0001213900-21-000815.txt : 20210107 0001213900-21-000815.hdr.sgml : 20210107 20210107091806 ACCESSION NUMBER: 0001213900-21-000815 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20201031 FILED AS OF DATE: 20210107 DATE AS OF CHANGE: 20210107 EFFECTIVENESS DATE: 20210107 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Cambria ETF Trust CENTRAL INDEX KEY: 0001529390 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-22704 FILM NUMBER: 21513119 BUSINESS ADDRESS: STREET 1: 2321 ROSECRANS AVENUE STREET 2: SUITE 4210 CITY: EL SEGUNDO STATE: CA ZIP: 90245 BUSINESS PHONE: 310-606-5555 MAIL ADDRESS: STREET 1: 2321 ROSECRANS AVENUE STREET 2: SUITE 4210 CITY: EL SEGUNDO STATE: CA ZIP: 90245 0001529390 S000037634 Cambria Shareholder Yield ETF C000116082 Cambria Shareholder Yield ETF SYLD 0001529390 S000037635 Cambria Foreign Shareholder Yield ETF C000116083 Cambria Foreign Shareholder Yield ETF FYLD 0001529390 S000037636 Cambria Emerging Shareholder Yield ETF C000116084 Cambria Emerging Shareholder Yield ETF EYLD 0001529390 S000043316 Cambria Global Momentum ETF C000134055 Cambria Global Momentum ETF GMOM 0001529390 S000043317 Cambria Global Value ETF C000134056 Cambria Global Value ETF GVAL 0001529390 S000043318 Cambria Sovereign Bond ETF C000134057 Cambria Sovereign Bond ETF SOVB 0001529390 S000043319 Cambria Value and Momentum ETF C000134058 Cambria Value and Momentum ETF VAMO 0001529390 S000047294 Cambria Global Asset Allocation ETF C000148305 Cambria Global Asset Allocation ETF GAA 0001529390 S000054369 Cambria Tail Risk ETF C000170791 Cambria Tail Risk ETF TAIL 0001529390 S000058208 Cambria Global Real Estate ETF C000190833 Cambria Global Real Estate ETF BLDG 0001529390 S000058209 Cambria Cannabis ETF C000190834 Cambria Cannabis ETF TOKE 0001529390 S000062926 Cambria Trinity ETF C000203933 Cambria Trinity ETF TRTY N-CSRS 1 s129577_ncsrs.htm N-CSRS

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

 

Investment Company Act File Number 811-22704

 

CAMBRIA ETF TRUST

(Exact name of registrant as specified in charter)

 

2321 Rosecrans Avenue

Suite 3225

El Segundo, CA 90245

(Address of principal executive offices) (Zip code)

 

Corporation Service Company 2711 Centerville Road

Suite 400

Wilmington, DE 19808

(Name and address of agent for service)

 

With a Copy to:

W. John McGuire

Morgan, Lewis & Bockius LLP

1111 Pennsylvania Avenue, NW

Washington, D.C. 20004

 

Registrant’s telephone number, including area code: 1-310-683-5500

 

Date of fiscal year end: April 30, 2021

 

Date of reporting period: October 31, 2020

 

 

 

  

Item 1. Reports to Stockholders.

 

 

 

 

Cambria Shareholder Yield ETF (SYLD)

Cambria Foreign Shareholder Yield ETF (FYLD)

Cambria Global Value ETF (GVAL)

Cambria Global Momentum ETF (GMOM)

Cambria Global Asset Allocation ETF (GAA)

Cambria Value and Momentum ETF (VAMO)

Cambria Sovereign Bond ETF (SOVB)

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)

 

Semi-Annual Report

 

October 31, 2020

 

 

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from your financial intermediary (such as a broker-dealer or bank). Instead, the reports will be available on the Funds’ website (www.cambriafunds.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

 

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a Fund electronically anytime by contacting your financial intermediary.

 

You may elect to receive all future reports in paper free of charge. Please contact your financial intermediary to request to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account.

 

 

 

 

 

 

Cambria Investment Management

Table of Contents

 

 

 

Schedules of Investments  
   
Cambria Shareholder Yield ETF 1
   
Cambria Foreign Shareholder Yield ETF 4
   
Cambria Global Value ETF 7
   
Cambria Global Momentum ETF 10
   
Cambria Global Asset Allocation ETF 12
   
Cambria Value and Momentum ETF 14
   
Cambria Sovereign Bond ETF 17
   
Cambria Emerging Shareholder Yield ETF 20
   
Cambria Tail Risk ETF 23
   
Cambria Trinity ETF 25
   
Cambria Cannabis ETF 27
   
Cambria Global Real Estate ETF 29
   
Statements of Assets and Liabilities 31
   
Statements of Operations 34
   
Statements of Changes in Net Assets 37
   
Financial Highlights 43
   
Notes to Financial Statements 55
   
Disclosure of Fund Expenses (Unaudited) 70
   
Approval of Advisory Agreement & Board Considerations (Unaudited) 72
   
Trustees and Officers (Unaudited) 74
   
Supplemental Information (Unaudited) 76

  

The Funds file their complete schedules of Fund holdings with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT within sixty days after the end of the period. The Funds’ Form N-PORT reports are available on the Commission’s website at http://www.sec.gov.

 

A description of the policies and procedures that Cambria Investment Management L.P., the Funds’ investment advisor, uses to determine how to vote proxies relating to Fund securities, as well as information relating to how the Funds voted proxies relating to Fund securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling (855)-383-4636; and (ii) on the Commission’s website at www.sec.gov.

 

 

 

  

Cambria Shareholder Yield ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

Sector Weightings

 

Cambria Shareholder Yield ETF

Consumer Discretionary   26.01% 
Financial   14.62% 
Materials   14.54% 
Industrials   12.58% 
Information Technology   10.24% 
Energy   8.28% 
Communication Services   6.32% 
Consumer Staples   4.29% 
Health Care   3.12% 
    100.00% 

 

Percentages based on total investments.

 

   Shares   Value 
Common Stocks (97.86%)          
Communication Services (6.18%)          
Discovery, Inc., Class A(a)(b)   28,120   $569,149 
DISH Network Corp.(b)   21,546    549,207 
Fox Corp., Class A   24,016    636,904 
Fox Corp., Class B   21,736    568,179 
Meredith Corp.(a)   34,086    374,946 
News Corp., Class A   50,084    657,603 
ViacomCBS, Inc., Class B(a)   25,422    726,307 
         4,082,295 
Consumer Discretionary (25.46%)          
Abercrombie & Fitch Co., Class A(a)   44,118    627,358 
Brunswick Corp.   11,134    709,347 
Buckle, Inc.(a)   33,600    805,056 
Dick's Sporting Goods, Inc.(a)   16,758    949,341 
Dillard's, Inc., Class A(a)   10,678    477,627 
Fiat Chrysler Automobiles NV(a)(b)   73,682    905,552 
Foot Locker, Inc.   16,150    595,612 
GameStop Corp., Class A(a)(b)   126,046    1,319,702 
General Motors Co.(a)   26,372    910,625 
Guess?, Inc.(a)   36,670    431,973 
Kohl's Corp.(a)   13,680    291,247 
Lennar Corp., Class A(a)   8,740    613,810 
Marriott Vacations Worldwide Corp.(a)   10,412    1,005,799 
Qurate Retail, Inc.   102,182    691,772 
Ralph Lauren Corp.(a)   7,226    483,058 
Rent-A-Center, Inc., Class A   37,696    1,164,806 
Shoe Carnival, Inc.   20,824    645,128 
Stamps.com, Inc.(b)   4,884    1,090,304 
Toll Brothers, Inc.   32,110    1,357,611 

  

   Shares   Value 
Consumer Discretionary (continued)          
Whirlpool Corp.(a)   6,688   $1,237,012 
Wyndham Destinations, Inc.   15,010    489,776 
         16,802,516 
Consumer Staples (4.20%)          
Cal-Maine Foods, Inc.(a)(b)   14,402    552,317 
Nu Skin Enterprises, Inc., Class A   25,004    1,233,947 
Tyson Foods, Inc., Class A   9,728    556,733 
Walgreens Boots Alliance, Inc.   12,540    426,862 
         2,769,859 
Energy (8.10%)          
Arch Resources, Inc., Class A   9,158    279,777 
Baker Hughes Co.   38,950    575,291 
Chevron Corp.   5,472    380,304 
ConocoPhillips   11,780    337,144 
CVR Energy, Inc.   27,512    302,907 
Halliburton Co.(a)   88,122    1,062,751 
Helmerich & Payne, Inc.(a)   31,996    475,781 
HollyFrontier Corp.(a)   23,940    443,129 
Murphy Oil Corp.(a)   86,146    665,047 
Schlumberger NV   34,352    513,219 
Valero Energy Corp.   8,057    311,081 
         5,346,431 
Financials (14.30%)          
Aflac, Inc.   13,119    445,390 
Allstate Corp.   6,319    560,811 
Ameriprise Financial, Inc.(a)   4,602    740,140 
Assured Guaranty, Ltd.   15,208    388,260 
CIT Group, Inc.   15,010    442,045 
Citizens Financial Group, Inc.   19,191    522,955 
Discover Financial Services   8,322    541,013 
Franklin Resources, Inc.(a)   23,674    443,888 
JPMorgan Chase & Co.   5,780    566,671 
Lincoln National Corp.   11,172    392,137 
M&T Bank Corp.(a)   4,294    444,773 
MetLife, Inc.   14,364    543,677 
PNC Financial Services Group, Inc.   4,826    539,933 
Synchrony Financial(a)   20,265    507,030 
Unum Group(a)   22,952    405,332 
US Bancorp   12,274    478,072 
Voya Financial, Inc.   12,388    593,757 
Waddell & Reed Financial, Inc., Class A(a)   39,030    599,111 
Wells Fargo & Co.   13,338    286,100 
         9,441,095 

 

The accompanying notes are an integral part of the financial statements.

 

Semi-Annual Report | October 31, 2020 1

 

 

 

Cambria Shareholder Yield ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

   Shares   Value 
Health Care (3.06%)          
Biogen, Inc.(b)   2,584   $651,349 
McKesson Corp.(a)   5,054    745,415 
Universal Health Services, Inc., Class B   5,662    620,272 
         2,017,036 
Industrials (12.31%)          
AerCap Holdings NV(a)(b)   27,588    685,010 
Copa Holdings SA, Class A(a)   13,300    655,424 
Cummins, Inc.   4,229    929,915 
Delta Air Lines, Inc.   11,603    355,516 
Eaton Corp. PLC(a)   8,213    852,427 
Howmet Aerospace, Inc.   36,594    631,246 
MSC Industrial Direct Co., Inc., Class A(a)   10,412    725,300 
nVent Electric PLC(a)   33,934    612,509 
Regal Beloit Corp.   7,220    712,253 
Schneider National, Inc., Class B   25,346    559,133 
United Airlines Holdings, Inc.(a)(b)   18,088    612,460 
Werner Enterprises, Inc.(a)   20,976    797,507 
         8,128,700 
Information Technology (10.02%)          
Apple, Inc.(a)   12,504    1,361,185 
Arrow Electronics, Inc.(a)(b)   8,550    665,960 
Hewlett Packard Enterprise Co.   45,683    394,701 
HP, Inc.   36,708    659,276 
Intel Corp.   13,376    592,289 
Juniper Networks, Inc.(a)   29,374    579,255 
Micron Technology, Inc.(b)   13,984    703,955 
Vishay Intertechnology, Inc.(a)   42,978    697,103 
Western Union Co.   29,531    574,083 
Xerox Holdings Corp.   22,348    388,408 
         6,616,215 
Materials (14.23%)          
Cabot Corp.(a)   16,530    628,305 
Domtar Corp.   23,978    572,595 
DuPont de Nemours, Inc.   15,884    903,482 
Element Solutions, Inc.(b)   60,496    709,013 
Huntsman Corp.(a)   35,796    869,485 
International Paper Co.   16,340    714,875 
Louisiana-Pacific Corp.   27,095    774,375 
LyondellBasell Industries NV, Class A(a)   7,676    525,422 
Olin Corp.(a)   35,834    593,053 
Reliance Steel & Aluminum Co.   6,194    675,084 
Steel Dynamics, Inc.   23,104    727,314 

  

   Shares   Value 
Materials (continued)          
Trinseo SA(a)             26,714   $850,039 
Worthington Industries, Inc.   17,252    848,971 
         9,392,013 
Total Common Stocks          
(Cost $66,300,577)        64,596,160 

 

   Shares   Value 
Short-Term Investment (31.22%)               
Fidelity Investments Money Market          
Treasury Portfolio Institutional          
Class, 0.01%(c)(d)   20,610,775   $20,610,775 
           
Total Short-Term Investment          
(Cost $20,610,775)        20,610,775 
           
Total Investments (129.08%)          
(Cost $86,911,352)       $85,206,935 
           
Liabilities Less Other Assets (-29.08%)        (19,196,885)
           
Net Assets (100.00%)       $66,010,050 
           
Percentages based on Net Assets.          

  

(a)This security or a partial position of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $19,973,845.
(b)Non-income producing security.
(c)Rate shown is the 7-day effective yield as of October 31, 2020.
(d)This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of October 31, 2020 was $20,610,775.

 

Investment Abbreviations:

PLC - Public Limited Company

 

As of October 31, 2020, all of the Fund's investments in securities were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. generally accepted accounting principles.

 

The accompanying notes are an integral part of the financial statements.

 

2www.cambriafunds.com

 

 

 

Cambria Shareholder Yield ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

For the period ended October 31, 2020 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.

 

 

 

The accompanying notes are an integral part of the financial statements.

 

Semi-Annual Report | October 31, 2020 3

 

 

 

Cambria Foreign Shareholder Yield ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

Sector Weightings    
Cambria Foreign Shareholder Yield ETF    
Materials       27.04% 
Financial   19.61% 
Consumer Discretionary   11.73% 
Communication Services   11.15% 
Energy   8.82% 
Industrials   7.20% 
Consumer Staples   4.73% 
Utilities   3.46% 
Information Technology   2.44% 
Other   1.86% 
Real Estate   1.14% 
Health Care   0.82% 
    100.00% 
      
Percentages based on total investments.     

 

   Shares   Value 
Common Stocks (97.26%)          
Australia (5.26%)          
AGL Energy, Ltd.   14,552   $127,653 
Alumina, Ltd.   91,545    92,338 
BHP Group, Ltd.   8,296    196,979 
Fortescue Metals Group, Ltd.   20,162    246,165 
South32, Ltd.   153,578    219,138 
         882,273 
Belgium (3.18%)          
Ageas SA   4,980    200,388 
Euronav NV   21,641    157,904 
Solvay SA   2,159    175,258 
         533,550 
Canada (14.23%)          
Canadian Natural Resources, Ltd.   6,800    108,204 
Canadian Western Bank(a)   6,800    125,047 
Crescent Point Energy Corp.   78,200    97,434 
Great-West Lifeco, Inc.(a)   5,961    121,475 
Imperial Oil, Ltd.(a)   8,500    113,053 
Labrador Iron Ore Royalty Corp.   9,940    182,715 
Magna International, Inc.   5,168    263,889 
Methanex Corp.(a)   3,400    100,803 
Norbord, Inc.(a)   5,100    167,550 
Seven Generations Energy, Ltd.(b)   52,700    186,703 
Sun Life Financial, Inc.   3,400    135,280 
Suncor Energy, Inc.   6,800    76,712 
Teck Resources, Ltd.(a)(b)   13,600    178,741 

 

   Shares   Value 
Canada (continued)          
TORC Oil & Gas, Ltd.   95,200   $98,608 
Tourmaline Oil Corp.   15,300    198,212 
TransAlta Corp.(a)   22,100    131,044 
Whitecap Resources, Inc.(a)   56,100    102,322 
         2,387,792 
           
Denmark (1.24%)          
Scandinavian Tobacco Group A/S(c)(d)   14,705    207,853 
           
Finland (4.66%)          
Nokian Renkaat Oyj(a)   7,565    232,510 
Sampo Oyj(b)   4,743    178,975 
Stora Enso Oyj(a)   16,422    240,930 
UPM-Kymmene Oyj   4,573    129,207 
         781,622 
France (1.64%)          
Casino Guichard Perrachon SA(a)(b)   3,129    70,424 
Rexel SA(b)   19,397    203,948 
         274,372 
Germany (3.63%)          
DWS Group GmbH & Co. KGaA(b)(c)   3,791    128,724 
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen   1,231    287,883 
TUI AG(b)   19,912    78,013 
United Internet AG   3,281    115,018 
         609,638 
Great Britain (16.71%)          
Anglo American PLC   4,692    110,094 
Aviva PLC   43,129    143,875 
Barratt Developments PLC(b)   30,413    190,106 
Berkeley Group Holdings PLC   2,414    126,877 
Direct Line Insurance Group PLC   38,163    130,275 
Hastings Group Holdings PLC(c)   58,327    188,454 
HSBC Holdings PLC   23,070    96,999 
Inchcape PLC(b)   27,557    177,002 
Legal & General Group PLC   51,654    123,664 
Man Group PLC   116,892    162,867 
Mondi PLC   8,891    168,513 
Quilter PLC(c)   78,285    123,934 
Redrow PLC(b)   23,001    123,840 
Rio Tinto PLC   4,630    261,341 
Royal Mail PLC   34,372    101,081 
Standard Life Aberdeen PLC   49,929    145,214 
Tate & Lyle PLC   22,253    171,589 

 

The accompanying notes are an integral part of the financial statements.

 

4 www.cambriafunds.com

 

 

 

Cambria Foreign Shareholder Yield ETF Schedule of Investments
  October 31, 2020 (Unaudited)

  

   Shares   Value 
Great Britain (continued)          
Vodafone Group PLC   86,227   $115,059 
WPP PLC   17,884    142,859 
         2,803,643 
Hong Kong (8.53%)          
China Resources Cement Holdings, Ltd.   110,500    144,245 
China Resources Power Holdings Co., Ltd.   117,300    121,953 
Kingboard Laminates Holdings, Ltd.   132,600    211,065 
Kunlun Energy Co., Ltd.   287,300    185,295 
New World Development Co., Ltd.   39,100    186,107 
Nine Dragons Paper Holdings, Ltd.   153,000    203,276 
Shandong Chenming Paper Holdings, Ltd.   216,750    86,113 
Shougang Fushan Resources Group, Ltd.   1,258,000    293,709 
         1,431,763 
Italy (1.45%)          
Eni SpA   16,116    112,823 
UnipolSai Assicurazioni SpA   56,542    131,308 
         244,131 
Japan (21.94%)          
Amada Co., Ltd.   17,000    146,951 
Bridgestone Corp.   5,100    165,137 
Concordia Financial Group, Ltd.   51,000    167,085 
Ebara Corp.   6,800    187,642 
GungHo Online Entertainment, Inc.   10,200    251,651 
Japan Tobacco, Inc.   8,500    159,941 
Kaken Pharmaceutical Co., Ltd.   3,400    133,311 
KDDI Corp.   10,200    272,062 
Kurabo Industries, Ltd.   6,800    121,782 
Mitsubishi Gas Chemical Co., Inc.   13,600    245,903 
Mixi, Inc.   8,500    233,091 
Nikon Corp.   15,300    91,921 
Nippon Carbon Co., Ltd.   5,100    176,584 
Nippon Light Metal Holdings Co., Ltd.   10,030    157,403 
Nitto Denko Corp.   3,400    237,394 
NSK, Ltd.   23,800    188,454 
NTT DOCOMO, Inc.   5,100    189,347 
Ube Industries, Ltd.   10,200    174,100 
Ushio, Inc.   15,300    170,252 
Z Holdings Corp.   30,600    211,931 
         3,681,942 

 

 

   Shares   Value 
Luxembourg (0.77%)          
APERAM SA   4,811   $129,320 
           
Netherlands (3.72%)          
ASR Nederland NV   5,268    160,133 
Koninklijke Ahold Delhaize NV   5,933    163,003 
NN Group NV   5,746    200,360 
Royal Dutch Shell PLC, Class A   8,109    101,418 
         624,914 
           
Norway (1.54%)          
Telenor ASA   8,588    132,418 
Yara International ASA   3,621    126,116 
         258,534 
           
Singapore (1.12%)          
UMS Holdings, Ltd.   272,000    187,181 
           
Spain (0.53%)          
Repsol SA   14,229    88,493 
           
Sweden (2.77%)          
Betsson AB   40,868    311,847 
Telia Co. AB(a)   39,751    152,421 
         464,268 
           
Switzerland (4.34%)          
Glencore PLC(b)   72,386    146,197 
LafargeHolcim, Ltd.   4,165    178,737 
Swatch Group AG   3,808    155,485 
Zurich Insurance Group AG   748    247,987 
         728,406 
Total Common Stocks          
(Cost $18,171,787)        16,319,695 

 

The accompanying notes are an integral part of the financial statements.

 

Semi-Annual Report | October 31, 2020 5

 

 

 

Cambria Foreign Shareholder Yield ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

   Shares   Value 
Short-Term Investment (6.86%)          
Fidelity Investments Money Market          
Treasury Portfolio Institutional          
Class, 0.01%(e)(f)   1,151,414   $1,151,414 
           
Total Short-Term Investment          
(Cost $1,151,414)        1,151,414 
           
Total Investments (104.12%)          
(Cost $19,323,201)       $17,471,109 
           
Liabilities Less Other Assets (-4.12%)        (691,240)
           
Net Assets (100.00%)       $16,779,869 
Percentages based on Net Assets.          

 

(a)This security or a partial position of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $1,108,436.
(b)Non-income producing security.
(c)Security was purchased pursuant to Rule 144A or Section 4(a)(2) under the Securities Act of 1933 and may be resold in transactions exempt from registration only to qualified institutional buyers. As of October 31, 2020, these securities had a total aggregate market value of $648,965, which represented approximately 3.87% of net assets.
(d)Securities exempt from registration under the Securities Act, and may be deemed to be "restricted securities" under the Securities Act. As of October 31, 2020, the aggregate market value of those securities was $648,695 representing 3.87% of the Fund's net assets.
(e)Rate shown is the 7-day effective yield as of October 31, 2020.
(f)This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of October 31, 2020 was $1,151,414.

 

Investment Abbreviations:

PLC - Public Limited Company

 

As of October 31, 2020, all of the Fund's investments in securities were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. generally accepted accounting principles.

 

For the period ended October 31, 2020 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.

 

The accompanying notes are an integral part of the financial statements.

 

6 www.cambriafunds.com

 

 

 

Cambria Global Value ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

Sector Weightings

 

Cambria Global Value ETF

Financial   23.20% 
Utilities   18.65% 
Materials   16.03% 
Other   9.16% 
Energy   7.92% 
Industrials   7.71% 
Consumer Staples   7.18% 
Communication Services   4.21% 
Consumer Discretionary   3.26% 
Real Estate   2.68% 
    100.00% 

 

Percentages based on total investments.        
         
   Shares   Value 
Common Stocks (88.49%)          
Austria (8.23%)          
BAWAG Group AG(a)(b)(c)   33,915   $1,240,268 
Erste Group Bank AG(a)   21,594    442,126 
Erste Group Bank AG(a)(d)   26,916    549,334 
IMMOFINANZ AG(a)   50,190    672,216 
Raiffeisen Bank International AG(a)   53,340    766,588 
UNIQA Insurance Group AG   127,470    717,050 
Voestalpine AG   42,630    1,184,125 
Wienerberger AG   53,130    1,340,270 
         6,911,977 
Chile (7.77%)          
Banco de Credito e Inversiones SA   27,469    859,673 
CAP SA   196,455    1,620,824 
Cencosud SA   765,660    1,064,379 
Cia Cervecerias Unidas SA   123,585    687,205 
Colbun SA   6,279,630    947,669 
Empresa Nacional de Telecomunicaciones SA   173,670    978,890 
Latam Airlines Group SA(a)   245,910    370,375 
         6,529,015 
Czech Republic (8.61%)          
CEZ AS   98,910    1,868,595 
Komercni banka as(a)   62,580    1,267,847 
Moneta Money Bank AS(b)(c)   571,935    1,295,613 
PFNonwovens SA(a)   43,155    1,398,148 
Philip Morris CR AS   2,415    1,399,683 
         7,229,886 

  

   Shares   Value 
Greece (8.11%)          
FF Group(a)(e)(f)   25,407   $0 
Hellenic Petroleum SA   130,935    640,470 
Hellenic Telecommunications Organization SA   89,250    1,187,048 
JUMBO SA   50,675    708,221 
Karelia Tobacco Co. Inc SA   4,482    1,325,866 
Motor Oil Hellas Corinth Refineries SA   97,020    903,952 
Mytilineos SA   86,940    949,765 
Public Power Corp. SA(a)   195,195    1,091,199 
         6,806,521 
Italy (8.57%)          
Atlantia SpA(a)   44,052    674,917 
Enel SpA   247,065    1,966,438 
Eni SpA   70,878    496,195 
Intesa Sanpaolo SpA(a)   475,107    785,509 
Telecom Italia SpA   2,111,997    716,765 
UniCredit SpA(a)   85,925    640,562 
Unipol Gruppo SpA(a)   239,604    872,880 
UnipolSai Assicurazioni SpA   448,064    1,040,541 
         7,193,807 
Poland (7.53%)          
Alior Bank SA(a)(d)   200,130    573,049 
Bank Polska Kasa Opieki SA(a)   37,695    402,508 
Eurocash SA(a)   136,605    400,988 
Grupa Lotos SA   60,931    429,131 
Jastrzebska Spolka Weglowa SA(a)   221,655    850,538 
KGHM Polska Miedz SA(a)   40,425    1,206,541 
PGE Polska Grupa Energetyczna SA(a)   442,785    504,461 
Polski Koncern Naftowy ORLEN SA   42,105    405,244 
Powszechna Kasa Oszczednosci Bank Polski SA(a)   109,095    522,381 
Santander Bank Polska SA(a)   10,815    336,039 
Tauron Polska Energia SA(a)   1,575,445    690,496 
         6,321,376 
Portugal (8.27%)          
Altri SGPS SA   53,683    207,197 
Corticeira Amorim SGPS SA   136,127    1,563,202 
Energias de Portugal SA   339,814    1,674,869 
Galp Energia SGPS SA   95,292    771,765 
Jeronimo Martins SGPS SA   31,342    497,892 
Mota-Engil SGPS SA(a)(d)   185,850    237,662 
Navigator Co. SA   255,465    562,622 
NOS SGPS SA   158,025    542,559 

 

The accompanying notes are an integral part of the financial statements.

