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: April 30, 2024
Explanatory Note
The Cambria ETF Trust (the “Registrant”) is filing this amendment to its Form N-CSR for the fiscal year ended April 30, 2024, solely to update the section titled “Approval of Advisory Agreements & Board Considerations (Unaudited)” to include a description of the Board’s considerations in approving the advisory agreements with respect to the Cambria Micro and SmallCap Shareholder Yield ETF (the “Fund”) and to fix a typographical error in the Fund's name. Other than the aforementioned revisions, no other information or disclosures contained in the Registrant’s Form N-CSR filed on July 8, 2024, are being revised or amended by this filing.
Item 1. Reports to Stockholders.
(a)
![](https://capedge.com/proxy/N-CSRA/0001999371-24-009982/cmba-ncsr_043024img001.gif)
Annual Report
April 30, 2024
Cambria Shareholder Yield ETF (SYLD)
Cambria Foreign Shareholder Yield ETF (FYLD)
Cambria Global Value ETF (GVAL)
Cambria Global Momentum ETF (GMOM)
Cambria Global Asset Allocation ETF (GAA)
Cambria Value and Momentum ETF (VAMO)
Cambria Global Tail Risk ETF (FAIL)
Cambria Emerging Shareholder Yield ETF (EYLD)
Cambria Tail Risk ETF (TAIL)
Cambria Trinity ETF (TRTY)
Cambria Cannabis ETF (TOKE)
Cambria Global Real Estate ETF (BLDG)
Cambria Micro and SmallCap Shareholder Yield ETF (MYLD)
Cambria Tactical Yield ETF (TYLD)
Cambria Investment Management
Table of Contents
1 | |
Manager’s Discussion and Analysis of Fund Performance (Unaudited) | 8 |
22 | |
22 | |
24 | |
27 | |
30 | |
32 | |
34 | |
37 | |
38 | |
41 | |
42 | |
44 | |
46 | |
48 | |
50 | |
51 | |
55 | |
59 | |
66 | |
80 | |
109 | |
111 | |
Approval of Advisory Agreements & Board Considerations (Unaudited) | 113 |
120 | |
121 | |
122 | |
123 |
Annual Report | April 30, 2024 1
Dear Shareholder:
We are pleased to present the following annual report for the Cambria ETF Trust.
SYLD
The Cambria Shareholder Yield ETF (“SYLD”) launched on May 13, 2013. For the three‐month period ended April 30, 2024, SYLD posted a gain of 3.22%. For the 12‐month period ended April 30, 2024, SYLD posted a gain of 20.84%. For the period since inception through April 30, 2024, SYLD gained 274.04%.
We believe that the S&P 500 Index (S&P 500) serves as a suitable benchmark for SYLD. The table below shows the performance of the Fund (NAV) vs. S&P 500 for the three‐month, 12‐month and since inception periods ended April 30, 2024.
| Vs Benchmark | |
| SYLD | S&P 500 |
Annualized Returns Since Inception | 12.79% | 12.92% |
Cumulative Returns Since Inception | 274.04% | 278.80% |
12 Months Ended 4/30/2024 | 20.84% | 22.66% |
3 Months Ended 4/30/2024 | 3.22% | 4.29% |
The Fund’s performance (NAV) as of April 30, 2024 is as follows: 20.84% (1 year), 15.67% (annualized five year), 11.87% (annualized ten year), and 12.79% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2024 is as follows: 20.82% (1 year), 15.67% (annualized five year), 11.86% (annualized ten year), and 12.78% (annualized since inception).
FYLD
The Cambria Foreign Shareholder Yield ETF (“FYLD”) launched on December 2, 2013. For the three‐month period ended April 30, 2024, FYLD posted a gain of 3.80%. For the 12‐month period ended April 30, 2024, FYLD posted a gain of 12.94%. For the period since inception through April 30, 2024, FYLD posted a gain of 70.01%.
We believe that the MSCI EAFE Index (MSCI EAFE) serves as a suitable benchmark for FYLD. The table below shows the performance of the Fund (NAV) vs. MSCI EAFE for the three‐month, 12‐month and since inception periods ended April 30, 2024.
| Vs Benchmark | |
| FYLD | MSCI EAFE |
Annualized Returns Since Inception | 5.23% | 5.14% |
Cumulative Returns Since Inception | 70.01% | 68.44% |
12 Months Ended 4/30/2024 | 12.94% | 9.84% |
3 Months Ended 4/30/2024 | 3.80% | 2.73% |
The Fund’s performance (NAV) as of April 30, 2024 is as follows: 12.94% (1 year), 8.13% (annualized five year), 4.74% (annualized ten year), and 5.23% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2024 is as follows: 12.35% (1 year), 8.15% (annualized five year), 4.66% (annualized ten year), and 5.23% (annualized since inception).
GVAL
The Cambria Global Value ETF (“GVAL”) launched on March 11, 2014. For the three‐month period ended April 30, 2024, GVAL posted a gain of 4.81%. For the 12‐month period ended April 30, 2024, GVAL posted a gain of 10.33%. For the period since inception through April 30, 2024, the Fund posted a gain of 21.10%.
2www.cambriafunds.com
Cambria ETF TrustShareholder Letter
April 30, 2024 (Unaudited)
We believe that the MSCI ACWI Index (MSCI ACWI) serves as a suitable benchmark for GVAL. The table below shows the performance of the Fund (NAV) vs. MSCI ACWI for the three‐month, 12‐month and since inception periods ended April 30, 2024.
| Vs Benchmark | |
| GVAL | MSCI ACWI |
Annualized Returns Since Inception | 1.91% | 8.81% |
Cumulative Returns Since Inception | 21.10% | 135.33% |
12 Months Ended 4/30/2024 | 10.33% | 18.02% |
3 Months Ended 4/30/2024 | 4.81% | 4.16% |
The Fund’s performance (NAV) as of April 30, 2024 is as follows: 10.33% (1 year), 2.48% (annualized five year), 1.64% (annualized ten year), and 1.91% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2024 is as follows: 10.61% (1 year), 2.72% (annualized five year), 1.54% (annualized ten year), and 1.89% (annualized since inception).
GMOM
The Cambria Global Momentum ETF (“GMOM”) launched on November 3, 2014. For the three‐month period ended April 30, 2024, GMOM posted a gain of 4.08%. For the 12‐month period ended April 30, 2024, GMOM posted a gain of 3.98%. For the period since inception through April 30, 2024, GMOM posted a gain of 40.88%.
We believe that a suitable benchmark for GMOM is the S&P Balanced Equity and Bond – Moderate Index (SPBXMI) because the equity‐bond blend is the precursor to most modern asset allocation strategies. The table below shows the performance of the Fund (NAV) vs. SPBXMI for the three‐month, 12‐month and since inception periods ended April 30, 2024.
| Vs Benchmark | |
| GMOM | SPBXMI |
Annualized Returns Since Inception | 3.68% | 6.42% |
Cumulative Returns Since Inception | 40.88% | 80.39% |
12 Months Ended 4/30/2024 | 3.98% | 8.07% |
3 Months Ended 4/30/2024 | 4.08% | -0.02% |
The Fund’s performance (NAV) as of April 30, 2024 is as follows: 3.98% (1 year), 5.08% (annualized five year), and 3.68% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2024 is as follows: 4.86% (1 year), 5.21% (annualized five year), and 3.74% (annualized since inception).
GAA
The Cambria Global Asset Allocation ETF (“GAA”) launched on December 9, 2014. For the three‐month period ended April 30, 2024, GAA posted a gain of 2.43%. For the 12‐month period ended April 30, 2024, GAA posted a gain of 8.63%. For the period since inception through April 30, 2024, GAA posted a gain of 56.27%.
We believe that a suitable benchmark for GAA is the S&P Balanced Equity and Bond – Moderate Index (SPBXMI) because the equity‐bond blend is the precursor to most modern asset allocation strategies. The table below shows the performance of the Fund (NAV) vs. SPBXMI for the three‐month, 12‐month and since inception periods ended April 30, 2024.
| Vs Benchmark | |
| GAA | SPBXMI |
Annualized Returns Since Inception | 4.87% | 6.28% |
Cumulative Returns Since Inception | 56.27% | 77.21% |
12 Months Ended 4/30/2024 | 8.63% | 8.07% |
3 Months Ended 4/30/2024 | 2.43% | -0.02% |
The Fund’s performance (NAV) as of April 30, 2024 is as follows: 8.63% (1 year), 5.36% (annualized five year), and 4.87% (annualized since inception). The Fund’s performance (Market Price) as April 30, 2024 is as follows: 9.55% (1 year), 5.60% (annualized five year), and 4.96% (annualized since inception).
Annual Report | April 30, 2024 3
Cambria ETF TrustShareholder Letter
April 30, 2024 (Unaudited)
VAMO
The Cambria Value and Momentum ETF (“VAMO”) launched on September 8, 2015. For the three‐month period ended April 30, 2024, VAMO posted a gain of 2.42%. For the 12‐month period ended April 30, 2024, VAMO posted a gain of 17.75%. For the period since inception through April 30, 2024, VAMO posted a gain of 24.84%.
We believe that the S&P 500 Index (S&P 500) serves as a suitable benchmark for VAMO, as VAMO offers a diversified, value‐oriented exposure to US equities with downside risk hedging. The table below shows the performance of the Fund (NAV) vs. S&P 500 for the three‐month, 12‐month and since inception periods ended April 30, 2024.
| Vs Benchmark | |
| VAMO | S&P 500 |
Annualized Returns Since Inception | 2.60% | 13.53% |
Cumulative Returns Since Inception | 24.84% | 199.44% |
12 Months Ended 4/30/2024 | 17.75% | 22.66% |
3 Months Ended 4/30/2024 | 2.42% | 4.29% |
The Fund’s performance (NAV) as of April 30, 2024 is as follows: 17.75% (1 year), 7.91% (annualized five year), and 2.60% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2024 is as follows 17.72% (1 year), 7.95% (annualized five year), and 2.60% (annualized since inception).
FAIL
The Cambria Global Tail Risk ETF (“FAIL”) launched on February 22, 2016 and changed its name and investment objective on March 15, 2021. Fund performance prior to March 15, 2021 reflects the investment objective and principal investment strategy of the Fund when it was the Cambria Sovereign Bond ETF and it sought income and capital appreciation from investments in securities and instruments that provide exposure to sovereign and quasi-sovereign bonds. For the three‐month period ended April 30, 2024, the Fund posted a loss of 5.64%. For the 12‐month period ended April 30, 2024, the Fund posted a loss of 12.41%. For the period since inception through April 30, 2024, the Fund posted a loss of 16.49%.
We believe that a suitable benchmark for FAIL, given the Fund’s new investment objective and principal investment strategy, is the Bloomberg Barclays US Short Treasury Index (“Short Treasury”). The table below shows the performance of the Fund (NAV) vs. the Short Treasury for the three‐month, 12‐month and since inception periods ended April 30, 2024.
| Vs Benchmark | |
| FAIL* | Short Treasury |
Annualized Returns Since Inception | -2.18% | 1.73% |
Cumulative Returns Since Inception | -16.49% | 15.09% |
12 Months Ended 4/30/2024 | -12.41% | 5.24% |
3 Months Ended 4/30/2024 | -5.64% | 1.20% |
* The Fund’s objective changed effective March 15, 2021.
The Fund’s performance (NAV) as of April 30, 2024 is as follows: -12.41% (1 year), -6.17% (annualized five year), and -2.18% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2024 is as follows: -12.46% (1 year), -6.10% (annualized five year), and -2.15% (annualized since inception).
EYLD
The Cambria Emerging Shareholder Yield ETF (“EYLD”) launched on July 13, 2016. For the three‐month period ended April 30, 2024, EYLD posted a gain of 11.12%. For the 12‐month period ended April 30, 2024, EYLD posted a gain of 26.91%. For the period since inception through April 30, 2024, EYLD posted a gain of 104.22%.
4www.cambriafunds.com
Cambria ETF TrustShareholder Letter
April 30, 2024 (Unaudited)
We believe that the MSCI Emerging Markets Index (MSCI EEM) serves as a suitable benchmark for EYLD. The table below shows the performance of the Fund (NAV) vs. MSCI EEM for the three‐month, 12‐month and since inception periods ended April 30, 2024.
| Vs Benchmark | |
| EYLD | MSCI EEM |
Annualized Returns Since Inception | 9.59% | 5.44% |
Cumulative Returns Since Inception | 104.22% | 51.14% |
12 Months Ended 4/30/2024 | 26.91% | 10.33% |
3 Months Ended 4/30/2024 | 11.12% | 7.92% |
The Fund’s performance (NAV) as of April 30, 2024 is as follows: 26.91% (1 year), 7.77% (annualized 5 year), and 9.59% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2024 is as follows: 24.62% (1 year), 7.54% (annualized 5 year) and 9.56% (annualized since inception).
TAIL
The Cambria Tail Risk ETF (“TAIL”) launched on April 5, 2017. For the three‐month period ended April 30, 2024, TAIL posted a loss of 6.22%. For the 12‐month period ended April 30, 2024, TAIL posted a loss of 16.28%. For the period since inception through April 30, 2024, TAIL posted a loss of 47.51%.
We believe that a suitable benchmark for TAIL is the Bloomberg Barclays Short Treasury Index (Short Treasury). TAIL is not an aggressive hedging strategy, and as such, an index of short-term Treasuries which approximates a conservative money‐market fund is a suitable benchmark. Short Treasury tracks the market for treasury bills issued by the US government. The table below shows the performance of the Fund (NAV) vs. Short Treasury for the three‐month, 12‐month and since inception periods ended April 30, 2024.
| Vs Benchmark | |
| TAIL | Short Treasury |
Annualized Returns Since Inception | -8.72% | 1.93% |
Cumulative Returns Since Inception | -47.51% | 14.47% |
12 Months Ended 4/30/2024 | -16.28% | 5.24% |
3 Months Ended 4/30/2024 | -6.22% | 1.20% |
The Fund’s performance (NAV) as of April 30, 2024 is as follows: -16.28% (1 year), -8.49% (annualized 5 year), and -8.72% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2024 is as follows: -16.39% (1 year), -8.57% (annualized 5 year), and -8.75% (annualized since inception).
TRTY
The Cambria Trinity ETF (“TRTY”) launched on September 10, 2018. For the three‐month period ended April 30, 2024, TRTY posted a gain of 2.99%. For the 12‐month period ended April 30, 2024, TRTY posted a gain of 6.72%. For the period since inception through April 30, 2024, TRTY posted a gain of 23.88%.
We believe that a suitable benchmark for TRTY is the S&P Balanced Equity and Bond – Moderate Index (SPBXMI) because the equity‐bond blend is the precursor to most modern asset allocation strategies. The table below shows the performance of the Fund (NAV) vs. SPBXMI for the three‐month, 12‐month and since inception periods ended April 30, 2024.
| Vs Benchmark | |
| TRTY | SPBXMI |
Annualized Returns Since Inception | 3.87% | 6.24% |
Cumulative Returns Since Inception | 23.88% | 40.68% |
12 Months Ended 4/30/2024 | 6.72% | 8.07% |
3 Months Ended 4/30/2024 | 2.99% | -0.02% |
The Fund’s performance (NAV) as of April 30, 2024 is as follows: 6.72% (1 year), 4.73% (annualized 5 year), and 3.87% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2024 is 6.54% (1 year), 4.66% (annualized 5 year), and 3.84% (annualized since inception).
Annual Report | April 30, 2024 5
Cambria ETF TrustShareholder Letter
April 30, 2024 (Unaudited)
TOKE
The Cambria Cannabis ETF (“TOKE”) launched on July 25, 2019. For the three-month period ended April 30, 2024, TOKE posted a gain of 20.54%. For the 12-month period ended April 30, 2024, TOKE posted a gain of 12.75%. For the period since inception through April 30, 2024, TOKE posted a loss of -67.99%.
We believe that the S&P 500 Index (S&P 500) serves as a suitable benchmark for TOKE. The table below shows the performance of the Fund (NAV) vs. S&P 500 for the three‐month, 12‐month and since inception periods ended April 30, 2024.
| Vs Benchmark | |
| TOKE | S&P 500 |
Annualized Returns Since Inception | -21.24% | 13.17% |
Cumulative Returns Since Inception | -67.99% | 80.39% |
12 Months Ended 4/30/2024 | 12.75% | 22.66% |
3 Months Ended 4/30/2024 | 20.54% | 4.29% |
The Fund’s performance (NAV) as of April 30, 2024 is as follows: 12.75% (1 year) and -21.24% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2024 is as follows: 12.97% (1 year) and -21.20% (annualized since inception).
BLDG
The Global Real Estate ETF (“BLDG”) launched on September 24, 2020. For the three-month period ended April 30, 2024, BLDG posted a loss of 1.40%. For the 12-month period ended April 30, 2024, BLDG posted a gain of 2.68%. For the period since inception through April 30, 2024, BLDG posted a gain of 18.08%.
We believe that a suitable benchmark for BLDG is the FTSE EPRA/NAREIT Global REIT Index (ENXG). The table below shows the performance of the Fund (NAV) vs. ENXG for the three‐month, 12‐month and since inception periods ended April 30, 2024.
| Vs Benchmark | |
| BLDG | ENXG |
Annualized Returns Since Inception | 4.72% | 5.68% |
Cumulative Returns Since Inception | 18.08% | 22.02% |
12 Months Ended 4/30/2024 | 2.68% | -0.83% |
3 Months Ended 4/30/2024 | -1.40% | -3.82% |
The Fund’s performance (NAV) as of April 30, 2024 is as follows: 2.68% (1 year) and 4.72% (annualized since inception). The Fund’s performance (Market Price) as of April 30, 2024 is as follows: 2.80% (1 year) and 4.88% (annualized since inception).
MYLD
The Micro and SmallCap Shareholder Yield ETF (“MYLD”) launched on January 4, 2024. For the three-month period ended April 30, 2024, MYLD posted a gain of 1.16%. For the period since inception through April 30, 2024, BLDG posted a gain of 2.31%.
We believe that a suitable benchmark for MYLD is the S&P Small Cap 600 Index (SML). The table below shows the performance of the Fund (NAV) vs. SML for the three‐month and since inception periods ended April 30, 2024.
| Vs Benchmark | |
| MYLD | SML |
Annualized Returns Since Inception | —% | —% |
Cumulative Returns Since Inception | 2.31% | -0.06% |
12 Months Ended 4/30/2024 | —% | —% |
3 Months Ended 4/30/2024 | 1.16% | 0.68% |
The Fund’s performance (NAV) as of April 30, 2024 is as follows: 2.31% (cumulative since inception). The Fund’s performance (Market Price) as of April 30, 2024 is as follows: 2.54% (cumulative since inception).
6www.cambriafunds.com
Cambria ETF TrustShareholder Letter
April 30, 2024 (Unaudited)
TYLD
The Tactical Yield ETF (“TYLD”) launched on January 4, 2024. For the three-month period ended April 30, 2024, TYLD posted a gain of 1.10%. For the period since inception through April 30, 2024, TYLD posted a gain of 1.45%.
We believe that a suitable benchmark for TYLD is the ICE BofA US 3-Month Treasury Bill Index (G0O1). The table below shows the performance of the Fund (NAV) vs. G0O1 for the three‐month, 12‐month and since inception periods ended April 30, 2024.
| Vs Benchmark | |
| TYLD | G0O1 |
Annualized Returns Since Inception | —% | —% |
Cumulative Returns Since Inception | 1.45% | 1.70% |
12 Months Ended 4/30/2024 | —% | —% |
3 Months Ended 4/30/2024 | 1.10% | 1.29% |
The Fund’s performance (NAV) as of April 30, 2024 is as follows: 1.45% (cumulative since inception). The Fund’s performance (Market Price) as of April 30, 2024 is as follows: 1.69% (cumulative since inception).
Sincerely,
Mebane Faber
Annual Report | April 30, 2024 7
Cambria ETF TrustShareholder Letter
April 30, 2024 (Unaudited)
The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted.
Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Market price returns are based upon the midpoint of the bid/ask spread at the close of the exchange and does not represent the returns an investor would receive if shares were traded at other times. Brokerage commissions will reduce returns. NAVs are calculated using prices as of 4:00 PM Eastern Time.
The information provided represents the opinion of the manager at a specific point in time and is not intended to be a forecast of future events, a guarantee of future events or investment advice.
Indices are unmanaged and do not include the effect of fees. One cannot invest directly in an index.
The S&P 500 Index is a diverse index that includes 500 American companies that represent over 70% of the total market capitalization of the U.S. stock market.
The S&P Smallcap 600 Index is a capitalization-weighted index that measures the performance of selected U.S. stocks with a small market capitalization.
The S&P Balanced Equity and Bond Index is comprised of three multi-asset class indices, each with a particular risk level. The indices consist of U.S. Treasury Bonds and Equities with the following asset mix proportions: Conservative: 75% Treasuries/25% Equities, Moderate: 50% Treasuries/50% Equities, Growth: 25% Treasuries/75% Equities. The Moderate Index (SPBXMI) has long been used by academia and practitioners alike as a measurement for broad asset allocation strategies.
The MSCI EAFE Index is a free float-adjusted market capitalization weighted index, designed to measure developed market equity performance, excluding the U.S. and Canada, consisting of 21 stock markets in Europe, Australasia, and the Far East.
The MSCI ACWI Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. MSCI ACWI consists of 47 country indexes comprising 23 developed and 24 emerging market country indexes.
MSCI Emerging Markets Index is a free-float weighted equity index that captures large- and mid-cap representation across emerging markets countries. The index covers approximately 85% of the free float-adjusted market capitalization in each country.
The FTSE World Government Bond Index (WGBI) measures the performance of fixed-rate, local currency, investment grade sovereign bonds. WGBI is a widely used benchmark that currently comprises sovereign debt from over 20 countries, denominated in a variety of currencies, and has more than 25 years of history available. WGBI provides a broad benchmark for the global sovereign fixed income market. Sub-indices are available in any combination of currency, maturity, or rating.
The Bloomberg Barclays US Short Treasury Index is composed of zero-coupon Treasury Bills and fixed-rate Treasury bonds with a maturity between one and 12 months. As Treasury bonds and notes fall below one year-to-maturity and exit the US Treasury Index, they become eligible for the Short Treasury Index. Maturity sub-indices are published in three-month increments: 1-3 month, 3-6 month, 6-9 month, and 9-12 month and can be separated into sub-indices that only include bills or only include notes that have aged below 1-year.
The FTSE EPRA/NAREIT Global REIT Index measures the total return, stated in US dollar terms, of the size- and liquidity-screened stocks in both developed and emerging markets of the publicly traded real estate companies that qualify for REIT status under the tax law in the country of domicile.
The ICE BofA US 3-Month Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue.
8www.cambriafunds.com
Comparison of Change in the Value of a $10,000 Investment in the Cambria Shareholder Yield ETF versus the S&P 500 Index
For the 12‐month period ended April 30, 2024, SYLD returned 20.84% at net asset value (NAV) and 20.82% at market underperforming its benchmark, the S&P 500 Index, by 1.82%. An overweight allocation and security selection in energy, financials, and materials and with security selection in Industrial drove positive performance. Underweight allocations and security selection in technology and communication services offset some of the positive performance relative to the benchmark.
On a contribution to total return basis financials, energy, and industrials were the best performers contributing 5.38%, 5.24%, and 3.81% respectively. On a contribution to total return basis technology contributed 0.17% for SYLD compared to a CTR of 10.04% for the benchmark.
Average Annual Total Return for the Year Ended April 30, 2024:
| 1 Year | 3 Year | 5 Year | 10 Year | Since Inception* |
Cambria Shareholder Yield ETF - NAV | 20.84% | 5.87% | 15.67% | 11.87% | 12.79% |
Cambria Shareholder Yield ETF - Market | 20.82% | 5.81% | 15.67% | 11.86% | 12.78% |
S&P 500 Index | 22.66% | 8.06% | 13.19% | 12.41% | 12.92% |
![](https://capedge.com/proxy/N-CSRA/0001999371-24-009982/cmba-ncsr_043024img002.gif)
*Fund inception date is May 13, 2013.
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.
Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.59%.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The index is unmanaged and is not available for investment.
There are no assurances that the Fund will meet its stated objectives.
S&P 500 Index is a market-value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry group representation, with each stock’s weight in the Index proportionate to its market value.
Annual Report | April 30, 2024 9
Cambria Foreign Shareholder Yield ETF | Manager’s Discussion and |
| April 30, 2024 (Unaudited) |
Comparison of Change in the Value of a $10,000 Investment in the Cambria Foreign Shareholder Yield ETF versus the MSCI EAFE Index
For the 12‐month period ended April 30, 2024, FYLD returned 12.94% at net asset value (NAV) and 12.35% at market outperforming its benchmark, the MSCI EAFE Total Return Index, by 3.10%. During this period an overweight allocation and security selection in Japan, Canada, Norway, and Australia drove outperformance relative to EAFE. Security selection in Denmark and Luxembourg offset outperformance somewhat.
On a contribution to total return basis Japan, Canada, and Australia allocations were the best performers contributing 6.24%, 2.97% and 1.62% respectively. On a contribution to total return basis Hong Kong, Luxembourg, and Denmark allocations were the worst performers contributing ‐0.87%, -0.53%, and -0.48% respectively.
Average Annual Total Return for the Year Ended April 30, 2024:
| 1 Year | 3 Year | 5 Year | 10 Year | Since Inception* |
Cambria Foreign Shareholder Yield ETF - NAV | 12.94% | 4.97% | 8.13% | 4.74% | 5.23% |
Cambria Foreign Shareholder Yield ETF - Market | 12.35% | 4.70% | 8.15% | 4.66% | 5.23% |
MSCI EAFE Index | 9.84% | 3.39% | 6.70% | 4.88% | 5.14% |
![](https://capedge.com/proxy/N-CSRA/0001999371-24-009982/cmba-ncsr_043024img003.gif)
* Fund inception date is December 2, 2013.
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.
Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.59%.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.
There are no assurances that the Fund will meet its stated objectives.
MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. The MSCI EAFE Index consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.
10www.cambriafunds.com
Cambria Global Value ETF | Manager’s Discussion and |
| April 30, 2024 (Unaudited) |
Comparison of Change in the Value of a $10,000 Investment in the Cambria Global Value ETF versus the MSCI AC World Index
For the 12‐month period ended April 30, 2024, GVAL returned 10.33% at net asset value (NAV) and 10.61% at market underperforming its benchmark, the MSCI AC World Index, by 7.69%. Overweight allocation to and security selection in Hong Kong and Singapore along with no US exposure led the underperformance relative to ACWI.
On a contribution to total return basis Italy, Poland, and Brazil allocations were the best performers contributing 3.80%, 3.06%, 1.43% respectively. On a contribution to total return Hong Kong, Singapore, and Colombia allocations were the worst performers contributing ‐1.11%, ‐0.32% and ‐0.03% respectively.
Average Annual Total Return for the Year Ended April 30, 2024:
| 1 Year | 3 Year | 5 Year | 10 Year | Since Inception* |
Cambria Global Value ETF - NAV | 10.33% | 2.97% | 2.48% | 1.64% | 1.91% |
Cambria Global Value ETF - Market | 10.61% | 2.97% | 2.72% | 1.54% | 1.89% |
MSCI AC World Index | 18.02% | 4.76% | 9.97% | 8.75% | 8.81% |
![](https://capedge.com/proxy/N-CSRA/0001999371-24-009982/cmba-ncsr_043024img004.gif)
* Fund inception date is March 11, 2014.
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.
Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.70%.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.
There are no assurances that the Fund will meet its stated objectives.
MSCI AC World Index: is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI consists of 47 country indices comprising 23 developed and 24 emerging market country indices. The developed market country indices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indices included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Kuwait, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates.
Annual Report | April 30, 2024 11
Cambria Global Momentum ETF | Manager’s Discussion and |
| April 30, 2024 (Unaudited) |
Comparison of Change in the Value of a $10,000 Investment in the Cambria Global Momentum ETF versus the
S&P Balanced Equity & Bond – Moderate Index
For the 12‐month period ended April 30, 2024, GMOM returned 3.98% at net asset value (NAV) and 4.86% at market underperforming its benchmark, the S&P Balanced Equity & Bond Moderate Index, by 4.09%. GMOM is a tactical trend and momentum strategy. Underperformance relative to the benchmark was primarily driven by natural resources, commodities, and energy.
On a contribution to total return basis emerging market equities, US equities, and foreign developed equities were the best performers contributing 3.22%, 2.09% and 1.51% respectively. On a contribution to total return basis gold miners, physical gold and Energy were the worst performers contributing -1.53%, ‐0.68% and ‐0.58% respectively.
Average Annual Total Return for the Year Ended April 30, 2024:
| 1 Year | 3 Year | 5 Year | Since Inception* |
Cambria Global Momentum ETF - NAV | 3.98% | 1.47% | 5.08% | 3.68% |
Cambria Global Momentum ETF - Market | 4.86% | 1.67% | 5.21% | 3.74% |
S&P Balanced Equity & Bond - Moderate Index | 8.07% | 1.44% | 6.11% | 6.42% |
![](https://capedge.com/proxy/N-CSRA/0001999371-24-009982/cmba-ncsr_043024img005.gif)
*Fund inception date is November 3, 2014.
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.
Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 1.11%.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The index is unmanaged and is not available for investment.
There are no assurances that the Fund will meet its stated objectives.
S&P Balanced Equity & Bond – Moderate Index the S&P 500 Balanced Equity & Bond – Moderate Index combines investable S&P indices for core equity and fixed income to provide a regularly rebalanced multi-asset measure for moderate risk-reward profiles. The construction of the index consists of a position in the S&P 500 Total Return Index with 50% weight, and a position in the S&P U.S. Treasury Bond 7-10 Year Index with 50% weight.
12www.cambriafunds.com
Cambria Global Asset Allocation ETF | Manager’s Discussion and |
| April 30, 2024 (Unaudited) |
Comparison of Change in the Value of a $10,000 Investment in the Cambria Global Asset Allocation ETF versus the
S&P Balanced Equity & Bond – Moderate Index
For the 12‐month period ended April 30, 2024, GAA returned 8.63% at net asset value (NAV) and 9.55% at market outperforming its benchmark, the S&P Balanced Equity & Bond Moderate Index, by 0.56%. GAA is a buy and hold global asset allocation portfolio. U.S. along with foreign developed and emerging equity exposure were the primary drivers of returns during the period. Positive performance was offset slightly by global debt exposure.
On a contribution to total return basis US equities, emerging market equities, and foreign developed equities were the best performers contributing 4.00%, 2.40% and 1.23% respectively. On a contribution to total return basis US long term debt, sovereign debt, and TIPS were the worst performers contributing ‐0.29%, ‐0.09% and ‐0.02% respectively.
Average Annual Total Return for the Year Ended April 30, 2024:
| 1 Year | 3 Year | 5 Year | Since Inception* |
Cambria Global Asset Allocation ETF - NAV | 8.63% | 1.22% | 5.36% | 4.87% |
Cambria Global Asset Allocation ETF - Market | 9.55% | 1.26% | 5.60% | 4.96% |
S&P Balanced Equity & Bond - Moderate Index | 8.07% | 1.44% | 6.11% | 6.28% |
![](https://capedge.com/proxy/N-CSRA/0001999371-24-009982/cmba-ncsr_043024img006.gif)
*Fund inception date is December 9, 2014.
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.
Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.42%.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.
There are no assurances that the Fund will meet its stated objectives.
S&P Balanced Equity & Bond – Moderate Index the S&P 500 Balanced Equity & Bond – Moderate Index combines investable S&P indices for core equity and fixed income to provide a regularly rebalanced multi-asset measure for moderate risk-reward profiles. The construction of the index consists of a position in the S&P 500 Total Return Index with 50% weight, and a position in the S&P U.S. Treasury Bond 7-10 Year Index with 50% weight.
Annual Report | April 30, 2024 13
Cambria Value and Momentum ETF | Manager’s Discussion and |
| April 30, 2024 (Unaudited) |
Comparison of Change in the Value of a $10,000 Investment in the Cambria Value and Momentum ETF versus S&P 500 Index
For the 12‐month period ended April 30, 2024, VAMO returned 17.75% at net asset value (NAV) and 17.72% at market underperforming its benchmark, the S&P 500 Index, by 4.91%. VAMO’s underperformance was driven by its target 50% hedge against the S&P 500 as well as an underweight allocation to technology and communication services sectors relative to the benchmark.
On a contribution to total return basis consumer discretionary, industrials, and energy were the best performing sectors contributing 6.61%, 6.44%, and 3.60% respectively. On a contribution to total return basis consumer staples, communication services, and health care were the worst performing sectors contributing ‐0.11%, 0.16% and 0.72% respectively.
Average Annual Total Return for the Year Ended April 30, 2024:
| 1 Year | 3 Year | 5 Year | Since Inception* |
Cambria Value and Momentum ETF - NAV | 17.75% | 8.75% | 7.91% | 2.60% |
Cambria Value and Momentum ETF - Market | 17.72% | 9.05% | 7.95% | 2.60% |
S&P 500 Index | 22.66% | 8.06% | 13.19% | 13.53% |
![](https://capedge.com/proxy/N-CSRA/0001999371-24-009982/cmba-ncsr_043024img007.gif)
*Fund inception date is September 8, 2015.
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.
Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.59%.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.
There are no assurances that the Fund will meet its stated objectives.
S&P 500 Index is a market-value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry group representation, with each stock’s weight in the Index proportionate to its market value.
14www.cambriafunds.com
Cambria Global Tail Risk ETF | Manager’s Discussion and |
| April 30, 2024 (Unaudited) |
Comparison of Change in the Value of a $10,000 Investment in the Cambria Global Tail Risk ETF versus the
Bloomberg Short Treasury Total Return Index
For the 12‐month period ended April 30, 2024, FAIL returned ‐12.41% at net asset value and ‐12.46% at market underperforming its benchmark, the Bloomberg Short Treasury Total Return Index, by 17.65%. MSCI EAFE and EM Indices were both up for the 12-month period ending April 30, 2024 so the put options on MXEA and MXEF indices drove negative performance. US Government Bonds also contributed negatively to performance. Negative performance was slightly offset by Foreign Bonds.
On a contribution to total return basis foreign developed and EM bonds were the best performers. MXEA and MXEF Index options and US Bonds were the worst performers.
Average Annual Total Return for the Year Ended April 30, 2024:
| 1 Year | 3 Year | 5 Year | Since Inception* |
Cambria Global Tail Risk ETF - NAV | -12.41% | -10.08% | -6.17% | -2.18% |
Cambria Global Tail Risk ETF - Market | -12.46% | -9.61% | -6.10% | -2.15% |
Bloomberg Short Treasury Total Return Index | 5.24% | 2.55% | 2.04% | 1.73% |
![](https://capedge.com/proxy/N-CSRA/0001999371-24-009982/cmba-ncsr_043024img008.gif)
*Fund inception date is February 22, 2016.
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.
Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.71%.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.
There are no assurances that the Fund will meet its stated objectives.
The put options purchased by FAIL give the Fund with the right to sell the underlying asset (index or ETF) to the put seller at a specified price (strike price) within a specified time period.
Bloomberg Short Treasury Total Return Index is composed of zero-coupon Treasury Bills and fixed-rate. Treasury bonds with a maturity between 1 and 12 months. As Treasury bonds and notes fall below one year-to-maturity and exit the U.S. Treasury Index, they become eligible for the Short Treasury Index. Maturity subindices are published in three-month increments: 1-3 month, 3-6 month, 6-9 month, and 9-12 month and can be separated into subindices that only include bills or only include notes that have aged below 1-year.
Annual Report | April 30, 2024 15
Cambria Emerging Shareholder Yield ETF | Manager’s Discussion and |
| April 30, 2024 (Unaudited) |
Comparison of Change in the Value of a $10,000 Investment in the Cambria Emerging Shareholder Yield ETF versus the
MSCI Emerging Markets Index
For the 12‐month period ended April 30, 2024, EYLD returned 26.91% at net asset value (NAV) and 24.62% at market outperforming its benchmark, the MSCI Emerging Markets Total Return Index, by 16.58%. Security selection and allocation bets in China, Taiwan, and South Korea relative to the MSCI Emerging Markets Total Return Index was the primary driver of outperformance.
On a contribution to total return basis Taiwan, China, and South Korea allocations were the best performers contributing 6.69%, 6.42%, and 6.22% respectively. On a contribution to total return basis Czech Republic, Thailand, and Indonesia allocations were the worst performers contributing ‐0.16%, 0.00% and 0.21% respectively.
Average Annual Total Return for the Year Ended April 30, 2024:
| 1 Year | 3 Year | 5 Year | Since Inception* |
Cambria Emerging Shareholder Yield ETF - NAV | 26.91% | 2.38% | 7.77% | 9.59% |
Cambria Emerging Shareholder Yield ETF - Market | 24.62% | 2.17% | 7.54% | 9.56% |
MSCI Emerging Markets Index | 10.33% | -5.31% | 2.28% | 5.44% |
![](https://capedge.com/proxy/N-CSRA/0001999371-24-009982/cmba-ncsr_043024img009.gif)
*Fund inception date is July 13, 2016 and the Fund commenced operations on July 14, 2016.
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.
Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.64%.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.
There are no assurances that the Fund will meet its stated objectives.
MSCI Emerging Markets Index is a free-float weighted equity index that captures large and mid-cap representation across Emerging Markets (EM) countries. The index covers approximately 85% of the free float-adjusted market capitalization in each country.
16www.cambriafunds.com
Cambria Tail Risk ETF | Manager’s Discussion and |
| April 30, 2024 (Unaudited) |
Comparison of Change in the Value of a $10,000 Investment in the Cambria Tail Risk ETF versus the
Bloomberg Short Treasury Total Return Index
For the 12‐month period ended April 30, 2024, TAIL returned ‐16.28% at net asset value (NAV) and ‐16.39% at market underperforming its benchmark, the Bloomberg Short Treasury Total Return Index, by 21.52%. With the S&P 500 positive for the 12‐month period TAIL’s Put Options on the S&P 500 were the primary driver of negative performance. Long duration US treasury exposure also contributed to negative performance.
On a contribution to total return SPX Index put options were the worst performer contributing ‐12.84% to performance.
Average Annual Total Return for the Year Ended April 30, 2024:
| 1 Year | 3 Year | 5 Year | Since Inception* |
Cambria Tail Risk ETF - NAV | -16.28% | -12.48% | -8.49% | -8.72% |
Cambria Tail Risk ETF - Market | -16.39% | -12.60% | -8.57% | -8.75% |
Bloomberg Short Treasury Total Return Index | 5.24% | 2.55% | 2.04% | 1.93% |
![](https://capedge.com/proxy/N-CSRA/0001999371-24-009982/cmba-ncsr_043024img010.gif)
*Fund inception date is April 5, 2017.
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.
Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.59%.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.
There are no assurances that the Fund will meet its stated objectives.
Bloomberg Short Treasury Total Return Index is composed of zero-coupon Treasury Bills and fixed-rate. Treasury bonds with a maturity between 1 and 12 months. As Treasury bonds and notes fall below one year-to-maturity and exit the U.S. Treasury Index, they become eligible for the Short Treasury Index. Maturity subindices are published in three-month increments: 1-3 month, 3-6 month, 6-9 month, and 9-12 month and can be separated into subindices that only include bills or only include notes that have aged below 1-year.
Annual Report | April 30, 2024 17
Cambria Trinity ETF | Manager’s Discussion and |
| April 30, 2024 (Unaudited) |
Comparison of Change in the Value of a $10,000 Investment in the Cambria Trinity ETF versus the
S&P Balanced Equity & Bond – Moderate Index
For the 12‐month period ended April 30, 2024, TRTY returned 6.72% at net asset value (NAV) and 6.54% at market underperforming its benchmark, the S&P Balanced Equity & Bond Moderate Index, by 1.35%. The main drivers of underperformance performance were commodities, precious metals, and energy.
On a contribution to total return basis emerging market equity, US equities, and foreign developed equity were the best performers contributing 2.10%, 1.61% and 0.70% respectively. On a contribution to total return basis gold miners, physical gold, and energy were the worst performers contributing ‐0.52%, ‐0.21% and ‐0.16% respectively.
Average Annual Total Return for the Year Ended April 30, 2024:
| 1 Year | 3 Year | 5 Year | Since Inception* |
Cambria Trinity ETF - NAV | 6.72% | 2.14% | 4.73% | 3.87% |
Cambria Trinity ETF - Market | 6.54% | 2.07% | 4.66% | 3.84% |
S&P Balanced Equity & Bond – Moderate Index | 8.07% | 1.44% | 6.11% | 6.24% |
![](https://capedge.com/proxy/N-CSRA/0001999371-24-009982/cmba-ncsr_043024img011.gif)
*Fund inception date is September 17, 2018.
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.
Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.50%.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.
There are no assurances that the Fund will meet its stated objectives.
