NPORT-EX 2 fp0063665_nportex.htm

 

Sector Weightings
Cambria Shareholder Yield ETF
Consumer Discretionary   21.68%
Financial   16.73%
Materials   14.62%
Industrials   12.26%
Energy   10.74%
Information Technology   9.62%
Communication Services   8.48%
Consumer Staples   3.25%
Health Care   2.62%
    100.00%

 

Percentages based on total investments.

 

Cambria Shareholder Yield ETF
Schedule of Investments
January 31, 2021 (Unaudited)

 

   Shares   Value 
Common Stocks (92.45%)
Communication Services (7.84%)          
AMC Networks, Inc.(a)(b)   24,760   $1,223,639 
Discovery, Inc., Class A(a)   29,600    1,226,032 
Discovery, Inc., Class C(a)   32,440    1,136,373 
DISH Network Corp.(a)   25,520    740,591 
Fox Corp., Class B   22,880    683,883 
Meredith Corp.   35,880    786,848 
News Corp., Class A   52,720    1,022,768 
ViacomCBS, Inc., Class B(b)   26,760    1,297,860 
         8,117,994 
Consumer Discretionary (20.05%)          
Brunswick Corp.   11,720    1,013,311 
Buckle, Inc.(b)   35,368    1,390,670 
Dillard's, Inc., Class A(b)   11,240    986,984 
Foot Locker, Inc.   17,000    744,940 
GameStop Corp., Class A(a)   10,000    3,250,000 
General Motors Co.   27,760    1,406,877 
Guess?, Inc.(b)   38,600    896,292 
Marriott Vacations Worldwide Corp.(b)   10,960    1,345,450 
Qurate Retail, Inc.   107,560    1,355,256 
Ralph Lauren Corp.(b)   7,606    768,586 
Rent-A-Center, Inc., Class A   39,680    1,718,144 
Stellantis NV(b)   77,560    1,181,239 
Toll Brothers, Inc.   33,800    1,727,180 
Tri Pointe Homes, Inc.(a)   44,440    897,688 
Whirlpool Corp.   7,040    1,303,034 

 

   Shares   Value 
Consumer Discretionary (continued)          
Wyndham Destinations, Inc.   17,360   $768,006 
         20,753,657 
Consumer Staples (3.01%)          
Nu Skin Enterprises, Inc., Class A   26,320    1,523,138 
Tyson Foods, Inc., Class A   12,080    776,865 
Walgreens Boots Alliance, Inc.   16,200    814,050 
         3,114,053 
Energy (9.92%)          
Baker Hughes Co.   41,000    823,690 
Chevron Corp.   8,960    763,392 
ConocoPhillips   31,787    1,272,434 
CVR Energy, Inc.   43,520    744,192 
Halliburton Co.   92,760    1,635,359 
Helmerich & Payne, Inc.   33,680    817,750 
HollyFrontier Corp.(b)   26,720    760,451 
Murphy Oil Corp.(b)   90,680    1,121,712 
Schlumberger NV   36,160    803,114 
Valero Energy Corp.   13,640    769,705 
World Fuel Services Corp.   24,960    763,526 
         10,275,325 
Financials (15.47%)          
Aflac, Inc.   17,360    784,325 
Allstate Corp.   7,320    784,558 
Ally Financial, Inc.   22,480    850,643 
Ameriprise Financial, Inc.   4,844    958,482 
Assured Guaranty, Ltd.   21,560    770,770 
Citizens Financial Group, Inc.   21,720    791,477 
Discover Financial Services   8,760    731,810 
Federated Hermes, Inc.   26,880    725,760 
JPMorgan Chase & Co.   6,084    782,828 
Lincoln National Corp.(b)   16,480    749,675 
M&T Bank Corp.   5,880    778,924 
MetLife, Inc.(b)   16,040    772,326 
PNC Financial Services Group, Inc.   5,400    775,008 
SLM Corp.   63,160    876,661 
Synchrony Financial   22,720    764,528 
Unum Group   32,000    743,360 
US Bancorp   17,960    769,586 
Voya Financial, Inc.   14,200    787,532 
Waddell & Reed Financial, Inc., Class A   41,084    1,039,014 
Wells Fargo & Co.   25,920    774,490 
         16,011,757 
Health Care (2.42%)          
Biogen, Inc.(a)   2,960    836,526 
McKesson Corp.   5,320    928,180 

 

 

   Shares   Value 
Health Care (continued)          
Universal Health Services, Inc., Class B   5,960   $743,093 
         2,507,799 
Industrials (11.33%)          
Acuity Brands, Inc.(b)   6,720    808,013 
AerCap Holdings NV(a)   29,040    1,110,490 
Boise Cascade Co.   16,000    762,080 
Copa Holdings SA, Class A   14,000    1,083,180 
Cummins, Inc.   4,451    1,043,403 
Eaton Corp. PLC(b)   8,645    1,017,516 
Howmet Aerospace, Inc.   38,520    946,822 
ManpowerGroup, Inc.   8,680    767,659 
MSC Industrial Direct Co., Inc., Class A(b)   10,960    850,167 
nVent Electric PLC   35,720    799,414 
Regal Beloit Corp.   7,600    953,648 
Snap-on, Inc.(b)   4,600    827,954 
United Airlines Holdings, Inc.(a)   19,040    761,410 
         11,731,756 
Information Technology (8.89%)          
Apple, Inc.   13,160    1,736,593 
Arrow Electronics, Inc.(a)   9,000    878,670 
Hewlett Packard Enterprise Co.   64,760    799,138 
HP, Inc.   38,640    940,498 
Intel Corp.   14,080    781,581 
Juniper Networks, Inc.   30,920    755,066 
Sanmina Corp.(a)   24,440    760,084 
Vishay Intertechnology, Inc.(b)   45,240    974,922 
Western Union Co.   35,080    781,232 
Xerox Holdings Corp.   38,120    801,664 
         9,209,448 
Materials (13.52%)          
Cabot Corp.   17,400    764,034 
Domtar Corp.   25,240    756,443 
DuPont de Nemours, Inc.   16,720    1,328,404 
Element Solutions, Inc.   63,680    1,084,470 
Huntsman Corp.   37,680    995,506 
International Paper Co.   17,200    865,332 
Louisiana-Pacific Corp.   28,521    1,084,083 
LyondellBasell Industries NV, Class A   9,524    816,778 
Nucor Corp.   14,440    703,661 
Olin Corp.   37,720    901,885 
Reliance Steel & Aluminum Co.   6,520    756,842 
Schweitzer-Mauduit International, Inc.   19,440    722,002 
Steel Dynamics, Inc.   24,320    833,446 

 

   Shares   Value 
Materials (continued)          
Trinseo SA(b)   28,120   $1,429,340 
Worthington Industries, Inc.   18,160    950,494 
         13,992,720 
Total Common Stocks          
(Cost $75,844,249)        95,714,509 

 

   Shares   Value 
Short-Term Investment (10.49%)          
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(c)(d)   10,860,007   $10,860,007 
           
Total Short-Term Investment          
(Cost $10,860,007)        10,860,007 
           
Total Investments (102.94%)          
(Cost $86,704,256)       $106,574,516 
           
Liabilities Less Other Assets (-2.94%)        (3,047,921)
           
Net Assets (100.00%)       $103,526,595 

 

Percentages based on Net Assets.

 

(a)Non-income producing security.

(b)This security or a partial position of this security is on loan at January 31, 2021. The total value of securities on loan at January 31, 2021 was $10,416,139.

(c)Rate shown is the 7-day effective yield as of January 31, 2021.

(d)This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of January 31, 2021 was $10,860,007.

 

Investment Abbreviations:

PLC - Public Limited Company

 

As of January 31, 2021, 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 January 31, 2021 there have been no transfers in or out of Level 3.

 

 

Please see Note 2 in Notes to Schedules of Investments for further information regarding fair value measurements.

 

 

Sector Weightings    
Cambria Foreign Shareholder Yield ETF     
Materials   27.50%
Financial   17.72%
Consumer Discretionary   12.72%
Energy   11.30%
Communication Services   7.66%
Industrials   7.28%
Information Technology   5.56%
Consumer Staples   4.04%
Utilities   3.43%
Other   1.23%
Real Estate   0.90%
Health Care   0.66%
    100.00%

 

Percentages based on total investments.