 

Semi-Annual Report | October 31, 2020 7

 

 

 

Cambria Global Value ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

   Shares   Value 
Portugal (continued)          
REN - Redes Energeticas Nacionais SGPS SA   77,949   $204,716 
Semapa-Sociedade de Investimento e Gestao   91,245    685,429 
         6,947,913 
Russia (7.79%)          
Alrosa PJSC   1,275,120    1,146,334 
Gazprom Neft PJSC   338,100    1,163,760 
Gazprom PJSC   376,635    734,840 
Rosneft Oil Co. PJSC   199,920    883,542 
Sberbank of Russia PJSC   290,375    734,785 
Severstal PAO   83,790    1,145,835 
Unipro PJSC   22,637,580    736,599 
         6,545,695 
Singapore (7.50%)          
CapitaLand, Ltd.   409,500    770,464 
City Developments, Ltd.   157,500    731,030 
ComfortDelGro Corp., Ltd.   567,000    560,379 
Golden Agri-Resources, Ltd.   4,356,082    449,656 
Jardine Cycle & Carriage, Ltd.   42,000    546,081 
Oversea-Chinese Banking Corp., Ltd.   126,000    776,690 
SATS, Ltd.   283,500    618,492 
Sembcorp Industries, Ltd.   472,500    546,543 
Sembcorp Marine, Ltd.(a)   2,320,450    203,854 
Singapore Airlines, Ltd.   147,000    364,823 
United Overseas Bank, Ltd.   52,500    729,877 
         6,297,889 
Spain (8.93%)          
Acciona SA   6,738    680,368 
Banco Bilbao Vizcaya Argentaria SA   108,933    312,350 
Banco Santander SA(a)   151,313    301,488 
CaixaBank SA   217,708    396,049 
Enagas SA   35,726    770,999 
Endesa SA   42,222    1,131,487 
Ferrovial SA   24,373    527,268 
Iberdrola SA   161,001    1,898,530 
Mapfre SA   333,949    503,279 
Naturgy Energy Group SA   52,427    973,889 
         7,495,707 
Turkey (7.18%)          
Akbank T.A.S.(a)   884,863    503,705 
Eregli Demir ve Celik Fabrikalari TAS   635,762    723,052 
Haci Omer Sabanci Holding AS   636,480    625,125 
KOC Holding AS   339,306    573,372 
Petkim Petrokimya Holding AS(a)   1,551,560    761,013 

 

  

   Shares   Value 
Turkey (continued)          
Turkiye Halk Bankasi AS(a)   916,450   $514,030 
Turkiye Is Bankasi AS, Class C(a)   959,855    585,340 
Turkiye Sise ve Cam Fabrikalari AS   875,702    640,617 
Turkiye Vakiflar Bankasi TAO, Class D(a)   929,160    422,472 
Yapi ve Kredi Bankasi AS(a)   2,640,688    677,544 
         6,026,270 
Total Common Stocks          
(Cost $107,603,323)        74,306,056 
           
Exchange Traded Funds (8.20%)          
United States (8.20%)          
Equity ETF (8.20%)          
iShares® MSCI Colombia ETF   845,350    6,881,149 
           
Total Exchange Traded Funds          
(Cost $6,671,571)        6,881,149 

 

   Shares   Value 
Short-Term Investment (1.05%)          
Fidelity Investments Money Market          
Treasury Portfolio Institutional          
Class, 0.01%(g)(h)   879,455   $879,455 
           
Total Short-Term Investment          
(Cost $879,455)        879,455 
           
Total Investments (97.74%)          
(Cost $115,154,349)       $82,066,660 
           
Other Assets Less Liabilities (2.26%)          
         1,900,011 
Net Assets (100.00%)          
           
Percentages based on Net Assets.       $83,966,671 

 

(a)Non-income producing security.

 

The accompanying notes are an integral part of the financial statements.

 

8 www.cambriafunds.com

 

 

 

Cambria Global Value ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

(b)Security was purchased pursuant to Rule 144A or Section 4(a)(2) under the Securities Act of 1933 and may be resold in transactions exempt from registration only to qualified institutional buyers. As of October 31, 2020, these securities had a total aggregate market value of $2,535,881, which represented approximately 3.02% of net assets.
(c)Securities exempt from registration under the Securities Act, and may be deemed to be "restricted securities" under the Securities Act. As of October 31, 2020, the aggregate market value of those securities was $2,535,881 representing 3.02% of the Fund's net assets.
(d)This security or a partial position of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $816,812.
(e)Level 3 security in accordance with fair value hierarchy.
(f)These securities are considered to be illiquid. The aggregate value of these securities at October 31, 2020 was $0, which represent 0.00% of the Fund's Net Assets.
(g)Rate shown is the 7-day effective yield as of October 31, 2020.
(h)This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of October 31, 2020 was $879,455.

 

Investment Abbreviations:

 

ETF- Exchange Traded Fund

PJSC - Private Joint Stock Company

 

Cambria Global Value ETF

 

       Level 2 -         
   Level 1 -   Other   Level 3 -     
Investments in  Quoted and   Significant   Significant     
Securities at  Unadjusted   Observable   Unobservable     
Value  Prices   Inputs   Inputs(1)   Total 
Common Stocks                    
Austria  $6,911,977         –   $     –    6,911,977 
Chile   6,529,015    –    –    6,529,015 
Czech Republic   7,229,886    –    –    7,229,886 
Greece   6,806,521    –    –    6,806,521 
Italy   7,193,807    –    –    7,193,807 
Poland   6,321,376    –    –    6,321,376 
Portugal   6,947,913    –    –    6,947,913 
Russia   6,545,695    –    –    6,545,695 
Singapore   6,297,889    –    –    6,297,889 
Spain   7,495,707    –    –    7,495,707 
Turkey   6,026,270    –    –    6,026,270 
                     
Exchange Traded Funds
United States		   6,881,149    –    –    6,881,149 
Short-Term Investment   879,455    –    –    879,455 
Total  $82,066,660   $–   $–   $82,066,660 

 

For the period ended October 31, 2020 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.

 

(1)Included in Level 3 is one security with total value of $0. A reconciliation of Level 3 investments and disclosures of significant unobservable inputs are presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.

  

The accompanying notes are an integral part of the financial statements.

Semi-Annual Report | October 31, 2020 9

 

 

 

 

Cambria Global Momentum ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

Sector Weightings   
Cambria Global Momentum ETF     
Exchange Traded Funds   100.00%
    100.00%

 

Percentages based on total investments.

 

   Shares   Value 
Exchange Traded Funds (98.76%)          
United States (98.76%)          
Affiliated ETF (12.00%)          
Cambria Shareholder Yield ETF*   102,140   $3,548,343 
Cambria Sovereign Bond ETF*   139,448    3,409,504 
         6,957,847 
Equity ETF (66.02%)          
iShares® Global Consumer Discretionary ETF(a)   27,585    3,676,805 
iShares® Global Healthcare ETF(a)   64,844    4,425,603 
iShares® Global Materials ETF(a)   71,050    4,828,558 
iShares® Global Tech ETF(a)   17,836    4,468,810 
iShares® MSCI Global Gold Miners ETF   162,129    5,058,425 
Invesco DB Base Metals Fund   246,655    3,845,351 
Invesco DB Precious Metals Fund   99,000    5,082,660 
Schwab US TIPS ETF   55,491    3,387,725 
SPDR® Portfolio TIPS ETF   114,292    3,487,049 
         38,260,986 
Fixed Income ETF (20.74%)          
iShares® 20+ Year Treasury Bond ETF(a)   26,852    4,231,070 
iShares® 7-10 Year Treasury Bond ETF   29,401    3,529,884 
Vanguard® Long-Term Bond ETF   38,876    4,256,533 
         12,017,487 
Total Exchange Traded Funds          
(Cost $54,632,436)        57,236,320 

 

   Shares   Value 
Short-Term Investment (8.65%)          
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(b)(c)   5,012,426   $5,012,426 
           
Total Short-Term Investment          
(Cost $5,012,426)        5,012,426 
           
Total Investments (107.41%)          
(Cost $59,644,862)       $62,248,746 
           
Liabilities Less Other Assets (-7.41%)        (4,295,724)
           
Net Assets (100.00%)       $57,953,022 

 

Percentages based on Net Assets.

 

*Affiliated investment is a registered investment company which is managed by Cambria Investment Management, L.P. (the “Investment Adviser”) or an affiliate of the Investment Adviser or which is distributed by an affiliate of the Fund’s distributor.

(a)This security or a partial position of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $4,889,417.
(b)Rate shown is the 7-day effective yield as of October 31, 2020.
(c)This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of October 31, 2020 was $5,012,426.

 

Investment Abbreviations:

ETF - Exchange Traded Fund

MSCI - Morgan Stanley Capital International

SPDR - Standard & Poor's Depository Receipt

TIPS - Treasury Inflation Protected Security

 

The accompanying notes are an integral part of the financial statements.

10 www.cambriafunds.com

 

 

 

Cambria Global Momentum ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

Transactions with affiliated companies for the six months ended October 31, 2020 are as follows:

 

               Change in                 
               Unrealized       Value at   Shares at     
   Value at   Purchases   Proceeds   Appreciation/   Realized   October 31,   October 31,   Dividend 
Security Name  April 30, 2020   at Cost   from Sales   (Depreciation)   Gain/(Loss)   2020   2020   Income 
Cambria Shareholder Yield ETF  $–   $4,479,350   $(748,968)  $(171,943)  $(10,096)  $3,548,343    102,140   $16,919 
Cambria Sovereign Bond ETF   4,126,597    248,100    (1,262,386)   329,302    (32,109)   3,409,504    139,448    23,262 
Cambria Tail Risk ETF   5,158,782    –    (4,911,879)   (307,694)   60,791    –    –    2,922 
   $9,285,379   $4,727,450   $(6,923,233)  $(150,335)  $18,586   $6,957,847    241,588   $43,103 

 

As of October 31, 2020, all of the Fund's investments in securities were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. generally accepted accounting principles.

 

For the period ended October 31, 2020 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.

 

The accompanying notes are an integral part of the financial statements.

Semi-Annual Report | October 31, 2020 11

 

 

 

Cambria Global Asset Allocation ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

Sector Weightings    
Cambria Global Asset Allocation ETF    
Exchange Traded Funds   100.00%
    100.00%

 

Percentages based on total investments.

 

   Shares   Value 
Exchange Traded Funds (96.35%)          
United States (96.35%)          
Affiliated ETF (38.79%)          
Cambria Emerging Shareholder Yield ETF*   150,274   $4,220,505 
Cambria Foreign Shareholder Yield ETF*   90,379    1,780,466 
Cambria Global Real Estate ETF(a)*   92,362    2,296,046 
Cambria Global Value ETF*   126,033    1,998,883 
Cambria Shareholder Yield ETF*   86,916    3,019,462 
Cambria Sovereign Bond ETF*   143,527    3,509,235 
Cambria Value and Momentum ETF*   54,450    960,863 
         17,785,460 
Equity ETF (20.10%)          
Alpha Architect International Quantitative Momentum ETF(a)   37,244    1,047,554 
Alpha Architect US Quantitative Momentum ETF(b)   44,780    1,800,604 
Schwab US TIPS ETF   24,640    1,504,272 
Vanguard® Intermediate-Term Government Bond ETF   27,708    1,938,452 
Vanguard® Long-Term Treasury ETF   19,404    1,867,441 
Vanguard® Total Stock Market ETF(a)   6,342    1,059,051 
         9,217,374 
Fixed Income ETF (28.91%)          
iShares® Short Treasury Bond ETF(a)   7,919    876,633 
SPDR® FTSE International Government Inflation-Protected Bond ETF(a)   25,133    1,360,701 
VanEck Vectors Emerging Markets High Yield Bond ETF(a)   78,138    1,766,700 
VanEck Vectors International High Yield Bond ETF   37,272    903,100 
Vanguard® Intermediate-Term Corporate Bond ETF   15,860    1,513,996 
Vanguard® Short-Term Corporate Bond ETF   11,222    928,957 

 

   Shares   Value 
Fixed Income ETF (continued)          
Vanguard® Total Bond Market ETF   41,177   $3,606,282 
Vanguard® Total International Bond ETF   39,449    2,301,455 
         13,257,824 
Multi-Asset ETF (8.55%)          
Alpha Architect Value Momentum Trend ETF   36,368    850,175 
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF   231,971    3,068,976 
         3,919,151 
Total Exchange Traded Funds          
(Cost $46,296,542)        44,179,809 

 

   Shares   Value 
Short-Term Investment (5.78%)          
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(c)(d)   2,652,477   $2,652,477 
           
Total Short-Term Investment          
(Cost $2,652,477)        2,652,477 
           
Total Investments (102.13%)          
(Cost $48,949,019)       $46,832,286 
           
Liabilities Less Other Assets (-2.13%)        (978,118)
           
Net Assets (100.00%)       $45,854,168 

 

Percentages based on Net Assets.

 

*Affiliated investment is a registered investment company which is managed by Cambria Investment Management, L.P. (the “Investment Adviser”) or an affiliate of the Investment Adviser or which is distributed by an affiliate of the Fund’s distributor.
(a)This security or a partial position of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $2,586,909.
(b)Investment is or was considered to be an affiliate during the reporting period by virtue of the Fund owning at least 5% of shares of the issuer.

 

The accompanying notes are an integral part of the financial statements.

12 www.cambriafunds.com

 

 

 

 

Cambria Global Asset Allocation ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

(c)Rate shown is the 7-day effective yield as of October 31, 2020.
(d)This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of October 31, 2020 was $2,652,477.

 

Investment Abbreviations:

ETF - Exchange Traded Funds

FTSE - Financial Times Stock Exchange

SPDR - Standard & Poor's Depository Receipt

TIPS - Treasury Inflation Protected Security

 

Transactions with affiliated companies for the six months ended October 31, 2020 are as follows:

 

               Change in                 
               Unrealized       Value at   Share at     
   Value at   Purchases   Proceeds   Appreciation/   Realized   October 31,   October 31,   Dividend 
Security Name  April 30, 2020   at Cost   from Sales   (Depreciation)   Gain/(Loss)   2020   2020   Income 
Cambria Emerging Shareholder Yield ETF  $4,325,986   $–   $(688,195)  $539,559   $43,155   $4,220,505    150,274   $135,958 
Cambria Foreign Shareholder Yield ETF   1,860,260    –    (290,898)   296,649    (85,545)   1,780,466    90,379    39,492 
Cambria Global Real Estate ETF   –    2,379,465    (68,200)   (17,345)   2,126    2,296,046    92,362    – 
Cambria Global Value ETF   2,397,560    –    (365,652)   19,274    (52,299)   1,998,883    126,033    36,379 
Cambria Shareholder Yield ETF   2,880,265    1,044,610    (1,496,772)   675,500    (84,141)   3,019,462    86,916    44,860 
Cambria Sovereign Bond ETF   3,829,933    –    (598,559)   361,910    (84,049)   3,509,235    143,527    22,577 
Cambria Value and Momentum ETF   1,030,966    –    (155,808)   76,243    9,462    960,863    54,450    6,723 
   $16,324,970   $3,424,075   $(3,664,084)  $1,951,790   $(251,291)  $17,785,460    743,941   $285,989 
                                         
Investments no longer affiliated as of October 31, 2020                                        
Alpha Architect US Quantitative Momentum ETF  $2,802,605   $–   $(1,850,719)  $33,714   $815,004   $1,800,604    44,780   $– 
   $2,802,605   $–   $(1,850,719)  $33,714   $815,004   $1,800,604    44,780   $– 
Grand Total  $19,127,575   $3,424,075   $(5,514,803)  $1,985,504   $563,713   $19,586,064   $788,721   $285,989 

 

As of October 31, 2020, all of the Fund's investments in securities were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. generally accepted accounting principles.

 

For the period ended October 31, 2020 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.

 

The accompanying notes are an integral part of the financial statements.

Semi-Annual Report | October 31, 2020 13

 

 

 

Cambria Value and Momentum ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

Sector Weightings    
Cambria Value and Momentum ETF    
Consumer Discretionary   24.32%
Industrials   23.42%
Energy   11.65%
Financial   10.27%
Health Care   9.75%
Information Technology   7.16%
Materials   5.67%
Consumer Staples   5.05%
Communication Services   2.71%
    100.00%
      
Percentages based on total investments.     

 

   Shares   Value 
Common Stocks (86.62%)          
Communication Services (2.35%)          
Bandwidth, Inc., Class A(a)(b)   590   $94,609 
Eros STX Global Corp.(a)(b)   24,303    46,662 
Tribune Publishing Co.(a)   7,810    89,503 
         230,774 
Consumer Discretionary (21.07%)          
Big Lots, Inc.   2,260    107,576 
Buckle, Inc.(a)   3,190    76,432 
Camping World Holdings, Inc., Class A(a)   2,731    72,208 
Haverty Furniture Cos., Inc.   2,849    71,282 
Lennar Corp., Class A(a)   1,656    116,301 
Lennar Corp., Class B   1,657    94,267 
MDC Holdings, Inc.   2,554    111,150 
Meritage Homes Corp.(a)(b)   1,623    141,347 
Nautilus, Inc.(b)   9,128    197,986 
Overstock.com, Inc.(a)(b)   1,395    78,259 
PetMed Express, Inc.(a)   2,162    63,952 
PulteGroup, Inc.   2,546    103,775 
Rent-A-Center, Inc., Class A   4,822    149,000 
Stamps.com, Inc.(a)(b)   599    133,721 
Target Corp.(a)   877    133,497 
Thor Industries, Inc.   666    56,330 
TopBuild Corp.(a)(b)   920    140,953 
TravelCenters of America, Inc.(b)   3,201    76,184 
Winnebago Industries, Inc.   1,077    50,565 
XPEL, Inc.(b)(c)   3,787    93,842 
         2,068,627 

 

   Shares   Value 
Consumer Staples (4.37%)        
Central Garden & Pet Co., Class A(b)   2,459   $87,024 
Nu Skin Enterprises, Inc., Class A   1,210    59,713 
Rite Aid Corp.(a)(b)   5,720    52,281 
SpartanNash Co.(a)   5,044    92,860 
United Natural Foods, Inc.(a)(b)   4,371    63,685 
Weis Markets, Inc.(a)   1,616    73,383 
         428,946 
Energy (10.09%)          
Antero Resources Corp.(a)(b)   25,867    87,948 
Bonanza Creek Energy, Inc.(a)(b)   4,616    81,749 
CNX Resources Corp.(a)(b)   9,103    88,299 
DHT Holdings, Inc.   8,371    40,264 
EQT Corp.   4,367    66,116 
Green Plains, Inc.(a)(b)   4,257    64,281 
Matador Resources Co.(b)   7,408    52,375 
Nordic American Tankers, Ltd.(a)   15,879    46,208 
Ovintiv, Inc.(a)   7,288    67,050 
Pacific Ethanol, Inc.(b)   10,769    65,583 
Range Resources Corp.(a)   12,633    83,125 
Renewable Energy Group, Inc.(a)(b)   3,057    172,415 
Southwestern Energy Co.(a)(b)   28,264    75,465 
         990,878 
Financials (8.90%)          
AMERISAFE, Inc.   946    55,795 
Cannae Holdings, Inc.(b)   2,585    95,593 
Green Dot Corp., Class A(b)   1,287    68,623 
Morgan Stanley   1,274    61,343 
Mr Cooper Group, Inc.(b)   5,777    121,779 
National General Holdings Corp.   1,870    63,524 
Open Lending Corp.(b)   2,871    74,531 
PennyMac Financial Services, Inc.   1,853    94,170 
Progressive Corp.   660    60,654 
Stewart Information Services Corp.   1,463    62,017 
SuRo Capital Corp.(a)   5,093    41,966 
SVB Financial Group(b)   253    73,547 
         873,542 
Health Care (8.44%)          
Cigna Corp.   385    64,283 
Corcept Therapeutics, Inc.(a)(b)   5,533    92,844 
CVS Health Corp.   924    51,827 
Humana, Inc.   231    92,234 
Jounce Therapeutics, Inc.(b)   6,732    56,010 
McKesson Corp.(a)   418    61,651 
Molina Healthcare, Inc.(b)   341    63,586 

 

The accompanying notes are an integral part of the financial statements.

 

14 www.cambriafunds.com

 

 

 

Cambria Value and Momentum ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

   Shares   Value 
Health Care (continued)        
Owens & Minor, Inc.   5,967   $149,891 
United Therapeutics Corp.(b)   643    86,310 
XBiotech, Inc.(a)(b)   6,459    110,514 
         829,150 
Industrials (20.29%)          
ArcBest Corp.   1,991    60,765 
Arcosa, Inc.   2,227    102,821 
Argan, Inc.(a)   1,749    72,041 
Astec Industries, Inc.(a)   1,677    85,192 
Atlas Air Worldwide Holdings, Inc.(a)(b)   1,886    111,576 
BMC Stock Holdings, Inc.(b)   3,855    152,619 
Builders FirstSource, Inc.(a)(b)   4,335    131,350 
Comfort Systems USA, Inc.(a)   1,199    54,914 
Construction Partners, Inc., Class A(a)(b)   4,978    101,452 
Cummins, Inc.   597    131,274 
Gibraltar Industries, Inc.(a)(b)   1,364    78,362 
Hub Group, Inc., Class A(b)   1,313    65,821 
Kornit Digital, Ltd.(a)(b)   1,571    105,760 
Marten Transport, Ltd.   4,643    71,247 
Nikola Corp.(b)   1,903    34,844 
Quanta Services, Inc.(a)   2,105    131,415 
Regal Beloit Corp.   627    61,853 
Saia, Inc.(a)(b)   927    136,881 
Schneider National, Inc., Class B   3,311    73,041 
UFP Industries, Inc.(a)   2,227    111,150 
Werner Enterprises, Inc.(a)   1,573    59,805 
YRC Worldwide, Inc.(a)(b)   14,696    57,608 
         1,991,791 
Information Technology (6.20%)          
Amkor Technology, Inc.(a)(b)   6,349    75,236 
Diodes, Inc.(b)   1,529    88,422 
ManTech International Corp., Class A   781    50,671 
Micron Technology, Inc.(a)(b)   1,821    91,669 
NortonLifeLock, Inc.   2,992    61,546 
Super Micro Computer, Inc.(b)   2,926    66,479 
Ultra Clean Holdings, Inc.(b)   5,269    112,177 
VirnetX Holding Corp.   11,323    62,729 
         608,929 
Materials (4.91%)          
Boise Cascade Co.          2,288    87,813 
Commercial Metals Co.(a)   4,741    97,902 
Hecla Mining Co.(a)   25,184    115,343 

 

   Shares   Value 
Materials (continued)          
Reliance Steel & Aluminum Co.                891   $97,110 
Stepan Co.   723    84,186 
         482,354 
Total Common Stocks          
(Cost $6,785,243)        8,504,991 

 

   Shares   Value 
Short-Term Investment (28.18%)          
Fidelity Investments Money Market          
Treasury Portfolio Institutional          
Class, 0.01%(d)(e)   2,766,488   $2,766,488 
           
Total Short-Term Investment          
(Cost $2,766,488)        2,766,488 
           
Total Investments (114.80%)          
(Cost $9,551,731)       $11,271,479 
           
Liabilities Less Other Assets (-14.80%)        (1,452,712)
           
Net Assets (100.00%)       $9,818,767 
           
Percentages based on Net Assets.          

