0001145549-24-021093.txt : 20240401 0001145549-24-021093.hdr.sgml : 20240401 20240401161238 ACCESSION NUMBER: 0001145549-24-021093 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240131 FILED AS OF DATE: 20240401 DATE AS OF CHANGE: 20240401 PERIOD START: 20240430 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Cambria ETF Trust CENTRAL INDEX KEY: 0001529390 ORGANIZATION NAME: IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-22704 FILM NUMBER: 24809372 BUSINESS ADDRESS: STREET 1: 3300 HIGHLAND AVE CITY: MANHATTAN BEACH STATE: CA ZIP: 90266 BUSINESS PHONE: 310-606-5555 MAIL ADDRESS: STREET 1: 3300 HIGHLAND AVE CITY: MANHATTAN BEACH STATE: CA ZIP: 90266 0001529390 S000054369 Cambria Tail Risk ETF C000170791 Cambria Tail Risk ETF TAIL NPORT-P 1 primary_doc.xml NPORT-P false 0001529390 XXXXXXXX S000054369 C000170791 Cambria ETF Trust 811-22704 0001529390 254900RHN8DQYNXKZQ96 3300 HIGHLAND AVENUE MANHATTAN BEACH 90266 310-606-5555 Cambria Tail Risk ETF S000054369 549300EXKFU1EJJ2W222 2024-04-30 2024-01-31 N 93408498.000000000000 47562.160000000000 93360935.840000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 1441037.840000000000 USD N First American Treasury Obliga 549300UU586IAH2B8H03 First American Treasury Obligations Fund 31846V328 272198.910000000000 NS USD 272198.910000000000 0.2915554643 Long STIV RF US N 1 N N N N/A N/A CBOE S&P PUT OPT 06/24 4400 N/A 51.000000000000 NC USD 224910.000000000000 0.2409037548 N/A DE US N 2 Cboe Options Exchange N/A Put Purchased S&P 500 INDEX US78378X1072 100.000000000000 4400.000000000000 USD 2024-06-21 XXXX -142358.940000000000 N N N N/A N/A S&P DOW PUT OPT 03/25 4400 N/A 121.000000000000 NC USD 1645600.000000000000 1.7626215774 N/A DE US N 2 Cboe Options Exchange N/A Put Purchased S&P 500 INDEX US78378X1072 100.000000000000 4400.000000000000 USD 2025-03-21 XXXX -286234.410000000000 N N N N/A N/A CBOE S&P PUT OPT 09/24 4000 N/A 135.000000000000 NC USD 547425.000000000000 0.5863533769 N/A DE US N 2 Cboe Options Exchange N/A Put Purchased S&P 500 INDEX US78378X1072 100.000000000000 4000.000000000000 USD 2024-09-20 XXXX -1402799.510000000000 N N N N/A N/A CBOE S&P PUT OPT 12/24 4100 N/A 149.000000000000 NC USD 1084720.000000000000 1.1618563913 N/A DE US N 2 Cboe Options Exchange N/A Put Purchased S&P 500 INDEX US78378X1072 100.000000000000 4100.000000000000 USD 2024-12-20 XXXX -1328272.910000000000 N N N N/A N/A CBOE S&P PUT OPT 12/24 4200 N/A 39.000000000000 NC USD 325650.000000000000 0.3488075575 N/A DE US N 2 Cboe Options Exchange N/A Put Purchased S&P 500 INDEX US78378X1072 100.000000000000 4200.000000000000 USD 2024-12-20 XXXX -235222.730000000000 N N N N/A N/A CBOE S&P PUT OPT 09/24 4200 N/A 72.000000000000 NC USD 397440.000000000000 0.4257026736 N/A DE US N 2 Cboe Options Exchange N/A Put Purchased S&P 500 INDEX US78378X1072 100.000000000000 4200.000000000000 USD 2024-09-20 XXXX -661778.040000000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CFV8 85554000.000000000000 PA USD 86676896.250000000000 92.8406463262 Long DBT UST US N 2 2032-11-15 Fixed 4.125000000000 N N N N N N N/A N/A CBOE S&P PUT OPT 03/24 3800 N/A 44.000000000000 NC USD 11220.000000000000 0.0120178744 N/A DE US N 2 Cboe Options Exchange N/A Put Purchased S&P 500 INDEX US78378X1072 100.000000000000 3800.000000000000 USD 2024-03-15 XXXX -242979.970000000000 N N N 2024-04-01 Cambria ETF Trust Aaron Perkovich Aaron Perkovich Treasurer XXXX NPORT-EX 2 tailrisketf-nport.htm N-PORT EX

Sector Weightings
      
Cambria Tail Risk ETF
      
U.S. Treasury Obligations
    
95.3
%
Purchased Options
    
4.7
%
     
100.0
%
         
Percentages based on total investments.
        
         
Cambria Tail Risk ETF
  
Schedule of Investments
  
January 31, 2024 (Unaudited)
  
   
     
Par
    
Value
  
U.S. Treasury Obligations - 92.9%
              
U.S. Treasury Bond, 4.125%, 11/15/2032
    
$
85,554,000
    
$
86,676,896
  
Total U.S. Treasury Obligations (Cost $87,029,654)
      
86,676,896
  
                       
   
Notional Amount
    
Contracts
          
Options Purchased - 4.5%
                  
Put Options - 4.5%
            
$
–
  
S&P 500® Index
      
–
    
$
–
  
Expires 03/15/2024, Strike Price $3,800
  
$
21,320,860
      
44
      
11,220
  
Expires 06/21/2024, Strike Price $4,400
    
24,712,815
      
51
      
224,910
  
Expires 09/20/2024, Strike Price $4,000
    
65,416,275
      
135
      
547,425
  
Expires 09/20/2024, Strike Price $4,200
    
34,888,680
      
72
      
397,440
  
Expires 12/20/2024, Strike Price $4,100
    
72,200,185
      
149
      
1,084,720
  
Expires 12/20/2024, Strike Price $4,200
    
18,898,035
      
39
      
325,650
  
Expires 03/21/2025, Strike Price $4,400
    
58,632,365
      
121
      
1,645,600
  
                         
Total Options Purchased (Cost $8,536,612)
      
4,236,965
  
           
Shares
          
Short-Term Investments - 0.3%
                  
Money Market Funds - 0.3%
                  
First American Treasury Obligations Fund - Class X, 5.25%(a)
      
272,199
      
272,199
  
Total Short-Term Investments (Cost $272,199)
      
272,199
  
                         
Total Investments - 97.7% (Cost $95,838,465)
      
91,186,060
  
Other Assets in Excess of Liabilities - 2.3%
      
2,175,068
  
Total Net Assets - 100.0%
                  
$
93,361,128
  
           
Percentages are stated as a percent of net assets.
          

(a)
The rate shown represents the 7-day effective yield as of January 31, 2024.

Cambria Tail Risk ETF
  
   
Level 1
    
Level 2
    
Level 3
    
Total
  
Investments:
                        
  U.S. Treasury Obligations
  
$
–
    
$
86,676,896
    
$
–
    
$
86,676,896
  
  Options Purchased
    
–
      
4,236,965
      
–
      
4,236,965
  
  Short-Term Investments
    
272,199
      
–
      
–
      
272,199
  
Total Investments
  
$
272,199
    
$
90,913,861
    
$
–
    
$
91,186,060
  
                                 

Refer to the Schedule of Investments for industry classifications.