S&P Balanced Equity & Bond – Moderate Index the S&P 500 Balanced Equity & Bond – Moderate Index combines investable S&P indices for core equity and fixed income to provide a regularly rebalanced multi-asset measure for moderate risk-reward profiles. The construction of the index consists of a position in the S&P 500 Total Return Index with 50% weight, and a position in the S&P U.S. Treasury Bond 7-10 Year Index with 50% weight.
18www.cambriafunds.com
Cambria Cannabis ETF | Manager’s Discussion and |
| April 30, 2024 (Unaudited) |
Comparison of Change in the Value of a $10,000 Investment in the Cambria Cannabis ETF versus the S&P 500 Index
For the 12‐month period ended April 30, 2024, TOKE returned 12.75% at net asset value (NAV) and 13.47% at market underperforming its benchmark, the S&P 500 Index, by 9.91%. Underperformance of TOKE over the period can be attributed to the underperformance of marijuana and ancillary marijuana companies relative to the S&P 500. As a thematic fund, we generally expect the Fund to underperform when the overall cannabis industry does poorly and vice versa.
On a contribution to total return basis IIPR, Cronos, and SNDL were the best performers contributing 2.80%, 2.67% and 2.29% respectively. On a contribution to total return basis MYMD, Jazz Pharmaceutical, and Tilray Brands were the worst performers contributing ‐2.53%, ‐1.80% and ‐1.22% respectively.
Average Annual Total Return for the Year Ended April 30, 2024:
| 1 Year | 3 Year | Since Inception* |
Cambria Cannabis ETF - NAV | 12.75% | -26.82% | -21.24% |
Cambria Cannabis ETF - Market | 13.47% | -26.82% | -21.20% |
S&P 500 Index | 22.66% | 8.06% | 13.17% |
![](https://capedge.com/proxy/N-CSRA/0001999371-24-009982/cmba-ncsr_043024img012.gif)
*Fund inception date is July 24, 2019.
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.
Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.59%; however, TOKE’s investment adviser has agreed to waive 17 basis points (0.17%) of its management fees for the Fund until at least August 31, 2024. This agreement may be terminated only by, or with the consent of, the Trust’s Board of Trustees.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.
There are no assurances that the Fund will meet its stated objectives.
S&P 500 Index is a market-value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry group representation, with each stock’s weight in the Index proportionate to its market value.
Annual Report | April 30, 2024 19
Cambria Global Real Estate ETF | Manager’s Discussion and |
| April 30, 2024 (Unaudited) |
Comparison of Change in the Value of a $10,000 Investment in the Cambria Global Real Estate ETF versus the
FTSE EPRA Nareit Global REITs Index
For the 12‐month period ended April 30, 2024, BLDG returned 2.68% at net asset value (NAV) and 2.80% at market outperforming its benchmark, the FTSE EPRA Nareit Global REITs Index, by 3.51%. From a global perspective, positive returns were driven primarily by the US, Mexico, and South Africa. From a sub-sector perspective, positive returns were driven by retail, industrial and Health Care REITs. Office and hotel REITs detracted slightly from performance.
On a contribution to total return basis US, Mexico, and South Africa allocations were the best performers contributing 3.99%, 1.67%, and 0.67% respectively. On a contribution to total return basis Hong Kong, Australia, and Canada allocations were the worst performers contributing ‐0.87%, ‐0.44% and ‐0.32% respectively.
Average Annual Total Return for the Year Ended April 30, 2024:
| 1 Year | 3 Year | Since Inception* |
Cambria Global Real Estate ETF - NAV | 2.68% | -2.75% | 4.72% |
Cambria Global Real Estate ETF - Market | 2.80% | -2.56% | 4.88% |
FTSE EPRA Nareit Global REITs Index | -0.83% | -3.45% | 5.68% |
![](https://capedge.com/proxy/N-CSRA/0001999371-24-009982/cmba-ncsr_043024img013.gif)
*Fund inception date is September 23, 2020.
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.
Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.59%.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.
There are no assurances that the Fund will meet its stated objectives.
FTSE EPRA Nareit Global REITs Index: measures the total return, stated in US dollar terms, of the size- and liquidity-screened stocks in both developed and emerging markets of the publicly traded real estate companies that qualify for REIT status under the tax law in the country of domicile.
20www.cambriafunds.com
Cambria Micro and SmallCap Shareholder Yield ETF | Manager’s Discussion and |
| April 30, 2024 (Unaudited) |
Comparison of Change in the Value of a $10,000 Investment in the Cambria Micro and SmallCap Shareholder Yield ETF versus the
S&P SmallCap 600 Index
For the period ended April 30, 2024, MYLD returned 2.31% at net asset value (NAV) and 2.54% at market outperforming its benchmark, the S&P SmallCap 600 Index, by 2.37%. An allocation and security selection in Energy, Financials, healthcare drove out performance relative to the benchmark. Security selection in consumer discretionary offset some of the outperformance relative to the benchmark.
On a contribution to total return basis industrials, Energy and Financial were the best performers contributing 1.13%, 1.07%, and 0.81% respectively. On a contribution to total return basis consumer discretionary, information technology, and communication services were the worst performers contributing -1.12%, -0.25%, and -0.14%, respectively.
| Since Inception* |
Cambria Micro and SmallCap Shareholder Yield ETF - NAV | 2.31% |
Cambria Micro and SmallCap Shareholder Yield ETF - Market | 2.54% |
S&P SmallCap 600 Index | -0.06% |
![](https://capedge.com/proxy/N-CSRA/0001999371-24-009982/cmba-ncsr_043024img014.gif)
*Fund inception date is January 4, 2024.
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.
Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.59%.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.
There are no assurances that the Fund will meet its stated objectives.
S&P SmallCap 600 Index: is a capitalization-weighted index that measures the performance of selected U.S. stocks with a small market capitalization.
Annual Report | April 30, 2024 21
Cambria Tactical Yield ETF | Manager’s Discussion and |
| April 30, 2024 (Unaudited) |
Comparison of Change in the Value of a $10,000 Investment in the Cambria Tactical Yield ETF versus the
ICE BofA U.S. 3-Month Treasury Bill Total Return Index
For the period ended April 30, 2024, TYLD returned 1.45% at net asset value (NAV) and 1.69% at market underperforming its benchmark, the ICE BofA U.S. 3-Month Treasury Bill Total Return Index, by 0.25%. TYLD is a tactical bond fund that rotates between fixed income segments based on a comparison of yield spreads relative to T-Bills and their historical average yield spreads relative to T-Bills. Over the period ending April 30, 2024, TYLD was 100% invested in T-Bills with durations ranging from 3-months to 1-year.
On a contribution to total return basis all return is attributed to investments in T-Bills.
Cumulative Returns for the Period Ended April 30, 2024:
| Since Inception* |
Cambria Tactical Yield ETF - NAV | 1.45% |
Cambria Tactical Yield ETF - Market | 1.69% |
ICE BofA US 3-Month Treasury Bill Total Return Index | 1.70% |
![](https://capedge.com/proxy/N-CSRA/0001999371-24-009982/cmba-ncsr_043024img015.gif)
*Fund inception date is January 4, 2024.
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost.
Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. Current performance may be lower or higher than the performance quoted. For the most recent month-end performance information please call 855-ETF-INFO (383-4636). As stated in the Fund’s prospectus, the annual fund operating expenses are 0.59%.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund’s performance assumes the reinvestment of all dividends and all capital gains. Index returns assume reinvestment of dividends and, unlike a Fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower. The indexes are unmanaged and are not available for investment.
There are no assurances that the Fund will meet its stated objectives.
[Index]
22www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Sector Weightings |
|
Energy | 23.6% |
Financials | 18.4% |
Consumer Discretionary | 17.0% |
Materials | 15.8% |
Industrials | 12.1% |
Communication Services | 4.0% |
Information Technology | 3.9% |
Health Care | 3.1% |
Consumer Staples | 2.1% |
| 100.0% |
Percentages are stated as a percent of total investments, excluding short-term investments and investments purchased with proceeds from securities lending.
| Shares |
| Value | |
Common Stocks - 99.1% | | | | |
Communication Services - 4.0% | | | | |
AT&T, Inc. | 706,669 | | $11,935,639 | |
Comcast Corp. - Class A | 287,874 | | 10,970,878 | |
Fox Corp. - Class A | 398,847 | | 12,368,246 | |
Verizon Communications, Inc. | 296,116 | | 11,693,621 | |
| | | 46,968,384 | |
Consumer Discretionary - 16.9% | | | | |
Academy Sports & Outdoors, Inc. | 184,677 | | 10,766,669 | |
Adtalem Global Education, Inc.(a) | 241,888 | | 12,002,483 | |
AutoNation, Inc.(a) | 75,019 | | 12,089,312 | |
Brunswick Corp. | 129,665 | | 10,456,186 | |
Carter’s, Inc. | 146,746 | | 10,038,894 | |
Dillard’s, Inc. - Class A | 27,089 | | 11,864,711 | |
Ethan Allen Interiors, Inc. | 361,221 | | 10,200,881 | |
Haverty Furniture Cos., Inc. | 368,917 | | 11,362,644 | |
KB Home | 175,890 | | 11,390,636 | |
ODP Corp.(a) | 234,908 | | 11,959,166 | |
Penske Automotive Group, Inc. | 76,575 | | 11,709,083 | |
PulteGroup, Inc. | 103,341 | | 11,514,254 | |
PVH Corp. | 89,056 | | 9,689,293 | |
Tapestry, Inc. | 262,857 | | 10,493,251 | |
Toll Brothers, Inc. | 95,838 | | 11,415,264 | |
Travel + Leisure Co. | 257,583 | | 11,215,164 | |
Under Armour, Inc. - Class C(a) | 1,749,071 | | 11,403,943 | |
Whirlpool Corp. | 104,363 | | 9,899,874 | |
| | | 199,471,708 | |
| | | |
| Shares |
| Value | |
Common Stocks - 99.1% (Continued) | | | | |
Consumer Staples - 2.1% | | | | |
Cal-Maine Foods, Inc. | 212,261 | | $11,744,401 | |
Kraft Heinz Co. | 337,955 | | 13,048,443 | |
| | | 24,792,844 | |
Energy - 23.4% | | | | |
APA Corp. | 362,956 | | 11,411,337 | |
California Resources Corp. | 226,292 | | 11,961,795 | |
Chesapeake Energy Corp.(b) | 140,239 | | 12,604,681 | |
Chevron Corp. | 78,842 | | 12,714,849 | |
Chord Energy Corp. | 69,882 | | 12,367,716 | |
CNX Resources Corp.(a) | 523,508 | | 12,312,908 | |
ConocoPhillips | 97,676 | | 12,270,059 | |
CONSOL Energy, Inc. | 148,269 | | 12,270,742 | |
Coterra Energy, Inc. | 447,070 | | 12,231,835 | |
CVR Energy, Inc. | 347,034 | | 10,542,893 | |
Devon Energy Corp. | 248,270 | | 12,706,459 | |
EOG Resources, Inc. | 97,311 | | 12,857,703 | |
Exxon Mobil Corp. | 106,895 | | 12,642,472 | |
Magnolia Oil & Gas Corp. - Class A | 482,837 | | 12,104,724 | |
Marathon Oil Corp. | 440,353 | | 11,823,478 | |
Marathon Petroleum Corp. | 62,047 | | 11,275,181 | |
PBF Energy, Inc. - Class A | 216,617 | | 11,539,188 | |
Peabody Energy Corp. | 511,367 | | 11,219,392 | |
Phillips 66 | 76,497 | | 10,955,135 | |
Pioneer Natural Resources Co. | 47,536 | | 12,802,396 | |
Plains GP Holdings LP - Class A | 683,724 | | 12,450,614 | |
SM Energy Co. | 251,505 | | 12,195,477 | |
Valero Energy Corp. | 73,017 | | 11,673,228 | |
| | | 276,934,262 | |
Financials - 18.2% | | | | |
Affiliated Managers Group, Inc. | 74,436 | | 11,619,460 | |
Aflac, Inc. | 144,602 | | 12,095,957 | |
American Financial Group, Inc. | 91,140 | | 11,643,135 | |
Ameriprise Financial, Inc. | 28,398 | | 11,694,012 | |
Assured Guaranty Ltd. | 142,098 | | 10,898,917 | |
Discover Financial Services | 95,179 | | 12,062,035 | |
Federated Hermes, Inc. - Class B | 344,634 | | 11,321,227 | |
Jefferies Financial Group, Inc. | 281,436 | | 12,118,634 | |
Lincoln National Corp. | 389,685 | | 10,626,710 | |
Loews Corp. | 158,159 | | 11,885,649 | |
MetLife, Inc. | 167,883 | | 11,933,124 | |
Mr. Cooper Group, Inc.(a) | 159,279 | | 12,296,339 | |
Principal Financial Group, Inc. | 143,912 | | 11,389,196 | |
PROG Holdings, Inc. | 361,639 | | 12,020,880 | |
SLM Corp. | 573,897 | | 12,160,877 | |
Annual Report | April 30, 2024 23
The accompanying notes are an integral part of these financial statements.
Cambria Shareholder Yield ETFSchedule of Investments
April 30, 2024
| Shares |
| Value | |
Common Stocks - 99.1% (Continued) | | | | |
Financials - 18.2% (continued) | | | | |
Synchrony Financial | 288,672 | | $12,695,795 | |
Victory Capital Holdings, Inc. - Class A | 294,539 | | 14,980,254 | |
Western Union Co. | 897,198 | | 12,058,341 | |
| | | 215,500,542 | |
Health Care - 3.0% | | | | |
AMN Healthcare Services, Inc.(a) | 203,261 | | 12,191,595 | |
Universal Health Services, Inc. - | 67,961 | | 11,582,593 | |
Viatris, Inc. | 1,055,662 | | 12,214,009 | |
| | | 35,988,197 | |
Industrials - 12.0% | | | | |
Atkore, Inc. | 65,485 | | 11,479,521 | |
Boise Cascade Co. | 81,833 | | 10,824,051 | |
Brady Corp. - Class A | 209,901 | | 12,384,159 | |
Builders FirstSource, Inc.(a) | 59,732 | | 10,920,204 | |
Encore Wire Corp. | 47,249 | | 13,199,480 | |
ManpowerGroup, Inc. | 160,966 | | 12,144,885 | |
Matson, Inc. | 110,779 | | 11,939,761 | |
Owens Corning | 74,519 | | 12,534,841 | |
REV Group, Inc. | 580,715 | | 12,694,430 | |
Ryder System, Inc. | 103,459 | | 12,606,479 | |
Textron, Inc. | 129,329 | | 10,939,940 | |
Wabash National Corp. | 424,457 | | 9,809,201 | |
| | | 141,476,952 | |
Information Technology - 3.9% | | | | |
Arrow Electronics, Inc.(a) | 95,622 | | 12,208,061 | |
DXC Technology Co.(a) | 589,781 | | 11,494,832 | |
TD SYNNEX Corp. | 110,046 | | 12,967,820 | |
Xerox Holdings Corp. | 701,499 | | 9,322,922 | |
| | | 45,993,635 | |
Materials - 15.6% | | | | |
Alpha Metallurgical Resources, Inc. | 37,678 | | 12,325,227 | |
Berry Global Group, Inc. | 205,983 | | 11,666,877 | |
CF Industries Holdings, Inc. | 149,982 | | 11,844,079 | |
Dow, Inc. | 214,789 | | 12,221,494 | |
DuPont de Nemours, Inc. | 161,971 | | 11,742,898 | |
Eastman Chemical Co. | 124,023 | | 11,712,732 | |
Greif, Inc. - Class A | 180,948 | | 11,088,493 | |
Huntsman Corp. | 479,679 | | 11,445,141 | |
International Paper Co. | 319,211 | | 11,153,232 | |
LyondellBasell Industries NV - Class A | 121,772 | | 12,173,546 | |
Mosaic Co. | 384,748 | | 12,077,240 | |
Nucor Corp. | 63,209 | | 10,652,613 | |
Olin Corp. | 211,183 | | 11,040,647 | |
Ryerson Holding Corp. | 370,125 | | 10,567,069 | |
| Shares |
| Value | |
Common Stocks - 99.1% (Continued) | | | | |
Materials - 15.6% (continued) | | | | |
Steel Dynamics, Inc. | 83,911 | | $10,918,499 | |
Sylvamo Corp. | 200,408 | | 12,525,500 | |
| | | 185,155,287 | |
Total Common Stocks | | | 1,172,281,811 | |
| | | | |
Short-Term Investments – 1.9% | | | | |
Investments Purchased with Proceeds from | | |||
First American Government Obligations Fund – Class X, 5.23%(c) | 12,582,845 | | 12,582,845 | |
Money Market Funds – 0.8% | | | | |
First American Treasury Obligations Fund – Class X, 5.21%(c) | 9,259,765 | | 9,259,765 | |
Total Short-Term Investments | | | 21,842,610 | |
| | | | |
Total Investments - 101.0% | | | 1,194,124,421 | |
Liabilities in Excess of Other Assets - (1.0%) | | (11,861,907 | ) | |
Total Net Assets - 100.0% | | | $1,182,262,514 | |
Percentages are stated as a percent of net assets. | |
NV - Naamloze Vennootschap
(a)Non-income producing security.
(b)All or a portion of this security is on loan as of April 30, 2024. The total market value of these securities was $11,904,696 which represented 1.0% of net assets.
(c)The rate shown represents the 7-day effective yield as of April 30, 2024.
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
24www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Sector Weightings |
|
Financials | 27.9%(a) |
Energy | 20.5% |
Industrials | 16.7% |
Materials | 13.6% |
Consumer Discretionary | 9.0% |
Information Technology | 4.6% |
Communication Services | 3.2% |
Consumer Staples | 3.0% |
Utilities | 0.9% |
Real Estate | 0.6% |
| 100.0% |
Percentages are stated as a percent of total investments, excluding short-term investment and investments purchased with proceeds from securities lending.
(a)To the extent that the Fund invests more heavily in a particular industry or sector of the economy, its performance will be especially sensitive to developments that significantly affect those industries or sectors
| Shares |
| Value | |
Common Stocks - 98.1% | | | | |
Australia - 5.4% | | | | |
Fortescue Ltd. | 237,167 | | $4,002,228 | |
New Hope Corp. Ltd. | 719,852 | | 2,121,752 | |
Santos Ltd. | 469,904 | | 2,343,904 | |
Whitehaven Coal Ltd. | 366,894 | | 1,834,838 | |
Woodside Energy Group Ltd. | 102,809 | | 1,880,104 | |
Yancoal Australia Ltd. | 620,184 | | 2,229,736 | |
| | | 14,412,562 | |
Canada - 13.1% | | | | |
ARC Resources Ltd. | 179,054 | | 3,242,521 | |
Canadian Natural Resources Ltd. | 38,559 | | 2,921,930 | |
iA Financial Corp., Inc. | 42,484 | | 2,575,611 | |
Imperial Oil Ltd. | 39,358 | | 2,706,014 | |
International Petroleum Corp.(a) | 195,531 | | 2,514,132 | |
Labrador Iron Ore Royalty Corp. | 118,756 | | 2,593,973 | |
MEG Energy Corp.(a) | 154,056 | | 3,503,791 | |
Mullen Group Ltd. | 266,183 | | 2,471,085 | |
Parex Resources, Inc. | 116,357 | | 2,028,524 | |
Secure Energy Services, Inc. | 444,007 | | 3,760,667 | |
Suncor Energy, Inc. | 77,654 | | 2,963,109 | |
Trican Well Service Ltd. | 684,349 | | 2,077,927 | |
Whitecap Resources, Inc. | 323,921 | | 2,456,496 | |
| | 35,815,780 | |
| Shares |
| Value | |
Common Stocks - 98.1% (continued) | | | | |
Denmark - 1.7% | | | | |
D/S Norden AS | 46,122 | | $1,949,440 | |
Scandinavian Tobacco Group A/S | 173,711 | | 2,803,675 | |
| | | 4,753,115 | |
Finland - 0.8% | | | | |
Sampo Oyj - Class A | 53,637 | | 2,170,598 | |
France - 9.1% | | | | |
Amundi SA | 40,288 | | 2,826,949 | |
AXA SA(b) | 99,549 | | 3,446,389 | |
Coface SA | 180,159 | | 2,778,244 | |
Engie SA(b) | 141,455 | | 2,456,136 | |
Eurazeo SE | 31,840 | | 2,881,479 | |
Metropole Television SA | 115,607 | | 1,635,966 | |
Nexity SA | 146,993 | | 1,653,422 | |
SCOR SE | 107,231 | | 3,506,353 | |
TotalEnergies SE | 47,261 | | 3,459,475 | |
| | | 24,644,413 | |
Germany - 4.7% | | | | |
Bayerische Motoren Werke AG | 20,523 | | 2,243,878 | |
DWS Group GmbH & Co. KGaA | 54,826 | | 2,319,352 | |
Freenet AG | 111,295 | | 3,092,880 | |
Heidelberg Materials AG | 24,790 | | 2,503,789 | |
Muenchener Rueckversicherungs-Gesellschaft AG | 6,116 | | 2,690,432 | |
| | | 12,850,331 | |
Hong Kong - 6.6% | | | | |
China Resources Building Materials Technology Holdings Ltd. | 9,816,215 | | 1,668,933 | |
CK Hutchison Holdings Ltd. | 435,928 | | 2,131,521 | |
Orient Overseas International Ltd. | 125,550 | | 1,834,452 | |
Pacific Basin Shipping Ltd. | 6,971,273 | | 2,423,954 | |
Shougang Fushan Resources Group Ltd. | 7,736,966 | | 2,957,231 | |
Skyworth Group Ltd. | 5,351,714 | | 2,209,728 | |
VTech Holdings Ltd. | 282,332 | | 1,636,744 | |
WH Group Ltd. | 4,034,754 | | 2,950,234 | |
| | | 17,812,797 | |
Italy - 8.4% | | | | |
Anima Holding SpA | 496,052 | | 2,330,364 | |
Assicurazioni Generali SpA | 105,740 | | 2,584,171 | |
Azimut Holding SpA | 98,178 | | 2,595,295 | |
BPER Banca SPA | 576,712 | | 3,010,254 | |
Eni SpA | 183,524 | | 2,964,493 | |
Intesa Sanpaolo SpA | 747,593 | | 2,813,157 | |
Unipol Gruppo SpA | 469,368 | | 4,217,665 | |
UnipolSai Assicurazioni SpA | 801,919 | | 2,298,704 | |
| | | 22,814,103 | |
Annual Report | April 30, 2024 25
The accompanying notes are an integral part of these financial statements.
Cambria Foreign Shareholder Yield ETFSchedule of Investments
April 30, 2024
| Shares |
| Value | |
Common Stocks - 98.1% (continued) | | | | |
Japan - 24.4% | | | | |
Citizen Watch Co. Ltd. | 484,600 | | $3,220,118 | |
COMSYS Holdings Corp. | 120,000 | | 2,807,596 | |
Daicel Corp. | 269,700 | | 2,515,479 | |
Dai-ichi Life Holdings, Inc. | 137,800 | | 3,188,233 | |
Hokuhoku Financial Group, Inc. | 209,700 | | 2,577,456 | |
Japan Post Holdings Co. Ltd. | 304,100 | | 2,913,452 | |
Japan Post Insurance Co. Ltd. | 145,900 | | 2,730,392 | |
Kamigumi Co. Ltd. | 122,900 | | 2,654,917 | |
Kawasaki Kisen Kaisha Ltd. | 166,500 | | 2,334,157 | |
Kobe Steel Ltd. | 217,400 | | 2,665,206 | |
Kokuyo Co. Ltd. | 161,100 | | 2,757,439 | |
Macnica Holdings, Inc. | 58,600 | | 2,615,013 | |
Mitsui & Co. Ltd. | 77,300 | | 3,744,061 | |
Press Kogyo Co. Ltd. | 746,500 | | 3,687,180 | |
Sankyo Co. Ltd. | 201,100 | | 2,188,683 | |
Seiko Epson Corp. | 153,900 | | 2,541,011 | |
Shibaura Mechatronics Corp. | 58,600 | | 2,277,640 | |
Sojitz Corp. | 123,000 | | 3,165,564 | |
Sompo Holdings, Inc. | 193,300 | | 3,823,961 | |
Sumitomo Bakelite Co. Ltd. | 84,500 | | 2,421,710 | |
Sumitomo Warehouse Co. Ltd. | 162,500 | | 2,693,308 | |
T&D Holdings, Inc. | 165,500 | | 2,704,204 | |
Tamron Co. Ltd. | 76,100 | | 3,551,317 | |
| | | 65,778,097 | |
Luxembourg - 1.2% | | | | |
APERAM SA | 68,937 | | 2,018,752 | |
RTL Group SA | 46,779 | | 1,445,260 | |
| | | 3,464,012 | |
Netherlands - 2.2% | | | | |
NN Group NV | 67,222 | | 3,109,904 | |
Stellantis NV | 134,986 | | 3,007,916 | |
| | | 6,117,820 | |
Norway - 4.2% | | | | |
Elkem ASA | 754,777 | | 1,326,304 | |
Golden Ocean Group Ltd. | 256,212 | | 3,617,667 | |
Hoegh Autoliners ASA | 398,564 | | 4,205,040 | |
Telenor ASA | 203,393 | | 2,341,807 | |
| | | 11,490,818 | |
Spain - 2.2% | | | | |
ACS Actividades de Construccion y Servicios SA | 73,803 | | 2,959,902 | |
Repsol SA | 185,811 | | 2,919,935 | |
| | 5,879,837 | |
| Shares |
| Value | |
Common Stocks - 98.1% (continued) | | | | |
Sweden - 1.0% | | | | |
SSAB AB - Class B(b) | 462,421 | | $2,614,136 | |
Switzerland - 1.9% | | | | |
Glencore PLC | 389,939 | | 2,278,855 | |
Holcim AG | 36,522 | | 3,066,378 | |
| | | 5,345,233 | |
United Kingdom - 11.2% | | | | |
abrdn PLC | 1,189,537 | | 2,177,550 | |
Aviva PLC - Class B(a) | 381,798 | | 2,221,736 | |
Balfour Beatty PLC | 612,467 | | 2,784,184 | |
Barratt Developments PLC | 454,533 | | 2,582,516 | |
Bellway PLC | 81,031 | | 2,561,677 | |
BP PLC | 590,858 | | 3,842,140 | |
British American Tobacco PLC | 73,526 | | 2,159,962 | |
Legal & General Group PLC | 621,464 | | 1,832,654 | |
Man Group PLC | 670,813 | | 2,159,235 | |
Persimmon PLC | 123,499 | | 2,012,304 | |
Rio Tinto PLC | 55,099 | | 3,767,406 | |
TORM PLC - Class A | 84,748 | | 2,927,237 | |
| | | 31,028,601 | |
Total Common Stocks | | | 266,992,253 | |
| | | | |
Short-Term Investments - 3.4% | | | | |
Investments Purchased with Proceeds from | | |||
First American Government Obligations Fund - Class X, 5.23%(c) | 7,357,219 | | 7,357,219 | |
Money Market Funds - 0.7% | | | | |
First American Treasury Obligations Fund - Class X, 5.21%(c) | 1,775,185 | | 1,775,185 | |
Total Short-Term Investments | | | 9,132,404 | |
| | | | |
Total Investments - 101.5% | | | 276,124,657 | |
Liabilities in Excess of Other Assets - (1.5%) | | (4,186,005 | ) | |
Total Net Assets - 100.0% |
| | $271,938,652 | |
Percentages are stated as a percent of net assets. | |
AB - Aktiebolag
AG - Aktiengesellschaft
ASA - Advanced Subscription Agreement
KGaA - Kommanditgesellschaft auf Aktien
NV - Naamloze Vennootschap
PLC - Public Limited Company
SA - Sociedad Anónima
SE – Societas Europea
SpA - Società per Azioni
26www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria Foreign Shareholder Yield ETFSchedule of Investments
April 30, 2024
(a)Non-income producing security.
(b)All or a portion of this security is on loan as of April 30, 2024. The total market value of these securities was $6,797,236 which represented 2.5% of net assets.
(c)The rate shown represents the 7-day effective yield as of April 30, 2024.
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
Annual Report | April 30, 2024 27
The accompanying notes are an integral part of these financial statements.
Sector Weightings |
|
Financials | 33.5%(a) |
Utilities | 15.0% |
Materials | 11.9% |
Real Estate | 9.7% |
Industrials | 8.3% |
Energy | 8.2% |
Communication Services | 4.5% |
Consumer Staples | 4.2% |
Information Technology | 2.8% |
Consumer Discretionary | 1.9% |
| 100.0% |
Percentages are stated as a percent of total investments, excluding short-term investments.
(a)To the extent that the Fund invests more heavily in a particular industry or sector of the economy, its performance will be especially sensitive to developments that significantly affect those industries or sectors.
| Shares |
| Value | |
Common Stocks - 95.2% | | | | |
Austria - 9.0% | | | | |
ANDRITZ AG | 15,644 | | $858,139 | |
AT&S Austria Technologie & Systemtechnik AG | 44,732 | | 995,816 | |
BAWAG Group AG | 15,343 | | 920,223 | |
Erste Group Bank AG | 19,714 | | 922,973 | |
EVN AG | 31,513 | | 970,246 | |
OMV AG | 20,083 | | 957,609 | |
Raiffeisen Bank International AG | 48,222 | | 894,420 | |
Verbund AG | 12,449 | | 951,249 | |
Voestalpine AG | 35,532 | | 952,546 | |
Wienerberger AG | 27,239 | | 975,573 | |
| | | 9,398,794 | |
Brazil - 6.2% | | | | |
Atacadao SA | 418,000 | | 899,981 | |
Banco Santander Brasil SA | 177,500 | | 989,264 | |
Centrais Eletricas Brasileiras SA | 132,000 | | 961,923 | |
JBS SA | 219,000 | | 989,013 | |
Telefonica Brasil SA | 99,000 | | 910,001 | |
TIM SA | 280,900 | | 956,421 | |
Vale SA | 76,800 | | 935,485 | |
| | 6,642,088 | |
| Shares |
| Value | |
Common Stocks - 95.2% (continued) | | | | |
Chile - 8.9% | | | | |
Banco Itau Chile SA | 85,649 | | $901,052 | |
Banco Santander Chile | 20,104,040 | | 910,917 | |
CAP SA | 130,030 | | 929,734 | |
Cencosud SA | 548,839 | | 940,467 | |
Cia Sud Americana de Vapores SA | 12,356,461 | | 964,011 | |
Colbun SA | 7,326,848 | | 940,917 | |
Empresas CMPC SA | 458,397 | | 905,287 | |
Empresas Copec SA | 126,536 | | 902,972 | |
Enel Americas SA | 9,416,440 | | 882,745 | |
Quinenco SA | 272,124 | | 948,104 | |
| | | 9,226,206 | |
China - 9.2% | | | | |
Bank of China Ltd. - Class H | 2,139,000 | | 965,226 | |
China Construction Bank Corp. - Class H | 1,499,000 | | 977,271 | |
China Life Insurance Co. Ltd. - Class H | 774,000 | | 1,030,984 | |
China Railway Group Ltd. - Class H | 1,835,000 | | 910,146 | |
CITIC Ltd. | 1,029,000 | | 982,606 | |
COSCO Shipping Holdings Co. Ltd. - Class H | 805,000 | | 1,045,521 | |
People’s Insurance Co. Group of China Ltd - Class H | 2,885,000 | | 951,500 | |
PetroChina Co. Ltd. - Class H | 1,016,000 | | 958,504 | |
PICC Property & Casualty Co. Ltd. - Class H | 749,000 | | 935,448 | |
Postal Savings Bank of China Co. Ltd. - Class H | 1,803,000 | | 942,676 | |
| | | 9,699,882 | |
Colombia - 7.3% | | | | |
Bancolombia SA | 110,904 | | 955,533 | |
Celsia SA ESP | 593,335 | | 623,887 | |
Cementos Argos SA | 437,344 | | 905,234 | |
Ecopetrol SA | 1,608,587 | | 934,891 | |
Grupo Argos SA | 231,234 | | 950,164 | |
Grupo Bolivar SA | 56,675 | | 970,828 | |
Grupo de Inversiones Suramericana SA | 42,934 | | 435,578 | |
Grupo Energia Bogota SA ESP | 1,587,876 | | 985,592 | |
Interconexion Electrica SA ESP | 203,507 | | 938,944 | |
| | | 7,700,651 | |
Czech Republic - 8.8% | | | | |
CEZ AS | 71,958 | | 2,656,156 | |
Komercni Banka AS | 70,555 | | 2,602,869 | |
Moneta Money Bank AS | 597,323 | | 2,410,154 | |
Philip Morris CR AS | 2,253 | | 1,529,453 | |
| | | 9,198,632 | |
28www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria Global Value ETFSchedule of Investments
April 30, 2024
| Shares |
| Value | |
Common Stocks - 95.2% (continued) | | | | |
Greece - 0.0%(a) | | | | |
FF Group(b)(c)(d) | 25,407 | | $— | |
Hong Kong - 9.6% | | | | |
BOC Hong Kong Holdings Ltd. | 316,000 | | 975,546 | |
China Overseas Land & Investment Ltd. | 624,000 | | 1,163,016 | |
China Resources Land Ltd. | 302,000 | | 1,098,329 | |
CK Asset Holdings Ltd. | 232,000 | | 997,967 | |
CK Hutchison Holdings Ltd. | 199,000 | | 973,034 | |
Geely Automobile Holdings Ltd. | 826,000 | | 1,006,274 | |
Sino Land Co. Ltd. | 914,000 | | 982,620 | |
Swire Pacific Ltd. - Class A | 120,000 | | 1,020,108 | |
Swire Properties Ltd. | 479,700 | | 999,541 | |
Wharf Real Estate Investment Co. Ltd. | 315,000 | | 984,539 | |
| | | 10,200,974 | |
Poland - 9.0% | | | | |
Alior Bank SA(c) | 36,770 | | 940,915 | |
Asseco Poland SA | 48,360 | | 953,752 | |
Jastrzebska Spolka Weglowa SA(c) | 114,184 | | 864,177 | |
KGHM Polska Miedz SA | 28,509 | | 988,509 | |
Lubelski Wegiel Bogdanka SA | 7,972 | | 56,482 | |
Orange Polska SA | 475,815 | | 921,977 | |
ORLEN SA | 55,861 | | 914,955 | |
PGE Polska Grupa Energetyczna SA(c) | 618,544 | | 928,334 | |
Powszechny Zaklad Ubezpieczen SA | 72,951 | | 922,228 | |
Tauron Polska Energia SA(c) | 1,301,300 | | 935,137 | |
XTB SA | 61,976 | | 971,412 | |
| | | 9,397,878 | |
Russian Federation - 0.0% | | | | |
Alrosa PJSC(b)(d) | 1,262,976 | | — | |
Gazprom Neft PJSC(b)(d) | 334,880 | | — | |
Gazprom PJSC(b)(c)(d) | 373,048 | | — | |
Rosneft Oil Co. PJSC(b)(d) | 198,016 | | — | |
Sberbank of Russia PJSC(b)(d) | 287,609 | | — | |
Severstal PAO(b)(c)(d) | 82,992 | | — | |
Unipro PJSC(b)(c)(d) | 22,421,984 | | — | |
| | | — | |
Singapore - 9.0% | | | | |
CapitaLand Investment Ltd. | 489,900 | | 954,642 | |
Genting Singapore Ltd. | 1,360,200 | | 911,749 | |
Jardine Cycle & Carriage Ltd. | 48,000 | | 931,834 | |
Oversea-Chinese Banking Corp. Ltd. | 91,200 | | 952,053 | |
Sembcorp Industries Ltd. | 237,700 | | 935,093 | |
Singapore Airlines Ltd. | 197,000 | | 943,834 | |
Singapore Telecommunications Ltd. | 537,200 | | 936,622 | |
| Shares |
| Value | |
Common Stocks - 95.2% (continued) | | | | |
Singapore - 9.0% (continued) | | | | |
United Overseas Bank Ltd. | 41,100 | | $915,307 | |
UOL Group Ltd. | 221,600 | | 951,303 | |
Venture Corp. Ltd. | 89,300 | | 949,882 | |
| | | 9,382,319 | |
Spain - 9.0% | | | | |
Acciona SA | 8,074 | | 936,623 | |
Acerinox SA | 88,831 | | 959,382 | |
Banco Bilbao Vizcaya Argentaria SA | 82,331 | | 894,014 | |
Banco Santander SA | 184,865 | | 902,199 | |
CaixaBank SA | 177,518 | | 938,144 | |
Endesa SA | 50,922 | | 929,283 | |
Iberdrola SA | 76,053 | | 934,196 | |
Mapfre SA | 385,610 | | 930,866 | |
Repsol SA | 58,335 | | 916,708 | |
Unicaja Banco SA | 760,526 | | 995,876 | |
| | | 9,337,291 | |
United Kingdom - 9.2% | | | | |
Anglo American PLC | 35,746 | | 1,176,510 | |
Aviva PLC - Class B(c) | 160,315 | | 932,896 | |
Barclays PLC | 392,531 | | 994,215 | |
BP PLC | 144,256 | | 938,045 | |
Legal & General Group PLC | 298,144 | | 879,206 | |
Lloyds Banking Group PLC | 1,469,812 | | 953,195 | |
Rio Tinto PLC | 14,420 | | 985,971 | |
Segro PLC – Real Estate Investment Trust | 86,836 | | 920,128 | |
Shell PLC | 26,066 | | 932,499 | |
Vodafone Group PLC | 1,083,886 | | 916,364 | |
| | | 9,629,029 | |
Total Common Stocks | | | 99,813,744 | |
| | | | |
Preferred Stocks - 3.5% | | | | |
Brazil - 2.7% | | | | |
Gerdau SA, 0.00% | 256,220 | | 899,528 | |
Itau Unibanco Holding SA, 0.00% | 150,700 | | 911,293 | |
Petroleo Brasileiro SA, 0.00% | 116,500 | | 940,508 | |
| | | 2,751,329 | |
Colombia - 0.8% | | | | |
Banco Davivienda SA, 0.00% | 174,938 | | 936,451 | |
Total Preferred Stocks (Cost $3,393,254) | | | 3,687,780 | |
| | | | |
Annual Report | April 30, 2024 29
The accompanying notes are an integral part of these financial statements.
Cambria Global Value ETFSchedule of Investments
April 30, 2024
| Shares |
| Value | |
Short-Term Investments - 1.4% | | | | |
Money Market Funds - 1.4% | | | | |
First American Treasury Obligations Fund - Class X, 5.21%(e) | 1,422,336 | | $1,422,336 | |
Total Short-Term Investments | | | 1,422,336 | |
| | | | |
Total Investments - 100.1% | | | 104,923,860 | |
Liabilities in Excess of Other Assets - (0.1%) | | (75,762 | ) | |
Total Net Assets - 100.0% | | | $104,848,098 | |
Percentages are stated as a percent of net assets. | |
AG - Aktiengesellschaft
PAO – Russian Public Stock Company
PJSC - Public Joint Stock Company
PLC - Public Limited Company
SA - Sociedad Anónima
(a)Represents less than 0.05% of net assets.
(b)Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as Valuation Designee. These securities represented $0 or 0.0% of net assets as of April 30, 2024.
(c)Non-income producing security.
(d)These securities are considered to be illiquid. The aggregate value of these securities on April 30, 2024 was $0, which represent 0.00% of the Fund’s net assets.
(e)The rate shown represents the 7-day effective yield as of April 30, 2024.
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
30www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Sector Weightings |
|
Exchange Traded Funds | 100.0% |
| 100.0% |
Percentages are stated as a percent of total investments, excluding short-term investments.
| Shares |
| Value | |
Exchange Traded Funds - 99.1% | | | | |
Cambria Emerging Shareholder Yield ETF(a) | 491,245 | | $16,820,228 | |
Cambria Foreign Shareholder Yield ETF(a) | 615,635 | | 16,499,017 | |
Cambria Micro and SmallCap Shareholder Yield ETF(a) | 636,067 | | 16,202,026 | |
Cambria Shareholder Yield ETF(a) | 238,504 | | 16,435,311 | |
Cambria Value and Momentum ETF(a) | 290,266 | | 8,331,882 | |
Graniteshares Gold Trust(b) | 348,148 | | 7,875,108 | |
Grizzle Growth ETF(c)(d) | 290,681 | | 8,237,900 | |
Invesco Emerging Markets Sovereign Debt ETF | 408,774 | | 8,024,234 | |
iShares Global Industrials ETF | 61,105 | | 8,239,398 | |
iShares Global Tech ETF | 111,162 | | 7,834,698 | |
VanEck Bitcoin Trust(b) | 69,629 | | 4,653,306 | |
Vanguard Small-Cap Value ETF | 45,163 | | 8,145,599 | |
WisdomTree Managed Futures Strategy Fund | 224,811 | | 8,221,338 | |
Total Exchange Traded Funds | | | 135,520,045 | |
| | | | |
Short-Term Investments - 1.0% | | | | |
Money Market Funds - 1.0% | | | | |
First American Treasury Obligations Fund - Class X, 5.21%(e) | 1,316,176 | | 1,316,176 | |
Total Short-Term Investments (Cost $1,316,176) | | | 1,316,176 | |
| | | | |
Total Investments - 100.1% (Cost $126,358,654) | | | 136,836,221 | |
Liabilities in Excess of Other Assets - (0.1%) | | (75,892 | ) | |
Total Net Assets - 100.0% |
| | $136,760,329 | |
Percentages are stated as a percent of net assets. | |
ETF – Exchange Traded Funds
(a)Affiliated company as defined by the Investment Company Act of 1940.