 

(a) This security or a partial position of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $2,608,373.
(b) Non-income producing security.
(c) Securities exempt from registration under the Securities Act, and may be deemed to be "restricted securities" under the Securities Act. As of October 31, 2020, the aggregate market value of those securities was $93,842 representing 0.96% of the Fund's net assets.
(d) Rate shown is the 7-day effective yield as of October 31, 2020.
(e) This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of October 31, 2020 was $2,766,488.

 

The accompanying notes are an integral part of the financial statements.

 

Semi-Annual Report | October 31, 2020 15

 

 

 

Cambria Value and Momentum ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

The open futures contracts held by the Fund as of October 31, 2020 are as follows:

 

   Number of                 
Type of  Contracts   Expiration   Notional       Unrealized 
Contract  Short   Date   Amount   Value   Appreciation 
S&P 500®                             
Index E-                         
MINI   24    Dec-2020   $(4,010,612)  $(3,917,640)  $92,972 

 

For the period ended October 31, 2020, the monthly average notional value of the short equity futures contracts held was $(4,439,513) and the ending notional value of the futures contacts was $(4,410,612).

  

Investment Abbreviations:

PLC - Public Limited Company

 

As of October 31, 2020, all of the Fund's investments in securities were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. generally accepted accounting principles.

 

For the period ended October 31, 2020 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.

 

The accompanying notes are an integral part of the financial statements.

 

16 www.cambriafunds.com

 

 

 

Cambria Sovereign Bond ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

Sector Weightings    
Cambria Sovereign Bond ETF    
Sovereign Debt   90.72%
U.S. Treasury Obligations   9.28%
    100.00%
      
Percentages based on total investments.     

 

   Currency Face Amount   Value 
Sovereign Debt (83.48%)               
Brazil (6.10%)               
Brazil Notas do Tesouro               
Nacional Serie F,               
10.000%, 1/1/2027   BRL    3,180,000   $624,288 
Brazilian Government               
International Bond,               
8.500%, 1/5/2024   BRL    3,850,000    730,875 
              1,355,163 
Chile (2.50%)               
Bonos de la Tesoreria de la               
Republica en pesos               
4.500%, 3/1/2026   CLP    160,000,000    238,310 
6.000%, 1/1/2024   CLP    210,000,000    316,087 
              554,397 
Colombia (3.09%)               
Colombia Government               
International Bond,               
4.500%, 1/28/2026(a)   USD    200,000    221,500 
Colombian TES               
7.000%, 5/4/2022   COP    819,000,000    225,279 
7.500%, 8/26/2026   COP    812,500,000    240,076 
              686,855 
Croatia (2.46%)               
Croatia Government International               
Bond               
5.500%, 4/4/2023   USD    350,000    386,162 
6.000%, 1/26/2024   USD    140,000    161,295 
              547,457 
Czech Republic (3.96%)               
Czech Republic               
Government Bond,               
0.250%, 2/10/2027   CZK    21,280,000    878,705 

 

  Currency Face Amount   Value 
Greece (3.29%)               
Hellenic Republic               
Government Bond,               
3.650%, 2/24/2024(b)   EUR    560,916   $731,270 
                
Hungary (3.24%)               
Hungary Government Bond               
5.500%, 6/24/2025   HUF    127,160,000    476,891 
6.000%, 11/24/2023   HUF    67,200,000    243,238 
              720,129 
Indonesia (3.03%)               
Indonesia Treasury Bond               
7.000%, 5/15/2027   IDR    2,760,000,000    194,983 
8.375%, 3/15/2024   IDR    6,390,000,000    479,130 
              674,113 
Italy (2.21%)               
Italy Buoni Poliennali Del               
Tesoro, 2.800%,               
12/1/2028   EUR    357,000    490,853 
                
Malaysia (3.38%)               
Malaysia Government               
Investment Issue,               
4.070%, 9/30/2026   MYR    158,000    41,789 
Malaysia Government Bond               
4.181%, 7/15/2024   MYR    1,442,000    374,766 
4.392%, 4/15/2026   MYR    158,000    42,298 
4.498%, 4/15/2030   MYR    1,055,000    291,070 
              749,923 
Mexico (7.09%)               
Mexican Bonos               
7.500%, 6/3/2027   MXN    10,786,298    559,246 
8.500%, 5/31/2029   MXN    8,906,716    489,856 
10.000%, 12/5/2024   MXN    9,421,882    525,376 
              1,574,478 
New Zealand (2.44%)               
New Zealand Government               
Bond, 4.500%,               
4/15/2027   NZD    643,000    542,333 

 

The accompanying notes are an integral part of the financial statements.

 

Semi-Annual Report | October 31, 2020 17

 

 

 

Cambria Sovereign Bond ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

   Currency Face Amount   Value 
Peru (5.57%)            
Peruvian Government            
International Bond,               
4.125%, 8/25/2027   USD    1,064,000   $1,236,900 
                
Philippines (3.25%)               
Philippine Government               
Bond, 8.000%,               
7/19/2031   PHP    23,853,684    721,074 
                
Poland (3.37%)               
Republic of Poland Government               
Bond               
2.500%, 7/25/2026   PLN    756,000    211,010 
3.250%, 7/25/2025   PLN    693,000    198,469 
5.750%, 4/25/2029   PLN    962,000    338,715 
              748,194 
Romania (3.12%)               
Romania Government Bond               
4.750%, 2/24/2025   RON    500,000    127,720 
5.800%, 7/26/2027   RON    1,470,000    404,426 
5.850%, 4/26/2023   RON    630,000    161,536 
              693,682 
Russia (6.02%)               
Russian Federal Bond - OFZ               
7.000%, 1/25/2023   RUB    63,875,000    843,425 
7.600%, 7/20/2022   RUB    11,343,000    150,098 
7.600%, 4/14/2021   RUB    26,859,000    342,897 
              1,336,420 
Singapore (3.97%)               
Singapore Government               
Bond, 2.875%,               
7/1/2029   SGD    1,026,000    881,259 
                
South Africa (7.32%)               
Republic of South Africa               
Government Bond               
8.000%, 1/31/2030   ZAR    24,601,648    1,390,152 
8.250%, 3/31/2032   ZAR    4,456,473    235,153 
              1,625,305 

  

   Currency Face Amount   Value 
Thailand (3.45%)               
Thailand Government               
Bond, 3.625%,               
6/16/2023   THB    22,143,000   $765,886 
                
Turkey (4.62%)               
Turkey Government Bond               
8.500%, 9/14/2022   TRY    4,641,000    502,620 
10.700%, 2/17/2021   TRY    4,431,000    523,767 
              1,026,387 
Total Sovereign Debt               
(Cost $19,581,910)             18,540,783 
                
U.S. Treasury Obligations (8.54%)               
U.S. Treasury Bond,               
2.250%, 2/15/2027   USD    1,716,500    1,895,727 
Total U.S. Treasury Obligations               
                
(Cost $1,681,707)             1,895,727 
Total Investments (92.02%)               
(Cost $21,263,617)            $20,436,510 
Other Assets Less Liabilities (7.98%)               
              1,772,625 
Net Assets (100.00%)         
             $22,209,135 
Percentages based on Net Assets.               

 

(a)Security is callable. The next call date is October 28, 2025.

 

(b)Step Bonds – Represents the current rate, the step rate, the step date and the final maturity date.

 

The accompanying notes are an integral part of the financial statements.

 

18 www.cambriafunds.com

 

 

 

Cambria Sovereign Bond ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

Currency Abbreviations:

BRL — Brazilian Real

CLP — Chilean Peso

COP — Colombian Peso

CZK — Czech Koruna

EUR — Euro

HUF — Hungarian Forint

IDR — Indonesian Rupiah

MXN — Mexican Peso

MYR — Malaysian Ringgit

NZD — New Zealand Dollar

PHP — Philippine Peso

PLN — Polish Zloty

RON — Romanian Leu

RUB — Russian Ruble

SGD — Singapore Dollar

THB — Thailand Baht

TRY— Turkish Lira

USD — United States Dollar

ZAR — South African Ran

  

As of October 31, 2020, all of the Fund's investments in securities were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. generally accepted accounting principles.

 

For the period ended October 31, 2020 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.

 

The accompanying notes are an integral part of the financial statements.

Semi-Annual Report | October 31, 2020 19

 

 

 

Cambria Emerging Shareholder Yield ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

Sector Weightings    
Cambria Emerging Shareholder Yield ETF    
Materials   23.67%
Information Technology   23.44%
Industrials   15.75%
Consumer Discretionary   8.14%
Energy   7.80%
Financial   5.71%
Utilities   5.47%
Communication Services   3.52%
Consumer Staples   2.15%
Real Estate   2.13%
Health Care   1.33%
Other   0.89%
    100.00%

 

Percentages based on total investments.

 

   Shares   Value 
Common Stocks (97.25%)        
Australia (1.24%)        
BHP Group PLC   21,648   $415,394 
           
Brazil (1.20%)          
Camil Alimentos SA   192,000    402,876 
           
China (20.09%)          
Anhui Conch Cement Co., Ltd., Class H   48,000    299,362 
Bank of Communications Co., Ltd., Class H   480,000    235,898 
China Lilang, Ltd.   480,000    303,386 
China Medical System Holdings, Ltd.   144,000    150,826 
China National Building Material Co., Ltd., Class H   144,000    165,129 
China Petroleum & Chemical Corp., ADR(a)   4,695    184,654 
China Shenhua Energy Co., Ltd., Class H   168,000    290,384 
China Telecom Corp., Ltd., Class H   1,152,000    362,577 
CNOOC, Ltd.   288,000    261,531 
Fufeng Group, Ltd.   678,858    214,538 
Greatview Aseptic Packaging Co., Ltd.   666,286    285,336 
Greenland Hong Kong Holdings, Ltd.   1,032,000    334,127 
Lenovo Group, Ltd.   352,001    220,213 

 

   Shares   Value 
China (continued)          
Lonking Holdings, Ltd.   1,032,000   $274,224 
Qingdao Port International Co., Ltd., Class H(b)(c)   480,000    272,428 
Shenzhen Expressway Co., Ltd., Class H(a)   336,000    299,052 
Sinopec Shanghai Petrochemical Co., Ltd., ADR(a)   8,242    153,384 
Sinotruk Hong Kong, Ltd.   180,000    458,794 
Tianneng Power International, Ltd.(a)   144,000    234,412 
Yadea Group Holdings, Ltd.(b)(c)   624,000    890,221 
Yanzhou Coal Mining Co., Ltd., Class H   361,144    262,269 
Zhejiang Expressway Co., Ltd., Class H   319,999    217,942 
Zhengzhou Coal Mining Machinery Group Co., Ltd.   345,600    379,369 
         6,750,056 
           
Colombia (0.86%)          
Banco De Bogota Sa   15,960    289,068 
           
Czech Republic (0.98%)          
O2 Czech Republic AS   35,304    331,216 
           
Greece (2.14%)          
Hellenic Petroleum SA   43,776    214,131 
Holding Co. ADMIE IPTO SA   129,408    319,515 
Motor Oil Hellas Corinth Refineries SA   20,064    186,939 
         720,585 
           
India (1.32%)          
Tata Chemicals, Ltd.   102,384    445,346 
           
Mexico (1.03%)          
Industrias Penoles SAB de CV   21,600    345,005 
           
Russia (10.88%)          
Federal Grid Co. Unified Energy System PJSC   131,280,000    313,808 
Gazprom Neft PJSC   89,280    307,307 
Gazprom PJSC   169,200    330,120 
Inter RAO UES PJSC   4,416,000    282,602 
LUKOIL PJSC   6,864    349,491 

 

The accompanying notes are an integral part of the financial statements.

 

20 www.cambriafunds.com

 

 

 

Cambria Emerging Shareholder Yield ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

   Shares   Value 
Russia (continued)          
Magnitogorsk Iron & Steel Works PJSC   624,000   $295,805 
Novolipetsk Steel PJSC   183,360    429,297 
OGK-2 PJSC   37,680,000    323,803 
Sberbank of Russia PJSC   110,640    279,971 
Severstal PAO   34,080    466,047 
Unipro PJSC   8,496,000    276,449 
         3,654,700 
           
South Africa (12.15%)          
AECI, Ltd.   66,216    310,334 
African Rainbow Minerals, Ltd.   60,768    849,735 
Exxaro Resources, Ltd.   23,736    159,025 
Impala Platinum Holdings, Ltd.   40,536    355,623 
Kumba Iron Ore, Ltd.   23,712    699,846 
Nedbank Group, Ltd.   55,728    328,675 
Netcare, Ltd.   360,624    285,862 
Reunert, Ltd.   137,726    283,513 
Telkom SA SOC, Ltd.   290,837    457,869 
Truworths International, Ltd.   183,154    351,930 
         4,082,412 
           
South Korea (8.43%)          
Hanmi Semiconductor Co., Ltd.   54,912    525,069 
Huchems Fine Chemical Corp.   25,032    505,184 
KGMobilians Co., Ltd.   43,488    320,785 
Kolon Global Corp.   22,632    351,038 
Kumho Industrial Co., Ltd.   44,096    272,030 
Motonic Corp.   34,968    348,232 
Samsung C&T Corp.   1,848    179,963 
Ssangyong Cement Industrial Co., Ltd.   67,345    329,395 
         2,831,696 
           
Taiwan (29.66%)          
Acter Group Corp., Ltd.   48,000    314,647 
ASROCK, Inc.   96,000    552,100 
Asustek Computer, Inc.   24,000    203,472 
Catcher Technology Co., Ltd.   48,000    302,900 
Chenbro Micom Co., Ltd.   144,000    436,981 
Chicony Electronics Co., Ltd.   120,000    361,214 
CyberPower Systems, Inc.   72,000    191,053 
Dimerco Express Corp.   180,000    415,334 
Foxsemicon Integrated Technology, Inc.   24,000    145,157 
Gigabyte Technology Co., Ltd.   72,000    180,733 
Global Mixed Mode Technology, Inc.   72,000    375,059 

 

   Shares   Value 
Taiwan (continued)          
Holy Stone Enterprise Co., Ltd.   120,000   $421,627 
Huaku Development Co., Ltd.   120,000    363,312 
Iron Force Industrial Co., Ltd.   72,000    196,843 
ITE Technology, Inc.   153,600    369,991 
Micro-Star International Co., Ltd.   79,200    318,423 
Nishoku Technology, Inc.   108,000    385,128 
Radiant Opto-Electronics Corp.   96,000    377,576 
Sea Sonic Electronics Co., Ltd.   151,200    359,981 
Shin Foong Specialty & Applied Materials Co., Ltd.   144,000    1,165,452 
Sino-American Silicon Products, Inc.   120,000    417,851 
Sunonwealth Electric Machine Industry Co., Ltd.   168,000    343,594 
Systex Corp.   120,000    339,819 
TA-I Technology Co., Ltd.   168,000    396,455 
Topco Scientific Co., Ltd.   96,000    384,289 
Transcend Information, Inc.   120,000    267,240 
Tripod Technology Corp.   96,000    380,932 
         9,967,163 
           
Thailand (0.75%)          
Tisco Financial Group PLC   110,400    250,607 
           
Turkey (6.52%)          
Aksigorta AS   186,864    156,547 
Alarko Holding AS   451,176    333,287 
Coca-Cola Icecek AS   56,232    301,309 
Eczacibasi Yatirim Holding Ortakligi AS   84,696    179,004 
Enerjisa Enerji AS(b)(c)   254,616    273,166 
Is Yatirim Menkul Degerler AS   490,584    614,145 
Tofas Turk Otomobil Fabrikasi AS   104,424    332,981 
         2,190,439 
           
Total Common Stocks          
(Cost $33,027,939)        32,676,563 

 

   Shares   Value 
Rights (0.00%)          
Simplo Technology Co., Ltd., Expires 12/31/2020, Strike Price $83(d)   1,587    0 

 

The accompanying notes are an integral part of the financial statements.

 

Semi-Annual Report | October 31, 2020 21

 

 

 

Cambria Emerging Shareholder Yield ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

   Shares   Value 
Short-Term Investment (1.97%)          
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(e)(f)   662,444   $662,444 
           
Total Short-Term Investment          
(Cost $662,444)        662,444 
           
Total Investments (99.22%)          
(Cost $33,690,383)       $33,339,007 
           
Other Assets Less Liabilities (0.78%)        260,796 
           
Net Assets (100.00%)       $33,599,803 

 

Percentages based on Net Assets.

 

(a)This security or a partial position of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $633,490.
(b)Security was purchased pursuant to Rule 144A or Section 4(a)(2) under the Securities Act of 1933 and may be resold in transactions exempt from registration only to qualified institutional buyers. As of October 31, 2020, these securities had a total aggregate market value of $1,435,815, which represented approximately 4.27% of net assets.
(c)Securities exempt from registration under the Securities Act, and may be deemed to be “restricted securities” under the Securities Act. As of October 31, 2020, the aggregate market value of those securities was $1,435,815 representing 4.27% of the Fund’s net assets.
(d)Non-income producing security.
(e)Rate shown is the 7-day effective yield as of October 31, 2020.
(f)This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of October 31, 2020 was $662,444.

 

Cambria Emerging Shareholder Yield ETF

 

       Level 2 -         
   Level 1 -   Other   Level 3 -     
   Quoted and   Significant   Significant     
  Unadjusted   Observable   Unobservable     
Investments in Securities at Value  Prices   Inputs(1)   Inputs   Total 
Common Stocks  $32,676,563   $–   $         –   $32,676,563 
Rights   –    –    –    – 
Short-Term Investment   662,444    –    –    662,444 
Total  $33,339,007   $–   $–   $33,339,007 

 

For the period ended October 31, 2020 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.

 

(1)Included in Level 2 is one Rights holdings with total value of $0.

 

The accompanying notes are an integral part of the financial statements.

 

22www.cambriafunds.com

 

 

 

Cambria Tail Risk ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

Sector Weightings    
Cambria Tail Risk ETF    
U.S. Treasury Obligations   93.84%
Purchased Options   6.16%
    100.00%

 

Percentages based on total investments.        
         
   Face Amount   Value 
U.S. Treasury Obligations (92.68%)          
U.S. Treasury Bond, 0.625%, 5/15/2030  $365,771,400   $357,998,758 
United States Treasury Inflation Indexed Bonds, 0.125%, 7/15/2030   18,404,640    20,181,829 
         378,180,587 
           
Total U.S. Treasury Obligations          
(Cost $384,256,093)        378,180,587 

 

      Notional     
  Contracts  Amount   Value 
Purchased Options (6.08%)             
Put Options             
S&P 500® Index             
Expires 12/18/20, Strike Price $3,250  9   2,942,964    130,095 
Expires 12/18/20, Strike Price $3,100  17   5,558,932    164,560 
Expires 12/18/20, Strike Price $3,000  42   13,733,832    306,390 
Expires 12/18/20, Strike Price $3,200  29   9,482,884    368,155 
Expires 03/19/21, Strike Price $3,200  77   25,178,692    1,573,880 
Expires 03/19/21, Strike Price $3,150  11   3,596,956    206,305 
Expires 03/19/21, Strike Price $3,100  24   7,847,904    412,680 
Expires 03/19/21, Strike Price $2,750  14   4,577,944    127,330 
Expires 03/19/21, Strike Price $2,925  8   2,615,968    100,720 
Expires 03/19/21, Strike Price $2,900  18   5,885,928    216,450 
Expires 03/19/21, Strike Price $2,800  10   3,269,960    99,850 

 

      Notional     
   Contracts  Amount   Value 
Purchased Options (continued)             
Expires 03/19/21, Strike Price $2,950  25  $8,174,900   $329,250 
Expires 03/19/21, Strike Price $2,915  11   3,596,956    135,960 
Expires 03/19/21, Strike Price $2,775  12   3,923,952    114,300 
Expires 06/18/21, Strike Price $2,500  20   6,539,920    164,900 
Expires 06/18/21, Strike Price $2,600  44   14,387,824    432,300 
Expires 06/18/21, Strike Price $2,700  30   9,809,880    349,500 
Expires 06/18/21, Strike Price $2,800  28   9,155,888    385,000 
Expires 06/18/21, Strike Price $2,950  15   4,904,940    261,750 
Expires 06/18/21, Strike Price $3,000  15   4,904,940    282,675 
Expires 06/18/21, Strike Price $3,125  26   8,501,896    590,720 
Expires 06/18/21, Strike Price $3,200  36   11,771,856    913,860 
Expires 06/18/21, Strike Price $3,375  6   1,961,976    194,970 
Expires 06/18/21, Strike Price $2,850  11   3,596,956    163,955 
Expires 09/17/21, Strike Price $3,300  6   1,961,976    200,400 
Expires 09/17/21, Strike Price $3,150  14   4,577,944    385,420 
Expires 09/17/21, Strike Price $3,200  70   22,889,720    2,057,650 
Expires 09/17/21, Strike Price $2,975  6   1,961,976    130,140 
Expires 09/17/21, Strike Price $2,925  6   1,961,976    121,170 
Expires 09/17/21, Strike Price $2,950 49   16,022,804    1,025,815 
Expires 09/17/21, Strike Price $2,850  42   13,733,832    760,830 
Expires 09/17/21, Strike Price $2,800  31   10,136,876    521,420 
Expires 09/17/21, Strike Price $2,900  6   1,961,976    116,910 
Expires 12/17/21, Strike Price $2,925  8   2,615,968    182,640 
Expires 12/17/21, Strike Price $3,300  26   8,501,896    954,590 

 

The accompanying notes are an integral part of the financial statements.

 

Semi-Annual Report | October 31, 2020 23

 

 

 

Cambria Tail Risk ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

      Notional     
   Contracts  Amount   Value 
Purchased Options (continued)             
Expires 12/17/21, Strike Price $3,250  15  $4,904,940   $518,625 
Expires 12/17/21, Strike Price $3,200  20   6,539,920    650,700 
Expires 12/17/21, Strike Price $3,150  16   5,231,936    489,280 
Expires 12/17/21, Strike Price $3,100  11   3,596,956    315,865 
Expires 12/17/21, Strike Price $2,900  32   10,463,872    705,920 
Expires 12/17/21, Strike Price $2,800  45   14,714,820    862,650 
Expires 12/17/21, Strike Price $2,750  6   1,961,976    107,190 
Expires 12/17/21, Strike Price $2,700  33   10,790,868    547,800 
Expires 12/17/21, Strike Price $2,675  17   5,558,932    271,490 
Expires 12/17/21, Strike Price $2,600  14   4,577,944    199,710 
Expires 12/17/21, Strike Price $2,850  4   1,307,984    82,320 
Expires 06/17/22, Strike Price $3,150  7   2,288,972    253,960 
Expires 06/17/22, Strike Price $3,050  24   7,847,904    777,960 
Expires 06/17/22, Strike Price $3,200  119   38,912,524    4,561,270 
              
Total Purchased Options             
(Cost $27,781,437)           24,827,280 

 

   Value 
Total Investments (98.76%)     
(Cost $412,037,530)  $403,007,867 
      
Other Assets Less Liabilities (1.24%)   5,055,306 
      
Net Assets (100.00%)  $408,063,173 
      
Percentages based on Net Assets.     

 

Cambria Tail Risk ETF

 

Investments in Securities at Value   Level 1 -
Quoted and
Unadjusted
Prices		     Level 2 -
Other
Significant
Observable
Inputs		     Level 3 -
Significant
Unobservable
Inputs		     Total  
U.S. Treasury Obligations   $        –     $ 378,180,587     $             –     $ 378,180,587  
Short-Term Investment     –       –       –       –  
Total   $ –     $ 378,180,587     $ –     $ 378,180,587  
Other Financial                                
Instruments                                
Purchased Options   $ 24,827,280     $ –     $ –     $ 24,827,280  
Total   $ 24,827,280     $ –     $ –     $ 24,827,280  

 

For the period ended October 31, 2020 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.

 

The accompanying notes are an integral part of the financial statements.

