[N-CSR] Tidal Trust II Defiance Nasdaq 100 Enhanced Options & 0DTE Income ETF Certified Shareholder Report
Cambria Chesapeake Pure Trend ETF reported consolidated financials for the period July 1, 2024 to June 30, 2025. The Fund, which launched May 28, 2024, held 130 securities with 77.7% of net assets invested in securities and engaged extensively in derivatives and short positions. Net asset and investment metrics shown include $17,948,734 in net assets and $13,532,317 cost of investments, with total investments reported at 77.7% of net assets and securities sold short of (10.7)% of net assets (proceeds $2,307,334). The Fund reported substantial realized and unrealized losses during the year (noted aggregated losses including amounts such as $(8,139,107)) and recorded high portfolio activity with an annual turnover of 309%. Disclosures detail use of futures and forward currency contracts, a Cayman subsidiary (3.7% of net assets, $662,213) for certain derivatives exposure, and a Rule 18f-4 derivatives risk management program. The adviser reimbursed trade-error losses of $18,332. The NAV per share is shown as $14.65.
Cambria Chesapeake Pure Trend ETF ha presentato i prospetti consolidati relativi al periodo dal 1° luglio 2024 al 30 giugno 2025. Il Fondo, lanciato il 28 maggio 2024, deteneva 130 titoli con il 77,7% delle attività nette investito in titoli e ha fatto largo uso di derivati e posizioni corte. Le rilevazioni patrimoniali e degli investimenti indicano $17.948.734 di attività nette e un costo degli investimenti di $13.532.317, con investimenti totali pari al 77,7% delle attività nette e vendite allo scoperto per (10,7)% delle attività nette (proventi $2.307.334). Il Fondo ha registrato perdite realizzate e non realizzate significative nel corso dell'esercizio (tra cui importi aggregati come $(8.139.107)) e ha mostrato un'elevata attività di portafoglio con un turnover annuo del 309%. Le note riportano l'uso di contratti futures e contratti di cambio a termine, una controllata nelle Cayman (3,7% delle attività nette, $662.213) per l'esposizione ad alcuni derivati e un programma di gestione del rischio sui derivati ai sensi della Regola 18f-4. Il gestore ha rimborsato errori di negoziazione per $18.332. Il valore patrimoniale netto per azione è indicato in $14,65.
Cambria Chesapeake Pure Trend ETF presentó estados financieros consolidados correspondientes al período del 1 de julio de 2024 al 30 de junio de 2025. El Fondo, lanzado el 28 de mayo de 2024, mantenía 130 valores con el 77,7% de los activos netos invertidos en valores y utilizó de forma intensiva derivados y posiciones cortas. Las métricas de activos netos e inversiones muestran $17.948.734 en activos netos y $13.532.317 de costo de inversiones, con inversiones totales reportadas en 77,7% de los activos netos y valores vendidos en corto por (10,7)% de los activos netos (ingresos $2.307.334). El Fondo registró pérdidas realizadas y no realizadas sustanciales durante el año (con pérdidas agregadas como $(8.139.107)) y tuvo una actividad de cartera elevada con una rotación anual del 309%. Las divulgaciones detallan el uso de futuros y contratos forward de divisas, una subsidiaria en las Islas Caimán (3,7% de los activos netos, $662.213) para cierta exposición a derivados, y un programa de gestión de riesgos de derivados conforme a la Regla 18f-4. El asesor reembolsó pérdidas por errores de negociación por $18.332. El NAV por acción se muestra como $14,65.
Cambria Chesapeake Pure Trend ETF는 2024년 7월 1일부터 2025년 6월 30일까지의 연결 재무제표를 보고했습니다. 2024년 5월 28일에 출시된 이 펀드는 130개 종목을 보유했고, 순자산의 77.7%를 유가증권에 투자했으며 파생상품과 숏 포지션을 광범위하게 활용했습니다. 순자산 및 투자 지표는 $17,948,734의 순자산과 $13,532,317의 투자원가를 보여주며, 총투자는 순자산의 77.7%, 공매도는 순자산의 (10.7)%에 해당(수익금 $2,307,334)합니다. 펀드는 연도 중 상당한 실현 및 비실현 손실을 기록했으며(총계 $(8,139,107) 등), 포트폴리오 활동이 매우 활발해 연간 회전율 309%를 보였습니다. 공시에는 선물 및 통화 선도계약 사용, 일부 파생상품 노출을 위한 케이맨 자회사(순자산의 3.7%, $662,213), 그리고 Rule 18f-4 파생상품 위험관리 프로그램이 상세히 기재되어 있습니다. 자문사는 거래 오류로 인한 손실 $18,332를 환급했습니다. 주당 순자산가치는 $14.65로 표시되어 있습니다.
Cambria Chesapeake Pure Trend ETF a publié les états financiers consolidés pour la période du 1er juillet 2024 au 30 juin 2025. Le Fonds, lancé le 28 mai 2024, détenait 130 titres avec 77,7% de l'actif net investi en valeurs mobilières et a largement recours aux dérivés et aux positions courtes. Les indicateurs d'actifs nets et d'investissement montrent $17.948.734 d'actifs nets et $13.532.317 de coût des investissements, les investissements totaux représentant 77,7% de l'actif net et les titres vendus à découvert (10,7)% de l'actif net (produits $2.307.334). Le Fonds a subi d'importantes pertes réalisées et non réalisées au cours de l'exercice (pertes agrégées telles que $(8.139.107)) et a affiché une forte activité de portefeuille avec un turnover annuel de 309%. Les divulgations détaillent l'utilisation de contrats à terme et de contrats de change à terme, une filiale aux îles Caïmans (3,7% de l'actif net, $662.213) pour une certaine exposition aux dérivés, et un programme de gestion des risques liés aux dérivés conforme à la Rule 18f-4. Le gestionnaire a remboursé des pertes liées à des erreurs de transaction pour $18.332. La valeur liquidative par action est indiquée à $14,65.
Cambria Chesapeake Pure Trend ETF legte konsolidierte Finanzzahlen für den Zeitraum vom 1. Juli 2024 bis zum 30. Juni 2025 vor. Der Fonds, aufgelegt am 28. Mai 2024, hielt 130 Wertpapiere und hatte 77,7% des Nettovermögens in Wertpapieren investiert und setzte umfangreich Derivate und Short-Positionen ein. Die Nettovermögens- und Investitionskennzahlen weisen $17.948.734 an Nettovermögen und $13.532.317 Anschaffungskosten der Investitionen aus, wobei die Gesamtinvestitionen mit 77,7% des Nettovermögens angegeben sind und verkaufte Wertpapiere (Short) (10,7)% des Nettovermögens ausmachen (Erlöse $2.307.334). Der Fonds meldete erhebliche realisierte und nicht realisierte Verluste im Berichtsjahr (aggregiert z. B. $(8.139.107)) und wies eine hohe Portfoliobewegung mit einer jährlichen Umschlagshäufigkeit von 309% auf. Die Angaben erläutern den Einsatz von Futures und Währungs-Termingeschäften, eine Tochtergesellschaft auf den Cayman-Inseln (3,7% des Nettovermögens, $662.213) für bestimmte Derivateexpositionen sowie ein Derivat-Risikomanagementprogramm nach Rule 18f-4. Der Berater erstattete Handelsfehlerverluste in Höhe von $18.332. Der NAV je Anteil wird mit $14,65 angegeben.
- Detailed disclosures on derivatives, margining, and compliance with Rule 18f-4 provide transparency
- Adviser reimbursed trade-error losses of $18,332, limiting impact to shareholders
- Cayman subsidiary usage disclosed with amount and percentage (3.7% of net assets), clarifying off-shore derivative exposure
- Substantial realized and unrealized losses during the year (aggregate amounts reported including $(8,139,107))
- Very high portfolio turnover at 309%, implying elevated trading costs and tax inefficiency
- Significant short exposure totaling (10.7)% of net assets (proceeds $2,307,334), increasing downside risk
Insights
TL;DR: High trading activity and large derivatives/short positions drove meaningful losses in the Fund's first fiscal year.