(b)Non-income producing security.
(c)Affiliated investment managed by Tidal Investments LLC, the Fund’s sub-adviser.
(d)Affiliated investment due to the Fund holding more than 5% of the outstanding shares.
(e)The rate shown represents the 7-day effective yield as of April 30, 2024.
Annual Report | April 30, 2024 31
The accompanying notes are an integral part of these financial statements.
Cambria Global Momentum ETFSchedule of Investments
April 30, 2024
Transactions with affiliated companies during the year ended April 30, 2024, 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 Gain/Loss |
Cambria Emerging Shareholder Yield ETF | $21,819,192 | $179,000 | $689,095 | $(3,084,839) | $(5,914,574) | $16,820,228 | 491,245 | $1,202,145 | $2,568,227 | $564,127 |
Cambria Foreign Shareholder Yield ETF | 21,697,862 | 27,392,055 | 334,174 | (28,543,730) | (3,888,375) | 16,499,017 | 615,635 | 753,430 | 865,969 | (1,358,938) |
Cambria Micro and SmallCap Shareholder Yield ETF | — | 16,594,495 | 165,127 | (23,559) | (923,066) | 16,202,026 | 636,067 | 109,634 | 355,794 | 33,235 |
Cambria Shareholder Yield ETF | — | 18,384,584 | 687,445 | (1,113,081) | (3,262,979) | 16,435,311 | 238,504 | 204,408 | 1,563,547 | 175,795 |
Cambria Value and Momentum ETF | — | 9,584,057 | 353,962 | (709,275) | (1,709,478) | 8,331,882 | 290,266 | 40,310 | 738,523 | 74,093 |
Grizzle Growth ETF | — | 9,415,052 | 346,452 | (1,175,342) | (1,730,909) | 8,237,900 | 290,681 | 29,150 | 1,180,165 | 202,482 |
| $43,517,054 | $81,549,243 | $2,576,255 | $(34,649,826) | $(17,429,381) | $82,526,364 | 2,562,398 | $2,339,077 | $7,272,225 | $(309,206) |
| | | | | | | | | | |
Investments no longer affiliated as of April 30, 2024 | ||||||||||
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 Gain/Loss |
Cambria Global Value ETF | $22,308,015 | $9,131,412 | $324,900 | $(26,049,518) | $(3,665,169) | $— | — | $1,057,538 | $(1,194,611) | $(855,028) |
Invesco DB Precious Metals Fund | 11,918,973 | 8,929,203 | 154,091 | (18,104,882) | (1,890,266) | — | — | 361,691 | (747,254) | $(259,865) |
| $34,226,988 | $18,060,615 | $478,991 | $(44,154,400) | $(5,555,435) | $— | — | $1,419,229 | $(1,941,865) | $(1,114,893) |
| | | | | | | | | | |
Grand Total | $77,744,042 | $99,609,858 | $3,055,246 | $(78,804,226) | $(22,984,816) | $82,526,364 | 2,562,398 | $3,758,306 | $5,330,360 | $(1,424,099) |
32www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Sector Weightings |
|
Exchange Traded Funds | 100.0% |
| 100.0% |
Percentages are stated as a percent of total investments, excluding short-term investments and investments purchased with proceeds from securities lending.
| Shares |
| Value | |
Exchange Traded Funds - 99.8% | | | | |
Alpha Architect 1-3 Month Box ETF(a) | 4,919 | | $525,841 | |
Alpha Architect International Quantitative Momentum ETF | 39,589 | | 1,083,551 | |
Alpha Architect US Quantitative Momentum ETF | 44,999 | | 2,519,944 | |
Cambria Emerging Shareholder Yield ETF(b)(c) | 159,649 | | 5,466,382 | |
Cambria Foreign Shareholder Yield ETF(b)(c) | 96,997 | | 2,599,520 | |
Cambria Global Real Estate ETF(b) | 152,262 | | 3,609,995 | |
Cambria Global Value ETF(b) | 148,324 | | 3,201,069 | |
Cambria Micro and SmallCap Shareholder Yield ETF(b) | 45,001 | | 1,146,274 | |
Cambria Shareholder Yield ETF(b)(c) | 51,111 | | 3,522,059 | |
Cambria Tactical Yield ETF(b) | 126,071 | | 3,187,075 | |
Cambria Value and Momentum ETF(b) | 82,243 | | 2,360,728 | |
Graniteshares Gold Trust(a) | 89,333 | | 2,020,712 | |
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 237,591 | | 3,350,033 | |
JPMorgan USD Emerging Markets Sovereign Bond ETF | 41,490 | | 1,580,051 | |
Schwab US TIPS ETF | 27,692 | | 1,418,661 | |
SPDR FTSE International Government Inflation-Protected Bond ETF | 33,289 | | 1,289,616 | |
VanEck Bitcoin Trust(a) | 2,184 | | 145,957 | |
VanEck Emerging Markets High Yield Bond ETF(c) | 112,145 | | 2,104,962 | |
VanEck Gold Miners ETF | 16,601 | | 549,991 | |
VanEck International High Yield Bond ETF | 51,939 | | 1,050,186 | |
VanEck J.P. Morgan EM Local Currency Bond ETF | 64,731 | | 1,534,772 | |
Vanguard Intermediate-Term Corporate Bond ETF(c) | 19,960 | | 1,564,066 | |
Vanguard Intermediate-Term Treasury ETF | 17,912 | | 1,024,387 | |
Vanguard Long-Term Treasury ETF | 17,572 | | 976,300 | |
Vanguard Short-Term Corporate Bond ETF | 14,080 | | 1,078,106 | |
Vanguard Total Bond Market ETF | 28,938 | | 2,045,048 | |
Vanguard Total International Bond ETF | 53,103 | | 2,570,716 | |
Total Exchange Traded Funds | | 53,526,002 | |
| Shares |
| Value | |
Short-Term Investments - 4.6% | | | | |
Investments Purchased with Proceeds from Securities Lending - 4.4% | | |||
First American Government Obligations Fund - Class X, 5.23%(d) | 2,337,750 | | $2,337,750 | |
Money Market Funds - 0.2% | | | | |
First American Treasury Obligations Fund - Class X, 5.21%(d) | 103,137 | | 103,137 | |
Total Short-Term Investments | | | 2,440,887 | |
| | | | |
Total Investments - 104.4% | | | 55,966,889 | |
Liabilities in Excess of Other Assets - (4.4%) | | | (2,336,244 | ) |
Total Net Assets - 100.0% |
| | $53,630,645 | |
Percentages are stated as a percent of net assets. | |
EM – Emerging Markets
ETF – Exchange Traded Funds
FTSE – Financial Times Stock Exchange
SPDR – Standard & Poor’s Depository Receipt
TIPS – Treasury Inflated Protected Security
(a)Non-income producing security.
(b)Affiliated company as defined by the Investment Company Act of 1940.
(c)All or a portion of this security is on loan as of April 30, 2024. The total market value of these securities was $2,270,888 which represented 4.2% of net assets.
(d)The rate shown represents the 7-day effective yield as of April 30, 2024.
Annual Report | April 30, 2024 33
The accompanying notes are an integral part of these financial statements.
Cambria Global Asset Allocation ETFSchedule of Investments
April 30, 2024
Transactions with affiliated companies during the year ended April 30, 2024, 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 Gain (Loss) |
Cambria Emerging Shareholder Yield ETF | $4,781,062 | $— | $655,895 | $(209,622) | $(640,235) | $5,466,382 | 159,649 | $281,581 | $893,452 | $(14,170) |
Cambria Foreign Shareholder Yield ETF | 2,422,663 | 38,753 | 316,280 | — | (311,455) | 2,599,520 | 96,997 | 137,849 | 124,606 | 8,673 |
Cambria Global Real Estate ETF | 3,079,046 | 656,281 | 456,866 | (27,067) | (444,097) | 3,609,995 | 152,262 | 211,289 | (103,986) | (7,048) |
Cambria Global Value ETF | 3,046,014 | 24,003 | 395,272 | (4,465) | (394,042) | 3,201,069 | 148,324 | 167,195 | 122,291 | 11,996 |
Cambria Micro and SmallCap Shareholder Yield ETF | — | 1,108,360 | 61,451 | (4,590) | (29,758) | 1,146,274 | 45,001 | 7,200 | 10,898 | (87) |
Cambria Shareholder Yield ETF | 3,896,096 | — | 516,032 | (1,042,665) | (518,007) | 3,522,059 | 51,111 | 52,387 | 347,286 | 323,317 |
Cambria Tactical Yield ETF | — | 3,086,106 | 167,243 | — | (83,423) | 3,187,075 | 126,071 | 17,048 | 16,883 | 266 |
Cambria Value and Momentum ETF | 2,051,536 | — | 298,731 | (30,703) | (285,467) | 2,360,728 | 82,243 | 20,883 | 213,703 | 112,928 |
| $19,276,417 | $4,913,503 | $2,867,770 | $(1,319,112) | $(2,706,484) | $25,093,102 | 861,658 | $895,432 | $1,625,133 | $435,875 |
34www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Sector Weightings |
|
Consumer Discretionary | 25.1%(a) |
Financials | 23.3% |
Industrials | 19.5% |
Energy | 10.6% |
Materials | 10.5% |
Information Technology | 5.7% |
Health Care | 3.1% |
Utilities | 1.5% |
Communication Services | 0.7% |
| 100.0% |
Percentages are stated as a percent of total investments, excluding short-term investments and investments purchased with proceeds from securities lending.
(a)To the extent that the Fund invests a significant portion of its assets in securities of companies of a single sector, it is more likely to be impacted by events or conditions affecting the sector.
| Shares |
| Value | |
Common Stocks - 86.5% | | | | |
Communication Services - 0.6% | | | | |
Telephone and Data Systems, Inc. | 24,701 | | $386,571 | |
| | | | |
Consumer Discretionary - 21.6% | | | | |
Beazer Homes USA, Inc.(a) | 16,774 | | 470,175 | |
Beyond, Inc.(a) | 15,487 | | 311,753 | |
Caleres, Inc. | 12,995 | | 478,606 | |
Century Communities, Inc. | 6,826 | | 541,438 | |
Designer Brands, Inc. - Class A | 47,670 | | 442,854 | |
DR Horton, Inc. | 4,423 | | 630,233 | |
G-III Apparel Group Ltd.(a) | 11,215 | | 315,702 | |
Green Brick Partners, Inc.(a) | 12,966 | | 701,850 | |
KB Home | 6,877 | | 445,355 | |
La-Z-Boy, Inc. | 10,750 | | 353,030 | |
Lennar Corp. - Class A | 4,138 | | 627,404 | |
M/I Homes, Inc.(a) | 6,587 | | 765,541 | |
Meritage Homes Corp. | 3,737 | | 619,370 | |
Patrick Industries, Inc. | 5,867 | | 613,043 | |
Perdoceo Education Corp. | 33,584 | | 614,587 | |
PulteGroup, Inc. | 7,481 | | 833,533 | |
PVH Corp. | 4,333 | | 471,430 | |
Taylor Morrison Home Corp.(a) | 11,177 | | 626,024 | |
Thor Industries, Inc. | 4,632 | | 460,513 | |
Toll Brothers, Inc. | 7,287 | | 867,956 | |
Tri Pointe Homes, Inc.(a) | 11,084 | | 408,445 | |
Upbound Group, Inc. | 11,946 | | 370,445 | |
| Shares |
| Value | |
Common Stocks - 86.5% (continued) | | | | |
Consumer Discretionary - 21.6% (continued) | | | | |
Urban Outfitters, Inc.(a) | 11,635 | | $453,300 | |
Williams-Sonoma, Inc. | 1,883 | | 540,007 | |
Worthington Enterprises, Inc. | 8,166 | | 466,769 | |
| | | 13,429,363 | |
Energy - 9.1% | | | | |
California Resources Corp. | 7,498 | | 396,344 | |
Chord Energy Corp. | 3,883 | | 687,213 | |
CNX Resources Corp.(a) | 19,278 | | 453,419 | |
CONSOL Energy, Inc. | 8,070 | | 667,873 | |
Gulfport Energy Corp.(a) | 3,750 | | 595,163 | |
Liberty Energy, Inc. | 21,405 | | 470,910 | |
Marathon Petroleum Corp. | 3,959 | | 719,429 | |
Permian Resources Corp. | 42,625 | | 713,969 | |
Phillips 66 | 2,842 | | 407,003 | |
SM Energy Co. | 11,078 | | 537,172 | |
| | | 5,648,495 | |
Financials - 20.2% | | | | |
Aflac, Inc. | 4,836 | | 404,531 | |
Ally Financial, Inc. | 13,037 | | 499,969 | |
American Equity Investment Life Holding Co. | 10,070 | | 565,028 | |
Assurant, Inc. | 2,305 | | 401,992 | |
Bancorp, Inc.(a) | 13,852 | | 414,729 | |
Capital One Financial Corp. | 3,584 | | 514,053 | |
Corebridge Financial, Inc.(b) | 18,085 | | 480,338 | |
Customers Bancorp, Inc.(a) | 7,033 | | 321,197 | |
Enova International, Inc.(a) | 9,620 | | 582,299 | |
Fidelity National Financial, Inc. | 7,706 | | 381,447 | |
First Citizens BancShares, Inc. - Class A | 291 | | 490,847 | |
Hartford Financial Services Group, Inc. | 5,286 | | 512,161 | |
Jackson Financial, Inc. - Class A | 7,497 | | 512,195 | |
Loews Corp. | 9,424 | | 708,213 | |
Mercury General Corp. | 10,504 | | 548,939 | |
MGIC Investment Corp. | 23,596 | | 478,527 | |
Mr. Cooper Group, Inc.(a) | 10,675 | | 824,109 | |
Oscar Health, Inc. - Class A(a) | 39,056 | | 678,403 | |
Primerica, Inc. | 1,971 | | 417,576 | |
Radian Group, Inc. | 14,300 | | 427,141 | |
Reinsurance Group of America, Inc. | 2,446 | | 457,378 | |
Remitly Global, Inc.(a) | 20,414 | | 363,982 | |
Robinhood Markets, Inc. - Class A(a) | 26,698 | | 440,250 | |
Synchrony Financial | 12,130 | | 533,477 | |
Skyward Specialty Insurance Group, Inc.(a) | 14,469 | | 505,257 | |
| | | 12,464,038 | |
Annual Report | April 30, 2024 35
The accompanying notes are an integral part of these financial statements.
Cambria Value and Momentum ETFSchedule of Investments
April 30, 2024
| Shares |
| Value | |
Common Stocks - 86.5% (continued) | | | | |
Health Care - 2.7% | | | | |
Arcturus Therapeutics Holdings, Inc.(a) | 14,189 | | $362,813 | |
Cardinal Health, Inc. | 6,052 | | 623,598 | |
McKesson Corp. | 1,248 | | 670,438 | |
| | | 1,656,849 | |
Industrials - 16.9% | | | | |
ArcBest Corp. | 4,403 | | 488,337 | |
Boise Cascade Co. | 4,886 | | 646,271 | |
Builders FirstSource, Inc.(a) | 3,217 | | 588,132 | |
CoreCivic, Inc.(a) | 28,475 | | 424,278 | |
DNOW, Inc.(a) | 35,928 | | 506,944 | |
EMCOR Group, Inc. | 2,681 | | 957,574 | |
Encore Wire Corp. | 3,070 | | 857,635 | |
GMS, Inc.(a) | 5,284 | | 488,876 | |
Insteel Industries, Inc. | 14,160 | | 454,536 | |
Masterbrand, Inc.(a) | 28,620 | | 477,095 | |
Matson, Inc. | 4,398 | | 474,016 | |
MillerKnoll, Inc. | 16,659 | | 423,638 | |
Mueller Industries, Inc. | 15,021 | | 838,472 | |
Owens Corning | 3,087 | | 519,264 | |
REV Group, Inc. | 24,966 | | 545,757 | |
SkyWest, Inc.(a) | 9,141 | | 667,567 | |
Sterling Infrastructure, Inc.(a) | 6,929 | | 703,986 | |
UFP Industries, Inc. | 3,111 | | 350,610 | |
| | | 10,412,988 | |
Information Technology - 5.0% | | | | |
ACM Research, Inc. - Class A(a) | 23,587 | | 601,940 | |
ePlus, Inc.(a) | 6,778 | | 521,093 | |
Insight Enterprises, Inc.(a) | 2,623 | | 478,881 | |
InterDigital, Inc. | 3,973 | | 392,254 | |
Jabil, Inc. | 3,749 | | 439,983 | |
Photronics, Inc.(a) | 22,999 | | 630,403 | |
| | | 3,064,554 | |
Materials - 9.1% | | | | |
Alpha Metallurgical Resources, Inc. | 2,043 | | 668,306 | |
Arch Resources, Inc. | 2,489 | | 395,203 | |
Metallus, Inc.(a) | 33,542 | | 689,624 | |
Nucor Corp. | 3,906 | | 658,278 | |
Olympic Steel, Inc. | 7,811 | | 496,545 | |
Ramaco Resources, Inc.(a) | 24,441 | | 383,235 | |
Reliance Steel & Aluminum Co. | 2,019 | | 574,850 | |
Resolute Forest Products(a)(c) | 66,033 | | 93,767 | |
Steel Dynamics, Inc. | 4,507 | | 586,451 | |
United States Steel Corp. | 8,057 | | 294,081 | |
Warrior Met Coal, Inc. | 10,976 | | 750,209 | |
| | 5,590,549 | |
| Shares |
| Value | |
Common Stocks - 86.5% (continued) | | | | |
Utilities - 1.3% | | | | |
Vistra Corp. | 10,761 | | $816,114 | |
Total Common Stocks | | | 53,469,521 | |
| | | | |
Short-Term Investments - 9.3% | | | | |
Investments Purchased with Proceeds from Securities Lending - 0.8% | | |||
First American Government Obligations Fund - Class X, 5.23%(d) | 472,450 | | 472,450 | |
Money Market Funds - 8.5% | | | | |
First American Treasury Obligations Fund - Class X, 5.21%(d) | 5,227,413 | | 5,227,413 | |
Total Short-Term Investments | | | 5,699,863 | |
| | | | |
Total Investments - 95.8% | | | 59,169,384 | |
Other Assets in Excess of Liabilities - 4.2% | | | 2,579,815 | |
Total Net Assets - 100.0% |
| | $61,749,199 | |
Percentages are stated as a percent of net assets. | |
(a)Non-income producing security.
(b)All or a portion of this security is on loan as of April 30, 2024. The total market value of these securities was $456,301 which represented 0.7% of net assets.
(c)Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as Valuation Designee. These securities represented $93,767 or 0.2% of net assets as of April 30, 2024.
(d)The rate shown represents the 7-day effective yield as of April 30, 2024.
36www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria Value and Momentum ETFSchedule of Investments
April 30, 2024
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
The open futures contracts held by the fund as of April 30, 2024, are as follows:
Type of Contract | Number of Contracts Short |
| Expiration Date |
| Notational Amount |
| Notional Value |
| Unrealized Appreciation (Depreciation) |
S&P 500 Index | (111) | | 06/21/2024 | | $(28,121,850) | | $(28,897,888) | | $776,038 |
Annual Report | April 30, 2024 37
The accompanying notes are an integral part of these financial statements.
Sector Weightings |
|
Exchange Traded Funds | 95.9% |
Purchased Options | 4.1% |
| 100.0% |
Percentages are stated as a percent of total investments, excluding short-term investments.
| Shares |
| Value |
Exchange Traded Funds - 88.0% | | | |
iShares® 7-10 Year Treasury Bond ETF | 6,327 | | $578,477 |
iShares® TIPS Bond ETF | 5,441 | | 574,189 |
VanEck J. P. Morgan EM Local Currency Bond ETF | 21,863 | | 518,372 |
Vanguard Total International Bond ETF | 10,666 | | 516,341 |
Total Exchange Traded Funds | | | 2,187,379 |
| Notional Amount |
| Contracts |
| Value |
Options Purchased - 3.8% | | | | | |
Put Options - 3.8% | | | | | |
MSCI EAFE Index | | | | | |
Expires 06/21/2024; Strike Price: $2,000 | $684,159 | | 3 | | $945 |
Expires 09/20/2024; Strike Price: $1,900 | 1,368,319 | | 6 | | 4,800 |
Expires 12/20/2024; Strike Price: $2,000 | 1,368,319 | | 6 | | 18,000 |
Expires 03/21/2025; Strike Price: $2,100 | 1,368,319 | | 6 | | 34,500 |
MSCI Emerging Markets Index | | | | | |
Expires 06/21/2024; Strike Price: $950 | 313,784 | | 3 | | 855 |
Expires 09/20/2024; Strike Price: $900 | 941,353 | | 9 | | 5,580 |
Expires 12/20/2024; Strike Price: $900 | 941,353 | | 9 | | 11,160 |
Expires 03/21/2025; Strike Price: $950 | 627,569 | | 6 | | 18,840 |
Total Options Purchased | | | | | 94,680 |
| Shares |
| Value |
Short-Term Investments - 5.0% | | | |
Money Market Funds - 5.0% | | | |
First American Treasury Obligations Fund - Class X, 5.21%(a) | 123,992 | | $123,992 |
Total Short-Term Investments | | | 123,992 |
| | | |
Total Investments - 96.8% | | | 2,406,051 |
Other Assets in Excess of Liabilities - 3.2% | | 80,013 | |
Total Net Assets - 100.0% | | | $2,486,064 |
Percentages are stated as a percent of net assets. |
EAFE – Europe, Australasia and Far East
EM – Emerging Markets
ETF – Exchange Traded Funds
MSCI – Morgan Stanley Capital International
TIPS – Treasure Inflated Protected Security
(a)The rate shown represents the 7-day effective yield as of April 30, 2024.
38www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Sector Weightings |
|
Information Technology | 21.9% |
Financials | 17.6% |
Energy | 16.6% |
Industrials | 10.2% |
Materials | 9.9% |
Consumer Discretionary | 9.7% |
Utilities | 6.3% |
Consumer Staples | 2.9% |
Health Care | 2.5% |
Real Estate | 1.5% |
Communication Services | 0.9% |
| 100.0% |
Percentages are stated as a percent of total investments, excluding short-term investments.
| Shares |
| Value | |
Common Stocks - 97.4% | | | | |
Brazil - 4.8% | | | | |
Cia de Saneamento de Minas Gerais Copasa MG | 703,800 | | $2,653,854 | |
Cielo SA | 3,292,100 | | 3,544,051 | |
Petroleo Brasileiro SA | 434,700 | | 3,710,262 | |
TIM SA | 940,700 | | 3,202,938 | |
Ultrapar Participacoes SA | 745,200 | | 3,727,005 | |
| | | 16,838,110 | |
China - 19.4% | | | | |
Anhui Conch Cement Co. Ltd. - Class H | 976,500 | | 2,279,378 | |
Bank of Communications Co. Ltd. - Class H | 5,175,000 | | 3,744,295 | |
CGN Power Co. Ltd. - Class H | 12,102,000 | | 4,068,705 | |
China Coal Energy Co. Ltd. - Class H | 3,519,000 | | 3,553,773 | |
China Petroleum & Chemical Corp. - Class H | 6,718,000 | | 4,053,455 | |
China Shenhua Energy Co. Ltd. - Class H | 1,449,000 | | 6,057,026 | |
Dongfeng Motor Group Co. Ltd. - Class H | 6,708,000 | | 2,443,888 | |
E-Commodities Holdings Ltd. | 14,904,000 | | 3,086,464 | |
Fufeng Group Ltd. | 5,796,000 | | 4,245,475 | |
Huadian Power International Corp. Ltd. - Class H | 9,290,000 | | 5,082,798 | |
JNBY Design Ltd. | 1,956,500 | | 3,576,508 | |
Lonking Holdings Ltd. | 11,943,000 | | 2,198,463 | |
| Shares |
| Value | |
Common Stocks - 97.4% (continued) | | | | |
China - 19.4% (continued) | | | | |
People’s Insurance Co. Group of China Ltd. - Class H | 9,876,000 | | $3,257,198 | |
PetroChina Co. Ltd. - Class H | 5,866,000 | | 5,534,033 | |
PICC Property & Casualty Co. Ltd. - Class H | 2,698,000 | | 3,369,612 | |
SciClone Pharmaceuticals Holdings Ltd. | 1,672,500 | | 3,835,588 | |
Shenzhen Expressway Corp. Ltd. - Class H | 2,898,000 | | 2,645,087 | |
Yankuang Energy Group Co. Ltd. - Class H | 2,484,000 | | 5,410,838 | |
| | | 68,442,584 | |
Czech Republic - 0.8% | | | | |
CEZ AS | 75,493 | | 2,786,641 | |
| | | | |
Hong Kong - 0.5% | | | | |
China Medical System Holdings Ltd. | 2,070,000 | | 1,854,948 | |
India - 7.7% | | | | |
Bank of Baroda | 771,696 | | 2,603,574 | |
Coal India Ltd. | 829,518 | | 4,516,622 | |
Indian Bank | 833,031 | | 5,473,750 | |
Oil & Natural Gas Corp. Ltd. | 1,216,332 | | 4,123,382 | |
Oil India Ltd. | 823,446 | | 6,120,361 | |
Vedanta Ltd. | 878,370 | | 4,188,341 | |
| | | 27,026,030 | |
Indonesia - 1.2% | | | | |
Indo Tambangraya Megah Tbk PT | 1,283,400 | | 1,991,006 | |
United Tractors Tbk PT | 1,449,000 | | 2,212,265 | |
| | | 4,203,271 | |
Mexico - 3.5% | | | | |
Arca Continental SAB de CV | 414,000 | | 4,027,684 | |
Banco del Bajio SA | 1,200,600 | | 4,437,750 | |
GCC SAB de CV | 351,900 | | 3,963,375 | |
| | | 12,428,809 | |
Poland - 4.6% | | | | |
Bank Polska Kasa Opieki SA | 75,587 | | 3,149,148 | |
Powszechna Kasa Oszczednosci Bank Polski SA | 332,287 | | 4,972,345 | |
Powszechny Zaklad Ubezpieczen SA | 350,121 | | 4,426,143 | |
XTB SA | 229,153 | | 3,591,743 | |
| | | 16,139,379 | |
Annual Report | April 30, 2024 39
The accompanying notes are an integral part of these financial statements.
Cambria Emerging Shareholder Yield ETFSchedule of Investments
April 30, 2024
| Shares |
| Value | |
Common Stocks - 97.4% (continued) | | | | |
Russia - 0.0%(a) | | | | |
Alrosa PJSC(b)(c) | 538,800 | | $— | |
Federal Grid Co. Unified Energy System(b)(c)(d) | 328,200,000 | | 4 | |
Gazprom Neft PJSC(b)(c) | 223,200 | | — | |
Gazprom PJSC(b)(c)(d) | 423,000 | | — | |
Inter RAO UES PJSC(b)(c) | 11,040,000 | | — | |
LUKOIL PJSC(b)(c) | 17,160 | | — | |
Magnitogorsk Iron & Steel Works PJSC(b)(c)(d) | 1,560,000 | | — | |
NovaBev Group PJSC(b)(c) | 20,340 | | — | |
Novolipetsk Steel PJSC(b)(c)(d) | 458,400 | | — | |
OGK-2 PJSC(b)(c) | 94,200,000 | | 1 | |
Sberbank of Russia PJSC(b)(c) | 276,600 | | — | |
Severstal PAO(b)(c)(d) | 85,200 | | — | |
Unipro PJSC(b)(c)(d) | 21,240,000 | | — | |
| | | 5 | |
South Africa - 10.9% | | | | |
AECI Ltd. | 571,253 | | 2,850,309 | |
Exxaro Resources Ltd. | 250,928 | | 2,413,255 | |
Investec Ltd. | 665,868 | | 4,244,007 | |
Investec PLC | 677,591 | | 4,345,727 | |
Kumba Iron Ore Ltd. | 102,294 | | 2,519,244 | |
Motus Holdings Ltd. | 656,971 | | 2,920,220 | |
Nedbank Group Ltd. | 239,993 | | 2,916,831 | |
Reunert Ltd. | 1,188,417 | | 4,186,334 | |
Sanlam Ltd. | 765,594 | | 2,767,670 | |
Tiger Brands Ltd. | 275,253 | | 3,006,376 | |
Truworths International Ltd. | 1,580,272 | | 6,338,301 | |
| | | 38,508,274 | |
South Korea - 12.3% | | | | |
DB Insurance Co. Ltd. | 52,164 | | 3,672,352 | |
Doosan Bobcat, Inc. | 67,939 | | 2,565,962 | |
GS Holdings Corp. | 97,710 | | 3,174,285 | |
Hancom, Inc. | 216,997 | | 3,768,127 | |
Hankook Tire & Technology Co. Ltd. | 83,781 | | 3,582,561 | |
Hanmi Semiconductor Co. Ltd. | 86,967 | | 8,494,714 | |
Kia Corp. | 54,542 | | 4,656,650 | |
KT&G Corp. | 47,421 | | 3,067,388 | |
Poongsan Corp. | 92,919 | | 4,369,969 | |
Samsung C&T Corp. | 28,718 | | 3,118,857 | |
Ssangyong C&E Co. Ltd. | 580,776 | | 2,941,489 | |
| | 43,412,354 | |
| Shares |
| Value | |
Common Stocks - 97.4% (continued) | | | | |
Taiwan - 28.7%(e) | | | | |
Asustek Computer, Inc. | 414,000 | | $5,467,108 | |
Catcher Technology Co. Ltd. | 621,000 | | 4,157,546 | |
Chicony Electronics Co. Ltd. | 1,168,000 | | 7,263,681 | |
China Motor Corp. | 873,000 | | 3,847,291 | |
Dimerco Express Corp. | 1,720,054 | | 4,949,605 | |
Evergreen Marine Corp. Taiwan Ltd. | 728,000 | | 4,236,718 | |
Evergreen Steel Corp. | 861,000 | | 3,926,617 | |
Global Mixed Mode Technology, Inc. | 312,000 | | 2,764,327 | |
Holy Stone Enterprise Co. Ltd. | 1,042,000 | | 3,104,048 | |
Huaku Development Co. Ltd. | 1,035,000 | | 5,276,396 | |
IEI Integration Corp. | 1,656,000 | | 4,012,604 | |
ITE Technology, Inc. | 1,242,000 | | 6,369,817 | |
L&K Engineering Co. Ltd. | 561,000 | | 4,686,199 | |
Nantex Industry Co. Ltd. | 2,484,000 | | 2,544,113 | |
Novatek Microelectronics Corp. | 209,000 | | 3,966,648 | |
O-TA Precision Industry Co. Ltd. | 1,009,000 | | 2,739,254 | |
Radiant Opto-Electronics Corp. | 828,000 | | 5,060,253 | |
Systex Corp. | 1,035,000 | | 3,973,190 | |
TaiDoc Technology Corp. | 621,000 | | 2,946,517 | |
Taiwan Semiconductor Co. Ltd. | 953,000 | | 2,136,509 | |
Tong Yang Industry Co. Ltd. | 913,000 | | 3,336,619 | |
Transcend Information, Inc. | 1,035,000 | | 2,978,303 | |
Tripod Technology Corp. | 828,000 | | 5,022,112 | |
Utechzone Co. Ltd. | 1,123,000 | | 3,114,271 | |
Winstek Semiconductor Co. Ltd. | 873,000 | | 3,525,567 | |
| | | 101,405,313 | |
Turkey - 3.0% | | | | |
Enerjisa Enerji AS | 3,328,417 | | 6,993,671 | |
Turkiye Petrol Rafinerileri AS | 618,971 | | 3,742,160 | |
| | | 10,735,831 | |
Total Common Stocks | | | 343,781,549 | |
| | | | |
Short-Term Investments - 2.7% | | | | |
Money Market Funds - 2.7% | | | | |
First American Treasury Obligations Fund - Class X, 5.21%(f) | 9,383,284 | | 9,383,284 | |
Total Short-Term Investments | | | 9,383,284 | |
| | | | |
Total Investments - 100.1% (Cost $313,006,793) | | | 353,164,833 | |
Other Assets in Excess of Liabilities - (0.1)% | | (389,779 | ) | |
Total Net Assets - 100.0% | | | $352,775,054 | |
Percentages are stated as a percent of net assets. | |
40www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria Emerging Shareholder Yield ETFSchedule of Investments
April 30, 2024
AS - Turkish Joint Stock Company
PAO - Russian Public Stock Company
PJSC - Private Joint Stock Company
PLC - Public Limited Company
PT – Perseroan Terbatas
SA - Sociedad Anónima
SAB de CV - Sociedad Anónima Bursátil de Capital Variable
(a)Represents less than 0.05% of net assets.
(b)Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as Valuation Designee. These securities represented $5 or 0.0% of net assets as of April 30, 2024.
(c)These securities are considered to be illiquid. The aggregate value of these securities at April 30, 2024, was $5, which represent 0.00% of the Fund’s net assets.
(d)Non-income producing security.
(e)To the extent that the Fund invests a significant portion of its assets in securities of companies of a single country or region, it is more likely to be impacted by events or conditions affecting the country or region.
(f)The rate shown represents the 7-day effective yield as of April 30, 2024.
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
Annual Report | April 30, 2024 41
The accompanying notes are an integral part of these financial statements.
Sector Weightings | |
U.S. Treasury Obligations | 94.3% |
Purchased Options | 5.7% |
| 100.0% |
Percentages are stated as a percent of total investments, excluding short-term investments.
| Par |
| Value |
U.S. Treasury Obligations - 91.0% | | | |
U.S. Treasury Bond, 4.125%, 11/15/2032 | $77,786,000 | | $74,686,714 |
Total U.S. Treasury Obligations | | | 74,686,714 |
| Notional Amount |
| Contracts |
| Value |
Options Purchased - 5.5% | | | | | |
Put Options - 5.5% | | | | | |
S&P 500® Index | | | | | |
Expires 06/21/2024, Strike Price: $4,400 | $7,553,535 | | 15 | | $12,075 |
Expires 09/20/2024, Strike Price: $4,000 | 63,449,694 | | 126 | | 214,830 |
Expires 09/20/2024, Strike Price: $4,200 | 36,760,537 | | 73 | | 175,200 |
Expires 12/20/2024, Strike Price: $4,100 | 71,003,229 | | 141 | | 557,655 |
Expires 12/20/2024, Strike Price: $4,200 | 19,639,191 | | 39 | | 179,400 |
Expires 03/21/2025, Strike Price: $4,400 | 56,399,728 | | 112 | | 985,600 |
Expires 03/21/2025, Strike Price: $4,700 | 28,199,864 | | 56 | | 763,280 |
Expires 06/20/2025, Strike Price: $4,800 | 26,185,588 | | 52 | | 956,540 |
Expires 06/20/2025, Strike Price: $4,700 | 21,653,467 | | 43 | | 696,815 |
Total Options Purchased | | | | | 4,541,395 |
| Shares |
| Value |
Short-Term Investments - 0.9% | | | |
Money Market Funds - 0.9% | | | |
First American Treasury Obligations Fund - Class X, 5.21%(a) | 775,169 | | $775,169 |
Total Short-Term Investments | | | 775,169 |
| | | |
Total Investments - 97.4% | | | 80,003,278 |
Other Assets in Excess of Liabilities - 2.6% | | | 2,094,667 |
Total Net Assets - 100.0% | | | $82,097,945 |
Percentages are stated as a percent of net assets. |
(a)The rate shown represents the 7-day effective yield as of April 30, 2024.
42www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Sector Weightings |
|
Exchange Traded Funds | 100.0% |
| 100.0% |
Percentages are stated as a percent of total investments, excluding short-term investments and investments purchased with proceeds from securities lending.
| Shares |
| Value | |
Exchange Traded Funds - 99.8% | | | | |
Alpha Architect 1-3 Month Box ETF(a) | 10,050 | | $1,074,345 | |
Cambria Emerging Shareholder Yield ETF(b)(c) | 263,242 | | 9,013,406 | |
Cambria Foreign Shareholder Yield ETF(b)(c) | 329,895 | | 8,841,186 | |
Cambria Global Real Estate ETF(b)(c) | 173,303 | | 4,108,858 | |
Cambria Global Value ETF(c) | 204,609 | | 4,415,790 | |
Cambria Micro and SmallCap Shareholder Yield ETF(c) | 216,145 | | 5,505,689 | |
Cambria Shareholder Yield ETF(b)(c) | 112,222 | | 7,733,218 | |
Cambria Tactical Yield ETF(c) | 169,176 | | 4,276,769 | |
Cambria Value and Momentum ETF(c) | 374,306 | | 10,744,191 | |
First Trust Managed Futures Strategy Fund | 63,989 | | 3,159,137 | |
Graniteshares Gold Trust(a) | 90,411 | | 2,045,097 | |
Grizzle Growth ETF(d)(e) | 79,785 | | 2,261,107 | |
iMGP DBi Managed Futures Strategy ETF | 116,937 | | 3,499,924 | |
Invesco Emerging Markets Sovereign Debt ETF | 112,197 | | 2,202,427 | |
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 319,554 | | 4,505,711 | |
iShares Global Industrials ETF | 16,773 | | 2,261,671 | |
iShares Global Tech ETF(b) | 30,511 | | 2,150,415 | |
JPMorgan USD Emerging Markets Sovereign Bond ETF | 83,078 | | 3,163,835 | |
KFA Mount Lucas Managed Futures Index Strategy ETF(a)(b) | 36,448 | | 1,135,002 | |
Schwab US TIPS ETF | 41,331 | | 2,117,387 | |
Simplify Managed Futures Strategy ETF | 41,845 | | 1,146,135 | |
SPDR FTSE International Government Inflation-Protected Bond ETF | 53,417 | | 2,069,375 | |
VanEck Bitcoin Trust(a) | 20,931 | | 1,398,819 | |
VanEck J.P. Morgan EM Local Currency Bond ETF | 128,871 | | 3,055,531 | |
Vanguard Intermediate-Term Treasury ETF | 109,871 | | 6,283,522 | |
| Shares |
| Value | |
Exchange Traded Funds - 99.8% (continued) | | | | |
Vanguard Small-Cap Value ETF | 12,398 | | $2,236,103 | |
Vanguard Total Bond Market ETF | 59,213 | | 4,184,583 | |
WisdomTree Managed Futures Strategy Fund | 61,705 | | 2,256,552 | |
Total Exchange Traded Funds (Cost $102,459,700) | | | 106,845,785 | |
| | | | |
Short-Term Investments - 3.9% | | | | |
Investments Purchased with Proceeds from Securities Lending - 3.7% | | |||
First American Government Obligations Fund - Class X, 5.23%(f) | 3,960,925 | | 3,960,925 | |
| | | | |
Money Market Funds - 0.2% | | | | |
First American Treasury Obligations Fund - Class X, 5.21%(f) | 263,222 | | 263,222 | |
Total Short-Term Investments | | | 4,224,147 | |
| | | | |
Total Investments - 103.7% | | | 111,069,932 | |
Liabilities in Excess of Other Assets - (3.7%) | | (3,958,940 | ) | |
Total Net Assets - 100.0% | | | $107,110,992 | |
Percentages are stated as a percent of net assets. | |
EM – Emerging Markets
ETF – Exchange Traded Funds
FTSE – Financial Times Stock Exchange
SPDR – Standard & Poor’s Depository Receipts
TIPS – Treasury Inflated Protected Security
(a)Non-income producing security.
(b)All or a portion of this security is on loan as of April 30, 2024. The total market value of these securities was $3,798,487 which represented 3.5% of net assets.
(c)Affiliated company as defined by the Investment Company Act of 1940.
(d)Affiliated investment managed by Tidal Investments LLC, the Fund’s sub-adviser.
(e)Affiliated investment due to the Fund holding more than 5% of the outstanding shares.
(f)The rate shown represents the 7-day effective yield as of April 30, 2024.
Annual Report | April 30, 2024 43
The accompanying notes are an integral part of these financial statements.
