VAMO Cambria Value and Momentum ETF

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

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:

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, 2020

 

Date of reporting period: January 31, 2020

 

 

Item 1. Schedule of Investments

 

The Registrant’s schedules as of the close of the reporting period, as set forth in §§ 210.12-12 through 210.12-14 of Regulation S-X [17 CFR §§ 210-12.12-12.14], are attached hereto.

 

Cambria Investment Management

Schedule of Investments ● Cambria Shareholder Yield ETF ● January 31, 2020 (unaudited)

 

 

Description		Shares				Value
COMMON STOCK — 98.6%
Communication Services — 1.1%
CenturyLink			85,140			$	1,163,013
Consumer Discretionary — 26.1%
Abercrombie & Fitch, Cl A			63,855				1,044,668
Best Buy			14,412				1,220,552
Buckle(A)			48,628				1,187,010
Dick’s Sporting Goods			24,255				1,072,799
Dillard’s, Cl A(A)			15,455				938,428
Express*			299,475				1,200,895
Foot Locker			23,375				887,549
GameStop, Cl A* (A)			182,435				700,550
Gap			57,035				992,979
Gentex			35,531				1,057,758
Guess?			53,075				1,129,967
Home Depot			4,298				980,374
International Game Technology			68,585				925,212
Kohl’s			19,800				846,450
Lear			8,305				1,023,010
Meritage Homes*			14,139				1,003,303
Newell Brands			54,890				1,072,002
PulteGroup			27,280				1,218,052
Ralph Lauren, Cl A			10,456				1,186,756
Shoe Carnival(A)			30,140				1,080,820
Signet Jewelers			56,540				1,374,487
Six Flags Entertainment			19,642				748,949
Stamps.com*			14,135				1,052,916
Target			9,299				1,029,771
TRI Pointe Group*			66,605				1,082,997
Wyndham Destinations			21,725				1,054,314
							27,112,568
Consumer Staples — 0.9%
Walgreens Boots Alliance			18,150				922,928
Energy — 6.0%
Arch Coal			13,255				683,030
Chevron			7,920				848,549
CNX Resources*			137,225				992,137
ConocoPhillips			17,050				1,013,281
Southwestern Energy*			479,215				752,368
Valero Energy			11,661				983,139

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Shareholder Yield ETF ● January 31, 2020 (unaudited)

 

  

Description		Shares				Value
World Fuel Services			25,025			$	978,978
							6,251,482
Financials — 21.6%
Aflac			18,984				979,005
Allstate			9,141				1,083,574
Ameriprise Financial			6,659				1,101,465
Assured Guaranty			22,008				1,008,847
CIT Group			21,725				993,050
Citizens Financial Group			27,776				1,035,489
Discover Financial Services			12,045				904,941
Federated Investors, Cl B			30,316				1,098,349
Franklin Resources			34,265				866,905
JPMorgan Chase			8,364				1,107,059
Lincoln National			16,170				880,941
M&T Bank			6,215				1,047,352
MetLife			20,790				1,033,471
New York Community Bancorp			77,452				856,619
PNC Financial Services Group			6,985				1,037,622
Reinsurance Group of America, Cl A			6,105				879,425
Synchrony Financial			29,326				950,455
Truist Financial			1				51
Trustmark			28,664				916,675
Unum Group			33,220				886,642
US Bancorp			17,765				945,453
Voya Financial			17,930				1,070,959
Waddell & Reed Financial, Cl A			56,489				902,694
Wells Fargo			19,305				906,177
							22,493,220
Health Care — 2.0%
Biogen*			3,740				1,005,499
McKesson			7,315				1,043,192
							2,048,691
Industrials — 12.7%
AGCO			12,925				906,559
Cummins			6,116				978,377
Delta Air Lines			16,788				935,763
Eaton			11,885				1,122,776
Huntington Ingalls Industries			4,620				1,205,820
KAR Auction Services			39,655				833,548
ManpowerGroup			11,880				1,086,901
Oshkosh			13,145				1,130,996
Regal Beloit			13,475				1,057,248
Robert Half International			17,875				1,039,789
Southwest Airlines			18,046				992,169

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Shareholder Yield ETF ● January 31, 2020 (unaudited)

 

  

Description		Shares				Value
Wabash National			66,660			$	773,256
Werner Enterprises			30,360				1,119,070
							13,182,272
Information Technology — 15.4%
Apple			4,520				1,398,985
Applied Materials			19,701				1,142,461
Avnet			22,229				811,136
Cirrus Logic*			18,318				1,407,006
Corning			34,761				927,771
Hewlett Packard Enterprise			66,117				921,010
HP			53,130				1,132,732
Intel			19,360				1,237,685
Micron Technology*			20,240				1,074,542
Qorvo*			13,321				1,410,161
Tech Data*			9,517				1,369,877
Texas Instruments			7,713				930,573
Western Union			42,740				1,149,706
Xerox Holdings			32,344				1,150,476
							16,064,121
Materials — 11.3%
Cabot			23,925				953,411
Eastman Chemical			13,475				960,363
International Paper			23,650				963,028
Kaiser Aluminum			9,955				996,993
Louisiana-Pacific			39,216				1,203,147
LyondellBasell Industries, Cl A			11,110				865,025
Nucor			19,635				932,466
Olin			51,865				771,232
Reliance Steel & Aluminum			10,010				1,149,148
Steel Dynamics			33,440				999,187
Warrior Met Coal			51,315				967,801
Worthington Industries			27,335				1,005,382
							11,767,183
Real Estate — 1.5%
Realogy Holdings* (A)			145,860				1,544,657
Total Common Stock
(Cost $102,437,545)							102,550,135

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Shareholder Yield ETF ● January 31, 2020 (unaudited)

 

  

Description		Shares				Value
SHORT-TERM INVESTMENT — 3.5%
Invesco Treasury Portfolio
Institutional Class, 1.470%  (B)(C)			3,632,570			$	3,632,570
Total Short-Term Investments
(Cost $3,632,570)							3,632,570
Total Investments - 102.1%
(Cost $106,070,115)						$	106,182,705
Other Assets and Liabilities - (2.1)%							(2,172,687	)
Net Assets - 100.0%						$	104,010,018

 

Percentages based on Net Assets.

 

*	Non-income producing security.
(A)	This security or a partial position of this security is on loan at January 31, 2020.  The total value of securities on loan at January 31, 2020 was $3,428,692.
(B)	This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of January 31, 2020 was $3,632,570.
(C)	Rate shown is the 7-day effective yield as of January 31, 2020.

 

Cl — Class

PLC — Public Limited Company

 

As of January 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.

