 0.04 | | 0.27 | | 0.39 | |
Net Realized and Unrealized Gain (Loss) on Investments | (1.73 | ) | | (2.27 | )(c) | (1.84 | ) | (3.92 | ) | 2.77 | | (1.73 | ) |
Total from Operations | (1.51 | ) | | (1.98 | ) | (1.71 | ) | (3.88 | ) | 3.04 | | (1.34 | ) |
| | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | |
Distributions from Net Investment Income | (0.24 | ) | | (0.32 | ) | (0.11 | ) | (0.03 | ) | (0.26 | ) | (0.37 | ) |
Total Distributions | (0.24 | ) | | (0.32 | ) | (0.11 | ) | (0.03 | ) | (0.26 | ) | (0.37 | ) |
| | | | | | | | | | | | | |
Net Asset Value, End of Period/Year | $12.87 | | | $14.62 | | $16.92 | | $18.74 | | $22.65 | | $19.87 | |
| | | | | | | | | | | | | |
Total Return | (10.37 | )%(b) | | (11.86 | )% | (9.14 | )% | (17.13 | )% | 15.47 | % | (6.31 | )% |
| | | | | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | | | | |
Net Assets, End of Period/Year (in 000s) | $122,286 | | | $224,372 | | $404,422 | | $281,995 | | $132,488 | | $37,745 | |
| | | | | | | | | | | | | |
Ratio of Expenses to Average Net Assets | 0.59 | %(c) | | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % |
Ratio of Net Investment Income (Loss) to Average Net Assets | 3.19 | %(c) | | 1.80 | % | 0.69 | % | 0.18 | % | 1.31 | % | 1.89 | % |
Portfolio Turnover(d) | 10 | %(b) | | 129 | % | 60 | % | 155 | % | 19 | % | 56 | % |
(a)Per share data calculated using the average shares method.
(b)Not annualized.
(c) Annualized.
(d)Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.
Cambria Trinity ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
Semi-Annual Report | October 31, 2023 51
The accompanying notes are an integral part of these financial statements.
| Period Ended October 31, 2023 (Unaudited) | | Year Ended April 30, | | Period Ended April 30, 2019(a) | |||||||||
|
| 2023 | 2022 | 2021 | 2020 |
| ||||||||
Net Asset Value, Beginning of Period/Year | $24.81 | | | $26.82 | | $27.36 | | $21.32 | | $24.22 | | | $25.00 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | | | | | |
Net Investment Income(b) | 0.55 | | | 0.89 | | 1.59 | | 0.42 | | 0.65 | | | 0.39 | |
Net Realized and Unrealized Gain (Loss) on Investments | (1.04 | ) | | (1.96 | ) | (0.51 | ) | 6.07 | | (2.91 | ) | | (0.83 | ) |
Total from Operations | (0.49 | ) | | (1.07 | ) | 1.08 | | 6.49 | | (2.26 | ) | | (0.44 | ) |
| | | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | | |
Distributions from Net Investment Income | (0.38 | ) | | (0.64 | ) | (1.60 | ) | (0.45 | ) | (0.62 | ) | | (0.34 | ) |
Distributions from Net Realized Gains | — | | | (0.30 | ) | (0.02 | ) | — | | (0.02 | ) | | — | |
Total Distributions | (0.38 | ) | | (0.94 | ) | (1.62 | ) | (0.45 | ) | (0.64 | ) | | (0.34 | ) |
| | | | | | | | | | | | | | |
Net Asset Value, End of Period/Year | $23.94 | | | $24.81 | | $26.82 | | $27.36 | | $21.32 | | | $24.22 | |
| | | | | | | | | | | | | | |
Total Return | (1.99 | )%(c) | | (3.99 | )% | 3.98 | % | 30.81 | % | (9.57 | )% | | (1.71 | )% |
| | | | | | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | | | | | |
Net Assets, End of Period/Year (in 000s) | $112,516 | | | $119,100 | | $50,958 | | $43,778 | | $37,309 | | | $30,280 | |
| | | | | | | | | | | | | | |
Ratio of Expenses to Average Net Assets(d) | 0.00 | %(e)(f) | | 0.00 | %(e)(f) | 0.00 | %(e)(f) | 0.00 | %(e)(f) | 0.00 | %(e)(f) | | 0.00 | %(e)(f) |
Ratio of Net Investment Income (Loss) to Average Net Assets(g) | 4.45 | %(e) | | 3.54 | % | 5.78 | % | 1.77 | % | 2.74 | % | | 2.55 | %(e) |
Portfolio Turnover(h) | 27 | %(c) | | 102 | % | 26 | % | 50 | % | 88 | % | | 0 | %(i) |
(a)Inception date September 7, 2018.
(b)Per share data calculated using the average shares method.
(c) Not annualized.
(d)Expense ratios do not include expenses of the underlying funds.
(e) Annualized.
(f) Does not round to 0.01%.
(g) Recognition of net investment income by the Fund is affected by the timing of declarations of dividends by the underling investment companies in which the Fund invests. The ratio does not include net investment income of the underlying investment companies in which the Fund invests.
(h) Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.
(i)Does not round to 1%.
52www.cambriafunds.com
Cambria Value and Momentum ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
The accompanying notes are an integral part of these financial statements.
| Period Ended October 31, 2023 (Unaudited) | | Year Ended April 30, | ||||||||||
|
| 2023 | 2022 | 2021 | 2020 | 2019 | |||||||
Net Asset Value, Beginning of Period/Year | $24.63 | | | $26.22 | | $23.21 | | $16.64 | | $20.83 | | $25.09 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | | | | |
Net Investment Income(a) | 0.12 | | | 0.54 | | 0.25 | | 0.14 | | 0.18 | | 0.21 | |
Net Realized and Unrealized Gain (Loss) on Investments | 1.46 | | | (1.66 | ) | 3.02 | | 6.63 | | (4.17 | ) | (4.23 | ) |
Total from Operations | 1.58 | | | (1.12 | ) | 3.27 | | 6.77 | | (3.99 | ) | (4.02 | ) |
| | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | |
Distributions from Net Investment Income | (0.13 | ) | | (0.47 | ) | (0.26 | ) | (0.20 | ) | (0.20 | ) | (0.24 | ) |
Total Distributions | (0.13 | ) | | (0.47 | ) | (0.26 | ) | (0.20 | ) | (0.20 | ) | (0.24 | ) |
| | | | | | | | | | | | | |
Net Asset Value, End of Period/Year | $26.08 | | | $24.63 | | $26.22 | | $23.21 | | $16.64 | | $20.83 | |
| | | | | | | | | | | | | |
Total Return | 6.44 | %(b) | | (4.34 | )% | 14.17 | % | 41.05 | % | (19.32 | )% | (16.10 | )% |
| | | | | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | | | | |
Net Assets, End of Period/Year (in 000s) | $2,400 | | | $64,036 | | $31,469 | | $18,567 | | $10,818 | | $19,790 | |
| | | | | | | | | | | | | |
Ratio of Expenses to Average Net Assets | 0.61 | %(c)(d) | | 0.61 | %(d) | 0.59 | % | 0.61 | %(d) | 0.63 | %(e) | 0.64 | %(f) |
Ratio of Net Investment Income (Loss) to Average Net Assets | 0.94 | %(c) | | 2.00 | % | 1.02 | % | 0.70 | % | 0.92 | % | 0.86 | % |
Portfolio Turnover(g) | 31 | %(b) | | 71 | % | 78 | % | 97 | % | 76 | % | 89 | % |
(a)Per share data calculated using the average shares method.