Cambria Trinity ETFSchedule of Investments
April 30, 2024
Transactions with affiliated companies during the year ended April 30, 2024, 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 Gain (Loss) |
Cambria Emerging Shareholder Yield ETF | $9,884,898 | $96,705 | $199,658 | $(1,364,066) | $(1,476,922) | $9,013,406 | 263,242 | $587,454 | $1,546,392 | $126,741 |
Cambria Foreign Shareholder Yield ETF | 10,429,729 | 6,893,326 | 34,854 | (7,312,576) | (1,350,305) | 8,841,186 | 329,895 | 493,329 | 538,352 | (392,194) |
Cambria Global Real Estate ETF | 4,513,970 | 551,028 | 92,379 | (223,348) | (660,449) | 4,108,858 | 173,303 | 275,192 | (58,738) | (105,984) |
Cambria Global Value ETF | 10,618,324 | 2,420,582 | 215,004 | (7,535,905) | (962,268) | 4,415,790 | 204,609 | 566,487 | 77,242 | (417,189) |
Cambria Micro and SmallCap Shareholder Yield ETF | — | 5,779,587 | — | — | (403,990) | 5,505,689 | 216,145 | 38,241 | 106,797 | 23,295 |
Cambria Shareholder Yield ETF | 4,751,297 | 4,779,438 | 100,502 | (1,955,801) | (1,264,435) | 7,733,218 | 112,222 | 140,223 | 980,199 | 342,018 |
Cambria Tactical Yield ETF | — | 4,557,496 | — | — | (297,335) | 4,276,769 | 169,176 | 25,297 | 15,125 | 1,483 |
Cambria Value and Momentum ETF | 9,232,280 | 2,098,751 | 196,712 | (765,739) | (1,722,470) | 10,744,191 | 374,306 | 103,316 | 1,574,351 | 130,306 |
Grizzle Growth ETF | — | 2,299,888 | — | (134,891) | (265,878) | 2,261,107 | 79,785 | 7,628 | 321,582 | 40,406 |
| $49,430,498 | $29,476,801 | $839,109 | $(19,292,326) | $(8,404,052) | $56,900,214 | 1,922,683 | $2,237,167 | $5,101,302 | $(251,118) |
44www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Sector Weightings | | |
Consumer Staples | 44.0% | (a) |
Health Care | 35.5% | (a) |
Real Estate | 7.5% | |
Financials | 4.3% | |
Industrials | 3.7% | |
Consumer Discretionary | 3.3% | |
Information Technology | 1.7% | |
| 100.0% | |
Percentages are stated as a percent of total investments, excluding short-term investments.
(a)To the extent that the Fund invests a significant portion of its assets in securities of companies of a single sector, it is more likely to be impacted by events or conditions affecting the sector.
| Shares |
| Value | |
Common Stocks - 57.6% | | | | |
Consumer Discretionary - 1.9% | | | | |
GrowGeneration Corp.(a) | 71,610 | | $214,114 | |
| | | | |
Consumer Staples - 25.3%(b) | | | | |
Altria Group, Inc. | 11,039 | | 483,619 | |
British American Tobacco PLC | 13,200 | | 387,774 | |
Imperial Brands PLC | 20,337 | | 464,659 | |
Philip Morris International, Inc. | 4,842 | | 459,699 | |
Turning Point Brands, Inc. | 16,848 | | 485,896 | |
Universal Corp. | 7,051 | | 362,633 | |
Village Farms International, Inc.(a) | 115,764 | | 177,119 | |
| | | 2,821,399 | |
Financials - 2.5% | | | | |
AFC Gamma, Inc. – REIT | 23,265 | | 279,180 | |
| | | | |
Health Care - 20.5% | | | | |
Charlotte’s Web Holdings, Inc.(a) | 604,625 | | 144,936 | |
Cronos Group, Inc.(a) | 191,622 | | 563,369 | |
Intercure Ltd.(a) | 54,681 | | 159,669 | |
Jazz Pharmaceuticals PLC(a) | 4,392 | | 486,414 | |
MyMD Pharmaceuticals, Inc.(a) | — | | 1 | |
Organigram Holdings, Inc.(a) | 167,681 | | 355,667 | |
SNDL, Inc.(a) | 231,792 | | 572,526 | |
| | 2,282,582 | |
| Shares |
| Value | |
Common Stocks - 57.6% (continued) | | | | |
Industrials - 2.1% | | | | |
Hydrofarm Holdings Group, Inc.(a) | 130,647 | | $126,740 | |
Urban-Gro, Inc.(a) | 53,701 | | 112,235 | |
| | | 238,975 | |
Information Technology - 1.0% | | | | |
WM Technology, Inc.(a) | 87,989 | | 111,306 | |
| | | | |
Real Estate - 4.3% | | | | |
Innovative Industrial Properties, Inc. – REIT | 4,672 | | 483,085 | |
Total Common Stocks | | | 6,430,641 | |
| | | | |
Short-Term Investments - 26.5% | | | | |
Money Market Funds - 26.5%(c) | | | | |
First American Treasury Obligations Fund - Class X, 5.21%(d) | 2,957,569 | | 2,957,569 | |
Total Short-Term Investments | | | 2,957,569 | |
| | | | |
Total Investments - 84.1% | | | 9,388,210 | |
Other Assets in Excess of Liabilities - 15.9% | | 1,772,514 | | |
Total Net Assets - 100.0% | | | $11,160,724 | |
Percentages are stated as a percent of net assets. | |
PLC - Public Limited Company
REIT – Real Estate Investment Trust
(a)Non-income producing security.
(b)To the extent that the Fund invests more heavily in a particular industry or sector of the economy, its performance will be especially sensitive to developments that significantly affect those industries or sectors.
(c)Value of security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC at www.sec.gov.
(d)The rate shown represents the 7-day effective yield as of April 30, 2024.
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
Annual Report | April 30, 2024 45
The accompanying notes are an integral part of these financial statements.
Cambria Cannabis ETFSchedule of Investments
April 30, 2024
Schedule of Total Return Swap Contracts
April 30, 2024
Reference Entity | Counterparty |
| Long/Short |
| Maturity |
| Financing | | Payment |
| Notional |
| Upfront |
| Value/ |
Cresco Labs, Inc. | Nomura Securities International, Inc. | | Long | | 04/15/2025 | | 6.87% | | Month | | $284,191 | | $— | | $— |
Glass House Brands, Inc. | Nomura Securities International, Inc. | | Long | | 04/15/2025 | | 6.87% | | Month | | 580,635 | | — | | — |
Goodness Growth Holdings, Inc. | Nomura Securities International, Inc. | | Long | | 04/15/2025 | | 6.87% | | Month | | 565,451 | | — | | — |
Green Thumb Industries, Inc. | Nomura Securities International, Inc. | | Long | | 04/15/2025 | | 6.87% | | Month | | 579,248 | | — | | — |
Grown Rogue International, Inc | Nomura Securities International, Inc. | | Long | | 04/15/2025 | | 6.87% | | Month | | 557,760 | | — | | — |
Terrascend Corp. | Nomura Securities International, Inc. | | Long | | 04/15/2025 | | 6.87% | | Month | | 281,229 | | — | | — |
Trulieve Cannabis Corp. | Nomura Securities International, Inc. | | Long | | 04/15/2025 | | 6.87% | | Month | | 629,679 | | — | | — |
Verano Holdings Corp. | Nomura Securities International, Inc. | | Long | | 04/15/2025 | | 6.87% | | Month | | 600,054 | | — | | — |
| | | | | | | | | | | | | $— | | $— |
(a)Floating rate based on the overnight bank rate and spread of 155 basis points and is reset monthly.
(b)As of April 30, 2024, the balance of unrealized appreciation (depreciation) of swap contracts was $0 due to the reset of swaps on April 30, 2024.
46www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Sector Weightings | | |
Real Estate | 100.0% | (a) |
| 100.0% | |
Percentages are stated as a percent of total investments, excluding short-term investments.
(a)To the extent that the Fund invests more heavily in a particular industry or sector of the economy, its performance will be especially sensitive to developments that significantly affect those industries or sectors
| Shares |
| Value | |
Real Estate Investments Trusts - 97.0% | | | | |
Australia - 5.2% | | | | |
Abacus Group | 397,684 | | $298,838 | |
GPT Group | 102,388 | | 279,899 | |
Hotel Property Investments Ltd. | 146,197 | | 307,795 | |
Stockland | 99,192 | | 285,941 | |
| | | 1,172,473 | |
Canada - 1.3% | | | | |
Boardwalk Real Estate Investment Trust | 5,460 | | 281,081 | |
France - 2.7% | | | | |
Carmila SA | 17,738 | | 298,337 | |
Klepierre SA | 11,756 | | 316,913 | |
| | | 615,250 | |
Guernsey - 1.3% | | | | |
Balanced Commercial Property Trust Ltd. | 288,599 | | 280,561 | |
Japan - 1.3% | | | | |
Nippon Hotel & Residential Investment Corp. | 583 | | 287,961 | |
Malaysia - 1.4% | | | | |
IGB Real Estate Investment Trust | 813,500 | | 311,934 | |
Mexico - 4.7% | | | | |
FIBRA Macquarie Mexico | 141,504 | | 253,176 | |
Fibra Uno Administracion SA de CV | 164,990 | | 236,157 | |
Prologis Property Mexico SA de CV | 67,789 | | 266,237 | |
TF Administradora Industrial S de RL de CV | 117,800 | | 289,777 | |
| | | 1,045,347 | |
Netherlands - 2.5% | | | | |
Vastned Retail NV | 12,672 | | 283,319 | |
Wereldhave NV | 19,735 | | 275,060 | |
| | 558,379 | |
| Shares |
| Value | |
Real Estate Investments Trusts - 97.0% (continued) | | | | |
Singapore - 1.3% | | | | |
AIMS APAC Real Estate Investment Trust | 318,900 | | $294,358 | |
South Africa - 5.2% | | | | |
Attacq Ltd. | 575,321 | | 308,733 | |
Fairvest Ltd. – Class B | 1,521,896 | | 287,863 | |
Hyprop Investments Ltd. | 173,566 | | 267,248 | |
SA Corporate Real Estate Ltd. | 2,115,202 | | 288,826 | |
| | | 1,152,670 | |
Spain - 1.3% | | | | |
Lar Espana Real Estate Socimi SA | 40,422 | | 294,635 | |
Thailand - 1.3% | | | | |
Lotus’s Retail Growth Freehold and Leasehold Property Fund | 810,800 | | 286,602 | |
Turkey - 7.0% | | | | |
Emlak Konut Gayrimenkul Yatirim Ortakligi AS(a) | 956,760 | | 287,741 | |
Ozak Gayrimenkul Yatirim Ortakligi(a) | 1,069,002 | | 278,587 | |
Reysas Gayrimenkul Yatirim Ortakligi AS(a) | 381,386 | | 375,189 | |
Torunlar Gayrimenkul Yatirim Ortakligi AS | 261,339 | | 363,448 | |
Yeni Gimat Gayrimenkul Ortakligi AS(a) | 212,429 | | 287,295 | |
| | | 1,592,260 | |
United Kingdom - 1.2% | | | | |
Target Healthcare Real Estate Investment Trust PLC | 285,412 | | 277,463 | |
United States - 59.3%(b) | | | | |
Acadia Realty Trust | 18,920 | | 326,938 | |
American Homes 4 Rent - Class A | 8,231 | | 294,670 | |
Apple Hospitality Real Estate Investment Trust, Inc. | 18,415 | | 271,805 | |
AvalonBay Communities, Inc. | 1,640 | | 310,895 | |
Boston Properties, Inc. | 5,100 | | 315,639 | |
Brandywine Realty Trust | 69,481 | | 315,444 | |
Brixmor Property Group, Inc. | 13,404 | | 296,228 | |
Broadstone Net Lease, Inc. | 20,178 | | 293,792 | |
CareTrust Real Estate Investment Trust, Inc. | 12,534 | | 309,840 | |
Chatham Lodging Trust | 30,360 | | 278,401 | |
Cousins Properties, Inc. | 12,893 | | 295,765 | |
DiamondRock Hospitality Co. | 32,080 | | 285,512 | |
Douglas Emmett, Inc. | 23,817 | | 326,531 | |
EastGroup Properties, Inc. | 1,686 | | 261,937 | |
Elme Communities | 22,900 | | 347,163 | |
Empire State Realty Trust, Inc. - Class A | 31,699 | | 288,461 | |
EPR Properties | 7,073 | | 287,093 | |
Equity Commonwealth(a) | 16,001 | | 299,539 | |
Annual Report | April 30, 2024 47
The accompanying notes are an integral part of these financial statements.
Cambria Global Real Estate ETFSchedule of Investments
April 30, 2024
| Shares |
| Value | |
Real Estate Investments Trusts - 97.0% (continued) | | | | |
United States - 59.3% (continued) | | | | |
Equity Residential | 4,841 | | $311,760 | |
Franklin Street Properties Corp. | 131,348 | | 244,307 | |
Highwoods Properties, Inc. | 12,292 | | 322,050 | |
Host Hotels & Resorts, Inc. | 14,740 | | 278,144 | |
Hudson Pacific Properties, Inc. | 48,901 | | 283,626 | |
Innovative Industrial Properties Real Estate Investment Trust, Inc. | 3,042 | | 314,543 | |
InvenTrust Properties Corp. | 11,965 | | 303,193 | |
Kilroy Realty Corp. | 8,662 | | 292,776 | |
NexPoint Diversified Real Estate Trust | 11 | | 66 | |
Omega Healthcare Investors, Inc. | 9,587 | | 291,541 | |
Orion Office Real Estate Investment Trust, Inc. | 96,922 | | 302,397 | |
Paramount Group, Inc. | 70,208 | | 325,765 | |
Park Hotels & Resorts, Inc. | 17,400 | | 280,662 | |
Pebblebrook Hotel Trust | 18,900 | | 274,617 | |
Piedmont Office Realty Trust, Inc. - Class A | 48,200 | | 332,097 | |
Regency Centers Corp. | 4,915 | | 291,066 | |
Retail Opportunity Investments Corp. | 23,465 | | 287,916 | |
Rexford Industrial Realty, Inc. | 5,700 | | 244,017 | |
RLJ Lodging Trust | 25,300 | | 278,300 | |
Sabra Health Care Real Estate Investment Trust, Inc. | 21,786 | | 303,261 | |
Saul Centers, Inc. | 7,853 | | 285,928 | |
SITE Centers Corp. | 21,604 | | 291,438 | |
STAG Industrial, Inc. | 8,009 | | 275,430 | |
Sunstone Hotel Investors, Inc. | 26,613 | | 271,453 | |
Tanger, Inc. | 10,040 | | 284,634 | |
Vornado Realty Trust | 12,071 | | 314,208 | |
Welltower, Inc. | 3,251 | | 309,755 | |
Whitestone Real Estate Investment Trust | 25,091 | | 288,547 | |
| | | 20,289,150 | |
Total Real Estate Investment Trusts | | | 21,740,124 | |
| | | |
| Shares |
| Value | |
Short-Term Investments - 2.3% | | | | |
Money Market Funds - 2.3% | | | | |
First American Treasury Obligations Fund - Class X, 5.21%(c) | 510,923 | | $510,923 | |
| | | | |
Total Short-Term Investments | | | 510,923 | |
| | | | |
Total Investments - 99.3% | | | 22,251,047 | |
Other Assets in Excess of Liabilities - 0.7% | | | 159,910 | |
Total Net Assets - 100.0% | | | $22,410,957 | |
Percentages are stated as a percent of net assets. | |
AS - Turkish Joint Stock Company
NV - Naamloze Vennootschap
SA - Sociedad Anónima
SA de CV - Mexican Public Limited Company with Variable Capital
S de RL de CV – Mexican Limited Responsibility Corporation with Variable Capital
(a)Non-income producing security.
(b)To the extent that the Fund invests a significant portion of its assets in securities of companies of a single country or region, it is more likely to be impacted by events or conditions affecting the country or region.
(c)The rate shown represents the 7-day effective yield as of April 30, 2024.
48www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Sector Weightings | | |
Common Stocks | | |
Financials | 24.0% | |
Industrials | 21.2% | |
Consumer Discretionary | 16.1% | |
Energy | 14.4% | |
Materials | 5.2% | |
Communication Services | 4.9% | |
Information Technology | 2.7% | |
Health Care | 2.0% | |
Consumer Staples | 2.0% | |
Utilities | 1.1% | |
Closed End Funds | 6.4% | |
| 100.0% | |
Percentages are stated as a percent of total investments, excluding short-term investments.
| Shares |
| Value | |
Common Stocks - 92.2% | | | | |
Communication Services - 4.8% | | | | |
Nexstar Media Group, Inc. | 1,604 | | $256,736 | |
Scholastic Corp. | 7,099 | | 252,867 | |
Sinclair, Inc. | 21,623 | | 265,963 | |
Spok Holdings, Inc. | 17,119 | | 264,489 | |
TEGNA, Inc. | 18,792 | | 256,323 | |
| | | 1,296,378 | |
Consumer Discretionary - 15.9% | | | | |
Academy Sports & Outdoors, Inc. | 4,128 | | 240,662 | |
Asbury Automotive Group, Inc.(a) | 1,201 | | 252,498 | |
Buckle, Inc. | 6,990 | | 261,356 | |
Carter’s, Inc. | 3,297 | | 225,548 | |
Ethan Allen Interiors, Inc. | 8,084 | | 228,292 | |
Foot Locker, Inc. | 10,076 | | 210,085 | |
KB Home | 3,946 | | 255,543 | |
Landsea Homes Corp.(a) | 19,837 | | 229,117 | |
ODP Corp.(a) | 5,229 | | 266,209 | |
Patrick Industries, Inc. | 2,329 | | 243,357 | |
Perdoceo Education Corp. | 15,320 | | 280,356 | |
Solo Brands, Inc. - Class A(a) | 132,601 | | 249,290 | |
Steven Madden Ltd. | 6,676 | | 269,777 | |
Sturm Ruger & Co., Inc. | 5,890 | | 272,296 | |
Travel + Leisure Co. | 5,697 | | 248,047 | |
Under Armour, Inc. - Class C(a) | 39,271 | | 256,047 | |
Upbound Group, Inc. | 7,739 | | 239,986 | |
| | 4,228,466 | |
| Shares |
| Value | |
Common Stocks - 92.2% (continued) | | | | |
Consumer Staples - 2.0% | | | | |
Cal-Maine Foods, Inc. | 4,593 | | $254,131 | |
Edgewell Personal Care Co. | 7,185 | | 270,299 | |
| | | 524,430 | |
Energy - 14.1% | | | | |
Berry Corp. | 34,368 | | 291,784 | |
California Resources Corp. | 5,067 | | 267,842 | |
CNX Resources Corp.(a) | 11,713 | | 275,490 | |
CONSOL Energy, Inc. | 3,379 | | 279,646 | |
CVR Energy, Inc. | 7,629 | | 231,769 | |
Dorian LPG Ltd. | 7,355 | | 303,909 | |
Gulfport Energy Corp.(a) | 1,707 | | 270,918 | |
Helmerich & Payne, Inc. | 6,523 | | 256,550 | |
International Seaways, Inc. | 5,152 | | 284,854 | |
Liberty Energy, Inc. | 13,384 | | 294,448 | |
Newpark Resources, Inc.(a) | 37,376 | | 259,389 | |
Overseas Shipholding Group, Inc. – Class A | 43,042 | | 261,695 | |
Peabody Energy Corp. | 11,475 | | 251,762 | |
SM Energy Co. | 5,530 | | 268,150 | |
| | | 3,798,206 | |
Financials - 23.6% | | | | |
American Equity Investment Life Holding Co. | 4,827 | | 270,843 | |
Bancorp, Inc.(a) | 8,513 | | 254,879 | |
Brighthouse Financial, Inc.(a) | 5,445 | | 262,721 | |
Cathay General Bancorp | 7,257 | | 249,931 | |
CNO Financial Group, Inc. | 10,024 | | 263,932 | |
Employers Holdings, Inc. | 6,066 | | 258,351 | |
Enact Holdings, Inc. | 8,896 | | 264,478 | |
First Busey Corp. | 11,743 | | 262,339 | |
Genworth Financial, Inc.(a) | 42,974 | | 254,836 | |
Horace Mann Educators Corp. | 7,518 | | 277,113 | |
International Bancshares Corp. | 5,014 | | 279,029 | |
Jackson Financial, Inc. – Class A | 4,185 | | 285,918 | |
Lincoln National Corp. | 8,841 | | 241,094 | |
Marqeta, Inc. - Class A(a) | 46,234 | | 256,599 | |
MGIC Investment Corp. | 12,464 | | 252,770 | |
Mr Cooper Group, Inc.(a) | 3,568 | | 275,450 | |
Navient Corp. | 15,779 | | 237,001 | |
Pathward Financial, Inc. | 5,489 | | 276,481 | |
PROG Holdings, Inc. | 7,959 | | 264,557 | |
Radian Group, Inc. | 8,328 | | 248,757 | |
SLM Corp. | 12,782 | | 270,851 | |
Universal Insurance Holdings, Inc. | 13,771 | | 268,810 | |
Westamerica BanCorp | 5,740 | | 267,197 | |
Western Union Co. | 19,764 | | 265,628 | |
| | | 6,309,565 | |
Annual Report | April 30, 2024 49
The accompanying notes are an integral part of these financial statements.
Cambria Micro and SmallCap Shareholder Yield ETFSchedule of Investments
April 30, 2024
| Shares |
| Value | |
Common Stocks - 92.2% (continued) | | | | |
Health Care - 2.0% | | | | |
Innoviva, Inc.(a) | 17,976 | | $271,618 | |
Patterson Cos., Inc. | 10,020 | | 255,209 | |
| | | 526,827 | |
Industrials - 20.9% | | | | |
ACCO Brands Corp. | 48,465 | | 233,601 | |
Apogee Enterprises, Inc. | 4,599 | | 284,126 | |
Atkore, Inc. | 1,486 | | 260,496 | |
Brady Corp. - Class A | 4,593 | | 270,987 | |
Deluxe Corp. | 13,351 | | 263,682 | |
Encore Wire Corp. | 1,101 | | 307,575 | |
Genco Shipping & Trading Ltd. | 13,688 | | 292,102 | |
GMS, Inc.(a) | 2,824 | | 261,276 | |
Greenbrier Cos., Inc. | 5,354 | | 264,434 | |
HireRight Holdings Corp.(a) | 19,002 | | 271,729 | |
Insteel Industries, Inc. | 7,351 | | 235,967 | |
Kelly Services, Inc. - Class A | 10,925 | | 250,620 | |
Kennametal, Inc. | 11,182 | | 263,112 | |
ManpowerGroup, Inc. | 3,640 | | 274,638 | |
Matson, Inc. | 2,489 | | 268,264 | |
MillerKnoll, Inc. | 9,036 | | 229,785 | |
Pangaea Logistics Solutions Ltd. | 39,936 | | 287,539 | |
Proto Labs, Inc.(a) | 7,796 | | 237,622 | |
REV Group, Inc. | 13,654 | | 298,476 | |
SkyWest, Inc.(a) | 3,953 | | 288,688 | |
Wabash National Corp. | 9,487 | | 219,245 | |
| | | 5,563,964 | |
Information Technology - 2.8% | | | | |
DXC Technology Co.(a) | 13,068 | | 254,695 | |
Immersion Corp. | 35,262 | | 256,355 | |
Xerox Holdings Corp. | 15,303 | | 203,377 | |
| | | 714,427 | |
Materials - 5.1% | | | | |
Alpha Metallurgical Resources, Inc. | 854 | | 279,360 | |
Kronos Worldwide, Inc. | 22,739 | | 260,362 | |
LSB Industries, Inc.(a) | 33,560 | | 312,108 | |
Ryerson Holding Corp. | 8,468 | | 241,761 | |
Sylvamo Corp. | 4,428 | | 276,750 | |
| | | 1,370,341 | |
Utilities - 1.0% | | | | |
ALLETE, Inc. | 4,690 | | 277,742 | |
Total Common Stocks | | | 24,610,346 | |
| Shares |
| Value | |
Closed End Funds - 6.3% | | | | |
Bain Capital Specialty Finance, Inc. | 16,916 | | $281,313 | |
BlackRock TCP Capital Corp. | 26,520 | | 267,322 | |
Carlyle Secured Lending, Inc. | 16,514 | | 283,545 | |
CION Investment Corp. | 25,178 | | 287,785 | |
Goldman Sachs BDC, Inc. | 17,682 | | 274,778 | |
PennantPark Investment Corp. | 40,232 | | 286,452 | |
Total Closed End Funds | | | 1,681,195 | |
| | | | |
Short-Term Investments - 1.4% | | | | |
Money Market Funds - 1.4% | | | | |
First American Treasury Obligations Fund - Class X, 5.21%(b) | 373,916 | | 373,916 | |
Total Short-Term Investments | | | 373,916 | |
| | | | |
Total Investments - 99.9% | | | 26,665,457 | |
Other Assets in Excess of Liabilities - 0.1% | | | 19,466 | |
Total Net Assets - 100.0% | | | $26,684,923 | |
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 April 30, 2024.
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
50www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Sector Weightings | | |
Government | 100.0% | |
| 100.0% | |
Percentages based on total investments, excluding money market funds.
| Shares |
| Value | |
Short-Term Investments - 99.9% | | | | |
Money Market Funds - 0.4% | | | | |
First American Treasury Obligations Fund - Class X, 5.21%(a) | 56,495 | | $56,495 | |
| | | | |
| Par |
| Value | |
U.S. Treasury Bills - 99.5% | | |
| |
5.28%, 06/13/2024(b) | $4,620,000 | | 4,590,948 | |
5.00%, 10/31/2024(b) | 4,730,000 | | 4,605,932 | |
5.15%, 03/20/2025(b) | 4,820,000 | | 4,603,402 | |
| | | 13,800,282 | |
Total Short-Term Investments | | | 13,856,777 | |
| | | | |
Total Investments - 99.9% | | | 13,856,777 | |
Other Assets in Excess of Liabilities - 0.1% | | | 13,701 | |
Total Net Assets - 100.0% | | | $13,870,478 | |
Percentages are stated as a percent of net assets. | |
(a)The rate shown represents the 7-day effective yield as of April 30, 2024.
(b)The rate shown is the effective yield as of April 30, 2024.
Annual Report | April 30, 2024 51
The accompanying notes are an integral part of these financial statements.
| Cambria | Cambria | Cambria | Cambria | ||||
Assets: | | | | | | | | |
Unaffiliated investments, at value* | $1,194,124,421 | | $276,124,657 | | $104,923,860 | | $54,309,857 | |
Affiliated investments, at value | — | | — | | — | | 82,526,364 | |
Cash and cash equivalents | — | | 157 | | 130,186 | | — | |
Receivable for investments sold | — | | — | | 635,791 | | 1,396,661 | |
Receivable for fund shares sold | 6,980,175 | | 1,339,590 | | — | | — | |
Dividends and interest receivable | 1,228,098 | | 2,756,982 | | 560,500 | | 5,847 | |
Reclaim receivable | 14,637 | | 519,288 | | 465,341 | | — | |
Securities lending income receivable | 1,100 |
| 3,190 |
| — |
| — |
|
Total assets | 1,202,348,431 |
| 280,743,864 |
| 106,715,678 |
| 138,238,729 |
|
| | | | | | | | |
Liabilities: | | | | | | | | |
Payable to investment adviser | 590,108 | | 129,797 | | 55,125 | | 68,501 | |
Payable upon return of securities loaned | 12,582,845 | | 7,357,219 | | — | | — | |
Payable for investments purchased | 6,912,964 | | 1,318,196 | | 1,805,169 | | — | |
Payable for fund shares redeemed | — |
| — |
| — |
| 1,409,900 |
|
Custodian fees | — |
| — |
| 7,286 |
| — |
|
Total liabilities | 20,085,917 |
| 8,805,212 |
| 1,867,580 |
| 1,478,401 |
|
| | | | | | | | |
Net Assets | $1,182,262,514 |
| $271,938,652 |
| $104,848,098 |
| $136,760,328 |
|
| | | | | | | | |
Net Assets Consists of: | | | | | | | | |
Paid-in capital | $1,238,026,950 | | $272,292,900 | | $145,101,925 | | $148,156,612 | |
Total distributable (accumulated) earnings (losses) | (55,764,436 | ) | (354,248 | ) | (40,253,827 | ) | (11,396,284 | ) |
| | | | | | | | |
Net Assets | $1,182,262,514 |
| $271,938,652 |
| $104,848,098 |
| $136,760,328 |
|
| | | | | | | | |
Net Asset Value | | | | | | | | |
Outstanding shares of beneficial interest | 17,150,000 | | 10,150,010 | | 4,850,010 | | 4,850,001 | |
Net asset value, offering and redemption price per share | $68.94 | | $26.79 | | $21.62 | | $28.20 | |
| | | | | | | | |
Unaffiliated investments at cost | $1,195,949,345 | | $260,589,450 | | $114,937,590 | | $51,400,424 | |
Affiliated investments at cost | $— | | $— | | $— | | $74,958,230 | |
*Includes value of securities on loan | $11,904,696 | | $6,797,236 | | $— | | $— | |
52www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria ETF TrustStatements of Assets and Liabilities
April 30, 2024
| Cambria | Cambria | Cambria | Cambria | ||||
Assets: | | | | | | | | |
Unaffiliated investments, at value* | $30,873,787 | | $59,169,384 | | $2,406,051 | | $353,164,833 | |
Affiliated investments, at value | 25,093,102 | | — | | — | | — | |
Cash and cash equivalents | — | | — | | 7,200 | | 244,558 | |
Foreign currency, at value | — | | — | | 5,209 | | — | |
Dividends and interest receivable | 456 | | 34,515 | | 574 | | 758,154 | |
Reclaims receivable | — | | — | | 11,154 | | 126,090 | |
Securities lending income receivable | 1,050 | | 21 | | — | | — | |
Variation margin | — | | 444,000 | | — | | — | |
Deposits with broker | — |
| 2,604,985 |
| 55,876 |
| — |
|
Total assets | 55,968,395 |
| 62,252,905 |
| 2,486,064 |
| 354,293,635 |
|
| | | | | | | | |
Liabilities: | | | | | | | | |
Payable to investment adviser | — | | 31,256 | | — | | 163,510 | |
Payable upon return of securities loaned | 2,337,750 | | 472,450 | | — | | — | |
Deferred foreign capital gains tax payable | — | | — | | — | | 1,346,468 | |
Custodian fees | — |
| — |
| — |
| 8,603 |
|
Total liabilities | 2,337,750 |
| 503,706 |
| — |
| 1,518,581 |
|
| | | | | | | | |
Net Assets | $53,630,645 |
| $61,749,199 |
| $2,486,064 |
| $352,775,054 |
|
| | | | | | | | |
Net Assets Consists of: | | | | | | | | |
Paid-in capital | $54,102,738 | | $85,842,732 | | $4,104,352 | | $317,888,813 | |
Total distributable (accumulated) earnings (losses) | (472,093 | ) | (24,093,533 | ) | (1,618,288 | ) | 34,886,241 |
|
| | | | | | | | |
Net Assets | $53,630,645 |
| $61,749,199 |
| $2,486,064 |
| $352,775,054 |
|
| | | | | | | | |
Net Asset Value | | | | | | | | |
Outstanding shares of beneficial interest | 1,900,001 | | 2,150,004 | | 150,000 | | 10,350,004 | |
Net asset value, offering and redemption price per share | $28.23 | | $28.72 | | $16.57 | | $34.08 | |
| | | | | | | | |
Unaffiliated investments at cost | $32,198,509 | | $54,443,477 | | $2,633,009 | | $313,006,793 | |
Affiliated investments at cost | $23,351,018 | | $— | | $— | | $— | |
Cost of foreign currency | $— | | $— | | $16,315 | | $— | |
*Includes value of securities on loan | $2,270,888 | | $456,301 | | $— | | $— | |
Annual Report | April 30, 2024 53
The accompanying notes are an integral part of these financial statements.
Cambria ETF TrustStatements of Assets and Liabilities
April 30, 2024
| Cambria | Cambria | Cambria | Cambria | ||||
Assets: | | | | | | | | |
Unaffiliated investments, at value* | $80,003,278 | | $54,169,718 | | $9,388,210 | | $22,251,047 | |
Affiliated investments, at value | — | | 56,900,214 | | — | | — | |
Cash and cash equivalents | — | | — | | — | | — | |
Receivable for swap contracts | — | | — | | 425,581 | | — | |
Dividends and interest receivable | 1,486,765 | | 880 | | 24,289 | | 120,412 | |
Reclaim receivable | — | | — | | — | | 24,698 | |
Securities lending income receivable | — | | 1,105 | | 2,644 | | — | |
Deposits with broker | 649,006 |
| — |
| 1,320,000 |
| 14,800 |
|
Total assets | 82,139,049 |
| 111,071,917 |
| 11,160,724 |
| 22,410,957 |
|
| | | | | | | | |
Liabilities: | | | | | | | | |
Payable to investment adviser | 41,104 | | — | | — | | — | |
Payable upon return of securities loaned | — |
| 3,960,925 |
| — |
| — |
|
Total liabilities | 41,104 |
| 3,960,925 |
| — |
| — |
|
| | | | | | | | |
Net Assets | $82,097,945 |
| $107,110,992 |
| $11,160,724 |
| $22,410,957 |
|
| | | | | | | | |
Net Assets Consists of: | | | | | | | | |
Paid-in capital | $262,404,541 | | $108,223,223 | | $34,636,801 | | $27,558,133 | |
Total distributable (accumulated) earnings (losses) | (180,306,596 | ) | (1,112,231 | ) | (23,476,077 | ) | (5,147,176 | ) |
| | | | | | | | |
Net Assets | $82,097,945 |
| $107,110,992 |
| $11,160,724 |
| $22,410,957 |
|
| | | | | | | | |
Net Asset Value | | | | | | | | |
Outstanding shares of beneficial interest | 6,950,002 | | 4,200,002 | | 1,650,002 | | 950,002 | |
Net asset value, offering and redemption price per share | $11.81 | | $25.50 | | $6.76 | | $23.59 | |
| | | | | | | | |
Unaffiliated investments at cost | $89,748,676 | | $54,226,993 | | $17,579,065 | | $22,666,290 | |
Affiliated investments at cost | $— | | $52,456,854 | | $— | | $— | |
*Includes value of securities on loan | $— | | $3,798,487 | | $— | | $— | |
54www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria ETF TrustStatements of Assets and Liabilities
April 30, 2024
| Cambria | Cambria | ||
Assets: | | | | |
Unaffiliated investments, at value | $26,665,457 | | $13,856,777 | |
Dividends and interest receivable | 19,466 |
| 13,701 |
|
Total assets | 26,684,923 |
| 13,870,478 |
|
| | | | |
Liabilities: | | | | |
Total liabilities | — | (b) | — | (b) |
| | | | |
Net Assets | $26,684,923 |
| $13,870,478 |
|
| | | | |
Net Assets Consists of: | | | | |
Paid-in capital | $26,146,140 | | $13,808,495 | |
Total distributable (accumulated) earnings (losses) | 538,783 |
| 61,983 |
|
| | | | |
Net Assets | $26,684,923 |
| $13,870,478 |
|
| | | | |
Net Asset Value | | | | |
Outstanding shares of beneficial interest | 1,050,000 | | 550,000 | |
Net asset value, offering and redemption price per share | $25.41 | | $25.22 | |
| | | | |
Unaffiliated investments at cost | $26,327,479 | | $13,868,825 | |
(a)Inception Date January 4, 2024.
(b)As of April 30, 2024, the Fund had no liabilities.
Annual Report | April 30, 2024 55
The accompanying notes are an integral part of these financial statements.
| Cambria | Cambria | Cambria | Cambria | ||||
Investment Income: | | | | | | | | |
Dividend income from unaffiliated investments | $23,509,503 | | $14,116,224 | | $7,601,791 | | $2,139,169 | |
Dividend income from affiliated investments | — | | — | | — | | 3,758,306 | |
Less: Dividend withholding taxes | — | | (1,420,059 | ) | (831,897 | ) | — | |
Interest income | 339,898 | | 201,635 | | 234,907 | | 73,184 | |
Securities lending income | 38,084 |
| 62,459 |
| 14,241 |
| 91,957 |
|
Total investment income | 23,887,485 |
| 12,960,259 |
| 7,019,042 |
| 6,062,616 |
|
| | | | | | | | |
Expenses: | | | | | | | | |
Management fees | 5,443,898 | | 1,311,347 | | 715,705 | | 902,819 | |
Custodian fees | — |
| — |
| 61,976 |
| — |
|
Total expenses | 5,443,898 | | 1,311,347 | | 777,681 | | 902,819 | |
Waiver of management fees | — |
| — |
| — |
| — |
|
Net expenses | 5,443,898 |
| 1,311,347 |
| 777,681 |
| 902,819 |
|
Net Investment Income | 18,443,587 |
| 11,648,912 |
| 6,241,361 |
| 5,159,797 |
|
| | | | | | | | |
Net Realized and Unrealized Gain (Loss) on Investments and | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | |
Unaffiliated investments | 122,901,059 | | 810,435 | | 2,567,294 | | (3,104,609 | ) |
Affiliated investments | — | | — | | — | | (1,424,099 | ) |
Foreign currency transactions | — |
| (104,417 | ) | (152,497 | ) | — |
|
Net realized gain (loss) | 122,901,059 |
| 706,018 |
| 2,414,797 |
| (4,528,708 | ) |
| | | | | | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | |
Unaffiliated investments(a) | 31,772,065 | | 15,534,146 | | 571,914 | | (724,674 | ) |
Affiliated investments(a) | — | | — | | — | | 5,330,360 | |
Foreign currency translations | (185 | ) | (57,499 | ) | (5,020 | ) | — |
|
Net change in unrealized appreciation (depreciation) | 31,771,880 |
| 15,476,647 |
| 566,894 |
| 4,605,686 |
|
Net realized and unrealized gain (loss) on investments and foreign currency | 154,672,939 |
| 16,182,665 |
| 2,981,691 |
| 76,978 |
|
Net Increase (Decrease) in Net Assets Resulting | $173,116,526 |
| $27,831,577 |
| $9,223,052 |
| $5,236,775 |
|
(a)Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements).
56www.cambriafunds.com
Cambria ETF TrustStatements of Operations
For the Year or Period Ended April 30, 2024
The accompanying notes are an integral part of these financial statements.
| Cambria | Cambria | Cambria | Cambria | ||||
Investment Income: | | | | | | | | |
Dividend income from unaffiliated investments | $991,187 | | $868,589 | | $88,402 | | $13,742,226 | |
Dividend income from affiliated investments | 895,432 | | — | | — | | — | |
Less: Dividend withholding taxes | — | | — | | — | | (1,874,617 | ) |
Interest income | 26,535 | | 98,374 | | 37,410 | | 332,323 | |
Securities lending income | 26,499 |
| 7 |
| 335 |
| 6,625 |
|
Total investment income | 1,939,653 |
| 966,970 |
| 126,147 |
| 12,206,557 |
|
| | | | | | | | |
Expenses: | | | | | | | | |
Management fees | — | | 361,069 | | 19,129 | | 1,375,996 | |
Custodian fees | — | | — | | — | | 96,479 | |
Broker fees | — |
| 32,242 |
| 963 |
| — |
|
Total expenses | — | | 393,311 | | 20,092 | | 1,472,475 | |
Waiver of management fees | — |
| — |
| (2,503 | ) | — |
|
Net expenses | — |
| 393,311 |
| 17,589 |
| 1,472,475 |
|
Net Investment Income | 1,939,653 |
| 573,659 |
| 108,558 |
| 10,734,082 |
|
| | | | | | | | |
Net Realized and Unrealized Gain (Loss) on Investments and | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | |
Unaffiliated investments(a) | (709,283 | ) | 11,017,370 | | (695,489 | ) | (157,370 | ) |
Affiliated investments(a) | 435,875 | | — | | — | | — | |
Foreign currency transactions | — | | — | | 71 | | (274,190 | ) |
Futures contracts | — |
| (7,712,988 | ) | — |
| — |
|
Net realized gain (loss) | (273,408 | ) | 3,304,382 |
| (695,418 | ) | (431,560 | ) |
| | | | | | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | |
Unaffiliated investments | 932,257 | | 4,646,561 | | 196,669 | | 50,776,454 | |
Affiliated investments | 1,625,133 | | — | | — | | — | |
Foreign currency translations | — | | — | | (9,125 | ) | (15,005 | ) |
Futures contracts | — |
| 1,997,081 |
| — |
| — |
|
Foreign capital gains tax | — |
| — |
| — |
| (1,050,865 | ) |
Net change in unrealized appreciation (depreciation) | 2,557,390 |
| 6,643,642 |
| 187,544 |
| 49,710,584 |
|
Net realized and unrealized gain (loss) on investments and foreign currency | 2,283,982 |
| 9,948,024 |
| (507,874 | ) | 49,279,024 |
|
Net Increase (Decrease) in Net Assets Resulting | $4,223,635 |
| $10,521,683 |
| $(399,316 | ) | $60,013,106 |
|
(a)Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements).