 

As of January 31, 2020, there were no transfers in or out of level 3.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

CIM-QH-001-1400

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Foreign Shareholder Yield ETF ● January 31, 2020 (unaudited)

 

 

Description		Shares				Value
COMMON STOCK — 96.6%
Australia — 16.2%
AGL Energy			21,400			$	285,786
Alumina			134,577				196,387
Bendigo & Adelaide Bank			40,400				281,525
BHP Group			12,200				321,766
BlueScope Steel			12,525				119,475
Crown Resorts			25,031				196,042
Fortescue Metals Group			59,300				452,129
JB Hi-Fi			19,000				504,418
Metcash			160,156				280,885
Perpetual			10,836				309,728
Qantas Airways			60,287				258,682
South32			225,850				399,124
Super Retail Group			55,001				345,349
Wesfarmers			13,150				397,965
Whitehaven Coal			77,225				129,752
Woodside Petroleum			11,995				278,862
							4,757,875
Belgium — 1.4%
Ageas			7,316				403,826
Canada — 12.0%
Canadian Natural Resources			10,000				281,245
Ensign Energy Services (A)			42,500				75,790
Great-West Lifeco			8,761				227,002
iA Financial			7,500				412,744
Imperial Oil			12,500				296,396
Labrador Iron Ore Royalty			14,612				232,860
Magna International			7,600				385,283
Methanex			5,000				162,120
Norbord			7,500				220,285
Power Corp of Canada			12,500				311,886
Suncor Energy			10,000				305,652
TFI International			9,583				306,882
Whitecap Resources			82,500				300,476
							3,518,621
Denmark — 1.6%
Novo Nordisk, Cl B			5,317				325,511
Pandora			2,805				145,456
							470,967

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Foreign Shareholder Yield ETF ● January 31, 2020 (unaudited)

 

  

Description		Shares				Value
Finland — 1.0%
UPM-Kymmene			9,475			$	299,801
France — 4.2%
AXA			9,063				242,036
BNP Paribas			5,707				304,094
Casino Guichard Perrachon * (A)			4,593				186,742
Engie			15,689				270,743
Metropole Television			13,828				230,347
							1,233,962
Germany — 5.6%
Dialog Semiconductor *			6,275				277,468
Freenet			10,866				241,501
Linde			1,550				316,388
Muenchener Rueckversicherungs			1,807				533,681
TUI			26,200				268,837
							1,637,875
Hong Kong — 2.2%
China Resources Cement Holdings			150,000				169,765
Shandong Chenming Paper Holdings, Cl H			318,750				125,176
Shougang Fushan Resources Group			1,850,000				366,827
							661,768
Italy — 5.0%
Assicurazioni Generali			14,350				280,023
Eni			23,700				332,710
Fiat Chrysler Automobiles			12,000				156,137
Saras			107,987				145,153
Societa Cattolica di Assicurazioni SC			31,850				252,208
Unipol Gruppo			60,109				306,855
							1,473,086
Japan — 14.5%
Amada Holdings			25,000				268,331
Astellas Pharma			15,000				270,015
Ebara			10,000				283,789
JFE Holdings			22,500				273,061
KDDI			15,000				452,817
Mitsubishi Gas Chemical			20,000				311,938
Nippon Telegraph & Telephone			15,000				385,746
NTT DOCOMO			12,870				369,038
NuFlare Technology *			2,500				273,637
Shinsei Bank *			20,000				311,938
Sompo Holdings			7,500				286,074
Tokio Marine Holdings			7,500				414,263

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Foreign Shareholder Yield ETF ● January 31, 2020 (unaudited)

 

  

Description		Shares				Value
Z Holdings			92,500			$	373,910
							4,274,557
Netherlands — 4.8%
Aegon			62,850				255,744
ASR Nederland			5,715				213,218
Koninklijke Ahold Delhaize			17,475				430,252
Randstad			5,266				303,461
Signify			6,511				217,498
							1,420,173
Norway — 0.8%
Telenor			12,628				229,208
Portugal — 1.5%
EDP - Energias de Portugal			86,093				431,959
Spain — 0.8%
Repsol			17,950				248,147
Sweden — 3.9%
JM			10,891				333,284
Peab, Cl B			28,783				289,418
SSAB, Cl B			96,700				279,144
Telia			58,455				250,472
							1,152,318
Switzerland — 1.6%
Zurich Insurance Group			1,100				457,610
United Kingdom — 19.5%
Anglo American			6,900				180,917
Aviva			51,475				270,803
Babcock International Group			23,375				181,743
Bellway			6,600				347,304
Berkeley Group Holdings			3,050				211,042
Direct Line Insurance Group			45,607				203,436
Glencore *			80,750				237,252
HSBC Holdings			33,918				247,144
Kingfisher			56,361				151,826
Legal & General Group			75,958				306,424
Lloyds Banking Group			455,050				341,247
Man Group			171,900				349,343
Persimmon			12,850				518,045
Redrow			33,825				355,093
Rio Tinto			6,806				367,042

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Foreign Shareholder Yield ETF ● January 31, 2020 (unaudited)

 

  

Description		Shares				Value
Royal Dutch Shell, Cl A			8,800			$	231,757
Royal Mail			50,548				132,296
Standard Life Aberdeen			73,425				292,327
Taylor Wimpey			129,375				367,476
Vodafone Group			87,728				172,956
WPP			21,825				272,348
							5,737,821
Total Common Stock
(Cost $29,527,894)							28,409,574
SHORT-TERM INVESTMENT — 0.7%
Invesco Treasury Portfolio
Institutional Class, 1.470%  (B)(C)			207,452				207,452
Total Short-Term Investments
(Cost $207,452)							207,452
Total Investments - 97.3%
(Cost $29,735,346)						$	28,617,026
Other Assets and Liabilities - 2.7%							783,608
Net Assets - 100.0%						$	29,400,635

 

Percentages based on Net Assets.

 

*	Non-income producing security.
(A)	This security or a partial position of this security is on loan at January 31, 2020.  The total value of securities on loan at January 31, 2020 was $196,734.
(B)	This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of January 31, 2020 was $207,452.
(C)	Rate shown is the 7-day effective yield as of January 31, 2020.

 

Cl — Class

 

As of January 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.

 

As of January 31, 2020, there were no transfers in or out of level 3.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

CIM-QH-002-1300

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Global Value ETF ● January 31, 2020 (unaudited)

 

 

Description		Shares				Value
COMMON STOCK — 95.2%
Brazil — 7.9%
AMBEV *			240,072			$	1,000,627
Banco do Brasil *			183,906				2,074,128
Banco Santander Brasil			163,601				1,596,051
Cia Siderurgica Nacional			421,837				1,276,562
Cosan			119,138				2,221,354
JBS			442,766				2,850,385
Vale *			131,952				1,552,268
							12,571,375
Czech Republic — 6.5%
CEZ			86,062				1,884,607
Erste Group Bank *			38,223				1,393,347
Komercni Banka			48,015				1,654,230
Moneta Money Bank			438,948				1,606,857
PFNonwovens *			56,307				1,678,696
Philip Morris CR			3,151				2,133,777
							10,351,514
Greece — 8.7%
Alpha Bank AE *			31,247				62,863
Athens Water Supply & Sewage			148,645				1,226,523
Bank of Greece			80,556				1,420,520
FF Group *(A) (B)			25,407				—
Hellenic Petroleum			170,839				1,498,704
Hellenic Telecommunications Organization			77,586				1,161,635
Holding ADMIE IPTO			169,781				435,906
Intralot -Integrated Lottery Systems & Services *			554,439				225,669
JUMBO			66,099				1,346,655
Karelia Tobacco			5,753				1,850,311
Motor Oil Hellas Corinth Refineries			126,588				2,695,542
Mytilineos			94,530				972,904
National Bank of Greece *			3,877				12,401
Piraeus Bank *			878				3,137
Public Power *			169,781				788,961
							13,701,731
Italy — 8.5%
Atlantia			57,460				1,412,810
Enel			322,361				2,808,284
Eni			92,446				1,297,794
Intesa Sanpaolo			619,875				1,543,724
Saipem *			56,176				233,509
Telecom Italia *			2,755,645				1,487,737
UniCredit			112,101				1,502,106

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Global Value ETF ● January 31, 2020 (unaudited)

 

  