(b)Not annualized.
(c) Annualized.
(d) Includes broker expense of 0.02%.
(e) Includes broker expense of 0.04%.
(f)Includes broker expense of 0.05%.
(g)Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.
Semi-Annual Report | October 31, 2023 53
1. ORGANIZATION
Cambria ETF Trust (the “Trust”), a Delaware statutory trust, was formed on September 9, 2011 as an open-end registered management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust is comprised of multiple exchange traded funds (“ETFs”). These financial statements relate only to Cambria Cannabis ETF, Cambria Emerging Shareholder Yield ETF, Cambria Foreign Shareholder Yield ETF, Cambria Global Asset Allocation ETF, Cambria Global Momentum ETF, Cambria Global Real Estate ETF, Cambria Global Tail Risk ETF, Cambria Global Value ETF, Cambria Shareholder Yield ETF, Cambria Tail Risk ETF, Cambria Trinity ETF and Cambria Value and Momentum ETF (“Cannabis ETF”, “Emerging Shareholder Yield ETF”, “Foreign Shareholder Yield ETF”, “Global Asset Allocation ETF”, “Global Momentum ETF”, “Global Real Estate ETF”, “Global Tail Risk ETF”, “Global Value ETF”, “Shareholder Yield ETF”, “Tail Risk ETF”, “Trinity ETF”, and “Value and Momentum ETF”, respectively, and, collectively, the “Funds”). Cambria Investment Management, L.P. (the “Investment Adviser”) serves as the investment adviser to the Funds. Tidal Investments LLC (the “Sub-Adviser”), a Tidal Financial Group company, serves as the sub-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 and actively managed.
The investment objective of Cannabis ETF is to seek capital appreciation from investments in the global equity markets that have exposure to the broad cannabis industry. The Cannabis ETF inception date is July 24, 2019.
The investment objective of Emerging Shareholder Yield ETF is to seek income and capital appreciation. The Emerging Shareholder Yield ETF inception date is July 13, 2016.
The investment objective of Foreign Shareholder Yield ETF is to seek income and capital appreciation. The Foreign Shareholder Yield ETF inception date is December 2, 2013.
The investment objective of Global Asset Allocation ETF is to seek income and capital appreciation. The Global Asset Allocation ETF inception date is December 9, 2014.
The investment objective of 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 Global Momentum ETF inception date is November 3, 2014.
The investment objective of Global Real Estate ETF is to seek income and capital appreciation. The Global Real Estate ETF inception date is September 23, 2020.
The investment objective of Global Tail Risk ETF is to seek income and capital appreciation. The Global Tail Risk ETF inception date is February 22, 2016.
The investment objective of Global Value ETF is to seek income and capital appreciation. The Global Value ETF inception date is March 11, 2014.
The investment objective of Shareholder Yield ETF is to seek income and capital appreciation. The Shareholder Yield ETF inception date is May 13, 2013.
The investment objective of Tail Risk ETF is to seek to provide income and capital appreciation from investments in the U.S. market while protecting against significant downside risk. The Tail Risk ETF inception date is April 5, 2017.
The investment objective of Trinity ETF is to seek income and capital appreciation. The Trinity ETF inception date is September 7, 2018.
The investment objective of Value and Momentum ETF is to seek income and capital appreciation from investments in the U.S. equity market. The Value and Momentum ETF inception date is September 8, 2015.
Shares of the Funds are listed and traded on the Cboe BZX Exchange, Inc. (the “Exchange”). 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 investment companies 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.
54www.cambriafunds.com
Cambria ETF TrustNotes to Financial Statements
October 31, 2023 (Unaudited)
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 the NASDAQ Stock Market (the “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.
Futures are valued at the settlement price established for the business day by the board of trade on which they are traded. Settlement prices for financial futures are provided by an independent pricing agent.
Options are valued at the mean between the last bid and ask prices reported from the options exchange on which such options are listed. If there is no reported sale, long options positions are valued at the most recent bid price, and short option positions are valued at the most recent ask price.
Securities for which market prices are not “readily available” are valued in accordance with fair value procedures established by the Board of Trustees (the “Board”). The Board has designated the Investment Adviser serve as its “Valuation Designee” and perform fair value determinations on behalf of all series of the Trust, subject to the Board’s supervision and direction. The following securities may be fair valued by the Valuation Designee: (1) securities for which market quotations are insufficient or not readily available, (2) securities for which, in the judgment of the Valuation Designee, the prices or values do not represent the fair value of the instrument, and (3) securities deemed to be illiquid. 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. Fair valuation is based on subjective factors and, as a result, the fair value price of an asset may differ from the asset’s market price and may not be the current price at which the asset may be sold. Fair value estimates are based on judgments regarding the current economic environment, financial reports, credit, collateral and other such factors.
Under Rule 2a-5 of the 1940 Act, a fair value is determined by the Valuation Designee (as defined in Rule 2a-5) in accordance with the Pricing and Valuation Policy and Fair Valuation Procedures, as applicable, of the Investment Adviser, subject to oversight by the Board. In accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP, the Funds disclose fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:
•Level 1 – Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the 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).
Semi-Annual Report | October 31, 2023 55
Cambria ETF TrustNotes to Financial Statements
October 31, 2023 (Unaudited)
A summary of the inputs used to value each Fund’s investments as of October 31, 2023, are disclosed in each Fund’s Schedule of Investments.
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.
The value of the Funds’ foreign holdings as measured in U.S. dollars may be affected unfavorably by changes in foreign currency exchange rates, as a change in the value of a foreign currency against the U.S. dollar generally will result in a corresponding change in the U.S. dollar value of securities denominated in that currency held by a Fund. In addition to the risks of foreign currency exchange rates generally, trading in the currencies of certain countries may face periods of limited liquidity or the political risk of exchange controls or currency repatriation restrictions, which may in turn make such holdings denominated in those currencies difficult to value. The Funds may also incur losses in connection with conversions between various currencies.
Futures Contracts — Consistent with its investment objective and strategies, Value and Momentum utilized futures contracts during the period ended October 31, 2023. The Value and Momentum ETF’s investment in futures contracts is designed to enable the Fund to more closely approximate the performance of its benchmark index. Value and Momentum ETF chose to invest in futures contracts for tactical hedging purposes as well as to enhance its 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, Value and Momentum 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 for futures contracts 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 Value and Momentum 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.