 

Cambria Foreign Shareholder Yield ETF
Schedule of Investments
January 31, 2021 (Unaudited)

 

   Shares   Value 
Common Stocks (97.09%)          
Australia (6.29%)          
AGL Energy, Ltd.   17,976    $157,577 
Alumina, Ltd.   113,061    146,460 
BHP Group, Ltd.   10,248    341,164 
Fortescue Metals Group, Ltd.   24,906    414,761 
South32, Ltd.   189,714    368,272 
Worley, Ltd.   21,399    186,765 
         1,614,999 
Belgium (3.25%)          
Ageas SA   6,148    315,521 
Euronav NV   26,733    214,765 
Solvay SA   2,667    304,363 
         834,649 
Canada (16.16%)          
Canadian Natural Resources, Ltd.   8,400    189,776 
Canadian Western Bank(a)   8,400    186,886 
Crescent Point Energy Corp.(a)   96,600    265,910 
Great-West Lifeco, Inc.   7,361    168,087 
Imperial Oil, Ltd.(a)   10,500    199,777 
Labrador Iron Ore Royalty Corp.   12,276    305,760 
Magna International, Inc.   6,384    449,613 
Norbord, Inc.(a)   6,300    272,249 
Seven Generations Energy, Ltd.(a)(b)   65,100    312,582 
Sun Life Financial, Inc.   4,200    194,111 
Suncor Energy, Inc.   8,400    140,509 

 

   Shares   Value 
Canada (continued)          
Teck Resources, Ltd.   16,800   $306,900 
TORC Oil & Gas, Ltd.   117,600    232,671 
Tourmaline Oil Corp.(a)   18,900    269,293 
TransAlta Corp.(a)   27,300    239,535 
Transcontinental, Inc.(a)   10,500    168,493 
Whitecap Resources, Inc.(a)   69,300    248,206 
         4,150,358 
Denmark (1.28%)          

Scandinavian Tobacco Group A/S(c)(d)

   18,165    329,890 
           
Finland (4.52%)          
Nokian Renkaat Oyj   9,345    343,167 
Sampo Oyj(b)   5,859    246,581 
Stora Enso Oyj   20,286    368,028 
UPM-Kymmene Oyj   5,649    202,164 
         1,159,940 
France (1.42%)          
Rexel SA(b)   23,961    365,363 
           
Germany (3.34%)          
DWS Group GmbH & Co. KGaA(c)(d)   4,683    183,619 
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen   1,519    403,331 
TUI AG   19,912    94,820 
United Internet AG   4,053    176,329 
         858,099 
Great Britain (13.95%)          
Aviva PLC   53,277    244,687 
Barratt Developments PLC(b)   37,569    328,822 
Berkeley Group Holdings PLC   2,982    171,153 
Direct Line Insurance Group PLC   47,135    193,681 
Inchcape PLC(b)   34,041    310,163 
Legal & General Group PLC   63,806    213,313 
Man Group PLC   144,396    289,346 
Mondi PLC   10,983    259,959 
Quilter PLC(c)(d)   96,705    205,507 
Rio Tinto PLC   5,718    437,869 
Standard Life Aberdeen PLC   61,677    255,294 
Tate & Lyle PLC   27,489    259,429 
Vodafone Group PLC   106,515    182,193 
WPP PLC   22,092    231,802 
         3,583,218 
Hong Kong (10.61%)          
China Resources Cement Holdings,  Ltd.   136,500    150,879 

 

 

   Shares   Value 
Hong Kong (continued)          
China Resources Power Holdings Co., Ltd.   144,900   $153,436 
Cowell e Holdings, Inc.   252,000    189,815 
Kingboard Holdings, Ltd.   52,500    214,991 
Kingboard Laminates Holdings, Ltd.   163,800    264,928 
Kunlun Energy Co., Ltd.   354,900    303,484 
New World Development Co., Ltd.   48,300    224,579 
Nine Dragons Paper Holdings, Ltd.   189,000    292,522 
Shandong Chenming Paper Holdings, Ltd.   267,750    157,129 
Shougang Fushan Resources Group, Ltd.   1,554,000    366,791 
VTech Holdings, Ltd.   25,200    201,841 
Yue Yuen Industrial Holdings, Ltd.   94,500    206,228 
         2,726,623 
Italy (1.48%)          
Eni SpA   19,908    201,779 
UnipolSai Assicurazioni SpA   69,846    177,151 
         378,930 
Japan (17.76%)          
Amada Co., Ltd.   21,000    235,572 
Bridgestone Corp.   6,300    232,645 
Concordia Financial Group, Ltd.   63,000    227,954 
Ebara Corp.   8,400    289,503 
GungHo Online Entertainment, Inc.   12,600    314,323 
Japan Tobacco, Inc.   10,500    208,256 
Kaken Pharmaceutical Co., Ltd.   4,200    164,399 
KDDI Corp.   12,600    370,379 
Kurabo Industries, Ltd.   8,400    144,190 
Mitsubishi Gas Chemical Co., Inc.   16,800    383,331 
Mixi, Inc.   10,500    246,398 
Nikon Corp.   18,900    150,125 
Nippon Carbon Co., Ltd.   6,300    244,494 
Nippon Light Metal Holdings Co., Ltd.   12,390    223,326 
Nitto Denko Corp.   4,200    379,722 
NSK, Ltd.   29,400    265,806 
Ube Industries, Ltd.   12,600    238,780 
Ushio, Inc.   18,900    244,133 
         4,563,336 
Luxembourg (1.00%)          
APERAM SA   5,943    257,112 
           
Netherlands (3.66%)          
ASR Nederland NV   6,504    251,942 
Koninklijke Ahold Delhaize NV   7,329    209,812 
NN Group NV   7,098    295,452 

 

   Shares   Value 
Netherlands (continued)          
Royal Dutch Shell PLC, Class A   10,017   $183,637 
         940,843 
Norway (1.50%)          
Telenor ASA   10,608    175,922 
Yara International ASA   4,473    209,144 
         385,066 
Singapore (2.01%)          
UMS Holdings, Ltd.   336,000    328,817 
Venture Corp., Ltd.   12,600    188,184 
         517,001 
Spain (0.67%)          
Repsol SA   17,577    173,247 
Sweden (2.69%)          
Betsson AB   50,484    475,763 
Telia Co. AB   49,103    215,655 
         691,418 
Switzerland (5.50%)          
Ferrexpo PLC   50,988    197,148 
Glencore PLC(b)   89,418    301,878 
LafargeHolcim, Ltd.   5,145    278,694 
Swatch Group AG   4,704    265,367 
Zurich Insurance Group AG   924    369,496 
         1,412,583 
Total Common Stocks          
(Cost $22,386,113)        24,942,675 

 

   Shares   Value 
Short-Term Investment (6.42%)          
Fidelity Investments Money Market          
Treasury Portfolio Institutional          
Class, 0.01%(e)(f)   1,648,228   $1,648,228 
           
Total Short-Term Investment          
(Cost $1,648,228)        1,648,228 
           
Total Investments (103.51%)          
(Cost $24,034,341)       $26,590,903 
           
Liabilities Less Other Assets (-3.51%)        (900,404)
           
Net Assets (100.00%)       $25,690,499 

 

 

Percentages based on Net Assets.

 

(a)This security or a partial position of this security is on loan at January 31, 2021. The total value of securities on loan at January 31, 2021 was $1,466,955.
(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 January 31, 2021, these securities had a total aggregate market value of $719,016, which represented approximately 2.80% 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 January 31, 2021, the aggregate market value of those securities was $719,016 representing 2.80% of the Fund's net assets.
(e)Rate shown is the 7-day effective yield as of January 31, 2021.
(f)This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of January 31, 2021 was $1,648,228.

 

Investment Abbreviations:  

PLC - Public Limited Company

 

As of January 31, 2021, 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 January 31, 2021 there have been no transfers in or out of Level 3.  

 

Please see Note 2 in Notes to Schedules of Investments for further information regarding fair value measurements.

 

 

Sector Weightings    
Cambria Global Value ETF     
Financial   23.97%
Materials   17.91%
Utilities   17.78%
Other   8.88%
Energy   8.28%
Industrials   7.31%
Consumer Staples   6.90%
Communication Services   3.53%
Consumer Discretionary   2.75%
Real Estate   2.69%
    100.00%

 

Percentages based on total investments.

 

Cambria Global Value ETF

Schedule of Investments

January 31, 2021 (Unaudited)

 

   Shares   Value 
Common Stocks (89.60%)          
Austria (8.53%)          
BAWAG Group AG(a)(b)   34,561   $1,512,408 
Erste Group Bank AG(c)   21,594    661,685 
Erste Group Bank AG(c)(d)   27,840    856,751 
IMMOFINANZ AG(c)   51,146    1,081,227 
Raiffeisen Bank International AG(c)   54,356    1,066,632 
UNIQA Insurance Group AG   129,898    1,005,727 
Voestalpine AG   43,442    1,587,895 
Wienerberger AG   54,142    1,842,338 
         9,614,663 
Chile (7.74%)          
Banco de Credito e Inversiones SA   27,991    1,173,259 
CAP SA   200,197    2,547,382 
Cencosud SA   780,244    1,354,047 
Cia Cervecerias Unidas SA   125,939    1,031,767 
Colbun SA   6,399,242    1,103,393 
Empresa Nacional de Telecomunicaciones SA   176,978    1,083,819 
Latam Airlines Group SA(c)   250,594    425,643 
         8,719,310 
Czech Republic (8.53%)          
CEZ AS   100,794    2,425,079 
Komercni banka as(c)   63,772    1,947,659 
Moneta Money Bank AS(a)(b)(c)   582,829    1,983,835 
PFNonwovens SA(c)   42,534    1,515,204 
Philip Morris CR AS   2,461    1,746,497 
         9,618,274 

 