Description		Shares				Value
Unipol Gruppo			312,596			$	1,595,794
UnipolSai			584,608				1,569,034
							13,450,792
Norway — 6.8%
Aker Solutions *			262,128				530,500
DNB			74,945				1,318,756
Equinor			58,382				1,060,948
Gjensidige Forsikring			58,743				1,283,693
Norsk Hydro			251,140				792,086
PGS *			396,285				765,604
Storebrand			212,079				1,634,756
Telenor			58,926				1,069,553
TGS Nopec Geophysical			51,250				1,309,952
Yara International			25,249				920,696
							10,686,544
Poland — 6.5%
Bank Millennium *			323,769				496,364
Bank Polska Kasa Opieki			32,746				836,536
CCC			16,108				403,059
Grupa Lotos			79,491				1,578,516
ING Bank Slaski			16,496				864,278
KGHM Polska Miedz *			35,129				826,874
PGE Polska Grupa Energetyczna *			385,134				681,890
Polski Koncern Naftowy ORLEN			36,597				714,645
Polskie Gornictwo Naftowe i Gazownictwo			609,357				565,863
Powszechna Kasa Oszczednosci Bank Polski			94,905				837,955
Powszechny Zaklad Ubezpieczen			87,987				913,354
Santander Bank Polska			9,377				693,132
Tauron Polska Energia *			2,055,573				788,371
							10,200,837
Portugal — 8.4%
Altri SGPS			70,035				433,413
Corticeira Amorim SGPS			444,017				5,328,184
CTT-Correios de Portugal			27,834				90,386
EDP - Energias de Portugal			443,366				2,224,525
Galp Energia SGPS			124,316				1,880,589
Jeronimo Martins SGPS			40,878				704,746
Mota-Engil SGPS			80,832				151,414
Navigator			66,645				239,478
NOS SGPS			41,244				214,163
Pharol SGPS * (C)			805,485				90,762
REN - Redes Energeticas Nacionais SGPS			101,725				307,994

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Global Value ETF ● January 31, 2020 (unaudited)

 

  

Description		Shares				Value
Semapa-Sociedade de Investimento e Gestao			119,053			$	1,661,014
							13,326,668
Russia — 8.4%
Alrosa PJSC			1,663,728				2,086,897
Gazprom Neft PJSC			441,140				3,080,304
Gazprom PJSC			491,419				1,742,400
Rosneft PJSC			260,848				1,960,312
Sberbank of Russia PJSC			378,887				1,494,511
Severstal PJSC			109,326				1,558,393
Unipro PJSC			29,536,652				1,359,090
							13,281,907
Singapore — 7.7%
CapitaLand			534,300				1,417,387
City Developments			205,500				1,596,292
ComfortDelGro			739,800				1,176,437
Golden Agri-Resources			5,452,600				839,107
Jardine Cycle & Carriage			54,800				1,173,425
Oversea-Chinese Banking			164,400				1,304,743
SATS			369,900				1,236,072
Sembcorp Industries			616,500				957,775
Singapore Airlines			191,800				1,201,737
United Overseas Bank			68,500				1,288,077
							12,191,052
Spain — 9.1%
Acciona			17,573				1,995,714
Banco Bilbao Vizcaya Argentaria			142,117				735,827
Banco Santander			197,425				778,165
CaixaBank			284,044				831,653
Enagas			46,606				1,257,065
Endesa			55,086				1,513,281
Ferrovial			62,617				1,990,311
Iberdrola (C)			210,057				2,299,358
Mapfre			435,709				1,117,215
Naturgy Energy Group			68,395				1,805,318
							14,323,907
Turkey — 9.3%
Akbank T.A.S. *			1,154,495				1,593,405
Eregli Demir ve Celik Fabrikalari			829,490				1,293,144
Haci Omer Sabanci Holding			922,727				1,503,252
KOC Holding			442,698				1,445,393
Petkim Petrokimya Holding *			2,024,392				1,363,182
Turkiye Halk Bankasi *			1,195,714				1,382,571
Turkiye Is Bankasi, Cl C *			1,252,367				1,517,133

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Global Value ETF ● January 31, 2020 (unaudited)

 

  

Description		Shares				Value
Turkiye Sise ve Cam Fabrikalari			1,142,582			$	1,061,491
Turkiye Vakiflar Bankasi TAO, Cl D *			1,731,889				1,909,932
Yapi ve Kredi Bankasi *			3,445,456				1,709,846
							14,779,349
United Kingdom — 7.4%
Anglo American			45,661				1,197,223
Aviva			226,888				1,193,627
BP			172,546				1,040,576
British American Tobacco			31,837				1,411,516
BT Group, Cl A			427,813				909,079
HSBC Holdings			148,349				1,080,946
Legal & General Group			355,070				1,432,396
Rio Tinto			21,705				1,170,532
Rolls-Royce Holdings			109,689				970,455
Vodafone Group			686,727				1,353,885
							11,760,235
Total Common Stock
(Cost $162,285,790)							150,625,911
PREFERRED STOCK — 2.7%
Brazil — 2.7%
Banco Bradesco*(D)			260,306				1,993,657
Cia Energetica de Minas Gerais(D)			299,780				1,047,193
Telefonica Brasil(D)			92,417				1,287,226
Total Preferred Stock
(Cost $4,467,698)							4,328,076
SHORT-TERM INVESTMENT — 0.1%
Invesco Treasury Portfolio
Institutional Class, 1.470%  (E)(F)			100,309				100,309
Total Short-Term Investments
(Cost $100,309)							100,309
Total Investments - 98.0%
(Cost $166,853,797)						$	155,054,296
Other Assets and Liabilities - 2.0%							3,131,559
Net Assets - 100.0%						$	158,185,856

 

Percentages based on Net Assets.

 

Cl — Class

PJSC — Private Joint Stock Company

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Global Value ETF ● January 31, 2020 (unaudited)

  

*	Non-income producing security.
(A)	Level 3 security in accordance with fair value hierarchy.
(B)	Securities considered illiquid. The total value of such securities as of January 31, 2020 was $0 and represented 0.0% of Net Assets.
(C)	This security or a partial position of this security is on loan at January 31, 2020.  The total value of securities on loan at January 31, 2020 was $92,540.
(D)	There is currently no rate available.
(E)	This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of January 31, 2020 was $100,309.
(F)	Rate shown is the 7-day effective yield as of January 31, 2020.

 

The following is a list of the inputs used as of January 31, 2020, in valuing the Fund’s investments and other financial instruments carried at market value:

 

Investments in Securities		Level 1				Level 2				Level 3(1)				Total
Common Stock
Brazil		$	12,571,375			$	—			$	—			$	12,571,375
Czech Republic			10,351,514				—				—				10,351,514
Greece			13,701,731				—				—				13,701,731
Italy			13,450,792				—				—				13,450,792
Norway			10,686,544				—				—				10,686,544
Poland			10,200,837				—				—				10,200,837
Portugal			13,326,668				—				—				13,326,668
Russia			13,281,907				—				—				13,281,907
Singapore			12,191,052				—				—				12,191,052
Spain			14,323,907				—				—				14,323,907
Turkey			14,779,349				—				—				14,779,349
United Kingdom			11,760,235				—				—				11,760,235
Total Common Stock			150,625,911				—				—				150,625,911
Preferred Stock
Brazil			4,328,076				—				—				4,328,076
Short-Term Investment			100,309				—				—				100,309
Total Investments in Securities		$	155,054,296			$	–			$	–			$	155,054,296

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

(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.

 

As of January 31, 2020, there were no transfers in or out of level 3. 