It is the Value and Momentum’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 it does not have a master netting agreement with the counterparty to the futures contracts. Refer to the Value and Momentum ETF’s Schedule of Investments for details regarding open future contracts as of October 31, 2023. The fair value of equity futures contracts held in the Value and Momentum ETF can be found on the Statements of Assets and Liabilities under the captions variation margin receivable/payable. 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 Value and Momentum ETF’s Schedule of Investments. Realized gains or losses on equity rate futures contracts related to Value and Momentum ETF is recognized on the Statements 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 Written/Purchased — The Value and Momentum ETF, Tail Risk ETF, and Global Tail Risk ETF may invest in equity options contracts for the purpose of hedging their existing portfolio securities, or securities that they intend to purchase, against fluctuations in fair market value caused by changes in prevailing market interest rates. The Value and Momentum ETF may use options to hedge up to 100% of the value of its long portfolio in an attempt to avoid overvalued and downtrending markets. The Tail Risk ETF utilizes a put option strategy to manage the risk of a significant negative movement in the value of domestic equities over rolling one-month periods. The Global Tail Risk ETF utilizes a put option strategy to manage the risk of a significant negative movement in the value of global ex-U.S. equities on a month-by-month basis. A Fund may also invest in equity option contracts to enhance its returns. When a Fund writes or purchases an option, an amount equal to the premium received or paid by a Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by a Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on affecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss. The risk in writing a call option is a Fund may give up the opportunity for profit if the market price of the security increases. The risk in writing a put option is a Fund may incur a loss if the market price of the security decreases and the
56www.cambriafunds.com
Cambria ETF TrustNotes to Financial Statements
October 31, 2023 (Unaudited)
option is exercised. There is risk that a Fund may pay a premium whether or not the option is exercised. A Fund also has the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. Finally, the risk exists that losses on written options could exceed amounts disclosed on the Statements of Assets and Liabilities.
The Global Tail Risk ETF and Tail Risk ETF had options contracts as of October 31, 2023, as disclosed in each Fund’s Schedule of Investments. Any realized gains or losses and change in unrealized gains or losses can be found on the Statements of Operations.
| Asset Derivatives |
| Liabilities Derivatives | ||||
Risk Exposure | Statements of Assets and Liabilities Location* |
| Fair Value |
| Statements of Assets and Liabilities Location* |
| Fair Value |
Value and Momentum ETF |
|
|
|
|
|
|
|
Equity Risk (Futures Contracts) | Unrealized appreciation on futures contracts |
| $2,466,478 |
| Unrealized depreciation on futures contracts |
| N/A |
Total |
|
| $2,466,478 |
|
|
|
|
|
|
|
|
|
|
|
|
Global Tail Risk ETF |
|
|
|
|
|
|
|
Equity Contracts (Purchased Options) | Investments, at value |
| $548,000 |
| Investments, at value |
| N/A |
Total |
|
| $548,000 |
|
|
|
|
|
|
|
|
|
|
|
|
Tail Risk ETF |
|
|
|
|
|
|
|
Equity Contracts (Purchased Options) | Investments, at value |
| $11,218,260 |
| Investments, at value |
| N/A |
Total |
|
| $11,218,260 |
|
|
|
|
*Includes cumulative appreciation (depreciation) on futures contracts as reported on the Schedules of Investments. Only current day’s variation margin for futures contracts are reported within the Statements of Assets and Liabilities.
Semi-Annual Report | October 31, 2023 57
Cambria ETF TrustNotes to Financial Statements
October 31, 2023 (Unaudited)
Risk Exposure |
| Statement of Operations Location |
| Realized Gain/(Loss) on Derivatives Recognized in Income |
| Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized in Income |
Value and Momentum ETF | | | | | | |
Equity Risk (Futures Contracts) | | Net Realized Gain (Loss) on Futures Contracts/Net change in Unrealized Appreciation (Depreciation) on Futures Contracts | | $(3,231,426) | | $3,687,521 |
Total |
|
|
| $(3,231,426) |
| $3,687,521 |
| | | | | | |
Global Tail Risk ETF | | | | | | |
Equity Contracts (Purchased Options)* | | Net Realized Gain (Loss) on Investments of Securities of Unaffiliated Issuers/Net Change in Unrealized Appreciation (Depreciation) on Investments of Securities of Unaffiliated Issuers | | $— | | $428,646 |
Total |
|
|
| $— |
| $428,646 |
| | | | | | |
Tail Risk ETF | | | | | | |
Equity Contracts (Purchased Options)* | | Net Realized Gain (Loss) on Investments of Securities of Unaffiliated Issuers/Net Change in Unrealized Appreciation (Depreciation) on Investments of Securities of Unaffiliated Issuers | | $— | | $13,734,808 |
Total |
|
|
| $— |
| $13,734,808 |
*Purchased options are included within net realized gain (loss) on investments and net change in unrealized appreciation (depreciation) on investments.
The average purchased option contracts’ notional amount during the period ended October 31, 2023 for Global Tail Risk ETF is $11,312,096, and for Cambria Tail Risk ETF is $514,314,840.
Federal Income Taxes — The Funds intend to qualify as “regulated investment companies” under Sub-chapter M of the Internal Revenue Code of 1986 (the “Code”), 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 year. 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 the period ended October 31, 2023, 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.
Organizational and Offering Expenses — All organizational and 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 financial statements.
58www.cambriafunds.com
Cambria ETF TrustNotes to Financial Statements
October 31, 2023 (Unaudited)
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 dividend income 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. Dividend income is recorded net of unrecoverable withholding tax. 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 and foreign capital gains tax have been provided for in accordance with the Funds’ understanding of the applicable country’s tax rules and regulations. Capital gain taxes on securities in certain foreign countries are accrued on unrealized appreciation and are due when realized.
Foreign Taxes — The Funds may be subject to foreign taxes related to foreign income received (a portion of which may be reclaimable), capital gains on the sale of securities, and certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable regulations and rates that exist in the foreign jurisdictions in which the Funds invest.
Dividends and Distributions to Shareholders — The Funds generally pay out dividends from their net investment income, if any, quarterly, and distribute 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 (“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 ALPS Distributors Inc. (the “Distributor”), the Funds’ 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 Funds.
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.
If a Creation Unit is purchased or redeemed for cash, a higher transaction fee will be charged. The following table discloses Creation Unit breakdown for the period ended October 31, 2023:
| Creation Unit Shares |
| Value |
| Standard Transaction Fee* |
| Variable Charge |
Cannabis ETF | 50,000 | | $262,500 | | $500 | | Up to 2.0% |
Emerging Shareholder Yield ETF | 50,000 | | 1,370,000 | | 3,500 | | Up to 2.0% |
Foreign Shareholder Yield ETF | 50,000 | | 1,165,000 | | 2,500 | | Up to 2.0% |
Global Asset Allocation ETF | 50,000 | | 1,289,000 | | 500 | | None |
Global Momentum ETF | 50,000 | | 1,318,000 | | 500 | | Up to 2.0% |
Global Real Estate ETF | 50,000 | | 1,093,500 | | 1,500 | | Up to 2.0% |
Global Tail Risk ETF | 50,000 | | 958,500 | | 500 | | Up to 2.0% |
Global Value ETF | 50,000 | | 957,500 | | 3,500 | | Up to 2.0% |
Shareholder Yield ETF | 50,000 | | 2,948,000 | | 700 | | None |
Tail Risk ETF | 50,000 | | 643,500 | | 500 | | None |
Trinity ETF | 50,000 | | 1,197,000 | | 250 | | None |
Value and Momentum ETF | 50,000 | | 1,304,000 | | 700 | | None |
*The Transaction Fee may be higher for transactions outside the Clearing Process.
Semi-Annual Report | October 31, 2023 59
Cambria ETF TrustNotes to Financial Statements
October 31, 2023 (Unaudited)
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 an amount up to 115% and/or 125% of the daily mark-to-market value of the missing Deposit Securities. Amounts are disclosed as segregated cash balances with Authorized Participants for Deposit Securities and payable for collateral upon return of Deposit Securities on the Statements of Assets and Liabilities.