Cambria ETF TrustStatements of Operations
For the Year or Period Ended April 30, 2024
Annual Report | April 30, 2024 57
The accompanying notes are an integral part of these financial statements.
| Cambria | Cambria | Cambria | Cambria | ||||
Investment Income: | | | | | | | | |
Dividend income from unaffiliated investments | $— | | $1,973,161 | | $365,282 | | $1,155,279 | |
Dividend income from affiliated investments | — | | 2,237,167 | | — | | — | |
Less: Dividend withholding taxes | — | | — | | — | | (103,156 | ) |
Interest income | 5,319,512 | | 79,061 | | 55,656 | | 23,249 | |
Securities lending income | — |
| 18,730 |
| 14,483 |
| 490 |
|
Total investment income | 5,319,512 |
| 4,308,119 |
| 435,421 |
| 1,075,862 |
|
| | | | | | | | |
Expenses: | | | | | | | | |
Management fees | 825,641 |
| — |
| 59,588 |
| 136,983 |
|
Total expenses | 825,641 | | — | | 59,588 | | 136,983 | |
Waiver of management fees | — |
| — |
| (24,162 | ) | (22,527 | ) |
Net expenses | 825,641 |
| — |
| 35,426 |
| 114,456 |
|
Net Investment Income | 4,493,871 |
| 4,308,119 |
| 399,995 |
| 961,406 |
|
| | | | | | | | |
Net Realized and Unrealized Gain (Loss) on Investments and | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | |
Unaffiliated investments(a) | (30,375,217 | ) | (2,745,570 | ) | (9,513,683 | ) | (849,966 | ) |
Affiliated investments(a) | — | | (251,118 | ) | — | | — | |
Foreign currency transactions | — | | — | | (523 | ) | (21,317 | ) |
Swap contracts | — |
| — |
| 596,938 |
| — |
|
Net realized gain (loss) | (30,375,217 | ) | (2,996,688 | ) | (8,917,268 | ) | (871,283 | ) |
| | | | | | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | |
Unaffiliated investments | (637,232 | ) | 1,166,645 | | 9,761,370 | | 583,789 | |
Affiliated investments | — | | 5,101,302 | | — | | — | |
Foreign currency translations | — | | — | | (1,344 | ) | (573 | ) |
Swap contracts | — |
| — |
| — |
| — |
|
Net change in unrealized appreciation (depreciation) | (637,232 | ) | 6,267,947 |
| 9,760,026 |
| 583,216 |
|
Net realized and unrealized gain (loss) on investments and foreign currency | (31,012,449 | ) | 3,271,259 |
| 842,758 |
| (288,067 | ) |
Net Increase (Decrease) in Net Assets Resulting | $(26,518,578 | ) | $7,579,378 |
| $1,242,753 |
| $673,339 |
|
(a)Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements).
58www.cambriafunds.com
Cambria ETF TrustStatements of Operations
For the Year or Period Ended April 30, 2024
The accompanying notes are an integral part of these financial statements.
| Cambria | Cambria | ||
Investment Income: | | | | |
Dividend income from unaffiliated investments | $208,241 | | $— | |
Interest income | 9,551 |
| 143,240 |
|
Total investment income | 217,792 |
| 143,240 |
|
| | | | |
Expenses: | | | | |
Management fees | 40,180 |
| 16,175 |
|
Total expenses | 40,180 | | 16,175 | |
Waiver of management fees | (26,300 | ) | (11,198 | ) |
Net expenses | 13,880 |
| 4,977 |
|
Net Investment Income | 203,912 |
| 138,263 |
|
| | | | |
Net Realized and Unrealized Gain (Loss) on Investments and | | | | |
Net realized gain (loss) from: | | | | |
Unaffiliated investments(b) | 169,996 |
| — |
|
Net realized gain (loss) | 169,996 |
| — |
|
| | | | |
Net change in unrealized appreciation (depreciation) on: | | | | |
Unaffiliated investments | 337,978 |
| (12,048 | ) |
Net change in unrealized appreciation (depreciation) | 337,978 |
| (12,048 | ) |
Net realized and unrealized gain (loss) on investments and foreign currency | 507,974 |
| (12,048 | ) |
Net Increase (Decrease) in Net Assets Resulting | $711,886 |
| $126,215 |
|
(a)Inception Date January 4, 2024.
(b)Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements).
Annual Report | April 30, 2024 59
The accompanying notes are an integral part of these financial statements.
| Cambria | Cambria | ||||||
| Year Ended | Year Ended | Year Ended | Year Ended | ||||
Operations: | | | | | | | | |
Net investment income | $18,443,587 | | $15,537,282 | | $11,648,912 | | $6,610,333 | |
Net realized gain (loss) from investments and foreign currency(a) | 122,901,059 | | (11,730,307 | ) | 706,018 | | (3,444,366 | ) |
Net change in unrealized appreciation (depreciation) on investments and translation of assets and liabilities in foreign currencies | 31,771,880 |
| (22,392,723 | ) | 15,476,647 |
| 1,928,741 |
|
Net increase (decrease) in net assets from operations | 173,116,526 |
| (18,585,748 | ) | 27,831,577 |
| 5,094,708 |
|
| | | | | | | | |
Distributions to Shareholders: | | | | | | | | |
Net distributions to shareholders | (18,189,105 | ) | (18,508,788 | ) | (12,160,168 | ) | (5,789,832 | ) |
| | | | | | | | |
Capital Transactions: | | | | | | | | |
Issued | 751,168,272 | | 322,449,091 | | 145,835,241 | | 121,594,482 | |
Redeemed | (441,887,187 | ) | (81,834,941 | ) | (77,228,721 | ) | — | |
Transaction Fees (Note 2) | — |
| — |
| 6,392 |
| — |
|
Net increase (decrease) in net assets from | 309,281,085 |
| 240,614,150 |
| 68,612,912 |
| 121,594,482 |
|
Total net increase (decrease) in net assets | 464,208,506 |
| 203,519,614 |
| 84,284,321 |
| 120,899,358 |
|
| | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of the year or period | 718,054,008 |
| 514,534,394 |
| 187,654,331 |
| 66,754,973 |
|
End of the year or period | $1,182,262,514 |
| $718,054,008 |
| $271,938,652 |
| $187,654,331 |
|
| | | | | | | | |
Share Transactions | | | | | | | | |
Issued | 11,000,000 | | 5,300,000 | | 5,800,000 | | 4,900,000 | |
Redeemed | (6,200,000 | ) | (1,400,000 | ) | (3,100,000 | ) | — |
|
Net increase (decrease) in shares outstanding from share transactions | 4,800,000 |
| 3,900,000 |
| 2,700,000 |
| 4,900,000 |
|
(a)Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements).
60www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria ETF TrustStatements of Changes in Net Assets
| Cambria | Cambria | ||||||
| Year Ended | Year Ended | Year Ended | Year Ended | ||||
Operations: | | | | | | | | |
Net investment income | $6,241,361 | | $5,746,579 | | $5,159,797 | | $3,365,641 | |
Net realized gain (loss) from investments and foreign currency(a) | 2,414,797 | | 3,279,818 | | (4,528,708 | ) | (12,035,915 | ) |
Net change in unrealized appreciation (depreciation) on investments and translation of assets and liabilities in foreign currencies | 566,894 |
| 790,033 |
| 4,605,686 |
| (1,852,719 | ) |
Net increase (decrease) in net assets from operations | 9,223,052 |
| 9,816,430 |
| 5,236,775 |
| (10,522,993 | ) |
| | | | | | | | |
Distributions to Shareholders: | | | | | | | | |
Distributions to shareholders | (7,413,483 | ) | (5,123,088 | ) | (4,864,989 | ) | (3,308,682 | ) |
Return of capital | — |
| — |
| (90,620 | ) | — |
|
Net distributions to shareholders | (7,413,483 | ) | (5,123,088 | ) | (4,955,609 | ) | (3,308,682 | ) |
| | | | | | | | |
Capital Transactions: | | | | | | | | |
Issued | 23,355,325 | | 45,063,719 | | 5,410,020 | | 134,679,294 | |
Redeemed | (58,332,382 | ) | (14,165,016 | ) | (46,883,221 | ) | (24,457,816 | ) |
Transaction Fees (Note 2) | 37,210 |
| — |
| — |
| — |
|
Net increase (decrease) in net assets from | (34,939,847 | ) | 30,898,703 |
| (41,473,201 | ) | 110,221,478 |
|
Total net increase (decrease) in net assets | (33,130,278 | ) | 35,592,045 |
| (41,192,035 | ) | 96,389,803 |
|
| | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of the year or period | 137,978,376 |
| 102,386,331 |
| 177,952,363 |
| 81,562,560 |
|
End of the year or period | $104,848,098 |
| $137,978,376 |
| $136,760,328 |
| $177,952,363 |
|
| | | | | | | | |
Share Transactions | | | | | | | | |
Issued | 1,100,000 | | 2,400,000 | | 200,000 | | 4,600,000 | |
Redeemed | (2,900,000 | ) | (750,000 | ) | (1,700,000 | ) | (850,000 | ) |
Net increase (decrease) in shares outstanding from share transactions | (1,800,000 | ) | 1,650,000 |
| (1,500,000 | ) | 3,750,000 |
|
(a)Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements).
Annual Report | April 30, 2024 61
The accompanying notes are an integral part of these financial statements.
Cambria ETF TrustStatements of Changes in Net Assets
| Cambria | Cambria | ||||||
| Year Ended | Year Ended | Year Ended | Year Ended | ||||
Operations: | | | | | | | | |
Net investment income | $1,939,653 | | $1,881,940 | | $573,659 | | $1,773,188 | |
Net realized gain (loss) from investments, futures contracts and foreign currency(a) | (273,408 | ) | 147,886 | | 3,332,643 | | (4,526,032 | ) |
Net change in unrealized appreciation (depreciation) on investments, futures contracts and translation of assets and liabilities in foreign currencies | 2,557,390 |
| (2,859,609 | ) | 6,615,381 |
| (5,164,142 | ) |
Net increase (decrease) in net assets from operations | 4,223,635 |
| (829,783 | ) | 10,521,683 |
| (7,916,986 | ) |
| | | | | | | | |
Distributions to Shareholders: | | | | | | | | |
Net distributions to shareholders | (1,918,316 | ) | (2,092,946 | ) | (592,601 | ) | (1,755,804 | ) |
| | | | | | | | |
Capital Transactions: | | | | | | | | |
Issued | 6,801,606 | | 9,647,654 | | 39,441,240 | | 110,716,425 | |
Redeemed | (6,748,017 | ) | (1,386,118 | ) | (51,657,478 | ) | (68,475,916 | ) |
Net increase (decrease) in net assets from | 53,589 |
| 8,261,536 |
| (12,216,238 | ) | 42,240,509 |
|
Total net increase (decrease) in net assets | 2,358,908 |
| 5,338,807 |
| (2,287,156 | ) | 32,567,719 |
|
| | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of the year or period | 51,271,737 |
| 45,932,930 |
| 64,036,355 |
| 31,468,636 |
|
End of the year or period | $53,630,645 |
| $51,271,737 |
| $61,749,199 |
| $64,036,355 |
|
| | | | | | | | |
Share Transactions | | | | | | | | |
Issued | 250,000 | | 350,000 | | 1,400,000 | | 4,100,000 | |
Redeemed | (250,000 | ) | (50,000 | ) | (1,850,000 | ) | (2,700,000 | ) |
Net increase (decrease) in shares outstanding from share transactions | — |
| 300,000 |
| (450,000 | ) | 1,400,000 |
|
(a)Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements).
62www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria ETF TrustStatements of Changes in Net Assets
| Cambria | Cambria | ||||||
| Year Ended | Year Ended | Year Ended | Year Ended | ||||
Operations: | | | | | | | | |
Net investment income | $108,558 | | $104,943 | | $10,734,082 | | $7,748,342 | |
Net realized gain (loss) from investments and foreign currency(a) | (695,418 | ) | (974,611 | ) | (431,560 | ) | (4,093,037 | ) |
Net change in unrealized appreciation (depreciation) on investments and translation of assets and liabilities in foreign currencies | 187,544 |
| 366,834 |
| 49,710,584 |
| 705,005 |
|
Net increase (decrease) in net assets from operations | (399,316 | ) | (502,834 | ) | 60,013,106 |
| 4,360,310 |
|
| | | | | | | | |
Distributions to Shareholders: | | | | | | | | |
Distributions to shareholders | (92,027 | ) | — | | (12,050,108 | ) | (7,385,645 | ) |
Return of capital | (23,504 | ) | — |
| — |
| — |
|
Net distributions to shareholders | (115,531 | ) | — |
| (12,050,108 | ) | (7,385,645 | ) |
| | | | | | | | |
Capital Transactions: | | | | | | | | |
Issued | — | | 3,304,059 | | 128,713,314 | | 87,812,440 | |
Redeemed | (928,935 | ) | (3,227,221 | ) | — | | (2,492,086 | ) |
Transaction Fees (Note 2) | — |
| — |
| 123,516 |
| — |
|
Net increase (decrease) in net assets from | (928,935 | ) | 76,838 |
| 128,836,830 |
| 85,320,354 |
|
Total net increase (decrease) in net assets | (1,443,782 | ) | (425,996 | ) | 176,799,828 |
| 82,295,019 |
|
| | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of the year or period | 3,929,846 |
| 4,355,842 |
| 175,975,226 |
| 93,680,207 |
|
End of the year or period | $2,486,064 |
| $3,929,846 |
| $352,775,054 |
| $175,975,226 |
|
| | | | | | | | |
Share Transactions | | | | | | | | |
Issued | — | | 150,000 | | 4,200,000 | | 3,150,000 | |
Redeemed | (50,000 | ) | (150,000 | ) | — |
| (100,000 | ) |
Net increase (decrease) in shares outstanding from share transactions | (50,000 | ) | — |
| 4,200,000 |
| 3,050,000 |
|
(a)Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements).
Annual Report | April 30, 2024 63
The accompanying notes are an integral part of these financial statements.
Cambria ETF TrustStatements of Changes in Net Assets
| Cambria | Cambria | ||||||
| Year Ended | Year Ended | Year Ended | Year Ended | ||||
Operations: | | | | | | | | |
Net investment income | $4,493,871 | | $6,158,275 | | $4,308,119 | | $3,265,308 | |
Net realized gain (loss) from investments | (30,375,217 | ) | (71,798,664 | ) | (2,996,688 | ) | (259,452 | ) |
Net change in unrealized appreciation (depreciation) on investments | (637,232 | ) | 21,443,374 |
| 6,267,947 |
| (4,059,410 | ) |
Net increase (decrease) in net assets from operations | (26,518,578 | ) | (44,197,015 | ) | 7,579,378 |
| (1,053,554 | ) |
| | | | | | | | |
Distributions to Shareholders: | | | | | | | | |
Distributions to shareholders | (4,835,037 | ) | (5,934,009 | ) | (4,200,302 | ) | (4,077,927 | ) |
Return of capital | — |
| — |
| (156,484 | ) | — |
|
Net distributions to shareholders | (4,835,037 | ) | (5,934,009 | ) | (4,356,786 | ) | (4,077,927 | ) |
| | | | | | | | |
Capital Transactions: | | | | | | | | |
Issued | 19,890,706 | | 287,583,821 | | 2,449,493 | | 81,891,017 | |
Redeemed | (130,810,997 | ) | (417,503,209 | ) | (17,660,925 | ) | (8,617,238 | ) |
Transaction Fees (Note 2) | 31 |
| — |
| — |
| — |
|
Net increase (decrease) in net assets from | (110,920,260 | ) | (129,919,388 | ) | (15,211,432 | ) | 73,273,779 |
|
Total net increase (decrease) in net assets | (142,273,875 | ) | (180,050,412 | ) | (11,988,840 | ) | 68,142,298 |
|
| | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of the year or period | 224,371,820 |
| 404,422,232 |
| 119,099,832 |
| 50,957,534 |
|
End of the year or period | $82,097,945 |
| $224,371,820 |
| $107,110,992 |
| $119,099,832 |
|
| | | | | | | | |
Share Transactions | | | | | | | | |
Issued | 1,500,000 | | 17,600,000 | | 100,000 | | 3,250,000 | |
Redeemed | (9,900,000 | ) | (26,150,000 | ) | (700,000 | ) | (350,000 | ) |
Net increase (decrease) in shares outstanding from share transactions | (8,400,000 | ) | (8,550,000 | ) | (600,000 | ) | 2,900,000 |
|
64www.cambriafunds.com
The accompanying notes are an integral part of these financial statements.
Cambria ETF TrustStatements of Changes in Net Assets
| Cambria | Cambria | ||||||
| Year Ended | Year Ended | Year Ended | Year Ended | ||||
Operations: | | | | | | | | |
Net investment income | $399,995 | | $459,704 | | $961,406 | | $917,571 | |
Net realized gain (loss) from investments, swap contracts and foreign currency(a) | (8,917,268 | ) | (5,369,724 | ) | (871,283 | ) | (2,748,431 | ) |
Net change in unrealized appreciation (depreciation) on investments, swap contracts and translation of assets and liabilities in foreign currencies | 9,760,026 |
| (1,820,598 | ) | 583,216 |
| (1,246,481 | ) |
Net increase (decrease) in net assets from operations | 1,242,753 |
| (6,730,618 | ) | 673,339 |
| (3,077,341 | ) |
| | | | | | | | |
Distributions to Shareholders: | | | | | | | | |
Net distributions to shareholders | (397,187 | ) | (415,452 | ) | (1,425,683 | ) | (783,635 | ) |
| | | | | | | | |
Capital Transactions: | | | | | | | | |
Issued | — | | 1,144,071 | | 1,197,842 | | 14,885,328 | |
Redeemed | (873,388 | ) | (2,589,495 | ) | (3,705,397 | ) | (9,162,043 | ) |
Net increase (decrease) in net assets from | (873,388 | ) | (1,445,424 | ) | (2,507,555 | ) | 5,723,285 |
|
Total net increase (decrease) in net assets | (27,822 | ) | (8,591,494 | ) | (3,259,899 | ) | 1,862,309 |
|
| | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of the year or period | 11,188,546 |
| 19,780,040 |
| 25,670,856 |
| 23,808,547 |
|
End of the year or period | $11,160,724 |
| $11,188,546 |
| $22,410,957 |
| $25,670,856 |
|
| | | | | | | | |
Share Transactions | | | | | | | | |
Issued | — | | 100,000 | | 50,000 | | 600,000 | |
Redeemed | (150,000 | ) | (150,000 | ) | (150,000 | ) | (350,000 | ) |
Net increase (decrease) in shares outstanding from share transactions | (150,000 | ) | (50,000 | ) | (100,000 | ) | 250,000 |
|
(a)Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements).
Annual Report | April 30, 2024 65
The accompanying notes are an integral part of these financial statements.
Cambria ETF TrustStatements of Changes in Net Assets
| Cambria | Cambria | ||
| Period Ended | Period Ended | ||
Operations: | | | | |
Net investment income | $203,912 | | 138,263 | |
Net realized gain (loss) from investments and foreign currency(b) | 169,996 | | — | |
Net change in unrealized appreciation (depreciation) on investments and translation of assets and liabilities in foreign currencies | 337,978 |
| (12,048 | ) |
Net increase (decrease) in net assets from operations | 711,886 |
| 126,215 |
|
| | | | |
Distributions to Shareholders: | | | | |
Net distributions to shareholders | (173,103 | ) | (64,232 | ) |
| | | | |
Capital Transactions: | | | | |
Issued | 26,146,140 | | 13,808,495 | |
Redeemed | — |
| — |
|
Net increase (decrease) in net assets from | 26,146,140 |
| 13,808,495 |
|
Total net increase (decrease) in net assets | 26,684,923 |
| 13,870,478 |
|
| | | | |
Net Assets: | | | | |
Beginning of the year or period | — |
| — |
|
End of the year or period | $26,684,923 |
| $13,870,478 |
|
| | | | |
Share Transactions | | | | |
Issued | 1,050,000 | | 550,000 | |
Redeemed | — |
| — |
|
Net increase (decrease) in shares outstanding from share transactions | 1,050,000 |
| 550,000 |
|
(a)Inception Date January 4, 2024.
(b)Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements).
66www.cambriafunds.com
Cambria Shareholder Yield ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
The accompanying notes are an integral part of these financial statements.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||
Net Asset Value, Beginning of Year | $58.14 | | $60.89 | | $62.48 | | $29.82 | | $37.47 | |
Income (Loss) from Investment Operations: | | | | | | | | | | |
Net Investment Income(a) | 1.29 | | 1.48 | | 1.17 | | 0.88 | | 0.86 | |
Net Realized and Unrealized Gain (Loss) on Investments(b) | 10.75 | | (2.54 | ) | (1.27 | ) | 32.60 | | (7.66 | ) |
Total from Operations | 12.04 | | (1.06 | ) | (0.10 | ) | 33.48 | | (6.80 | ) |
| | | | | | | | | | |
Distributions: | | | | | | | | | | |
From Net Investment Income | (1.24 | ) | (1.40 | ) | (1.23 | ) | (0.82 | ) | (0.85 | ) |
From Net Realized Gains | — | | (0.29 | ) | (0.26 | ) | — | | — | |
Total Distributions | (1.24 | ) | (1.69 | ) | (1.49 | ) | (0.82 | ) | (0.85 | ) |
| | | | | | | | | | |
Net Asset Value, End of Year | $68.94 | | $58.14 | | $60.89 | | $62.48 | | $29.82 | |
| | | | | | | | | | |
Total Return | 20.84 | % | (1.59 | )% | (0.21 | )% | 113.92 | % | (18.43 | )% |
| | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | |
Net Assets, End of Year (in 000s) | $1,182,263 | | $718,054 | | $514,534 | | $278,023 | | $61,127 | |
Ratio of Expense to Average Net Assets | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % |
Ratio of Net Investment Income to Average Net Assets | 2.00 | % | 2.42 | % | 1.85 | % | 1.95 | % | 2.40 | % |
Portfolio Turnover(c) | 50 | % | 41 | % | 51 | % | 37 | % | 30 | % |
(a)Per share data calculated using the average shares method.
(b)Net realized and unrealized gain (loss) per share in the caption are balancing amounts necessary to reconcile the change in the net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the period.
(c)Portfolio turnover rate does not include securities received or delivered from processing creations and redemptions.
Cambria Foreign Shareholder Yield ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
Annual Report | April 30, 2024 67
The accompanying notes are an integral part of these financial statements.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||
Net Asset Value, Beginning of Year | $25.19 | | $26.18 | | $27.65 | | $17.86 | | $23.56 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | |
Net Investment Income(a) | 1.31 | | 1.54 | | 1.28 | | 0.75 | | 0.90 | |
Net Realized and Unrealized Gain (Loss) on Investments(b) | 1.77 | | (1.01 | ) | (1.32 | ) | 9.86 | | (5.60 | ) |
Total from Operations | 3.08 | | 0.53 | | (0.04 | ) | 10.61 | | (4.70 | ) |
| | | | | | | | | | |
Distributions: | | | | | | | | | | |
From Net Investment Income | (1.48 | ) | (1.52 | ) | (1.43 | ) | (0.82 | ) | (1.00 | ) |
Total Distributions | (1.48 | ) | (1.52 | ) | (1.43 | ) | (0.82 | ) | (1.00 | ) |
| | | | | | | | | | |
Net Asset Value, End of Year | $26.79 | | $25.19 | | $26.18 | | $27.65 | | $17.86 | |
| | | | | | | | | | |
Total Return | 12.94 | % | 2.72 | % | (0.31 | )% | 60.72 | % | (20.47 | )% |
| | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | |
Net Assets, End of Year (in 000s) | $271,939 | | $187,654 | | $66,755 | | $30,416 | | $17,862 | |
Ratio of Expense to Average Net Assets | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % |
Ratio of Net Investment Income to Average Net Assets(c) | 5.25 | % | 6.56 | % | 4.68 | % | 3.29 | % | 4.04 | % |
Portfolio Turnover(c) | 44 | % | 34 | % | 63 | % | 59 | % | 47 | % |
(a)Per share data calculated using the average shares method.
(b)Net realized and unrealized gain (loss) per share in the caption are balancing amounts necessary to reconcile the change in the net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the period.
(c)Portfolio turnover rate does not include securities received or delivered from processing creations and redemptions.
68www.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.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||
Net Asset Value, Beginning of Year | $20.75 | | $20.48 | | $22.96 | | $16.37 | | $23.37 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | |
Net Investment Income(a) | 1.05 | | 1.03 | | 0.96 | | 0.53 | | 0.62 | |
Net Realized and Unrealized Gain (Loss) on Investments(b) | 0.98 | | 0.24 | | (2.60 | ) | 6.44 | | (6.91 | ) |
Total from Operations | 2.03 | | 1.27 | | (1.64 | ) | 6.97 | | (6.29 | ) |
| | | | | | | | | | |
Distributions: | | | | | | | | | | |
From Net Investment Income | (1.16 | ) | (1.00 | ) | (0.84 | ) | (0.38 | ) | (0.71 | ) |
Total Distributions | (1.16 | ) | (1.00 | ) | (0.84 | ) | (0.38 | ) | (0.71 | ) |
| | | | | | | | | | |
Net Asset Value, End of Year | $21.62 | | $20.75 | | $20.48 | | $22.96 | | $16.37 | |
| | | | | | | | | | |
Total Return | 10.33 | % | 6.97 | % | (7.47 | )% | 43.20 | % | (27.71 | )% |
| | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | |
Net Assets, End of Year (in 000s) | $104,848 | | $137,978 | | $102,386 | | $122,851 | | $96,587 | |
Ratio of Expense to Average Net Assets | 0.64 | % | 0.67 | % | 0.66 | % | 0.66 | % | 0.65 | % |
Ratio of Net Investment Income to Average Net Assets | 5.15 | % | 5.48 | % | 4.19 | % | 2.75 | % | 2.84 | % |
Portfolio Turnover(c) | 36 | % | 94 | % | 3 | % | 14 | % | 25 | % |
(a)Per share data calculated using the average shares method.
(b)Net realized and unrealized gain (loss) per share in the caption are balancing amounts necessary to reconcile the change in the net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the period.
(c)Portfolio turnover rate does not include securities received or delivered from processing creations and redemptions.
Cambria Global Momentum ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
Annual Report | April 30, 2024 69
The accompanying notes are an integral part of these financial statements.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||
Net Asset Value, Beginning of Year | $28.02 | | $31.37 | | $29.73 | | $23.07 | | $25.09 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | |
Net Investment Income(a) | 0.93 | | 0.65 | | 1.28 | | 0.29 | | 0.56 | |
Net Realized and Unrealized Gain (Loss) on Investments(b) | 0.16 | | (3.42 | ) | 1.68 | | 6.69 | | 2.02 | |
Total from Operations | 1.09 | | (2.77 | ) | 2.96 | | 6.98 | | (1.46 | ) |
| | | | | | | | | | |
Distributions: | | | | | | | | | | |
From Net Investment Income | (0.89 | ) | (0.58 | ) | (1.25 | ) | (0.30 | ) | (0.54 | ) |
Return of Capital | (0.02 | ) | — | | (0.07 | ) | (0.02 | ) | (0.02 | ) |
Total Distributions | (0.91 | ) | (0.58 | ) | (1.32 | ) | (0.32 | ) | (0.56 | ) |
| | | | | | | | | | |
Net Asset Value, End of Year | $28.20 | | $28.02 | | $31.37 | | $29.73 | | $23.07 | |
| | | | | | | | | | |
Total Return | 3.98 | % | (8.81 | )% | 10.19 | % | 30.49 | % | (6.02 | )% |
| | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | |
Net Assets, End of Year (in 000s) | $136,760 | | $177,952 | | $81,563 | | $62,434 | | $78,449 | |
Ratio of Expense to Average Net Assets(c) | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % |
Ratio of Net Investment Income to Average Net Assets(d) | 3.38 | % | 2.25 | % | 4.19 | % | 1.13 | % | 2.25 | % |
Portfolio Turnover(e) | 166 | % | 307 | % | 69 | % | 115 | % | 251 | % |
(a)Per share data calculated using the average shares method.
(b)Net realized and unrealized gain (loss) per share in the caption are balancing amounts necessary to reconcile the change in the net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the period.
(c)Expense ratios do not include expenses of the underlying funds.
(d)Recognition of net investment income by the Fund is affected by the timing of declarations of dividends by the underlying 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.
(e)Portfolio turnover rate does not include securities received or delivered from processing creations and redemptions.
70www.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.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||
Net Asset Value, Beginning of Year | $26.99 | | $28.71 | | $31.55 | | $24.36 | | $26.82 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | |
Net Investment Income(a) | 1.05 | | 1.11 | | 1.99 | | 0.58 | | 0.86 | |
Net Realized and Unrealized Gain (Loss) on Investments(b) | 1.24 | | (1.61 | ) | (2.85 | ) | 7.33 | | (2.36 | ) |
Total from Operations | 2.29 | | (0.5 | ) | (0.86 | ) | 7.91 | | (1.50 | ) |
| | | | | | | | | | |
Distributions: | | | | | | | | | | |
From Net Investment Income | (1.05 | ) | (1.07 | ) | (1.98 | ) | (0.72 | ) | (0.85 | ) |
From Net Realized Gains | — | | (0.15 | ) | — | | — | | (0.11 | ) |
Total Distributions | (1.05 | ) | (1.22 | ) | (1.98 | ) | (0.72 | ) | (0.96 | ) |
| | | | | | | | | | |
Net Asset Value, End of Year | $28.23 | | $26.99 | | $28.71 | | $31.55 | | $24.36 | |
| | | | | | | | | | |
Total Return | 8.63 | % | (1.58 | )% | (3.01 | )% | 33.00 | % | (5.87 | )% |
| | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | |
Net Assets, End of Year (in 000s) | $53,631 | | $51,272 | | $45,933 | | $52,061 | | $49,930 | |
Ratio of Expense to Average Net Assets(c) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % |
Ratio of Net Investment Income to Average Net Assets(d) | 3.84 | % | 4.08 | % | 6.36 | % | 2.07 | % | 3.24 | % |
Portfolio Turnover(e) | 13 | % | 0 | % | 8 | % | 20 | % | 9 | % |
(a)Per share data calculated using the average shares method.
(b)Net realized and unrealized gain (loss) per share in the caption are balancing amounts necessary to reconcile the change in the net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the period.
(c)Expense ratios do not include expenses of the underlying funds.
(d)Recognition of net investment income by the Fund is affected by the timing of declarations of dividends by the underlying 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.
(e)Portfolio turnover rate does not include securities received or delivered from processing creations and redemptions.
Cambria Value and Momentum ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
Annual Report | April 30, 2024 71
The accompanying notes are an integral part of these financial statements.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||
Net Asset Value, Beginning of Year | $24.63 | | $26.22 | | $23.21 | | $16.64 | | $20.83 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | |
Net Investment Income(a) | 0.25 | | 0.54 | | 0.25 | | 0.14 | | 0.18 | |
Net Realized and Unrealized Gain (Loss) on Investments(b) | 4.10 | | (1.66 | ) | 3.02 | | 6.63 | | (4.17 | ) |
Total from Operations | 4.35 | | (1.12 | ) | 3.27 | | 6.77 | | (3.99 | ) |
| | | | | | | | | | |
Distributions: | | | | | | | | | | |
From Net Investment Income | (0.26 | ) | (0.47 | ) | (0.26 | ) | (0.20 | ) | (0.20 | ) |
Total Distributions | (0.26 | ) | (0.47 | ) | (0.26 | ) | (0.20 | ) | (0.20 | ) |
| | | | | | | | | | |
Net Asset Value, End of Year | $28.72 | | $24.63 | | $26.22 | | $23.21 | | $16.64 | |
| | | | | | | | | | |
Total Return | 17.75 | % | (4.34 | )% | 14.17 | % | 41.05 | % | (19.32 | )% |
| | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | |
Net Assets, End of Year (in 000s) | $61,749 | | $64,036 | | $31,469 | | $18,567 | | $10,818 | |
Ratio of Expenses to Average Net Assets | 0.64 | %(c) | 0.61 | %(b) | 0.59 | % | 0.61 | %(d) | 0.63 | %(e) |
Ratio of Net Investment Income to Average Net Assets | 0.94 | % | 2.00 | % | 1.02 | % | 0.70 | % | 0.92 | % |
Portfolio Turnover(f) | 63 | % | 71 | % | 78 | % | 97 | % | 76 | % |
(a)Per share data calculated using the average shares method.
(b)Net realized and unrealized gain (loss) per share in the caption are balancing amounts necessary to reconcile the change in the net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the period.
(c)Includes broker expense of 0.05%.
(d)Includes broker expense of 0.02%.
(e)Includes broker expense of 0.04%.
(f)Portfolio turnover rate does not include securities received or delivered from processing creations and redemptions.
72www.cambriafunds.com
Cambria Global Tail Risk ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
The accompanying notes are an integral part of these financial statements.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||
Net Asset Value, Beginning of Year | $19.65 | | $21.78 | | $23.67 | | $23.57 | | $24.83 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | |
Net Investment Income(b) | 0.62 | | 0.46 | | 0.71 | | 0.94 | | 1.18 | |
Net Realized and Unrealized Gain (Loss) on Investments(c) | (3.03 | ) | (2.59 | )(c) | (2.60 | ) | (0.69 | )(c) | (1.36 | ) |
Total from Operations | (2.41 | ) | (2.13 | ) | (1.89 | ) | 0.25 | | (0.18 | ) |
| | | | | | | | | | |
Distributions: | | | | | | | | | | |
From Net Investment Income | (0.54 | ) | — | | — | | — | | (0.96 | ) |
From Net Realized Gains | — | | — | | — | | — | | (0.12 | ) |
Return of Capital | (0.13 | ) | — | | — | | (0.15 | ) | — | |
Total Distributions | (0.67 | ) | — | | — | | (0.15 | ) | (1.08 | ) |
| | | | | | | | | | |
Net Asset Value, End of Year | $16.57 | | $19.65 | | $21.78 | | $23.67 | | $23.57 | |
| | | | | | | | | | |
Total Return | (12.41 | )% | (9.78 | )% | (7.98 | )% | 1.03 | % | (1.00 | )% |
| | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | |
Net Assets, End of Year (in 000s) | $2,486 | | $3,930 | | $4,356 | | $7,102 | | $22,388 | |
Ratio of Expenses to Average Net Assets, Excluding Waivers | 0.62 | %(d) | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % |
Ratio of Expenses to Average Net Assets, Including Waivers | 0.54 | %(d)(e) | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % |
Ratio of Net Investment Income to Average Net Assets | 3.35 | % | 2.20 | % | 3.18 | % | 3.71 | % | 4.72 | % |
Portfolio Turnover(f) | 3 | % | 62 | % | 1 | % | 53 | % | 36 | % |
(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)Net realized and unrealized gain (loss) per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statements of Operations due to share transactions for the period.
(d)Includes broker expenses of 0.03%.
(e)Effective March 1, 2024, the Investment Adviser has agreed to a voluntarily waiver of the advisory fees on Funds with net assets under $50 million, which amounts to 0.08%.
(f)Portfolio turnover rate does not include securities received or delivered from processing creations and redemptions.
Cambria Emerging Shareholder Yield ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
Annual Report | April 30, 2024 73
The accompanying notes are an integral part of these financial statements.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||
Net Asset Value, Beginning of Year | $28.61 | | $30.22 | | $39.13 | | $24.97 | | $31.38 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | |
Net Investment Income(a) | 1.39 | | 1.77 | | 1.81 | | 1.27 | | 1.30 | |
Net Realized and Unrealized Gain (Loss) on Investments(b) | 5.83 | | (1.44 | ) | (8.01 | ) | 14.04 | | (6.35 | ) |
Total from Operations | 7.22 | | 0.33 | | (6.20 | ) | 15.31 | | (5.05 | ) |
| | | | | | | | | | |
Distributions: | | | | | | | | | | |
From Net Investment Income | (1.75 | ) | (1.57 | ) | (2.16 | ) | (1.15 | ) | (1.36 | ) |
From Net Realized Gains | — | | (0.37 | ) | (0.55 | ) | — | | — | |
Return of Capital | — | | — | | — | | (0.15 | ) | — | |
Total Distributions | (1.75 | ) | (1.94 | ) | (2.71 | ) | (1.15 | ) | (1.36 | ) |
| | | | | | | | | | |
Net Asset Value, End of Year | $34.08 | | $28.61 | | $30.22 | | $39.13 | | $24.97 | |
| | | | | | | | | | |
Total Return | 26.51 | %(d) | 1.64 | % | (16.81 | )% | 63.04 | % | (16.89 | )% |
| | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | |
Net Assets, End of Year (in 000s) | $352,775 | | $175,975 | | $93,680 | | $62,614 | | $28,713 | |
Ratio of Expenses to Average Net Assets | 0.63 | % | 0.66 | % | 0.64 | % | 0.65 | % | 0.69 | % |
Ratio of Net Investment Income to Average Net Assets | 4.60 | % | 6.49 | % | 5.14 | % | 4.00 | % | 4.38 | % |
Portfolio Turnover(c) | 32 | % | 43 | % | 45 | % | 29 | % | 81 | % |
(a)Per share data calculated using the average shares method.
(b)Net realized and unrealized gain (loss) per share in the caption are balancing amounts necessary to reconcile the change in the net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the period.
(c)Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.
(d)The total return for the period includes the impact of financial statement adjustments. This return differs from the actual performance a shareholder experienced over the period.
74www.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.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||
Net Asset Value, Beginning of Year | $14.62 | | $16.92 | | $18.74 | | $22.65 | | $19.87 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | |
Net Investment Income(a) | 0.42 | | 0.29 | | 0.13 | | 0.04 | | 0.27 | |
Net Realized and Unrealized Gain (Loss) on Investments(b) | (2.77 | ) | (2.27 | ) | (1.84 | ) | (3.92 | ) | 2.77 | |
Total from Operations | (2.35 | ) | (1.98 | ) | (1.71 | ) | (3.88 | ) | 3.04 | |
| | | | | | | | | | |
Distributions: | | | | | | | | | | |
From Net Investment Income | (0.46 | ) | (0.32 | ) | (0.11 | ) | (0.03 | ) | (0.26 | ) |
Total Distributions | (0.46 | ) | (0.32 | ) | (0.11 | ) | (0.03 | ) | (0.26 | ) |
| | | | | | | | | | |
Net Asset Value, End of Year | $11.81 | | $14.62 | | $16.92 | | $18.74 | | $22.65 | |
| | | | | | | | | | |
Total Return | (16.28 | )% | (11.86 | )% | (9.14 | )% | -17.13 | % | 15.47 | % |
| | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | |
Net Assets, End of Year (in 000s) | $82,098 | | $224,372 | | $404,422 | | $281,995 | | $132,488 | |
Ratio of Expenses to Average Net Assets | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % |
Ratio of Net Investment Income to Average Net Assets | 3.21 | % | 1.80 | % | 0.69 | % | 0.18 | % | 1.31 | % |
Portfolio Turnover(b) | 13 | % | 129 | % | 60 | % | 155 | % | 19 | % |
(a)Per share data calculated using the average shares method.
(b)Net realized and unrealized gain (loss) per share in the caption are balancing amounts necessary to reconcile the change in the net asset value per share for the period, and may not reconcile with the aggregate gain (loss) in the Statement of Operations due to share transactions for the period.
(c)Portfolio turnover rate does not include securities received or delivered from processing creations and redemptions.
Cambria Trinity ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
Annual Report | April 30, 2024 75
The accompanying notes are an integral part of these financial statements.
| Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||
Net Asset Value, Beginning of Year | $24.81 | | $26.82 | | $27.36 | | $21.32 | | $24.22 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | |
Net Investment Income(a) | 0.93 | | 0.89 | | 1.59 | | 0.42 | | 0.65 | |
Net Realized and Unrealized Gain (Loss) on Investments | 0.70 | | (1.96 | ) | (0.51 | ) | 6.07 | | (2.91 | ) |
Total from Operations | 1.63 | | (1.07 | ) | 1.08 | | 6.49 | | (2.26 | ) |
| | | | | | | | | | |
Distributions: | | | | | | | | | | |
From Net Investment Income | (0.91 | ) | (0.64 | ) | (1.60 | ) | (0.45 | ) | (0.62 | ) |
From Net Realized Gains | — | (0.30 | ) | (0.02 | ) | — | | (0.02 | ) | |
Return of Capital | (0.03 | ) | — | — | — | | — | |||
Total Distributions | (0.94 | ) | (0.94 | ) | (1.62 | ) | (0.45 | ) | (0.64 | ) |
| | | | | | | | | | |
Net Asset Value, End of Year | $25.50 | | $24.81 | | $26.82 | | $27.36 | | $21.32 | |
| | | | | | | | | | |
Total Return | 6.72 | % | (3.99 | )% | 3.98 | % | 30.81 | % | (9.57 | )% |
| | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | |
Net Assets, End of Year (in 000s) | $107,111 | | $119,100 | | $50,958 | | $43,778 | | $37,309 | |
Ratio of Expenses to Average Net Assets(b) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % |
Ratio of Net Investment Income to Average Net Assets(c) | 3.73 | % | 3.54 | % | 5.78 | % | 1.77 | % | 2.74 | % |
Portfolio Turnover(d) | 69 | % | 102 | % | 26 | % | 50 | % | 88 | % |
(a)Per share data calculated using the average shares method.