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

CIM-QH-003-1200

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Global Momentum ETF ● January 31, 2020 (unaudited)

 

 

Description		Shares				Value
EXCHANGE TRADED FUNDS — 98.5%
United States — 98.5%
Affiliated ETF — 22.8%
Cambria Emerging Shareholder Yield ETF‡			186,592			$	5,707,066
Cambria Foreign Shareholder Yield ETF‡			234,760				5,485,167
Cambria Global Value ETF‡			257,950				5,919,952
Cambria Shareholder Yield ETF‡			140,855				5,331,362
							22,443,547
Equity ETF — 69.3%
Invesco DB Precious Metals Fund			155,560				6,701,945
iShares Global Consumer Staples ETF			108,046				5,972,783
iShares Global Financials ETF(A)			89,936				5,960,059
iShares Global Healthcare ETF(A)			93,905				6,359,247
iShares Global Industrials ETF(A)			63,448				6,102,429
iShares Global Infrastructure ETF			124,144				6,020,984
iShares Global Tech ETF			31,112				6,700,591
iShares Global Utilities ETF			97,412				6,058,052
Vanguard FTSE All World ex-US Small-Capital ETF(A)			55,825				5,968,251
Vanguard Real Estate ETF			65,364				6,139,640
Vanguard Total Stock Market ETF			38,038				6,219,974
							68,203,955
Fixed Income ETF — 6.4%
Vanguard Long-Term Bond ETF			59,766				6,316,071
Total Exchange Traded Funds
(Cost $94,020,745)							96,963,573
SHORT-TERM INVESTMENT — 4.8%
Invesco Treasury Portfolio
Institutional Class, 1.470%  (B)(C)			4,693,515				4,693,515
Total Short-Term Investments
(Cost $4,693,515)							4,693,515
Total Investments - 103.3%
(Cost $98,714,260)						$	101,657,088
Other Assets and Liabilities - (3.3)%							(3,218,833	)
Net Assets - 100.0%						$	98,438,255

 

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, 2020.  The total value of securities on loan at January 31, 2020 was $4,507,988.
(B)	This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of January 31, 2020 was $4,693,515.
(C)	Rate shown is the 7-day effective yield as of January 31, 2020.

 

Transactions with affiliated companies during the period ended January 31, 2020 are as follows:

 

												Change in
												Unrealized
Value at				Purchases				Proceeds				Appreciation				Realized				Value at				Shares at				Dividend
4/30/2019				at Cost				from Sales				(Depreciation)				Gain (Loss)				1/31/2020				of 1/31/2020				Income
Cambria Emerging Shareholder Yield ETF
$	-			$	7,981,625			$	(2,003,936	)		$	(20,459	)		$	(250,164	)		$	5,707,066				186,592			$	208,117
Cambria Foreign Shareholder Yield ETF
	-				5,918,475				(369,334	)			8,543				(72,517	)			5,485,167				234,760				44,031
Cambria Global Value ETF
	-				13,622,532				(6,829,448	)			(582,326	)			(290,806	)			5,919,952				257,950				-
Cambria Shareholder Yield ETF
	-				13,081,340				(7,284,831	)			(336,067	)			(129,080	)			5,331,362				140,855				33,864
$	-			$	40,603,972			$	(16,487,549	)		$	(930,309	)		$	(742,567	)		$	22,443,547				820,157			$	286,012

 

Cl — Class

ETF —  Exchange Traded Fund

FTSE — Financial Times Stock Exchange

 

As of January 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.

 

As of January 31, 2020, there were no transfers in or out of level 3.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

CIM-QH-004-1100 

 

Cambria Investment Management

Schedule of Investments ● Cambria Global Asset Allocation ETF ● January 31, 2020 (unaudited)

 

 

Description		Shares				Value
EXCHANGE TRADED FUNDS — 99.3%
United States — 99.3%
Affiliated ETF — 31.6%
Cambria Emerging Shareholder Yield ETF‡ (A)			173,981			$	5,321,348
Cambria Foreign Shareholder Yield ETF‡ (A)			118,770				2,775,061
Cambria Global Value ETF‡			144,763				3,322,311
Cambria Shareholder Yield ETF‡			99,106				3,751,162
Cambria Sovereign Bond ETF‡			188,415				4,756,537
							19,926,419
Equity ETF — 31.2%
Alpha Architect International Quantitative Momentum ETF(A)			48,937				1,298,299
Alpha Architect Value Momentum Trend ETF			47,787				1,166,791
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF			260,186				3,936,614
iShares Edge MSCI USA Momentum Factor ETF			23,553				3,068,014
Schwab U.S. REIT ETF(A)			44,140				2,036,620
Schwab U.S. TIPS ETF(A)			32,384				1,872,767
Vanguard Global ex-U.S. Real Estate ETF			31,786				1,828,013
Vanguard Mid-Capital ETF			8,388				1,490,883
Vanguard Total Stock Market ETF			18,183				2,973,284
							19,671,285
Fixed Income ETF — 36.5%
iShares Short Treasury Bond ETF			10,405				1,151,105
SPDR FTSE International Government Inflation-Protected Bond ETF			33,031				1,827,935
VanEck Vectors Emerging Markets High Yield Bond ETF(A)			102,690				2,471,748
VanEck Vectors International High Yield Bond ETF(A)			48,977				1,232,261
Vanguard Intermediate-Term Corporate Bond ETF			20,843				1,945,486
Vanguard Intermediate-Term Treasury ETF			36,409				2,452,510
Vanguard Long-Term Treasury ETF			30,814				2,752,923
Vanguard Short-Term Corporate Bond ETF			14,742				1,205,453
Vanguard Total Bond Market ETF			58,079				4,966,916
Vanguard Total International Bond ETF(A)			51,846				2,988,922
							22,995,259
Total Exchange Traded Funds
(Cost $62,089,315)							62,592,963

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Global Asset Allocation ETF ● January 31, 2020 (unaudited)

 

  

Description		Shares				Value
SHORT-TERM INVESTMENT — 8.4%
Invesco Treasury Portfolio
Institutional Class, 1.470%  (B)(C)			5,279,510			$	5,279,510
Total Short-Term Investments
(Cost $5,279,510)							5,279,510
Total Investments - 107.7%
(Cost $67,368,825)						$	67,872,473
Other Assets and Liabilities - (7.7)%							(4,863,207	)
Net Assets - 100.0%						$	63,009,267

 

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, 2020.  The total value of securities on loan at January 31, 2020 was $5,138,986.
(B)	This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of January 31, 2020 was $5,279,510.
(C)	Rate shown is the 7-day effective yield as of January 31, 2020.

 

Transactions with affiliated companies during the period ended January 31, 2020 are as follows:

 

												Change in
Value at				Purchases				Proceeds				Unrealized				Realized				Value at				Shares at				Dividend
4/30/2019				at Cost				from Sales				Appreciation				Gain (Loss)				1/31/2020				of 1/31/2020				Income
Cambria Emerging Shareholder Yield ETF
$	5,756,475			$	360,232			$	(602,882	)		$	117,386			$	(309,863	)		$	5,321,348				173,981			$	238,266
Cambria Foreign Shareholder Yield ETF
	2,917,359				183,190				(303,268	)			23,352				(45,572	)			2,775,061				118,770				87,875
Cambria Global Value ETF
	3,484,839				219,581				(370,237	)			46,815				(58,687	)			3,322,311				144,763				97,981
Cambria Shareholder Yield ETF
	3,871,820				252,148				(407,221	)			64,676				(30,261	)			3,751,162				99,106				64,831
Cambria Sovereign Bond ETF
	4,882,337				309,000				(536,497	)			15,057				86,640				4,756,537				188,415				182,468
$	20,912,830			$	1,324,151			$	(2,220,105	)		$	267,286			$	(357,743	)		$	19,926,419				725,035			$	671,421

 

ETF —  Exchange Traded Fund

FTSE — Financial Times Stock Exchange

MSCI — Morgan Stanley Capital International

REIT — Real Estate Investment Trust

SPDR — Standard & Poor’s Depositary Receipt

TIPS— Treasury Inflation Protected Security

 

As of January 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.

