IN FOCUS: Cambria Global Tactical ETF (GTAA, DENT, ALT, VWO)

Investment Strategy:  (NYSE:GTAA) is an actively-managed ETF that tries to achieve capital growth regardless of market direction, through investments in equities, fixed-income, commodities and currencies. GTAA is essentially a fund-of-funds that achieves its objectives by investing in other ETFs that provide the managers with the necessary exposures. The fund is managed and sub-advised by Cambria Investment Management. The managers aim to produce absolute returns by utilizing a quantitative strategy with reduced volatility while controlling downside losses, allowing it to perform in economic environment. As with all actively-managed ETFs in the US, the fund will disclose the portfolio composition daily on the fund’s website.

According the latest fund fact sheet, GTAA was 31% in stocks, 30% in bonds, 15% in real estate, 14% in commodities and 10% in currencies. The Vanguard Emerging Market ETF (NYSE:VWO) was the fund’s largest holding at 5.03% of the portfolio.

Launch Date: October 25, 2010

Links: Website, Factsheet, Prospectus

Portfolio Managers:

Cambria Investment Management was founded in 2006 and is based out of El Segundo, California, managing $24 million in assets of Sep 1, 2010. The portfolio managers at Cambria that will be handling day-to-day management of the fund are:

Mebane T. Faber – CIO and Portfolio Manager: Mebane Faber co-founded Cambria and is more well-known for co-authoring the popular book “The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets”. He also writes for the World Beta blog. Faber previously worked at VTrader LLC and at the Genomics Fund.

Eric W. Richardson – CEO and Portfolio Manager – Eric Richardson co-founded Cambria and was previously President and portfolio manager at Kwai Financial. Richardson is also the co-author of “The Ivy Portfolio”.

The Numbers:

Expense Ratio – 1.35%, including a 0.90% management fee. Expenses capped below 1.35% till September 12, 2011.

Market Cap – $60 million

Daily Volume – 28,000 shares


GTAA is still too new to assess its performance fairly. The historical track record of a “Global Tactical Asset Allocation Composite” provided in the prospectus provides some indication of the strategy’s performance. Since March 2007 until April 2010, the composite has returned 4.39% versus -2.95% for the S&P500 and -2.30% for a blended benchmark made up of the S&P500, EAFE, NAREIT and GSCI.

Those numbers show only one part of the story though. In the last 1 year period, the composite has returned 11.24% in comparison to the S&P500’s 47.28% and the blended composite’s 41.36%.

What’s special about it?

1. GTAA is only one of three actively-managed ETFs in the US that provide multi-asset class exposures. The other funds that operate tactically in multiple asset classes include the Dent Tactical ETF (NYSE:DENT) and the iShares Diversified Alternatives Trust (NYSE:ALT).

2. The portfolio is managed close to the type of strategies that both portfolio managers advocate in their book “The Ivy Portfolio”. Retail investors who have read and followed the managers’ investment strategies will find GTAA and easy way to participate in a fund based on those methods.


Positives –

– From the historical return numbers of the composite, it is apparent that the fund does well in volatile times and down markets. This is largely due to its multi-asset class exposure since it’s hard to imagine equities, bonds, real estate, currencies and commodities all going down at the same time. Though 2008 came close to making that a reality.

Negatives –

The expenses of the fund are a clear negative. With a net expense ratio of 1.35%, the fund is the third most expensive Active ETF on the market. And this is after a fee waiver, without which the expenses of the fund would have been 1.51%.

– In strong bull markets, GTAA will be a laggard, again because of its multi-asset class exposure. And that’s evident from how the composite performed in the last 1 year period, relative to its benchmarks.

Written By Shishir Nigam from ActiveETFs | InFocus  Disclosure: No positions in above-mentioned names.

Shishir Nigam is the founder of ActiveETFs | InFocus (, which provides extensive coverage and analysis of actively-managed ETFs in US and Canada, including debates on major industry trends, insights on the latest product launches from issuers in the Active ETF space as well as in-depth interviews with industry executives and thought leaders.

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