(b)Expense ratios do not include expenses of the underlying funds.
(c) Recognition of net investment income by the Fund is affected by the timing of declarations of dividends by the underlying 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.
(d)Portfolio turnover rate does not include securities received or delivered from processing creations and redemptions.
76www.cambriafunds.com
Cambria Cannabis ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
The accompanying notes are an integral part of these financial statements.
| Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||
Net Asset Value, Beginning of Year or Period | $6.22 | | $9.89 | | $18.86 | | $11.30 | | $25.00 | |
Income/(Loss) from Investment Operations: | | | | | | | | | | |
Net Investment Income(b) | 0.23 | | 0.24 | | 0.25 | | 0.47 | | 0.70 | |
Net Realized and Unrealized Gain (Loss) on Investments | 0.54 | | (3.69 | ) | (8.87 | ) | 7.63 | | (13.87 | ) |
Total from Operations | 0.77 | | (3.45 | ) | (8.62 | ) | 8.10 | | (13.17 | ) |
| | | | | | | | | | |
Distributions: | | | | | | | | | | |
From Net Investment Income | (0.23 | ) | (0.22 | ) | (0.35 | ) | (0.54 | ) | (0.52 | ) |
From Net Realized Gains | — | | — | | — | | — | | (0.01 | ) |
Total Distributions | (0.23 | ) | (0.22 | ) | (0.35 | ) | (0.54 | ) | (0.53 | ) |
| | | | | | | | | | |
Net Asset Value, End of Year or Period | $6.76 | | $6.22 | | $9.89 | | $18.86 | | $11.30 | |
| | | | | | | | | | |
Total Return | 12.97 | % | (35.04 | )% | (46.49 | )% | 73.84 | % | (53.04 | )%(c) |
| | | | | | | | | | |
Ratios and Supplemental Data | | | | | | | | | | |
Net Assets, End of Year or Period (in 000s) | $11,161 | | $11,189 | | $19,780 | | $38,671 | | $9,038 | |
Ratio of Expenses to Average Net Assets, Excluding Waivers | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | %(d) |
Ratio of Expenses to Average Net Assets, Including Waivers | 0.35 | %(f) | 0.42 | % | 0.42 | % | 0.42 | % | 0.42 | %(d) |
Ratio of Net Investment Income to Average Net Assets | 3.96 | % | 3.17 | % | 1.80 | % | 2.94 | % | 6.20 | %(d) |
Portfolio Turnover(e) | 13 | % | 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 and redemptions.
(f)Effective March 1, 2024, the Investment Adviser has agreed to a voluntarily waiver of the advisory fees on Funds with net assets under $50 million, which amounts to 0.24%.
Cambria Global Real Estate ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
Annual Report | April 30, 2024 77
The accompanying notes are an integral part of these financial statements.
| Year Ended | Year Ended | Year Ended | Period Ended | ||||
Net Asset Value, Beginning of Year or Period | $24.45 | | $29.76 | | $31.66 | | $25.00 | |
Income/(Loss) from Investment Operations: | | | | | | | | |
Net Investment Income(b) | 1.00 | | 1.12 | | 0.56 | | 0.56 | |
Net Realized and Unrealized Gain (Loss) on Investments | (0.36 | ) | (5.44 | ) | 0.99 | (c) | 6.51 | |
Total from Operations | 0.64 | | (4.32 | ) | 1.55 | | 7.07 | |
| | | | | | | | |
Distributions: | | | | | | | | |
From Net Investment Income | (1.50 | ) | (0.99 | ) | (2.76 | ) | (0.41 | ) |
From Net Realized Gains | — | | — | | (0.49 | ) | — | |
Return of Capital | — | | — | | (0.20 | ) | — | |
Total Distributions | (1.50 | ) | (0.99 | ) | (3.45 | ) | (0.41 | ) |
| | | | | | | | |
Net Asset Value, End of Year or Period | $23.59 | | $24.45 | | $29.76 | | $31.66 | |
| | | | | | | | |
Total Return | 2.68 | % | -14.47 | % | 4.70 | % | 28.40 | %(d) |
| | | | | | | | |
Ratios and Supplemental Data | | | | | | | | |
Net Assets, End of Year or Period (in 000s) | $22,411 | | $25,671 | | $23,809 | | $14,245 | |
Ratio of Expenses to Average Net Assets, Excluding Waivers | 0.59 | % | 0.59 | % | 0.59 | % | 0.59 | %(e) |
Ratio of Expenses to Average Net Assets, Including Waivers | 0.49 | %(g) | 0.59 | % | 0.59 | % | 0.59 | %(e) |
Ratio of Net Investment Income to Average Net Assets | 4.15 | % | 4.29 | % | 3.00 | % | 3.19 | %(e) |
Portfolio Turnover(f) | 77 | % | 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.
(g)Effective March 1, 2024, the Investment Adviser has agreed to a voluntarily waiver of the advisory fees on Funds with net assets under $50 million, which amounts to 0.10%.
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Cambria Micro and SmallCap 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 | |
Net Asset Value, Beginning of Period | $25.00 | |
Income/(Loss) from Investment Operations: | | |
Net Investment Income(b) | 0.25 | |
Net Realized and Unrealized Gain (Loss) on Investments | 0.33 | |
Total from Operations | 0.58 | |
| | |
Distributions: | | |
From Net Investment Income | (0.17 | ) |
Total Distributions | (0.17 | ) |
| | |
Net Asset Value, End of Period | $25.41 | |
| | |
Total Return | 2.31 | %(c) |
| | |
Ratios and Supplemental Data | | |
Net Assets, End of Period (in 000s) | $26,685 | |
Ratio of Expenses to Average Net Assets, Excluding Waivers | 0.59 | %(d) |
Ratio of Expenses to Average Net Assets, Including Waivers(f) | 0.20 | %(d) |
Ratio of Net Investment Income to Average Net Assets | 2.99 | %(d) |
Portfolio Turnover(e) | 8 | %(c) |
(a)Inception Date January 4, 2024.
(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 and redemptions.
(f)Effective March 1, 2024, the Investment Adviser has agreed to a voluntarily waiver of the advisory fees on Funds with net assets under $50 million, which amounts to 0.39%.
Cambria Tactical Yield ETFFinancial Highlights
For a Share Outstanding Throughout the Periods Presented
Annual Report | April 30, 2024 79
The accompanying notes are an integral part of these financial statements.
| Period Ended | |
Net Asset Value, Beginning of Period | $25.00 | |
Income/(Loss) from Investment Operations: | | |
Net Investment Income(b) | 0.41 | |
Net Realized and Unrealized Gain (Loss) on Investments | (0.05 | ) |
Total from Operations | 0.36 | |
| | |
Distributions: | | |
From Net Investment Income | (0.14 | ) |
Total Distributions | (0.14 | ) |
| | |
Net Asset Value, End of Period | $25.22 | |
| | |
Total Return | 1.45 | %(c) |
| | |
Ratios and Supplemental Data | | |
Net Assets, End of Period (in 000s) | $13,870 | |
Ratio of Expenses to Average Net Assets, Excluding Waivers | 0.59 | %(d) |
Ratio of Expenses to Average Net Assets, Including Waivers(f) | 0.18 | %(d) |
Ratio of Net Investment Income to Average Net Assets | 5.03 | %(d) |
Portfolio Turnover(e) | 0 | %(c) |
(a)Inception Date January 4, 2024.
(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 and redemptions.
(f)Effective March 1, 2024, the Investment Adviser has agreed to a voluntarily waiver of the advisory fees on Funds with net assets under $50 million, which amounts to 0.41%.
80www.cambriafunds.com
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 Shareholder Yield ETF, Cambria Foreign Shareholder Yield ETF, Cambria Global Value ETF, Cambria Global Momentum ETF, Cambria Global Asset Allocation ETF, Cambria Value and Momentum ETF, Cambria Global Tail Risk ETF, Cambria Emerging Shareholder Yield ETF, Cambria Tail Risk ETF, Cambria Trinity ETF, Cambria Cannabis ETF, Cambria Global Real Estate ETF, Cambria Micro and SmallCap Shareholder Yield ETF, and Cambria Tactical Yield ETF (“Shareholder Yield ETF”, “Foreign Shareholder Yield ETF”, “Global Value ETF”, “Global Momentum ETF”, “Global Asset Allocation ETF”, “Value and Momentum ETF”, “Global Tail Risk ETF”, “Emerging Shareholder Yield ETF”, “Tail Risk ETF”, “Trinity ETF”, “Cannabis ETF”, “Global Real Estate ETF”, “Micro and SmallCap Shareholder Yield ETF”, and “Tactical Yield 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 Shareholder Yield ETF is to seek income and capital appreciation. The Shareholder Yield ETF inception date is May 13, 2013.
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 Value ETF is to seek income and capital appreciation. The Global Value ETF inception date is March 11, 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 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 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.
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 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 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 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 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 Micro and SmallCap Shareholder Yield ETF is to seek income and capital appreciation. The Micro and SmallCap Shareholder Yield ETF inception date is January 4, 2024.
The investment objective of Tactical Yield ETF is to seek income and capital appreciation. The Tactical Yield ETF inception date is September January 4, 2024.
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.
Annual Report | April 30, 2024 81
Cambria ETF TrustNotes to Financial Statements
April 30, 2024
The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Account Standards Codification Topic 946 Financial Services – Investment Companies.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the Significant Accounting Policies followed by the Funds.
Use of Estimates — The Funds are investment companies in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Funds follow the accounting and reporting guidance for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates, and could have a material impact to the Funds.
Security Valuation — Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on the NASDAQ Stock Market ( “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 seek 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.
Forward foreign currency contracts and swap contracts are generally valued based on the marked-to-market value of the contract. Pricing services, approved and monitored pursuant to a policy approved by the Funds’ Board, provide market quotations based on both market prices and indicative bids.
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;
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Cambria ETF TrustNotes to Financial Statements
April 30, 2024
•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).
Shareholder Yield ETF | | | | | | | |
Investments in Securities | Level 1 |
| Level 2 |
| Level 3 |
| Total |
Common Stocks | $1,172,281,811 | | $— | | $— | | $1,172,281,811 |
Investments Purchased with Proceeds from Securities Lending | 12,582,845 | | — | | — | | 12,582,845 |
Money Market Funds | 9,259,765 | | — | | — | | 9,259,765 |
Total Investments in Securities | $1,194,124,421 | | $— | | $— | | $1,194,124,421 |
Foreign Shareholder Yield ETF | | | | | | | |
Investments in Securities | Level 1 |
| Level 2 |
| Level 3 |
| Total |
Common Stocks | $266,992,253 | | $— | | $— | | $266,992,253 |
Investments Purchased with Proceeds from Securities Lending | 7,357,219 | | — | | — | | 7,357,219 |
Money Market Funds | 1,775,185 | | — | | — | | 1,775,185 |
Total Investments in Securities | $276,124,657 | | $— | | $— | | $276,124,657 |
Global Value ETF | | | | | | | |
Investments in Securities | Level 1 |
| Level 2 |
| Level 3(a) |
| Total |
Common Stocks | $99,813,744 | | $— | | $— | | $99,813,744 |
Preferred Stocks | 3,687,780 | | — | | — | | 3,687,780 |
Money Market Funds | 1,422,336 | | — | | — | | 1,422,336 |
Total Investments in Securities | $104,923,860 | | $— | | $— | | $104,923,860 |
(a)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 year in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.
Global Momentum ETF | | | | | | | |
Investments in Securities | Level 1 |
| Level 2 |
| Level 3 |
| Total |
Exchange Traded Funds | $135,520,045 | | $— | | $— | | $135,520,045 |
Money Market Funds | 1,316,176 | | — | | — | | 1,316,176 |
Total Assets | $136,836,221 | | $— | | $— | | $136,836,221 |
Global Asset Allocation ETF | | | | | | | |
Investments in Securities | Level 1 |
| Level 2 |
| Level 3 |
| Total |
Exchange Traded Funds | $53,526,002 | | $— | | $— | | $53,526,002 |
Investments Purchased with Proceeds from Securities Lending | 2,337,750 | | — | | — | | 2,337,750 |
Money Market Funds | 103,137 | | — | | — | | 103,137 |
Total Assets | $55,966,889 | | $— | | $— | | $55,966,889 |
Annual Report | April 30, 2024 83
Cambria ETF TrustNotes to Financial Statements
April 30, 2024
Value and Momentum ETF | | | | | | | |
Investments in Securities | Level 1 |
| Level 2 |
| Level 3(a) |
| Total |
Common Stocks | $53,375,754 | | $— | | $93,767 | | $53,469,521 |
Investments Purchased with Proceeds from Securities Lending | 472,450 | | — | | — | | 472,450 |
Money Market Funds | 5,227,413 | | — | | — | | 5,227,413 |
Total Assets | $59,075,617 | | $— | | $93,767 | | $59,169,384 |
Other Financial Instruments(b): | | | | | | | |
Assets | | | | | | | |
Futures | $776,038 | | $— | | $— | | $776,038 |
Total Assets | $776,038 | | $— | | $— | | $776,038 |
(a)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 year in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.
(b)The fair value of the Fund’s investment represents the net unrealized appreciation (depreciation) as of April 30, 2024.
Global Tail Risk ETF | | | | | | | |
Investments in Securities | Level 1 |
| Level 2 |
| Level 3 |
| Total |
Exchange Traded Funds | $2,187,379 | | $— | | $— | | $2,187,379 |
Options Purchased | — | | 94,680 | | — | | 94,680 |
Money Market Funds | 123,992 | | — | | — | | 123,992 |
Total Assets | $2,311,371 | | $94,680 | | $— | | $2,406,051 |
Emerging Shareholder Yield ETF | | | | | | | |
Investments in Securities | Level 1 |
| Level 2 |
| Level 3(a) |
| Total |
Common Stocks | $343,781,544 | | $— | | $5 | | $343,781,549 |
Money Market Funds | 9,383,284 | | — | | — | | 9,383,284 |
Total Assets | $353,164,828 | | $— | | $5 | | $353,164,833 |
(a)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 year in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.
Tail Risk ETF | | | | | | | |
Investments in Securities | Level 1 |
| Level 2 |
| Level 3 |
| Total |
U.S. Treasury Obligations | $— | | $74,686,714 | | $— | | $74,686,714 |
Options Purchased | — | | 4,541,395 | | — | | 4,541,395 |
Money Market Funds | 775,169 | | — | | — | | 775,169 |
Total Assets | $775,169 | | $79,228,109 | | $— | | $80,003,278 |
Trinity ETF | | | | | | | |
Investments in Securities | Level 1 |
| Level 2 |
| Level 3 |
| Total |
Exchange Traded Funds | $106,845,785 | | $— | | $— | | $106,845,785 |
Investments Purchased with Proceeds from Securities Lending | 3,960,925 | | — | | — | | 3,960,925 |
Money Market Funds | 263,222 | | — | | — | | 263,222 |
Total Assets | $111,069,932 | | $— | | $— | | $111,069,932 |
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Cambria ETF TrustNotes to Financial Statements
April 30, 2024
Cannabis ETF | | | | | | | |
Investments in Securities | Level 1 |
| Level 2 |
| Level 3 |
| Total |
Common Stocks | $6,430,641 | | $— | | $— | | $6,430,641 |
Money Market Funds | 2,957,569 | | — | | — | | 2,957,569 |
Total Assets | $9,388,210 | | $— | | $— | | $9,388,210 |
| | | | | | | |
Other Financial Instruments(a): | | | | | | | |
Liabilities | | | | | | | |
Total Return Swaps | — | | — | | — | | — |
Total Liabilities | $— | | $— | | $— | | $— |
(a)The fair value of the Fund’s investment represents the net unrealized appreciation (depreciation) as of April 30, 2024.
Global Real Estate ETF | | | | | | | |
Investments in Securities | Level 1 |
| Level 2 |
| Level 3 |
| Total |
Real Estate Investment Trusts | $21,740,124 | | $— | | $— | | $21,740,124 |
Money Market Funds | 510,923 | | — | | — | | 510,923 |
Total Assets | $22,251,047 | | $— | | $— | | $22,251,047 |
Micro and SmallCap Shareholder Yield ETF | | | | | | | |
Investments in Securities | Level 1 |
| Level 2 |
| Level 3 |
| Total |
Common Stocks | $24,610,346 | | $— | | $— | | $24,610,346 |
Closed End Funds | 1,681,195 | | — | | — | | 1,681,195 |
Money Market Funds | 373,916 | | — | | — | | 373,916 |
Total Assets | $26,665,457 | | $— | | $— | | $26,665,457 |
Tactical Yield ETF | | | | | | | |
Investments in Securities | Level 1 |
| Level 2 |
| Level 3 |
| Total |
Money Market Funds | $56,495 | | $— | | $— | | $56,495 |
U.S. Treasury Bills | — | | 13,800,282 | | — | | 13,800,282 |
Total Assets | $56,495 | | $13,800,282 | | $— | | $13,856,777 |
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.
Annual Report | April 30, 2024 85
Cambria ETF TrustNotes to Financial Statements
April 30, 2024
Futures Contracts — Consistent with its investment objective and strategies, Value and Momentum ETF utilized futures contracts during the year ended April 30, 2024. The Value and Momentum ETF’s investment in futures contracts is designed to enable it 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 ETF records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. If a margin deposit was made upon entering into futures contracts, it is included in Deposit with Broker for futures contracts on the Statements of Assets and Liabilities.
Risks of entering into futures contracts include, 1) the possibility that there will be an imperfect price correlation between the futures and the underlying securities; 2) the possibility 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; 3) Value and Momentum ETF could lose more than the original margin deposit required to initiate a futures transaction and; 4) losses could exceed amounts disclosed on the Statements of Assets and Liabilities.
Options Written/Purchased — The Value and Momentum ETF, Global Tail Risk ETF, 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 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. 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. 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 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.
Swaps Contracts — Swap contracts are agreements among the Fund and a counterparty to exchange the return of the pre-determined underlying investment (such as the rate of return of an underlying index). Swap agreements may be negotiated bilaterally and traded over the counter (“OTC”) between two parties or, for certain standardized swaps, must be exchange-traded through a futures commission merchant and/or cleared through a clearinghouse that serves as a central counterparty. Risks associated with the use of swap agreements are different from those associated with ordinary portfolio securities transactions, due in part to the fact they could be considered illiquid and many swaps trade on the OTC market. Swaps are particularly subject to counterparty credit, correlation, valuation, liquidity and leveraging risks. While exchange trading and central clearing are intended to reduce counterparty credit risk and increase liquidity, they do not make swap transactions risk-free. Additionally, applicable regulators have adopted rules imposing certain margin requirements, including minimums, on OTC swaps, which may result in the Fund and its counterparties posting higher margin amounts for OTC swaps, which could increase the cost of swap transactions to the Fund and impose added operational complexity.
Depending on their structure, swap agreements may increase or decrease the Fund’s exposure to long- or short-term interest rates (in the United States or abroad), commodities, and foreign currencies, and may increase or decrease the overall volatility of the Fund’s investments and its share price.
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Cambria ETF TrustNotes to Financial Statements
April 30, 2024
The fair value of derivative instruments as of April 30, 2024:
| Asset Derivatives |
| Liabilities Derivatives | ||||
Risk Exposure | Statements of Assets and |
| Fair |
| Statements of Assets and |
| Fair |
Cambria Value and Momentum ETF | | | | | | | |
Equity Risk (Futures Contracts) | Unrealized appreciation on futures contracts | | $776,038* | | Unrealized depreciation on futures contracts | | N/A |
Total | | | $776,038 | | | | |
| | | | | | | |
Cambria Global Tail Risk ETF | | | | | | | |
Equity Contracts (Purchased Options) | Investments, at value | | $94,680 | | Investments, at value | | N/A |
Total | | | $94,680 | | | | |
| | | | | | | |
Cambria Tail Risk ETF | | | | | | | |
Equity Contracts (Purchased Options) | Investments, at value | | $4,541,395 | | Investments, at value | | N/A |
Total | | | $4,541,395 | | | | |
| | | | | | | |
Cambria Cannabis ETF | | | | | | | |
Equity Contracts (Total Return Swaps) | Unrealized appreciation on swaps | | N/A | | Unrealized depreciation on swaps | | N/A |
Total | | | | | | | N/A |
*Includes cumulative appreciation/depreciation on futures contracts and swaps 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.
The effect of derivative instruments on the Statements of Operations for the year ended April 30, 2024:
Risk Exposure |
| Statement of Operations Location |
| Realized Gain/ |
| Change in Unrealized |
Cambria Value and Momentum ETF | | | | | | |
Equity Risk (Futures Contracts) | | Net Realized Gain (Loss) on Futures Contracts/Net change in Unrealized Appreciation (Depreciation) on Futures Contracts | | $(7,712,988) | | $1,997,081 |
Total | | | | $(7,712,988) | | $1,997,081 |
| | | | | | |
Cambria 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 | | $(605,046) | | $205,734 |
Total | | | | $(605,046) | | $205,734 |
| | | | | | |
Annual Report | April 30, 2024 87
Cambria ETF TrustNotes to Financial Statements
April 30, 2024
Risk Exposure |
| Statement of Operations Location |
| Realized Gain/ |
| Change in Unrealized |
Cambria 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 | | $(24,068,932) | | $8,046,610 |
Total | | | | $(24,068,932) | | $8,046,610 |
| | | | | | |
Cambria Cannabis ETF | | | | | | |
Equity Risk (Swap Contracts) | | Net Realized Gain (Loss) on | | $596,938 | | $0** |
Total | | | | $596,938 | | $0** |
*Purchased options are included within net realized gain (loss) on investments and net change in unrealized appreciation (depreciation) on investments.
** Does not round to $1
The monthly average notional value of the short equity futures contracts during the year ended April 30, 2024, for the Value and Momentum ETF was ($31,479,179). The average notional amount of purchased option contracts during the year ended April 30, 2024, for Global Tail Risk ETF and Tail Risk ETF was $9,511,129 and $404,708,760, respectively. The average monthly notional value of long and short swap contracts during the year ended April 30, 2024, for Cambria Cannabis ETF was $15,646 and $67,484, respectively.
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 year/period ended April 30, 2024, 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.
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. 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.
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Cambria ETF TrustNotes to Financial Statements
April 30, 2024
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.
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 year/period ended April 30, 2024:
| Creation Unit Shares |
| Creation Fee |
| Value |
| Redemption Fee |
| Variable Charge |
Cambria Shareholder Yield ETF | 50,000 | | $700 | | $3,447,000 | | $700 | | None |
Cambria Foreign Shareholder Yield ETF | 50,000 | | 2,500 | | 1,339,500 | | 2,500 | | Up to 2.0% |
Cambria Global Value ETF | 50,000 | | 3,500 | | 1,081,000 | | 3,500 | | Up to 2.0% |
Cambria Global Momentum ETF | 50,000 | | 500 | | 1,410,000 | | 500 | | Up to 2.0% |
Cambria Global Asset Allocation ETF | 50,000 | | 500 | | 1,411,500 | | 500 | | None |
Cambria Value and Momentum ETF | 50,000 | | 700 | | 1,436,000 | | 700 | | None |
Cambria Global Tail Risk ETF | 50,000 | | 500 | | 828,500 | | 500 | | Up to 2.0% |
Cambria Emerging Shareholder Yield ETF | 50,000 | | 3,500 | | 1,704,000 | | 3,500 | | Up to 2.0% |
Cambria Tail Risk ETF | 50,000 | | 500 | | 590,500 | | 500 | | None |
Cambria Trinity ETF | 50,000 | | 300 | | 1,275,000 | | 300 | | None |
Cambria Cannabis ETF | 50,000 | | 500 | | 338,000 | | 500 | | Up to 2.0% |
Cambria Global Real Estate ETF | 50,000 | | 1,500 | | 1,179,500 | | 1,500 | | Up to 2.0% |
Cambria Micro and SmallCap Shareholder Yield ETF | 25,000 | | 300 | | 635,250 | | 300 | | Up to 2.0% |
Cambria Tactical Yield ETF | 50,000 | | 300 | | 1,261,000 | | 300 | | Up to 2.0% |
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.
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April 30, 2024
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 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 April 30, 2024, the Funds’ financial instruments and derivative instruments are not subject to a master netting arrangement. See Note 10 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 (“Advisory Agreement”) with respect to the Funds. Pursuant to the Advisory 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% of each Funds average daily net assets in custody fees. The Advisory 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 contractually 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. Effective March 1, 2024, the Investment Adviser has agreed to a voluntarily waiver of the advisory fees on Funds with net assets under $50 million. During the year/period ended April 30, 2024, the Investment Adviser voluntarily waived the following:
|
| Fees Waived |
Global Tail Risk ETF | | $2,503 |
Cannabis ETF | | 24,162 |
Global Real Estate ETF | | 22,527 |
Micro and SmallCap ETF | | 26,300 |
Tactical Yield ETF | | 11,189 |
These voluntary waivers are in addition to the Cannabis ETF’s contractual fee waiver/expense limitation agreement discussed above and may be discontinued at any time. The fees waived are not eligible for recapture by the Investment Adviser. Additionally, the Investment Adviser earned $259,079 in management fees from the Global Momentum ETF related to the Fund’s investment in affiliated funds.
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 of 0.03% on the first $2 billion of the Funds aggregate average daily net assets and 0.025% of average daily net assets
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Cambria ETF TrustNotes to Financial Statements
April 30, 2024
over $2 billion by the Adviser, which is calculated and paid monthly. 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.
Administrator, Custodian and Transfer Agent — Tidal ETF Services LLC ( “Tidal”) serves as the Funds’ Administrator and, in that capacity, performs various administrative and management services for the Funds, and prepares reports and materials to be supplied to the Board. Prior to September 5, 2023, ALPS Fund Services served as the Funds’ administrator, and Brown Brothers Harriman & Co. (“BBH”) was the Funds’ transfer agent.
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as the Funds’ sub-administrator, fund accountant and transfer agent. In those capacities, Fund Services performs various administrative and accounting services for the Funds. Fund Services prepares various federal and state regulatory filings and reports for the Funds, including regulatory compliance monitoring and financial reporting; and monitors the activities of the Funds’ custodian. Effective September 5, 2023, U.S. Bank N.A. (the “Custodian”), an affiliate of Fund Services, served as the Funds’ custodian. The Custodian acts as the securities lending agent (the “Securities Lending Agent”) for the Funds, as applicable. BBH also serves as a custodian for certain securities pursuant to a custodian agreement.
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, Sub-Adviser and Administrator.
5. INVESTMENT TRANSACTIONS
For the year/period ended April 30, 2024, the purchases and sales of investments in securities, excluding in-kind transactions, long-term U.S. Government and short-term securities, were:
Fund |
| Purchases of Securities |
| Proceeds from Sales of Securities |
Cambria Shareholder Yield ETF | | $455,663,155 | | $456,622,445 |
Cambria Foreign Shareholder Yield ETF | | 106,507,864 | | 97,636,901 |
Cambria Global Value ETF | | 41,863,192 | | 43,284,688 |
Cambria Global Momentum ETF | | 252,014,915 | | 252,031,812 |
Cambria Global Asset Allocation ETF | | 7,610,878 | | 6,499,914 |
Cambria Value and Momentum ETF | | 34,845,494 | | 40,863,860 |
Cambria Global Tail Risk ETF | | 91,255 | | 214,684 |
Cambria Emerging Shareholder Yield ETF | | 160,681,636 | | 73,615,327 |
Cambria Tail Risk ETF | | 17,280,770 | | 82,734,318 |
Cambria Trinity ETF | | 81,330,277 | | 78,804,020 |
Cambria Cannabis ETF | | 1,137,189 | | 3,785,566 |
Cambria Global Real Estate ETF | | 17,610,278 | | 18,239,815 |
Cambria Micro and SmallCap Shareholder Yield ETF | | 2,455,033 | | 1,910,631 |
Cambria Tactical Yield ETF | | — | | — |
For the year ended April 30, 2024, the Tail Risk ETF had purchases and sales of U.S. Government securities of $18,299,385 and $134,183,993, respectively.
During the period ended April 30, 2024, the Funds realized net capital gains (losses) resulting from redemptions in kind in which Authorized Participants exchange Fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the Funds, and gains are not distributed to shareholders, they have been reclassified from accumulated gains to paid in capital.
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Cambria ETF TrustNotes to Financial Statements
April 30, 2024
For the year or period ended April 30, 2024, in-kind transactions associated with creations and redemptions were:
Fund |
| Purchases of Securities |
| Proceeds from Sales of Securities |
| Net Realized | |
Cambria Shareholder Yield ETF | | $745,844,403 | | $438,666,989 | | $152,900,193 | |
Cambria Foreign Shareholder Yield ETF | | 132,681,828 | | 73,632,152 | | 13,598,182 | |
Cambria Global Value ETF | | 16,028,476 | | 45,405,840 | | 8,636,204 | |
Cambria Global Momentum ETF | | 5,396,867 | | 46,587,861 | | 1,969,932 | |
Cambria Global Asset Allocation ETF | | 6,761,161 | | 6,669,791 | | 646,567 | |
Cambria Value and Momentum ETF | | 36,435,903 | | 49,643,265 | | 13,570,363 | |
Cambria Global Tail Risk ETF | | — | | 725,812 | | (4,417 | ) |
Cambria Emerging Shareholder Yield ETF | | 37,987,944 | | — | | — | |
Cambria Tail Risk ETF | | — | | 574,770 | | 13,519 | |
Cambria Trinity ETF | | 2,295,105 | | 17,510,617 | | 1,087,950 | |
Cambria Cannabis ETF | | — | | 778,223 | | (474,849 | ) |
Cambria Global Real Estate ETF | | 1,163,881 | | 3,596,627 | | 209,456 | |
Cambria Micro and SmallCap Shareholder Yield ETF | | 25,239,164 | | — | | — | |
Cambria Tactical Yield ETF | | — | | — | | — | |
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.
Corporate Bond Risk. Corporate bonds respond to economic developments, especially changes in interest rates, as well as perceptions of the creditworthiness and business prospects of individual issuers.
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.
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Cambria ETF TrustNotes to Financial Statements
April 30, 2024
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 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 bear their 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.
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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.
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.
94www.cambriafunds.com
Cambria ETF TrustNotes to Financial Statements
April 30, 2024
Micro Capitalization Company Risk. Micro capitalization companies are more vulnerable to adverse economic events and poor business conditions than larger, more established companies. The earnings and revenue of micro capitalization companies tend to be less predictable, and their securities are generally less liquid and subject to greater and more unpredictable price change.
Momentum Investing Risk. A Fund employs a “momentum” style of investing that emphasizes investing in securities that have had higher recent price performance compared to other securities. This style of investing is subject to the risk that these securities may be more volatile than a broad cross-section of securities or that the returns on securities that have previously exhibited price momentum are less than returns on other styles of investing or the overall stock market. High momentum may also be a sign that the securities’ prices have peaked. Momentum can turn quickly and cause significant variation from other types of investments. The Fund may experience significant losses if momentum stops, turns or otherwise behaves differently than predicted.
Mortgage-Backed Securities Risk. Movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain types of MBS. In addition, MBS generally can be prepaid at any time, and prepayments that occur either more quickly (prepayment risk) or more slowly (extension risk) than expected can adversely impact the value of such securities. MBS may be negatively affected by the quality of the underlying mortgages, the credit quality of its issuer or guarantor, and the nature and structure of its credit support. MBS not backed by the full faith and credit of the U.S. government are subject to the risk of default on the underlying mortgage, particularly during periods of economic downturn.
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.
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
Annual Report | April 30, 2024 95
Cambria ETF TrustNotes to Financial Statements
April 30, 2024
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.
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.
Sovereign Debt Securities Risk. Investments in sovereign debt obligations involve special risks not present in corporate debt obligations. The issuer of the sovereign debt or the authorities that control the repayment of the debt may be unable or unwilling to repay principal or interest when due, and the Fund may have limited recourse in the event of a default. During periods of economic uncertainty, the market prices of sovereign debt, and the Fund’s NAV, may be more volatile than prices of U.S. debt obligations. In the past, certain non-U.S. markets have encountered difficulties in servicing their debt obligations, withheld payments of principal and interest and declared moratoria on the payment of principal and interest on their sovereign debts. These risks increase for lower-rated and high yield debt securities, as discussed in this Prospectus.
Swaps Contract Risk. Each swap exposes the Fund to counterparty risk when a counterparty to a financial instrument entered into by the Fund may become bankrupt or otherwise fail to perform its obligations. As a result, the Fund may experience delays in or be prevented from obtaining payments owed to it pursuant to a swap contract.
U.S. Government Securities Risk. U.S. government securities are subject to market risk, interest rate risk and credit risk. Securities, such as those issued or guaranteed the U.S. Treasury, that are backed by the full faith and credit of the United States are guaranteed only as to the timely payment of interest and principal when held to maturity and the market prices for such securities will fluctuate. Notwithstanding that these securities are backed by the full faith and credit of the United States, circumstances could arise that would prevent the payment of interest or principal. This would result in losses to the Fund.
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.
96www.cambriafunds.com
Cambria ETF TrustNotes to Financial Statements
April 30, 2024
8. RECLASSIFICATION OF CAPITAL ACCOUNTS
U.S. GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. These differences are primarily due to adjustments for redemptions in-kind. For the year or period ended April 30, 2024, the following table shows the reclassifications made:
Fund |
| Paid-In Capital |
| Total Distributable Earnings | |
Cambria Shareholder Yield ETF | | $153,180,423 | | $(153,180,423 | ) |
Cambria Foreign Shareholder Yield ETF | | 11,471,534 | | (11,471,534 | ) |
Cambria Global Value ETF | | 8,569,651 | | (8,569,651 | ) |
Cambria Global Momentum ETF | | 2,012,672 | | (2,012,672 | ) |
Cambria Global Asset Allocation ETF | | 657,908 | | (657,908 | ) |
Cambria Value and Momentum ETF | | 13,571,184 | | (13,571,184 | ) |
Cambria Global Tail Risk ETF | | (161,257 | ) | 161,257 | |
Cambria Emerging Shareholder Yield ETF | | (236,193 | ) | 236,193 | |
Cambria Tail Risk ETF | | (5,493 | ) | 5,493 | |
Cambria Trinity ETF | | 1,062,700 | | (1,062,700 | ) |
Cambria Cannabis ETF | | (484,004 | ) | 484,004 | |
Cambria Global Real Estate ETF | | 221,115 | | (221,115 | ) |
Cambria Micro and SmallCap Shareholder Yield ETF | | — | | — | |
Cambria Tactical Yield ETF | | — | | — | |
9. INCOME TAXES AND DISTRIBUTIONS TO SHAREHOLDERS
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. 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 period ended April 30, 2024 and April 30, 2023, were as follows:
| | Period Ended April 30, 2024 | | Period Ended April 30, 2023 | ||||||
Fund |
| Ordinary |
| Long-Term |
| Return of | | Ordinary |
| Long-Term |
Cambria Shareholder Yield ETF | | $18,189,105 | | $— | | $— | | $15,158,346 | | $3,350,442 |
Cambria Foreign Shareholder Yield ETF | | 12,160,168 | | — | | — | | 5,789,832 | | — |
Cambria Global Value ETF | | 7,413,483 | | — | | — | | 5,123,088 | | — |
Cambria Global Momentum ETF | | 4,864,989 | | — | | 90,620 | | 3,308,682 | | — |
Cambria Global Asset Allocation ETF | | 1,918,316 | | — | | — | | 1,914,838 | | 178,108 |
Cambria Value and Momentum ETF | | 592,601 | | — | | — | | 1,755,804 | | — |
Cambria Global Tail Risk ETF | | 92,027 | | — | | 23,504 | | — | | — |
Cambria Emerging Shareholder Yield ETF | | 12,050,108 | | — | | — | | 5,803,121 | | 1,582,524 |
Cambria Tail Risk ETF | | 4,835,037 | | — | | — | | 5,934,009 | | — |
Cambria Trinity ETF | | 4,380,302 | | — | | 156,484 | | 3,255,280 | | 822,647 |
Cambria Cannabis ETF | | 397,187 | | — | | — | | 415,452 | | — |
Cambria Global Real Estate ETF | | 1,425,683 | | — | | — | | 783,635 | | — |
Cambria Micro and SmallCap Shareholder Yield ETF | | 173,103 | | — | | — | | N/A | | N/A |
Cambria Tactical Yield ETF | | 64,232 | | — | | — | | N/A | | N/A |
Annual Report | April 30, 2024 97
Cambria ETF TrustNotes to Financial Statements
April 30, 2024
Funds are permitted to carry forward losses for an unlimited period and losses that are carried forward will retain their character as either short- term or long-term capital losses. As of April 30, 2024, the Funds have the following capital loss carryforwards and offset capital gains for an unlimited period:
Fund |
| Non-Expiring |
| Non-Expiring |
Cambria Shareholder Yield ETF | | $16,665,178 | | $37,948,242 |
Cambria Foreign Shareholder Yield ETF | | 8,767,805 | | 10,005,276 |
Cambria Global Value ETF | | 473,925 | | 29,744,368 |
Cambria Global Momentum ETF | | 21,873,850 | | — |
Cambria Global Asset Allocation ETF | | — | | 936,799 |
Cambria Value and Momentum ETF | | 22,030,061 | | 6,796,208 |
Cambria Global Tail Risk ETF | | 466,673 | | 823,732 |
Cambria Emerging Shareholder Yield ETF | | 4,043,052 | | 1,591,206 |
Cambria Tail Risk ETF | | 53,432,380 | | 122,505,484 |
Cambria Trinity ETF | | 3,220,098 | | 2,065,785 |
Cambria Cannabis ETF | | 490,011 | | 15,301,020 |
Cambria Global Real Estate ETF | | 3,929,741 | | 674,048 |
Cambria Micro and SmallCap Shareholder Yield ETF | | — | | — |
Cambria Tactical Yield ETF | | — | | — |
Net capital losses incurred after October 31 (post-October losses) and net investment losses incurred after December 31 (late year losses), and within the taxable year, may be elected to be deferred to the first business day of the Fund’s next taxable year. As of April 30, 2024 the Global Tail Risk ETF had $60,503 in late-year losses. As of April 30, 2024, the remaining Funds had not elected to defer any post-October or late year losses.
The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments and foreign currency and distributable (accumulated) earnings (loss) held by the Funds at April 30, 2024, were as follows:
|
| Cambria Shareholder Yield ETF |
| Cambria Foreign Shareholder Yield ETF |
| Cambria Global Value ETF |
| Cambria Global Momentum ETF |
| Cambria Global Asset Allocation ETF |
| Cambria Value and Momentum ETF |
| Cambria Global Tail Risk ETF |
|
Cost of investments | | $1,195,949,345 | | $262,565,362 | | $115,848,191 | | $126,358,654 | | $55,552,980 | | $55,219,515 | | $2,642,707 | |
Gross tax unrealized appreciation | | 74,899,315 | | 27,527,680 | | 7,836,084 | | 11,206,311 | | 4,328,036 | | 7,590,138 | | 154,914 | |
Gross tax unrealized depreciation | | (76,724,403 | ) | (14,026,946 | ) | (18,778,628 | ) | (728,745 | ) | (3,914,127 | ) | (2,864,231 | ) | (422,294 | ) |
Net tax unrealized appreciation (depreciation) | | (1,825,088 | ) | 13,500,734 | | (10,942,544 | ) | 10,477,566 | | 413,909 | | 4,725,907 | | (267,380 | ) |
| | | | | | | | | | | | | | | |
Undistributed ordinary income (loss) | | 674,072 | | 4,918,099 | | 907,010 | | — | | 50,797 | | 6,829 | | — | |
Undistributed long-term capital gain (loss) | | — | | — | | — | | — | | — | | — | | — | |
Total distributable earnings | | 674,072 | | 4,918,099 | | 907,010 | | — | | 50,797 | | 6,829 | | — | |
Other accumulated gain (loss) | | (54,613,420 | ) | (18,773,081 | ) | (30,218,293 | ) | (21,873,850 | ) | (936,799 | ) | (28,826,269 | ) | (1,350,908 | ) |
| | | | | | | | | | | | | | | |
Total distributable (accumulated) earnings (losses) | | $(55,764,436 | ) | $(354,248 | ) | $(40,253,827 | ) | $(11,396,284 | ) | $(472,093 | ) | $(24,093,533 | ) | $(1,618,288 | ) |
|
| Cambria Emerging Shareholder Yield ETF |
| Cambria Tail Risk ETF |
| Cambria Trinity ETF |
| Cambria Cannabis ETF |
| Cambria Global Real Estate ETF |
| Cambria Micro and SmallCap Shareholder Yield ETF |
| Cambria Tactical Yield ETF |
|
Cost of investments | | $319,504,469 | | $84,582,994 | | $106,896,280 | | $17,821,383 | | $22,865,226 | | $26,327,479 | | $13,868,825 | |
Gross tax unrealized appreciation | | 68,719,461 | | 5,426,807 | | 6,628,955 | | 283,344 | | 1,383,981 | | 1,482,883 | | 268 | |
Gross tax unrealized depreciation | | (35,075,240 | ) | (10,006,523 | ) | (2,455,303 | ) | (8,716,740 | ) | (2,009,173 | ) | (1,144,905 | ) | (12,316 | ) |
Net tax unrealized appreciation (depreciation) | | 33,644,221 | | (4,579,716 | ) | 4,173,652 | | (8,433,396 | ) | (615,192 | ) | 337,978 | | (12,048 | ) |
| | | | | | | | | | | | | | | |
Undistributed ordinary income | | 6,876,278 | | 210,984 | | — | | 748,350 | | 71,805 | | 200,805 | | 74,031 | |
Undistributed long-term capital gain (loss) | | — | | — | | — | | — | | — | | — | | — | |
Total distributable earnings | | 6,876,278 | | 210,984 | | — | | 748,350 | | 71,805 | | 200,805 | | 74,031 | |
Other accumulated gain (loss) | | (5,634,258 | ) | (175,937,864 | ) | (5,285,883 | ) | (15,791,031 | ) | (4,603,789 | ) | — | | — | |
| | | | | | | | | | | | | | | |
Total distributable (accumulated) earnings (losses) | | $34,886,241 | | $(180,306,596 | ) | $(1,112,231 | ) | $(23,476,077 | ) | $(5,141,176 | ) | $538,783 | | $61,983 | |
98www.cambriafunds.com
Cambria ETF TrustNotes to Financial Statements
April 30, 2024
The difference between the federal income tax cost of portfolio investments and other financial instruments and the financial statement cost is due to certain timing differences in the recognition of capital gains or losses under income tax regulations and GAAP. These “book/tax” differences are temporary in nature and are due to the tax deferral of losses on wash sales, the tax treatment of passive foreign investment companies, partnership investments, the tax treatment of grantor trusts, and certain market to market adjustments.