 

As of January 31, 2020, there were no transfers in or out of level 3.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

CIM-QH-005-1200

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Value and Momentum ETF ● January 31, 2020 (unaudited)

 

 

Description		Shares				Value
COMMON STOCK — 95.2%
Communication Services — 3.7%
AT&T			3,040			$	114,365
Gray Television*			6,210				125,939
TEGNA			9,438				159,502
Tribune Publishing			9,940				124,846
							524,652
Consumer Discretionary — 25.1%
Adient*			5,077				130,530
AutoNation*			2,265				96,127
Beazer Homes USA*			7,856				108,020
Carvana, Cl A*			2,012				159,451
Cato, Cl A			6,541				104,918
Gentex			4,179				124,409
Group 1 Automotive			1,340				135,032
Hibbett Sports*			5,305				131,458
Lennar, Cl A			2,109				139,953
Lithia Motors, Cl A			871				118,142
M/I Homes*			3,012				133,703
MDC Holdings			3,250				136,955
Meritage Homes*			2,064				146,462
OneSpaWorld Holdings			7,024				105,430
Overstock.com*			9,534				77,416
PulteGroup			3,242				144,755
Rent-A-Center, Cl A			6,303				183,605
Rubicon Project*			12,673				118,619
Skechers U.S.A., Cl A*			4,011				149,971
Sonic Automotive, Cl A			3,806				120,384
Stamps.com*			1,666				124,101
Target			1,381				152,932
Taylor Morrison Home, Cl A*			4,490				116,201
TopBuild*			1,172				134,206
Winnebago Industries			2,730				149,495
XPEL*			10,225				169,735
Zumiez*			3,712				115,703
							3,527,713
Consumer Staples — 3.1%
Ingles Markets, Cl A			2,888				120,401
John B Sanfilippo & Son			1,183				99,727
Sanderson Farms			777				106,985
Tyson Foods, Cl A			1,272				105,105
							432,218

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Value and Momentum ETF ● January 31, 2020 (unaudited)

 

  

Description		Shares				Value
Energy — 9.5%
Cosan, Cl A*			11,636			$	257,040
CVR Energy			3,197				110,648
Dorian LPG*			10,636				139,544
Dril-Quip*			2,120				86,708
Green Plains*			8,204				102,304
Helix Energy Solutions Group*			17,265				143,990
Phillips 66			1,162				106,172
Teekay Tankers, Cl A*			6,118				99,662
Valero Energy			1,372				115,673
World Fuel Services			4,527				177,096
							1,338,837
Financials — 19.7%
Aflac			2,243				115,672
Arch Capital Group*			4,160				183,706
Ares Capital			6,415				120,730
Assured Guaranty			2,630				120,559
Cannae Holdings*			6,578				267,462
Cincinnati Financial			1,284				134,756
eHealth*			2,641				277,727
Employers Holdings			2,392				102,019
Essent Group			3,039				150,765
Hanover Insurance Group			898				124,445
NMI Holdings, Cl A*			5,077				162,058
Old Republic International			10,304				232,354
Radian Group			6,386				156,393
RenaissanceRe Holdings			938				177,695
Selective Insurance Group			1,632				108,120
Voya Financial			2,669				159,419
WR Berkley			2,362				173,678
							2,767,558
Health Care — 0.6%
Anika Therapeutics*			2,146				88,222
Industrials — 19.4%
AGCO			1,932				135,510
Arcosa			2,835				124,031
BMC Stock Holdings*			4,907				143,211
Builders FirstSource*			5,517				136,794
Construction Partners, Cl A*			7,412				124,372
Cummins			859				137,414
Delta Air Lines			1,907				106,296
EMCOR Group			1,210				99,426
Foundation Building Materials*			7,077				126,183

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Value and Momentum ETF ● January 31, 2020 (unaudited)

 

  

Description		Shares				Value
FTI Consulting*			2,590			$	310,956
GMS*			3,918				104,689
Jacobs Engineering Group			1,247				115,385
KAR Auction Services			4,546				95,557
Kimball International, Cl B			5,846				109,788
ManpowerGroup			1,084				99,175
MasTec*			1,754				101,294
NOW*			9,092				91,011
Oshkosh			1,238				106,518
Quanta Services			2,678				104,844
Saia*			1,179				102,691
Steelcase, Cl A			6,612				123,049
Universal Forest Products			2,833				135,701
							2,733,895
Information Technology — 11.6%
Anixter International*			1,484				144,838
Benchmark Electronics			3,858				118,749
Canadian Solar*			7,089				142,134
Fabrinet*			1,925				121,352
KBR			7,059				192,005
KEMET			4,942				128,690
Micron Technology*			2,316				122,956
Sanmina*			4,617				147,005
Tech Data*			1,333				191,873
Ultra Clean Holdings*			7,636				175,705
Xerox Holdings			4,158				147,900
							1,633,207
Materials — 2.5%
Advanced Emissions Solutions(A)			8,004				91,166
Commercial Metals			6,034				123,999
Reliance Steel & Aluminum			1,134				130,182
							345,347
Total Common Stock
(Cost $11,601,199)							13,391,649
SHORT-TERM INVESTMENT — 0.5%
Invesco Treasury Portfolio
Institutional Class, 1.470%  (B)(C)			69,000				69,000
Total Short-Term Investments
(Cost $69,000)							69,000

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Value and Momentum ETF ● January 31, 2020 (unaudited)

 

 

Description		Shares				Value
Total Investments - 95.7%
(Cost $11,670,199)						$	13,460,649
Other Assets and Liabilities - 4.3%							604,402
Net Assets - 100.0%						$	14,065,051

 

Percentages based on Net Assets.

 

*	Non-income producing security.
(A)	This security or a partial position of this security is on loan at January 31, 2020.  The total value of securities on loan at January 31, 2020 was $68,340.
(B)	This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of January 31, 2020 was $69,000.
(C)	Rate shown is the 7-day effective yield as of January 31, 2020.

 

Cl — Class

PLC —  Public Limited Company

S&P —  Standard & Poor’s

 

The open futures contracts held by the Fund January 31, 2020, is as follows:

 

Type of Contract		Number of Contracts Short		Expiration Date		Notional Amount				Value				Unrealized Depreciation
S&P 500 Index E-MINI		50		Mar-2020		$	(5,611,228	)		$	(5,642,000	)		$	(30,772	)

 

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

 

As of January 31, 2020, there were no transfers in or out of level 3.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

CIM-QH-006-0900

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Sovereign Bond ETF ● January 31, 2020 (unaudited)

 

 

Description				Face Amount(1)				Value
SOVEREIGN DEBT — 87.4%
Argentina — 0.8%
Argentine Bonos del Tesoro
18.200%, 10/03/21		ARS		$	7,807,548			$	62,988
16.000%, 10/17/23		ARS			7,741,104				47,510
15.500%, 10/17/26		ARS			7,416,423				41,071
									151,569
Australia — 3.8%
Queensland Treasury
5.750%, 07/22/24		AUD			609,000				493,102
4.750%, 07/21/25 (A)		AUD			289,000				231,543
									724,645
Brazil — 5.3%
Brazilian Government International Bond
8.500%, 01/05/24		BRL			3,850,000				997,875
Chile — 2.7%
Bonos de la Tesoreria de la Republica en pesos
6.000%, 01/01/24		CLP			210,000,000				297,153
4.500%, 03/01/26		CLP			160,000,000				216,948
									514,101
Colombia — 3.9%
Colombian TES
11.000%, 07/24/20		COP			741,000,000				223,428
7.500%, 08/26/26		COP			812,500,000				263,877
7.000%, 05/04/22		COP			819,000,000				250,789
									738,094
Croatia — 2.9%
Croatia Government International Bond
6.000%, 01/26/24		USD			140,000				160,888
5.500%, 04/04/23		USD			350,000				386,583
									547,471
Greece — 3.7%
Hellenic Republic Government International Bond
3.000%,3.650%, 02/24/2024, 02/24/2024  (B)		EUR			560,916				702,696
Hungary — 3.2%
Hungary Government International Bond
6.000%, 11/24/23		HUF			67,200,000				264,601
5.500%, 06/24/25		HUF			82,700,000				333,082
									597,683
Indonesia — 3.8%
Indonesia Treasury Bond
8.375%, 03/15/24		IDR			6,390,000,000				508,673
7.000%, 05/15/27		IDR			2,760,000,000				206,423
									715,096