The Fund, launched May 28, 2024, shows an active, tactically managed strategy with heavy use of futures, forwards and short sales. Portfolio turnover of 309% and securities sold short equal to 10.7% of net assets indicate frequent repositioning. Net realized and unrealized losses reported (including aggregate items around $(8.1) million) materially impacted results for the period. The presence of a Cayman subsidiary (3.7% of net assets) is used to access non-RIC-qualifying derivative exposures. For investors and analysts, the key metrics are high turnover, meaningful derivatives exposure, and negative net operating results in the inaugural reporting year, all of which affect expense and tax reporting dynamics.
TL;DR: Elevated operational and market risk from derivatives, short positions, and concentrated turnover.
The Fund discloses extensive derivatives usage across futures and forward currency contracts and exchange-traded futures with margining via StoneX Financial, Inc. Short positions comprised meaningful negative exposures (total securities sold short (10.7)%). Rule 18f-4 compliance and a derivatives risk management program are in place, but the first-year results show sizeable realized/unrealized losses and potential liquidity and counterparty considerations. Deposit-at-broker balances and segregation practices are disclosed; however, the high turnover and derivative notional exposures underscore elevated market and operational risk relative to a traditional long-only ETF.
Cambria Chesapeake Pure Trend ETF ha presentato i prospetti consolidati relativi al periodo dal 1° luglio 2024 al 30 giugno 2025. Il Fondo, lanciato il 28 maggio 2024, deteneva 130 titoli con il 77,7% delle attività nette investito in titoli e ha fatto largo uso di derivati e posizioni corte. Le rilevazioni patrimoniali e degli investimenti indicano $17.948.734 di attività nette e un costo degli investimenti di $13.532.317, con investimenti totali pari al 77,7% delle attività nette e vendite allo scoperto per (10,7)% delle attività nette (proventi $2.307.334). Il Fondo ha registrato perdite realizzate e non realizzate significative nel corso dell'esercizio (tra cui importi aggregati come $(8.139.107)) e ha mostrato un'elevata attività di portafoglio con un turnover annuo del 309%. Le note riportano l'uso di contratti futures e contratti di cambio a termine, una controllata nelle Cayman (3,7% delle attività nette, $662.213) per l'esposizione ad alcuni derivati e un programma di gestione del rischio sui derivati ai sensi della Regola 18f-4. Il gestore ha rimborsato errori di negoziazione per $18.332. Il valore patrimoniale netto per azione è indicato in $14,65.
Cambria Chesapeake Pure Trend ETF presentó estados financieros consolidados correspondientes al período del 1 de julio de 2024 al 30 de junio de 2025. El Fondo, lanzado el 28 de mayo de 2024, mantenía 130 valores con el 77,7% de los activos netos invertidos en valores y utilizó de forma intensiva derivados y posiciones cortas. Las métricas de activos netos e inversiones muestran $17.948.734 en activos netos y $13.532.317 de costo de inversiones, con inversiones totales reportadas en 77,7% de los activos netos y valores vendidos en corto por (10,7)% de los activos netos (ingresos $2.307.334). El Fondo registró pérdidas realizadas y no realizadas sustanciales durante el año (con pérdidas agregadas como $(8.139.107)) y tuvo una actividad de cartera elevada con una rotación anual del 309%. Las divulgaciones detallan el uso de futuros y contratos forward de divisas, una subsidiaria en las Islas Caimán (3,7% de los activos netos, $662.213) para cierta exposición a derivados, y un programa de gestión de riesgos de derivados conforme a la Regla 18f-4. El asesor reembolsó pérdidas por errores de negociación por $18.332. El NAV por acción se muestra como $14,65.
Cambria Chesapeake Pure Trend ETF는 2024년 7월 1일부터 2025년 6월 30일까지의 연결 재무제표를 보고했습니다. 2024년 5월 28일에 출시된 이 펀드는 130개 종목을 보유했고, 순자산의 77.7%를 유가증권에 투자했으며 파생상품과 숏 포지션을 광범위하게 활용했습니다. 순자산 및 투자 지표는 $17,948,734의 순자산과 $13,532,317의 투자원가를 보여주며, 총투자는 순자산의 77.7%, 공매도는 순자산의 (10.7)%에 해당(수익금 $2,307,334)합니다. 펀드는 연도 중 상당한 실현 및 비실현 손실을 기록했으며(총계 $(8,139,107) 등), 포트폴리오 활동이 매우 활발해 연간 회전율 309%를 보였습니다. 공시에는 선물 및 통화 선도계약 사용, 일부 파생상품 노출을 위한 케이맨 자회사(순자산의 3.7%, $662,213), 그리고 Rule 18f-4 파생상품 위험관리 프로그램이 상세히 기재되어 있습니다. 자문사는 거래 오류로 인한 손실 $18,332를 환급했습니다. 주당 순자산가치는 $14.65로 표시되어 있습니다.
Cambria Chesapeake Pure Trend ETF a publié les états financiers consolidés pour la période du 1er juillet 2024 au 30 juin 2025. Le Fonds, lancé le 28 mai 2024, détenait 130 titres avec 77,7% de l'actif net investi en valeurs mobilières et a largement recours aux dérivés et aux positions courtes. Les indicateurs d'actifs nets et d'investissement montrent $17.948.734 d'actifs nets et $13.532.317 de coût des investissements, les investissements totaux représentant 77,7% de l'actif net et les titres vendus à découvert (10,7)% de l'actif net (produits $2.307.334). Le Fonds a subi d'importantes pertes réalisées et non réalisées au cours de l'exercice (pertes agrégées telles que $(8.139.107)) et a affiché une forte activité de portefeuille avec un turnover annuel de 309%. Les divulgations détaillent l'utilisation de contrats à terme et de contrats de change à terme, une filiale aux îles Caïmans (3,7% de l'actif net, $662.213) pour une certaine exposition aux dérivés, et un programme de gestion des risques liés aux dérivés conforme à la Rule 18f-4. Le gestionnaire a remboursé des pertes liées à des erreurs de transaction pour $18.332. La valeur liquidative par action est indiquée à $14,65.
Cambria Chesapeake Pure Trend ETF legte konsolidierte Finanzzahlen für den Zeitraum vom 1. Juli 2024 bis zum 30. Juni 2025 vor. Der Fonds, aufgelegt am 28. Mai 2024, hielt 130 Wertpapiere und hatte 77,7% des Nettovermögens in Wertpapieren investiert und setzte umfangreich Derivate und Short-Positionen ein. Die Nettovermögens- und Investitionskennzahlen weisen $17.948.734 an Nettovermögen und $13.532.317 Anschaffungskosten der Investitionen aus, wobei die Gesamtinvestitionen mit 77,7% des Nettovermögens angegeben sind und verkaufte Wertpapiere (Short) (10,7)% des Nettovermögens ausmachen (Erlöse $2.307.334). Der Fonds meldete erhebliche realisierte und nicht realisierte Verluste im Berichtsjahr (aggregiert z. B. $(8.139.107)) und wies eine hohe Portfoliobewegung mit einer jährlichen Umschlagshäufigkeit von 309% auf. Die Angaben erläutern den Einsatz von Futures und Währungs-Termingeschäften, eine Tochtergesellschaft auf den Cayman-Inseln (3,7% des Nettovermögens, $662.213) für bestimmte Derivateexpositionen sowie ein Derivat-Risikomanagementprogramm nach Rule 18f-4. Der Berater erstattete Handelsfehlerverluste in Höhe von $18.332. Der NAV je Anteil wird mit $14,65 angegeben.
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number (811-23793)
(Exact name of registrant as specified in charter)
234 West Florida Street, Suite 203
Milwaukee, Wisconsin 53204
(Address of principal executive offices) (Zip code)
Eric W. Falkeis
Tidal Trust II
234 West Florida Street, Suite 203
Milwaukee, Wisconsin 53204
(Name and address of agent for service)
(844) 986-7700
Registrant’s telephone number, including area code
Date of fiscal year end: June 30
Date of reporting period:
Item 1. Reports to Stockholders.
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The registrant has not made any substantive amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.
A copy of the registrant’s Code of Ethics is filed herewith.
Item 3. Audit Committee Financial Expert.
The registrant’s Board of Trustees of the Trust has determined that there is at least one audit committee financial expert serving on its audit committee. Mr. David Norris is the “audit committee financial expert” and is considered to be “independent” as each term is defined in Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past two fiscal years. “Audit services” refer to performing an audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for these fiscal years. “Audit-related services” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax services” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. There were no “Other services” provided by the principal accountant. The following table details the aggregate fees billed or expected to be billed for the two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.