Illiquid Securities — A security is considered illiquid if a Fund reasonably expects that the investment cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.
Cash and cash equivalents — Idle cash and currency balances may be swept into various overnight sweep accounts and are classified as cash and cash equivalents on the Statements of Assets and Liabilities. These amounts, at times, may exceed United States federally insured limits. Amounts swept are available on the next business day.
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 investing in the Funds 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 criteria to offset assets and liabilities: 1) the amounts owed by a Fund to another party are determinable; 2) a Fund has the right to offset the amounts owed with the amounts owed by the other party; 3) a Fund intends to offset assets and liabilities, which can be enforced by law.
As of October 31, 2023, the Funds’ financial instruments and derivative instruments are not subject to a master netting arrangement. See Note 9 for offsetting related to securities lending.
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, on a monthly basis, an annual advisory fee based on their average daily nets assets for the services and facilities it provides payable at an annual rate of 0.59%, excluding the Global Asset Allocation ETF and Trinity ETF, neither of which is charged an advisory fee.
With respect to each Fund, except the Global Value ETF and 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 Global Value ETF and 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 Global Value ETF and 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 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.
Cannabis ETF has agreed to waive 0.17% of its advisory fee, on an annualized basis, through at least August 31, 2024, unless otherwise terminated by the Board. The waived fees are not eligible for recapture by the Investment Adviser.
The Sub-Adviser serves as sub-adviser to the Funds, pursuant to a sub-advisory agreement between the Adviser and the Sub-Adviser with respect to the Funds (the “Sub-Advisory Agreement”). Pursuant to the Sub-Advisory Agreement, the Sub-Adviser is responsible for the day-to-day management of the Funds’ portfolio, including determining the securities purchased and sold by the Funds, subject to the supervision of the Adviser and the Board. The Sub-Adviser is paid a fee by the Adviser, which is calculated and paid monthly, at an annual rate of 0.02% of the Funds’ average daily net assets. The Sub-Adviser has agreed to assume the Adviser’s obligation to pay all expenses incurred by the Fund, except for Excluded Expenses. For assuming the payment obligation, the Adviser has agreed to pay to the Sub-Adviser the profits, if any, generated by the Funds’ Management Fee. Expenses incurred by the Funds and paid by the Sub-Adviser include fees charged by Tidal, as defined below.
60www.cambriafunds.com
Cambria ETF TrustNotes to Financial Statements
October 31, 2023 (Unaudited)
Administrator, Custodian and Transfer Agent — Tidal ETF Services LLC (the “Tidal”) serves as the Funds’ Administrator and, in that capacity, performs various administrative and management services for the Funds.
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as the Fund’s sub-administrator, fund accountant and transfer agent. In those capacities, Fund Services performs various administrative and accounting services for the Fund. Fund Services prepares various federal and state regulatory filings and reports for the Fund, including regulatory compliance monitoring and financial reporting; prepares reports and materials to be supplied to the Board; and monitors the activities of the Fund’s custodian. U.S. Bank N.A. (the “Custodian”), an affiliate of Fund Services, serves as the Fund’s custodian. The Custodian acts as the securities lending agent (the “Securities Lending Agent”) for the Fund.
Distribution Agreement — The Distributor serves as the Funds’ distributor of Creation Units pursuant to a distribution agreement. The Distributor does not maintain any secondary market in Fund shares.
The Trust has adopted a Distribution and Service Plan (“Plan”) pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year for certain distribution-related activities. However, no such fee is currently paid by the Funds, and the Board has not currently approved the commencement of any payments under the Plan.
Certain officers and trustees of the Trust are affiliated with the Investment Adviser or Sub-Adviser.
5. INVESTMENT TRANSACTIONS
For the period ended October 31, 2023, the purchases and sales of investments in securities, excluding in-kind transactions, long-term U.S. Government and short-term securities, were:
Fund |
| Purchase of Securities |
| Proceeds from Sales of Securities |
Cannabis ETF | | $— | | $— |
Emerging Shareholder Yield ETF | | 25,524,233 | | 64,337,830 |
Foreign Shareholder Yield ETF | | 48,961,673 | | 90,173,796 |
Global Asset Allocation ETF | | 2,627,335 | | 3,447,319 |
Global Momentum ETF | | 132,972,430 | | 116,159,262 |
Global Real Estate ETF | | 8,349,420 | | 5,262,446 |
Global Tail Risk ETF | | — | | 40,010 |
Global Value ETF | | 7,435,913 | | — |
Shareholder Yield ETF | | 122,887,853 | | 187,030,276 |
Tail Risk ETF | | 101,284,442 | | 16,421,953 |
Trinity ETF | | 31,405,386 | | 34,452,718 |
Value and Momentum ETF | | 32,851,981 | | 16,408,275 |
For the period ended October 31, 2023, the Tail Risk ETF had purchases and sales of U.S. Government securities of $47,015,893 and $48,968,258, respectively.
Semi-Annual Report | October 31, 2023 61
Cambria ETF TrustNotes to Financial Statements
October 31, 2023 (Unaudited)
For the period ended October 31, 2023, in-kind transactions associated with creations and redemptions were:
Fund |
| Purchase of Securities |
| Proceeds from Sales of Securities |
| Net Realized |
|
Cannabis ETF | | $— | | $256,727 | | $(186,602 | ) |
Emerging Shareholder Yield ETF | | 25,034,417 | | — | | — | |
Foreign Shareholder Yield ETF | | 110,222,672 | | 17,197,301 | | 2,350,639 | |
Global Asset Allocation ETF | | 6,574,740 | | 3,953,823 | | 346,133 | |
Global Momentum ETF | | — | | 27,471,690 | | 986,691 | |
Global Real Estate ETF | | 2,327,762 | | 3,596,627 | | 209,456 | |
Global Tail Risk ETF | | — | | — | | — | |
Global Value ETF | | — | | 19,514,609 | | 1,521,286 | |
Shareholder Yield ETF | | 121,696,309 | | 17,035,073 | | 2,348,089 | |
Tail Risk ETF | | — | | — | | — | |
Trinity ETF | | 4,590,209 | | 3,657,183 | | 181,862 | |
Value and Momentum ETF | | 9,302,074 | | 15,414,000 | | 2,011,368 | |
6. PRINCIPAL RISKS
As with all ETFs, shareholders of the Funds are subject to the risk that their investments could lose money, including the possible loss of the entire principal amount of an investment, over short or long periods of time. An investment is not a bank deposit and it is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Funds are subject to the principal risks set forth in their prospectuses under the heading ‘‘Principal Risks.’’ Some of these risks, any of which may adversely affect a Fund’s NAV, trading price, yield, total return, or ability to meet its investment objective, are set forth below.
Cannabis Industry Risk — Cannabis Companies are subject to various laws and regulations that may differ at the local and federal level. These laws and regulations may significantly affect a Cannabis Company’s ability to secure financing, impact the market for cannabis industry sales and services, and set limitations on marijuana use, production, transportation, and storage. Cannabis Companies may also be required to secure permits and authorizations from government agencies to cultivate or research marijuana. In addition, Cannabis Companies are subject to the risks associated with the agricultural, biotechnology, and pharmaceutical industries. The Cannabis ETF invests in publicly-traded Cannabis Companies primarily listed and traded on a national securities exchange that operates in a jurisdiction where the Cannabis Companies’ cannabis-related business activities are legal under the national and local laws of the relevant jurisdiction, including U.S. federal and state laws.