   Shares   Value 
Greece (8.19%)          
FF Group(c)(e)   25,407   $0 
Hellenic Petroleum SA   133,429    888,955 
Hellenic Telecommunications Organization SA   90,950    1,324,466 
JUMBO SA   51,639    811,530 
Karelia Tobacco Co. Inc SA(f)   4,564    1,816,672 
Motor Oil Hellas Corinth Refineries SA   98,868    1,391,780 
Mytilineos SA   88,596    1,296,637 
Public Power Corp. SA(c)   198,913    1,705,424 
         9,235,464 
Italy (7.96%)          
Atlantia SpA(c)   44,890    713,910 
Enel SpA   251,771    2,502,647 
Eni SpA   72,226    732,050 
Intesa Sanpaolo SpA(c)   484,155    1,060,637 
Telecom Italia SpA   2,152,225    923,020 
UniCredit SpA(c)   87,561    803,003 
Unipol Gruppo SpA(c)   244,166    1,073,817 
UnipolSai Assicurazioni SpA   456,598    1,158,077 
         8,967,161 
Poland (9.59%)          
Alior Bank SA(c)(d)   203,942    934,288 
Bank Polska Kasa Opieki SA(c)   38,413    656,879 
Eurocash SA(c)   139,207    511,976 
Grupa Lotos SA   62,091    643,238 
Jastrzebska Spolka Weglowa SA(c)(d)   225,877    1,928,873 
KGHM Polska Miedz SA(c)   41,195    2,083,499 
PGE Polska Grupa Energetyczna SA(c)   451,219    792,681 
Polski Koncern Naftowy ORLEN SA   42,907    645,267 
Powszechna Kasa Oszczednosci Bank Polski SA(c)   111,173    861,915 
Santander Bank Polska SA(c)   11,021    536,693 
Tauron Polska Energia SA(c)   1,605,453    1,211,939 
         10,807,248 
Portugal (7.75%)          
Altri SGPS SA   54,705    326,359 
Corticeira Amorim SGPS SA   138,719    1,875,332 
Energias de Portugal SA   346,286    2,173,454 
Galp Energia SGPS SA   97,106    976,210 
Jeronimo Martins SGPS SA   31,938    522,268 
Mota-Engil SGPS SA(c)(d)   189,390    317,171 
Navigator Co. SA   260,331    781,596 
NOS SGPS SA   161,035    555,003 
REN - Redes Energeticas Nacionais SGPS SA   79,435    226,054 

 

 

   Shares   Value 
Portugal (continued)          
Semapa-Sociedade de Investimento e Gestao   92,983   $987,344 
         8,740,791 
Russia (7.82%)          
Alrosa PJSC   1,299,408    1,715,260 
Gazprom Neft PJSC   344,540    1,437,253 
Gazprom PJSC   383,809    1,087,425 
Rosneft Oil Co. PJSC   203,728    1,279,222 
Sberbank of Russia PJSC   295,907    1,010,416 
Severstal PAO   85,386    1,424,078 
Unipro PJSC   23,068,772    862,640 
         8,816,294 
Singapore (7.07%)          
CapitaLand, Ltd.   417,300    1,008,381 
City Developments, Ltd.   160,500    872,335 
ComfortDelGro Corp., Ltd.   577,800    687,236 
Golden Agri-Resources, Ltd.   4,439,054    604,840 
Jardine Cycle & Carriage, Ltd.   42,800    694,646 
Oversea-Chinese Banking Corp., Ltd.   128,400    997,507 
SATS, Ltd.(c)   288,900    837,297 
Sembcorp Industries, Ltd.   481,500    598,069 
Sembcorp Marine, Ltd.(c)   2,364,647    258,110 
Singapore Airlines, Ltd.(c)   149,800    463,473 
United Overseas Bank, Ltd.   53,500    941,606 
         7,963,500 
Spain (8.24%)          
Acciona SA   6,866    1,030,696 
Banco Bilbao Vizcaya Argentaria SA   111,007    507,461 
Banco Santander SA(c)   154,195    451,902 
CaixaBank SA   221,854    561,884 
Enagas SA   36,406    802,979 
Endesa SA   43,026    1,101,718 
Ferrovial SA   24,829    596,748 
Iberdrola SA   164,067    2,226,969 
Mapfre SA   340,309    625,254 
Naturgy Energy Group SA   53,425    1,381,609 
         9,287,220 
Turkey (8.18%)          
Akbank T.A.S.(c)   901,715    786,216 
Eregli Demir ve Celik Fabrikalari TAS   647,870    1,270,550 
Haci Omer Sabanci Holding AS   648,604    933,384 
KOC Holding AS   345,768    954,527 
Petkim Petrokimya Holding AS(c)   1,897,333    1,296,480 
Turkiye Halk Bankasi AS(c)   933,904    671,336 
Turkiye Is Bankasi AS, Class C(c)   978,137    820,768 
Turkiye Sise ve Cam Fabrikalari AS   892,382    881,741 

 

   Shares   Value 
Turkey (continued)          
Turkiye Vakiflar Bankasi TAO, Class D(c)   946,858   $560,305 
Yapi ve Kredi Bankasi AS(c)   2,690,986    1,048,114 
         9,223,421 
Total Common Stocks          
(Cost $109,848,240)        100,993,346 
           
Exchange Traded Funds (7.90%)          
United States (7.90%)          
Equity ETF (7.90%)          
iShares® MSCI Colombia ETF(d)   861,450    8,907,393 
           
Total Exchange Traded Funds          
(Cost $6,913,520)        8,907,393 

 

   Shares   Value 
Short-Term Investment (3.09%)          
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(g)(h)   3,486,132   $3,486,132 
           
Total Short-Term Investment          
(Cost $3,486,132)        3,486,132 
           
Total Investments (100.59%)          
(Cost $120,247,892)       $113,386,871 
           
Liabilities Less Other Assets (-0.59%)        (669,462)
           
Net Assets (100.00%)       $112,717,409 

 

Percentages based on Net Assets.

 

(a)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 January 31, 2021, these securities had a total aggregate market value of $3,496,243, which represented approximately 3.10% of net assets.

(b)Securities exempt from registration under the Securities Act, and may be deemed to be “restricted securities” under the Securities Act. As of January 31, 2021, the aggregate market value of those securities was $3,496,243 representing 3.10% of the Fund's net assets.

 

 

(c)Non-income producing security.

(d)This security or a partial position of this security is on loan at January 31, 2021. The total value of securities on loan at January 31, 2021 was $3,258,302.

(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 January 31, 2021 was $1,816,672, which represent 1.61% of the Fund's Net Assets.

(g)Rate shown is the 7-day effective yield as of January 31, 2021.

(h)This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of January 31, 2021 was $3,486,132.

 

Investment Abbreviations:
ETF- Exchange Traded Fund
PJSC - Private Joint Stock Company

 

Cambria Global Value ETF                
Investments in Securities at Value  Level 1 - Quoted
and Unadjusted
Prices		   Level 2 -
Other
Significant
Observable
Inputs		   Level 3 -
Significant
Unobservable
Inputs(1)		   Total 
Common Stocks                    
Austria  $9,614,663    —   $—    9,614,663 
Chile   8,719,310    —    —    8,719,310 
Czech Republic   9,618,274    —    —    9,618,274 
Greece   9,235,464    —    —    9,235,464 
Italy   8,967,161    —    —    8,967,161 
Poland   10,807,248    —    —    10,807,248 
Portugal   8,740,791    —    —    8,740,791 
Russia   8,816,294    —    —    8,816,294 
Singapore   7,963,500    —    —    7,963,500 
Spain   9,287,220    —    —    9,287,220 
Turkey   9,223,421    —    —    9,223,421 
Exchange Traded Funds                    
United States   8,907,393    —    —    8,907,393 
Short-Term Investment   3,486,132    —    —    3,486,132 
Total  $113,386,871   $—   $—   $113,386,871 

 

For the period ended January 31, 2021 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Schedules of Investments 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.

 

 

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

 

Percentages based on total investments.

 

Cambria Global Momentum ETF

Schedule of Investments

January 31, 2021 (Unaudited)

 

   Shares   Value 
Exchange Traded Funds (99.23%)          
           
United States (99.23%)          
           
Equity ETF (99.23%)          
iShares® Global Consumer Discretionary ETF(a)   25,881   $4,026,307 
iShares® Global Materials ETF(a)   66,700    5,368,683 
iShares® Global Tech ETF   16,744    5,013,824 
iShares® MSCI Global Gold Miners ETF(a)   116,893    3,343,140 
Cambria Emerging Shareholder Yield ETF(a)*   159,593    5,511,544 
Cambria Foreign Shareholder Yield ETF(a)*   158,126    3,842,841 
Cambria Global Value ETF*   170,000    3,558,117 
Cambria Shareholder Yield ETF*   180,888    9,393,514 
Invesco DB Base Metals Fund(b)   231,694    3,899,410 
Invesco DB Precious Metals Fund(b)   71,723    3,683,693 
Vanguard® FTSE Developed Markets ETF   85,928    4,027,445 
Vanguard® Small-Cap ETF   21,574    4,284,381 
Vanguard® Small-Cap Value ETF   29,210    4,238,663 
         60,191,562 
Total Exchange Traded Funds          
(Cost $52,859,683)        60,191,562 

 

   Shares   Value 
Short-Term Investment (13.53%)          
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(c)(d)   8,210,399   $8,210,399 
           
Total Short-Term Investment          
(Cost $8,210,399)        8,210,399 
           
Total Investments (112.76%)          
(Cost $61,070,082)       $68,401,961 
           
Liabilities Less Other Assets (-12.76%)        (7,740,533)
           
Net Assets (100.00%)       $60,661,428 

 

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 January 31, 2021. The total value of securities on loan at January 31, 2021 was $7,899,491.
(b)Non-income producing security.
(c)Rate shown is the 7-day effective yield as of January 31, 2021.
(d)This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of January 31, 2021 was $8,210,399.