Cambria Chesapeake Pure Trend ETF
| FYE 6/30/2025 | FYE 6/30/2024 | |
| ( a ) Audit Fees | $18,000 | $16,000 |
| ( b ) Audit-Related Fees | N/A | N/A |
| ( c ) Tax Fees | $6,500 | $6,000 |
| ( d ) All Other Fees | N/A | N/A |
(e)(1) The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.
(e)(2) The percentage of fees billed by Cohen & Company, Ltd. applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:
| Non-Audit Related Fees | FYE 6/30/2025 | FYE 6/30/2024 |
| Registrant | N/A | N/A |
| Registrant’s Investment Adviser | N/A | N/A |
(f) All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant.
(g) The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser (and any other controlling entity, etc.—not sub-adviser) for the last two years.
| Non-Audit Related Fees | FYE 6/30/2025 | FYE 6/30/2024 |
| Registrant | N/A | N/A |
| Registrant’s Investment Adviser | N/A | N/A |
(h) The audit committee of the board of trustees/directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser is compatible with maintaining the principal accountant’s independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant’s independence.
(i) The registrant has not been identified by the U.S. Securities and Exchange Commission as having filed an annual report issued by a registered public accounting firm branch or office that is located in a foreign jurisdiction where the Public Company Accounting Oversight Board is unable to inspect or completely investigate because of a position taken by an authority in that jurisdiction.
(j) The registrant is not a foreign issuer.
Item 5. Audit Committee of Listed Registrants.
(a) The registrant is an issuer as defined in Rule 10A-3 under the Securities Exchange Act of 1934, (the “Act”) and has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Act. The independent members of the committee are as follows: Javier Marquina, Michelle McDonough, and David Norris.
(b) Not applicable
Item 6. Investments.
| (a) | Schedule of Investments is included within the financial statements filed under Item 7 of this Form. |
| (b) | Not applicable. |
Item 7. Financial Statements and Financial Highlights for Open-End Investment Companies.
| (a) |
Financial Statements
June 30, 2025
Tidal Trust II
Cambria Chesapeake Pure Trend ETF | MFUT | Cboe BZX Exchange, Inc.
Cambria Chesapeake Pure Trend ETF
Table of Contents
| Page | |
| Consolidated Schedule of Investments | 1 |
| Consolidated Schedule of Securities Sold Short | 3 |
| Consolidated Schedule of Futures Contracts | 4 |
| Consolidated Schedule of Forward Currency Contracts | 6 |
| Consolidated Statement of Assets and Liabilities | 7 |
| Consolidated Statement of Operations | 8 |
| Consolidated Statements of Changes in Net Assets | 9 |
| Consolidated Financial Highlights | 10 |
| Notes to the Consolidated Financial Statements | 11 |
| Report of Independent Registered Public Accounting Firm | 21 |
| Other Non-Audited Information | 22 |
| Consolidated Schedule of Investments |
Cambria Chesapeake Pure Trend ETF |
June 30, 2025
| COMMON STOCKS - 29.4% | Shares | Value | ||||||
| Aerospace & Defense - 2.3% | ||||||||
| Airbus SE | 961 | $ | 199,961 | |||||
| Northrop Grumman Corp. | 438 | 218,991 | ||||||
| 418,952 | ||||||||
| Auto Manufacturers - 0.9% | ||||||||
| Li Auto, Inc. - ADR (a) | 1,474 | 39,960 | ||||||
| Tesla, Inc. (a) | 355 | 112,769 | ||||||
| 152,729 | ||||||||
| Beverages - 0.6% | ||||||||
| Fomento Economico Mexicano SAB de CV - ADR | 574 | 59,111 | ||||||
| Keurig Dr Pepper, Inc. | 1,657 | 54,780 | ||||||
| 113,891 | ||||||||
| Biotechnology - 1.7% | ||||||||
| Corteva, Inc. | 4,148 | 309,150 | ||||||
| Chemicals - 1.7% | ||||||||
| Air Liquide SA | 665 | 136,715 | ||||||
| Nutrien Ltd. | 2,749 | 160,102 | ||||||
| 296,817 | ||||||||
| Commercial Services - 1.8% | ||||||||
| Automatic Data Processing, Inc. | 1,042 | 321,353 | ||||||
| Computers - 0.9% | ||||||||
| Fortinet, Inc. (a) | 1,562 | 165,135 | ||||||
| Healthcare - Products - 2.5% | ||||||||
| Abbott Laboratories | 2,643 | 359,474 | ||||||
| Edwards Lifesciences Corp. (a) | 1,138 | 89,003 | ||||||
| 448,477 | ||||||||
| Home Furnishings - 1.2% | ||||||||
| Sony Group Corp. - ADR | 8,232 | 214,279 | ||||||
| Machinery - Diversified - 1.6% | ||||||||
| Deere & Co. | 563 | 286,280 | ||||||
| Mining - 0.9% | ||||||||
| Newmont Corp. | 2,621 | 152,700 | ||||||
| Oil & Gas - 1.0% | ||||||||
| Equinor ASA - ADR | 5,297 | 133,167 | ||||||
| Suncor Energy, Inc. | 1,181 | 44,228 | ||||||
| 177,395 | ||||||||
| Pharmaceuticals - 0.9% | ||||||||
| Johnson & Johnson | 528 | 80,652 | ||||||
| Sanofi SA - ADR | 1,651 | 79,760 | ||||||
| 160,412 | ||||||||
| Pipelines - 1.5% | ||||||||
| Cheniere Energy, Inc. | 1,077 | 262,271 | ||||||
| The accompanying notes are an integral part of these consolidated financial statements. | 1 |
| Consolidated Schedule of Investments |
Cambria Chesapeake Pure Trend ETF |
June 30, 2025
| Retail - 1.1% | ||||||||
| Yum! Brands, Inc. | 1,324 | 196,190 | ||||||
| Semiconductors - 2.0% | ||||||||
| ASML Holding NV | 106 | 84,947 | ||||||
| Micron Technology, Inc. | 1,058 | 130,399 | ||||||
| NVIDIA Corp. | 953 | 150,564 | ||||||
| 365,910 | ||||||||
| Software - 4.2% | ||||||||
| Atlassian Corp. - Class A (a) | 359 | 72,910 | ||||||
| Electronic Arts, Inc. | 341 | 54,458 | ||||||
| Paychex, Inc. | 1,981 | 288,156 | ||||||
| Roper Technologies, Inc. | 361 | 204,629 | ||||||
| Snowflake, Inc. - Class A (a) | 630 | 140,975 | ||||||
| 761,128 | ||||||||
| Telecommunications - 1.8% | ||||||||
| Cisco Systems, Inc. | 4,634 | 321,507 | ||||||
| Water - 0.8% | ||||||||
| American Water Works Co., Inc. | 1,087 | 151,213 | ||||||
| TOTAL COMMON STOCKS (Cost $4,864,403) | 5,275,789 | |||||||
| REAL ESTATE INVESTMENT TRUSTS - COMMON - 0.2% | ||||||||
| American Tower Corp. | 189 | 41,773 | ||||||
| TOTAL REAL ESTATE INVESTMENT TRUSTS - COMMON (Cost $43,523) | 41,773 | |||||||
| SHORT-TERM INVESTMENTS - 48.1% | ||||||||
| Money Market Funds - 48.1% | ||||||||
| First American Government Obligations Fund - Class X, 4.25% (b)(c) | 8,624,391 | 8,624,391 | ||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $8,624,391) | 8,624,391 | |||||||
| TOTAL INVESTMENTS - 77.7% (Cost $13,532,317) | 13,941,953 | |||||||
| Other Assets in Excess of Liabilities - 22.3% | 4,006,781 | |||||||
| TOTAL NET ASSETS - 100.0% | $ | 17,948,734 |
Percentages are stated as a percent of net assets.