Cash Redemption Risk — A Fund’s investment strategy may require it to effect redemptions, in whole or in part, for cash. As a result, a Fund may be required to sell portfolio securities in order to obtain the cash needed to distribute redemption proceeds. This may cause a Fund to recognize investment income and/or capital gains or losses that it might not have recognized if it had completely satisfied the redemption in-kind. As a result, such Fund may be less tax efficient if it includes such a cash payment than if the in-kind redemption process was used exclusively (i.e., securities are distributed as payment of redemption proceeds). In addition, cash redemptions may incur higher brokerage costs than in-kind redemptions and these added costs may be borne by the Fund and negatively impact Fund performance.
Commodity Investing Risk. Investing in commodity-related companies may subject a Fund to greater volatility than investments in traditional securities. The commodities markets have experienced periods of extreme volatility. Similar future market conditions may result in rapid and substantial valuation increases or decreases in the Funds’ holdings.
Currency Strategies Risk. Currency exchange rates may fluctuate significantly over short periods of time and can be unpredictably affected by political developments or government intervention. Changes in currency exchange rates may affect the U.S. dollar value of the Funds’ investments.
Cyber Security Risk — Each Fund, and its service providers, may be susceptible to operational and information security risks resulting from a breach in cyber security, including cyber-attacks. A breach in cyber security, intentional or unintentional, may adversely impact the Funds in many ways, including, but not limited to, disruption of the Funds’ operational capacity, loss of proprietary information, theft or corruption of data maintained online or digitally, denial-of-service attacks on websites or network resources, and the unauthorized release of confidential information. Cyber-attacks affecting the Funds’ third-party service providers, including the Investment Adviser, the Custodian, and the transfer agent, may subject the Funds to many of the same risks associated with direct cyber security breaches and adversely impact the Funds. For instance, cyber-attacks may impact the Funds’ ability to calculate its NAV, cause the release of confidential business information, impede trading, cause a Fund to incur additional compliance
62www.cambriafunds.com
Cambria ETF TrustNotes to Financial Statements
October 31, 2023 (Unaudited)
costs associated with corrective measures, subject a Fund to regulatory fines or other financial losses, and/or cause reputational damage to the Funds. Cyber security breaches of market makers, Authorized Participants, or the issuers of securities in which the Funds invest could also have material adverse consequences on the Funds’ business operations and cause financial losses for the Funds and its shareholders. While the Funds and its service providers have established business continuity plans and risk management systems designed to address cyber security risks, prevent cyber-attacks and mitigate the impact of cyber security breaches, there are inherent limitations on such plans and systems. In addition, the Funds have no control over the cyber security protections put in place by its service providers or any other third parties whose operations may affect the Funds or its shareholders.
Depositary Receipts Risk — The risks of investments in depositary receipts are substantially similar to the risks of investing directly in foreign securities. In addition, depositary receipts may not track the price of or may be less liquid than their underlying foreign securities, and the value of depositary receipts may change materially at times when the U.S. markets are not open for trading.
Derivatives Risk — Derivatives are financial instruments that have a value which depend upon, or is derived from, a reference asset, such as one or more underlying securities, pools of securities, indexes, rates or currencies. Derivatives may result in investment exposures that are greater than their cost would suggest; in other words, a small investment in a derivative may have a large impact on fund performance. The successful use of derivatives generally depends on the ability to predict market movements. The use of these instruments requires special skills and knowledge of investment techniques that are different than those normally required for purchasing and selling securities. If the Investment Adviser uses a derivative instrument at the wrong time or judges market conditions incorrectly, or if the derivative instrument does not perform as expected, these strategies may significantly reduce a fund’s return. A fund could also experience losses if it is unable to close out a position because the market for an instrument or position is or becomes illiquid.
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.
Emerging Markets Risk — Investments in securities and instruments traded in developing or emerging markets, or that provide exposure to these securities or markets, can involve additional risks relating to political, economic, or regulatory conditions not associated with investments in U.S. securities and instruments or investments in more developed international markets. For example, emerging markets may be subject to, among other risks, greater market volatility; lower trading volume and liquidity; greater social, political and economic uncertainty; governmental controls on foreign investments and limitations on repatriation of invested capital; lower disclosure, corporate governance, auditing and financial reporting standards; fewer protections of property rights; restrictions on the transfer of securities or currency; and settlement and trading practices that differ from U.S. markets and markets of more developed countries. Each of these factors may impact the ability of the Funds to buy, sell or otherwise transfer securities, adversely affect the trading market and price for Fund shares and cause the Funds to decline in value.
Equity Investing Risk — 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.
Exchange-Traded Funds and Exchange-Traded Products (“ETP”) 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 beartheir 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.
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.
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 Funds 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.
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.
Semi-Annual Report | October 31, 2023 63
Cambria ETF TrustNotes to Financial Statements
October 31, 2023 (Unaudited)
Geographic Investment Risk — To the extent the Funds invest a significant portion of assets in the securities of companies of a single country or region, it is more likely to be impacted by events or conditions affecting that country or region.
Hedging Risk — Options used by the Funds to offset its exposure to tail risk or reduce volatility may not perform as intended. There can be no assurance that the Funds’ put option strategy will be effective. It may expose the Funds to losses, e.g., option premiums, to which it would not have otherwise been exposed if it only invested, directly or indirectly, in U.S. government bonds and ex-U.S. sovereign bonds. Further, the put option strategy may not fully protect the Funds against declines in the value of their portfolio securities.
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. 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.
Inflation-Protected Security Risk — Inflation-protected securities, such as Treasury inflation-protected securities (TIPS), provide protection against inflation. Inflation-protected securities typically decrease in value when real interest rates rise and increase in value when real interest rates fall.
Interest Rate Risk — 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. Interest rate risk is generally lower for shorter-term investments and higher for longer-term investments.
International Closed-Market Trading Risk — Because the Funds’ investments may be traded in markets that are closed when the Exchange is open, there are likely to be deviations between the current pricing of an underlying investment and stale investment pricing (i.e., the last quote from its closed foreign market), resulting in premiums or discounts to NAV that may be greater than those experienced by other ETFs.
Investment Risk — An investment in the Funds is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. When you sell your Shares, they could be worth less than what you paid for them.
Large Capitalization Company Risk — The Funds’ investments in large capitalization companies may underperform other segments of the market because they may be less responsive to competitive challenges and opportunities and unable to attain high growth rates during periods of economic expansion.
Liquidity Risk — The Funds may purchase options and fixed income securities that may be less liquid than other types of investments. The options and fixed income securities purchased by the Funds may not always be liquid. This could have a negative effect on the Funds’ ability to achieve its investment objective and may result in losses to the Funds’ shareholders.
Management Risk — The Funds are all actively managed and use proprietary investment strategies and processes. There can be no guarantee that these strategies and processes will produce the intended results and no guarantee that the Funds will achieve their investment objective. This could result in the Funds’ underperformance compared to other funds with similar investment objectives.