 

Investment Abbreviations:

ETF - Exchange Traded Fund

FTSE - Financial Times Stock Exchange

MSCI - Morgan Stanley Capital International

 

 

Transactions with affiliated companies for the six months ended January 31, 2021 are as follows:

 

Security Name  Value at
April 30, 2020		   Purchases
at Cost		   Proceeds
from Sales		  

Change in

Unrealized Appreciation/
(Depreciation)

   Realized
Gain/(Loss)		   Value at
January 31, 2021		   Shares at
January 31,
 2021		   Dividend
Income		 
Cambria Emerging Shareholder Yield ETF  $–   $4,861,575   $(337,458)  $947,583   $39,844   $5,511,544    159,593   $29,400 
Cambria Foreign Shareholder Yield ETF   –    3,893,175    (165,715)   111,858    3,523    3,842,841    158,126    43,183 
Cambria Global Value ETF   –    3,770,600    –    (212,483)   –    3,558,117    170,000    – 
Cambria Shareholder Yield ETF   –    8,299,590    (1,015,577)   2,080,707    28,794    9,393,514    180,888    47,375 
Cambria Sovereign Bond ETF   4,126,597    248,100    (4,939,791)   418,855    146,239    –    –    23,262 
Cambria Tail Risk ETF   5,158,782    –    (4,911,879)   (307,694)   60,791    –    –    2,922 
   $9,285,379   $21,073,040   $(11,370,420)  $3,038,826   $279,191   $22,306,016    668,607   $146,142 

 

As of January 31, 2021, 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 January 31, 2021 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Schedules of Investments for further information regarding fair value measurements.

 

 

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

 

Percentages based on total investments.

 

Cambria Global Asset Allocation ETF

Schedule of Investments

January 31, 2021 (Unaudited)

 

   Shares   Value 
Exchange Traded Funds (99.23%)          
           
United States (99.23%)          
           
Equity ETF (57.46%)          
Alpha Architect International Quantitative Momentum ETF   35,118   $1,221,706 
Alpha Architect US Quantitative Momentum ETF(a)   42,222    2,440,850 
Cambria Emerging Shareholder Yield ETF*   141,688    4,893,195 
Cambria Foreign Shareholder Yield ETF*   85,217    2,070,978 
Cambria Global Real Estate ETF*   120,086    3,515,542 
Cambria Global Value ETF*   118,833    2,487,186 
Cambria Shareholder Yield ETF*   81,950    4,255,663 
Cambria Value and Momentum ETF*   98,484    2,060,128 
Graniteshares Gold Trust(a)(b)   26,697    488,822 
Schwab US TIPS ETF   23,232    1,446,424 
Vanguard® Intermediate-Term Government Bond ETF   26,126    1,805,568 
Vanguard® Long-Term Treasury ETF(a)   18,296    1,692,197 
         28,378,259 
Fixed Income ETF (32.92%)          
iShares® Short Treasury Bond ETF   7,467    825,253 
Cambria Sovereign Bond ETF*   135,327    3,528,651 
SPDR® FTSE International Government Inflation-Protected Bond ETF(a)   23,697    1,373,241 
VanEck Vectors Emerging Markets High Yield Bond ETF(a)   73,674    1,745,337 
VanEck Vectors International High Yield Bond ETF(a)   35,144    905,309 
Vanguard® Intermediate-Term Corporate Bond ETF   14,954    1,439,921 
Vanguard® Short-Term Corporate Bond ETF   10,582    879,470 
Vanguard® Total Bond Market ETF   38,825    3,394,470 

 

   Shares   Value 
Fixed Income ETF (continued)          
Vanguard® Total International Bond ETF(a)   37,195   $2,164,005 
         16,255,657 
Multi-Asset ETF (8.85%)          
Alpha Architect Value Momentum Trend ETF(a)(b)   34,292    926,570 
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF(a)   218,717    3,444,793 
         4,371,363 
Total Exchange Traded Funds (Cost $45,150,833)        49,005,279 

 

   Shares   Value 
Short-Term Investment (15.66%)          
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(c)(d)   7,735,404   $7,735,404 
           
Total Short-Term Investment (Cost $7,735,404)        7,735,404 
           
Total Investments (114.89%) (Cost $52,886,237)       $56,740,683 
           
Liabilities Less Other Assets (-14.89%)        (7,355,090)
           
Net Assets (100.00%)       $49,385,593 

 

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 January 31, 2021. The total value of securities on loan at January 31, 2021 was $7,540,643.

(b)Non-income producing security.

(c)Rate shown is the 7-day effective yield as of January 31, 2021.

(d)This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of January 31, 2021 was $7,735,404.

 

 

Investment Abbreviations:

ETF - Exchange Traded Funds

FTSE - Financial Times Stock Exchange

SPDR - Standard & Poor's Depository Receipt

 

Transactions with affiliated companies for the six months ended January 31, 2021 are as follows:

 

Security Name  Value at
April 30, 2020		   Purchases
at Cost		   Proceeds
from Sales		   Change in
Unrealized Appreciation/ (Depreciation)		   Realized
Gain/(Loss)		   Value at
January 31, 2021		   Share at
January 31, 2021		   Dividend
Income		 
Cambria Emerging Shareholder Yield ETF  $4,325,986   $–   $(969,853)  $1,450,776   $86,286   $4,893,195    141,688   $162,850 
Cambria Foreign Shareholder Yield ETF   1,860,260    –    (412,341)   720,328    (97,269)   2,070,978    85,217    63,469 
Cambria Global Real Estate ETF   –    3,248,869    (276,692)   513,484    29,881    3,515,542    120,086    21,147 
Cambria Global Value ETF   2,397,560    –    (512,208)   663,404    (61,570)   2,487,186    118,833    47,612 
Cambria Shareholder Yield ETF   2,880,265    1,044,610    (1,711,404)   2,059,915    (17,723)   4,255,663    81,950    71,678 
Cambria Sovereign Bond ETF   3,829,933    –    (809,419)   610,455    (102,318)   3,528,651    135,327    22,577 
Cambria Value and Momentum ETF   1,030,966    909,250    (271,516)   359,837    31,591    2,060,128    98,484    13,448 
   $16,324,970   $5,202,729   $(4,963,433)  $6,378,200   $(131,122)  $22,811,344    781,585   $402,781 

 

As of January 31, 2021, 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 January 31, 2021 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Schedules of Investments for further information regarding fair value measurements.

 

 

Sector Weightings    
Cambria Value and Momentum ETF     
Consumer Discretionary   25.60%
Industrials   22.79%
Energy   13.62%
Financial   12.15%
Health Care   8.70%
Information Technology   7.19%
Consumer Staples   5.62%
Materials   3.36%
Communication Services   0.97%
    100.00%

 

Percentages based on total investments.

 

Cambria Value and Momentum ETF

Schedule of Investments

January 31, 2021 (Unaudited)

 

   Shares   Value 
Common Stocks (93.17%)          
Communication Services (0.91%)          
Bandwidth, Inc., Class A(a)(b)   644   $114,722 
           
Consumer Discretionary (23.85%)          
Bed Bath & Beyond, Inc.(b)   4,788    169,160 
Big 5 Sporting Goods Corp.(b)   9,336    121,555 
Big Lots, Inc.(b)   2,465    147,111 
Buckle, Inc.(b)   3,480    136,833 
Camping World Holdings, Inc., Class A(b)   2,979    101,763 
Cooper Tire & Rubber Co.   2,472    90,846 
Green Brick Partners, Inc.(a)   3,900    77,610 
Haverty Furniture Cos., Inc.   3,108    101,600 
Hibbett Sports, Inc.(a)   2,100    118,545 
Lennar Corp., Class A   1,807    150,252 
Meritage Homes Corp.(a)   1,770    142,060 
Nautilus, Inc.(a)   9,958    244,070 
Overstock.com, Inc.(a)   1,521    118,030 
PetMed Express, Inc.(b)   2,359    90,114 
Qurate Retail, Inc.   9,036    113,854 
Rent-A-Center, Inc., Class A   5,260    227,758 
Smith & Wesson Brands, Inc.   5,280    87,437 
Stamps.com, Inc.(a)(b)   327    74,657 
Target Corp.   957    173,380 
TopBuild Corp.(a)(b)   1,004    200,750 
TravelCenters of America, Inc.(a)   3,492    95,995 
Turtle Beach Corp.(a)(b)   3,576    106,922 

 