ADR - American Depositary Receipt
ASA - Advanced Subscription Agreement
| (a) | Non-income producing security. |
| (b) | The rate shown represents the 7-day annualized effective yield as of June 30, 2025. |
| (c) | Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov. |
| The accompanying notes are an integral part of these consolidated financial statements. | 2 |
| Consolidated Schedule of Securities Sold Short |
Cambria Chesapeake Pure Trend ETF |
June 30, 2025
| COMMON STOCKS - (10.2)% | Shares | Value | ||||||
| Beverages - (2.3)% | ||||||||
| Constellation Brands, Inc. - Class A | (1,145 | ) | $ | (186,269 | ) | |||
| PepsiCo, Inc. | (1,713 | ) | (226,184 | ) | ||||
| (412,453 | ) | |||||||
| Chemicals - (0.6)% | ||||||||
| Dow, Inc. | (4,323 | ) | (114,473 | ) | ||||
| Food - (2.8)% | ||||||||
| Conagra Brands, Inc. | (8,454 | ) | (173,053 | ) | ||||
| General Mills, Inc. | (3,617 | ) | (187,397 | ) | ||||
| Kraft Heinz Co. | (5,819 | ) | (150,247 | ) | ||||
| (510,697 | ) | |||||||
| Healthcare - Products - (0.7)% | ||||||||
| Zimmer Biomet Holdings, Inc. | (1,445 | ) | (131,798 | ) | ||||
| Healthcare - Services - (0.4)% | ||||||||
| Elevance Health, Inc. | (178 | ) | (69,235 | ) | ||||
| Insurance - (0.5)% | ||||||||
| Arch Capital Group Ltd. | (985 | ) | (89,684 | ) | ||||
| Media - (0.3)% | ||||||||
| Comcast Corp. - Class A | (1,313 | ) | (46,861 | ) | ||||
| Mining - (1.0)% | ||||||||
| Rio Tinto PLC - ADR | (3,008 | ) | (175,457 | ) | ||||
| Pharmaceuticals - (1.5)% | ||||||||
| Merck & Co., Inc. | (2,117 | ) | (167,582 | ) | ||||
| Zoetis, Inc. | (682 | ) | (106,358 | ) | ||||
| (273,940 | ) | |||||||
| Transportation - (0.1)% | ||||||||
| Canadian Pacific Kansas City Ltd. | (180 | ) | (14,268 | ) | ||||
| TOTAL COMMON STOCKS (Proceeds $2,231,892) | (1,838,866 | ) | ||||||
| REAL ESTATE INVESTMENT TRUSTS - COMMON - (0.5)% | ||||||||
| Public Storage | (281 | ) | (82,451 | ) | ||||
| TOTAL REAL ESTATE INVESTMENT TRUSTS - COMMON (Proceeds $75,442) | (82,451 | ) | ||||||
| TOTAL SECURITIES SOLD SHORT - (10.7)% (Proceeds $2,307,334) | $ | (1,921,317 | ) | |||||
Percentages are stated as a percent of net assets.
ADR - American Depositary Receipt
PLC - Public Limited Company
| The accompanying notes are an integral part of these consolidated financial statements. | 3 |
| Consolidated Schedule of Futures Contracts |
Cambria Chesapeake Pure Trend ETF |
June 30, 2025
The Cambria Chesapeake Pure Trend ETF & Cambria Chesapeake Pure Trend Cayman Subsidiary had the following futures contracts outstanding with StoneX Financial Inc.:
| Description |
Contracts Purchased |
Expiration Date | Notional Value |
Value / Unrealized Appreciation (Depreciation) |
||||||||
| 3 Month Canadian Overnight Repo Rate Average | 58 | 03/16/2026 | $ | 10,376,347 | $ | 30,529 | ||||||
| 3 Month Euribor | 36 | 12/14/2026 | 10,363,892 | 7,518 | ||||||||
| 3 Month Swiss Average Overnight Rate | 55 | 03/16/2026 | 17,310,144 | 61,233 | ||||||||
| 3 Month Secured Overnight Financing Rate | 7 | 12/16/2026 | 1,696,975 | (1,017 | ) | |||||||
| Arabica Coffee(a) | 2 | 09/18/2025 | 225,075 | (39,760 | ) | |||||||
| Australian Government 3 Year Bonds | 15 | 09/15/2025 | 1,059,123 | 2,333 | ||||||||
| Australian 90 Day Bank Bills | 66 | 03/12/2026 | 42,935,298 | 13,748 | ||||||||
| British Pound/U.S. Dollar Cross Currency Rate | 10 | 09/15/2025 | 857,813 | 7,048 | ||||||||
| Crude Palm Oil(a) | 9 | 09/15/2025 | 213,003 | (6,455 | ) | |||||||
| Crude Soybean Oil(a) | 8 | 12/12/2025 | 253,200 | (4,067 | ) | |||||||
| Euro/U.S. Dollar Cross Currency Rate | 6 | 09/15/2025 | 887,700 | 13,922 | ||||||||
| Italian Government 10 Year Bonds | 4 | 09/08/2025 | 568,142 | 1,346 | ||||||||
| Feeder Cattle(a) | 6 | 08/28/2025 | 932,025 | 48,894 | ||||||||
| Gold(a) | 3 | 08/27/2025 | 992,310 | (4,484 | ) | |||||||
| ICE 3 Month Sterling Overnight Index Average Rate | 11 | 12/16/2026 | 3,640,903 | (574 | ) | |||||||
| Italian Government 1 Year Bonds | 52 | 09/08/2025 | 6,588,966 | (7,216 | ) | |||||||
| Live Cattle(a) | 13 | 08/29/2025 | 1,112,150 | 20,014 | ||||||||
| London Metal Exchange - Aluminum(a) | 2 | 09/15/2025 | 130,003 | 836 | ||||||||
| London Metal Exchange - Zinc(a) | 1 | 09/15/2025 | 68,817 | 1,096 | ||||||||
| Low Sulphur Gas Oil(a) | 4 | 08/12/2025 | 264,400 | (22,916 | ) | |||||||
| Natural Gas(a) | 3 | 07/29/2025 | 103,680 | (5,834 | ) | |||||||
| NY Harbor Ultra-Low Sulfur Diesel(a) | 3 | 07/31/2025 | 286,814 | (24,529 | ) | |||||||
| Palladium(a) | 2 | 09/26/2025 | 221,420 | 9,411 | ||||||||
| Platinum(a) | 6 | 10/29/2025 | 402,900 | (21,778 | ) | |||||||
| Silver(a) | 3 | 09/26/2025 | 542,580 | (11,129 | ) | |||||||
| Swiss Franc/U.S. Dollar Cross Currency Rate | 5 | 09/15/2025 | 795,406 | 14,846 | ||||||||
| U.S. Treasury 3 Year Notes | 3 | 09/30/2025 | 637,383 | 4,466 | ||||||||
| U.S. Treasury 10 Year Notes | 3 | 09/19/2025 | 336,375 | 5,614 | ||||||||
| U.S. Treasury 5 Year Notes | 5 | 09/30/2025 | 545,000 | 4,896 | ||||||||
| U.K. Emissions Trading Registry Allowance(a) | 4 | 12/15/2025 | 252,583 | (19,162 | ) | |||||||
| $ | 78,829 | |||||||||||
| Description |
Contracts Sold |
Expiration Date | Notional Value |
Value / Unrealized Appreciation (Depreciation) |
||||||||
| 30 Day Federal Funds Rate | (28) | 09/30/2025 | $ | 11,180,478 | $ | (1,003 | ) | |||||
| Australian Dollar/U.S. Dollar Cross Currency Rate | (6) | 09/15/2025 | 395,370 | (3,198 | ) | |||||||
| Australian Government 10 Year Bonds | (7) | 09/15/2025 | 525,863 | (2,180 | ) | |||||||
| Canadian Dollar/U.S. Dollar Cross Currency Rate | (5) | 09/16/2025 | 368,400 | 174 | ||||||||
| Corn No. 2 Yellow(a) | (18) | 12/12/2025 | 382,950 | 2,507 | ||||||||
| Cotton No. 2(a) | (12) | 12/08/2025 | 408,780 | (3,561 | ) | |||||||
| German 30 Year Government Bonds | (5) | 09/08/2025 | 696,913 | 9,818 | ||||||||
| German 10 Year Government Bonds | (12) | 09/08/2025 | 1,833,314 | 9,615 | ||||||||
| German 5 Year Government Bonds | (7) | 09/08/2025 | 966,968 | 2,274 | ||||||||
| German 2 Year Government Bonds | (3) | 09/08/2025 | 377,685 | 282 | ||||||||
| Hard Red Winter Wheat(a) | (12) | 09/12/2025 | 316,050 | 20,088 | ||||||||
| Japanese 10 Year Government Bonds | (4) | 09/12/2025 | 3,849,770 | (6,664 | ) | |||||||
| Japanese Yen/U.S. Dollar Cross Currency Rate | (4) | 09/15/2025 | 349,725 | 1,238 | ||||||||
| London Metal Exchange - Aluminum(a) | (5) | 09/15/2025 | 325,007 | (11,755 | ) | |||||||
| London Metal Exchange - Lead(a) | (9) | 09/15/2025 | 460,208 | (14,335 | ) | |||||||
| London Metal Exchange - Nickel(a) | (4) | 09/15/2025 | 364,700 | (870 | ) | |||||||
| London Metal Exchange - Zinc(a) | (7) | 09/15/2025 | 481,719 | (8,319 | ) | |||||||
| Long Gilt | (8) | 09/26/2025 | 1,019,870 | (16,034 | ) | |||||||
| Singapore Exchange Technically Specified Rubber 20(a) | (10) | 08/29/2025 | 81,700 | (632 | ) | |||||||
| Soybean Meal(a) | (16) | 12/12/2025 | 462,880 | 11,298 | ||||||||
| Soybeans(a) | (8) | 11/14/2025 | 410,800 | 11,421 | ||||||||