 

24www.cambriafunds.com

 

 

 

Cambria Trinity ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

Sector Weightings        
Cambria Trinity ETF        
Exchange Traded Funds       100.00%
         100.00%

 

   Shares   Value 
Exchange Traded Funds (98.93%)          
United States (98.93%)          
Affiliated ETF (36.29%)          
Cambria Emerging Shareholder Yield ETF*   49,518   $1,390,733 
Cambria Foreign Shareholder Yield ETF*   76,764    1,512,251 
Cambria Global Real Estate ETF(a)*   45,590    1,133,331 
Cambria Global Value ETF*   79,453    1,260,124 
Cambria Shareholder Yield ETF*   69,553    2,416,271 
Cambria Sovereign Bond ETF*   96,097    2,349,572 
Cambria Value and Momentum ETF*   134,275    2,369,511 
         12,431,793 
           
Equity ETF (33.61%)          
iShares® Global Consumer Discretionary ETF   6,231    830,530 
iShares® Global Healthcare ETF   11,160    761,670 
iShares® Global Materials ETF(a)   12,524    851,131 
iShares® Global Tech ETF   3,610    904,486 
iShares® MSCI Global Gold Miners ETF   26,660    831,792 
Invesco DB Base Metals Fund   54,715    853,007 
Invesco DB Precious Metals Fund   18,786    964,473 
Schwab US TIPS ETF   24,374    1,488,033 
SPDR® Portfolio TIPS ETF   20,789    634,272 
Vanguard® Intermediate-Term Government Bond ETF   48,546    3,396,278 
         11,515,672 
           
Fixed Income ETF (15.40%)          
iShares® 20+ Year Treasury Bond ETF   5,115    805,971 
iShares® 7-10 Year Treasury Bond ETF   4,970    596,698 
SPDR® FTSE International Government Inflation- Protected Bond ETF(a)   14,632    792,176 
Vanguard® Long-Term Bond ETF   8,821    965,811 

 

   Shares   Value 
Fixed Income ETF (continued)          
Vanguard® Total Bond Market ETF(a)   24,167   $2,116,546 
         5,277,202 
           
Multi-Asset ETF (13.63%)          
Alpha Architect Value Momentum Trend ETF   30,449    711,806 
First Trust Managed Futures Strategy Fund   23,630    1,011,837 
iM DBi Managed Futures Strategy ETF   7,972    196,037 
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF   103,603    1,370,668 
WisdomTree Managed Futures Strategy Fund   39,641    1,379,903 
         4,670,251 
           
Total Exchange Traded Funds          
(Cost $35,747,945)        33,894,918 

 

   Shares   Value 
Short-Term Investment (4.30%)          
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(b)(c)   1,473,434   $1,473,434 
           
Total Short-Term Investment          
(Cost $1,473,434)        1,473,434 
           
Total Investments (103.23%)          
(Cost $37,221,379)       $35,368,352 
           
Liabilities Less Other Assets (-3.23%)        (1,106,418)
           
Net Assets (100.00%)       $34,261,934 
           
Percentages based on Net Assets.          

 

*Affiliated investment is a registered investment company which is managed by Cambria Investment Management, L.P. (the “Investment Adviser”) or an affiliate of the Investment Adviser or which is distributed by an affiliate of the Fund’s distributor.
(a)This security or a partial position of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $1,438,896.

 

The accompanying notes are an integral part of the financial statements.

 

Semi-Annual Report | October 31, 2020 25

 

 

 

Cambria Trinity ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

(b)Rate shown is the 7-day effective yield as of October 31, 2020.
(c)This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of October 31, 2020 was $1,473,434.

 

Investment Abbreviations: 

ETF - Exchange Traded Funds 

FTSE - Financial Times Stock Exchange

MSCI - Morgan Stanley Capital International

SPDR - Standard & Poor’s Depository Receipt

TIPS - Treasury Inflation Protected Security

 

 

Transactions with affiliated companies for the six months ended October 31, 2020 are as follows:

 

               Change in                 
               Unrealized       Value at   Shares at     
   Value at   Purchases   Proceeds   Appreciation/   Realized   October 31,   October 31,   Dividend 
Security Name  April 30, 2020   at Cost   from Sales   (Depreciation)   Gain/(Loss)   2020   2020   Income 
Cambria Emerging Shareholder Yield ETF  $1,336,094   $91,631   $(226,741)  $198,652   $(8,903)  $1,390,733    49,518   $45,916 
Cambria Foreign Shareholder Yield ETF   1,522,930    50,808    (249,907)   205,262    (16,842)   1,512,251    76,764    34,663 
Cambria Global Real Estate ETF   –    1,333,500    (115,508)   (82,554)   (2,107)   1,133,331    45,590    – 
Cambria Global Value ETF   1,369,129    140,246    (216,319)   (3,020)   (29,912)   1,260,124    79,453    22,994 
Cambria Shareholder Yield ETF   1,539,048    1,034,631    (372,042)   204,268    10,366    2,416,271    69,553    22,572 
Cambria Sovereign Bond ETF   2,471,562    77,888    (379,425)   184,640    (5,093)   2,349,572    96,097    15,643 
Cambria Tail Risk ETF   661,861    18,240    (645,990)   16,720    (50,831)   –    –    399 
Cambria Value and Momentum ETF   2,450,571    78,835    (389,371)   211,206    18,270    2,369,511    134,275    16,902 
   $11,351,195   $2,825,779   $(2,595,303)  $935,174   $(85,052)  $12,431,793    551,250   $159,089 

 

As of October 31, 2020, all of the Fund’s investments in securities were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S.generally accepted accounting principles.

 

For the period ended October 31, 2020 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.

 

The accompanying notes are an integral part of the financial statements.

 

26www.cambriafunds.com

 

 

 

Cambria Cannabis ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

Sector Weightings    
Cambria Cannabis ETF    
Health Care   42.47%
Consumer Staples   32.80%
Materials   7.97%
Consumer Discretionary   7.44%
Real Estate   6.67%
Financial   2.65%
    100.00%

 

Percentages based on total investments.        
         
   Shares   Value 
Common Stocks (98.18%)          
Consumer Discretionary (7.30%)          
Greenlane Holdings, Inc., Class A(a)(b)   231,700   $563,031 
GrowGeneration Corp.(b)   14,180    236,806 
         799,837 
           
Consumer Staples (32.21%)          
Altria Group, Inc.   10,000    360,800 
British American Tobacco PLC   19,680    624,131 
Constellation Brands, Inc., Class A   4,940    816,236 
Neptune Wellness Solutions, Inc.(a)(b)   84,840    163,741 
NewAge, Inc.(b)   111,100    259,974 
Philip Morris International, Inc.   5,760    409,075 
Turning Point Brands, Inc.   10,680    400,180 
Universal Corp.   4,160    165,776 
Village Farms International, Inc.(a)(b)   70,160    326,244 
         3,526,157 
           
Financials (2.60%)          
Canopy Rivers, Inc.(a)(b)   440,780    284,524 
           
Health Care (41.70%)          
Aphria, Inc.(a)(b)   202,600    911,700 
Arena Pharmaceuticals, Inc.(b)   4,440    380,597 
Aurora Cannabis, Inc.(a)(b)   21,893    88,667 
CannTrust Holdings, Inc.(a)(b)   229,762    57,395 
Canopy Growth Corp.(a)(b)   35,200    661,056 
Charlottes Web Holdings, Inc.(a)(b)   62,740    174,238 
Corbus Pharmaceuticals Holdings, Inc.(a)(b)   41,800    39,279 
Cronos Group, Inc.(b)   65,060    344,167 
Green Organic Dutchman Holdings, Ltd.(a)(b)   326,200    53,865 
GW Pharmaceuticals PLC, ADR(b)   10,620    955,906 

 

   Shares   Value 
Health Care (continued)          
HEXO Corp.(a)(b)   110,860   $67,347 
MediPharm Labs Corp.(a)(b)   308,040    187,279 
Organigram Holdings, Inc.(a)(b)   164,600    196,438 
Supreme Cannabis Co., Inc.(a)(b)   713,860    65,637 
Tilray, Inc.(a)(b)   23,280    132,929 
Valens Co., Inc.(a)(b)   66,660    81,055 
Vivo Cannabis, Inc.(b)   1,382,620    129,721 
Weedmd, Inc.(b)   202,700    38,036 
         4,565,312 
           
Materials (7.82%)          
Scotts Miracle-Gro Co.   5,708    856,485 
           
Real Estate (6.55%)          
Innovative Industrial Properties, Inc.(c)   6,146    716,808 
           
Total Common Stocks          
(Cost $17,460,418)        10,749,123 

 

   Shares   Value 
Short-Term Investment (24.17%)          
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(d)(e)   2,645,801   $2,645,801 
           
Total Short-Term Investment          
(Cost $2,645,801)        2,645,801 
           
Total Investments (122.35%)          
(Cost $20,106,219)       $13,394,924 
           
Liabilities Less Other Assets (-22.35%)        (2,446,872)
           
Net Assets (100.00%)       $10,948,052 
           
Percentages based on Net Assets.          

 

(a)This security or a partial position of this security is on loan at October 31, 2020. The total value of securities on loan at October 31, 2020 was $2,431,689.

(b)Non-income producing security.

(c)Real Estate Investment Trust.

 

The accompanying notes are an integral part of the financial statements.

 

Semi-Annual Report | October 31, 2020 27

 

 

 

Cambria Cannabis ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

(d)Rate shown is the 7-day effective yield as of October 31, 2020.
(e)This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of October 31, 2020 was $2,645,801.

 

Investment Abbreviations:

 

ADR - American Depository Receipt

 

As of October 31, 2020, all of the Fund’s investments in securities were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. generally accepted accounting principles.

 

For the period ended October 31, 2020 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.

 

The accompanying notes are an integral part of the financial statements.

 

28 www.cambriafunds.com

 

 

 

Cambria Global Real Estate ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

Sector Weightings

 

Cambria Global Real Estate ETF

 

Real Estate   100.00%
    100.00%

 

Percentages based on total investments.

 

   Shares   Value 
Common Stocks (93.29%)        
         
Australia (6.59%)        
BWP Trust(a)   22,664   $63,881 
Centuria Industrial REIT(a)   29,552    63,770 
Charter Hall Group(a)   7,408    64,255 
Ingenia Communities Group(a)   20,568    66,648 
Stockland(a)   25,160    68,087 
         326,641 
Belgium (1.26%)          
Montea C.V.A(a)   571    62,644 
           
Canada (2.43%)          
Allied Properties Real Estate Investment Trust(a)   2,344    56,845 
Granite Real Estate Investment Trust(a)   1,136    63,694 
         120,539 
Great Britain (2.65%)          
AEW UK REIT PLC(a)(b)   66,344    65,321 
RDI REIT PLC(a)   57,368    65,997 
         131,318 
Guernsey (1.34%)          
UK Commercial Property REIT, Ltd.(a)   75,324    66,551 
           
Malaysia (3.86%)          
Axis Real Estate Investment Trust(a)   135,240    68,353 
IGB Real Estate Investment Trust(a)   148,140    59,541 
KLCCP Stapled Group   34,772    63,602 
         191,496 
Mexico (4.19%)          
Concentradora Fibra Danhos SA de CV(a)   76,548    69,145 
Macquarie Mexico Real Estate Management SA de CV(a)(b)(c)   60,512    69,665 
Prologis Property Mexico SA de CV(a)   34,092    68,597 
         207,407 

  

   Shares   Value 
Singapore (11.83%)        
AIMS APAC REIT(a)   75,612   $65,319 
EC World Real Estate Investment Trust(a)(b)   132,320    67,809 
Far East Hospitality Trust(a)   162,112    66,461 
IREIT Global(a)   138,886    59,990 
Keppel DC REIT(a)   31,544    66,970 
Mapletree Industrial Trust(a)   29,360    65,342 
Mapletree Logistics Trust(a)   44,760    63,898 
Parkway Life Real Estate Investment Trust(a)   22,692    67,281 
Soilbuild Business Space REIT(a)   191,384    63,050 
         586,120 
South Africa (2.72%)          
Emira Property Fund, Ltd.(a)   200,160    76,626 
Redefine Properties, Ltd.(a)   474,275    57,996 
         134,622 
Thailand (1.16%)          
Tesco Lotus Retail Growth Freehold & Leasehold Property Fund   120,436    57,576 
           
United States (55.26%)          
Agree Realty Corp.(a)   1,004    62,318 
American Finance Trust, Inc.(a)   10,168    58,619 
American Homes 4 Rent(a)   2,300    65,021 
AvalonBay Communities, Inc.(a)   432    60,104 
Brandywine Realty Trust(a)   6,276    54,978 
Brixmor Property Group, Inc.(a)   5,564    60,981 
CareTrust REIT, Inc.(a)   3,412    58,345 
CoreCivic, Inc.(a)   7,268    46,588 
Corporate Office Properties Trust(a)   2,940    65,944 
Cousins Properties, Inc.(a)   2,344    59,725 
Digital Realty Trust, Inc.(a)   452    65,224 
Diversified Healthcare Trust(a)   18,428    53,349 
Duke Realty Corp.(a)   1,760    66,862 
Easterly Government Properties, Inc.(a)   2,716    56,764 
Equity Commonwealth(a)   2,144    56,645 
Equity Residential(a)   1,204    56,564 
First Industrial Realty Trust, Inc.(a)   1,640    65,288 
Franklin Street Properties Corp.(a)   14,820    62,244 
Getty Realty Corp.(a)   2,316    60,865 
Highwoods Properties, Inc.(a)   1,940    57,754 
Industrial Logistics Properties Trust(a)   3,152    60,455 
Kimco Realty Corp.(a)   5,724    58,728 

 

The accompanying notes are an integral part of the financial statements.

 

Semi-Annual Report | October 31, 2020 29

 

 

 

Cambria Global Real Estate ETF Schedule of Investments
  October 31, 2020 (Unaudited)

 

   Shares   Value 
United States (continued)        
Kite Realty Group Trust(a)   5,968   $61,828 
Lexington Realty Trust(a)   6,024    59,818 
LTC Properties, Inc.(a)   1,800    59,418 
Monmouth Real Estate Investment Corp.(a)   4,724    65,427 
National Health Investors, Inc.(a)   1,052    58,965 
National Retail Properties, Inc.(a)   1,852    59,283 
Office Properties Income Trust(a)   2,944    54,199 
Piedmont Office Realty Trust, Inc.(a)   4,592    52,441 
Prologis, Inc.(a)   668    66,266 
PS Business Parks, Inc.(a)   556    63,401 
Public Storage(a)   308    70,554 
QTS Realty Trust, Inc.(a)   996    61,264 
Realty Income Corp.(a)   1,052    60,869 
Retail Properties of America, Inc.(a)   10,876    56,990 
Retail Value, Inc.(a)   5,488    68,600 
Rexford Industrial Realty, Inc.(a)   1,432    66,531 
Spirit Realty Capital, Inc.(a)   1,928    57,936 
STAG Industrial, Inc.(a)   2,092    65,103 
Terreno Realty Corp.(a)   1,172    65,960 
Urstadt Biddle Properties, Inc., Class A (a)   6,944    66,037 
Washington Prime Group, Inc.(a)   112,620    65,939 
Washington Real Estate Investment Trust(a)   3,252    56,845 
Weingarten Realty Investors(a)   3,852    61,093 
         2,738,132 
Total Common Stocks          
(Cost $4,757,823)        4,623,046 

 

   Shares   Value 
Rights (0.00%)        
Mapletree Logistics Trust, Expires 11/10/2020, Strike Price $2(d)   637    0 
           
Total Investments (93.29%)          
(Cost $4,757,823)       $4,623,046 
           
Other Assets Less Liabilities (6.71%)          
         332,462 
Net Assets (100.00%)          
        $4,955,508 
Percentages based on Net Assets.          

 

 

(a)Real Estate Investment Trust.
(b)Securities exempt from registration under the Securities Act, and may be deemed to be "restricted securities" under the Securities Act. As of October 31, 2020, the aggregate market value of those securities was $202,795 representing 4.09% of the Fund's net assets.
(c)Security was purchased pursuant to Rule 144A or Section 4(a)(2) under the Securities Act of 1933 and may be resold in transactions exempt from registration only to qualified institutional buyers. As of October 31, 2020, these securities had a total aggregate market value of $69,665, which represented approximately 1.41% of net assets.
(d)Non-income producing security.

 

Cambria Global Real Estate ETF

 

       Level 2 -         
   Level 1 -   Other   Level 3 -     
   Quoted and   Significant   Significant     
   Unadjusted   Observable   Unobservable     
Investments in Securities at Value  Prices   Inputs(1)   Inputs   Total 
Common Stocks  $4,623,046   $     –   $     –   $4,623,046 
Rights   –    –    –    – 
                     
Total  $4,623,046   $–   $–   $4,623,046 

 

For the period ended October 31, 2020 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Financial Statements for further information regarding fair value measurements.

 

(1)Included in Level 2 is one security with total value of $0.

   

The accompanying notes are an integral part of the financial statements.

 

30www.cambriafunds.com

 

 

 

Cambria ETF Trust Statements of Assets and Liabilities
  October 31, 2020 (Unaudited)

 

       Cambria Foreign         
   Cambria Shareholder   Shareholder Yield   Cambria Global   Cambria  Global 
   Yield ETF   ETF    Value ETF   Momentum ETF 
Assets                    
Unaffiliated Investments at Value*  $85,206,935   $17,471,109   $82,066,660   $55,290,899 
Affiliated Investments at Value   –    –    –    6,957,847 
Foreign Currency at Value   13,893    9,446    26,818    – 
Cash and cash equivalents   1,337,435    253,981    2,594,066    742,279 
Dividends receivable, Net   51,282    41,085    41,856    – 
Reclaims receivable   14,867    164,620    221,447    – 
Receivable for investments sold   –    –    61    – 
Other assets   31,363    269    2,595    6,840 
Total Assets   86,655,775    17,940,510    84,953,503    62,997,865 
                     
Liabilities                    
Payable upon return of securities loaned   20,610,775    1,151,414    879,455    5,012,426 
Payable due to investment adviser   34,950    9,227    45,939    32,417 
Custodian fees payable   –    –    61,438    – 
Total Liabilities   20,645,725    1,160,641    986,832    5,044,843 
                     
Net Assets  $66,010,050   $16,779,869   $83,966,671   $57,953,022 
                     
Net Assets Consists of                    
Paid-in Capital  $76,403,753   $24,388,799   $142,428,913   $67,302,496 
Total Distributable Loss   (10,393,703)   (7,608,930)   (58,462,242)   (9,349,474)
                     
Net Assets  $66,010,050   $16,779,869   $83,966,671   $57,953,022 
                     
Outstanding Shares of Beneficial Interest (Unlimited Authorization - No Par Value)   1,900,000    850,010    5,250,010    2,450,001 
Net Asset Value, Offering and Redemption Price Per Share  $34.74   $19.74   $15.99   $23.65 
Unaffiliated Investments at Cost  $86,911,352   $19,323,201   $115,154,349   $52,425,519 
Affiliated Investments at Cost  $–   $–   $–   $7,219,343 
Cost of Foreign Currency  $14,080   $9,446   $26,818   $– 
*Includes market value of securities on loan  $19,973,845   $1,108,436   $816,812   $4,889,417 

  

The accompanying notes are an integral part of the financial statements.

 

Semi-Annual Report | October 31, 2020 31

 

 

 

Cambria ETF Trust Statements of Assets and Liabilities
  October 31, 2020 (Unaudited)

 

               Cambria Emerging 
   Cambria Global   Cambria Value and   Cambria Sovereign   Shareholder Yield 
   Asset Allocation ETF   Momentum ETF   Bond ETF   ETF 
Assets                
Unaffiliated Investments at Value*  $29,046,826   $11,271,479   $20,436,510   $33,339,007 
Affiliated Investments at Value   17,785,460    –    –    – 
Foreign Currency at Value   –    –    50,111    185,746 
Cash and cash equivalents   1,677,731    463,791    1,427,724    777,725 
Cash at Broker for futures contracts   –    803,888    –    – 
Dividends receivable, Net   –    5,810    –    13,619 
Variation Margin Receivable   –    45,120    –    – 
Reclaims receivable   –    –    7,637    1,218 
Receivable for investments sold   908,186    –    –    – 
Interest receivable   –    –    298,363    – 
Other assets   3,706    708    –    1,813 
Total Assets   49,421,909    12,590,796    22,220,345    34,319,128 
                     
Liabilities                    
                     
Payable upon return of securities loaned   2,652,477    2,766,488    –    662,444 
Payable for investments purchased   915,264    –    –    – 
Capital gains tax payable   –    –    –    23,677 
Payable due to investment adviser   –    5,541    11,210    17,185 
Custodian fees payable   –    –    –    16,019 
Total Liabilities   3,567,741    2,772,029    11,210    719,325 
                     
Net Assets  $45,854,168   $9,818,767   $22,209,135   $33,599,803 
                     
Net Assets Consists of                    
Paid-in Capital  $48,521,397   $19,293,349   $24,449,139   $36,270,849 
Total Distributable Loss   (2,667,229)   (9,474,582)   (2,240,004)   (2,671,046)
                     
Net Assets  $45,854,168   $9,818,767   $22,209,135   $33,599,803 
                     
Outstanding Shares of Beneficial Interest (Unlimited Authorization - No Par Value)   1,750,001    550,004    900,000    1,200,004 
Net Asset Value, Offering and Redemption Price Per Share  $26.20   $17.85   $24.68   $28.00 
Unaffiliated Investments at Cost  $28,114,230   $9,551,731   $21,263,617   $33,690,383 
Affiliated Investments at Cost  $20,834,789   $–   $–   $– 
Cost of Foreign Currency  $–   $–   $47,305   $185,806 
*Includes market value of securities on loan  $2,586,909   $2,608,373   $–   $633,490 

 

The accompanying notes are an integral part of the financial statements.

 

32www.cambriafunds.com

 

 

 

Cambria ETF Trust Statements of Assets and Liabilities
  October 31, 2020 (Unaudited)

 

   Cambria Tail Risk       Cambria Cannabis   Cambria Global Real 
   ETF   Cambria Trinity ETF   ETF   Estate ETF 
Assets                
Unaffiliated Investments at Value*  $403,007,867   $22,936,559   $13,394,924   $4,623,046 
Affiliated Investments at Value   –    12,431,793    –    – 
Foreign Currency at Value   –    –    –    3,579 
Cash and cash equivalents   8,605,106    374,673    161,480    239,036 
Cash at Broker for futures contracts   –    –    –    – 
Cash at Broker for options contracts   988,662    –    –    – 
Dividends receivable, Net   –    –    17,445    8,689 
Receivable for capital shares sold   –    –    –    1,238,910 
Receivable for investments sold   –    1,095,039    –    31 
Receivable due from Advisor   –    –    8,261    – 
Interest receivable   1,062,880    –    –    – 
Other assets   –    2,526    17,854    – 
Total Assets   413,664,515    36,840,590    13,599,964    6,113,291 
                     

Liabilities

                    
Payable upon return of securities loaned   –    1,473,434    2,645,801    – 
Payable for investments purchased   –    –    –    1,155,951 
Fund shares redeemed   5,398,376    1,105,222    –    – 
Payable due to investment adviser   202,966    –    6,111    1,832 
Total Liabilities   5,601,342    2,578,656    2,651,912    1,157,783 
                     
                     

Net Assets

  $408,063,173   $34,261,934   $10,948,052   $4,955,508 
                     
Net Assets Consists of                    
Paid-in Capital  $422,510,735   $38,358,008   $18,338,880   $5,069,596 
Total Distributable Loss   (14,447,562)   (4,096,074)   (7,390,828)   (114,088)
                     
Net Assets  $408,063,173   $34,261,934   $10,948,052   $4,955,508 
                     
Outstanding Shares of Beneficial Interest (Unlimited Authorization - No Par Value)   19,050,002    1,550,002    1,000,002    200,002 
Net Asset Value, Offering and Redemption Price Per Share  $21.42   $22.10   $10.95   $24.78 
Unaffiliated Investments at Cost  $412,037,530   $22,671,463   $20,106,219   $4,757,823 
Affiliated Investments at Cost  $–   $14,549,916   $–   $– 
Cost of Foreign Currency  $–   $–   $–   $3,598 
*Includes market value of securities on loan  $–   $1,438,896   $2,431,689   $– 

  

The accompanying notes are an integral part of the financial statements.

 

Semi-Annual Report | October 31, 2020 33

 

 

 

Cambria ETF Trust Statements of Operations
  For the Six Months Ended October 31, 2020 (Unaudited)

 

       Cambria Foreign         
   Cambria Shareholder   Shareholder Yield   Cambria Global   Cambria Global 
   Yield ETF   ETF   Value ETF   Momentum ETF 
Investment Income:                
Dividend Income from Unaffiliated Investments  $830,214   $386,289   $2,498,718   $431,869 
Dividend Income from Affiliated Investments   –    –    –    43,103 
Income from Securities Lending   77,565    3,014    20,718    69,621 
Less: Foreign Taxes Withheld   (3,248)   (27,808)   (294,366)   – 
Total Investment Income   904,531    361,495    2,225,070    544,593 
                     
Expenses:                    
Management Fees   192,517    55,698    290,468    212,448 
Custodian Fees   –    –    47,911    – 
Total Expenses   192,517    55,698    338,379    212,448 
Net Expenses   192,517    55,698    338,379    212,448 
Net Investment Income   712,014    305,797    1,886,691    332,145 
Net Realized and Unrealized Gains/(Losses) on Investments:                    
Net Realized Gain/(Loss) on Unaffiliated Investments(a)   (1,607,686)   (2,228,043)   (820,743)   1,655,557 
Net Realized Gain on Affiliated Investments(a)   –    –    –    18,586 
Net Realized Loss on Foreign Currency Transactions   –    (2,570)   (7,868)   – 
Net Change in Unrealized Appreciation/(Depreciation) on Unaffiliated                    
Investments   10,993,592    4,168,793    (1,101,842)   680,070 
Net Change in Unrealized Depreciation on Affiliated Investments   –    –    –    (150,335)
Net Change in Unrealized Appreciation on Foreign Currency                    
Translations   1,119    9,972    25,353    – 
Net Realized and Unrealized Gain/(Loss) on Investments   9,387,025    1,948,152    (1,905,100)   2,203,878 
Net Increase/(Decrease) in Net Assets Resulting From Operations  $10,099,039   $2,253,949   $(18,409)  $2,536,023 

 

(a)Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements).