   Shares   Value 
Consumer Discretionary (continued)          
Vista Outdoor, Inc.(a)   4,392   $128,115 
         3,018,417 
Consumer Staples (5.24%)          
Central Garden & Pet Co., Class A(a)   2,682    104,598 
Nu Skin Enterprises, Inc., Class A   1,320    76,388 
Rite Aid Corp.(a)(b)   6,240    164,050 
SpartanNash Co.(b)   5,503    101,916 
United Natural Foods, Inc.(a)(b)   4,768    129,117 
Weis Markets, Inc.(b)   1,763    86,881 
         662,950 
Energy (12.69%)          
Alto Ingredients, Inc.(a)(b)   11,748    79,651 
Antero Midstream Corp.   11,232    90,979 
Antero Resources Corp.(a)(b)   28,219    195,840 
Bonanza Creek Energy, Inc.(a)(b)   5,036    104,044 
CNX Resources Corp.(a)   9,931    125,826 
EQT Corp.   4,764    77,701 
Green Plains, Inc.(a)   4,644    89,211 
Matador Resources Co.(a)   8,082    123,493 
Nordic American Tankers, Ltd.(b)   17,322    51,273 
Ovintiv, Inc.   7,951    125,308 
Range Resources Corp.(a)(b)   13,782    126,932 
Renewable Energy Group, Inc.(a)(b)   3,335    298,816 
Southwestern Energy Co.(a)   30,833    116,240 
         1,605,314 
Financials (11.32%)          
AMERISAFE, Inc.   1,032    57,276 
Cadence BanCorp   4,524    81,070 
CNO Financial Group, Inc.   4,104    87,046 
Cowen, Inc.   3,480    87,522 
Green Dot Corp., Class A(a)   1,404    70,523 
Meta Financial Group, Inc.   2,592    100,129 
Morgan Stanley   1,389    93,132 
Mr Cooper Group, Inc.(a)   6,302    171,603 
Open Lending Corp.(a)   3,132    113,660 
PennyMac Financial Services, Inc.   2,021    117,218 
Progressive Corp.   360    31,388 
Silvergate Capital Corp.(a)   1,560    145,174 
Stewart Information Services Corp.   1,596    74,023 
SuRo Capital Corp.(b)   5,556    81,507 
SVB Financial Group(a)   276    120,827 
         1,432,098 
Health Care (8.11%)          
Cigna Corp.   420    91,161 
Corcept Therapeutics, Inc.(a)   6,036    170,577 
CVS Health Corp.   1,008    72,223 

 

 

   Shares   Value 
Health Care (continued)          
Humana, Inc.   252   $96,544 
McKesson Corp.   456    79,558 
Molina Healthcare, Inc.(a)   372    79,463 
Owens & Minor, Inc.   6,509    189,282 
United Therapeutics Corp.(a)   701    114,838 
XBiotech, Inc.(a)   7,046    131,972 
         1,025,618 
Industrials (21.23%)          
ArcBest Corp.   2,172    100,672 
Arcosa, Inc.   2,430    135,570 
Argan, Inc.   1,908    82,483 
Astec Industries, Inc.(b)   1,830    108,830 
Atlas Air Worldwide Holdings, Inc.(a)   2,057    106,594 
Boise Cascade Co.   2,496    118,885 
Builders FirstSource, Inc.(a)   10,249    392,024 
Comfort Systems USA, Inc.   1,308    72,503 
Construction Partners, Inc., Class A(a)   5,431    154,349 
Gibraltar Industries, Inc.(a)   1,488    133,370 
Hub Group, Inc., Class A(a)   1,432    75,366 
Hyliion Holdings Corp.(a)   5,388    89,495 
Infrastructure and Energy Alternatives, Inc.(a)(b)   6,252    120,476 
Kornit Digital, Ltd.(a)(b)   1,714    155,348 
Marten Transport, Ltd.   5,064    80,264 
Quanta Services, Inc.(b)   2,296    161,799 
Regal Beloit Corp.   684    85,828 
Resideo Technologies, Inc.(a)   4,668    107,831 
Saia, Inc.(a)   1,011    178,694 
Schneider National, Inc., Class B   3,612    75,852 
Werner Enterprises, Inc.(b)   1,716    67,336 
YRC Worldwide, Inc.(a)(b)   16,032    83,366 
         2,686,935 
Information Technology (6.69%)          
Amkor Technology, Inc.   6,926    107,492 
Diodes, Inc.(a)   1,668    118,061 
ManTech International Corp., Class A   852    76,416 
Micron Technology, Inc.(a)   1,986    155,444 
NortonLifeLock, Inc.   3,264    68,772 
Super Micro Computer, Inc.(a)   3,192    98,952 
Ultra Clean Holdings, Inc.(a)   5,748    221,873 
         847,010 
Materials (3.13%)          
Alcoa Corp.(a)   4,140    74,520 
Hecla Mining Co.(b)   27,474    156,327 
Stepan Co.   789    88,904 

 

   Shares   Value 
Materials (continued)          
Worthington Industries, Inc.   1,452   $75,998 
         395,749 
           
Total Common Stocks (Cost $7,900,482)        11,788,813 

 

   Shares   Value 
Short-Term Investment (17.50%)          
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(c)(d)   2,213,873   $2,213,873 
           
Total Short-Term Investment (Cost $2,213,873)        2,213,873 
           
Total Investments (110.67%) (Cost $10,114,355)       $14,002,686 
           
Liabilities Less Other Assets (-10.67%)        (1,349,110)
           
Net Assets (100.00%)       $12,653,576 

 

Percentages based on Net Assets.

 

(a)Non-income producing security.

(b)This security or a partial position of this security is on loan at January 31, 2021. The total value of securities on loan at January 31, 2021 was $2,085,502.

(c)Rate shown is the 7-day effective yield as of January 31, 2021.

(d)This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of January 31, 2021 was $2,213,873.

 

 

The open futures contracts held by the Fund as of January 31, 2021 are as follows:

 

Type of
Contract		  Number of Contracts
Short		   Expiration
Date		  Notional
Amount		   Value   Unrealized
Appreciation		 
E-Mini S&P 500®  23   Mar-2021  $(4,267,602)  $(4,260,980)  $6,622 

 

For the period ended January 31, 2021, the monthly average notional value of the short equity futures contracts held was $(4,378,932)and the ending notional value of the futures contacts was $(4,267,602).

 

As of January 31, 2021, 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 January 31, 2021 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Schedules of Investments for further information regarding fair value measurements.

 

 

Sector Weightings    
Cambria Sovereign Bond ETF     
Sovereign Debt   89.01%
U.S. Treasury Obligations   10.99%
    100.00%

 

Percentages based on total investments.

 

Cambria Sovereign Bond ETF

Schedule of Investments

January 31, 2021 (Unaudited)

 

   Currency   Face Amount   Value 
Sovereign Debt (77.96%)              
Brazil (7.27%)              
Brazil Notas do Tesouro Nacional Serie F, 10.000%, 1/1/2027  BRL    3,180,000   $665,974 
Brazilian Government International Bond, 8.500%, 1/5/2024  BRL    3,850,000    758,291 
             1,424,265 
Chile (2.95%)              
Bonos de la Tesoreria de la Republica en pesos              
4.500%, 3/1/2026  CLP    160,000,000    248,901 
6.000%, 1/1/2024  CLP    210,000,000    328,540 
             577,441 
Colombia (2.59%)              
Colombian TES              
7.000%, 5/4/2022  COP    819,000,000    243,376 
7.500%, 8/26/2026  COP    812,500,000    263,951 
             507,327 
Croatia (0.82%)              
Croatia Government International Bond, 6.000%, 1/26/2024(a)  USD    140,000    161,350 
               
Czech Republic (4.82%)              
Czech Republic Government Bond, 0.250%, 2/10/2027  CZK    21,280,000    942,962 
               
Greece (3.91%)              
Hellenic Republic Government Bond, 3.650%, 2/24/2024(b)  EUR    560,916    765,037 

 

   Currency   Face Amount   Value 
Hungary (2.61%)              
Hungary Government Bond, 5.500%, 6/24/2025  HUF    127,160,000   $510,819 
               
Indonesia (3.60%)              
Indonesia Treasury Bond              
7.000%, 5/15/2027  IDR    2,760,000,000    208,269 
8.375%, 3/15/2024  IDR    6,390,000,000    496,949 
             705,218 
Italy (2.62%)              
Italy Buoni Poliennali Del Tesoro, 2.800%, 12/1/2028  EUR    357,000    512,995 
               
Malaysia (3.91%)              
Malaysia Government Investment Issue, 4.070%, 9/30/2026  MYR    158,000    42,732 
Malaysia Government Bond              
4.181%, 7/15/2024  MYR    1,442,000    382,746 
4.392%, 4/15/2026  MYR    158,000    43,227 
4.498%, 4/15/2030  MYR    1,055,000    296,900 
             765,605 
Mexico (3.07%)              
Mexican Bonos, 7.500%, 6/3/2027  MXN    10,786,298    601,610 
               
New Zealand (2.91%)              
New Zealand Government Bond, 4.500%, 4/15/2027  NZD    643,000    570,198 
               
Philippines (3.67%)              
Philippine Government Bond, 8.000%, 7/19/2031  PHP    23,853,684    718,686 
               
Poland (2.98%)              
Republic of Poland Government Bond              
2.500%, 7/25/2026  PLN    756,000    224,507 
5.750%, 4/25/2029  PLN    962,000    358,918 
             583,425 

 

 

   Currency   Face Amount   Value 
Romania (3.11%)            
Romania Government Bond              
5.800%, 7/26/2027  RON    1,470,000   $438,797 
5.850%, 4/26/2023  RON    630,000    169,836 
             608,633 
Russia (4.50%)              
Russian Federal Bond - OFZ, 7.000%, 1/25/2023  RUB    63,875,000    880,594 
               
Singapore (4.56%)              
Singapore Government Bond, 2.875%, 7/1/2029  SGD    1,026,000    893,889 
               
South Africa (7.93%)              
Republic of South Africa Government Bond, 8.000%, 1/31/2030  ZAR    24,601,648    1,552,475 
               
Thailand (4.06%)              
Thailand Government Bond, 3.625%, 6/16/2023  THB    22,143,000    794,451 
               
Turkey (6.07%)              
Turkey Government Bond              
8.500%, 9/14/2022  TRY    4,641,000    584,783 
10.700%, 2/17/2021  TRY    4,431,000    603,617 
             1,188,400 
Total Sovereign Debt              
(Cost $15,351,639)            15,265,380 
               
U.S. Treasury Obligations (9.63%)              
U.S. Treasury Bond, 2.250%, 2/15/2027  USD    1,716,500    1,884,327 
               
Total U.S. Treasury Obligations              
(Cost $1,682,947)            1,884,327 

 

   Currency   Face Amount   Value 
Total Investments (87.59%)              
(Cost $17,034,586)           $17,149,707 
               
Other Assets Less Liabilities (12.41%)            2,430,808 
               
Net Assets (100.00%)           $19,580,515 

 

Percentages based on Net Assets.