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Sovereign Bond ETF ● January 31, 2020 (unaudited)

 

  

Description				Face Amount(1)				Value
Italy — 2.5%
Italy Buoni Poliennali Del Tesoro
2.800%, 12/01/28		EUR			357,000			$	464,149
Malaysia — 3.9%
Malaysia Government International Bond
4.498%, 04/15/30		MYR			1,055,000				285,555
4.392%, 04/15/26		MYR			158,000				41,386
4.181%, 07/15/24		MYR			1,442,000				368,796
Malaysia Government Investment Issue
4.070%, 09/30/26		MYR			158,000				40,709
									736,446
Mexico — 6.9%
Mexican Bonos
10.000%, 12/05/24		MXN			2,828,882				170,917
8.500%, 05/31/29		MXN			8,906,716				531,660
7.500%, 06/03/27		MXN			10,786,298				599,792
									1,302,369
New Zealand — 2.7%
New Zealand Government International Bond
4.500%, 04/15/27		NZD			643,000				509,095
Peru — 4.8%
Peruvian Government International Bond
4.125%, 08/25/27		USD			798,000				909,321
Philippines — 3.3%
Philippine Government International Bond
8.000%, 07/19/31		PHP			23,853,684				616,597
Poland — 3.8%
Poland Government International Bond
5.750%, 04/25/29		PLN			962,000				326,075
3.250%, 07/25/25		PLN			693,000				191,076
2.500%, 07/25/26		PLN			756,000				200,511
									717,662
Romania — 3.5%
Romania Government International Bond
5.850%, 04/26/23		RON			630,000				155,597
5.800%, 07/26/27		RON			1,470,000				377,628
4.750%, 02/24/25		RON			500,000				120,383
									653,608
Russia — 6.8%
Russian Federal Bond - OFZ
7.600%, 04/14/21		RUB			26,859,000				431,088
7.600%, 07/20/22		RUB			11,343,000				186,012
7.000%, 01/25/23		RUB			40,845,000				664,361
									1,281,461

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Sovereign Bond ETF ● January 31, 2020 (unaudited)

 

  

Description				Face Amount(1)				Value
South Africa — 6.9%
South Africa Government International Bond
8.250%, 03/31/32		ZAR			4,456,473			$	272,649
8.000%, 01/31/30		ZAR			16,510,788				1,029,434
									1,302,083
Thailand — 4.1%
Thailand Government International Bond
3.625%, 06/16/23		THB			22,143,000				768,689
Turkey — 8.1%
Turkey Government International Bond
10.700%, 02/17/21		TRY			4,431,000				747,045
8.500%, 09/14/22		TRY			4,641,000				755,309
									1,502,354
Total Sovereign Debt
(Cost $17,744,765)									16,453,064
U.S. TREASURY OBLIGATION — 9.6%
U.S. Treasury Notes
2.250%, 02/15/27					1,716,500				1,810,237
Total U.S. Treasury Obligations
(Cost $1,678,068)									1,810,237
Total Investments - 97.0%
(Cost $19,422,833)								$	18,263,301
Other Assets and Liabilities - 3.0%									563,686
Net Assets - 100.0%								$	18,826,987

 

Percentages based on Net Assets.

 

(1)	In U.S. dollars unless otherwise indicated.

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Sovereign Bond ETF ● January 31, 2020 (unaudited)

 

(A)

Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities are deemed to be liquid by the Board of Trustees. The total value of such securities at January 31, 2020 was $231,543 and represents 1.2% of Net Assets.

(B)

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

 

ARS — Argentine Peso

AUD — Australian Dollar

BRL — Brazilian Real

CLP — Chilean Peso

COP — Colombian Peso

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

THB — Thailand Baht

TRY — Turkish Lira

ZAR — South African Rand

 

As of January 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.

 

As of January 31, 2020, there were no transfers in or out of level 3.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

CIM-QH-007-0800

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Emerging Shareholder Yield ETF ● January 31, 2020 (unaudited)

 

 

Description		Shares				Value
COMMON STOCK — 98.8%
Brazil — 11.5%
Cia de Saneamento Basico do Estado de Sao Paulo *			26,400			$	376,650
Cyrela Brazil Realty Empreendimentos e Participacoes			74,400				555,751
Direcional Engenharia			96,000				366,730
Duratex			108,000				397,693
MRV Engenharia e Participacoes			86,400				421,852
Qualicorp Consultoria e Corretora de Seguros			67,200				648,996
Ser Educacional			60,000				432,074
SLC Agricola			96,000				511,316
YDUQS Part			43,200				534,628
							4,245,690
China — 0.7%
China Petroleum & Chemical ADR			4,695				246,159
Colombia — 1.1%
Banco de Bogota			15,960				415,333
Czech Republic — 1.0%
O2 Czech Republic			35,304				364,038
Greece — 3.9%
Aegean Airlines			39,384				366,030
Hellenic Petroleum			43,776				384,030
JUMBO			13,732				279,766
Motor Oil Hellas Corinth Refineries			20,064				427,239
							1,457,065
Hong Kong — 15.8%
China Lilang			480,000				342,389
China Medical System Holdings			264,000				354,873
China Merchants Bank, Cl H			55,430				270,491
China National Building Material, Cl H			356,571				344,790
China Telecom, Cl H			1,152,000				450,915
CNOOC			288,000				439,791
Fufeng Group			678,858				263,970
Great Wall Motor, Cl H			492,000				329,411
Greatview Aseptic Packaging			666,286				265,945
Greenland Hong Kong Holdings			1,032,000				394,644
Industrial & Commercial Bank of China, Cl H			504,000				338,743
Lenovo Group			352,001				232,504
PICC Property & Casualty, Cl H			288,000				311,117
Shenzhen Expressway, Cl H			336,000				436,083
Sinopec Shanghai Petrochemical ADR			8,242				210,006
West China Cement			2,139,429				347,087
Yanzhou Coal Mining, Cl H			361,144				268,768
Zhejiang Expressway, Cl H			319,999				262,868
							5,864,395

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Emerging Shareholder Yield ETF ● January 31, 2020 (unaudited)

 

  