Market Events Risk — Turbulence in the financial markets, reduced liquidity in the equity markets, and/or the advent of certain economic or political events, including global events such as war, acts of terrorism or a public health crisis, may negatively affect issuers, which could have an adverse effect on certain Fund holdings. In addition, there is a risk that policy changes by the U.S. Government, Federal Reserve and/or other government actors, such as increasing interest rates, could cause increased volatility in financial markets and higher levels of Fund redemptions, which could have a negative impact on certain Fund holdings.
Options Risk — Options are subject to correlation risk because there may be an imperfect correlation between the prices of options and movements in the price of the underlying securities. Options may expire unexercised, causing the Funds to lose the premium paid for them. The success of the Funds’ investment in options depends upon many factors, such as the price of the options which is a function of various factors that may change rapidly over time. If a counterparty defaults, the Funds’ only recourse will be to pursue contractual remedies against the counterparty, and the Funds may be unsuccessful in its pursuit. The Funds thus assume the risk that it may be delayed in or prevented from obtaining payments owed to it pursuant to an over-the-counter options transaction.
64www.cambriafunds.com
Cambria ETF TrustNotes to Financial Statements
October 31, 2023 (Unaudited)
Portfolio Turnover Risk — Because the Tail Risk ETF and Global Tail Risk ETF “turn over” their put options every month, they will incur high levels of transaction costs from commissions or mark-ups in the bid/offer spread. Higher portfolio turnover may result in the Funds paying higher levels of transaction costs and generating greater tax liabilities for shareholders. Portfolio turnover risk may cause the Funds’ performance to be less than you expect. While the turnover of the put options is not deemed “portfolio turnover” for accounting purposes, the economic impact to the Tail Risk ETF and Global Tail Risk ETF is similar to what could occur if the Funds experienced high portfolio turnover (e.g., in excess of 100% per year). Other Funds’ strategies may also result in high portfolio turnover rates.
Premium-Discount Risk — The shares may trade above or below their NAV. The NAV of the Funds will generally fluctuate with changes in the market value of the Funds’ holdings. The market prices of shares, however, will generally fluctuate in accordance with changes in NAV as well as the relative supply of, and demand for, shares on the Exchange. The trading price of shares may deviate significantly from NAV during periods of market volatility. The Investment Adviser and Sub-Adviser cannot predict whether shares will trade below, at or above their NAV. Price differences may be due, in large part, to the fact that supply and demand forces at work in the secondary trading market for shares will be closely related to, but not identical to, the same forces influencing the prices of the securities held by the Funds. However, given that shares can be purchased and redeemed in large blocks of shares, called Creation Units (unlike shares of closed-end funds, which frequently trade at appreciable discounts from, and sometimes at premiums to, their NAV), and the Funds’ portfolio holdings are fully disclosed on a daily basis, the Investment Adviser believes that large discounts or premiums to the NAV of shares should not be sustained, but that may not be the case.
Quantitative Security Selection Risk — The Investment Adviser uses quantitative techniques to generate investment decisions and select stocks, and the Funds may not perform as intended if it relies on erroneous or outdated data from one or more third parties. Errors in data used in the quantitative model may occur from time to time and may not be identified and/or corrected before having an adverse impact on a Fund and its shareholders.
Real Estate Investments Risk — The Global Real Estate ETF’s investments are concentrated in real estate-related industries, and it may be susceptible to loss due to adverse occurrences affecting these industries. Investments in real estate are subject to certain risks, including declines in the real estate market, decreases in property revenues, increases in interest rates, increases in property taxes and operating expenses, legal and regulatory changes, a lack of credit or capital, defaults by borrowers or tenants, environmental problems and natural disasters. The availability of mortgages and changes in interest rates may also affect real estate values.
Real Estate Investment Trust “REIT” Risk. In addition to the risks associated with the direct ownership of real estate and real estate-related securities, REITs are subject to additional risks, including those related to adverse governmental actions, and the performance of a REIT may be affected by its failure to qualify for tax-free pass through of income or its failure to maintain exemption from registration as an investment company. REITs are dependent upon specialized management skills and may invest in relatively few properties, a small geographic area or a small number of property types. REITs depend generally on their ability to generate cash flow to make distributions to shareholders or unitholders and may be subject to defaults by borrowers and to self-liquidations. As a result, investments in REITs may be volatile. REITs also have their own fees and expenses, and the Funds will indirectly bear a proportionate share of those fees and expenses.
Secondary Market Trading Risk — Investors buying or selling shares in the secondary market will generally pay brokerage commissions or other charges imposed by brokers as determined by that broker. Brokerage commissions are often a fixed amount and may be a significant proportional cost for investors seeking to buy or sell relatively small amounts of shares. In addition, secondary market investors will also incur the cost of the difference between the price that an investor is willing to pay for shares (the “bid” price) and the price at which an investor is willing to sell shares (the “ask” price). This difference in bid and ask prices is often referred to as the “spread” or “bid/ask spread.” The bid/ask spread varies over time for shares based on trading volume and market liquidity, and is generally lower if the Funds’ shares have more trading volume and market liquidity and higher if the Fund’s shares have little trading volume and market liquidity. Further, increased market volatility may cause increased bid/ask spreads.
Although the shares are listed on the Exchange, there can be no assurance that an active or liquid trading market for them will develop or be maintained. In addition, trading in shares on the Exchange may be halted due to market conditions or for reasons that, in the view of the Exchange, make trading in shares inadvisable. Further, trading in shares on the Exchange is subject to trading halts caused by extraordinary market volatility pursuant to the Exchange “circuit breaker” rules. There can be no assurance that the requirements of the Exchange necessary to maintain the listing of the Fund will continue to be met or will remain unchanged.
Sector Risk — To the extent that the Funds invest a significant portion of assets in a particular sector, the Funds may be susceptible to loss due to adverse occurrences affecting that sector.
Semi-Annual Report | October 31, 2023 65
Cambria ETF TrustNotes to Financial Statements
October 31, 2023 (Unaudited)
Small and Medium Capitalization Company Risk — Investing in securities of small and medium capitalization companies involves greater risk than customarily is associated with investing in larger, more established companies. These companies’ securities may be more volatile and less liquid than those of more established companies. These securities may have returns that vary, sometimes significantly, from the overall securities market. Small and medium capitalization companies are sometimes more dependent on key personnel or limited product lines than larger, more diversified companies. Often, small and medium capitalization companies and the industries in which they focus are still evolving and, as a result, they may be more sensitive to changing market conditions.
Value Investment Risk — The Funds may consider certain value metrics when selecting stocks for inclusion in their portfolio and, as a result, the Funds may underperform when the market favors stocks with growth characteristics or a non-value investment approach. Value investments are subject to the risk that their intrinsic value may never be realized by the market.
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.
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. These differences are primarily attributable to redemption in-kind transactions and net operating loss. 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.