| Sugar #11(a) | (26) | 09/30/2025 | 471,744 | 22,312 | ||||||||
| U.S. Treasury 2 Year Notes | (8) | 09/30/2025 | 1,664,188 | (7,358 | ) | |||||||
| U.S. Treasury Long Bonds | (7) | 09/19/2025 | 808,281 | (21,777 | ) | |||||||
| Wheat(a) | (14) | 09/12/2025 | 376,775 | 29,478 | ||||||||
| $ | 22,819 | |||||||||||
| Net Unrealized Appreciation (Depreciation) | $ | 101,648 | ||||||||||
| (a) | All or a portion of the investment is a holding of the Cambria Chesapeake Cayman Subsidiary. |
| The accompanying notes are an integral part of these consolidated financial statements. | 4 |
| Consolidated Schedule of Forward Currency Contracts |
Cambria Chesapeake Pure Trend ETF |
June 30, 2025
| Settlement Date | Currency Purchased | Currency Sold | Counterparty |
Unrealized Appreciation (Depreciation) |
|||||||||
| 09/17/2025 | BRL | 3,628,000 | USD | 640,869 | StoneX Financial, Inc. | $ | 10,652 | ||||||
| 09/17/2025 | COP | 4,736,355,000 | USD | 1,147,303 | StoneX Financial, Inc | (769) | |||||||
| 09/17/2025 | CZK | 19,372,000 | USD | 898,736 | StoneX Financial, Inc | 23,501 | |||||||
| 09/17/2025 | DKK | 5,776,000 | USD | 891,924 | StoneX Financial, Inc | 22,328 | |||||||
| 09/17/2025 | HUF | 263,798,000 | USD | 750,722 | StoneX Financial, Inc | 20,723 | |||||||
| 09/17/2025 | ILS | 3,684,000 | USD | 1,058,887 | StoneX Financial, Inc | 36,246 | |||||||
| 09/17/2025 | INR | 111,980,000 | USD | 1,305,031 | StoneX Financial, Inc | (3,909) | |||||||
| 09/17/2025 | MXN | 22,950,000 | USD | 1,194,236 | StoneX Financial, Inc | 10,258 | |||||||
| 09/17/2025 | NOK | 7,500,000 | USD | 742,278 | StoneX Financial, Inc | (781) | |||||||
| 09/17/2025 | PHP | 95,668,000 | USD | 1,707,939 | StoneX Financial, Inc | (12,268) | |||||||
| 09/17/2025 | PLN | 2,232,000 | USD | 598,434 | StoneX Financial, Inc | 18,035 | |||||||
| 09/17/2025 | SEK | 6,288,000 | USD | 659,548 | StoneX Financial, Inc | 3,730 | |||||||
| 09/17/2025 | SGD | 1,505,000 | USD | 1,180,884 | StoneX Financial, Inc | 7,663 | |||||||
| 09/17/2025 | THB | 28,130,000 | USD | 867,708 | StoneX Financial, Inc | 2,887 | |||||||
| 09/17/2025 | TWD | 19,952,000 | USD | 680,645 | StoneX Financial, Inc | 6,764 | |||||||
| 09/17/2025 | USD | 555,756 | CLP | 520,678,000 | StoneX Financial, Inc | (2,009) | |||||||
| 09/17/2025 | USD | 1,140,120 | CNH | 8,139,000 | StoneX Financial, Inc | (3,497) | |||||||
| 09/17/2025 | USD | 483,005 | COP | 2,050,083,000 | StoneX Financial, Inc | (13,260) | |||||||
| 09/17/2025 | USD | 1,410,287 | IDR | 23,055,000,000 | StoneX Financial, Inc | (5,600) | |||||||
| 09/17/2025 | USD | 94,244 | KRW | 128,608,000 | StoneX Financial, Inc | (1,530) | |||||||
| 09/17/2025 | USD | 134,754 | NZD | 222,000 | StoneX Financial, Inc | (374) | |||||||
| 09/17/2025 | USD | 725,443 | PHP | 41,374,000 | StoneX Financial, Inc | (7,892) | |||||||
| 09/17/2025 | ZAR | 8,699,000 | USD | 487,339 | StoneX Financial, Inc | (707) | |||||||
| Net Unrealized Appreciation (Depreciation) | $ | 110,191 | |||||||||||
BRL - Brazilian Real
CLP - Chilean Peso
CNH - Chinese Offshore Renminbi
COP - Colombian Peso
CZK - Czech Republic Koruna
DKK - Danish Krone
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli New Shekel
INR - Indian Rupee
KRW - South Korean Won
MXN - Mexican Peso
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Polish Zloty
SEK - Swedish Krona
SGD - Singapore Dollar
THB - Thai Baht
TWD - New Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
| The accompanying notes are an integral part of these consolidated financial statements. | 5 |
| Consolidated Statement of Assets and Liabilities |
Cambria Chesapeake Pure Trend ETF |
June 30, 2025
| ASSETS: | ||||
| Investments, at value (Note 2) | $ | 13,941,953 | ||
| Deposit at broker for securities sold short | 2,884,061 | |||
| Deposit at broker for open forward currency contracts | 1,415,883 | |||
| Deposit at broker for futures contracts | 1,243,532 | |||
| Unrealized appreciation on futures contracts | 368,255 | |||
| Receivable from broker for securities sold short | 335,701 | |||
| Receivable for open forward currency contracts | 162,786 | |||
| Interest receivable | 33,142 | |||
| Segregated cash for securities sold short | 12,188 | |||
| Dividends receivable | 4,312 | |||
| Dividend tax reclaims receivable | 726 | |||
| Total assets | 20,402,539 | |||
| LIABILITIES: | ||||
| Securities sold short, at value | 1,921,317 | |||
| Unrealized depreciation on futures contracts | 266,607 | |||
| Payable for investments purchased | 201,122 | |||
| Payable for open forward currency contracts | 52,595 | |||
| Payable to adviser (Note 4) | 10,121 | |||
| Dividends payable | 1,951 | |||
| Interest payable | 92 | |||
| Total liabilities | 2,453,805 | |||
| NET ASSETS | $ | 17,948,734 | ||
| NET ASSETS CONSISTS OF: | ||||
| Paid-in capital | $ | 22,772,720 | ||
| Total accumulated losses | (4,823,986 | ) | ||
| Total net assets | $ | 17,948,734 | ||
| Net assets | $ | 17,948,734 | ||
| Shares issued and outstanding(a) | 1,225,000 | |||
| Net asset value per share | $ | 14.65 | ||
| COST: | ||||
| Investments, at cost | $ | 13,532,317 | ||
| PROCEEDS: | ||||
| Securities sold short proceeds | $ | 2,307,334 | ||
| (a) | Unlimited shares authorized without par value. |
| The accompanying notes are an integral part of these consolidated financial statements. | 6 |
| Consolidated Statement of Operations |
Cambria Chesapeake Pure Trend ETF |
For the Year Ended June 30, 2025
| INVESTMENT INCOME: | ||||
| Dividend income | $ | 479,585 | ||
| Interest income | 148,658 | |||
| Less: Dividend withholding taxes | (1,349 | ) | ||
| Less: Issuance fees | (574 | ) | ||
| Total investment income | 626,320 | |||
| EXPENSES: | ||||
| Investment advisory fee (Note 4) | 163,288 | |||
| Dividends expenses | 62,588 | |||
| Interest expense | 21,735 | |||
| Income tax expense | 7 | |||
| Total expenses | 247,618 | |||
| NET INVESTMENT INCOME | 378,702 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) | ||||
| Net realized gain (loss) from: | ||||
| Investments(a) | (939,263 | ) | ||
| Securities sold short | (90,168 | ) | ||
| Futures contracts | (4,278,464 | ) | ||
| Forward currency contracts | (2,794,880 | ) | ||
| Foreign currency transaction | (36,332 | ) | ||
| Net realized gain (loss) | (8,139,107 | ) | ||
| Net change in unrealized appreciation | ||||
| (depreciation) on: | ||||
| Investments | 593,312 | |||
| Securities sold short | 386,017 | |||
| Futures contracts | 156,918 | |||
| Forward currency contracts | 119,053 | |||
| Foreign currency translation | 11,945 | |||
| Net change in unrealized appreciation (depreciation) | 1,267,245 | |||
| Net realized and unrealized gain (loss) | (6,871,862 | ) | ||
| NET INCREASE (DECREASE) IN NET | ||||
| ASSETS RESULTING FROM OPERATIONS | $ | (6,493,160 | ) | |
| (a) | Includes reimbursement from the Adviser (defined in Note 1) for losses on trade errors totaling $18,332. |