Description		Shares				Value
Hungary — 0.6%
Magyar Telekom Telecommunications			157,313			$	234,779
Indonesia — 0.9%
Gudang Garam			83,885				342,635
Mexico — 0.8%
Nemak			705,600				293,136
Russia — 11.4%
Alrosa PJSC			292,800				367,274
Center for Cargo Container Traffic TransContainer PJSC			7,666				1,031,126
Gazprom Neft PJSC			89,280				623,407
Gazprom PJSC			169,200				599,924
LUKOIL PJSC			6,864				703,227
Novolipetsk Steel PJSC			183,360				395,756
Severstal PJSC			34,080				485,795
							4,206,509
South Africa — 11.4%
African Rainbow Minerals			60,768				683,901
Assore			22,128				361,603
Astral Foods			22,560				299,292
BHP Group			21,648				469,813
Kumba Iron Ore			23,712				552,239
Momentum Metropolitan Holdings			262,368				349,451
Nedbank Group			29,640				386,504
Reunert			67,910				277,776
RMB Holdings			100,109				491,790
Telkom SOC			90,701				194,957
Truworths International			52,186				153,340
							4,220,666
South Korea — 3.9%
Huchems Fine Chemical			25,032				409,552
Hyundai Mobis			3,005				578,636
Kumho Industrial			26,888				213,642
Ssangyong Cement Industrial			59,377				247,352
							1,449,182

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Emerging Shareholder Yield ETF ● January 31, 2020 (unaudited)

 

  

Description		Shares				Value
Taiwan — 24.8%
Amazing Microelectronic			96,000			$	295,223
Asustek Computer			24,000				177,960
Aten International			120,000				333,675
Chenbro Micom			144,000				550,565
Chicony Electronics			120,000				341,223
Chong Hong Construction			216,000				600,616
CyberPower Systems			72,000				246,681
Formosa Chemicals & Fibre			144,000				404,701
GEM Services			105,600				210,788
Global Mixed Mode Technology			72,000				272,899
Innodisk			72,000				419,479
Iron Force Industrial Co			72,000				243,106
Micro-Star International			96,000				294,905
Nan Ya Plastics			192,000				442,993
Nanya Technology			120,000				310,239
Novatek Microelectronics			120,000				865,967
Powertech Technology			120,000				429,011
Radiant Opto-Electronics			96,000				333,675
SCI Pharmtech			96,000				312,384
Simplo Technology			48,000				510,048
Sitronix Technology			72,000				368,235
Tong Hsing Electronic Industries			72,000				361,084
Topco Scientific			96,000				343,209
Tripod Technology			96,000				357,509
Wistron NeWeb			72,000				168,506
							9,194,681
Thailand — 1.0%
Tisco Financial Group			110,400				364,812
Turkey — 10.0%
Dogan Sirketler Grubu Holding			1,449,120				493,956
Dogus Otomotiv Servis ve Ticaret			215,352				432,881
Enka Insaat ve Sanayi			645,504				760,399
Eregli Demir ve Celik Fabrikalari			238,272				371,457
Iskenderun Demir ve Celik			263,229				341,750
Tekfen Holding			154,680				497,530
Tofas Turk Otomobil Fabrikasi			76,704				338,358
Vestel Beyaz Esya Sanayi ve Ticaret			109,852				454,111
							3,690,442
Total Common Stock
(Cost $36,355,978)							36,589,522
Total Investments - 98.8%
(Cost $36,355,978)						$	36,589,522
Other Assets and Liabilities - 1.2%							426,471
Net Assets - 100.0%						$	37,015,993

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Emerging Shareholder Yield ETF ● January 31, 2020 (unaudited)

 

Percentages based on Net Assets.

 

* Non-income producing security.

 

ADR — American Depositary Receipt

Cl — Class

PJSC — Public Joint Stock Company

 

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

 

As of January 31, 2020, there were no transfers in or out of level 3.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

CIM-QH-008-0800

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Tail Risk ETF ● January 31, 2020 (unaudited)

 

 

Description		Face Amount				Value
U.S. TREASURY OBLIGATION — 95.5%
U.S. Treasury Notes
2.250%, 02/15/27		$	68,152,600			$	71,874,371
Total U.S. Treasury Obligations
(Cost $68,378,209)							71,874,371
Total Investments - 95.5%
(Cost $68,378,209)						$	71,874,371
Other Assets and Liabilities – 4.5%							3,387,436
Net Assets – 100.0%						$	75,261,807
Purchased Options— 3.2%(A)
Total Purchased Options
(Cost $4,762,509)							2,393,705

 

Percentages based on Net Assets.

 

(A)	Refer to table below for details on Options Contracts.

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Tail Risk ETF ● January 31, 2020 (unaudited)

 

A list of the exchange traded option contracts held by the Fund at January 31, 2020, is as follows:

 

		Contracts		Notional Amount				Value
PURCHASED OPTIONS - 3.2%
Put Options
SPX, Expires 03/21/2020, Strike Price $2,550		13		$	4,200,014			$	3,965
SPX, Expires 03/21/2020, Strike Price $2,600		38			12,276,964				13,680
SPX, Expires 03/21/2020, Strike Price $2,700		18			5,815,404				9,990
SPX, Expires 06/20/2020, Strike Price $2,600		144			46,523,232				254,160
SPX, Expires 06/20/2020, Strike Price $2,700		35			11,307,730				85,225
SPX, Expires 06/20/2020, Strike Price $3,000		54			17,446,212				331,830
SPX, Expires 09/19/2020, Strike Price $2,700		17			5,492,326				74,375
SPX, Expires 09/19/2020, Strike Price $2,800		6			1,938,468				33,990
SPX, Expires 09/19/2020, Strike Price $2,900		44			14,215,432				319,440
SPX, Expires 12/19/2020, Strike Price $2,700		42			13,569,276				267,750
SPX, Expires 12/19/2020, Strike Price $2,725		10			3,230,780				67,550
SPX, Expires 12/19/2020, Strike Price $2,825		17			5,492,326				143,565
SPX, Expires 12/19/2020, Strike Price $2,850		10			3,230,780				89,200
SPX, Expires 12/19/2020, Strike Price $3,000		50			16,153,900				610,750
SPX, Expires 06/19/2021, Strike Price $2,850		7			2,261,546				88,235
Total Purchased Options									2,393,705

  

The following is a list of the inputs used as of January 31, 2020 in valuing the Fund’s investments and other financial instruments carried at value:

 

Investments in Securities			Level 1				Level 2				Level 3				Total
U.S. Treasury Obligation		$	—			$	71,874,371			$	—			$	71,874,371
Total Investments in Securities		$	—			$	71,874,371			$	—			$	71,874,371

 

Other Financial Instruments			Level 1				Level 2				Level 3				Total
Purchased Options		$	2,393,705			$	—			$	—			$	2,393,705
Total Other Financial Instruments		$	2,393,705			$	—			$	—			$	2,393,705

 

As of January 31, 2020, there were no transfers in or out of level 3.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

CIM-QH-011-0600

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Trinity ETF ● January 31, 2020 (unaudited)

 

 

Description		Shares				Value
EXCHANGE TRADED FUNDS — 97.8%
United States — 97.8%
Affiliated ETF — 34.5%
Cambria Emerging Shareholder Yield ETF‡ (A)			80,984			$	2,476,960
Cambria Foreign Shareholder Yield ETF‡			106,317				2,484,097
Cambria Global Value ETF‡			110,390				2,533,451
Cambria Shareholder Yield ETF‡			64,774				2,451,696
Cambria Sovereign Bond ETF‡			84,345				2,129,290
Cambria Value and Momentum ETF‡			132,685				2,642,422
							14,717,916
Equity ETF — 30.9%
Invesco DB Precious Metals Fund			21,210				913,784
iShares Global Consumer Staples ETF			16,904				934,453
iShares Global Financials ETF			12,565				832,683
iShares Global Healthcare ETF			14,711				996,229
iShares Global Industrials ETF			9,966				958,530
iShares Global Infrastructure ETF			23,738				1,151,293
iShares Global Tech ETF			4,241				913,384
iShares Global Utilities ETF			18,872				1,173,650
Schwab U.S. TIPS ETF			15,785				912,847
Vanguard FTSE All World ex-US Small-Capital ETF			7,840				838,174
Vanguard Global ex-U.S. Real Estate ETF			15,190				873,577
Vanguard Real Estate ETF			19,133				1,797,163
Vanguard Total Stock Market ETF			5,215				852,757
							13,148,524
Fixed Income ETF — 19.8%
SPDR FTSE International Government Inflation-Protected Bond ETF			16,520				914,217
Vanguard Intermediate-Term Treasury ETF			54,810				3,692,001
Vanguard Long-Term Bond ETF			9,961				1,052,678
Vanguard Total Bond Market ETF			32,515				2,780,682
							8,439,578
Multi-Asset ETF — 12.6%
Alpha Architect Value Momentum Trend ETF			29,890				729,809
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF			95,970				1,452,026
JPMorgan Managed Futures ETF*			70,630				1,652,961
WisdomTree Managed Futures Strategy ETF			42,385				1,511,661
							5,346,457