For tax purposes, short term realized gains are considered ordinary income. The tax character of dividends and distributions declared during the most recent fiscal year ended April 30, 2023, were as follows:
Fund |
| Ordinary Income |
| Long-Term |
| Return of Capital |
Cambria Shareholder Yield ETF | | $15,158,346 | | $3,350,442 | | $— |
Cambria Foreign Shareholder Yield ETF | | 5,789,832 | | — | | — |
Cambria Global Value ETF | | 5,123,088 | | — | | — |
Cambria Global Momentum ETF | | 3,308,682 | | — | | — |
Cambria Global Asset Allocation ETF | | 1,914,838 | | 178,108 | | — |
Cambria Value and Momentum ETF | | 1,755,804 | | — | | — |
Cambria Global Tail Risk ETF | | — | | — | | — |
Cambria Emerging Shareholder Yield ETF | | 5,803,121 | | 1,582,524 | | — |
Cambria Tail Risk ETF | | 5,934,009 | | — | | — |
Cambria Trinity ETF | | 3,255,280 | | 822,647 | | — |
Cambria Cannabis ETF | | 415,452 | | — | | — |
Cambria Global Real Estate ETF | | 783,635 | | — | | — |
9. SUBSEQUENT EVENTS
Management has evaluated subsequent events through the date of issuance of these financial statements and has determined that there are no subsequent events that require adjustment to, or disclosure in, the financial statements.
66www.cambriafunds.com
All ETFs 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 and brokerage fees. It is important for you to understand the impact of these costs on your investment returns. Shareholders may incur brokerage commissions on their purchase and sales of Fund Shares, which are not reflected in the examples below.
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, known as the ETF’s expense ratio.
The following examples use the Funds’ expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in each Fund and to compare these costs with those of other funds. The examples do not reflect any brokerage commissions that you may pay on purchases and sales of Shares. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period (May 1, 2023 - October 31, 2023).
The table below illustrates each Funds’ costs in two ways:
Actual Fund Return. This section estimates the actual expenses after fee waivers that each Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in each Fund, and the “Ending Account Value” number is derived from deducting that expense cost from each Funds’ gross investment return.
This information, together with the actual amount invested in each Fund, can be used to estimate the expenses 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 in the first line under the heading “Expenses Paid During Period.”
Hypothetical 5% Return. This section provides information about hypothetical costs with those of other funds. It assumes that each Fund had an annual 5% return before expenses during the period, but that the expense ratio 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 each Funds’ comparative cost by comparing the hypothetical result 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 | Ending | Expense | Expenses Paid During period |
Shareholder Yield ETF | | | | |
Actual | $ 1,000.00 | $ 1,024.30 | 0.59% | $ 3.00 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.17 | 0.59% | 3.00 |
| | | | |
Foreign Shareholder Yield ETF | | | | |
Actual | 1,000.00 | 966.00 | 0.59% | 2.92 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.17 | 0.59% | 3.00 |
| | | | |
Global Value ETF | | | | |
Actual | 1,000.00 | 967.20 | 0.63% | 3.12 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.97 | 0.63% | 3.20 |
| | | | |
Global Momentum ETF | | | | |
Actual | 1,000.00 | 953.60 | 0.59% | 2.90 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.17 | 0.59% | 3.00 |
| | | | |
Global Asset Allocation ETF | | | | |
Actual | 1,000.00 | 971.70 | 0.00% | 0.00 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,025.14 | 0.00% | 0.00 |
| | | | |
Semi-Annual Report | October 31, 2023 67
Cambria ETF TrustDisclosure of Fund Expenses
October 31, 2023 (Unaudited)
| Beginning | Ending | Expense | Expenses Paid During period |
Value and Momentum ETF | | | | |
Actual | $ 1,000.00 | $ 1,064.40 | 0.61% | $ 3.17 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.07 | 0.61% | 3.10 |
| | | | |
Global Tail Risk ETF | | | | |
Actual | 1,000.00 | 991.30 | 0.64% | 3.20 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.92 | 0.64% | 3.25 |
| | | | |
Emerging Shareholder Yield ETF | | | | |
Actual | 1,000.00 | 1,008.90 | 0.64% | 3.23 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.92 | 0.64% | 3.25 |
| | | | |
Tail Risk ETF | | | | |
Actual | 1,000.00 | 896.30 | 0.59% | 2.81 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.17 | 0.59% | 3.00 |
| | | | |
Trinity ETF | | | | |
Actual | 1,000.00 | 980.10 | 0.00% | 0.00 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,025.14 | 0.00% | 0.00 |
| | | | |
Cannabis ETF | | | | |
Actual | 1,000.00 | 860.30 | 0.42% | 1.96 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,023.03 | 0.42% | 2.14 |
| | | | |
Global Real Estate ETF | | | | |
Actual | 1,000.00 | 930.70 | 0.59% | 2.86 |
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.17 | 0.59% | 3.00 |
(a) The Funds’ expense ratios have been annualized based on the Funds’ most recent fiscal half-year expenses.
(b) Expenses are equal to the Funds’ annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year 184/366 (to reflect the half-year period).
68www.cambriafunds.com
Cambria ETF TrustApproval of Sub-Advisory Agreement and Board Consideration
October 31, 2023 (Unaudited)
At a quarterly Board meeting held on March 7, 2023, the Board, including all of the members who are not “interested persons” of Cambria ETF Trust (the “Trust”), Cambria Investment Management, L.P. (the “Adviser”) or Toroso Investments, LLC (the “Sub-Adviser”), as defined in the Investment Company Act of 1940, as amended (collectively, the “Independent Trustees”), met to discuss, among other things, Cambria’s proposed delegation of trading services to Toroso, including its impact on the Funds, and to consider, and vote on, the approval of the Sub-Advisory Agreement with respect to each Fund. In preparation for its deliberations, the Board requested and received written responses from Toroso to a due diligence questionnaire circulated on the Board’s behalf. During its deliberations, the Board received an oral presentation from Cambria and Toroso, and they were assisted by the advice of independent legal counsel.
Prior to the meeting on March 7, 2023, the Board reviewed written materials, including information from Toroso regarding, among other things: (i) the nature, extent, and quality of the services to be provided to the Funds by Toroso; (ii) the cost of the services to be provided and the profits expected to be realized by Toroso, or its affiliates, from services rendered to each Fund; (iii) the sub-advisory fee and the extent to which any economies of scale might be realized as a Fund grows and whether the sub-advisory fee for a Fund reflects these economies of scale for the benefit of the Fund; (iv) any other financial benefits (such as soft dollars, if any) to be derived by Toroso or its affiliates resulting from services rendered to the Funds; (v) Toroso’s reputation, personnel, operations and financial condition; and (vi) other factors the Board deemed to be relevant. Additionally, at the meeting on March 7, 2023, representatives from Toroso provided an oral overview of the services to be provided to the Funds by Toroso.
The Board, in considering the Sub-Advisory Agreement, relied upon representations from Cambria that: (i) the engagement of Toroso was not expected to result in any material changes to (1) the nature, quality and extent of services provided to the Funds by Cambria, (2) Cambria’s compliance program or code of ethics, and (3) the Fund’s fees and expense ratio; and (ii) Mebane Faber, the current portfolio manager for each Fund, will continue to serve as portfolio manager for each Fund for the foreseeable future.
The discussion below outlines in greater detail the materials and information presented to the Board in connection with its consideration and approval of the Sub-Advisory Agreement, and the conclusions made by the Board at the meeting held on March 7, 2023, when determining to approve the Sub-Advisory Agreement for an initial two-year term.