 

(a)Securities exempt from registration under the Securities Act, and may be deemed to be “restricted securities” under the Securities Act. As of January 31, 2021, the aggregate market value of those securities was $161,350 representing 0.82% of the Fund's net assets.

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

 

 

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 January 31, 2021, 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 January 31, 2021 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Schedules of Investments for further information regarding fair value measurements.

 

 

Sector Weightings    
Cambria Emerging Shareholder Yield ETF     
Materials   24.30%
Information Technology   23.54%
Industrials   15.28%
Consumer Discretionary   9.71%
Energy   7.39%
Financial   7.12%
Utilities   5.40%
Consumer Staples   2.35%
Real Estate   1.68%
Health Care   1.30%
Communication Services   1.03%
Other   0.90%
    100.00%

 

Percentages based on total investments.

 

Cambria Emerging Shareholder Yield ETF

Schedule of Investments

January 31, 2021 (Unaudited)

 

   Shares   Value 
Common Stocks (97.77%)          
Australia (1.45%)          
BHP Group PLC   26,158   $721,183 
           
Brazil (0.92%)          
Camil Alimentos SA   232,000    454,129 
           
China (18.81%)          
Anhui Conch Cement Co., Ltd., Class H   58,000    343,740 
Bank of Communications Co., Ltd., Class H   580,000    314,191 
China Lilang, Ltd.   580,000    391,242 
China Medical System Holdings, Ltd.   174,000    250,006 
China National Building Material Co., Ltd., Class H   174,000    208,488 
China Petroleum & Chemical Corp., ADR   5,675    269,108 
China Shenhua Energy Co., Ltd., Class H   203,000    376,505 
Fufeng Group, Ltd.   820,288    319,514 
Greatview Aseptic Packaging Co., Ltd.   805,096    442,358 
Greenland Hong Kong Holdings, Ltd.   1,247,000    368,314 
Lenovo Group, Ltd.   425,336    500,863 
Lonking Holdings, Ltd.   1,247,000    414,956 

 

   Shares   Value 
China (continued)          
Qingdao Port International Co., Ltd., Class H(a)(b)   580,000   $335,137 
Shenzhen Expressway Co., Ltd., Class H   406,000    373,363 
Sinopec Shanghai Petrochemical Co., Ltd., ADR   9,957    218,257 
Sinotruk Hong Kong, Ltd.   217,500    678,877 
Tianneng Power International, Ltd.   174,000    343,815 
Yadea Group Holdings, Ltd.(a)(b)   754,000    1,964,441 
Yanzhou Coal Mining Co., Ltd., Class H(c)   436,384    337,704 
Zhejiang Expressway Co., Ltd., Class H   386,664    312,693 
Zhengzhou Coal Mining Machinery Group Co., Ltd.   417,600    565,543 
         9,329,115 
Colombia (0.88%)          
Banco De Bogota Sa   19,285    437,681 
           
Czech Republic (1.01%)          
O2 Czech Republic AS   42,659    501,248 
           
Greece (2.31%)          
Hellenic Petroleum SA   52,896    352,413 
Holding Co. ADMIE IPTO SA   156,368    453,526 
Motor Oil Hellas Corinth Refineries SA   24,244    341,287 
         1,147,226 
India (1.57%)          
Tata Chemicals, Ltd.   119,448    778,148 
           
Mexico (0.79%)          
Industrias Penoles SAB de CV(d)   26,100    389,635 
           
Russia (11.21%)          
Federal Grid Co. Unified Energy System PJSC   158,630,000    451,618 
Gazprom Neft PJSC   107,880    450,023 
Gazprom PJSC   204,450    579,257 
Inter RAO UES PJSC   5,336,000    370,128 
LUKOIL PJSC   8,294    591,912 
Magnitogorsk Iron & Steel Works PJSC   754,000    515,585 
Novolipetskiy Metallurgicheskiy Kombinat PAO   221,560    615,731 
OGK-2 PJSC   45,530,000    458,729 

 

 

   Shares   Value 
Russia (continued)          
Sberbank of Russia PJSC   133,690   $456,503 
Severstal PAO   41,180    686,805 
Unipro PJSC   10,266,000    383,890 
         5,560,181 
South Africa (11.95%)          
AECI, Ltd.   80,011    481,441 
African Rainbow Minerals, Ltd.   73,428    1,331,559 
Exxaro Resources, Ltd.   28,681    286,336 
Impala Platinum Holdings, Ltd.   48,981    670,935 
Kumba Iron Ore, Ltd.   28,652    1,152,180 
Nedbank Group, Ltd.   67,338    544,892 
Netcare, Ltd.   435,754    385,480 
Reunert, Ltd.   166,421    420,316 
Truworths International, Ltd.   221,309    653,173 
         5,926,312 
South Korea (8.52%)          
Hanmi Semiconductor Co., Ltd.   66,352    1,121,091 
Hanyang Eng Co., Ltd.   27,260    437,437 
Huchems Fine Chemical Corp.   30,247    578,657 
KGMobilians Co., Ltd.   52,548    426,077 
Kolon Global Corp.   27,347    441,278 
Motonic Corp.   42,253    494,828 
Samsung C&T Corp.   2,233    259,512 
Ssangyong Cement Industrial Co., Ltd.   81,375    469,947 
         4,228,827 
Taiwan (26.74%)          
Acter Group Corp., Ltd.   58,000    389,394 
ASROCK, Inc.   116,000    588,233 
Asustek Computer, Inc.   29,000    296,706 
Catcher Technology Co., Ltd.   58,000    410,106 
Chenbro Micom Co., Ltd.   174,000    486,535 
Chicony Electronics Co., Ltd.   145,000    447,906 
CyberPower Systems, Inc.   87,000    246,996 
Dimerco Express Corp.   217,500    458,263 
Foxsemicon Integrated Technology, Inc.   29,000    223,694 
Gigabyte Technology Co., Ltd.   87,000    245,132 
Global Mixed Mode Technology, Inc.   87,000    529,721 
Holy Stone Enterprise Co., Ltd.   145,000    559,236 
Huaku Development Co., Ltd.   145,000    446,353 
Iron Force Industrial Co., Ltd.   87,000    230,840 
ITE Technology, Inc.   185,600    474,563 
Micro-Star International Co., Ltd.   95,700    445,990 
Nantex Industry Co., Ltd.   203,000    416,113 
Nishoku Technology, Inc.   130,500    480,011 

 

   Shares   Value 
Taiwan (continued)          
Radiant Opto-Electronics Corp.   116,000   $476,386 
Sea Sonic Electronics Co., Ltd.   182,700    515,429 
Shin Foong Specialty & Applied Materials Co., Ltd.   174,000    841,961 
Sino-American Silicon Products, Inc.   145,000    787,073 
Sunonwealth Electric Machine Industry Co., Ltd.   203,000    379,141 
Systex Corp.   145,000    434,443 
TA-I Technology Co., Ltd.   203,000    566,899 
Thinking Electronic Industrial Co., Ltd.   87,000    543,701 
Topco Scientific Co., Ltd.   116,000    490,885 
Transcend Information, Inc.   145,000    318,971 
Tripod Technology Corp.   116,000    532,310 
         13,262,991 
Thailand (0.83%)          
Tisco Financial Group PLC   133,400    411,164 
           
Turkey (10.78%)          
Aksigorta AS   225,794    293,149 
Alarko Holding AS   545,171    733,873 
Alkim Alkali Kimya AS   239,511    599,985 
Coca-Cola Icecek AS   67,947    685,761 
Eczacibasi Yatirim Holding Ortakligi AS   102,341    481,687 
Enerjisa Enerji AS(a)(b)   307,661    496,984 
Is Yatirim Menkul Degerler AS   592,789    1,433,922 
Tofas Turk Otomobil Fabrikasi AS   126,179    624,234 
         5,349,595 
Total Common Stocks          
(Cost $39,557,533)        48,497,435 
           
Total Investments (97.77%)          
(Cost $39,557,533)       $48,497,435 
           
Other Assets Less Liabilities (2.23%)        1,105,524 
           
Net Assets (100.00%)       $49,602,959 

 

Percentages based on Net Assets.