10. SECURITIES LENDING
Certain Funds have entered into a Securities Lending Agreement with U.S. Bank N.A., (the “Lending Agent”) to lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit requirements or other criteria established by the Trust’s Board. These loans, if and when made, may not exceed 33 1/3% of the total asset value of the respective Fund (including the loan collateral). The Funds will not lend portfolio securities to the Adviser or its affiliates unless permissible under the 1940 Act and the rules and promulgations thereunder. Loans of portfolio securities will be fully collateralized by cash, letters of credit or U.S. government securities, and the collateral will be maintained in an amount equal to at least 102% of the then market value of domestic loaned securities and 105% of the value of foreign equity securities. However, due to market fluctuations during the day, the value of securities loaned on a particular day may, during the course of the day, exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior day’s market fluctuations and the current day’s lending activity. Income from lending activity is determined by the amount of interest earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that the Funds may be delayed or restricted from recovering the loaned securities or disposing of the collateral for the loan, which could give rise to loss because of adverse market actions, expenses and/or delays in connection with the disposition of the underlying securities. Any gain or loss in the market price of the securities loaned and income from lending activity by the Funds that might occur during the term of the loan would be for the account of that Fund.
Cash collateral received in connection with securities lending of each applicable Fund is invested in First American Government Obligations Fund Class X and is presented on the Schedules of Investments.
Securities lending transactions are entered into by a Fund under the Securities Lending Agreement, which permits a Fund, under certain circumstances such as an event of default, to offset amounts payable by a Fund to the same counterparty against amounts receivable from the counterparty to create a net payment due to or from a Fund.
The following is a summary of securities lending agreements held by the Funds, with cash collateral of overnight and continuous maturities and non‐ cash collateral, if any, which would be subject to offset as of April 30, 2024:
Fund | Value |
| Payable |
Cambria Shareholder Yield ETF | $11,904,696 | | $12,582,845 |
Cambria Foreign Shareholder Yield ETF | 6,797,236 | | 7,357,219 |
Cambria Global Asset Allocation ETF | 2,270,888 | | 2,337,750 |
Cambria Value And Momentum ETF | 456,301 | | 472,450 |
Cambria Trinity ETF | 3,798,487 | | 3,960,925 |
11. 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.
Annual Report | April 30, 2024 99
Cambria ETF TrustNotes to Financial Statements
April 30, 2024
12. SHAREHOLDER MEETINGS (UNAUDITED)
A special meeting of the shareholders was held on each of the following dates, to approve the below:
Meeting held August 25, 2023:
Cambria ETF Trust
1A.Election of Trustee: Cullen Roche
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 38,046,071.843 | | 97.677% | | 57.997% |
AGAINST | 0.000 | | 0.000% | | 0.000% |
ABS/WHD | 905,058.107 | | 2.323% | | 1.379% |
TOTAL | 38,951,129.950 | | 100.000% | | 59.376% |
1B.Election of Trustee: Thomas (Taz) M. Turner, Jr.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 36,969,477.094 | | 94.913% | | 56.356% |
AGAINST | 0.000 | | 0.000% | | 0.000% |
ABS/WHD | 1,981,652.856 | | 5.087% | | 3.020% |
TOTAL | 38,951,129.950 | | 100.000% | | 59.376% |
SYLD
2.To approve a new investment sub-advisory agreement between Cambria Investment Management, L.P. (“Cambria”) and Toroso Investments, LLC.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 3,537,504.283 | | 54.242% | | 28.643% |
AGAINST | 94,532.411 | | 1.450% | | 0.765% |
ABS/WHD | 119,787.215 | | 1.836% | | 0.969% |
BROKER NON-VOTE | 2,769,926.505 | | 42.472% | | 22.428% |
TOTAL | 6,521,750.414 | | 100.000% | | 52.805% |
3.To approve a “manager of managers” arrangement that would grant Cambria greater flexibility to enter into and materially amend agreements with unaffiliated sub-advisers without shareholder approval, subject to prior approval by the Board.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 3,415,745.764 | | 52.375% | | 27.657% |
AGAINST | 188,865.984 | | 2.896% | | 1.529% |
ABS/WHD | 147,213.161 | | 2.257% | | 1.192% |
BROKER NON-VOTE | 2,769,925.505 | | 42.472% | | 22.428% |
TOTAL | 6,521,750.414 | | 100.000% | | 52.806% |
100www.cambriafunds.com
Cambria ETF TrustNotes to Financial Statements
April 30, 2024
FYLD
2.To approve a new investment sub-advisory agreement between Cambria Investment Management, L.P. (“Cambria”) and Toroso Investments, LLC.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 3,435,491.144 | | 73.122% | | 45.503% |
AGAINST | 42,415.040 | | 0.903% | | 0.561% |
ABS/WHD | 37,628.177 | | 0.801% | | 0.498% |
BROKER NON-VOTE | 1,182,803.096 | | 25.174% | | 15.666% |
TOTAL | 4,698,337.457 | | 100.000% | | 62.228% |
3.To approve a “manager of managers” arrangement that would grant Cambria greater flexibility to enter into and materially amend agreements with unaffiliated sub-advisers without shareholder approval, subject to prior approval by the Board.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 3,380,920.961 | | 71.960% | | 44.780% |
AGAINST | 100,213.711 | | 2.133% | | 1.327% |
ABS/WHD | 34,399.689 | | 0.733% | | 0.455% |
BROKER NON-VOTE | 1,182,803.096 | | 25.174% | | 15.666% |
TOTAL | 4,698,337.457 | | 100.000% | | 62.228% |
GVAL
2.To approve a new investment sub-advisory agreement between Cambria Investment Management, L.P. (“Cambria”) and Toroso Investments, LLC.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 3,328,328.025 | | 82.737% | | 50.049% |
AGAINST | 15,905.175 | | 0.395% | | 0.239% |
ABS/WHD | 26,111.273 | | 0.649% | | 0.392% |
BROKER NON-VOTE | 652,465.436 | | 16.219% | | 9.811% |
TOTAL | 4,022,809.909 | | 100.000% | | 60.491% |
3.To approve a “manager of managers” arrangement that would grant Cambria greater flexibility to enter into and materially amend agreements with unaffiliated sub-advisers without shareholder approval, subject to prior approval by the Board.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 3,293,180.207 | | 81.863% | | 49.521% |
AGAINST | 42,587.176 | | 1.059% | | 0.640% |
ABS/WHD | 34,577.090 | | 0.859% | | 0.519% |
BROKER NON-VOTE | 652,465.436 | | 16.219% | | 9.811% |
TOTAL | 4,022,809.909 | | 100.000% | | 60.491% |
Annual Report | April 30, 2024 101
Cambria ETF TrustNotes to Financial Statements
April 30, 2024 (Unaudited)
GMOM
2.To approve a new investment sub-advisory agreement between Cambria Investment Management, L.P. (“Cambria”) and Toroso Investments, LLC.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 2,829,953.964 | | 80.851% | | 45.279% |
AGAINST | 21,776.696 | | 0.623% | | 0.348% |
ABS/WHD | 31,425.166 | | 0.897% | | 0.502% |
BROKER NON-VOTE | 617,067.759 | | 17.629% | | 9.873% |
TOTAL | 3,500,223.585 | | 100.000% | | 56.002% |
3.To approve a “manager of managers” arrangement that would grant Cambria greater flexibility to enter into and materially amend agreements with unaffiliated sub-advisers without shareholder approval, subject to prior approval by the Board.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 2,789,075.130 | | 79.683% | | 44.625% |
AGAINST | 61,090.951 | | 1.746% | | 0.977% |
ABS/WHD | 32,989.745 | | 0.942% | | 0.527% |
BROKER NON-VOTE | 617,067.759 | | 17.629% | | 9.873% |
TOTAL | 3,500,223.585 | | 100.000% | | 56.002% |
GAA
2.To approve a new investment sub-advisory agreement between Cambria Investment Management, L.P. (“Cambria”) and Toroso Investments, LLC.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 710,065.649 | | 77.747% | | 38.381% |
AGAINST | 39,486.984 | | 4.324% | | 2.134% |
ABS/WHD | 19,236.153 | | 2.106% | | 1.039% |
BROKER NON-VOTE | 144,519.802 | | 15.823% | | 7.811% |
TOTAL | 913,308.588 | | 100.000% | | 49.365% |
3. To approve a “manager of managers” arrangement that would grant Cambria greater flexibility to enter into and materially amend agreements with unaffiliated sub-advisers without shareholder approval, subject to prior approval by the Board.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 661,447.293 | | 72.424% | | 35.753% |
AGAINST | 71,628.350 | | 7.843% | | 3.871% |
ABS/WHD | 35,713.143 | | 3.910% | | 1.930% |
BROKER NON-VOTE | 144,519.802 | | 15.823% | | 7.811% |
TOTAL | 913,308.588 | | 100.000% | | 49.365% |
102www.cambriafunds.com
Cambria ETF TrustNotes to Financial Statements
April 30, 2024 (Unaudited)
EYLD
2.To approve a new investment sub-advisory agreement between Cambria Investment Management, L.P. (“Cambria”) and Toroso Investments, LLC.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 2,549,851.040 | | 75.740% | | 41.460% |
AGAINST | 26,868.115 | | 0.799% | | 0.436% |
ABS/WHD | 26,562.207 | | 0.788% | | 0.431% |
BROKER NON-VOTE | 763,322.248 | | 22.673% | | 12.411% |
TOTAL | 3,366,603.610 | | 100.000% | | 54.738% |
3.To approve a “manager of managers” arrangement that would grant Cambria greater flexibility to enter into and materially amend agreements with unaffiliated sub-advisers without shareholder approval, subject to prior approval by the Board.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 2,506,621.789 | | 74.456% | | 40.758% |
AGAINST | 75,211.817 | | 2.234% | | 1.222% |
ABS/WHD | 21,447.756 | | 0.637% | | 0.348% |
BROKER NON-VOTE | 763,322.248 | | 22.673% | | 12.411% |
TOTAL | 3,366,603.610 | | 100.000% | | 54.739% |
FAIL
2.To approve a new investment sub-advisory agreement between Cambria Investment Management, L.P. (“Cambria”) and Toroso Investments, LLC.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 69,330.904 | | 86.060% | | 34.665% |
AGAINST | 1,066.000 | | 1.323% | | 0.533% |
ABS/WHD | 1,517.000 | | 1.883% | | 0.758% |
BROKER NON-VOTE | 8,647.999 | | 10.734% | | 4.323% |
TOTAL | 80,561.903 | | 100.000% | | 40.279% |
3.To approve a “manager of managers” arrangement that would grant Cambria greater flexibility to enter into and materially amend agreements with unaffiliated sub-advisers without shareholder approval, subject to prior approval by the Board.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 69,112.904 | | 85.789% | | 34.556% |
AGAINST | 1,136.000 | | 1.411% | | 0.568% |
ABS/WHD | 1,665.000 | | 2.066% | | 0.832% |
BROKER NON-VOTE | 8,647.999 | | 10.734% | | 4.323% |
TOTAL | 80,561.903 | | 100.000% | | 40.279% |
Annual Report | April 30, 2024 103
Cambria ETF TrustNotes to Financial Statements
April 30, 2024 (Unaudited)
BLDG
2.To approve a new investment sub-advisory agreement between Cambria Investment Management, L.P. (“Cambria”) and Toroso Investments, LLC.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 701,859.023 | | 90.074% | | 63.805% |
AGAINST | 1,072.000 | | 0.138% | | 0.097% |
ABS/WHD | 10,748.496 | | 1.379% | | 0.977% |
BROKER NON-VOTE | 65,524.927 | | 8.409% | | 5.956% |
TOTAL | 779,204.446 | | 100.000% | | 70.835% |
3.To approve a “manager of managers” arrangement that would grant Cambria greater flexibility to enter into and materially amend agreements with unaffiliated sub-advisers without shareholder approval, subject to prior approval by the Board.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 700,773.970 | | 89.935% | | 63.706% |
AGAINST | 3,054.053 | | 0.392% | | 0.277% |
ABS/WHD | 9,851.496 | | 1.264% | | 0.895% |
BROKER NON-VOTE | 65,524.927 | | 8.409% | | 5.956% |
TOTAL | 779,204.446 | | 100.000% | | 70.834% |
TOKE
2.To approve a new investment sub-advisory agreement between Cambria Investment Management, L.P. (“Cambria”) and Toroso Investments, LLC.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 600,435.132 | | 59.969% | | 34.310% |
AGAINST | 56,486.482 | | 5.642% | | 3.227% |
ABS/WHD | 26,684.697 | | 2.665% | | 1.524% |
BROKER NON-VOTE | 317,640.661 | | 31.724% | | 18.150% |
TOTAL | 1,001,246.972 | | 100.000% | | 57.211% |
3.To approve a “manager of managers” arrangement that would grant Cambria greater flexibility to enter into and materially amend agreements with unaffiliated sub-advisers without shareholder approval, subject to prior approval by the Board.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 552,494.146 | | 55.181% | | 31.571% |
AGAINST | 102,702.233 | | 10.258% | | 5.868% |
ABS/WHD | 28,409.932 | | 2.837% | | 1.623% |
BROKER NON-VOTE | 317,640.661 | | 31.724% | | 18.150% |
TOTAL | 1,001,246.972 | | 100.000% | | 57.212% |
104www.cambriafunds.com
Cambria ETF TrustNotes to Financial Statements
April 30, 2024 (Unaudited)
TRTY
2.To approve a new investment sub-advisory agreement between Cambria Investment Management, L.P. (“Cambria”) and Toroso Investments, LLC.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 2,620,596.870 | | 78.719% | | 54.595% |
AGAINST | 14,621.411 | | 0.440% | | 0.304% |
ABS/WHD | 6,952.470 | | 0.208% | | 0.144% |
BROKER NON-VOTE | 686,921.902 | | 20.633% | | 14.310% |
TOTAL | 3,329,092.653 | | 100.000% | | 69.353% |
3.To approve a “manager of managers” arrangement that would grant Cambria greater flexibility to enter into and materially amend agreements with unaffiliated sub-advisers without shareholder approval, subject to prior approval by the Board.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 2,600,304.870 | | 78.109% | | 54.172% |
AGAINST | 36,989.411 | | 1.112% | | 0.770% |
ABS/WHD | 4,876.470 | | 0.146% | | 0.101% |
BROKER NON-VOTE | 686,921.902 | | 20.633% | | 14.310% |
TOTAL | 3,329,092.653 | | 100.000% | | 69.353% |
TAIL
2.To approve a new investment sub-advisory agreement between Cambria Investment Management, L.P. (“Cambria”) and Toroso Investments, LLC.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 5,039,893.848 | | 54.848% | | 34.878% |
AGAINST | 134,542.843 | | 1.465% | | 0.931% |
ABS/WHD | 141,317.817 | | 1.537% | | 0.977% |
BROKER NON-VOTE | 3,873,169.513 | | 42.150% | | 26.803% |
TOTAL | 9,188,924.021 | | 100.000% | | 63.589% |
3.To approve a “manager of managers” arrangement that would grant Cambria greater flexibility to enter into and materially amend agreements with unaffiliated sub-advisers without shareholder approval, subject to prior approval by the Board.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 4,939,666.164 | | 53.757% | | 34.184% |
AGAINST | 253,446.327 | | 2.759% | | 1.753% |
ABS/WHD | 122,642.017 | | 1.334% | | 0.848% |
BROKER NON-VOTE | 3,873,169.513 | | 42.150% | | 26.803% |
TOTAL | 9,188,924.021 | | 100.000% | | 63.588% |
Annual Report | April 30, 2024 105
Cambria ETF TrustNotes to Financial Statements
April 30, 2024 (Unaudited)
VAMO
2.To approve a new investment sub-advisory agreement between Cambria Investment Management, L.P. (“Cambria”) and Toroso Investments, LLC.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 1,382,060.024 | | 89.219% | | 55.282% |
AGAINST | 11,619.813 | | 0.751% | | 0.464% |
ABS/WHD | 2,177.000 | | 0.140% | | 0.087% |
BROKER NON-VOTE | 153,209.550 | | 9.890% | | 6.128% |
TOTAL | 1,549,066.387 | | 100.000% | | 61.961% |
3.To approve a “manager of managers” arrangement that would grant Cambria greater flexibility to enter into and materially amend agreements with unaffiliated sub-advisers without shareholder approval, subject to prior approval by the Board.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 1,381,408.133 | | 89.177% | | 55.256% |
AGAINST | 12,415.027 | | 0.802% | | 0.496% |
ABS/WHD | 2,033.677 | | 0.131% | | 0.081% |
BROKER NON-VOTE | 153,209.550 | | 9.890% | | 6.128% |
TOTAL | 1,549,066.387 | | 100.000% | | 61.961% |
Meeting held October 19, 2023:
SYLD
1.To approve a new investment sub-advisory agreement between Cambria Investment Management, L.P. (“Cambria”) and Toroso Investments, LLC.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 5,183,861.549 | | 69.497% | | 41.974% |
AGAINST | 182,753.312 | | 2.450% | | 1.479% |
ABS/WHD | 245,561.945 | | 3.292% | | 1.988% |
BROKER NON-VOTE | 1,846,959.205 | | 24.761% | | 14.955% |
TOTAL | 7,459,136.011 | | 100.000% | | 60.396% |
2.To approve a “manager of managers” arrangement that would grant Cambria greater flexibility to enter into and materially amend agreements with unaffiliated sub-advisers without shareholder approval, subject to prior approval by the Board.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 5,041,666.225 | | 67.591% | | 40.823% |
AGAINST | 297,536.435 | | 3.989% | | 2.409% |
ABS/WHD | 272,975.146 | | 3.659% | | 2.210% |
BROKER NON-VOTE | 1,846,958.205 | | 24.761% | | 14.955% |
TOTAL | 7,459,136.011 | | 100.000% | | 60.397% |
106www.cambriafunds.com
Cambria ETF TrustNotes to Financial Statements
April 30, 2024 (Unaudited)
GAA
2.To approve a new investment sub-advisory agreement between Cambria Investment Management, L.P. (“Cambria”) and Toroso Investments, LLC.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 800,731.945 | | 79.982% | | 43.282% |
AGAINST | 45,851.794 | | 4.580% | | 2.478% |
ABS/WHD | 22,948.636 | | 2.292% | | 1.240% |
BROKER NON-VOTE | 131,615.802 | | 13.146% | | 7.114% |
TOTAL | 1,001,148.177 | | 100.000% | | 54.114% |
3.To approve a “manager of managers” arrangement that would grant Cambria greater flexibility to enter into and materially amend agreements with unaffiliated sub-advisers without shareholder approval, subject to prior approval by the Board.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 750,898.968 | | 75.004% | | 40.589% |
AGAINST | 79,761.160 | | 7.967% | | 4.311% |
ABS/WHD | 38,872.247 | | 3.883% | | 2.101% |
BROKER NON-VOTE | 131,615.802 | | 13.146% | | 7.114% |
TOTAL | 1,001,148.177 | | 100.000% | | 54.115% |
FAIL
2.To approve a new investment sub-advisory agreement between Cambria Investment Management, L.P. (“Cambria”) and Toroso Investments, LLC.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 77,407.708 | | 88.392% | | 38.703% |
AGAINST | 1,066.000 | | 1.218% | | 0.533% |
ABS/WHD | 1,856.000 | | 2.119% | | 0.928% |
BROKER NON-VOTE | 7,243.999 | | 8.271% | | 3.621% |
TOTAL | 87,573.707 | | 100.000% | | 43.785% |
3.To approve a “manager of managers” arrangement that would grant Cambria greater flexibility to enter into and materially amend agreements with unaffiliated sub-advisers without shareholder approval, subject to prior approval by the Board.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 77,204.708 | | 88.160% | | 38.602% |
AGAINST | 1,336.000 | | 1.526% | | 0.668% |
ABS/WHD | 1,789.000 | | 2.043% | | 0.894% |
BROKER NON-VOTE | 7,243.999 | | 8.271% | | 3.621% |
TOTAL | 87,573.707 | | 100.000% | | 43.785% |
Annual Report | April 30, 2024 107
Cambria ETF TrustNotes to Financial Statements
April 30, 2024 (Unaudited)
TOKE
2.To approve a new investment sub-advisory agreement between Cambria Investment Management, L.P. (“Cambria”) and Toroso Investments, LLC.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 863,422.130 | | 72.163% | | 49.338% |
AGAINST | 74,238.552 | | 6.205% | | 4.242% |
ABS/WHD | 49,085.674 | | 4.102% | | 2.804% |
BROKER NON-VOTE | 209,757.666 | | 17.530% | | 11.986% |
TOTAL | 1,196,504.022 | | 100.000% | | 68.370% |
3. To approve a “manager of managers” arrangement that would grant Cambria greater flexibility to enter into and materially amend agreements with unaffiliated sub-advisers without shareholder approval, subject to prior approval by the Board.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 804,827.665 | | 67.265% | | 45.990% |
AGAINST | 131,673.617 | | 11.005% | | 7.524% |
ABS/WHD | 50,245.074 | | 4.200% | | 2.871% |
BROKER NON-VOTE | 209,757.666 | | 17.530% | | 11.986% |
TOTAL | 1,196,504.022 | | 100.000% | | 68.371% |
TAIL
2.To approve a new investment sub-advisory agreement between Cambria Investment Management, L.P. (“Cambria”) and Toroso Investments, LLC.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 6,923,842.219 | | 69.040% | | 47.915% |
AGAINST | 199,982.851 | | 1.995% | | 1.383% |
ABS/WHD | 249,937.611 | | 2.492% | | 1.729% |
BROKER NON-VOTE | 2,654,982.124 | | 26.473% | | 18.373% |
TOTAL | 10,028,744.805 | | 100.000% | | 69.400% |
3. To approve a “manager of managers” arrangement that would grant Cambria greater flexibility to enter into and materially amend agreements with unaffiliated sub-advisers without shareholder approval, subject to prior approval by the Board.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 6,772,162.812 | | 67.528% | | 46.866% |
AGAINST | 368,883.640 | | 3.679% | | 2.552% |
ABS/WHD | 232,716.229 | | 2.320% | | 1.610% |
BROKER NON-VOTE | 2,654,982.124 | | 26.473% | | 18.373% |
TOTAL | 10,028,744.805 | | 100.000% | | 69.401% |
108www.cambriafunds.com
Cambria ETF TrustNotes to Financial Statements
April 30, 2024 (Unaudited)
Meeting held November 10, 2023:
FAIL
1.To approve a new investment sub-advisory agreement between Cambria Investment Management, L.P. (“Cambria”) and Toroso Investments, LLC.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 96,501.496 | | 89.841% | | 48.250% |
AGAINST | 1,324.528 | | 1.233% | | 0.662% |
ABS/WHD | 2,481.684 | | 2.310% | | 1.240% |
BROKER NON-VOTE | 7,106.999 | | 6.616% | | 3.553% |
TOTAL | 107,414.707 | | 100.000% | | 53.705% |
2.To approve a “manager of managers” arrangement that would grant Cambria greater flexibility to enter into and materially amend agreements with unaffiliated sub-advisers without shareholder approval, subject to prior approval by the Board.
| SHARES VOTED |
| % OF VOTED |
| % OF TOTAL |
FOR | 96,248.299 | | 89.605% | | 48.124% |
AGAINST | 1,659.408 | | 1.545% | | 0.829% |
ABS/WHD | 2,400.001 | | 2.234% | | 1.200% |
BROKER NON-VOTE | 7,106.999 | | 6.616% | | 3.553% |
TOTAL | 107,414.707 | | 100.000% | | 53.706% |
Annual Report | April 30, 2024 109
To the Shareholders and Board of Trustees of
Cambria ETF Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments and total return swap contracts, of Cambria ETF Trust comprising the funds listed below (the “Funds”) as of April 30, 2024, the related statements of operations, the statements of changes in net assets, and the financial highlights for each of the periods indicated below, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of April 30, 2024, the results of their operations, the changes in net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.
Fund Name |
| Statements of |
| Statements of |
| Financial Highlights |
Cambria Shareholder Yield ETF, Cambria Foreign Shareholder Yield ETF, Cambria Global Value ETF, Cambria Global Momentum ETF, Cambria Global Asset Allocation ETF, Cambria Value and Momentum ETF, Cambria Global Tail Risk ETF, Cambria Emerging Shareholder Yield ETF, Cambria Tail Risk ETF, and Cambria Trinity ETF | | For the year ended April 30, 2024 | | For the years | | For the years ended April 30, 2024, 2023, 2022, 2021, and 2020 |
Cambria Cannabis ETF | | For the year ended April 30, 2024 | | For the years | | For the years ended April 30, 2024, 2023, 2022, and 2021 and for the period from July 24, 2019 (commencement of operations) through April 30, 2020 |
Cambria Global Real Estate ETF | | For the year ended April 30, 2024 | | For the years | | For the years ended April 30, 2024, 2023, and 2022 and for the period from September 23, 2020 (commencement of operations) through April 30, 2021 |
Cambria Micro and SmallCap Shareholder Yield ETF and Cambria Tactical Yield ETF | | For the period from January 4, 2024 (commencement of operations) through April 30, 2024 |
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
110www.cambriafunds.com
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of April 30, 2024, by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the Funds’ auditor since 2016.
![](https://capedge.com/proxy/N-CSRA/0001999371-24-009982/cmba-ncsr_043024img016.gif)
COHEN & COMPANY, LTD.
Cleveland, Ohio
July 1, 2024
Annual Report | April 30, 2024 111
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. Shareholder 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 the ETF’s gross income and directly reduce its final investment return. These expenses are expressed as a percentage of the ETF’s average net assets; this percentage is known as the ETF’s expense ratio.
The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other funds. The examples 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 (November 1, 2023 to April 30, 2024).
The table below illustrates your Fund’s costs in two ways:
Actual Fund Return. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.
You can use this information, together with the actual amount you invested in the Fund, to estimate the expenses you paid over that period. Simply divide your actual account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”
Hypothetical 5% Return. This section helps you compare your Fund’s costs with those of other funds. It assumes that the Fund had an annual 5% return before expenses during the period, but that the expense ratio (Column 3) for the period is unchanged. This example is useful in making comparisons because the Commission requires all funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expenses Paid During Period” column with those that appear in the same charts in the shareholder reports for other funds.
NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown may not apply to your specific investment.
| Beginning Account Value |
| Ending |
| Expense Ratio(a) |
| Expenses Paid | |
Shareholder Yield ETF | | | | | | | | |
Actual | $1,000.00 | | $1,179.70 | | 0.59% | | $3.20 | |
Hypothetical (5% return before expenses) | 1,000.00 | | 1,021.93 | | 0.59% | | 2.97 | |
| | | | | | | | |
Foreign Shareholder Yield ETF | | | | | | | | |
Actual | 1,000.00 | | 1,169.10 | | 0.52% | | 2.80 | |
Hypothetical (5% return before expenses) | 1,000.00 | | 1,021.93 | | 0.52% | | 2.61 | |
| | | | | | | | |
Global Value ETF | | | | | | | | |
Actual | 1,000.00 | | 1,140.60 | | 0.66% | | 3.51 | |
Hypothetical (5% return before expenses) | 1,000.00 | | 1,021.58 | | 0.66% | | 3.32 | |
| | | | | | | | |
Global Momentum ETF | | | | | | | | |
Actual | 1,000.00 | | 1,090.40 | | 0.59% | | 3.07 | |
Hypothetical (5% return before expenses) | 1,000.00 | | 1,021.93 | | 0.59% | | 2.97 | |
| | | | | | | | |
Global Asset Allocation ETF | | | | | | | | |
Actual | 1,000.00 | | 1,117.90 | | —% | | — | |
Hypothetical (5% return before expenses) | 1,000.00 | | 1,024.86 | | —% | | — | |
| | | | | | | | |
112www.cambriafunds.com
Cambria ETF TrustDisclosure of Fund Expenses
April 30, 2024 (Unaudited)
| Beginning Account Value |
| Ending |
| Expense Ratio(a) |
| Expenses Paid | |
Value and Momentum ETF | | | | | | | | |
Actual | $1,000.00 | | $1,106.20 | | 0.58% | | $3.04 | |
Hypothetical (5% return before expenses) | 1,000.00 | | 1,021.98 | | 0.58% | | 2.92 | |
| | | | | | | | |
Global Tail Risk ETF(d) | | | | | | | | |
Actual | 1,000.00 | | 883.60 | | 0.40% | | 1.55 | |
Hypothetical (5% return before expenses) | 1,000.00 | | 1,023.22 | | 0.40% | | 1.66 | |
| | | | | | | | |
Emerging Shareholder Yield ETF | | | | | | | | |
Actual | 1,000.00 | | 1,257.90 | | 0.62% | | 3.48 | |
Hypothetical (5% return before expenses) | 1,000.00 | | 1,021.78 | | 0.62% | | 3.12 | |
| | | | | | | | |
Tail Risk ETF | | | | | | | | |
Actual | 1,000.00 | | 934.10 | | 0.59% | | 2.84 | |
Hypothetical (5% return before expenses) | 1,000.00 | | 1,021.93 | | 0.59% | | 2.97 | |
| | | | | | | | |
Trintiy ETF | | | | | | | | |
Actual | 1,000.00 | | 1,088.80 | | —% | | — | |
Hypothetical (5% return before expenses) | 1,000.00 | | 1,024.86 | | —% | | — | |
| | | | | | | | |
Cannabis ETF(d) | | | | | | | | |
Actual | 1,000.00 | | 1,310.50 | | 0.28% | | 1.61 | |
Hypothetical (5% return before expenses) | 1,000.00 | | 1,023.47 | | 0.28% | | 1.41 | |
| | | | | | | | |
Global Real Estate ETF(d) | | | | | | | | |
Actual | 1,000.00 | | 1,103.30 | | 0.39% | | 2.04 | |
Hypothetical (5% return before expenses) | 1,000.00 | | 1,022.92 | | 0.39% | | 1.96 | |
| | | | | | | | |
Micro and SmallCap ETF(d) | | | | | | | | |
Actual | 1,000.00 | | 1,023.10 | | 0.20% | | 0.65 | (c) |
Hypothetical (5% return before expenses) | 1,000.00 | | 1,023.87 | | 0.20% | | 1.01 | |
| | | | | | | | |
Tactical Yield ETF(d) | | | | | | | | |
Actual | 1,000.00 | | 1,014.50 | | 0.18% | | 0.58 | (c) |
Hypothetical (5% return before expenses) | 1,000.00 | | 1,023.97 | | 0.18% | | 0.91 | |
(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 (182) in the most recent six month period and divided by the number of days in the most recent twelve month period (366). The annualized expense ratios reflect fee waiver and expense limitation arrangements, including custody fees, in effect during the period. The “Financial Highlights” tables in the Funds’ financial statements, included in the report, also show the gross expense ratios, without such reimbursements.
(c)Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days (118) since inception (reflecting the period from January 4, 2024 to April 30, 2024) and divided by the number of days in the most recent twelve month period (366). The annualized expense ratios reflect fee waiver and expense limitation arrangements, including custody fees, in effect during the period. The “Financial Highlights” tables in the Funds’ financial statements, included in the report, also show the gross expense ratios, without such reimbursements.
(d)Effective March 1, 2024, the adviser fees were waived on Funds under $50 million.
Annual Report | April 30, 2024 113
Board Considerations in Approving the Investment Advisory Agreement
The Board of Trustees (the “Board”) of Cambria ETF Trust (the “Trust”), including those Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), attended a meeting held via videoconference on March 5, 2024 (the “Meeting”), called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the investment advisory agreement (the “Agreement”) between Cambria Investment Management, L.P. (“Cambria”) and the Trust, with respect to each series of the Trust except for the Cambria Micro and SmallCap Shareholder Yield ETF and Cambria Tactical Yield ETF (each, a “Fund” and, collectively, the “Funds”). In preparation for its deliberations, the Board requested and reviewed written responses from Cambria to a due diligence questionnaire circulated on the Board’s behalf relating to the Funds. The Board also reviewed a memorandum from Fund counsel discussing the legal standards applicable to its consideration of the Agreement. During its deliberations, the Board received an oral presentation from Cambria and was assisted by the advice of independent legal counsel.
In evaluating the Agreement, the Board reviewed information regarding Cambria’s personnel, operations, and financial condition. In addition, the Board considered the evaluation process of Cambria to be ongoing and, in this regard, the Board considered information about Cambria derived from prior meetings of the Board concerning Cambria’s performance and services with respect to the Funds as part of the 15(c) review process. At the Meeting, the Board considered: (1) the nature, extent and quality of the services provided to the Funds by Cambria; (2) the investment performance of Cambria with respect to each Fund; (3) the costs of the services provided by Cambria and the profitability to Cambria derived from its relationship with each Fund; (4) the advisory fee and total expense ratio of each Fund as compared to those of its relevant peer group of funds (each, a “Peer Group”); (5) the extent to which economies of scale would be realized as the Funds grow and whether the advisory fee would enable investors to share in the benefits of economies of scale; (6) any other financial benefits to be derived by Cambria and its affiliates from their relationship with the Funds; (7) Cambria’s reputation, expertise and resources in the financial markets; (8) Cambria’s investment management personnel; (9) Cambria’s operations and financial condition; (10) Cambria’s compliance program; and (11) other factors the Board deemed relevant.
The discussion immediately below outlines in greater detail the materials and information presented to the Board in connection with its consideration and approval of the Agreement, and the conclusions made by the Board at the Meeting when determining to approve the Agreement on behalf of the Funds.
Nature, Extent and Quality of Services. The Board reviewed the nature, quality, and extent of the overall services to be provided by Cambria to the Funds. In particular, the Board considered Cambria’s responsibilities under the terms of the Agreement, recognizing that Cambria had invested significant time and effort in structuring the Trust, developing the Funds, arranging service providers, exploring various sales channels, and assessing the appeal for each Fund’s investment strategy. In addition, the Board considered that Cambria is responsible for providing investment advisory services to each Fund, monitoring compliance with each Fund’s objectives, policies, and restrictions, and carrying out directives of the Board. The Board also considered the services provided by Cambria in the oversight of Tidal as well as the Trust’s distributor, administrator, transfer agent, and custodian. In addition, the Board evaluated the integrity of Cambria’s personnel, the professional qualifications and experience of the portfolio management team in managing assets, their experiences with Cambria’s services, and the adequacy of Cambria’s resources and financial condition. Based on its review, within the context of its full deliberations, the Board determined that it was satisfied with the nature, extent and quality of the services provided to the Funds by Cambria.
Performance. The Board noted that it considered the performance of the Funds throughout the year and reviewed each Fund’s performance for the three-month, 12-month, and since inception periods ended January 31, 2024. In this regard, among other things, the Board considered reports comparing each Fund’s total returns to the total returns of the Fund’s Peer Group and its benchmark index. Representatives from Cambria provided information regarding, and led a discussion on, the factors impacting each Fund’s performance, including current market conditions and Cambria’s future expectations with respect to each Fund’s strategies.
Cambria Shareholder Yield ETF: The Board considered that the Fund underperformed, before fees and expenses, the S&P 500, its benchmark index, for the since inception period, 12- and three-month periods. Primary drivers of the Fund’s underperformance for the 12- and three-month periods, relative to its benchmark, were an underweight allocation to the Technology and Communication Services sectors. The Board further noted that the Fund outperformed all of the funds in its Peer Group for the since inception period, had underperformed all but one of its Peer Group funds for the 12-month period, and had outperformed half of its Peer Group funds for the 3-month period.
Cambria Foreign Shareholder Yield ETF: The Board considered that the Fund underperformed, before fees and expenses, the MSCI EAFE Index, its benchmark index, for the since inception, 12- and three-month periods. Primary drivers of the Fund’s underperformance during the three-month period, relative to its benchmark, were its exposure to the Swiss Franc and Euro, security selection in France, and underweight allocation in Germany. The Fund’s overweight allocation to Hong Kong, as well as its security selection and currency exposure in Switzerland drove underperformance relative to its benchmark for the 12-month period. The Board further noted that the Fund outperformed all of the funds in its Peer Group during all three periods, except the Fund slightly underperformed one of its peer funds during the most recent three-month period.
114www.cambriafunds.com
Cambria ETF TrustApproval of Advisory Agreements & Board Considerations
April 30, 2024 (Unaudited)
Cambria Global Value ETF: The Board considered that the Fund underperformed, before fees and expenses, the MSCI ACWI Total Return Index, its benchmark index, for the three-month and 12-month periods, and significantly underperformed the same benchmark for the since inception period. The primary driver of the Fund’s underperformance during the three-month and 12-month periods was a lack of exposure to the U.S. relative to its benchmark. The Board further noted that the Fund underperformed all of the funds in its Peer Group for the three- and 12-month periods, and the Fund’s performance significantly lagged behind the performance of all funds in the Peer Group for the since inception period.
Cambria Global Momentum ETF: The Board considered that the Fund underperformed, before fees and expenses, the S&P Balanced Equity and Bond – Moderate Index, its benchmark index, for the three-month and 12-month periods, and significantly underperformed the same benchmark for the since inception period. A primary driver of the Fund’s underperformance relative to its benchmark during the three-month period was its exposure to commodities. The Fund’s exposure to gold mining stocks, global financial stocks, and a hedge against the S&P 500 Index contributed to its underperformance for the three-month period. The Board further noted that the Fund generally performed within the high range of its Peer Group for the since inception period, but the Fund’s performance lagged the performance of its Peer Group funds for the three- and 12-month periods.
Cambria Global Asset Allocation ETF: The Board considered that the Fund underperformed, before fees and expenses, the S&P Balanced Equity and Bond – Moderate Index, its benchmark index, for the since inception, three- and 12-month periods. The primary driver of the Fund’s underperformance during the three-month period relative to its benchmark was the Fund’s exposure to commodities; whereas, the Fund’s exposure to global real estate and commodities were the primary causes of the Fund’s underperformance during the 12-month period. The Board further noted that the Fund generally performed within the range of its Peer Group for the since inception period, but the Fund’s performance lagged the performance of its Peer Group funds for the three- and 12-month periods.
Cambria Value and Momentum ETF: The Board considered that the Fund significantly underperformed, before fees and expenses, the S&P 500, its benchmark index, for the since inception, three- and 12-month periods. The primary drivers of the Fund’s underperformance during the three- and 12-month periods were the Fund’s hedge against the S&P 500, and an underweight allocation to and security selection in Technology and Communications Services. The Board further noted that the Fund generally underperformed its Peer Group over all three periods.