Nature, Extent and Quality of Services. The Board considered the scope of services to be provided to the Funds under the Sub-Advisory Agreement, noting that Toroso will be providing certain sub-advisory services to the Funds, such as trading the Funds’ portfolio securities based on instructions from Cambria, but Cambria will perform the day-to-day active management of the Funds’ strategies and continue to select each Fund’s investments. The Board noted the other responsibilities that Toroso would have as the Funds’ investment sub-adviser, including: executing portfolio security trades for purchases and redemptions of the Funds’ shares; oversight of general portfolio compliance with applicable securities laws, regulations, and investment restrictions; proxy voting; responsibility for daily monitoring of portfolio exposures and quarterly reporting to the Board; and implementation of Board directives as they relate to the Funds. The Trustees further noted that they had received and reviewed Toroso’s response to a detailed series of questions regarding its business operations, key personnel, investment decision-making process, and compliance policies. The Board also considered Toroso’s resources and capacity with respect to trading, compliance, and operations given the number of funds for which it would serve as sub-adviser.
Investment Performance of the Funds. The Board noted that Toroso has not previously provided sub-advisory services to the Funds, and Toroso does not currently manage funds and/or client accounts with investment strategies similar to those of the Funds. In addition, the Board noted that Cambria will retain responsibility for the day-to-day active management of the Funds’ strategies and the individual selection of investments for each Fund’s portfolio. Accordingly, the Board determined that neither past nor future Fund performance will be a significant consideration with respect to the Board’s approval of the Sub-Advisory Agreement.
Costs of Services to be Provided and Economies of Scale. The Board then reviewed the sub- advisory fee to be paid by the Adviser to Toroso for its services to each Fund. The Board considered the fees to be paid to Toroso would be paid by the Adviser from the unitary fee the Adviser receives from a Fund, noting that the sub-advisory fee reflected an arm’s-length negotiation between the Adviser and Toroso. The Board further determined the sub-advisory fee reflects an appropriate allocation of the advisory fee paid to the Adviser given the work to be performed by each firm. The Board also evaluated the compensation and benefits expected to be received by Toroso from its relationship with the Fund, taking into account an analysis of Toroso’s estimated profitability with respect to each Fund.
The Board expressed the view that Toroso might realize economies of scale in managing the Funds as assets grow in size. The Board further noted that because each Fund pays the Adviser a unified fee, any benefits from breakpoints in the sub-advisory fee schedule would accrue to the Adviser, rather than Fund shareholders. Consequently, the Board determined that it would monitor fees as the Funds grow to determine whether economies of scale were being effectively shared with the Funds and their shareholders.
Semi-Annual Report | October 31, 2023 69
Cambria ETF TrustApproval of Sub-Advisory Agreement and Board Consideration
October 31, 2023 (Unaudited)
Approval of the Sub-Advisory Agreement. Based on the Board’s deliberations and its evaluation of the information described above and other factors and information it believed relevant in the exercise of its reasonable business judgment, the Board, including all of the Independent Trustees, with the assistance of Trust counsel, unanimously concluded that the terms of the Sub-Advisory Agreement, including the fees to be paid thereunder, were fair and reasonable and agreed to approve the Sub-Advisory Agreement for an initial term of two years and recommend the approval of the Sub-Advisory Agreement to the Funds’ shareholders. In its deliberations, the Board did not identify any absence of information as material to its decision, or any particular factor (or conclusion with respect thereto) or single piece of information that was all-important, controlling or determinative of its decision, but considered all of the factors together, and each Trustee may have attributed different weights to the various factors (and conclusions with respect thereto) and information.
70www.cambriafunds.com
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. The data represented in the table below represents past performance and cannot be used to predict future results.
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 the NAV. A discount is the amount that the Fund is trading below the reported NAV, expressed as a percentage of the NAV.
| Market Price | Market Price, |
Shareholder Yield ETF | (2.19)% | $59.00 |
Foreign Shareholder Yield ETF | 9.43% | 23.45 |
Global Value ETF | 9.13% | 19.12 |
Global Momentum ETF | (9.54)% | 26.18 |
Global Asset Allocation ETF | (1.04)% | 25.79 |
Value and Momentum ETF | (7.25)% | 26.08 |
Global Tail Risk ETF | (40.47)% | 12.87 |
Emerging Shareholder Yield ETF | 10.47% | 27.43 |
Tail Risk ETF | 23.90% | 19.18 |
Trinity ETF | (4.67)% | 23.91 |
Cannabis ETF | (30.67)% | 5.20 |
Global Real Estate ETF | (12.01)% | 21.98 |
FUND PROXY VOTING POLICIES & PROCEDURES
The Funds’ policies and procedures used to determine how to vote proxies relating to portfolio securities are available, without charge and upon request, by calling 855-ETF-INFO (383-4636). This information is also available on the SEC’s website at www.sec.gov.
Information regarding how each Fund voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended June 30, is also available without charge and upon request, by calling 855-ETF-INFO (383-4636) or accessing the SEC’s website at www.sec.gov.
PORTFOLIO HOLDINGS
Quarterly holdings as of the first and third fiscal quarters are available on the Funds’ website at www.cambriafunds.com. The Funds file complete schedules of portfolio holdings with the SEC for the first and third fiscal quarters on Part F of Form N‐PORT. The Funds’ Part F of Form N-PORT are available, without charge and upon request, by calling 855-ETF-INFO (383-4636). This information is also available on the SEC’s website at www.sec.gov or at the Funds’ website at www.cambriafunds.com.
PREMIUM/DISCOUNT INFORMATION
Information regarding how often shares of the Fund trade on the exchange at a price above (i.e., at a premium) or below (i.e., at a discount) to its daily NAV is available, without charge, on the Funds’ website at www.cambriafunds.com.
![](https://capedge.com/proxy/N-CSRS/0001999371-24-000215/cambria-ncsrs_103123img001.gif)
Investment Adviser:
Cambria Investment Management, L.P.
3300 Highland Ave
Manhattan Beach, CA 90266
Investment Sub-Advisory
Tidal Investments LLC
234 West Florida Street, 2nd Floor
Milwaukee, WI 53204
Distributor:
ALPS Distributors Inc.
1290 Broadway Suite 1000
Denver, CO 80203
Legal Counsel:
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004-2541
Independent Registered Public Accounting Firm:
Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, Ohio, 44115
Custodian
U.S. Bank N.A.Custody Operations
1555 North RiverCenter Drive, Suite 302
Milwaukee, Wisconsin 53212
Fund Administrator
Tidal ETF Services LLC
234 West Florida Street, Suite 203
Milwaukee, Wisconsin 53204
Transfer Agent, Fund Accountant and Fund Sub-Administrator
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, Wisconsin 53202
This information must be preceded or accompanied by a current prospectus.
(b) | Not applicable. |
Item 2. Code of Ethics.
Not applicable for semi-annual report.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual report.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semi-annual report.
Item 6. Investments.
(a) | Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | Not applicable to the registrant. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end 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 period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 13. Exhibits.
(a) | (1) Not applicable for semi-annual report. |
(2) A separate certification for each principal executive officer and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(3) None.
(4) None.
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
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.
(Registrant) | Cambria ETF Trust |
By (Signature and Title) | /s/ Membane Faber | |||
Mebane Faber, President/Principal Executive Officer |
Date | January 4, 2024 |
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 (Signature and Title)* | /s/ Mebane Faber | |||
Mebane Faber, President/Principal Executive Officer |
Date | January 4, 2024 |
By (Signature and Title)* | /s/ Aaron Perkovich | |||
Aaron Perkovich, Treasurer/Principal Financial Officer |
Date | January 8, 2024 |
* Print the name and title of each signing officer under his or her signature.