| The accompanying notes are an integral part of these consolidated financial statements. | 7 |
| Consolidated Statements of Changes in Net Assets |
Cambria Chesapeake Pure Trend ETF |
| Year ended | Period ended | |||||||
| June 30, 2025 | June 30, 2024(a) | |||||||
| OPERATIONS: | ||||||||
| Net investment income (loss) | $ | 378,702 | $ | 37,274 | ||||
| Net realized gain (loss) | (8,139,107 | ) | (217,972 | ) | ||||
| Net change in unrealized appreciation (depreciation) | 1,267,245 | (248,138 | ) | |||||
| Net increase (decrease) in net assets from operations | (6,493,160 | ) | (428,836 | ) | ||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
| From earnings | (70,850 | ) | — | |||||
| Total distributions to shareholders | (70,850 | ) | — | |||||
| CAPITAL TRANSACTIONS: | ||||||||
| Shares sold | 16,361,898 | 22,554,510 | ||||||
| Shares redeemed | (13,974,828 | ) | — | |||||
| Net increase in net assets from capital transactions | 2,387,070 | 22,554,510 | ||||||
| NET INCREASE (DECREASE) IN NET ASSETS | (4,176,940 | ) | 22,125,674 | |||||
| NET ASSETS: | ||||||||
| Beginning of the period | 22,125,674 | — | ||||||
| End of the period | $ | 17,948,734 | $ | 22,125,674 | ||||
| SHARES TRANSACTIONS | ||||||||
| Shares sold | 925,000 | 1,150,000 | ||||||
| Shares redeemed | (850,000 | ) | — | |||||
| Total increase in shares outstanding | 75,000 | 1,150,000 | ||||||
| (a) | Inception date of the Fund was May 28, 2024. |
| The accompanying notes are an integral part of these consolidated financial statements. | 8 |
| Consolidated Financial Highlights |
Cambria Chesapeake Pure Trend ETF |
For a share outstanding throughout the periods presented
| Period ended | ||||||||
| Year ended | June 30, | |||||||
| June 30, 2025 | 2024(a) | |||||||
| PER SHARE DATA: | ||||||||
| Net asset value, beginning of period | $ | 19.24 | $ | 20.00 | ||||
| INVESTMENT OPERATIONS: | ||||||||
| Net investment income(b) | 0.29 | 0.06 | ||||||
| Net realized and unrealized gain (loss) on investments(c) | (4.83 | ) | (0.82 | ) | ||||
| Total from investment operations | (4.54 | ) | (0.76 | ) | ||||
| LESS DISTRIBUTIONS FROM: | ||||||||
| Net investment income | (0.05 | ) | — | |||||
| Total distributions | (0.05 | ) | — | |||||
| Net asset value, end of period | $ | 14.65 | $ | 19.24 | ||||
| TOTAL RETURN(d) | -23.60 | %(h) | -3.80 | % | ||||
| SUPPLEMENTAL DATA AND RATIOS: | ||||||||
| Net assets, end of period (in thousands) | $ | 17,949 | $ | 22,126 | ||||
| Ratio of expenses to average net assets(e) | 1.14 | % | 0.82 | % | ||||
| Ratio of dividends and interest expense on securities sold short to average net assets(e)(f) | 0.39 | % | 0.07 | % | ||||
| Ratio of operational expenses to average net assets excluding dividends, interest, and tax expense(e) | 0.75 | % | 0.75 | % | ||||
| Ratio of net investment income (loss) to average net assets(e) | 1.74 | % | 3.30 | % | ||||
| Portfolio turnover rate(d)(g) | 309 | % | 0 | % | ||||
| (a) | Inception date of the Fund was May 28, 2024. |
| (b) | Net investment income per share has been calculated based on average shares outstanding during the periods. |
| (c) | Realized and unrealized gains and losses per share in the caption are balancing amounts necessary to reconcile the change in net asset value per share for the periods, and may not reconcile with the aggregate gains and losses in the Consolidated Statement of Operations due to share transactions for the periods. |
| (d) | Not annualized for periods less than one year. |
| (e) | Annualized for periods less than one year. |
| (f) | Includes less than 0.005% of tax expenses. |
| (g) | Portfolio turnover rate excludes in-kind transactions. |
| (h) | As a result of trade errors, the Fund experienced a loss totaling $18,332 for the year ended June 30, 2025, all of which was reimbursed by the Adviser (defined in Note 1). Total return would have been lower by 0.00%. See Note 6 in Notes to the Consolidated Financial Statements. |
| The accompanying notes are an integral part of these consolidated financial statements. | 9 |
| Notes to the Consolidated Financial Statements |
Cambria Chesapeake Pure Trend ETF |
June 30, 2025
| NOTE 1 – ORGANIZATION |
The Cambria Chesapeake Pure Trend ETF (the “Fund”) is a non-diversified series of Tidal Trust II (the “Trust”). The Trust was organized as a Delaware statutory trust on January 13, 2022. The Trust is registered with the Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and the offering of the Fund’s shares (“Shares”) is registered under the Securities Act of 1933, as amended. The Trust is governed by the Board of Trustees (the “Board”). Tidal Investments LLC (“Tidal Investments” or the “Adviser”), a Tidal Financial Group company, serves as investment adviser to the Fund. Cambria Fund Management, LLC (“Cambria” or a “Sub-Adviser”) and Chesapeake Capital Corporation (“Chesapeake” or a “Sub-Adviser”) (collectively the “Sub-Advisers”) serve as investment sub-advisers to the Fund. Chesapeake also serves as futures trading adviser to the Subsidiary (defined below), pursuant to a futures trading agreement amount the Adviser, Chesapeake and the Subsidiary (the “Subsidiary Trading Agreement”). The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies”. The Fund commenced operations on May 28, 2024.
The investment objective of the Fund is to preserve capital and generate long-term capital appreciation.
| NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by the Fund. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”).
| A. | Security Valuation. Equity securities, which may include Real Estate Investment Trusts (“REITs”), listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on The Nasdaq Stock Market, LLC (the “NASDAQ”)), including securities traded over-the-counter, are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded on the valuation date (or at approximately 4:00 p.m. EST if a security’s primary exchange is normally open at that time), or, if there is no such reported sale on the valuation date, at the most recent quoted bid price or mean between the most recent quoted bid and ask prices for long and short positions, respectively. For a security that trades on multiple exchanges, the primary exchange will generally be considered the exchange on which the security is generally most actively traded. For securities traded on the NASDAQ, the NASDAQ Official Closing Price will be used. Prices of securities traded on the securities exchange will be obtained from recognized independent pricing agents each day that the Fund is open for business. |
Futures contracts and forward contacts are priced by an approved independent pricing service. Futures contracts are valued at the settlement price on the exchange on which they are principally traded. Foreign currency forward contracts are valued at the current day’s interpolated foreign exchange rate, as calculated using the current day’s spot rate, and the 30-, 60-, 90- and 180-day forward rates provided by an independent source.