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Trinity ETF ● January 31, 2020 (unaudited)

 

  

Description		Shares				Value
Total Exchange Traded Funds
(Cost $41,731,420)						$	41,652,475
SHORT-TERM INVESTMENT — 0.2%
Invesco Treasury Portfolio
Institutional Class, 1.470%  (B)(C)			86,400				86,400
Total Short-Term Investments
(Cost $86,400)							86,400
Total Investments - 98.0%
(Cost $41,817,820)						$	41,738,875
Other Assets and Liabilities - 2.0%							870,100
Net Assets - 100.0%						$	42,608,975

 

Percentages based on Net Assets.

 

*	Non-income producing security.
‡	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 (see Note 5).
(A)	This security or a partial position of this security is on loan at January 31, 2020.  The total value of securities on loan at January 31, 2020 was $82,582.
(B)	This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of January 31, 2020 was $86,400.
(C)	Rate shown is the 7-day effective yield as of January 31, 2020.

 

Transactions with affiliated companies during the period ended January 31, 2020 are as follows:

 

												Change in
												Unrealized
Value at				Purchases				Proceeds				Appreciation				Realized				Value at				Shares at				Dividend
4/30/2019				at Cost				from Sales				(Depreciation)				Gain (Loss)				1/31/2020				of 1/31/20				Income
Cambria Emerging Shareholder Yield ETF
$	1,258,094			$	1,352,176			$	(49,541	)		$	(89,707	)		$	5,938			$	2,476,960				80,984			$	77,003
Cambria Foreign Shareholder Yield ETF
	1,163,465				1,390,485				(45,620	)			(28,148	)			3,915				2,484,097				106,317				49,385
Cambria Global Momentum ETF
	9,821,327				2,369,817				(12,310,625	)			182,005				(62,524	)			-				-				129,673
Cambria Global Value ETF
	1,222,710				1,409,975				(48,802	)			(54,778	)			4,346				2,533,451				110,390				43,244
Cambria Shareholder Yield ETF
	1,141,920				1,379,897				(45,469	)			(30,886	)			6,234				2,451,696				64,774				29,353
Cambria Sovereign Bond ETF
	1,872,559				1,569,929				(1,337,193	)			(2,856	)			26,851				2,129,290				84,345				81,642
Cambria Value & Momentum ETF
	1,969,879				846,268				(76,852	)			(100,370	)			3,497				2,642,422				132,685				20,143
$	18,449,954			$	10,318,547			$	(13,914,102	)		$	(124,740	)		$	(11,743	)		$	14,717,916				579,495			$	430,443

 

ETF —  Exchange Traded Fund

FTSE — Financial Times Stock Exchange

SPDR — Standard & Poor’s Depositary Receipt

TIPS — Treasury Inflation Protected Securities

 

As of January 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.

 

As of January 31, 2020, there were no transfers in or out of level 3.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

CIM-QH-012-0300

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Cannabis ETF ● January 31, 2020 (unaudited)

 

 

Description		Shares				Value
COMMON STOCK — 96.4%
Consumer Discretionary — 3.8%
Greenlane Holdings, Cl A*			173,775			$	424,011
Consumer Staples — 29.2%
Altria Group			7,500				356,475
British American Tobacco			14,760				654,395
Constellation Brands, Cl A			3,705				697,651
CV Sciences*			159,390				145,778
Elixinol Global* (A)			137,325				70,782
Neptune Wellness Solutions* (A)			63,630				150,803
New Age Beverages*			83,325				144,986
Philip Morris International			4,320				357,264
Turning Point Brands			8,010				182,949
Universal			3,120				165,828
Village Farms International*			52,620				287,305
							3,214,216
Financials — 2.9%
Canopy Rivers* (A)			330,585				319,744
Health Care — 53.5%
Aphria* (A)			151,950				708,087
Aurora Cannabis* (A)			197,070				372,462
CannTrust Holdings* (A)			215,402				232,753
Canopy Growth* (A)			26,400				595,320
Charlottes Web Holdings* (A)			47,055				340,983
Corbus Pharmaceuticals Holdings*			31,350				202,835
Cronos Group* (A)			48,795				350,348
Emerald Health Therapeutics* (A)			252,600				57,262
Flowr*			180,210				232,854
Green Organic Dutchman Holdings* (A)			244,650				125,708
GW Pharmaceuticals ADR*			7,965				920,197
HEXO* (A)			83,145				103,931
MediPharm Labs*			231,030				490,550
Organigram Holdings* (A)			123,450				319,026
Supreme Cannabis* (A)			535,395				196,212
Tilray, Cl 2* (A)			17,460				306,248
Vivo Cannabis*			1,036,965				258,575
Weedmd*			152,025				87,305
							5,900,656
Materials — 4.0%
Scotts Miracle-Gro			3,615				443,705

 

 

Cambria Investment Management

Schedule of Investments ● Cambria Cannabis ETF ● January 31, 2020 (unaudited)

 

  

Description		Shares				Value
Real Estate — 3.0%
Innovative Industrial Properties, Cl A‡			3,645			$	326,227
Total Common Stock
(Cost $14,873,306)							10,628,559
SHORT-TERM INVESTMENT — 25.5%
Invesco Treasury Portfolio
Institutional Class, 1.470%  (B)(C)			2,810,340				2,810,340
Total Short-Term Investments
(Cost $2,810,340)							2,810,340
Total Investments - 121.9%
(Cost $17,683,646)						$	13,438,899
Other Assets and Liabilities - (21.9)%							(2,414,897	)
Net Assets - 100.0%						$	11,024,002

 

Percentages based on Net Assets.

  

*	Non-income producing security.
‡	Real Estate Investment Trust
(A)	This security or a partial position of this security is on loan at January 31, 2020.  The total value of securities on loan at January 31, 2020 was $2,599,302.
(B)	This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of January 31, 2020 was $2,810,340.
(C)	Rate shown is the 7-day effective yield as of January 31, 2020.

 

ADR — American Depositary Receipt

Cl — Class

 

As of January 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.

 

As of January 31, 2020, there were no transfers in or out of level 3.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements. 

 

CIM-QH-013-0200 

 

 

Item 2. 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 Investment Company Act of 1940, as amended (the “1940 Act”) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as amended as of a date within 90 days of the filing date of this report.

 

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act that occurred during the last fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

 

Certifications pursuant to Rule 30a-2(a) under the 1940 Act are attached hereto.

 

 

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.

 

	Cambria ETF Trust
By:	/s/ Mebane Faber
	Mebane Faber, President

 

Date: March 27, 2020

 

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:	/s/ Mebane Faber
	Mebane Faber, President
Date: March 27, 2020
By:	/s/ Eric Kleinschmidt
	Eric Kleinschmidt, Principal Financial Officer
Date: March 27, 2020