Cambria Global Tail Risk ETF: The Board considered that the Fund significantly underperformed, before fees and expenses, a blended benchmark of the FTSE/Citi World Government Bond Index and the Bloomberg Barclays U.S. Short Term Treasury Total Return Index Unhedged for the three-, 12-month, and since inception periods. The primary drivers of the Fund’s underperformance during the three- and 12-month periods were the Fund’s put options on the MSCI EAFE and MSCI Emerging Markets Indices. The Board further noted that the Fund underperformed all but two of the funds in its Peer Group for the since inception period, all funds in its Peer Group for the 12-month period, and all but one fund in its Peer Group for the three-month period.
Cambria Emerging Shareholder Yield ETF: The Board considered that the Fund outperformed, before fees and expenses, the MSCI Emerging Markets Total Return Index, its benchmark index, for all three periods, including significant outperformance during the 12-month and since inception periods. The primary drivers of the Fund’s outperformance during the three-month period, relative to its benchmark, was security selection in China and an overweight allocation to Taiwan as well as exposure to the Thai baht. The primary drivers of the Fund’s outperformance during the 12-month period, relative to its benchmark, was security selection and currency exposure in China and an overweight allocation to and security selection in Taiwan. The Board further noted that the Fund outperformed its Peer Group for all three periods, including significant outperformance for the 12-month and since inception periods.
Cambria Tail Risk ETF: The Board considered that the Fund underperformed, before fees and expenses, the Bloomberg Barclays U.S. Short Term Treasury Total Return Index Unhedged, its benchmark index, for the three-, 12-month, and since inception periods, including significant underperformance for the 12-month and since inception periods. The Fund’s allocation to put options on the S&P 500, which had positive performance during the quarter, was the primary driver of the Fund’s underperformance for the three- and 12-month periods. The Board further noted that the Fund outperformed its Peer Group for all three periods, including significant outperformance for the three- and 12-month periods.
Cambria Trinity ETF: The Board considered that the Fund significantly underperformed, before fees and expenses, the S&P Balanced Equity and Bond – Moderate Index, its benchmark index, for all three periods. The primary drivers of the Fund’s negative performance during the three-month period were exposure to managed futures and commodities. The Fund’s exposure to gold mining stocks and global real estate, contributed to the Fund’s relative underperformance of its benchmark during the 12-month period. The Board further noted that the Fund underperformed its Peer Group for all three periods.
Cambria Cannabis ETF: The Board considered that the Fund significantly underperformed, before fees and expenses, the S&P 500, its benchmark index, for the three-, 12-month and since inception periods. The primary driver of the Fund’s underperformance during the three- and 12-month periods can be attributed to the general underperformance of the cannabis industry relative to the benchmark. The Board further noted that the Fund outperformed all of the funds in its Peer Group for the since inception period, performed within the range of funds in its Peer Group for the 12-month period, and significantly underperformed the funds in its Peer Group for the three-month period.
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Cambria ETF TrustApproval of Advisory Agreements & Board Considerations
April 30, 2024 (Unaudited)
Cambria Global Real Estate ETF: The Board considered that the Fund underperformed, before fees and expenses, the FTSE EPRA Nareit Global REITs Total Return Index, its benchmark index, for the since inception, three- and 12month periods. For the three-month period, positive returns were offset by the Fund’s exposure to Hong Kong and the Single-Family Residential REITs category. For the 12-month period, negative returns were driven primarily by the Fund’s exposure to the United States and Turkey and the Office and Hotel & Resort REITs categories. The Board further noted that the Fund generally performed within the range of its Peer Group for each period, but the Fund underperformed the performance of its Peer Group for the three-month period.
The Trustees determined that each Fund’s performance was satisfactory, or, where the Fund’s performance was materially below its benchmark and/or Peer Group, the Trustees were satisfied by the reasons for the underperformance and/or the steps taken by Cambria to improve the Fund’s performance. The Board also considered each Fund’s portfolio turnover rate. In addition, the Board discussed and considered the performance track record, investment experience, professional background, and qualifications of Mebane Faber, the Funds’ portfolio manager. Based on this information, the Board concluded that it was satisfied with the investment results that Cambria had been able to achieve for each of the Funds.
Comparative Fees and Expenses. The Board considered each Fund’s advisory fees in relation to the estimated costs of the advisory and related services provided by Cambria. The Trustees noted that each Fund charges a unitary advisory fee through which, Cambria, not the Funds, is responsible for paying many of the expenses necessary to service the Funds, including the expenses of other service providers. In considering the advisory fees and expense ratios, the Board reviewed and considered the fees in light of the nature, quality and extent of the services provided by Cambria. Because each Fund charges a unitary advisory fee, the Board considered how each Fund’s total expense ratio compared to those of the funds in their Peer Group, noting how differences between fund strategies might impact fees. After comparing expense ratios, the Board noted that each Fund’s total expense ratio was generally consistent with the range of total expense ratios charged by its Peer Group funds or, with respect to the Cambria Foreign Shareholder Yield ETF, Cambria Emerging Shareholder Yield ETF, Cambria Global Value ETF, Cambria Global Asset Allocation ETF, Cambria Trinity ETF, and Cambria Global Real Estate ETF, where the Fund’s expense ratio was higher than the Peer Group’s range of expense ratios, the Trustees were satisfied by the reasons for the Funds’ higher expenses, including, but not limited to, significant differences between the investment strategies, portfolio holdings, and/or asset size of such Funds and those of its Peer Group funds. The Board also considered Cambria’s representation that it would continue to monitor the Funds’ expense ratios, as compared to those of their Peer Groups, and seek to ensure that the Funds’ fees remain competitive. Based on its review, in the context of its full deliberations, the Board concluded for each Fund that the advisory fees appeared reasonable in light of the services to be rendered.
Costs and Profitability. The Board then considered the profits realized by Cambria in connection with the services Cambria provides to the Funds. The Board reviewed profit and loss information provided by Cambria with respect to each Fund. In particular, the Board noted Cambria’s representation of its long-term commitment to the success of the Funds and the unitary fee structure under which Cambria bears the risk that the Funds’ expenses may increase. The Board further considered the costs associated with the personnel, systems, and equipment necessary to manage the Funds and meet their regulatory and compliance requirements as well as other expenses Cambria pays in accordance with the Agreement. Based on its review, in the context of its full deliberations, the Board concluded that Cambria’s profitability, with respect to each Fund, appeared reasonable in light of the services Cambria renders to the Funds.
Other Benefits. The Board then considered the extent to which Cambria derives or will derive ancillary benefits from a Fund’s operations. The Board noted that Cambria did not have any affiliates that would benefit from the Funds’ operations. The Board also reviewed the degree to which Cambria may receive compensation from the Funds based upon a Fund’s investment in other Funds.
Economies of Scale. The Board next considered the absence of breakpoints in Cambria’s fee schedule for each Fund and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in each Fund’s asset levels. The Board determined that it is difficult to predict when economies of scale might be realized for Cambria and the Funds, some of which launched less than five years ago. The Board, thus, determined to monitor potential economies of scale, as well as the appropriateness of introducing breakpoints in the future, as assets managed by each Fund grow larger.
Conclusion. In approving the Agreement, the Board did not identify any single factor as being of paramount importance, and different Trustees may have given different weight to different factors. The Board reviewed a memorandum from Fund counsel discussing the legal standards applicable to its consideration of the Agreement. Based on its review, including consideration of each of the factors referenced above, the Board determined, in the exercise of its reasonable business judgment, that the advisory arrangement, as outlined in the Agreement, was fair and reasonable in light of the services to be performed, expenses to be incurred, and such other matters as the Board considered relevant. In light of the foregoing, the Board, including a majority of the Independent Trustees, determined to approve the Agreement with respect to the Funds.
116www.cambriafunds.com
Cambria ETF TrustApproval of Advisory Agreements & Board Considerations
April 30, 2024 (Unaudited)
Board Considerations in Approving the Investment Advisory Agreements for Cambria Tactical Yield ETF
The Board of Trustees (the “Board”) of Cambria ETF Trust (the “Trust”), including those Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), attended a meeting held via videoconference on December 5, 2023 (the “Meeting”), called for the purpose of, among other things, the consideration of, and voting on, the approval of (1) the investment advisory agreement between Cambria Investment Management, L.P. (“Cambria”) and the Trust (the “Advisory Agreement”), and (2) the sub-advisory agreement between Tidal Investments LLC (“Tidal”) and Cambria (the “Sub-Advisory Agreement” and, together with the Advisory Agreement, the “Agreements”), with respect to a newly proposed series of the Trust: Cambria Tactical Yield ETF (the“New Fund”). In preparation for its deliberations, the Board requested and reviewed written responses from Cambria and Tidal to due diligence questionnaires circulated on the Board’s behalf relating to the New Fund. The Board also reviewed a memorandum from Fund counsel discussing the legal standards applicable to its consideration of the Agreements. During its deliberations, the Board received an oral presentation from Cambria and Tidal and was assisted by the advice of independent legal counsel.
In evaluating the Agreements, the Board reviewed information regarding Cambria’s and Tidal’s personnel, operations, and financial condition. In addition, the Board considered the evaluation process of Cambria and Tidal to be ongoing and, in this regard, the Board considered information about Cambria and Tidal derived from prior meetings of the Board concerning Cambria’s and Tidal’s performance and services with respect to other series of the Trust (the “Funds”) as part of the 15(c) review process for the New Fund. At the Meeting, the Board considered: (1) the nature, extent and quality of the services to be provided to the New Fund by Cambria and Tidal; (2) Cambria’s and Tidal’s investment performance with respect to other Funds managed by the same portfolio managers; (3) the costs of the services to be provided by Cambria and Tidal and the expected profitability to Cambria and Tidal to be derived from their relationships with the New Fund; (4) the advisory fee and total expense ratio of the New Fund compared to those of a relevant group of peer funds (the “Peer Group”); (5) the extent to which economies of scale would be realized as the New Fund grows and whether the advisory fee would enable investors to share in the benefits of economies of scale; (6) benefits to be derived by Cambria, Tidal, and their affiliates from their relationship with the New Fund; (7) Cambria’s and Tidal’s reputation, expertise and resources in the financial markets; (8) Cambria’s and Tidal’s investment management personnel; (9) Cambria’s and Tidal’s operations and financial condition; (10) Cambria’s and Tidal’s compliance programs; and (11) other factors the Board deemed relevant.
The discussion immediately below outlines in greater detail the materials and information presented to the Board in connection with its consideration and approval of the Agreements, and the conclusions made by the Board at the Meeting when determining to approve the Agreements for the New Fund.
Nature, Extent and Quality of Services. The Board reviewed the nature, quality, and extent of the overall services to be provided by Cambria and Tidal to the New Fund. In particular, the Board considered the responsibilities of Cambria and Tidal under the terms of the Agreements. The Board recognized that Cambria had invested significant time and effort in structuring the Trust and the New Fund, arranging service providers, exploring various sales channels, and assessing the appeal for the New Fund’s investment strategy. In addition, the Board considered that Cambria is responsible for providing investment advisory services to the New Fund, monitoring compliance with the New Fund’s objectives, policies, and restrictions, and carrying out directives of the Board. The Board noted that Tidal will be providing certain sub-advisory services to the Fund, such as trading the Fund’s portfolio securities based on instructions from Cambria; 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 New Fund. The Board also considered the services provided by Cambria in the oversight of Tidal as well as the Trust’s distributor, administrator, transfer agent, and custodian. In addition, the Board evaluated the integrity of Cambria’s and Tidal’s personnel, the professional qualifications and experience of the portfolio management team in managing assets, their experiences with Cambria’s and Tidal’s services, and the adequacy of Cambria’s and Tidal’s resources and financial condition. Based on its review, within the context of its full deliberations, the Board determined that it was satisfied with the nature, extent, and quality of the services to be provided to the New Fund by Cambria and Tidal.
Performance. The Board noted that, since the New Fund had not yet commenced investment operations, it had no investment performance. The Board considered that Cambria has been relatively successful managing other ETFs; however, the Board noted that most of Cambria’s Funds either invest primarily in equities or employ allocation or tail risk strategies, not tactical bond strategies. Representatives from Cambria provided information regarding, and led a discussion on, the factors that may impact the New Fund’s future performance, including current market conditions and Cambria’s future expectations with respect to the New Fund’s strategies. The Board also discussed and considered the performance track record, investment experience, professional background, and qualifications of the New Fund’s portfolio managers.
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Cambria ETF TrustApproval of Advisory Agreements & Board Considerations
April 30, 2024 (Unaudited)
Comparative Fees and Expenses. The Board considered the New Fund’s proposed advisory fee to be paid by the New Fund to Cambria and the sub-advisory fee to be paid by Cambria to Tidal in relation to their respective estimated costs of their respective services to be provided to the New Fund. The Trustees noted that the New Fund charges a unitary advisory fee through which, Cambria, not the New Fund, is responsible for paying many of the expenses necessary to service the New Fund, including the expenses of other service providers. In considering the advisory and sub-advisory fees and expense ratio, the Board reviewed and considered the fees in light of the nature, quality, and extent of the services to be provided by Cambria and Tidal. Because the New Fund charges a unitary advisory fee, the Board considered how the New Fund’s total expense ratio compared to those of the funds in the Peer Group, noting how differences between fund strategies might impact fees. After comparing expense ratios, the Board noted that the total expense ratio for the New Fund was within the range of total expense ratios charged by the funds in the Peer Group. The Board also considered Cambria’s representation that it would continue to monitor the New Fund’s expense ratio, as compared to those of its Peer Group, and seek to ensure that the New Fund’s fees remain competitive. Based on its review, in the context of its full deliberations, the Board concluded that the proposed advisory and sub-advisory fees appeared reasonable in light of the services to be rendered.
Costs and Profitability. The Board then considered the estimated profits to be realized by Cambria and Tidal in connection with providing their respective services to the New Fund. The Board noted that since the New Fund had not yet launched, it was difficult to estimate how profitable the New Fund would be to Cambria and Tidal. The Board, however, reviewed estimated profit and loss information provided by Cambria and Tidal with respect to the New Fund. In particular, the Board noted Cambria’s representation of its long-term commitment to the success of the New Fund and the unitary fee structure under which Cambria bears the risk that the New Fund’s expenses may increase. The Board further considered the costs associated with the personnel, systems, and equipment necessary to manage the New Fund and to meet the regulatory and compliance requirements adopted by the SEC and other regulatory bodies as well as other expenses Cambria pays in accordance with the Advisory Agreement. Based on its review, in the context of its full deliberations, the Board concluded that Cambria’s and Tidal’s expected profitability with respect to the New Fund appeared reasonable in light of the services Cambria and Tidal will render to the New Fund.
Other Benefits. The Board then considered the extent to which Cambria and Tidal will derive ancillary benefits from the New Fund’s operations. The Board discussed that while Cambria did not have any affiliates that would benefit from the New Fund’s operations, Tidal’s affiliate, Tidal ETF Services, LLC, will serve as the administrator to the New Fund. However, the Board also noted that under the Fund’s unitary fee structure, Cambria will be paying Tidal ETF Services, LLC’s fee out of the management fee it receives from the New Fund. The Board also reviewed the degree to which Cambria may receive compensation from the New Fund based upon the New Fund’s investment in other Cambria ETFs, noting that Cambria does not expect the New Fund to invest its assets in other Cambria ETFs.
Economies of Scale. The Board next considered the absence of breakpoints in Cambria’s fee schedule for the New Fund and whether economies of scale would be realized by the New Fund as its assets grow larger. The Board determined that it is difficult to predict when economies of scale might be realized for Cambria and the New Fund, which had not launched yet. The Board, thus, determined to monitor potential economies of scale, as well as the appropriateness of introducing breakpoints, as assets managed by the New Fund grow larger.
Conclusion. Based on its review, including consideration of each of the factors referenced above, the Board determined, in the exercise of its reasonable business judgment, that the advisory and subadvisory arrangements, as outlined in the Agreements, was fair and reasonable in light of the services to be performed, expenses to be incurred, and such other matters as the Board considered relevant. In approving the Agreements, the Board did not identify any single factor as being of paramount importance, and different Trustees may have given different weight to different factors. In light of the foregoing, the Board, including a majority of the Independent Trustees, determined to approve the Agreements with respect to the New Fund.
Board Considerations in Approving the Investment Advisory Agreements for Cambria Micro and SmallCap Shareholder Yield ETF
The Board of Trustees (the “Board”) of Cambria ETF Trust (the “Trust”), including those Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), attended a telephonic meeting held on March 7, 2023 (the “Meeting”), called for the purpose of, among other things, the consideration of, and voting on, the approval of (1) the investment advisory agreement between Cambria Investment Management, L.P. (“Cambria”) and the Trust (the “Advisory Agreement”), and (2) the sub-advisory agreement between Tidal Investments LLC (formerly, Toroso Investments, LLC) (“Tidal”) and Cambria (the “Sub-Advisory Agreement” and, together with the Advisory Agreement, the “Agreements”), with respect to a newly proposed series of the Trust: Cambria Micro and SmallCap Shareholder Yield ETF (the “New Fund”). In preparation for its deliberations, the Board requested and reviewed written responses from Cambria to due diligence questionnaires circulated on the Board’s behalf relating to the New Fund. The Board also reviewed a memorandum from Fund counsel discussing the legal standards applicable to its consideration of the Agreements. During its deliberations, the Board received an oral presentation from Cambria and Tidal and was assisted by the advice of independent legal counsel.
In evaluating the Agreements, the Board reviewed information regarding Cambria’s and Tidal’s personnel, operations, and financial condition. In addition, the Board considered the evaluation process of Cambria and Tidal to be ongoing and, in this regard, the Board considered information about Cambria and Tidal derived from prior meetings of the Board concerning Cambria’s and Tidal’s performance and services with respect to other series of the Trust (the “Funds”) as part of the 15(c) review process for the New Fund. At the Meeting, the Board considered: (1) the nature, extent and quality
118www.cambriafunds.com
Cambria ETF TrustApproval of Advisory Agreements & Board Considerations
April 30, 2024 (Unaudited)
of the services to be provided to the New Fund by Cambria and Tidal; (2) Cambria’s investment performance with respect to existing Funds with similar investment strategies as well as other Funds managed by the same portfolio manager; (3) the costs of the services to be provided by Cambria and Tidal and the expected profitability to Cambria and Tidal to be derived from their relationships with the New Fund; (4) the advisory fee and total expense ratio of the New Fund compared to those of a relevant group of peer funds (the “Peer Group”); (5) the extent to which economies of scale would be realized as the New Fund grows and whether the advisory fee would enable investors to share in the benefits of economies of scale; (6) benefits (such as soft dollars, if any) to be derived by Cambria, Tidal, and their affiliates from their relationship with the New Fund; (7) Cambria’s and Tidal’s reputation, expertise and resources in the financial markets; (8) Cambria’s and Tidal’s investment management personnel; (9) Cambria’s and Tidal’s operations and financial condition; (10) Cambria’s and Tidal’s compliance programs; and (11) other factors the Board deemed relevant.
The discussion immediately below outlines in greater detail the materials and information presented to the Board in connection with its consideration and approval of the Agreements, and the conclusions made by the Board at the Meeting when determining to approve the Agreements for the New Fund for an initial two-year term.
Nature, Extent and Quality of Services. The Board reviewed the nature, quality, and extent of the overall services to be provided by Cambria and Tidal to the New Fund. In particular, the Board considered the responsibilities of Cambria and Tidal under the terms of the Agreements. The Board recognized that Cambria had invested significant time and effort in structuring the Trust and the New Fund, obtaining the necessary exemptive relief from the Securities and Exchange Commission (“SEC”), arranging service providers, exploring various sales channels, and assessing the appeal for the New Fund’s investment strategy. In addition, the Board considered that Cambria is responsible for providing investment advisory services to the New Fund, monitoring compliance with the New Fund’s objectives, policies, and restrictions, and carrying out directives of the Board. The Board noted that Tidal will be providing certain sub-advisory services to the Fund, such as trading the Fund’s portfolio securities based on instructions from Cambria; 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 New Fund. The Board also considered the services provided by Cambria in the oversight of Tidal as well as the Trust’s distributor, administrator, transfer agent, and custodian. In addition, the Board evaluated the integrity of Cambria’s and Tidal’s personnel, the professional qualifications and experience of the portfolio management team in managing assets, their experiences with Cambria’s and Tidal’s services, and the adequacy of Cambria’s and Tidal’s resources and financial condition. Based on its review, within the context of its full deliberations, the Board determined that it was satisfied with the nature, extent, and quality of the services to be provided to the New Fund by Cambria and Tidal.
Performance. The Board noted that, since the New Fund had not yet commenced investment operations, the New Fund had no investment performance. The Board considered, however, that Cambria has been relatively successful managing Funds with similar investment strategies and/or portfolio holdings to the New Fund, including its suite of Shareholder Yield ETFs. Representatives from Cambria provided information regarding, and led a discussion on, the factors that may impact the New Fund’s future performance, including current market conditions and Cambria’s future expectations with respect to the New Fund’s strategies. The Board also discussed and considered the performance track record, investment experience, professional background and qualifications of the New Fund’s portfolio manager. The Board also noted that Tidal has not previously provided sub-advisory services to the Funds, and Tidal does not currently manage funds and/or client accounts with investment strategies similar to those of the New Fund. In addition, the Board noted that Cambria will retain responsibility for the day-to-day active management of the New Fund’s strategies and the individual selection of investments for the New 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.
Comparative Fees and Expenses. The Board considered the New Fund’s proposed advisory fee to be paid by the New Fund to Cambria and the sub-advisory fee to be paid by Cambria to Tidal in relation to their respective estimated costs of their respective services to be provided to the New Fund. The Trustees noted that the New Fund charges a unitary advisory fee through which, Cambria, not the New Fund, is responsible for paying many of the expenses necessary to service the New Fund, including the expenses of other service providers. As such, the Board considered that the fees to be paid to Tidal would be paid by Cambria from the unitary fee that Cambria receives from the New Fund, noting that the sub-advisory fee reflected an arm’s-length negotiation between Cambria and Tidal.
In considering the advisory and sub-advisory fees and expense ratio, the Board reviewed and considered the fees in light of the nature, quality, and extent of the services to be provided by Cambria and Tidal. Because the New Fund charges a unitary advisory fee, the Board considered how the New Fund’s total expense ratio compared to those of the funds in the Peer Group, noting how differences between fund strategies might impact fees. After comparing expense ratios, the Board noted that the total expense ratio for the New Fund was within the range of total expense ratios charged by its peer funds. In each instance where the New Fund’s expense ratio was materially higher than the expense ratio of one of its peer funds, the Trustees were satisfied by the reasons for the New Fund’s higher expenses, including, but not limited to, significant differences between the investment strategies, portfolio holdings, or asset size of the New Fund and its peer funds. The Board also considered Cambria’s representation that it would continue to monitor the New Fund’s expense ratio, as compared to those of its Peer Group, and seek to ensure that the New Fund’s fees remain competitive. Based on its review, in the context of its full deliberations, the Board concluded that the proposed advisory and sub-advisory fees appeared reasonable in light of the services to be rendered to the New Fund.
Annual Report | April 30, 2024 119
Cambria ETF TrustApproval of Advisory Agreements & Board Considerations
April 30, 2024 (Unaudited)
Costs and Profitability. The Board then considered the estimated profits to be realized by Cambria and Tidal in connection with providing their respective services to the New Fund. The Board noted that since the New Fund had not yet launched, it was difficult to estimate how profitable the New Fund would be to Cambria and Tidal. The Board, however, reviewed estimated profit and loss information provided by Cambria and Tidal with respect to the New Fund. In particular, the Board noted Cambria’s representation of its long-term commitment to the success of the New Fund and the unitary fee structure under which Cambria bears the risk that the New Fund’s expenses may increase. The Board further considered the costs associated with the personnel, systems and equipment necessary to manage the New Fund and to meet the regulatory and compliance requirements adopted by the SEC and other regulatory bodies as well as other expenses Cambria pays in accordance with the Advisory Agreement. Based on its review, in the context of its full deliberations, the Board concluded that Cambria’s and Tidal’s expected profitability with respect to the New Fund appeared reasonable in light of the services Cambria and Tidal will render to the New Fund.
Economies of Scale. The Board next considered the absence of breakpoints in Cambria’s fee schedule for the New Fund and whether economies of scale would be realized by the New Fund as its assets grow larger. The Board determined that it is difficult to predict when economies of scale might be realized for Cambria and the New Fund, which had not launched yet. The Board further noted that because the New Fund will pay Cambria a unified fee, any benefits from breakpoints in the sub-advisory fee schedule would accrue to Cambria, rather than Fund shareholders. The Board, thus, determined to monitor potential economies of scale, as well as the appropriateness of introducing breakpoints, as assets managed by the New Fund grow larger.
Other Benefits. The Board then considered the extent to which Cambria and Tidal will derive ancillary benefits from the New Fund’s operations. The Board discussed the potential benefits to Cambria resulting from its ability to use the New Fund’s assets to engage in soft dollar transactions. The Board noted that Cambria did not have any affiliates that would benefit from the New Fund’s operations. The Board also reviewed the degree to which Cambria may receive compensation from the New Fund based upon the New Fund’s investment in other Cambria ETFs, noting that Cambria does not expect the New Fund to invest its assets in other Cambria ETFs.
Conclusion. Based on its review, including consideration of each of the factors referenced above, the Board determined, in the exercise of its reasonable business judgment, that the advisory and sub-advisory arrangements, as outlined in the Agreements, was fair and reasonable in light of the services to be performed, expenses to be incurred, and such other matters as the Board considered relevant. In approving the Agreements, the Board did not identify any single factor as being of paramount importance, and different Trustees may have given different weight to different factors. In light of the foregoing, the Board, including a majority of the Independent Trustees, determined to approve the Agreements with respect to the New Fund.
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Pursuant to the requirements of Rule 22e-4 under the 1940 Act (the “Rule”), Cambria ETF Trust (the “Trust”), on behalf of each of its Funds, adopted a liquidity risk management program (the “Program”) to govern the Trust’s approach to managing liquidity risk. The Rule seeks to promote effective liquidity risk management, thereby reducing the risk that a fund will be unable to meet its redemption obligations and mitigating dilution of the interests of fund shareholders. The Trust’s liquidity risk management program is tailored to reflect the Funds’ particular risks, but not to eliminate all adverse impacts of liquidity risk, which would be incompatible with the nature of such Funds. The Board has appointed Jonathan Keetz, the Chief Operating Officer of Cambria Investment Management L.P., the investment adviser to the Funds, to serve as the program administrator for each Fund’s Program (the “Program Administrator”).
At the December 5, 2023, quarterly meeting of the Board, the Trustees received a written report from the Program Administrator pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the year ended October 31, 2023. The report concluded that the Program remains adequately designed to assess and manage the Funds’ liquidity risk and continues to be adequately and effectively implemented to monitor and (as applicable) respond to any liquidity developments that impact the Funds. The report reflected that there were no liquidity events that impacted the Funds’ ability to timely meet redemptions without dilution to existing shareholders. The report further noted that none of the Funds have been required to set a highly liquid investment minimum, and no Fund breached the 15% limitation on illiquid assets during the reporting period. In addition, the report indicated that no material changes have been made to the Program over the period.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Funds’ prospectus for more information regarding the Funds’ exposure to liquidity risk and other principal risks to which an investment in the Funds may be subject.
Annual Report | April 30, 2024 121
Name, Address and |
| Position(s) Held with Trust, |
| Principal Occupation |
| Number of Funds in |
| Other Directorships |
Interested Trustee1 | ||||||||
Mebane Faber YOB: 1977 | | Chairperson of the Board, Trustee, and President of the Trust since 2018; Vice President of the Trust (2013 – 2018); no set term | | Co–Founder and Chief Investment Officer (2006 – present), Chief Executive Officer (2018 – present), Cambria Investment Management, L.P. | | 15 | | None |
Independent Trustees | ||||||||
Cullen Roche YOB: 1980 | | Trustee; no set term | | Founder and Chief Investment Officer, Orcam Financial Group, d/b/a Discipline Funds (investment firm) (2012 – present). | | 15 | | None |
Dennis G. Schmal YOB: 1947 | | Trustee since 2013; | | Retired | | 15 | | Trustee, AssetMark Mutual Funds (since 2007); Trustee, Wells Fargo GAI Hedge Funds (2007 – 2019); Director and Chairman, Owens Realty Mortgage Inc. (real estate) (2013 – 2019); Director, Blue Calypso (e-commerce) (2015 – 2018). |
Thomas (Taz) M. YOB: 1977 | | Trustee; no set term | | Founder and Portfolio Manager, Southshore Capital Partners (investment firm) (since 2010). | | 15 | | Chairman and Chief Executive Officer, CordovaCann Inc. (Canadian-domiciled cannabis retail) (since 2017). |
1Mr. Faber is an “interested person,” as defined by the Investment Company Act, because of his employment with and ownership interest in Cambria.
2Messrs. Faber and Turner are first cousins, but they are not immediate family members for the purpose of identifying “interested persons” of the Trust as defined in the 1940 Act.
Name and Year of Birth |
| Position(s) Held with Trust, Term of Office, |
| Principal Occupation |
OFFICERS | | | | |
Aaron Perkovich YOB: 1973 | | Treasurer and Principal Financial Officer since Sept. 2023; no set term | | Head of Fund Administration (since 2023), Fund Administration Manager (2022 – 2023), Tidal ETF Services LLC; Assistant Director – Investments, Mason Street Advisors, LLC (2021 – 2022); Vice President, U.S. Bancorp Fund Services, LLC (2006 – 2021). |
Jonathan Keetz YOB: 1988 | | Vice President since Nov. 2020; no set term | | Chief Operating Officer (since Nov. 2020) and Vice President (2015 - 2020), Cambria Investment Management, L.P. |
Douglas Tyre YOB: 1980 | | Chief Compliance Officer since May 2018; | | Senior Principal Consultant, ACA Group, Compliance (May 2022 – Present); Compliance Director, Foreside Financial Group, LLC (April 2022 – May 2022); Compliance Director (2019 – 2022), Assistant Compliance Director (2018 – 2019) and Manager (2014 – 2017), Cipperman Compliance Services, LLC. |
122www.cambriafunds.com
In early 2024, if applicable, shareholders of record received information for the distributions paid to them by the Funds during the calendar year 20023 via Form 1099. The Funds will notify shareholders in early 2025 of amounts paid to them by the Funds, if any, during the calendar year 2024.
| Long-Term Capital Gain Distributions(1) | Dividend Received Deduction(2) | Qualified Dividend Income(3) | Foreign Taxes | Foreign Source Income(4) |
Cambria Shareholder Yield ETF | $0.00 | 100.00% | 100.00% | 1,380,782 | 10,632,543 |
Cambria Foreign Shareholder Yield ETF | 0.00 | 0.00% | 66.74% | 8,826,516 | 1,834,472 |
Cambria Global Value ETF | 0.00 | 0.00% | 46.40% | 4,296,956 | 804,995 |
Cambria Global Momentum ETF | 0.00 | 10.05% | 62.17% | N/A | N/A |
Cambria Global Asset Allocation ETF | 0.00 | 19.63% | 31.03% | N/A | N/A |
Cambria Value and Momentum ETF | 0.00 | 100.00% | 100.00% | N/A | N/A |
Cambria Global Tail Risk ETF | 0.00 | 0.00% | 0.00% | N/A | N/A |
Cambria Emerging Shareholder Yield ETF | 0.00 | 12.74% | 52.26% | N/A | N/A |
Cambria Tail Risk ETF | 0.00 | 0.00% | 0.00% | N/A | N/A |
Cambria Cannabis ETF | 0.00 | 18.22% | 26.46% | N/A | N/A |
Cambria Trinity ETF | 0.00 | 6.69% | 41.99% | N/A | N/A |
Cambria Global Real Estate ETF | 0.00 | 6.31% | 41.86% | N/A | N/A |
Cambria Micro and SmallCap Shareholder Yield ETF | 0.00 | 37.83% | 37.79% | N/A | N/A |
Cambria Tactical Yield ETF | 0.00 | 0.00% | 0.00% | N/A | N/A |
(1) Pursuant to Section 852(b)(3) of the Internal Revenue Code, the Funds designated the amounts above as long-term capital gain dividends.
(2) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions.
(3) The percentage in this column represents the amount of “Qualifying Dividend Income” as created by the Jobs and Growth Relief Reconciliation Act of 2003 and it’s reflected as a percentage of ordinary income distributions. It is the intention of each of the aforementioned funds to designate the maximum amount permitted by law.
(4) Pursuant to Section 853(c) of the Internal Revenue Code, the Funds will designate the amounts as foreign taxes paid and foreign source income earned between May 1, 2023 and April 30, 2024.
The information reported herein may differ from the information and distributions taxable to the shareholders for the year ending April 30, 2024. Complete information will be computed and reported in conjunction with your 2024 Form 1099‐DIV.
Annual Report | April 30, 2024 123
Notice to Shareholders
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 a NAV. A discount is the amount that the Fund is trading below the reported NAV, expressed as a percentage of the NAV.
| Market Price |
| Market Price, |
|
Cambria Shareholder Yield ETF | 20.82% | | $68.91 | |
Cambria Foreign Shareholder Yield ETF | 12.35% | | 26.80 | |
Cambria Global Value ETF | 10.61% | | 21.58 | |
Cambria Global Momentum ETF | 4.86% | | 28.35 | |
Cambria Global Asset Allocation ETF | 9.55% | | 28.44 | |
Cambria Value and Momentum ETF | 17.72% | | 28.70 | |
Cambria Global Tail Risk ETF | -12.46% | | 16.64 | |
Cambria Emerging Shareholder Yield ETF | 24.62% | | 34.24 | |
Cambria Tail Risk ETF | -16.39% | | 11.78 | |
Cambria Cannabis ETF | 13.47% | | 6.76 | |
Cambria Trinity ETF | 6.54% | | 25.47 | |
Cambria Global Real Estate ETF | 2.80% | | 23.71 | |
Cambria Micro and SmallCap Shareholder Yield ETF(a) | — | | 25.47 | |
Cambria Tactical Yield ETF(a) | — | | 25.28 | |
(a)Inception date January 4, 2024.
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 Trust’s Forms N–PX on 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 their portfolio holdings with the SEC for the first and third fiscal quarters on Form N‐PORT. Copies of the Funds’ Form N‐PORT reports 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.
PREMIUM/DISCOUNT INFORMATION
A table showing the number of days the market price of each Fund’s shares was greater than the Fund’s net asset value and the number of days it was less than the Fund’s net asset value (i.e., premium or discount) for the most recently completed calendar year, and the most recently completed calendar quarters since that year end (or the life of the Fund, if shorter) are available on the Funds’ website at www.cambriafunds.com.
![](https://capedge.com/proxy/N-CSRA/0001999371-24-009982/cmba-ncsr_043024img001.gif)
Investment Adviser:
Cambria Investment Management, L.P.
3300 Highland Ave
Manhattan Beach, CA 90266
Investment Sub-Adviser:
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.
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The registrant has not made any amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.
A copy of the registrant’s Code of Ethics is filed herewith.
Item 3. Audit Committee Financial Expert.
The registrant’s Board of Trustees of the Trust has determined that there is at least one audit committee financial expert serving on its audit committee. Mr. Dennis Schmal is the “audit committee financial expert” and is considered to be “independent” as each term is defined in Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past two fiscal years. “Audit services” refer to performing an audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. “Audit-related services” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax services” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. There were no “Other services” provided by the principal accountant. The following table details the aggregate fees billed or expected to be billed for the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.
Cambria Shareholder Yield ETF
FYE 04/30/2024 | FYE 04/30/2023 | |
Audit Fees | $15,000 | $15,000 |
Audit-Related Fees | N/A | N/A |
Tax Fees | $3,000 | $3,000 |
All Other Fees | N/A | N/A |
Cambria Foreign Shareholder Yield ETF
FYE 04/30/2024 | FYE 04/30/2023 | |
Audit Fees | $15,000 | $15,000 |
Audit-Related Fees | N/A | N/A |
Tax Fees | $3,000 | $3,000 |
All Other Fees | N/A | N/A |
Cambria Global Value ETF
FYE 04/30/2024 | FYE 04/30/2023 | |
Audit Fees | $15,000 | $15,000 |
Audit-Related Fees | N/A | N/A |
Tax Fees | $3,000 | $3,000 |
All Other Fees | N/A | N/A |
Cambria Global Momentum ETF
FYE 04/30/2024 | FYE 04/30/2023 | |
Audit Fees | $15,000 | $15,000 |
Audit-Related Fees | N/A | N/A |
Tax Fees | $3,000 | $3,000 |
All Other Fees | N/A | N/A |
Cambria Global Asset Allocation ETF
FYE 04/30/2024 | FYE 04/30/2023 | |
Audit Fees | $15,000 | $15,000 |
Audit-Related Fees | N/A | N/A |
Tax Fees | $3,000 | $3,000 |
All Other Fees | N/A | N/A |
Cambria Value and Momentum ETF
FYE 04/30/2024 | FYE 04/30/2023 | |
Audit Fees | $15,000 | $15,000 |
Audit-Related Fees | N/A | N/A |
Tax Fees | $3,000 | $3,000 |
All Other Fees | N/A | N/A |
Cambria Global Tail Risk ETF
FYE 04/30/2024 | FYE 04/30/2023 | |
Audit Fees | $15,000 | $15,000 |
Audit-Related Fees | N/A | N/A |
Tax Fees | $3,000 | $3,000 |
All Other Fees | N/A | N/A |
Cambria Emerging Shareholder Yield ETF
FYE 04/30/2024 | FYE 04/30/2023 | |
Audit Fees | $15,000 | $15,000 |
Audit-Related Fees | N/A | N/A |
Tax Fees | $3,000 | $3,000 |
All Other Fees | N/A | N/A |
Cambria Tail Risk ETF
FYE 04/30/2024 | FYE 04/30/2023 | |
Audit Fees | $14,500 | $14,500 |
Audit-Related Fees | N/A | N/A |
Tax Fees | $3,000 | $3,000 |
All Other Fees | N/A | N/A |
Cambria Trinity ETF
FYE 04/30/2024 | FYE 04/30/2023 | |
Audit Fees | $15,000 | $15,000 |
Audit-Related Fees | N/A | N/A |
Tax Fees | $3,000 | $3,000 |
All Other Fees | N/A | N/A |
Cambria Cannabis ETF
FYE 04/30/2024 | FYE 04/30/2023 | |
Audit Fees | $15,000 | $15,000 |
Audit-Related Fees | N/A | N/A |
Tax Fees | $3,000 | $3,000 |
All Other Fees | N/A | N/A |
Cambria Global Real Estate ETF
FYE 04/30/2024 | FYE 04/30/2023 | |
Audit Fees | $15,000 | $15,000 |
Audit-Related Fees | N/A | N/A |
Tax Fees | $3,000 | $3,000 |
All Other Fees | N/A | N/A |
Cambria Micro and SmallCap Shareholder Yield ETF
FYE 04/30/2024 | FYE 04/30/2023 | |
Audit Fees | $11,250 | N/A |
Audit-Related Fees | N/A | N/A |
Tax Fees | $3,000 | N/A |
All Other Fees | N/A | N/A |
Cambria Tactical Yield ETF
FYE 04/30/2024 | FYE 04/30/2023 | |
Audit Fees | $10,875 | N/A |
Audit-Related Fees | N/A | N/A |
Tax Fees | $3,000 | N/A |
All Other Fees | N/A | N/A |
(e)(1) The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.
(e)(2) The percentage of fees billed by Cohen & Company, Ltd. applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:
FYE 04/30/2024 | FYE 04/30/2023 | |
Audit-Related Fees | 0% | 0% |
Tax Fees | 0% | 0% |
All Other Fees | 0% | 0% |
(f) All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant.
(g) The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser (and any other controlling entity, etc.—not sub-adviser) for the last two years.
Non-Audit Related Fees | FYE 04/30/2024 | FYE 04/30/2023 |
Registrant | N/A | N/A |
Registrant’s Investment Adviser | N/A | N/A |
(h) The audit committee of the board of trustees/directors has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser is compatible with maintaining the principal accountant's independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant’s independence.
(i) The registrant has not been identified by the U.S. Securities and Exchange Commission as having filed an annual report issued by a registered public accounting firm branch or office that is located in a foreign jurisdiction where the Public Company Accounting Oversight Board is unable to inspect or completely investigate because of a position taken by an authority in that jurisdiction.
(j) The registrant is not a foreign issuer.
Item 5. Audit Committee of Listed Registrants.
(a) | The registrant is an issuer as defined in Rule 10A-3 under the Securities Exchange Act of 1934, (the “Act”) and has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Act. The independent members of the committee are as follows: Dennis Schmal and Michael Venuto. |
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.
(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) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.
(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/ Mebane Faber | ||
Mebane Faber, President/Principal Executive Officer | |||
Date | August 12th, 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 | August 12th, 2024 | ||
By (Signature and Title)* | /s/ Aaron Perkovich | ||
Aaron Perkovich, Treasurer/Principal Financial Officer | |||
Date | August 12th, 2024 |
* Print the name and title of each signing officer under his or her signature