Under Rule 2a-5 of the 1940 Act, a fair value will be determined for securities for which quotations are not readily available by the Valuation Designee (as defined in Rule 2a-5) in accordance with the Pricing and Valuation Policy and Fair Value Procedures, as applicable, of the Adviser, subject to oversight by the Board. When a security is “fair valued,” consideration is given to the facts and circumstances relevant to the particular situation, including a review of various factors set forth in the Adviser’s Pricing and Valuation Policy and Fair Value Procedures, as applicable. Fair value pricing is an inherently subjective process, and no single standard exists for determining fair value. Different funds could reasonably arrive at different values for the same security.
As described above, the Fund utilizes various methods to measure the fair value of its investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:
| Level 1 – | Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. | |
| Level 2 – | Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. | |
| Level 3 – | Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability and would be based on the best information available. |
10
| Notes to the Consolidated Financial Statements | Cambria Chesapeake Pure Trend ETF |
June 30, 2025
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2025:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets: | ||||||||||||||||
| Investments: | ||||||||||||||||
| Common Stocks(a) | $ | 5,275,789 | $ | — | $ | — | $ | 5,275,789 | ||||||||
| Real Estate Investment Trusts | 41,773 | — | — | 41,773 | ||||||||||||
| Money Market Funds | 8,624,391 | — | — | 8,624,391 | ||||||||||||
| Total Investments | $ | 13,941,953 | $ | — | $ | — | $ | 13,941,953 | ||||||||
| Other Financial Instruments:(b) | ||||||||||||||||
| Futures Contracts | $ | 368,255 | $ | — | $ | — | $ | 368,255 | ||||||||
| Forward Currency Contracts | — | 162,787 | — | 162,787 | ||||||||||||
| Total Other Financial Instruments | $ | 368,255 | $ | 162,787 | $ | — | $ | 531,042 | ||||||||
| Liabilities: | ||||||||||||||||
| Investments: | ||||||||||||||||
| Common Stocks(a) | $ | (1,838,866 | ) | $ | — | $ | — | $ | (1,838,866 | ) | ||||||
| Real Estate Investment Trusts | (82,451 | ) | — | — | (82,451 | ) | ||||||||||
| Total Investments | $ | (1,921,317 | ) | $ | — | $ | — | $ | (1,921,317 | ) | ||||||
| Other Financial Instruments:(b) | ||||||||||||||||
| Futures Contracts | $ | (266,607 | ) | $ | — | $ | — | $ | (266,607 | ) | ||||||
| Forward Currency Contracts | — | (52,595 | ) | — | (52,595 | ) | ||||||||||
| Total Other Financial Instruments | $ | (266,607 | ) | $ | (52,595 | ) | $ | — | $ | (319,202 | ) | |||||
| (a) | See Consolidated Schedules of Investments and Securities Sold Short for the industry breakout. |
| (b) | Other Financial Instruments are derivative instruments which are presented at the net unrealized appreciation (depreciation) on the investment as shown on the Consolidated Schedules of Futures Contracts and Forward Currency Contracts. |
| B. | Derivative Instruments. The Fund has provided additional disclosures below regarding derivatives and hedging activity intending to improve financial reporting by enabling investors to understand how and why the Fund uses futures contracts and forward currency contracts (both a type of derivative), how they are accounted for and how they affect an entity’s results of operations and financial position. The Fund may use derivatives for risk management purposes or as part of their investment strategies. Derivatives are financial contracts whose values depend on, or are derived from, the value of an underlying asset, reference rate or index. The Fund may use derivatives to earn income and enhance returns, to hedge or adjust the risk profile of its portfolio, to replace more traditional direct investments or to obtain exposure to otherwise inaccessible markets. |
11
| Notes to the Consolidated Financial Statements | Cambria Chesapeake Pure Trend ETF |
June 30, 2025
The average notional amount for open futures contracts and forward currency contracts is based on the monthly notional amounts. The notional amount for open futures contracts and forward currency contracts represents the U.S. dollar value of the contract as of the day of opening the transaction or latest contract reset date.
| Average Notional Value: | June 30, 2025 | |||
| Open Long Futures Contracts | $ | 87,668,981 | ||
| Long Forward Currency Contracts | 18,880,312 | |||
| Open Short Futures Contracts | 58,322,739 | |||
| Short Forward Currency Contracts | 28,715,137 | |||
The following tables show the effects of derivative instruments on the consolidated financial statements.
Consolidated Statement of Assets and Liabilities
Fair value of derivative instruments as of June 30, 2025:
| Asset Derivatives | Liability Derivatives | |||||||||||
| Instrument | Consolidated Statement of Assets and Liabilities | Fair Value | Consolidated Statement of Assets and Liabilities | Fair Value | ||||||||
| Futures Contracts | Unrealized appreciation on futures contracts | Unrealized depreciation on futures contracts | ||||||||||
| Commodities Risk | $ | 177,355 | $ | 199,586 | ||||||||
| Equities Risk | — | — | ||||||||||
| Foreign Exchange Currencies Risk | 37,228 | 3,198 | ||||||||||
| Interest Rate Risk | 153,672 | 63,823 | ||||||||||
| Total Futures Contracts | $ | 368,255 | $ | 266,607 | ||||||||
| Forward Currency Contracts | Receivable for open forward currency contracts | Payable for open forward currency contracts | ||||||||||
| Foreign Exchange Currencies Risk | $ | 162,787 | $ | 52,596 | ||||||||
12
| Notes to the Consolidated Financial Statements | Cambria Chesapeake Pure Trend ETF |
June 30, 2025
Consolidated Statement of Operations
The effect of derivative instruments on the Consolidated Statement of Operations for the year ended June 30, 2025:
| Instrument | Location of Gain (Loss) on Derivatives Recognized in Income | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |||||||
| Futures Contracts | Net realized and unrealized gain (loss) on futures contracts | |||||||||
| Commodities Risk | $ | (666,004 | ) | $ | (18,677 | ) | ||||
| Equities Risk | (129,130 | ) | — | |||||||
| Foreign Exchange Currencies Risk | (326,894 | ) | 34,030 | |||||||
| Interest Rate Risk | (3,156,436 | ) | 141,565 | |||||||
| Total Futures Contracts | $ | (4,278,464 | ) | $ | 156,918 | |||||
| Forward Currency Contracts | Net realized and unrealized gain (loss) on forward currency contracts | |||||||||
| Foreign Exchange Currencies Risk | $ | (2,794,880 | ) | $ | 119,053 | |||||
The Fund is not subject to master netting agreements; therefore, no additional disclosures regarding netting agreements are required.
| C. | Federal Income Taxes. The Fund has elected to be taxed as a regulated investment company (“RIC”) and intends to distribute substantially all taxable income to its shareholders and otherwise comply with the provisions of the Internal Revenue Code applicable to RICs. Therefore, no provision for federal income taxes or excise taxes has been made. |
In order to avoid imposition of the excise tax applicable to RICs, the Fund intends to declare as dividends in each calendar year at least 98% of its net investment income (earned during the calendar year) and at least 98.2% of its net realized capital gains (earned during the twelve months ended October 31) plus undistributed amounts, if any, from prior years. As a RIC, the Fund is subject to a 4% excise tax that is imposed if the Fund does not distribute by the end of any calendar year at least the sum of (i) 98% of its ordinary income (not taking into account any capital gain or loss) for the calendar year and (ii) 98.2% of its capital gain in excess of its capital loss (adjusted for certain ordinary losses) for a one year period generally ending on October 31 of the calendar year (unless an election is made to use the Fund’s fiscal year). The Fund generally intends to distribute income and capital gains in the manner necessary to minimize (but not necessarily eliminate) the imposition of such excise tax. The Fund may retain income or capital gains and pay excise tax when it is determined that doing so is in the best interest of shareholders. Management evaluates the costs of the excise tax relative to the benefits of retaining income and capital gains, including that such undistributed amounts (net of the excise tax paid) remain available for investment by the Fund and are available to supplement future distributions. Tax expense is disclosed in the Consolidated Statement of Operations, if applicable.
