Cambria Tactical Yield ETF (TYLD US) – Portfolio Construction Methodology

The investment process underpinning the actively managed Cambria Tactical Yield ETF seeks to allocate across global fixed income sectors and selected REITs according to yield spreads versus US Treasury Bills. Under normal conditions the fund invests at least 80% of net assets in fixed income securities, including US Treasuries, intermediate term US investment grade bonds, corporate bonds, high yield bonds, mortgage backed securities, Treasury Inflation Protected Securities and emerging market sovereign bonds, using individual issues and bond focused ETFs. A proprietary quantitative model compares current sector yield spreads with their own historical averages and directs tactical shifts between T Bills and sectors with attractively wide spreads. When spreads are narrow the portfolio can concentrate in T Bills; when they widen it reallocates into multiple riskier sectors, generally targeting diversified weights by category. Holdings are reviewed at least quarterly, and positions are adjusted as model signals or liquidity needs arise.

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