 

The accompanying notes are an integral part of the financial statements.

 

34www.cambriafunds.com

 

 

 

Cambria ETF Trust Statements of Operations
  For the Six Months Ended October 31, 2020 (Unaudited)

 

               Cambria Emerging 
   Cambria Global   Cambria Value and   Cambria Sovereign   Shareholder Yield 
   Asset Allocation ETF   Momentum ETF   Bond ETF   ETF 
Investment Income:                
Dividend Income from Unaffiliated Investments  $236,708   $71,544   $–   $1,247,792 
Dividend Income from Affiliated Investments   285,989    –    –    – 
Interest Income   –    –    534,806    – 
Income from Securities Lending   33,308    4,394    –    8,914 
Less: Foreign Taxes Withheld   –    –    (7,350)   (208,240)
Total Investment Income   556,005    75,938    527,456    1,048,466 
Expenses:                    
Management Fees   –    32,568    68,356    96,898 
Custodian Fees   –    –    –    9,943 
Total Expenses   –    32,568    68,356    106,841 
Net Expenses   –    32,568    68,356    106,841 
Net Investment Income   556,005    43,370    459,100    941,625 
Net Realized and Unrealized Gains/(Losses) on Investments:                    
Net Realized Gain/(Loss) on Unaffiliated Investments(a)   (571,480)   117,451    (54,060)   26,763 
Net Realized Gain on Affiliated Investments(a)   563,713    –    –    – 
Net Realized Loss on Futures Contracts   –    (2,163,654)   –    – 
Net Realized Loss on Foreign Currency Transactions   –    –    (1,043,058)   (11,039)
Net Change in Unrealized Appreciation on Unaffiliated Investments   1,930,191    1,615,171    1,813,077    3,507,475 
Net Change in Unrealized Appreciation on Affiliated Investments   1,985,504    –    –    – 
Net Change in Unrealized Appreciation on Futures Contracts   –    1,322,833    –    – 
Net Change in Unrealized Appreciation/(Depreciation) on Foreign Currency Translations   –    –    45,643    (992)
Change in Accumulated Foreign Capital Gains Tax on Appreciated Securities   –    –    –    (8,608)
Net Realized and Unrealized Gain on Investments   3,907,928    891,801    761,602    3,513,599 
Net Increase in Net Assets Resulting From Operations  $4,463,933   $935,171   $1,220,702   $4,455,224 

  

(a)Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements).

   

The accompanying notes are an integral part of the financial statements.

 

Semi-Annual Report | October 31, 2020 35

 

 

 

Cambria ETF Trust Statements of Operations
  For the Six Months Ended October 31, 2020 (Unaudited)

 

   Cambria Tail Risk       Cambria Cannabis   Cambria Global Real 
   ETF   Cambria Trinity ETF   ETF   Estate ETF(a) 
Investment Income:                
Dividend Income from Unaffiliated Investments  $–   $154,890   $117,633   $20,293 
Dividend Income from Affiliated Investments   –    159,089    –    – 
Interest Income   1,144,618    –    –    – 
Income from Securities Lending   –    17,426    208,841    – 
Less: Foreign Taxes Withheld   –    –    –    (360)
Total Investment Income   1,144,618    331,405    326,474    19,933 
Expenses:                    
Management Fees   864,067    –    33,996    2,119 
Total Expenses   864,067    –    33,996    2,119 
Waiver of Investment Advisory Fees   –    –    (9,796)   – 
Net Expenses   864,067    –    24,200    2,119 
Net Investment Income   280,551    331,405    302,274    17,814 
Net Realized and Unrealized Gains/(Losses) on Investments:                    
Net Realized Gain/(Loss) on Unaffiliated Investments(b)   4,857,014    (40,903)   160,058    2,647 
Net Realized Loss on Affiliated Investments(b)   –    (85,052)   –    – 
Net Realized Loss on Purchased Options   (5,078,099)   –    –    – 
Net Realized Gain on Foreign Currency Transactions   –    –    7,744    225 
Net Change in Unrealized Appreciation/(Depreciation) on Unaffiliated Investments   (11,190,435)   683,541    (809,103)   (134,777)
Net Change in Unrealized Appreciation on Affiliated Investments   –    935,174    –    – 
Net Change in Unrealized Depreciation on Purchased Options   (4,371,121)   –    –    – 
Net Change in Unrealized Appreciation/(Depreciation) on Foreign Currency Translations   –    –    (656)   3 
Net Realized and Unrealized Gain/(Loss) on Investments   (15,782,641)   1,492,760    (641,957)   (131,902)
Net Increase/(Decrease) in Net Assets Resulting From Operations  $(15,502,090)  $1,824,165   $(339,683)  $(114,088)

 

(a)For the period September 24, 2020 (Inception) to October 31, 2020.
(b)Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements).

 

The accompanying notes are an integral part of the financial statements.

 

36www.cambriafunds.com

 

 

 

Cambria ETF Trust Statements of Changes in Net Assets

  

   Cambria Shareholder Yield ETF   Cambria Foreign Shareholder Yield ETF 
   Period Ended       Period Ended     
   October 31, 2020   Year Ended   October 31, 2020   Year Ended 
   (Unaudited)   April 30, 2020   (Unaudited)   April 30, 2020 
Operations                
Net investment Income  $712,014   $2,418,685   $305,797   $957,754 
Net realized Gain/(Loss) on Investments(a)   (1,607,686)   1,350,870    (2,228,043)   (2,473,490)
Net realized Gain/(Loss) on Foreign Currency Transactions   –    211    (2,570)   29,598 
Net Change in Unrealized Appreciation/(Depreciation) on Investments   10,993,592    (23,472,949)   4,168,793    (3,873,183)
Net Change in Unrealized Appreciation/(Depreciation) on Foreign Currency Translation   1,119    (876)   9,972    5,854 
Net increase/(decrease) in net assets resulting from operations   10,099,039    (19,704,059)   2,253,949    (5,353,467)
                     
Total Dividends and Distributions to Shareholders                    
Distributions to shareholders from distributable earnings   (717,390)   (2,366,810)   (391,129)   (1,045,339)
Net decrease from distributions   (717,390)   (2,366,810)   (391,129)   (1,045,339)
                     
Capital Share Transactions                    
Issued   5,461,119    40,136,776    627    5,906,259 
Redeemed   (9,959,670)   (69,353,301)   (2,945,839)   (8,740,414)
Decrease in Net Assets from Capital Share Transactions   (4,498,551)   (29,216,525)   (2,945,212)   (2,834,155)
Total Net Increase/(Decrease) in Net Assets   4,883,098    (51,287,394)   (1,082,392)   (9,232,961)
                     
Net Assets                    
Beginning of Period   61,126,952    112,414,346    17,862,261    27,095,222 
End of Period  $66,010,050   $61,126,952   $16,779,869   $17,862,261 
Share Transactions:                    
Issued   150,000    1,100,000    –    250,000 
Redeemed   (300,000)   (2,050,000)   (150,000)   (400,000)
Net decrease in Shares Outstanding from Share Transactions   (150,000)   (950,000)   (150,000)   (150,000)

 

(a)Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements).

 

The accompanying notes are an integral part of the financial statements.

 

Semi-Annual Report | October 31, 2020 37

 

 

 

Cambria ETF Trust Statements of Changes in Net Assets

  

   Cambria Global Value ETF   Cambria Global Momentum ETF 
   Period Ended       Period Ended     
   October 31, 2020   Year Ended   October 31, 2020   Year Ended 
    (Unaudited)   April 30, 2020   (Unaudited)   April 30, 2020 
Operations                
Net investment Income  $1,886,691   $4,123,136   $332,145   $2,453,576 
Net realized Gain/(Loss) on Investments(a)   (820,743)   (22,000,147)   1,674,143    (5,665,310)
Net realized Loss on Foreign Currency Transactions   (7,868)   (425,487)   –    – 
Capital Gain Distributions received from Affiliated Investments   –    –    –    143 
Net Change in Unrealized Appreciation/(Depreciation) on Investments   (1,101,842)   (22,995,996)   529,735    (1,152,517)
Net Change in Unrealized Appreciation/(Depreciation) on Foreign Currency Translation   25,353    (26,377)   –    – 
Net increase/(decrease) in net assets resulting from operations   (18,409)   (41,324,871)   2,536,023    (4,364,108)
                     
Total Dividends and Distributions to Shareholders                    
Distributions to shareholders from distributable earnings   (1,507,419)   (4,668,914)   (321,127)   (2,351,015)
Return of capital   –    –    –    (73,325)
Net decrease from distributions   (1,507,419)   (4,668,914)   (321,127)   (2,424,340)
                     
Capital Share Transactions                    
Issued   2,180    15,562,265    –    3,700,810 
Redeemed   (11,097,150)   (31,874,857)   (22,710,893)   (47,661,851)
Decrease in Net Assets from Capital Share Transactions   (11,094,970)   (16,312,592)   (22,710,893)   (43,961,041)
Total Net Decrease in Net Assets   (12,620,798)   (62,306,377)   (20,495,997)   (50,749,489)
                     
Net Assets                    
Beginning of Period   96,587,469    158,893,846    78,449,019    129,198,508 
End of Period  $83,966,671   $96,587,469   $57,953,022   $78,449,019 
Share Transactions:                    
Issued   –    650,000    –    150,000 
Redeemed   (650,000)   (1,550,000)   (950,000)   (1,900,000)
Net decrease in Shares Outstanding from Share Transactions   (650,000)   (900,000)   (950,000)   (1,750,000)

 

(a)Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements).

 

The accompanying notes are an integral part of the financial statements.

 

38www.cambriafunds.com

 

 

 

Cambria ETF Trust Statements of Changes in Net Assets

 

   Cambria Global Asset Allocation ETF   Cambria Value and Momentum ETF 
   Period Ended       Period Ended     
   October 31, 2020   Year Ended   October 31, 2020   Year Ended 
   (Unaudited)   April 30, 2020   (Unaudited)   April 30, 2020 
Operations                    
Net investment Income  $556,005   $1,988,834   $43,370   $134,731 
Net realized Gain/(Loss) on Investments(a)   (7,767)   57,352    (2,046,203)   (919,624)
Capital Gain Distributions received from Affiliated Investments   –    18,099    –    – 
Net Change in Unrealized Appreciation/(Depreciation) on Investments   3,915,695    (5,607,550)   2,938,004    (1,899,752)
Net increase/(decrease) in net assets resulting from operations   4,463,933    (3,543,265)   935,171    (2,684,645)
                     
Total Dividends and Distributions to Shareholders                    
Distributions to shareholders from distributable earnings   (868,285)   (2,190,738)   (73,613)   (144,770)
Net decrease from distributions   (868,285)   (2,190,738)   (73,613)   (144,770)
                     
Capital Share Transactions                    
Issued   –    5,495,418    –    1,756,399 
Redeemed   (7,670,985)   (14,199,975)   (1,860,858)   (7,898,792)
Decrease in Net Assets from Capital Share Transactions   (7,670,985)   (8,704,557)   (1,860,858)   (6,142,393)
Total Net Decrease in Net Assets   (4,075,337)   (14,438,560)   (999,300)   (8,971,808)
                     
Net Assets                    
Beginning of Period   49,929,505    64,368,065    10,818,067    19,789,875 
End of Period  $45,854,168   $49,929,505   $9,818,767   $10,818,067 
                     
Share Transactions:                    
Issued   –    200,000    –    100,000 
Redeemed   (300,000)   (550,000)   (100,000)   (400,000)
Net decrease in Shares Outstanding from Share Transactions   (300,000)   (350,000)   (100,000)   (300,000)

 

(a)Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements).

 

The accompanying notes are an integral part of the financial statements.

Semi-Annual Report | October 31, 2020 39

 

 

 

 

Cambria ETF Trust Statements of Changes in Net Assets

  

   Cambria Sovereign Bond ETF   Cambria Emerging Shareholder Yield ETF 
   Period Ended       Period Ended     
   October 31, 2020   Year Ended   October 31, 2020   Year Ended 
   (Unaudited)   April 30, 2020   (Unaudited)   April 30, 2020 
Operations                
Net investment Income  $459,100   $1,069,703   $941,625   $1,274,729 
Net realized Gain/(Loss) on Investments(a)   (54,060)   (509,942)   26,763    (1,588,824)
Net realized Loss on Foreign Currency Transactions   (1,043,058)   (362,115)   (11,039)   (88,393)
Net Change in Unrealized Appreciation/(Depreciation) on Investments   1,813,077    (798,880)   3,507,475    (5,139,202)
Net Change in Unrealized Appreciation/(Depreciation) on Foreign Currency Translation   45,643    (40,005)   (992)   1,380 
Net Change in Unrealized Depreciation on Foreign Capital Gains on Appreciated Securities   –    –    (8,608)   (15,069)
Net increase/(decrease) in net assets resulting from operations   1,220,702    (641,239)   4,455,224    (5,555,379)
                     
Total Dividends and Distributions to Shareholders                    
Distributions to shareholders from distributable earnings   (137,642)   (896,995)   (1,006,776)   (1,265,482)
Net decrease from distributions   (137,642)   (896,995)   (1,006,776)   (1,265,482)
                     
Capital Share Transactions                    
Issued   –    12,860,852    1,438,681    21,381,344 
Redeemed   (1,262,396)   (7,557,472)   –    (6,242,890)
Increase/(Decrease) in Net Assets from Capital Share Transactions   (1,262,396)   5,303,380    1,438,681    15,138,454 
Total Net Increase/(Decrease) in Net Assets   (179,336)   3,765,146    4,887,129    8,317,593 
                     
Net Assets                    
Beginning of Period   22,388,471    18,623,325    28,712,674    20,395,081 
End of Period  $22,209,135   $22,388,471   $33,599,803   $28,712,674 
                     
Share Transactions:                    
Issued   –    500,000    50,000    700,000 
Redeemed   (50,000)   (300,000)   –    (200,000)
Net increase/(decrease) in Shares Outstanding from Share Transactions   (50,000)   200,000    50,000    500,000 

 

(a)Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements).

 

The accompanying notes are an integral part of the financial statements.

40 www.cambriafunds.com

 

 

 

 

Cambria ETF Trust Statements of Changes in Net Assets

 

   Cambria Tail Risk ETF   Cambria Trinity ETF 
   Period Ended       Period Ended     
   October 31, 2020   Year Ended   October 31, 2020   Year Ended 
   (Unaudited)   April 30, 2020   (Unaudited)   April 30, 2020 
Operations                
Net investment Income  $280,551   $950,066   $331,405   $1,019,985 
Net realized Gain/(Loss) on Investments(a)   (221,085)   883,287    (125,955)   (2,213,651)
Capital Gain Distributions received from Affiliated Investments   –    –    –    7,930 
Net Change in Unrealized Appreciation/(Depreciation) on Investments   (15,561,556)   7,916,539    1,618,715    (3,280,241)
Net increase/(decrease) in net assets resulting from operations   (15,502,090)   9,749,892    1,824,165    (4,465,977)
                     
Total Dividends and Distributions to Shareholders                    
Distributions to shareholders from distributable earnings   (293,913)   (954,741)   (389,164)   (1,047,196)
Net decrease from distributions   (293,913)   (954,741)   (389,164)   (1,047,196)
                     
Capital Share Transactions                    
Issued   345,725,622    129,176,457    1,150,415    15,802,912 
Redeemed   (54,354,185)   (43,228,645)   (5,632,360)   (3,261,007)
Increase/(Decrease) in Net Assets from Capital Share Transactions   291,371,437    85,947,812    (4,481,945)   12,541,905 
Total Net Increase/(Decrease) in Net Assets   275,575,434    94,742,963    (3,046,944)   7,028,732 
                     
Net Assets                    
Beginning of Period   132,487,739    37,744,776    37,308,878    30,280,146 
End of Period  $408,063,173   $132,487,739   $34,261,934   $37,308,878 
                     
Share Transactions:                    
Issued   15,700,000    5,850,000    50,000    650,000 
Redeemed   (2,500,000)   (1,900,000)   (250,000)   (150,000)
Net increase/(decrease) in Shares Outstanding from Share Transactions   13,200,000    3,950,000    (200,000)   500,000 

 

(a)Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements).

 

The accompanying notes are an integral part of the financial statements.

Semi-Annual Report | October 31, 2020 41

 

 

 

Cambria ETF Trust Statements of Changes in Net Assets

 

   Cambria Cannabis ETF   Cambria Global Real
Estate ETF		 
       For the Period   For the Period 
   Period Ended   July 24, 2019   September 24, 2020 
   October 31, 2020   (Inception) to   (Inception) to 
   (Unaudited)   April 30, 2020   October 31, 2020 
Operations               
Net investment Income  $302,274   $407,449   $17,814 
Net realized Gain/(Loss) on Investments(a)   160,058    (861,495)   2,647 
Net realized Gain on Foreign Currency Transactions   7,744    1,306    225 
Net Change in Unrealized Depreciation on Investments   (809,103)   (5,902,192)   (134,777)
Net Change in Unrealized Appreciation/(Depreciation) on Foreign Currency Translation   (656)   727    3 
Net increase/(decrease) in net assets resulting from operations   (339,683)   (6,354,205)   (114,088)
                
Total Dividends and Distributions to Shareholders               
Distributions to shareholders from distributable earnings   (336,923)   (360,017)   – 
Net decrease from distributions   (336,923)   (360,017)   – 
                
Capital Share Transactions               
Issued   3,723,194    15,751,752    5,069,596 
Redeemed   (1,136,066)   –    – 
Increase in Net Assets from Capital Share Transactions   2,587,128    15,751,752    5,069,596 
Total Net Increase in Net Assets   1,910,522    9,037,530    4,955,508 
                
Net Assets               
Beginning of Period   9,037,530    –    – 
End of Period  $10,948,052   $9,037,530   $4,955,508 
                
Share Transactions:               
Issued   300,000    800,002    200,002 
Redeemed   (100,000)   –    – 
Net increase in Shares Outstanding from Share Transactions   200,000    800,002    200,002 

 

(a)Includes realized gain or loss as a result of in-kind transactions (See Note 5 in Notes to Financial Statements).

 

The accompanying notes are an integral part of the financial statements.

42 www.cambriafunds.com

 

 

 

 

Cambria Shareholder Yield ETF Financial Highlights
  For a Share Outstanding Throughout the Periods Presented

 

   Period Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   October 31, 2020   April 30, 2020   April 30, 2019   April 30, 2018   April 30, 2017   April 30, 2016 
Net Asset Value, Beginning of Year/Period  $29.82   $37.47   $37.98   $33.97   $28.62   $31.54 
Income/(loss) from investment operations:                              
Net Investment Income(a)   0.37    0.86    0.79    0.64    0.50    0.64 
Net Realized and Unrealized Gain (Loss) on Investments   4.92    (7.66)   (0.40)   3.94    5.35    (1.45)
Total from Operations   5.29    (6.80)   0.39    4.58    5.85    (0.81)
                               
Distributions:                              
Distributions from Net Investment Income   (0.37)   (0.85)   (0.90)   (0.54)   (0.50)   (0.69)
Distributions from Net Realized Gains   –    –    –    (0.03)   –    (1.39)
Return of Capital   –    –    –    –    –    (0.03)
Total Distributions   (0.37)   (0.85)   (0.90)   (0.57)   (0.50)   (2.11)
                               
Net Asset Value, End of Year/Period  $34.74   $29.82   $37.47   $37.98   $33.97   $28.62 
                               
Total Return(b)   17.85%   (18.43)%   1.10%   13.58%   20.62%   (2.59)%
                               
Ratios and Supplemental Data                              
Net Assets, End of Year/Period (in 000s)  $66,010   $61,127   $112,414   $142,440   $125,682   $137,397 
                               
Ratio of Expenses to Average Net Assets(c)   0.59%(d)   0.59%   0.59%   0.59%   0.59%   0.59%
                               
Ratio of Net Investment Income (Loss) to Average Net Assets   2.18%(d)   2.40%   2.13%   1.77%   1.63%   2.10%
Portfolio Turnover(b)(e)   24%   30%   28%   16%   50%   43%

 

(a)Per share data calculated using the average shares method.
(b)Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares.
(c)Expense ratios do not include expenses of the underlying funds.
(d)Annualized.
(e)Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.

 

The accompanying notes are an integral part of the financial statements.

Semi-Annual Report | October 31, 2020 43

 

 

 

 

Cambria Foreign Shareholder Yield ETF Financial Highlights
  For a Share Outstanding Throughout the Periods Presented

 

   Period Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   October 31, 2020   April 30, 2020   April 30, 2019   April 30, 2018   April 30, 2017   April 30, 2016 
Net Asset Value, Beginning of Year/Period  $17.86   $23.56   $26.58   $23.03   $21.20   $23.80 
Income/(loss) from investment operations:                              
Net Investment Income(a)     0.32    0.90    1.06    0.70    0.81    0.81 
Net Realized and Unrealized Gain (Loss) on Investments   1.97    (5.60)   (2.79)   3.60    1.59    (2.61)
Total from Operations   2.29    (4.70)   (1.73)   4.30    2.40    (1.80)
                               
Distributions:                        
Distributions from Net Investment Income   (0.41)   (1.00)   (1.29)   (0.75)   (0.57)   (0.68)
Return of Capital   –    –    –    –    –    (0.12)
Total Distributions   (0.41)   (1.00)   (1.29)   (0.75)   (0.57)   (0.80)
                               
Net Asset Value, End of Year/Period  $19.74   $17.86   $23.56   $26.58   $23.03   $21.20 
                               
Total Return(b)   12.89%   (20.47)%   (6.34)%   19.03%   11.93%   (7.67)%
                               
Ratios and Supplemental Data                              
Net Assets, End of Year/Period (in 000s)  $16,780   $17,862  $27,095   $46,511   $42,605   $26,495 
                               
Ratio of Expenses to Average Net Assets(c)   0.59%(d)   0.59%   0.59%   0.59%   0.59%   0.59%
Ratio of Net Investment Income (Loss) to Average Net Assets   3.24%(d)   4.04%   4.32%   2.78%   3.80 %   3.83%
Portfolio Turnover(b)(e)   35%   47%   53%   44%   43%   53%

 

(a) Per share data calculated using the average shares method.
(b) Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares.
(c) Expense ratios do not include expenses of the underlying funds.
(d) Annualized.
(e) Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.

  

The accompanying notes are an integral part of the financial statements.

44 www.cambriafunds.com

 

 

 
Cambria Global Value ETF Financial Highlights
  For a Share Outstanding Throughout the Periods Presented

 

   Period Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   October 31, 2020   April 30, 2020   April 30, 2019   April 30, 2018   April 30, 2017   April 30, 2016 
Net Asset Value, Beginning of Year/Period  $16.37   $23.37   $26.05   $22.66   $19.29   $21.78 
Income/(loss) from investment operations:                              
Net Investment Income(a)   0.34    0.62    0.64    0.56    0.50    0.45 
Net Realized and Unrealized Gain (Loss) on Investments   (0.45)   (6.91)   (2.33)   3.34    3.38    (2.57)
Total from Operations   (0.11)   (6.29)   (1.69)   3.90    3.88    (2.12)
                               
Distributions:                        
Distributions from Net Investment Income   (0.27)   (0.71)   (0.61)   (0.51)   (0.51)   (0.37)
Distributions from Net Realized Gains   –    –    (0.38)   –    –    – 
Total Distributions   (0.27)   (0.71)   (0.99)   (0.51)   (0.51)   (0.37)
                               
Net Asset Value, End of Year/Period  $15.99   $16.37   $23.37   $26.05   $22.66   $19.29 
                               
Total Return(b)   (0.78)%   (27.71)%   (6.24)%   17.42%   20.85%   (9.76)%
                               
Ratios and Supplemental Data                              
Net Assets, End of Year/Period (in 000s)  $83,967   $96,587   $158,894   $210,975   $112,190   $69,436 
                               
Ratio of Expenses to Average Net Assets(c)   0.69%(d)   0.65%   0.69%   0.68%   0.68%   0.69%
Ratio of Net Investment Income (Loss) to Average Net Assets   3.83%(d)   2.84%   2.74%   2.22%   2.48%   2.36%
Portfolio Turnover(b)(e)   1%   25%   20%   14%   16%   15%

 

(a) Per share data calculated using the average shares method.
(b) Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares.
(c) Expense ratios do not include expenses of the underlying funds.
(d) Annualized.
(e) Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.

 

The accompanying notes are an integral part of the financial statements.