 

 

(a)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 January 31, 2021, these securities had a total aggregate market value of $2,796,562, which represented approximately 5.64% of net assets.

(b)Securities exempt from registration under the Securities Act, and may be deemed to be “restricted securities” under the Securities Act. As of January 31, 2021, the aggregate market value of those securities was $2,796,562 representing 5.64% of the Fund's net assets.

(c)This security or a partial position of this security is on loan at January 31, 2021. The total value of securities on loan at January 31, 2021 was $183,444.

(d)Non-income producing security.

 

As of January 31, 2021, 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 January 31, 2021 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Schedules of Investments for further information regarding fair value measurements.

 

 

Sector Weightings    
Cambria Tail Risk ETF     
U.S. Treasury Obligations   93.86%
Purchased Options   6.14%
    100.00%

 

Percentages based on total investments.

 

Cambria Tail Risk ETF

Schedule of Investments

January 31, 2021 (Unaudited)

 

   Face Amount   Value 
U.S. Treasury Obligations (90.69%)          
U.S. Treasury Bond, 0.625%, 5/15/2030  $337,610,000   $325,318,970 
United States Treasury Inflation Indexed Bonds, 0.125%, 7/15/2030   17,755,525    19,962,714 
         345,281,684 
           
Total U.S. Treasury Obligations (Cost $352,992,225)        345,281,684 

 

   Contracts   Notional
Amount		   Value 
Purchased Options (5.94%)              
Put Options              
S&P 500® Index              
Expires 03/18/21, Strike Price $3,200  55    20,428,320    223,850 
Expires 06/17/21, Strike Price $3,200  36    13,371,264    394,740 
Expires 06/17/21, Strike Price $3,400  137    50,885,088    2,062,535 
Expires 09/16/21, Strike Price $3,200  70    25,999,680    1,118,600 
Expires 09/16/21, Strike Price $3,300  51    18,942,624    929,730 
Expires 09/16/21, Strike Price $3,500  43    15,971,232    1,012,220 
Expires 12/16/21, Strike Price $3,300  96    35,656,704    2,152,320 
Expires 12/16/21, Strike Price $3,400  41    15,228,384    1,034,020 
Expires 12/16/21, Strike Price $3,500  25    9,285,600    705,375 
Expires 03/17/22, Strike Price $3,400  50    18,571,200    1,445,000 
Expires 03/17/22, Strike Price $3,500  223    82,827,552    7,162,760 

 

   Contracts   Notional
Amount		   Value 
Purchased Options (continued)              
Expires 06/16/22, Strike Price $3,050  24   $8,914,176   $541,080 
Expires 06/16/22, Strike Price $3,200  144    53,485,056    3,823,200 
               
Total Purchased Options (Cost $23,376,530)            22,605,430 
               
Total Investments (96.63%) (Cost $376,368,755)           $367,887,114 
               
Other Assets Less Liabilities (3.37%)            12,825,427 
               
Net Assets (100.00%)           $380,712,541 

 

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  $—   $345,281,684   $—   $345,281,684 
Total  $—   $345,281,684   $—   $345,281,684 
Other Financial Instruments                    
Purchased Options  $22,605,430   $—   $—   $22,605,430 
Total  $22,605,430   $—   $—   $22,605,430 

 

For the period ended January 31, 2021 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Schedules of Investments for further information regarding fair value measurements.

 

 

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

 

Percentages based on total investments.

 

Cambria Trinity ETF

Schedule of Investments

January 31, 2021 (Unaudited)

 

   Shares   Value 
Exchange Traded Funds (99.51%)          
United States (99.51%)          
Equity ETF (73.21%)          
iShares® Global Consumer Discretionary ETF   6,030   $938,087 
iShares® Global Materials ETF   12,120    975,539 
iShares® Global Tech ETF   3,494    1,046,243 
iShares® MSCI Global Gold Miners ETF   18,350    524,810 
Cambria Emerging Shareholder Yield ETF*   76,961    2,657,848 
Cambria Foreign Shareholder Yield ETF*   108,159    2,628,523 
Cambria Global Real Estate ETF(a)*   44,120    1,291,622 
Cambria Global Value ETF*   105,940    2,217,335 
Cambria Shareholder Yield ETF*   81,826    4,249,224 
Cambria Value and Momentum ETF*   129,943    2,718,200 
Invesco DB Base Metals Fund(b)   52,950    891,148 
Invesco DB Precious Metals Fund(b)   13,578    697,366 
Schwab US TIPS ETF   11,553    719,290 
Vanguard® FTSE Developed Markets ETF   18,540    868,970 
Vanguard® Intermediate-Term Government Bond ETF   46,980    3,246,788 
Vanguard® Small-Cap ETF(a)   4,650    923,443 
Vanguard® Small-Cap Value ETF   6,300    914,193 
         27,508,629 
Fixed Income ETF (12.81%)          
Cambria Sovereign Bond ETF*    74,745    1,948,976 
SPDR® FTSE International Government Inflation-Protected Bond ETF(a)   14,160    820,572 
Vanguard® Total Bond Market ETF   23,388    2,044,813 
         4,814,361 
Multi-Asset ETF (13.49%)          
Alpha Architect Value Momentum Trend ETF(a)(b)   29,471    796,306 

 

   Shares   Value 
Multi-Asset ETF (continued)          
First Trust Managed Futures Strategy Fund   22,873   $1,045,710 
iM DBi Managed Futures Strategy ETF   7,715    196,964 
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF   100,288    1,579,536 
WisdomTree Managed Futures Strategy Fund   38,352    1,448,939 
         5,067,455 
           
Total Exchange Traded Funds (Cost $35,106,490)        37,390,445 

 

   Shares   Value 
Short-Term Investment (4.05%)          
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(c)(d)   1,523,358   $1,523,358 
           
Total Short-Term Investment (Cost $1,523,358)        1,523,358 
           
Total Investments (103.56%) (Cost $36,629,848)       $38,913,803 
           
Liabilities Less Other Assets (-3.56%)        (1,337,624)
           
Net Assets (100.00%)       $37,576,179 

 

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 January 31, 2021. The total value of securities on loan at January 31, 2021 was $1,473,272.

(b)Non-income producing security.

(c)Rate shown is the 7-day effective yield as of January 31, 2021.

(d)This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of January 31, 2021 was $1,523,358.

 

 

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 January 31, 2021 are as follows:

 

Security Name  Value at
April 30, 2020		   Purchases
at Cost		   Proceeds
from Sales		   Change in
Unrealized Appreciation/ (Depreciation)		   Realized
Gain/(Loss)		   Value at
January 31, 2021		   Shares at
January 31, 2021		   Dividend
Income		 
Cambria Emerging Shareholder Yield ETF  $1,336,094   $949,556   $(317,697)  $680,965   $8,930   $2,657,848    76,961   $60,564 
Cambria Foreign Shareholder Yield ETF   1,522,930    876,633    (341,863)   577,488    (6,665)   2,628,523    108,159    65,184 
Cambria Global Real Estate ETF   —    1,333,500    (157,841)   114,941    1,022    1,291,622    44,120    7,792 
Cambria Global Value ETF   1,369,129    805,646    (294,470)   366,710    (29,680)   2,217,335    105,940    30,283 
Cambria Shareholder Yield ETF   1,539,048    1,708,791    (502,986)   1,462,388    41,983    4,249,224    81,826    44,663 
Cambria Sovereign Bond ETF   2,471,562    77,888    (944,726)   327,114    17,138    1,948,976    74,745    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    (481,239)   646,415    23,618    2,718,200    129,943    25,802 
   $11,351,195   $5,849,089   $(3,686,812)  $4,192,741   $5,515   $17,711,728    621,694   $250,330 

 

As of January 31, 2021, 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 January 31, 2021 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Schedules of Investments for further information regarding fair value measurements.

 

 

Sector Weightings    
Cambria Cannabis ETF     
Health Care   46.21%
Consumer Staples   28.68%
Consumer Discretionary   8.79%
Real Estate   6.58%
Materials   6.07%
Financial   3.67%
    100.00%

 

Percentages based on total investments.

