Cambria ETF Trust begun trading the Cambria Value and Momentum ETF (NYSEArca: VAMO) on Wednesday, September 09, 2015.
FUND INFORMATION:
| Symbol: VAMO | Exchange: NYSE Arca |
| Name: Cambria Value and Momentum ETF | Net Expense Ratio: 0.59% |
FUND OBJECTIVE:
The Cambria Value and Momentum ETF is an actively managed ETF which seeks income and capital appreciation from investments in the U.S. equity market. Specifically, VAMO invests in 100 stocks with market caps greater than US $200 million that rank among the highest in value factors, as well as momentum factors.The Fund then has the ability to hedge up to 100% of the portfolio based on top down objective assessments of stock valuations and market trends.
The Fund will seek to achieve its investment objective by investing, under normal market conditions, at least 80% of the value of the Fund’s net assets in U.S. exchange-listed equity securities that are undervalued according to various valuation metrics, including the cyclically adjusted price-to-earnings ratio, commonly known as the “CAPE Shiller P/E ratio.” For the purposes of this policy, the Fund may invest in investments that provide exposure to such securities. These valuation metrics are derived by dividing the current market value of a reference index or asset by an inflation-adjusted normalized factor (typically earnings, book value, dividends, cash flows or sales) over the past 7-10 years. The Fund’s investment adviser, Cambria Investment Management, L.P. (“Cambria”), intends to employ systematic quantitative strategies in an effort to avoid overvalued and downtrending markets.
In attempting to avoid overvalued and downtrending markets, the Fund may hedge up to 100% of the value of the Fund’s long portfolio. The Fund may use derivatives, including U.S. exchange-traded stock index futures or options thereon, to attempt to effectuate such hedging during times when Cambria believes that the U.S. equity market is overvalued from a valuation standpoint, or Cambria’s models identify unfavorable trends and momentum in the U.S. equity market. During certain periods, including to collateralize the Fund’s investments in futures contracts, the Fund may invest up to 20% of the value of its net assets in U.S. dollar and non-U.S. dollar denominated money market instruments or other high quality debt securities, or ETFs that invest in these instruments.
The Fund may invest in securities of companies in any industry, but will limit the maximum allocation to any particular sector to 25%. Although the Fund generally expects to invest in companies with larger market capitalizations, the Fund may also invest in small- and mid-capitalization companies. Filters will be implemented to screen for companies that pass sector concentration and liquidity requirements. Screens also will exclude foreign issuers whose securities are highly restricted or illegal for U.S. persons to own, including due to the imposition of sanctions by the U.S. Government.
Cambria will utilize a quantitative model that combines value and momentum factors to identify which securities the Fund may purchase and sell and opportune times for purchases and sales. The Fund will look to allocate to the top performing value stocks based on value factors as well as absolute and relative momentum.
The Fund may invest in U.S. exchange-listed preferred stocks. Preferred stocks include convertible and non-convertible preferred and preference stocks that are senior to common stock. The Fund may also invest in U.S. exchange-listed real estate investment trusts (“REITs”) and engage in short sales of securities.
Top 10 index companies (Sept. 2015):
| NATURAL HEALTH TRENDS (NHTC) | 1.189% |
| NEWLINK GENETICS CORP (NLNK) | 1.080% |
| UNIVERSAL INSURANCE HOLDI (UVE) | 1.034% |
| DEL TACO RESTAURANTS INC (TACO) | 1.034% |
| SHAKE SHACK INC – CLASS A (SHAK) | 1.008% |
| HOOKER FURNITURE CORP (HOFT) | 1.006% |
| NATIONAL GENERAL HLDGS (NGHC) | 0.989% |
| TRAVELCENTERS OF AMERICA (TA) | 0.979% |
| ENANTA PHARMACEUTICALS IN (ENTA) | 0.977% |
| BASSETT FURNITURE INDS (BSET) | 0.962% |
Index Sector Breakdown (Sept. 2015):
| FINANCIALS | 25% |
| CONSUMER DISCRETIONARY | 21% |
| INDUSTRIALS | 16% |
| HEALTH CARE | 14% |
| INFORMATION TECHNOLOGY | 7% |
| ENERGY | 7% |
| MATERIALS | 6% |
| CONSUMER STAPLES | 5% |
| MATERIALS | 3% |
| TELECOMM SERVICES | 2% |
Useful Links:
VAMO Home Page
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