Semi-Annual Report | October 31, 2020 45

 

 

 

Cambria Global Momentum ETF Financial Highlights
  For a Share Outstanding Throughout the Periods Presented

 

    Period Ended     Year Ended     Year Ended     Year Ended     Year Ended     Year Ended  
    October 31, 2020     April 30, 2020     April 30, 2019     April 30, 2018     April 30, 2017     April 30, 2016  
Net Asset Value, Beginning of Year/Period   $ 23.07     $ 25.09     $ 27.39     $ 24.72     $ 22.78     $ 25.35  
Income/(loss) from investment operations:                                                
Net Investment Income(a)       0.11       0.56       0.62       0.42       0.42       0.34  
Net Realized and Unrealized Gain (Loss) on Investments     0.58       2.02       (2.33 )     2.75       1.95       (2.51 )
Total from Operations     0.69       (1.46 )     (1.71 )     3.17       2.37       (2.17 )
                                                 
Distributions:                        
Distributions from Net Investment Income   (0.11)   (0.54)   (0.59)   (0.50)   (0.40)   (0.38)
Return of Capital   –    (0.02)   –    –    (0.03)   (0.02)
Total Distributions   (0.11)   (0.56)   (0.59)   (0.50)   (0.43)   (0.40)
                               
Net Asset Value, End of Year/Period  $23.65   $23.07   $25.09   $27.39   $24.72   $22.78 
                               
Total Return(b)   2.99%   (6.02)%   (6.23)%   12.97%   10.52%   (8.61)%
                               
Ratios and Supplemental Data                              
Net Assets, End of Year/Period (in 000s)  $57,953   $78,449   $129,199   $105,457   $59,328   $21,639 
                               
Ratio of Expenses to Average Net Assets(c)   0.59%(d)   0.59%   0.59%   0.59%   0.59%   0.59%
Ratio of Net Investment Income (Loss) to Average Net Assets   0.92%(d)   2.25%   2.39%   1.57%   1.78%   1.43%
Portfolio Turnover(b)(e)   53%   251%   204%   50%   106%   316%

 

(a)

Per share data calculated using the average shares method.

(b) Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares.
(c) Expense ratios do not include expenses of the underlying funds.
(d) Annualized.
(e) Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.

 

The accompanying notes are an integral part of the financial statements.

46 www.cambriafunds.com

 

 

 

Cambria Global Asset Allocation ETF Financial Highlights
  For a Share Outstanding Throughout the Periods Presented

 

   Period Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   October 31, 2020   April 30, 2020   April 30, 2019   April 30, 2018   April 30, 2017   April 30, 2016 
Net Asset Value, Beginning of Year/Period  $24.36   $26.82   $27.38   $25.64   $24.15   $25.43 
Income/(loss) from investment operations:                              
Net Investment Income(a)   0.30    0.86    0.75    0.74    0.65    0.58 
Net Realized and Unrealized Gain (Loss) on Investments   2.01    (2.36)   (0.53)   1.66    1.51    (1.26)
Total from Operations   2.31    (1.50)   0.22    2.40    2.16    (0.68)
                               
Distributions:                        
Distributions from Net Investment Income   (0.47)   (0.85)   (0.77)   (0.66)   (0.67)   (0.60)
Distributions from Net Realized Gains   –    (0.11)   (0.01)   –    –    – 
Total Distributions   (0.47)   (0.96)   (0.78)   (0.66)   (0.67)   (0.60)
                               
Net Asset Value, End of Year/Period  $26.20   $24.36   $26.82   $27.38   $25.64   $24.15 
                               
Total Return(b)   9.51%   (5.87)%   0.91%   9.43%   9.08%   (2.58)%
                               
Ratios and Supplemental Data                              
Net Assets, End of Year/Period (in 000s)  $45,854   $49,930   $64,368   $67,073   $37,182   $24,152 
                               
Ratio of Expenses to Average Net Assets(c)   0.00%(d)   0.00%   0.00%   0.00%   0.00%   0.00%
Ratio of Net Investment Income (Loss) to Average Net Assets   2.27%(d)   3.24%   2.85%   2.72%   2.62%   2.44%
Portfolio Turnover(b)(e)   9%   9%   2%   30%   9%   8%

 

(a) Per share data calculated using the average shares method.
(b) Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares.
(c) Expense ratios do not include expenses of the underlying funds.
(d) Annualized.
(e) Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.

 

 

The accompanying notes are an integral part of the financial statements.

Semi-Annual Report | October 31, 2020 47

 

 

 

Cambria Value and Momentum ETF Financial Highlights
  For a Share Outstanding Throughout the Periods Presented

 

   Period Ended   Year Ended   Year Ended   Year Ended   Year Ended   Period Ended 
   October 31, 2020   April 30, 2020   April 30, 2019   April 30, 2018   April 30, 2017   April 30, 2016 (a) 
Net Asset Value, Beginning of Year/Period  $16.64   $20.83   $25.09   $23.69   $22.69   $25.00 
Income/(loss) from investment operations:                              
Net Investment Income(b)     0.07    0.18    0.21    0.24    0.12    0.08 
Net Realized and Unrealized Gain (Loss) on Investments   1.25    (4.17)   (4.23)   1.27    1.01    (2.32)
Total from Operations   1.32    (3.99)   (4.02)   1.51    1.13    (2.24)
                               
Distributions:                        
Distributions from Net Investment Income   (0.11)   (0.20)   (0.24)   (0.11)   (0.13)   (0.07)
Total Distributions   (0.11)   (0.20)   (0.24)   (0.11)   (0.13)   (0.07)
                               
Net Asset Value, End of Year/Period  $17.85   $16.64   $20.83   $25.09   $23.69   $22.69 
                               
Total Return(c)   8.02%   (19.32)%   (16.10)%   6.40%   4.98%   (8.96)%
                               
Ratios and Supplemental Data                              
Net Assets, End of Year/Period (in 000s)  $9,819   $10,818   $19,790   $32,617   $8,291   $4,537 
                               
Ratio of Expenses to Average Net Assets(d)   0.59%(e)   0.63%(f)   0.64%(g)   0.65%(h)   0.66%(i)   0.66%(e)(i)
Ratio of Net Investment Income (Loss) to Average Net Assets   0.79%(e)   0.92%   0.86%   1.00%   0.50%   0.55%(e)
Portfolio Turnover(c)(j)   44%   76%   89%   93%   76%   48%

 

(a) Inception date September 8, 2015.
(b) Per share data calculated using the average shares method.
(c) Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares.
(d) Expense ratios do not include expenses of the underlying funds.
(e) Annualized.
(f) Includes broker expense of 0.04%.
(g) Includes broker expense of 0.05%.
(h) Includes broker expense of 0.06%.
(i) Includes broker expense of 0.07%.
(j) Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.

 

The accompanying notes are an integral part of the financial statements.

48 www.cambriafunds.com

 

 

 

 

 

 

Cambria Sovereign Bond ETF Financial Highlights
  For a Share Outstanding Throughout the Periods Presented

 

   Period Ended  Year Ended  Year Ended  Year Ended  Year Ended  Period Ended
   October 31, 2020  April 30, 2020  April 30, 2019  April 30, 2018  April 30, 2017  April 30, 2016 (a)
Net Asset Value, Beginning of Year/Period  $23.57   $24.83   $27.57   $27.20   $26.99   $25.00 
Income/(loss) from investment operations:                              
Net Investment Income(b)   0.50    1.18    1.18    1.39    1.04    0.19 
Net Realized and Unrealized Gain (Loss) on   0.76    (1.36)   (2.70)   0.64(c)   0.14    1.80 
Investments                              
Total from Operations   1.26    (0.18)   (1.52)   2.03    1.18    1.99 
                               
Distributions:                              
Distributions from Net Investment Income   (0.15)   (0.96)   (1.09)   (1.44)   (0.93)   – 
Distributions from Net Realized Gains   –    (0.12)   (0.13)   (0.22)   (0.04)   – 
Total Distributions   (0.15)   (1.08)   (1.22)   (1.66)   (0.97)   – 
                               
Net Asset Value, End of Year/Period  $24.68   $23.57   $24.83   $27.57   $27.20   $26.99 
                               
Total Return(d)   5.34%   (1.00)%   (5.44)%   7.56%   4.51%   7.96%
                               
Ratios and Supplemental Data                              
Net Assets, End of Year/Period (in 000s)  $22,209   $22,388   $18,623   $19,299   $9,521   $4,049 
                               
Ratio of Expenses to Average Net Assets(e)   0.59%(f)   0.59%   0.59%   0.59%   0.59%   0.59%(f)
Ratio of Net Investment Income (Loss) to Average Net Assets   3.96%(f)   4.72%   4.69%   4.97%   3.88%   3.82%(f)
Portfolio Turnover(d)(g)   1%   36%   37%   25%   86%   0%

 

(a)Inception date February 22, 2016.
(b)Per share data calculated using the average shares method.
(c)The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains of investments for the period because of the sales and repurchases of the fund shares in relation to fluctuating market value of the investments of the fund.
(d)Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares.
(e)Expense ratios do not include expenses of the underlying funds.
(f)Annualized.
(g)Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.

 

The accompanying notes are an integral part of the financial statements.

Semi-Annual Report | October 31, 2020 49

 

 

 

Cambria Emerging Shareholder Yield ETF Financial Highlights
  For a Share Outstanding Throughout the Periods Presented

 

   Period Ended  Year Ended  Year Ended  Year Ended  Period Ended
   October 31, 2020  April 30, 2020  April 30, 2019  April 30, 2018  April 30, 2017 (a)
Net Asset Value, Beginning of Year/Period  $24.97   $31.38   $35.83   $29.40   $25.00 
Income/(loss) from investment operations:                         
Net Investment Income(b)   0.80    1.30    1.29    1.01    0.43 
Net Realized and Unrealized Gain (Loss) on                         
Investments   3.09    (6.35)   (3.58)   6.40    4.18 
Total from Operations   3.89    (5.05)   (2.29)   7.41    4.61 
                          
Distributions:                         
Distributions from Net Investment Income   (0.86)   (1.36)   (1.05)   (0.98)   (0.21)
Distributions from Net Realized Gains   –    –    (1.11)   –    – 
Total Distributions   (0.86)   (1.36)   (2.16)   (0.98)   (0.21)
                          
Net Asset Value, End of Year/Period  $28.00   $24.97   $31.38   $35.83   $29.40 
                          
Total Return(c)   15.68%   (16.89)%   (5.80)%   25.75%   18.57%
                          
Ratios and Supplemental Data                         
Net Assets, End of Year/Period (in 000s)  $33,600   $28,713   $20,395   $30,458   $11,759 
                          
Ratio of Expenses to Average Net Assets(d)   0.65%(e)   0.69%   0.66%   0.65%   0.69%(e)
Ratio of Net Investment Income (Loss) to Average Net Assets   5.73%(e)   4.38%   4.09%   2.99%   2.00%(e)
Portfolio Turnover(c)(f)   22%   81%   115%   26%   33%

 

(a)Inception date July 13, 2016.
(b)Per share data calculated using the average shares method.
(c)Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares.
(d)Expense ratios do not include expenses of the underlying funds.
(e)Annualized.
(f)Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.

 

The accompanying notes are an integral part of the financial statements.

50 www.cambriafunds.com

 

 

 

 

Cambria Tail Risk ETF Financial Highlights
  For a Share Outstanding Throughout the Periods Presented

 

   Period Ended  Year Ended  Year Ended  Year Ended  Period Ended
   October 31, 2020  April 30, 2020  April 30, 2019  April 30, 2018  April 30, 2017 (a)
Net Asset Value, Beginning of Year/Period                         
Income/(loss) from investment operations:  $22.65   $19.87   $21.58   $24.74   $25.00 
Net Investment Income(b)    0.02    0.27    0.39    0.38    0.02(a)
Net Realized and Unrealized Gain (Loss) on                         
Investments   (1.23)   2.77    (1.73)   (3.27)   (0.28)
Total from Operations   (1.21)   3.04    (1.34)   (2.89)   (0.26)
                          
Distributions:                         
Distributions from Net Investment Income   (0.02)   (0.26)   (0.37)   (0.27)   – 
Total Distributions   (0.02)   (0.26)   (0.37)   (0.27)   – 
                          
Net Asset Value, End of Year/Period  $21.42   $22.65   $19.87   $21.58   $24.74 
                          
Total Return(c)   (5.34)%   15.47%   (6.31)%   (11.74)%   (1.04)%
                          
Ratios and Supplemental Data                         
Net Assets, End of Year/Period (in 000s)   $408,063   $132,488   $37,745   $22,658   $2,474 
                          
Ratio of Expenses to Average Net Assets(d)   0.59%(e)   0.59%   0.59%   0.59%   0.59%(e)
Ratio of Net Investment Income (Loss) to                         
Average Net Assets    0.19%(e)   1.31%   1.89%   1.66%   1.38%(e)
Portfolio Turnover(c)(f)    99%   19%   56%   56%   0%

 

(a)Inception date April 5, 2017.
(b)Per share data calculated using the average shares method.
(c)Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares.
(d)Expense ratios do not include expenses of the underlying funds.
(e)Annualized.
(f)Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.

 

The accompanying notes are an integral part of the financial statements.

Semi-Annual Report | October 31, 2020 51

 

 

 

 

Cambria Trinity ETF Financial Highlights
  For a Share Outstanding Throughout the Periods Presented

 

   Period Ended  Year Ended  Period Ended
   October 31, 2020  April 30, 2020  April 30, 2019 (a)
Net Asset Value, Beginning of Year/Period               
Income/(loss) from investment operations:  $21.32   $24.22   $25.00 
Net Investment Income(b)   0.19    0.65    0.39 
Net Realized and Unrealized Gain (Loss) on Investments   0.82    (2.91)   (0.83)
Total from Operations   1.01    (2.26)   (0.44)
                
Distributions:               
Distributions from Net Investment Income   (0.23)   (0.62)   (0.34)
Distributions from Net Realized Gains   –    (0.02)   – 
Total Distributions   (0.23)   (0.64)   (0.34)
                
Net Asset Value, End of Year/Period  $22.10   $21.32   $24.22 
                
Total Return(c)   4.74%   (9.57)%   (1.71)%
                
Ratios and Supplemental Data               
Net Assets, End of Year/Period (in 000s)  $34,262   $37,309   $30,280 
                
Ratio of Expenses to Average Net Assets(d)   0.00%(e)   0.00%   0.00%(e)
Ratio of Net Investment Income (Loss) to Average Net Assets   1.72%(e)   2.74%   2.55%(e)
Portfolio Turnover(c)(f)   26%   88%   0%

 

(a)Inception date September 7, 2018.
(b)Per share data calculated using the average shares method.
(c)Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares.
(d)Expense ratios do not include expenses of the underlying funds.
(e)Annualized.
(f)Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.

 

The accompanying notes are an integral part of the financial statements.

52 www.cambriafunds.com

 

 

 

 

Cambria Cannabis ETF Financial Highlights
  For a Share Outstanding Throughout the Periods Presented

 

   Period Ended  Period Ended
   October 31, 2020  April 30, 2020 (a)
Net Asset Value, Beginning of Year/Period  $11.30   $25.00 
Income/(loss) from investment operations:          
Net Investment Income(b)   0.32    0.70 
Net Realized and Unrealized Loss on          
Investments   (0.31)   (13.87)
Total from Operations   0.01    (13.17)
           
Distributions:          
Distributions from Net Investment Income   (0.36)   (0.52)
Distributions from Net Realized Gains   –    (0.01)
Total Distributions   (0.36)   (0.53)
           
Net Asset Value, End of Year/Period  $10.95   $11.30 
           
Total Return(c)   (0.17)%   (53.04)%
           
Ratios and Supplemental Data          
Net Assets, End of Year/Period (in 000s)  $10,948   $9,038 
           
Ratio of Expenses to Average Net Assets Including Waivers(d)   0.42%(e)   0.42%(e)
Ratio of Expenses to Average Net Assets Excluding Waivers(d)   0.59%(e)   0.59%(e)
Ratio of Net Investment Income (Loss) to Average Net Assets   5.25%(e)   6.20%(e)
Portfolio Turnover(c)(f)   0%   4%

 

(a)Inception date July 24, 2019
(b)Per share data calculated using the average shares method.
(c)Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares.
(d)Expense ratios do not include expenses of the underlying funds.
(e)Annualized.
(f)Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.

 

The accompanying notes are an integral part of the financial statements.

Semi-Annual Report | October 31, 2020 53

 

 

 

 

Cambria Global Real Estate ETF Financial Highlights
For a Share Outstanding Throughout the Periods Presented

 

   Period Ended
October 31, 2020 (a)		 
Net Asset Value, Beginning of Year/Period  $25.00 
Income/(loss) from investment operations:     
Net Investment Income(b)   0.13 
Net Realized and Unrealized Loss on Investments   (0.35)
Total from Operations   (0.22)
      
Net Asset Value, End of Year/Period  $24.78 
      
Total Return(c)   (0.88)%
      
Ratios and Supplemental Data     
Net Assets, End of Year/Period (in 000s)  $4,956 
      
Ratio of Expenses to Average Net Assets(d)   0.59%(e)
Ratio of Net Investment Income (Loss) to Average Net Assets   4.96%(e)
Portfolio Turnover(c)(f)   0%

 

(a) Inception date September 24, 2020.
(b) Per share data calculated using the average shares method.
(c) Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemptions of Fund shares.
(d) Expense ratios do not include expenses of the underlying funds.
(e) Annualized.
(f) Portfolio turnover rate does not include securities received or delivered from processing creations or redemptions.

 

The accompanying notes are an integral part of the financial statements.

 
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Cambria ETF Trust Notes to Financial Statements
  October 31, 2020 (Unaudited)

 

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 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 Sovereign Bond ETF, Cambria Emerging Shareholder Yield ETF, Cambria Tail Risk ETF, Cambria Trinity ETF, Cambria Cannabis ETF and Cambria Global Real Estate ETF (each, a “Fund” and, collectively, the “Funds”). Cambria Investment Management, L.P. (the “Investment Adviser”) serves as the investment adviser to the Funds. The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. Each Fund is diversified, except Cambria Sovereign Bond ETF. Each Fund is actively managed.

 

The investment objective of the Cambria Shareholder Yield ETF is to seek income and capital appreciation. Prior to June 1, 2020, the investment objective of Cambria Shareholder Yield ETF was to seek investment results that corresponded (before fees and expenses) generally to the price and yield performance of its underlying index, the Cambria Shareholder Yield Index. The Fund inception date is May 13, 2013.

 

The investment objective of the Cambria Foreign Shareholder Yield ETF is to seek income and capital appreciation. Prior to June 1, 2020, the investment objective of the Cambria Foreign Shareholder Yield ETF was to seek investment results that corresponded (before fees and expenses) generally to the price and yield performance of its underlying index, the Cambria Foreign Shareholder Yield Index. The Fund inception date is December 2, 2013.

 

The investment objective of the Cambria Global Value ETF is to seek income and capital appreciation. Prior to June 29, 2020, the investment objective of the Cambria Global Value ETF was to seek investment results that corresponded (before fees and expenses) generally to the price and yield performance of its underlying index, the Cambria Global Value Index. The Fund inception date is March 11, 2014.

 

The investment objective of the Cambria Global Momentum ETF is to seek to preserve and grow capital from investments in the U.S. and foreign equity, fixed income, commodity and currency markets, independent of market direction. The Fund inception date is November 3, 2014.

 

The investment objective of the Cambria Global Asset Allocation ETF is to seek income and capital appreciation. The Fund inception date is December 9, 2014.

 

The investment objective of the Cambria Value and Momentum ETF is to seek income and capital appreciation from investments in the U.S. equity market. The Fund inception date is September 8, 2015.

 

The investment objective of the Cambria Sovereign Bond ETF is to seek income and capital appreciation from investments in securities and instruments that provide exposure to sovereign and quasi–sovereign bonds. The Fund inception date is February 22, 2016.

 

The investment objective of the Cambria Emerging Shareholder Yield ETF is to seek income and capital appreciation. Prior to June 29, 2020, the investment objective of the Cambria Emerging Shareholder Yield ETF was to seek investment results that corresponded (before fees and expenses) generally to the price and yield performance of its underlying index, the Cambria Emerging Shareholder Yield Index. The Fund inception date is July 13, 2016.

 

The investment objective of the Cambria Tail Risk ETF is to provide income and capital appreciation from investments in the U.S. market while protecting against significant downside risk. The Fund inception date is April 5, 2017.

 

The investment objective of the Cambria Trinity ETF is to seek income and capital appreciation. The Fund inception date is September 10, 2018.

 

The investment objective of the Cambria Cannabis ETF is to seek capital appreciation from investments in the global equity markets that have exposure to the broad cannabis industry. The Fund inception date is July 25, 2019.

 

The investment objective of the Cambria Global Real Estate ETF is to seek income and capital appreciation. The Fund inception date is September 24, 2020.

 

Shares of the Funds are listed and traded on the CBOE BZX Exchange, Inc. (the “Exchange”). Market prices for the shares may be different from their net asset value (“NAV”). The Funds will issue and redeem shares on a continuous basis at NAV only in large blocks of shares, typically 50,000 shares, called “Creation Units.” Creation Units are to be issued and redeemed principally in kind for a basket of securities and a balancing cash amount. Shares generally will trade in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day.

 

The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

 

 
Semi-Annual Report | October 31, 2020 55

 

 

 

Cambria ETF Trust Notes to Financial Statements
  October 31, 2020 (Unaudited)

 

2. SIGNIFICANT ACCOUNTING POLICIES

 

 

The following is a summary of the Significant Accounting Policies followed by the Funds.

 

Use of Estimates — The Funds are investment companies in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Funds follow the accounting and reporting guidance for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates, and could have a material impact to the Funds.

 

Security Valuation — Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on the NASDAQ Stock Market (the “NASDAQ”)), including securities traded over the counter, are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded (or at approximately 4:00 pm Eastern Time if a security’s primary exchange is normally open at that time), or, if there is no such reported sale, at the most recent quoted bid.

 

For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. Debt securities are priced based upon valuations provided by independent, third–party pricing agents, if available. Such values generally reflect the last reported sales price if the security is actively traded. The third–party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker–supplied valuations, or other methodologies designed to identify the market value for such securities. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third–party pricing agent, the Funds seeks to obtain a bid price from at least one independent broker.

 

Futures are valued at the settlement price established for the business day by the board of trade on which they are traded. Settlement prices for financial futures are provided by an independent pricing agent.

 

Options are valued at the mean between the last bid and ask prices reported from the options exchange on which such options are listed. If there is no reported sale, long options positions are valued at the most recent bid price, and short option positions are valued at the most recent ask price.

 

Securities for which market prices are not “readily available” are valued in accordance with fair value procedures established by the Board of Trustees (the “Board”). The Funds’ fair value procedures are implemented through a fair value committee (the “Committee”) designated by the Board. Some of the more common reasons that may necessitate that a security be valued using fair value procedures include: the security’s trading has been halted or suspended; the security has been de–listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; the security has not been traded for an extended period of time; the security’s primary pricing source is not able or willing to provide a price; or trading of the security is subject to local government–imposed restrictions. When a security is valued in accordance with the fair value procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee.

 

In accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP, the Funds disclose fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:

 

•Level 1 – Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Funds have the ability to access at the measurement date;

 

•Level 2 – Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and

 

•Level 3 – Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity).

 

For the period ended October 31, 2020, there have been no significant changes to the Funds’ fair valuation methodologies.

 

 
56 www.cambriafunds.com

 

 

 

Cambria ETF Trust Notes to Financial Statements
  October 31, 2020 (Unaudited)

 

Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars on the date of valuation. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars at the relevant rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of realized or unrealized gains and losses resulting from changes in the foreign exchange rate from fluctuations arising from changes in the market prices of the securities. These gains and losses are included in net realized and unrealized gains and losses on investments on the Statements of Operations. Net realized and unrealized gains and losses on foreign currency transactions represent net foreign exchange gains or losses from foreign currency exchange contracts, disposition of foreign currencies, currency gains or losses realized between trade and settlement dates on securities transactions and the difference between the amount of the investment income and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent amounts actually received or paid. These gains and losses are included in net realized and unrealized gains and losses on foreign currency transactions on the Statements of Operations.

 

The value of the Funds’ foreign holdings as measured in U.S. dollars may be affected unfavorably by changes in foreign currency exchange rates, as a change in the value of a foreign currency against the U.S. dollar generally will result in a corresponding change in the U.S. dollar value of securities denominated in that currency held by a Fund. In addition to the risks of foreign currency exchange rates generally, trading in the currencies of certain countries may face periods of limited liquidity or the political risk of exchange controls or currency repatriation restrictions, which may in turn make such holdings denominated in those currencies difficult to value. The Funds may also incur losses in connection with conversions between various currencies.

 

Futures Contracts — To the extent consistent with its investment objective and strategies, Cambria Value and Momentum ETF utilized futures contracts during the period ended October 31, 2020. The Fund’s investment in futures contracts is designed to enable the Fund to more closely approximate the performance of its benchmark index. Cambria Value and Momentum ETF chose to invest in futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, Cambria Value and Momentum ETF records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. A margin deposit was made upon entering into futures contracts and is included in Cash at Broker on the Statements of Assets and Liabilities.

 

Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that Cambria Value and Momentum ETF could lose more than the original margin deposit required to initiate a futures transaction.

 

Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities.