 

Cambria Cannabis ETF

Schedule of Investments

January 31, 2021 (Unaudited)

 

   Shares   Value 
Common Stocks (98.13%)          
Consumer Discretionary (8.62%)          
Greenlane Holdings, Inc., Class A(a)(b)   313,350   $1,385,007 
GrowGeneration Corp.(a)   21,270    918,651 
         2,303,658 
Consumer Staples (28.15%)          
Altria Group, Inc.   15,000    616,200 
British American Tobacco PLC   24,240    882,617 
Constellation Brands, Inc., Class A   6,042    1,274,439 
Imperial Brands PLC   29,610    596,379 
Neptune Wellness Solutions, Inc.(a)   127,260    226,523 
NewAge, Inc.(a)(b)   233,070    710,863 
Philip Morris International, Inc.   8,640    688,176 
Turning Point Brands, Inc.   21,060    991,926 
Universal Corp.   6,240    286,229 
Village Farms International, Inc.(a)(b)   105,240    1,243,937 
         7,517,289 
Financials (3.60%)          
Canopy Rivers, Inc.(a)   661,170    961,702 
           
Health Care (45.34%)          
Aphria, Inc.(a)   222,076    2,704,886 
Arena Pharmaceuticals, Inc.(a)   12,690    942,106 
Aurora Cannabis, Inc.(a)(b)   32,833    366,088 
Canopy Growth Corp.(a)   52,800    2,115,696 
cbdMD, Inc.(a)(b)   76,920    269,220 
Charlottes Web Holdings, Inc.(a)(b)   136,740    548,564 
Cronos Group, Inc.(a)(b)   97,590    1,010,056 
GW Pharmaceuticals PLC, ADR(a)   15,930    2,428,847 
HEXO Corp.(a)(b)   41,569    263,963 
MediPharm Labs Corp.(a)(b)   462,060    238,483 
Organigram Holdings, Inc.(a)(b)   246,900    451,805 

 

   Shares   Value 
Health Care (continued)          
Tilray, Inc.(a)(b)   34,920   $632,052 
Valens Co., Inc.(a)(b)   99,990    139,184 
         12,110,950 
           
Materials (5.96%) Scotts Miracle-Gro Co.   7,190    1,591,938 
           
Real Estate (6.46%) Innovative Industrial Properties, Inc.(c)   9,216    1,724,498 
           
Total Common Stocks (Cost $23,520,239)        26,210,035 

 

   Shares   Value 
Short-Term Investment (19.86%)          
Fidelity Investments Money Market Treasury Portfolio Institutional Class, 0.01%(d)(e)   5,303,318   $5,303,318 
           
Total Short-Term Investment (Cost $5,303,318)        5,303,318 
           
Total Investments (117.99%) (Cost $28,823,557)       $31,513,353 
           
Liabilities Less Other Assets (-17.99%)        (4,804,287)
           
Net Assets (100.00%)       $26,709,065 

 

Percentages based on Net Assets.

 

(a)Non-income producing security.

(b)This security or a partial position of this security is on loan at January 31, 2021. The total value of securities on loan at January 31, 2021 was $5,016,984.

(c)Real Estate Investment Trust.

(d)Rate shown is the 7-day effective yield as of January 31, 2021.

(e)This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of January 31, 2021 was $5,303,318.

 

 

Investment Abbreviations:

ADR - American Depository Receipt

PLC - Public Limited Company

 

As of January 31, 2021, 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 January 31, 2021 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Schedules of Investments for further information regarding fair value measurements.

 

 

Sector Weightings    
Cambria Global Real Estate ETF     
Real Estate   99.10%
Industrials   0.90%
    100.00%

 

Percentages based on total investments.

 

Cambria Global Real Estate ETF

Schedule of Investments

January 31, 2021 (Unaudited)

 

   Shares   Value 
Common Stocks (97.67%)          
           
Australia (10.36%)          
Arena REIT(a)   77,328   $170,793 
BWP Trust(a)   50,994    167,581 
Charter Hall Group(a)   16,668    173,499 
Charter Hall Retail REIT(a)   59,958    163,130 
Goodman Group(a)   12,258    165,630 
Hotel Property Investments(a)   72,090    172,447 
Ingenia Communities Group(a)   46,278    177,547 
Rural Funds Group(a)   92,241    172,713 
         1,363,340 
Belgium (1.19%)          
Montea C.V.A(a)   1,286    156,999 
           
Canada (1.14%)          
Granite Real Estate Investment Trust(a)   2,556    149,712 
           
Great Britain (1.33%)          
AEW UK REIT PLC(a)(b)   149,274    175,075 
           
Japan (2.54%)          
Daiwa Securities Living Investments Corp.(a)   180    172,533 
Japan Logistics Fund, Inc.(a)   54    161,364 
         333,897 
Malaysia (3.23%)          
Axis Real Estate Investment Trust(a)   304,290    148,287 
IGB Real Estate Investment Trust(a)   333,315    140,170 
KLCCP Stapled Group   78,237    136,443 
         424,900 
Mexico (4.01%)          
Concentradora Fibra Danhos SA de CV(a)   172,233    207,278 
Macquarie Mexico Real Estate Management SA de CV(a)(b)(c)   136,152    167,575 

 

   Shares   Value 
Mexico (continued)          
Prologis Property Mexico SA de CV(a)   76,707   $153,421 
         528,274 
New Zealand (1.23%)          
Goodman Property Trust(a)   99,423    161,467 
           
Singapore (12.35%)          
AIMS APAC REIT(a)   170,127    165,209 
ARA LOGOS Logistics Trust(a)   375,300    197,764 
EC World Real Estate Investment Trust(a)(b)   297,720    162,486 
Far East Hospitality Trust(a)   364,752    162,002 
IREIT Global(a)   312,601    154,136 
Keppel DC REIT(a)   70,974    159,216 
Mapletree Industrial Trust(a)   66,060    142,722 
Mapletree Logistics Trust(a)   100,710    150,110 
Parkway Life Real Estate Investment Trust(a)   51,057    159,505 
Soilbuild Business Space REIT(a)   430,614    171,805 
         1,624,955 
Turkey (1.55%)          
Emlak Konut Gayrimenkul Yatirim Ortakligi AS(a)   618,921    203,847 
           
United States (58.74%)          
Agree Realty Corp.(a)   2,259    142,769 
American Finance Trust, Inc.(a)   22,878    166,552 
American Homes 4 Rent(a)   5,175    156,440 
AvalonBay Communities, Inc.(a)   972    159,087 
Brandywine Realty Trust(a)   14,121    155,331 
Brixmor Property Group, Inc.(a)   12,519    211,947 
CareTrust REIT, Inc.(a)   7,677    172,425 
Columbia Property Trust, Inc.(a)   11,628    158,141 
CoreCivic, Inc.(a)   16,353    116,270 
Corporate Office Properties Trust(a)   6,615    173,776 
CubeSmart(a)   5,076    176,848 
Digital Realty Trust, Inc.(a)   1,017    146,397 
Diversified Healthcare Trust(a)   41,463    166,681 
Duke Realty Corp.(a)   3,960    156,658 
Easterly Government Properties, Inc.(a)   6,111    134,136 
First Industrial Realty Trust, Inc.(a)   3,690    149,962 
Franklin Street Properties Corp.(a)   33,345    137,048 
GEO Group, Inc.(a)   18,648    166,713 
Getty Realty Corp.(a)   5,211    138,456 
Gladstone Land Corp.(a)   11,592    182,458 
Global Net Lease, Inc.(a)   9,774    157,459 
Highwoods Properties, Inc.(a)   4,365    163,644 
Industrial Logistics Properties Trust(a)   7,092    150,421 

 

 

   Shares   Value 
United States (continued)          
Innovative Industrial Properties, Inc.(a)   1,035   $193,669 
Kimco Realty Corp.(a)   12,879    212,632 
Kite Realty Group Trust(a)   13,428    214,042 
Lexington Realty Trust(a)   13,554    138,929 
LTC Properties, Inc.(a)   4,050    156,492 
Monmouth Real Estate Investment Corp.(a)   10,629    184,201 
National Health Investors, Inc.(a)   2,367    153,476 
National Retail Properties, Inc.(a)   4,167    162,513 
One Liberty Properties, Inc.(a)   8,262    165,571 
Piedmont Office Realty Trust, Inc.(a)   10,332    158,906 
Prologis, Inc.(a)   1,503    155,110 
PS Business Parks, Inc.(a)   1,251    170,286 
Public Storage(a)   693    157,741 
QTS Realty Trust, Inc.(a)   2,241    145,889 
Realty Income Corp.(a)   2,367    139,795 
Retail Value, Inc.(a)   12,348    192,752 
Rexford Industrial Realty, Inc.(a)   3,222    157,685 
Spirit Realty Capital, Inc.(a)   4,338    167,273 
STAG Industrial, Inc.(a)   4,707    140,269 
Terreno Realty Corp.(a)   2,637    149,201 
UMH Properties, Inc.(a)   10,845    159,422 
Urstadt Biddle Properties, Inc., Class A(a)   15,624    216,080 
Washington Prime Group, Inc.(a)   28,154    396,971 
         7,728,524 
Total Common Stocks          
(Cost $12,232,473)        12,850,990 
           
Total Investments (97.67%)          
(Cost $12,232,473)       $12,850,990 
           
Other Assets Less Liabilities (2.33%)        306,860 
           
Net Assets (100.00%)       $13,157,850 

 

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 January 31, 2021, the aggregate market value of those securities was $505,136 representing 3.84% 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 January 31, 2021, these securities had a total aggregate market value of $167,575, which represented approximately 1.27% of net assets.

 

As of January 31, 2021, 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 January 31, 2021 there have been no transfers in or out of Level 3.

 

Please see Note 2 in Notes to Schedules of Investments for further information regarding fair value measurements.

 

 

Cambria ETF Trust

Notes to Schedules of Investments

January 31, 2021 (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 schedules of investments and corresponding notes 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. The Funds are actively managed.

 

2.SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of the Significant Accounting Policies followed by 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 January 31, 2021, there have been no significant changes to the Funds’ fair valuation methodologies.

 

3.Subsequent Event

 

Effective March 15, 2021, Cambria Sovereign Bond ETF changed its name to Cambria Global Tail Risk ETF and implemented a new investment strategy. Cambria Global Tail Risk ETF is a diversified fund with different investment holdings than Cambria Sovereign Bond ETF.