The previous post in this two-part series covered the three actively-managed products out of the five Cambria ETFs with a sufficiently long history. This post will focus on the remaining two index ETFs.

Let’s start with the analysis of the Cambria Foreign Shareholder Yield ETF (FYLD). According to the sponsor, the fund follows a proprietary index that

…consists of stocks with high cash distribution characteristics. The initial screening universe for this Index includes stocks in foreign developed countries with marketing capitalizations over $200 million. The Index is comprised of the 100 companies with the best combined rank of dividend payments and net stock buybacks, which are the key components of shareholder yield. The Index also screens for value and quality factors, including low financial leverage.

As in the case of actively-managed Cambria ETFs, the evaluation with begin in the first full calendar month since the fund’s inception and end in July 2016. Here is a chart with related statistics of the cumulative RealAlpha™ for the fund:

Cumulative RealAlpha™ for Cambria Foreign Shareholder Yield ETF (FYLD)

Similarly to its predecessors, the fund failed to outperform its reference ETF portfolio which had a slightly smaller volatility, measured as the standard deviation of monthly returns. The fund’s RealBeta™ was moderately higher than that of a broad-based domestic equity ETF.

The following chart and corresponding statistics show the constant composition of the reference ETF portfolio for the fund over the same period:

Reference Weights for Cambria Foreign Shareholder Yield ETF (FYLD)

The fund had major equivalent positions in the Schwab International Small-Cap Equity ETF (SCHC), WisdomTree International SmallCap Dividend Fund (DLS), First Trust Dow Jones Global Select Dividend Index Fund (FGD), iShares MSCI United Kingdom ETF (EWU), PowerShares DWA Industrials Momentum Portfolio (PRN), and Vanguard FTSE Europe ETF (VGK). The Other component in the chart collectively represents additional five foreign-stock ETFs covering the New Zealand, Japan, Australia, Spain and Mexico markets. The reference weights indicate a significant foreign small-cap equity tilt of the fund.

Lastly, we will evaluate the Cambria Global Value ETF (GVAL). The issuer states that this product implements a proprietary index which

…consists of stocks with strong value characteristics. The Index begins with a universe of 45 countries located in developed and emerging markets. […] The Index next separates the top 25% of these countries as measured by Cambria’s proprietary long term valuation metrics. The Index then screens stocks with market capitalizations over $200 million. The Index is comprised of approximately 100 companies.

The following chart and associated statistics depict the cumulative RealAlpha™ for the fund:

Cumulative RealAlpha™ for Cambria Global Value ETF (GVAL)

Compared to its reference ETF portfolio, the fund added a modest amount of value (mostly in the last four months of the analysis period), although the portfolio had a slightly lower volatility. The RealBeta™ of the fund was substantially higher than that of a broad-based U.S. stock ETF.

The following chart and statistics demonstrate the fixed membership and weights of the reference ETF portfolio for the fund:

Reference Weights for Cambria Global Value ETF (GVAL)

The fund had main equivalent positions in the iShares MSCI Italy Capped ETF (EWI), WisdomTree Europe SmallCap Dividend Fund (DFE), Guggenheim CurrencyShares® Euro Trust (FXE), iShares MSCI Poland Capped ETF (EPOL), iShares Latin America 40 ETF (ILF), and Global X MSCI Greece ETF (GREK). The remaining six ETFs in the above table, spanning the Spain, Brazil and Germany equities as well as international-corporate and emerging-markets bonds, collectively constitute the Other item in the above chart.


One of our previous posts outlined the benefits of similar analyses of iShares smart beta ETFs, which we will not repeat here for brevity. This evaluation of Cambria ETFs provides investors with similar insights.

Just like any other composite investment vehicles, Cambria ETFs change their holdings over time. Therefore, a question arises about the value of an analysis in which a static ETF portfolio is calculated from long-term data. The answer is to use a more advanced variant of Alpholio™ patented methodology, in which the membership of the reference ETF portfolio is still fixed but weights can fluctuate. Such a dynamic portfolio tends to more accurately track the analyzed fund over time.

For example, here is a chart with accompanying statistics of a reference ETF portfolio determined in that manner for the Cambria Shareholder Yield ETF (SYLD):

Reference Weights for Cambria Shareholder Yield ETF (SYLD) - Fine Fit

This gives a more accurate view of the fund’s recent average exposures.

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