Mebane Faber’s Los Angeles, California-based Cambria ETF Trust and Cambria Investment Management LP launched its fourth exchange-traded fund recently, the Cambria Global Value ETF (GVAL). GVAL is a passively-managed strategic-beta fund and tracks the Cambria Global Value Index.
The NYSE-Arca listed fund is comprised of 100 stocks from the world’s 11 most undervalued developed and emerging market countries, as determined by the index provider. The 11 countries currently included in GVAL are Greece, Russia, Ireland, Hungary, Spain, Australia, Brazil, Czech Republic, Israel, Italy and Portugal.
The underlying index first screens its investment universe of 45 countries, including Australia, Austria, Belgium, Brazil, Canada, Chile, China, Columbia, Czech Republic, Denmark, Egypt, Finland, France, Germany, Greece, Hong Kong, Hungary, India, Indonesia, Ireland, Israel, Italy, Japan, Luxemburg, Malaysia, Mexico, Morocco, Netherlands, New Zealand, Norway, Peru, Philippines, Poland, Portugal, Russia, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, UK and the US.
Next, the top quarter of these countries is separated using Cambria’s proprietary valuation metrics. A country’s investment prospects are calculated by factoring in long-term valuation metrics such as cyclically-adjusted price-earnings ratio in order to smooth out earnings volatility. This way, the fund identifies countries with the highest growth potential while eliminating overvalued geographies that may be representative of a bubble market.
Then companies with valuation of over $200 million are screened and classic valuation metrics are used to identify companies that are trading at a discount to their intrinsic value. It may, however, move a portion or the entire portfolio to cash and bonds if individual markets fail to pass the valuation filter.
From a country perspective, Brazil, Ireland, Austria, Italy, Portugal, Spain and Israel all get 10 percent allocations each in GVAL.
Sector wise, financials (28 percent), materials (15 percent), utilities (13 percent), energy (12 percent) and consumer staples (11 percent) get double-digit allocation. Large–, and mid–cap stocks, at 52 percent and 34 percent respectively, corner 86 percent of total allocations.
GVAL has annual expense ratio of 0.69 percent.
Disclosure: No holdings