 

It is the Fund’s policy to present the gross variation margin payable and the gross variation margin receivable of the future contracts separately on the Statements of Assets and Liabilities, as Cambria Value and Momentum ETF does not have a master netting agreement with the counterparty to the futures contracts. Refer to the Cambria Value and Momentum ETF Schedule of Investments for details regarding open future contracts as of October 31, 2020. The fair value of equity futures contracts held in the Fund can be found on the Statements of Assets and Liabilities under the captions variation margin receivable/payable. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. Cumulative appreciation (depreciation) of futures contracts are reported in the Cambria Value and Momentum ETF Schedule of Investments. Realized gains or losses on equity rate futures contracts related to the Fund is recognized on the Statements of Operations as part of net realized gain (loss) on futures contracts and any change in unrealized appreciation or depreciation is recognized on the Statements of Operations as net change in unrealized gain (loss) on futures contracts.

 

Options Written/Purchased — The Cambria Value and Momentum ETF and Cambria 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. In particular, (1) the Cambria 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 and (2) the Cambria 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. A Fund may also invest in equity option contracts to enhance its returns. When the Fund writes or purchases an option, an amount equal to the premium received or paid by the 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 the 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.

 

 
Semi-Annual Report | October 31, 2020 57

 

 

 

Cambria ETF Trust Notes to Financial Statements
  October 31, 2020 (Unaudited)

 

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. The risk in purchasing an option is a Fund may pay a premium whether or not the option is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. Finally, the risk exists that losses on written options could exceed amounts disclosed on the Statements of Assets and Liabilities.

 

The Cambria Tail Risk ETF had options contracts as of October 31, 2020, as disclosed in the Fund’s Schedule of Investments. Any realized and change in unrealized gains or losses can be found on the Statements of Operations.

 

   Asset Derivatives  Liability Derivatives
Risk Exposure  Statements of Assets and Liabilities Location  Fair Value   Statements of Assets and Liabilities Location  Fair Value
Cambria Value and Momentum ETF             
Equity Risk (Futures Contracts)(a)  Unrealized appreciation on futures contracts  $92,272   Unrealized depreciation on futures contracts  N/A
Total     $92,272       
               
Cambria Tail Risk ETF              
Equity Contracts (Purchased Options)  Investments, at value  $24,827,280   Investments, at value  N/A
Total     $24,827,280       

 

(a)Represents cumulative appreciation (depreciation) of futures contracts as reported in the Statement of Investments. Only the current day’s net variation margin is reported within the Statement of Assets and Liabilities.

 

Risk Exposure  Statements of Operations Location  Realized
Gain/(Loss) on
Derivatives
Recognized
in Income		   Change in
Unrealized Appreciation/
(Depreciation)
on Derivatives
Recognized
in Income		 
Cambria Value and Momentum ETF             
Equity Risk (Futures Contracts)  Net Realized Loss on Futures Contracts/ Net change in Unrealized Appreciation on Futures Contracts   (2,163,654)   1,322,833 
Total     $(2,163,654)  $1,322,833 
Cambria Tail Risk ETF             
Equity Contracts (Purchased Options)  Net realized Loss on Purchased Options/ Net Change in Unrealized Depreciation on Purchased Options   (5,078,099)   (4,371,121)
Total     $(5,078,099)  $(4,371,121)

 

The average purchased option contracts notional amount during the year ended October 31, 2020 for Cambria Tail Risk ETF is $296,417,535.

 

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.

 

 
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Cambria ETF Trust Notes to Financial Statements
  October 31, 2020 (Unaudited)

 

The Funds evaluate tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether it is “more–likely–than–not” (i.e., greater than 50 percent) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. Tax positions not deemed to meet the more–likely–than–not threshold are recorded as a tax benefit or expense in the current period.

 

The Funds did not record any tax provisions in the current period. However, management’s conclusions regarding tax positions may be subject to review and adjustment at a later date based on factors including, but not limited to, examination by tax authorities (i.e., the last three tax year ends, as applicable), on–going analysis of and changes to tax laws, regulations and interpretations thereof.

 

As of and during the period ended October 31, 2020, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the period, the Funds did not incur any interest or penalties.

 

Organizational and Offering Expenses — All organizational and offering expenses of the Trust were borne by the Investment Adviser and are not subject to future recoupment. As a result, organizational and offering expenses are not reflected in the Statements of Assets and Liabilities.

 

Expenses — Expenses included in the accompanying financial statements reflect the expenses of each Fund and do not include any expenses associated with the underlying funds.

 

Security Transactions and Investment Income — Security transactions are accounted for on trade date. Dividend income received from the underlying funds is recognized on the ex–dividend date and is recorded as income distributions in the Statements of Operations. Capital gain distributions received from the underlying funds are recognized on ex–dividend date and are recorded on the Statements of Operations as such. Costs used in determining realized gains and losses on the sales of investment securities are on the basis of specific identification. Dividend income is recorded on the ex–dividend date. 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 have been provided for in accordance with the Funds’ understanding of the applicable country’s tax rules and regulations. Capital gain taxes on securities in certain foreign countries are accrued on unrealized appreciation and are due when realized.

 

Foreign Taxes — The Funds may be subject to foreign taxes related to foreign income received (a portion of which may be reclaimable), capital gains on the sale of securities, and certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable regulations and rates that exist in the foreign jurisdictions in which the Funds invest.

 

Dividends and Distributions to Shareholders — The Funds generally pay out dividends from their net investment income, if any, quarterly, and distributes their net capital gains, if any, to shareholders at least annually. All distributions are recorded on ex–dividend date.

 

Creation Units — The Funds issue and redeem shares on a continuous basis at NAV in groups of 50,000 shares called creation units (“Creation Units”). Purchasers of Creation Units (“Authorized Participants”) must pay a creation transaction fee per transaction. The fee is typically a single charge and will be the same regardless of the number of Creation Units purchased by an investor on the same day. An Authorized Participant who holds Creation Units and wishes to redeem at NAV would also pay a Redemption Fee per transaction to the custodian on the date of such redemption, regardless of the number of Creation Units redeemed that day.

 

The distributor has entered into participant agreements with certain broker–dealers and others that allow those parties to be Authorized Participants and to subscribe for and redeem shares of the Funds. Such Authorized Participants may from time to time hold, of record or beneficially, a substantial percentage of the Funds’ shares outstanding, act as executing or clearing broker for investment transactions on behalf of the Fund and/or serve as counterparty to derivative transactions with the Fund.

 

Except when aggregated in Creation Units, shares are not redeemable securities of a Fund. Shares of the Funds may only be purchased or redeemed by Authorized Participants. An Authorized Participant is either (i) a broker–dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a participant agreement with the distributor. Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Funds. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees.

 

Semi-Annual Report | October 31, 202059

 

 

Cambria ETF Trust Notes to Financial Statements
  October 31, 2020 (Unaudited)

 

If a Creation Unit is purchased or redeemed for cash, a higher transaction fee will be charged. The following table discloses Creation Unit breakdown for the year or period ended October 31, 2020:

 

   Creation Unit Shares  Transaction Fee  Value  Redemption Fee  Variable Charge
Cambria Shareholder Yield ETF  $50,000   $700   $1,737,000   $700   None
Cambria Foreign Shareholder Yield ETF   50,000    2,500    987,000    2,500   Up to 2.0%
Cambria Global Value ETF   50,000    3,500    799,500    3,500   Up to 2.0%
Cambria Global Momentum ETF   50,000    500    1,182,500    500   Up to 2.0%
Cambria Global Asset Allocation ETF   50,000    500    1,310,000    500   None
Cambria Value and Momentum ETF   50,000    700    892,500    700   None
Cambria Sovereign Bond ETF   50,000    1,500    1,234,000    1,500   Up to 2.0%
Cambria Emerging Shareholder Yield ETF   50,000    3,500    1,400,000    3,500   Up to 2.0%
Cambria Tail Risk ETF   50,000    500    1,071,000    500   None
Cambria Trinity ETF   50,000    250    1,105,000    250   None
Cambria Cannabis ETF   50,000    500    547,500    500   Up to 2.0%
Cambria Global Real Estate ETF   50,000    1,500    1,239,000    1,500   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 Fund of all or a portion of the applicable Deposit Securities. In these circumstances, the Fund 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.

 

Illiquid Securities — A security is considered illiquid if the Fund reasonably expects that the investment cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.

 

Cash and cash equivalents — Idle cash and currency balances may be swept into various overnight sweep accounts and are classified as cash 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 its financial position for recognized assets and liabilities. These recognized assets and liabilities are financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of setoff criteria: the amounts owed by the Funds to another party are determinable, the Funds has the right to set off the amounts owed with the amounts owed by the other party, the Funds intends to set off, and the Funds right of setoff is enforceable at law.

 

As of October 31, 2020, the Funds’ financial instruments and derivative instruments are not subject to a master netting arrangement.

 

4. RELATED PARTIES

 

 

Investment Advisory Agreement — The Investment Adviser is responsible for overseeing the management and business affairs of the Funds, and has discretion to purchase and sell securities in accordance with the Funds’ objectives, policies, and restrictions. The Investment Adviser reviews, supervises, and administers each Fund’s investment program. The Investment Adviser has entered into an investment advisory agreement (“Management Agreement”) with respect to the Funds. Pursuant to that Management Agreement, the Funds pay the Investment Adviser, 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 Cambria Global Asset Allocation ETF and Cambria Trinity ETF, neither of which is charged an advisory fee.

 

With respect to each Fund, except the Cambria Global Value ETF and Cambria Emerging Shareholder Yield ETF, the Investment Adviser bears all of the costs of the Funds, except for the advisory fee, payments under each Fund’s 12b–1 plan, brokerage expenses, acquired fund fees and expenses, taxes, interest (including borrowing costs and dividend expenses on securities sold short), litigation expenses and other extraordinary expenses. With respect to the Cambria Global Value ETF and Cambria Emerging Shareholder Yield ETF, the Investment Adviser bears all of the costs of each Fund, except for the advisory fee, payments under the Fund’s 12b–1 plan, brokerage expenses, custodial expenses, acquired fund fees and expenses, taxes, interest (including borrowing costs and dividend expenses on securities sold short), litigation expenses and other extraordinary expenses. The Cambria Global Value ETF and Cambria Emerging Shareholder Yield ETF may pay up to 0.10% in custody fees. The Management Agreement for the Funds provides that it may be terminated at any time, without the payment of any penalty, by the Board of Trustees or, with respect to the Funds, by a majority of the outstanding shares of the Funds, on 60 days’ written notice to the Investment Adviser, and by the Investment Adviser on 60 days’ written notice to the Trust and that it shall be automatically terminated if it is assigned.

 

60www.cambriafunds.com

 

 

Cambria ETF Trust Notes to Financial Statements
  October 31, 2020 (Unaudited)

 

Cambria Cannabis ETF has agreed to waive 0.17% of its advisory fee, on an annualized basis, through at least August 31, 2021, unless otherwise terminated by the Board. The waived fees are not eligible for recapture by the Investment Adviser.

 

Additionally, the Investment Adviser earned $24,797 in management fees from the Cambria Global Momentum ETF related to the Fund’s investment in affiliated funds, Cambria Emerging Shareholder Yield ETF, Cambria Tail Risk ETF, Cambria Foreign Shareholder Yield ETF, Cambria Global Value ETF, Cambria Shareholder Yield ETF, and Cambria Sovereign Bond ETF.

 

Administrator, Custodian and Transfer Agent — ALPS Fund Services, Inc. (the “Administrator”) serves as the Funds’ Administrator pursuant to an administration agreement. Brown Brothers Harriman & Co. (the “Custodian” and “Transfer Agent”) serves as the Funds’ Custodian and Transfer Agent pursuant to a Custodian Agreement and a Transfer Agency Services Agreement.

 

Distribution Agreement — ALPS Distributors Inc., an affiliate of the Administrator, serves as the Funds’ distributor of Creation Units pursuant to a distribution agreement. The distributor does not maintain any secondary market in Fund shares.

 

The Trust has adopted a Distribution and Service Plan (“Plan”) pursuant to Rule 12b–1 under the Investment Company Act of 1940 (the “1940 Act”). In accordance with 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 of Trustees has not currently approved the commencement of any payments under the Plan.

 

Certain officers and trustees of the Funds during and as of the period ended October 31, 2020 are officers/employees of the Investment Adviser, the Administrator, or ALPS Distributors Inc.

 

5. INVESTMENT TRANSACTIONS

 

 

For the period ended October 31, 2020, the purchases and sales of investments in securities, excluding in–kind transactions, long–term U.S. Government and short–term securities, were:

 

   Purchases of  Proceeds from Sales
Fund  Securities  of Securities
Cambria Shareholder Yield ETF  $14,730,038   $15,840,813 
Cambria Foreign Shareholder Yield ETF   6,108,935    6,052,060 
Cambria Global Value ETF   548,529    2,124,169 
Cambria Global Momentum ETF   37,274,794    36,563,051 
Cambria Global Asset Allocation ETF   4,339,339    5,798,176 
Cambria Value and Momentum ETF   4,113,664    4,690,098 
Cambria Sovereign Bond ETF   –    – 
Cambria Emerging Shareholder Yield ETF   7,823,362    6,704,230 
Cambria Tail Risk ETF   –    – 
Cambria Trinity ETF   9,871,262    9,602,888 
Cambria Cannabis ETF   220,028    – 
Cambria Global Real Estate ETF(1)   353,715    – 

 

(1)The Fund’s inception date is September 24, 2020.

 

For the period ended October 31, 2020, the Cambria Sovereign Bond ETF had purchases and sales of U.S. Government securities of $164,497 and $274,686, respectively.

 

Semi-Annual Report | October 31, 202061

 

 

Cambria ETF Trust Notes to Financial Statements
  October 31, 2020 (Unaudited)

 

For the period ended October 31, 2020, the Cambria Tail Risk ETF had purchases and sales of U.S. Government securities of $459,758,649, and $265,112,797, respectively.

 

For the period ended October 31, 2020, in–kind transactions associated with creations and redemptions were:

 

      Proceeds from Sales of  Net Realized
Fund  Purchases of Securities  Securities  Gain/(Loss)
Cambria Shareholder Yield ETF  $5,349,447   $9,812,663   $217,963 
Cambria Foreign Shareholder Yield ETF   –    2,667,414    (240,347)
Cambria Global Value ETF   –    9,916,066    (826,421)
Cambria Global Momentum ETF   –    22,335,466    1,290,172 
Cambria Global Asset Allocation ETF   –    7,580,090    20,964 
Cambria Value and Momentum ETF   –    1,663,862    448,789 
Cambria Emerging Shareholder Yield ETF   587,374    –    – 
Cambria Tail Risk ETF   83,797,550    11,680,631    262,891 
Cambria Trinity ETF   1,132,849    5,551,357    210,132 
Cambria Cannabis ETF   3,602,607    1,110,625    153,962 
Cambria Global Real Estate ETF(1)   4,404,108    –    – 

 

(1)The Fund’s inception date is September 24, 2020.

 

For the year ended April 30, 2020, in–kind transactions associated with creations and redemptions were:

 

      Proceeds from Sales of  Net Realized
Fund  Purchases of Securities  Securities  Gain/(Loss)
Cambria Shareholder Yield ETF  $14,447,643   $67,027,261   $5,649,800 
Cambria Foreign Shareholder Yield ETF   5,713,159    8,369,045    (414,519)
Cambria Global Value ETF   13,432,396    27,655,007    275,292 
Cambria Global Momentum ETF   3,632,317    46,104,872    2,059,302 
Cambria Global Asset Allocation ETF   5,446,155    14,026,716    583,059 
Cambria Value and Momentum ETF   1,470,220    7,203,023    683,405 
Cambria Emerging Shareholder Yield ETF   10,678,115    3,421,339    325,912 
Cambria Tail Risk ETF   48,969,170    26,597,319    2,660,594 
Cambria Trinity ETF   15,287,194    3,188,161    (64,878)
Cambria Cannabis ETF(1)   12,066,496    –    – 

 

(1)The Fund’s inception date is July 24, 2019.

 

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. TOKE 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.

 

62www.cambriafunds.com

 

 

Cambria ETF Trust Notes to Financial Statements
  October 31, 2020 (Unaudited)

 

Cash Redemption Risk — Each Fund’s investment strategy may require it to effect redemptions, in whole or in part, for cash. As a result, each 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 Fund’s holdings.

 

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 Fund in many ways, including, but not limited to, disruption of the Fund’s 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 Fund’s third–party service providers, including Cambria, the custodian, and the transfer agent, may subject the Fund to many of the same risks associated with direct cyber security breaches and adversely impact the Fund. For instance, cyber–attacks may impact the Fund’s ability to calculate its NAV, cause the release of confidential business information, impede trading, cause the Fund to incur additional compliance costs associated with corrective measures, subject the Fund to regulatory fines or other financial losses, and/or cause reputational damage to the Fund. Cyber security breaches of market makers, Authorized Participants, or the issuers of securities in which the Fund invests could also have material adverse consequences on the Fund’s business operations and cause financial losses for the Fund and its shareholders. While the Fund 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 Fund has no control over the cyber security protections put in place by its service providers or any other third parties whose operations may affect the Fund or its shareholders.

 

Derivatives Risk — Derivatives are financial instruments that have a value which depends 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 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 Fund to buy, sell or otherwise transfer securities, adversely affect the trading market and price for Fund shares and cause the Fund 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. The Cambria Sovereign Bond ETF and Cambria Tail Risk ETF do not invest in equities.

 

Semi-Annual Report | October 31, 202063

 

 

Cambria ETF Trust Notes to Financial Statements
  October 31, 2020 (Unaudited)

 

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, a Fund bears its proportionate share of the fees and expenses of the underlying entity. As a result, the Fund’s 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 a Fund may “call” (or repay) the security before its stated maturity, and the Fund may have to reinvest the proceeds at lower interest rates, resulting in a decline in the Fund’s income. The market value of fixed income securities generally changes in response to changes in interest rates. As interest rates rise, the value of certain fixed income securities is likely to decrease. Similarly, if interest rates decline, the value of fixed income securities is likely to increase.

 

Foreign Investment Risk — Returns on investments in foreign securities could be more volatile than, or trail the returns on, investments in U.S. securities. Investments in or exposures to foreign securities by a Fund are subject to special risks, including risks associated with foreign securities generally, including differences in information available about issuers of securities and investor protection standards applicable in other jurisdictions; capital controls risks, including the risk of a foreign jurisdiction imposing restrictions on the ability to repatriate or transfer currency or other assets; currency risks; political, diplomatic and economic risks; regulatory risks; and foreign market and trading risks, including the costs of trading and risks of settlement in foreign jurisdictions.

 

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.

 

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.

 

Management Risk — The Funds that are actively managed (“Active Funds”) 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 an Active Fund will achieve its investment objective. This could result in an Active Fund’s underperformance compared to other funds with similar investment objectives.

 

Market Events Risk — Turbulence in the financial markets and reduced liquidity in the equity markets may negatively affect issuers, which could have an adverse effect on the Funds. 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 the Fund. In a declining stock market, stock prices for all companies (including those in the Fund’s portfolio) may decline, regardless of their long–term prospects.

 

Market Risk of Recent Events — The respiratory illness COVID–19 caused by a novel coronavirus has resulted in a global pandemic and major disruption to economies and markets around the world, including the United States. Financial markets have experienced extreme volatility and severe losses, and trading in many instruments has been disrupted. Liquidity for many instruments has been greatly reduced for periods of time. Some interest rates are very low and in some cases yields are negative. Some sectors of the economy and individual issuers have experienced particularly large losses. These circumstances may continue for an extended period of time, and may continue to affect adversely the value and liquidity of Fund investments. The ultimate economic fallout from the pandemic, and the long–term impact on economies, markets, industries and individual issuers, are not known. Governments and central banks, including the Federal Reserve in the U.S., have taken extraordinary and unprecedented actions to support local and global economies and the financial markets. The impact of these measures, and whether they will be effective to mitigate the economic and market disruption, will not be known for some time.

 

Non–Correlation Risk — The returns of the Index Funds may not match the return of their Underlying Indexes for a number of reasons. For example, each Index Fund incurs operating expenses not applicable to the Underlying Index, and incurs costs in buying and selling securities, especially when rebalancing the Index Fund’s securities holdings to reflect changes in the composition of its Underlying Index. In addition, the performance of each Index Fund and its Underlying Index may vary due to asset valuation differences and differences between each Index Fund’s portfolio and its Underlying Index resulting from legal restrictions, cost or liquidity constraints.

 

64www.cambriafunds.com

 

 

Cambria ETF Trust Notes to Financial Statements
  October 31, 2020 (Unaudited)

 

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 Fund to lose the premium paid for them. The success of the Fund’s 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 Fund’s only recourse will be to pursue contractual remedies against the counterparty, and the Fund may be unsuccessful in its pursuit. The Fund thus assumes the risk that it may be delayed in or prevented from obtaining payments owed to it pursuant to an over–the–counter options transaction.

 

Premium–Discount Risk — The shares may trade above or below their NAV. The NAV of the Fund will generally fluctuate with changes in the market value of the Fund’s 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. Cambria 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 Fund. 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 Fund’s portfolio holdings are fully disclosed on a daily basis, Cambria believes that large discounts or premiums to the NAV of shares should not be sustained, but that may not be the case.

 

Real Estate Investments Risk — Investments in real estate are subject to certain risks, including declines in the real estate market, decreases in property revenues, increases in interest rates, increases in property taxes and operating expenses, legal and regulatory changes, a lack of credit or capital, defaults by borrowers or tenants, environmental problems and natural disasters. The availability of mortgages and changes in interest rates may also affect real estate values.

 

Real Estate Investment Trust “REIT” Risk. In addition to the risks associated with the direct ownership of real estate and real estate–related securities, REITs are subject to additional risks, including those related to adverse governmental actions, and the performance of a REIT may be affected by its failure to qualify for tax–free pass through of income or its failure to maintain exemption from registration as an investment company. REITs are dependent upon specialized management skills and may invest in relatively few properties, a small geographic area or a small number of property types. REITs depend generally on their ability to generate cash flow to make distributions to shareholders or unitholders, and may be subject to defaults by borrowers and to self–liquidations. As a result, investments in REITs may be volatile. REITs also have their own fees and expenses, and the Fund 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 Fund’s 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.

 

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 and quasi–sovereign debt obligations involve special risks not present in corporate debt obligations. The issuer of the sovereign debt or the authorities that control the repayment of the debt may be unable or unwilling to repay principal or interest when due, and the Sovereign Bond ETF may have limited recourse in the event of a default. During periods of economic uncertainty, the market prices of sovereign debt, and the Sovereign Bond ETF’s net asset value, may be more volatile than prices of U.S. debt obligations. In the past, certain non–U.S. markets have encountered difficulties in servicing their debt obligations, withheld payments of principal and interest and declared moratoria on the payment of principal and interest on their sovereign debts.

 

Semi-Annual Report | October 31, 202065

 

 

Cambria ETF Trust Notes to Financial Statements
  October 31, 2020 (Unaudited)

 

7. GUARANTEES AND INDEMNIFICATIONS

 

 

In the normal course of business, the Funds enter into contracts with third–party service providers that contain a variety of representations and warranties and that provide general indemnifications. Additionally, under the Funds’ organizational documents, the officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. The Funds’ maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, the Investment Adviser is of the view that the risk of loss to the Funds in connection with the Funds’ indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.

 

8. INCOME TAXES

 

 

The amount and character of income and capital gain distributions to be paid, if any, are determined in accordance with Federal income tax regulations, which may differ from U.S. GAAP. These differences are primarily attributable to redemption in kind transactions. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. These book/tax differences may be temporary or permanent. To the extent these differences are permanent in nature, they are charged or credited to distributable earnings or paid–in capital, as appropriate, in the period that the differences arise.

 

For tax purposes, short–term realized gains are considered ordinary income. The tax character of dividends and distributions declared during the fiscal year or period April 30, 2020, were as follows:

 

      Long–Term Capital   
Fund  Ordinary Income  Gains  Return of Capital
Cambria Shareholder Yield ETF  $2,366,810   $–   $– 
Cambria Foreign Shareholder Yield ETF   1,045,339    –    – 
Cambria Global Value ETF   4,668,914    –    – 
Cambria Global Momentum ETF   2,351,015    –    73,325 
Cambria Global Asset Allocation ETF   1,942,060    248,678    – 
Cambria Value and Momentum ETF   144,770    –    – 
Cambria Sovereign Bond ETF   826,483    70,512    – 
Cambria Emerging Shareholder Yield ETF   1,265,482    –    – 
Cambria Tail Risk ETF   954,741    –    – 
Cambria Trinity ETF   1,004,566    42,630    – 
Cambria Cannabis ETF   360,017    –    – 

 

For tax purposes, short term realized gains are considered ordinary income. The tax character of dividends and distributions declared during the fiscal year or period April 30, 2019, were as follows:

 

Fund  Ordinary Income  Long–Term Capital Gains
Cambria Shareholder Yield ETF  $3,004,745   $– 
Cambria Foreign Shareholder Yield ETF   1,779,049    – 
Cambria Global Value ETF   4,113,334    2,423,857 
Cambria Global Momentum ETF   2,556,119    – 
Cambria Global Asset Allocation ETF   1,871,322    14,175 
Cambria Value and Momentum ETF   325,364    – 
Cambria Sovereign Bond ETF   839,784    70,840 
Cambria Emerging Shareholder Yield ETF   657,225    610,107 
Cambria Tail Risk ETF   456,126    – 
Cambria Trinity ETF   300,532    – 

 

66www.cambriafunds.com

 

 

Cambria ETF Trust Notes to Financial Statements
  October 31, 2020 (Unaudited)

 

As of April 30, 2020, the components of distributable earnings (accumulated losses) on a tax basis were as follows:

 

         Net Unrealized      
         Appreciation/  Other Cumulative   
   (Over)/ Undistributed Accumulated Capital  (Depreciation) on  Effect of Timing  Total distributable
Fund  Ordinary Income  Gains/ (Losses)  Investments  Differences  earnings
Cambria Shareholder Yield ETF  $112,356   $(7,188,623)  $(12,699,085)  $–   $(19,775,352)
Cambria Foreign Shareholder Yield ETF   132,280    (3,563,106)   (6,040,924)   –    (9,471,750)
Cambria Global Value ETF   (281,877)   (24,618,760)   (32,035,777)   –    (56,936,414)
Cambria Global Momentum ETF   –    (13,298,343)   1,733,973    –    (11,564,370)
Cambria Global Asset Allocation ETF   319,607    (513,480)   (6,069,004)   –    (6,262,877)
Cambria Value and Momentum ETF   45,004    (10,440,594)   (1,170,411)   1,229,861    (10,336,140)
Cambria Sovereign Bond ETF   –    (516,040)   (2,700,682)   (106,342)   (3,323,064)
Cambria Emerging Shareholder Yield ETF   110,569    (2,224,790)   (4,005,238)   (35)   (6,119,494)
Cambria Tail Risk ETF   59,940    (3,750,700)   5,039,201    –    1,348,441 
Cambria Trinity ETF   57,573    (2,033,089)   (3,555,559)   –    (5,531,075)
Cambria Cannabis ETF   55,913    (866,986)   (5,903,149)   –    (6,714,222)

 

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 and certain market to market adjustments.

 

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, 2020, the Funds have the following capital loss carryforwards and offset capital gains for an unlimited period:

 

Fund  Short–Term  Long–Term
Cambria Shareholder Yield ETF  $782,232   $– 
Cambria Foreign Shareholder Yield ETF   1,551,538    1,017,151 
Cambria Global Value ETF   –    2,684,796 
Cambria Global Momentum ETF   7,454,958    202,193 
Cambria Global Asset Allocation ETF   4,138    90,972 
Cambria Value and Momentum ETF   8,366,221    887,936 
Cambria Sovereign Bond ETF   –    3,055 
Cambria Emerging Shareholder Yield ETF   655,516    – 
Cambria Tail Risk ETF   1,210,486    2,540,214 
Cambria Trinity ETF   –    81,859 

 

During the period ended April 30, 2020, the Cambria Shareholder Yield ETF, Cambria Tail Risk ETF and Cambria Global Value ETF utilized $2,107,081, $1,241,942 and $929,742 of capital loss carryforwards to offset capital gains, respectively.

 

Semi-Annual Report | October 31, 202067

 

 

Cambria ETF Trust Notes to Financial Statements
  October 31, 2020 (Unaudited)

 

The Funds elect to defer to the period ending April 30, 2021, capital losses recognized during the period November 1, 2019 through April 30, 2020 in the amount of:

 

Fund  Capital Losses Recognized
Cambria Shareholder Yield ETF  $6,406,391 
Cambria Foreign Shareholder Yield ETF   994,417 
Cambria Global Value ETF   21,933,964 
Cambria Global Momentum ETF   5,641,192 
Cambria Global Asset Allocation ETF   418,370 
Cambria Value and Momentum ETF   1,186,437 
Cambria Sovereign Bond ETF   512,985 
Cambria Emerging Shareholder Yield ETF   1,569,274 
Cambria Trinity ETF   1,951,230 
Cambria Cannabis ETF   866,986 

 

The Funds elect to defer to the period ending April 30, 2021, late year ordinary losses in the amount of:

 

Fund  Ordinary Losses Recognized
Cambria Global Value ETF  $281,877 
Cambria Sovereign Bond ETF   40,340 

 

The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Funds at October 31, 2020, were as follows:

 

   Gross Appreciation  Gross Depreciation  Net Unrealized   
   (excess of value  (excess of tax  Appreciation/  Cost of Investments for
Fund  over tax cost)  cost over value)  (Depreciation)*  Income Tax Purposes
Cambria Shareholder Yield ETF  $9,471,729   $(11,176,146)  $(1,704,417)  $86,911,352 
Cambria Foreign Shareholder Yield ETF   1,691,861    (3,543,953)   (1,852,092)   19,323,201 
Cambria Global Value ETF   5,140,859    (38,228,548)   (33,087,689)   115,154,349 
Cambria Global Momentum ETF   3,243,995    (402,568)   2,841,427    59,407,319 
Cambria Global Asset Allocation ETF   2,405,476    (4,558,785)   (2,153,309)   48,985,595 
Cambria Value and Momentum ETF   2,091,427    (278,707)   1,812,720    5,541,119 
Cambria Sovereign Bond ETF   1,178,283    (2,021,485)   (843,202)   21,279,712 
Cambria Emerging Shareholder Yield ETF   4,345,308    (4,765,947)   (420,639)   33,759,646 
Cambria Tail Risk ETF   1,849,917    (11,291,184)   (9,441,267)   412,449,134 
Cambria Trinity ETF   928,677    (2,845,228)   (1,916,551)   37,284,903 
Cambria Cannabis ETF   703,984    (7,415,279)   (6,711,295)   20,106,219 
Cambria Global Real Estate ETF   47,589    (182,005)   (134,416)   4,757,462 

 

9. SECURITIES LENDING

 

 

The Funds have entered into a Securities Lending Agreement with Brown Brothers Harriman & Co., (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.

 

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Cambria ETF Trust Notes to Financial Statements
  October 31, 2020 (Unaudited)

 

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 is invested in Fidelity Investments Money Market Treasury Portfolio and is presented on the Statements 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 maturities and non–cash collateral, if any, which would be subject to offset as of October 31, 2020:

 

   Gross Amount of         
   Recognized Assets
(Value of Securities on Loan)		  

Value of Cash

Collateral Received(1)

   Net Amount 
Cambria Shareholder Yield ETF  $19,973,845   $19,973,845   $      – 
Cambria Foreign Shareholder Yield ETF   1,108,436    1,108,436    – 
Cambria Global Value ETF   816,812    816,812    – 
Cambria Global Momentum ETF   4,889,417    4,889,417    – 
Cambria Global Asset Allocation ETF   2,586,909    2,586,909    – 
Cambria Value and Momentum ETF   2,608,373    2,608,373    – 
Cambria Emerging Shareholder Yield ETF   633,490    633,490    – 
Cambria Trinity ETF   1,438,896    1,438,896    – 
Cambria Cannabis ETF   2,431,689    2,431,689    – 

  

(1)Excess collateral (received) in connection with the above securities lending transactions is not shown for financial reporting purposes. The value of loaned securities and related collateral outstanding at October 31, 2020 are shown in each Fund’s Schedule of Investments.

  

Semi-Annual Report | October 31, 202069

 

 

Cambria ETF Trust Disclosure of Fund Expenses
  October 31, 2020 (Unaudited)

  

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, administrative services, brokerage fees and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns. 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 an ETF’s gross income and directly reduce its final investment return. These expenses are expressed as a percentage of the ETF’s average net assets; this percentage is known as the ETF’s expense ratio.

 

The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other funds. The examples do not reflect any brokerage commissions that you may pay on purchases and sales of Shares. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period (May 1, 2020 to October 31, 2020).

 

The table below illustrates your Fund’s costs in two ways:

 

Actual Fund Return. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.

 

You can use this information, together with the actual amount you invested in the Fund, to estimate the expenses you paid over that period. Simply divide your actual account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”

 

Hypothetical 5% Return. This section helps you compare your Fund’s costs with those of other funds. It assumes that the Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) for the period is unchanged. This example is useful in making comparisons because the Commission requires all funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expenses Paid During Period” column with those that appear in the same charts in the shareholder reports for other funds.

 

NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown may not apply to your specific investment.

 

              Expenses Paid 
   Beginning Account   Ending Account      During period 
   Value   Value      May 1, 2020 – 
   May 1, 2020   October 31, 2020   Expense Ratio(a)  October 31, 2020(b) 
Cambria Shareholder Yield ETF                  
Actual  $1,000.00   $1,178.50   0.59%  $3.24 
Hypothetical (5% return before expenses)  $1,000.00   $1,022.23   0.59%  $3.01 
                   
Cambria Foreign Shareholder Yield ETF                  
Actual  $1,000.00   $1,128.90   0.59%  $3.17 
Hypothetical (5% return before expenses)  $1,000.00   $1,022.23   0.59%  $3.01 
                   
Cambria Global Value ETF                  
Actual  $1,000.00   $992.20   0.69%  $3.46 
Hypothetical (5% return before expenses)  $1,000.00   $1,021.73   0.69%  $3.52 
                   
Cambria Global Momentum ETF                  
Actual  $1,000.00   $1,029.90   0.59%  $3.02 
Hypothetical (5% return before expenses)  $1,000.00   $1,022.23   0.59%  $3.01 

  

70www.cambriafunds.com

 

 

Cambria ETF Trust Disclosure of Fund Expenses
  October 31, 2020 (Unaudited)

 

              Expenses Paid 
   Beginning Account   Ending Account      During period 
   Value   Value      May 1, 2020 – 
   May 1, 2020   October 31, 2020   Expense Ratio(a)  October 31, 2020(b) 
Cambria Global Asset Allocation ETF                  
Actual  $1,000.00   $1,095.10   –%  $– 
Hypothetical (5% return before expenses)  $1,000.00   $1,025.21   –%  $– 
                   
Cambria Value and Momentum ETF                  
Actual  $1,000.00   $1,080.20   0.59%  $3.09 
Hypothetical (5% return before expenses)  $1,000.00   $1,022.23   0.59%  $3.01 
                   
Cambria Sovereign Bond ETF                  
Actual  $1,000.00   $1,053.40   0.59%  $3.05 
Hypothetical (5% return before expenses)  $1,000.00   $1,022.23   0.59%  $3.01 
                   
Cambria Emerging Shareholder Yield ETF                  
Actual  $1,000.00   $1,156.80   0.65%  $3.53 
Hypothetical (5% return before expenses)  $1,000.00   $1,021.93   0.65%  $3.31 
                   
Cambria Tail Risk ETF                  
Actual  $1,000.00   $946.60   0.59%  $2.89 
Hypothetical (5% return before expenses)  $1,000.00   $1,022.23   0.59%  $3.01 
                   
Cambria Trinity ETF                  
Actual  $1,000.00   $1,047.40   –%  $– 
Hypothetical (5% return before expenses)  $1,000.00   $1,025.21   –%  $– 
                   
Cambria Cannabis ETF                  
Actual  $1,000.00   $998.30   0.42%  $2.12 
Hypothetical (5% return before expenses)  $1,000.00   $1,023.09   0.42%  $2.14 
                   
Cambria Global Real Estate ETF                  
Actual  $1,000.00   $991.20   0.59%  $0.61 
Hypothetical (5% return before expenses)  $1,000.00   $1,022.23   0.59%  $0.62 

  

(a)The Fund's expense ratios have been annualized based on the Fund's most recent fiscal half–year expenses.
(b)Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year 184/365 (to reflect the half–year period).

  

Semi-Annual Report | October 31, 202071

 

 

Cambria ETF Trust Approval of Advisory Agreement & Board Considerations
  October 31, 2020 (Unaudited)

  

The Board of Trustees (the “Board”) of Cambria ETF Trust (the “Trust”), including those Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), attended an in-person meeting on March 16, 2017, called for the purpose of, among other things, the consideration of, and voting on, the approval of the investment advisory agreement (the “Agreement”) between Cambria Investment Management, L.P. (“Cambria”) and the Trust, with respect to a newly proposed series of the Trust: Cambria Global Real Estate ETF (formerly, Cambria Global REIT ETF) (the “New Fund”). Subsequent to this initial meeting, the Board considered and voted to approve the Agreement, with respect to the New Fund, in-person on March 14, 2018, and telephonically at meetings held on March 10 and March 19, 2020 (collectively, with the initial meeting, the “Meetings”). In preparation for its deliberations at each Meeting, the Board requested and reviewed written responses from Cambria to due diligence questionnaires circulated on the Board’s behalf relating to the New Fund. During its deliberations at each Meeting, 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 other series of the Trust (the “Funds”) as part of the 15(c) review process for the New Fund. At each Meeting, the Board considered: (1) the nature, extent and quality of the services to be provided to the New Fund by Cambria; (2) the investment performance of Cambria with respect to existing Funds with similar investment strategies and other Funds with the same portfolio manager; (3) the costs of the services to be provided by Cambria and the expected profitability to Cambria to be derived from its relationship with the New Fund; (4) the advisory fee and total expense ratio of the New Fund compared to a relevant peer group of funds; (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 and its affiliates from their relationship with the New Fund; (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 Meetings when determining to approve the Agreement 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 to the New Fund. In particular, the Board considered the responsibilities of Cambria under the terms of the Agreement, recognizing 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 also considered the services provided by Cambria in the oversight of the Trust’s distributor, administrator, transfer agent, and custodian. In addition, the Board evaluated the integrity of Cambria’s personnel, the professional qualifications and experience of the portfolio management team in managing assets, their experiences with Cambria’s services, and the adequacy of Cambria’s resources and financial condition. 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.

 

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. Representatives from Cambria provided information regarding and led discussions of factors that may impact the future performance of the New Fund, outlining current market conditions and explaining their expectations and strategies for the future. 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 further noted that Cambria had performed extensive research on the strategies underlying the New Fund.

 

Comparative Fees and Expenses. The Board considered the New Fund’s proposed advisory fee in relation to the estimated costs of the advisory and related services to be provided by Cambria. 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 fee 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. Because the New Fund charges unitary advisory fees, the Board considered how the New Fund’s total expense ratio compared to those of the funds in its peer group, noting how differences between fund strategies might impact fees. After comparing expense ratios, the Board noted that the New Fund’s total expense ratio was slightly higher, but generally consistent, with the range of total expense ratios charged by its peer group of 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 remains competitive. Based on its review, in the context of its full deliberations, the Board concluded for the New Fund that the proposed advisory fee appeared reasonable in light of the services to be rendered.

 

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Cambria ETF Trust Approval of Advisory Agreement & Board Considerations
  October 31, 2020 (Unaudited)

 

Costs and Profitability. The Board then considered the estimated profits to be realized by Cambria in connection with providing 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. The Board, however, reviewed estimated profit and loss information provided by Cambria 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 Funds and to meet the regulatory and compliance requirements adopted by the SEC and other regulatory bodies as well as other expenses Cambria pays in accordance with the Agreement. Based on its review, in the context of its full deliberations, the Board concluded that Cambria’s expected profitability with respect to the New Fund appeared reasonable in light of the services Cambria will render to the New Fund.

 

Other Benefits. The Board then considered the extent to which Cambria 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 Funds.

 

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. In approving the Agreement at each of the Meetings, 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 New Fund at each Meeting.

 

Semi-Annual Report | October 31, 202073

 

 

Cambria ETF Trust Trustees and Officers
  October 31, 2020 (Unaudited)

  

    Number of Funds in    
Name, Address and

Position(s) Held with Trust,

Term of Office, and

 Principal Occupation(s)

Fund Complex

Overseen by

 Other Directorships  
Year of Birth1 Length of Time Served2 During the Past 5 Years Trustee Held by Trustee  
INTERESTED TRUSTEE3        
Mebane Faber Chairperson of the Board, Co-Founder and Chief 12 None.  
YOB: 1977 Trustee and President of the Investment Officer (2006 –      
  Trust since 2018; Vice present), Chief Executive      
  President of the Trust Officer (2018 – present),      
  (2013 – 2018); no set Term Cambria Investment      
    Management, L.P.      
INDEPENDENT TRUSTEES        
Dennis G. Schmal Trustee since 2013; Self-employed consultant 12 Director, AssetMark Mutual Funds  
YOB: 1947 no set term (since 2003).   (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); Director, Merriman  
        Holdings Inc. (financial services) (2003 –  
        2016); Director and Chairman, Pacific  
        Metrics Corporation (educational  
        services) (2005 – 2014).  
Michael Venuto Trustee since 2019; CIO, Toroso Investments, LLC 12 None.  
YOB: 1977 no set term (since 2012).      

  

1Unless otherwise noted, the business address of each Trustee is Cambria ETF Trust, 2321 Rosecrans Avenue, Suite 3225, El Segundo, CA 90245. Trustees oversee 12 Funds in the Cambria ETF Trust.
2Each Trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns, or is removed in accordance with the Trust's Trust Instrument.
3Denotes Trustee who is deemed to be an “interested” person of the Trust, as that term is defined in the 1940 Act, by virtue of his employment with and ownership interest in Cambria.

  

74www.cambriafunds.com

 

 

Cambria ETF Trust Trustees and Officers
  October 31, 2020 (Unaudited)

  

Name, Address Position(s) Held with Trust,  
and Age4 Term of Office, and Length of Time Served5 Principal Occupation(s) During Past 5 Years
OFFICERS6    
Jonathan Keetz Vice President since Nov. 2020; no set term Vice President, Cambria Investment Management, L.P.
YOB: 1988   (since 2015).
Douglas Tyre Chief Compliance Officer since May 2018; no set term Compliance Director, Cipperman Compliance Services, LLC
YOB: 1980   (since 2014).
Kelly McEwen7 Treasurer and Principal Financial Officer since Sept. 2020; Fund Controller (since Aug. 2019) and Vice President (since
YOB: 1984 no set term Apr. 2020), ALPS Fund Services, Inc.; Assistant Director,
    Invesco Ltd. (2019); Assistant Vice President,
    OppenheimerFunds, Inc. (2015 – 2019).

 

4 Unless otherwise noted, the business address of each officer is Cambria ETF Trust, 2321 Rosecrans Avenue, Suite 3225, El Segundo, CA 90245.
5 Each Trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns, or is removed in accordance with the Trust's Trust Instrument.
6 Officers oversee 12 Funds in the Cambria ETF Trust.
7 The business address for Ms. McEwen is ALPS Fund Services, Inc., 1290 Broadway, Suite 1000, Denver, Colorado 80203.

   

Semi-Annual Report | October 31, 202075

 

 

Cambria ETF Trust Supplemental Information
  October 31, 2020 (Unaudited)

 

Net asset value, or “NAV”, is the price per share at which a Fund issues and redeems shares. It is calculated in accordance with the standard formula for valuing mutual fund shares. The “Market Price” of a Fund generally is determined using the midpoint between the highest bid and the lowest offer on the stock exchange on which the Shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. A Fund’s Market Price may be at, above or below its NAV. The NAV of a Fund will fluctuate with changes in the market value of the Fund’s holdings. The Market Price of a Fund generally fluctuates in response to changes in its NAV, as well as market supply and demand. 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 Cumulative  Market Price, 
   One Year Total Return  Inception Date Return  End of Period 
Cambria Shareholder Yield ETF    -4.62%  –   $    34.72       
Cambria Foreign Shareholder Yield ETF  -10.65%  –   19.70 
Cambria Global Value ETF  -28.69%  –   15.90 
Cambria Global Momentum ETF    -5.96%  –   23.64 
Cambria Global Asset Allocation ETF    -0.28%  –   26.24 
Cambria Value and Momentum ETF  -13.20%  –   17.41 
Cambria Sovereign Bond ETF    -0.29%  –   24.45 
Cambria Emerging Shareholder Yield ETF    -6.54%  –   28.06 
Cambria Tail Risk ETF      7.63%  –   21.50 
Cambria Trinity ETF    -7.56%  –   22.08 
Cambria Cannabis ETF  -31.96%  –   10.96 
Cambria Global Real Estate ETF  –  -3.79%   24.88 

  

76www.cambriafunds.com

 

 

Cambria ETF Trust Supplemental Information
  October 31, 2020 (Unaudited)

  

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

 

 

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.

 

Semi-Annual Report | October 31, 202077

 

 

 

 

 

 

 

Investment Adviser:

Cambria Investment Management, L.P.

2321 Rosecrans Avenue

Suite 3225

El Segundo, CA 90245

 

 

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

 

 

This information must be preceded or accompanied by a current prospectus.

 

 

 

 

(b)Not Applicable.

 

Item 2. Code of Ethics.

 

Not applicable for semi-annual report.

 

Item 3. Audit Committee Financial Expert.

 

Not applicable for semi-annual report.

 

Item 4. Principal Accountant Fees and Services.

 

Not applicable for semi-annual report.

 

Item 5. Audit Committee of Listed Registrants.

 

Not applicable to open-end management investment companies.

 

Item 6. Schedule of Investments.

 

(a)Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this form.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

 

Not applicable to open-end management investment companies.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

 

Not applicable to open-end management investment companies.

 

Item 9. Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers.

 

Not applicable to open-end management investment companies.

 

Item 10. Submission of Matters to a Vote of Security Holders.

 

There have been no changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees during the period covered by this report.

 

Item 11. Controls and Procedures.

 

(a)The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report, are effective based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

(b)There has been no change in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Items 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

 

Not applicable to open-end management investment companies.

 

Item 13. Exhibits.

 

(a)(1)Not applicable for semi-annual report.

 

(a)(2)Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) are filed herewith.

 

(a)(3)None.

 

(a)(4)None.

 

(b)Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) are filed 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  

 

Date:January 7, 2021

 

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  

 

Date: January 7, 2021    
       
By: (Signature and Title) /s/ Kelly McEwen  
  Kelly McEwen  
  Principal Financial Officer  

 

Date: January 7, 2021

 

 

 

 EX-99.CERT 2 s129577_ex99-cert.htm EXHIBIT 99.CERT

Exhibit 99.CERT

 

CERTIFICATION

Pursuant to Rule 30a-2(a) under the Investment Company Act of 1940

and Section 302 of the Sarbanes-Oxley Act of 2002

 

I, Mebane Faber, President of the Cambria ETF Trust certify that:

 

1.I have reviewed this report on Form N-CSR of Cambria ETF Trust (the “Registrant”);

 

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;

 

4.The Registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:

 

(a)Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b)Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c)Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

(d)Disclosed in this report any change in the Registrant’s internal control over financial reporting 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; and

 

5.The Registrant’s other certifying officer(s) and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

 

(a)All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

 

(b)Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

  

Date: January 7, 2021

 

/s/ Mebane Faber  
Mebane Faber  
President  

 

 

 

 

CERTIFICATION

Pursuant to Rule 30a-2(a) under the Investment Company Act of 1940

and Section 302 of the Sarbanes-Oxley Act of 2002

 

I, Kelly McEwen, Principal Financial Officer of the Cambria ETF Trust certify that certify that:

 

1.I have reviewed this report on Form N-CSR of Cambria ETF Trust (the “Registrant”);

 

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;

 

4.The Registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:

 

(a)Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b)Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c)Evaluated the effectiveness of the Registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

(d)Disclosed in this report any change in the Registrant’s internal control over financial reporting 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; and

 

5.The Registrant’s other certifying officer(s) and I have disclosed to the Registrant’s auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

 

(a)All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant’s ability to record, process, summarize, and report financial information; and

 

(b)Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant’s internal control over financial reporting.

 

Date: January 7, 2021

 

/s/ Kelly McEwen  
Kelly McEwen  
Principal Financial Officer  

 

 

 

 EX-99.906 CERT 3 s129577_ex99-906cert.htm EXHIBIT 99.906 CERT

Exhibit 99.906 CERT

 

CERTIFICATION

Pursuant to 18 U.S.C. Section 1350, As Adopted

Pursuant to Section 906

of the Sarbanes-Oxley Act of 2002

 

The undersigned, Mebane Faber, the President of the Cambria ETF Trust (the “Registrant”), with respect to the Registrant’s Form N-CSR for the period ended October 31, 2020, as filed with the Securities and Exchange Commission, hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge:

 

1.such Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

 

2.the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

 

Dated: January 7, 2021

 

/s/ Mebane Faber  
Mebane Faber  
President  

 

 

 

 

CERTIFICATION

Pursuant to 18 U.S.C. Section 1350, As Adopted

Pursuant to Section 906

of the Sarbanes-Oxley Act of 2002

 

The undersigned, Kelly McEwen, the President of the Cambria ETF Trust (the “Registrant”), with respect to the Fund’s Form N-CSR for the period ended October 31, 2020, as filed with the Securities and Exchange Commission, hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge:

 

1.such Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

 

2.the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

 

Dated: January 7, 2021

 

/s/ Kelly McEwen  
Kelly McEwen  
Principal Financial Officer  

 

 

 

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