As of June 30, 2025, the Fund did not have any tax positions that did not meet the threshold of being sustained by the applicable tax authority. Generally, tax authorities can examine all the tax returns filed for the last three years. The Fund identifies its major tax jurisdiction as U.S. Federal and the Commonwealth of Delaware; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits on uncertain tax positions as income tax expense in the Consolidated Statement of Operations. The Subsidiary (defined in Note 2.H.) is an exempted Cayman investment company and as such is not subject to Cayman Island taxes at the present time. For U.S. income tax purposes, the Subsidiary is a controlled foreign corporation not subject to U.S. income taxes. As a wholly-owned controlled foreign corporation, the Subsidiary’s net income and capital gains, if any, will be included each year in the Fund’s investment company taxable income.
| D. | Foreign Currency. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. |
13
| Notes to the Consolidated Financial Statements | Cambria Chesapeake Pure Trend ETF |
June 30, 2025
The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
The Fund reports net realized foreign exchange gains or losses that arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at period end, resulting from changes in exchange rates.
| E. | Securities Transactions and Investment Income. Investment securities transactions are accounted for on the trade date. Gains and losses realized on sales of securities are determined on a specific identification basis. Discounts/premiums on debt securities purchased are accreted/amortized over the life of the respective securities using the effective interest method. Dividend income is recorded on the ex-dividend date. Dividends received from REITs generally are comprised of ordinary income, capital gains, and may include return of capital. Interest income is recorded on an accrual basis. Other non-cash dividends are recognized as investment income at the fair value of the property received. Withholding taxes on foreign dividends have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. |
| F. | Futures Contracts. The Fund may purchase or sell futures contracts to gain long or short exposure to equities, fixed income, currencies and commodities. The purchase or sale of futures contracts may be more efficient or cost-effective than buying or selling the underlying securities or assets. A futures contract is an agreement that obligates the buyer to buy and the seller to sell a specified quantity of an underlying asset (or settle for cash the value of a contract based on an underlying asset, rate, or index) at a specific price on the contract maturity date. Upon entering into a futures contract, the Fund is required to pledge to the counterparty an amount of cash, U.S. government securities or other high-quality debt securities equal to the minimum “initial margin” requirements of the exchange or the broker. Thereafter, a “variation margin” amount may be required to be paid by the Fund or received by the Fund in accordance with margin controls set for such accounts, depending upon changes in the marked-to market value of the futures contract. London Metal Exchange (“LME”) futures contracts settle on their respective maturity date, and do not have daily cash movements like other futures contracts. The account is marked-to market daily and the variation margin is monitored by the Adviser and Custodian (defined below) on a daily basis. When the contract is closed, the Fund records a gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The Fund will cover their current obligations under futures contracts by the segregation of liquid assets or by entering into offsetting transactions or owning positions covering its obligations. The Fund’s use of futures contracts may involve risks that are different from, or possibly greater than, the risk associated with investing directly in securities or other more traditional instruments. These risks include the risk that the value of the futures contracts may not correlate perfectly, or at all, with the value of the assets, reference rates, or indices that they are designed to track. Other risks include: an illiquid secondary market for a particular instrument and possible exchange-imposed price fluctuation limits, either of which may make it difficult or impossible to close out a position when desired; the risk that adverse price movements in an instrument can result in a loss substantially greater than a Fund’s initial investment in that instrument (in some cases, the potential loss is unlimited); and the risk that a counterparty will not perform its obligations. The Fund had futures contracts activity during the year ended June 30, 2025. Realized and unrealized gains and losses are included in the Consolidated Statement of Operations. The futures contracts held by the Fund are exchange-traded with StoneX Financial, Inc. acting as the futures commission merchant. |
| G. | Forward Currency Contracts. The Fund may purchase forward currency contracts. A forward currency contract is a negotiated agreement between the contracting parties to exchange a specified amount of currency at a specified future time at a specified rate (e.g., 30-, 60-, or 90-days). The rate can be higher or lower than the spot rate between the currencies that are the subject of the contract. Realized and unrealized gains and losses are included in the Consolidated Statement of Operations. The forward currency contracts held by the Fund are traded with StoneX Financial, Inc. acting as the forward contracts commission merchant. |
| H. | Basis for Consolidation for the Fund. The Fund may invest up to 25% of its total assets in the Cambria Chesapeake Cayman Subsidiary (the “Subsidiary”). The Subsidiary will generally invest in futures contracts that do not generate “qualifying income” under the source of income test required to qualify as a RIC under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). Unlike the Fund, the Subsidiary may invest without limitation in futures contracts and other derivative instruments; however, the Subsidiary will comply with the same 1940 Act requirements that are applicable to the Fund’s transactions in derivatives. In addition, the Subsidiary will be subject to the same fundamental investment restrictions and will follow the same compliance policies and procedures as the Fund. Unlike the Fund, the Subsidiary will not seek to qualify as a RIC under the Code. The Fund is the sole investor in the Subsidiary and does not expect the shares of the Subsidiary to be offered or sold to other investors. The financial statements of the Subsidiary are consolidated with the Fund’s financial statements. The Fund had $662,213, or 3.7% of its net assets invested in the Subsidiary as of June 30, 2025. |
14
| Notes to the Consolidated Financial Statements | Cambria Chesapeake Pure Trend ETF |
June 30, 2025
| I. | Derivatives Transactions. Pursuant to Rule 18f-4 under the 1940 Act, the SEC imposes limits on the amount of derivatives a fund can enter into, eliminates the asset segregation and cover framework arising from prior SEC guidance for covering derivatives and certain financial instruments currently used by funds to comply with Section 18 of the 1940 Act and treats derivatives as senior securities. Under Rule 18f-4, a fund’s derivatives exposure is limited through a value-at-risk test. Funds whose use of derivatives is more than a limited specified exposure amount are required to establish and maintain a comprehensive derivatives risk management program, subject to oversight by a fund’s board of trustees, and appoint a derivatives risk manager. The Fund has implemented a Rule 18f-4 Derivative Risk Management Program that complies with Rule 18f-4. |
| J. | Deposits at Brokers. Deposits at brokers for futures contracts, forward currency contracts, and securities sold short represent amounts that are held by third parties under certain of the Fund’s derivative transactions. Such cash is excluded from cash and cash equivalents in the Consolidated Statement of Assets and Liabilities. Cash and cash equivalents and deposits at broker are subject to credit risk to the extent those balances exceed applicable Securities Investor Protection Corporation (“SIPC”) or Federal Deposit Insurance Corporation (“FDIC”) limitations. |
| K. | Short Sales. The Fund may engage in short sales of securities. A short sale is a transaction in which the Fund sells a security it does not own in anticipation that the market price of the security will decline. To complete such a transaction, the Fund must borrow the security to make delivery to the buyer. The Fund is obligated to replace the borrowed security by purchasing it subsequently at prevailing market prices, which may be higher than the price at which the security was sold by the Fund. Until the borrowed security is replaced, the Fund is required to pay the lender amounts equal to any dividends or interest that accrue on the borrowed security during the period of the loan. In addition, the Fund may be required to pay a premium or other fee to borrow the security. The Fund’s potential loss on a short sale is theoretically unlimited. |
| L. | Reclassification of Capital Accounts. U.S. GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications are primary due to adjustments for Subsidiary income and net operating losses. These reclassifications have no effect on net assets or net asset value (“NAV”) per Share. For the fiscal year ended June 30, 2025, the following reclassification adjustments were made: |
| Paid-In | Total Accumulated | |||||
| Capital | Losses | |||||
| $ | (2,006,031 | ) | $ | 2,006,031 | ||
| M. | Distributions to Shareholders. Distributions to shareholders from net investment income, if any, for the Fund are declared and paid at least annually. Distributions to shareholders from net realized gains on securities, if any, for the Fund normally are declared and paid on an annual basis. Distributions are recorded on the ex-dividend date. |
| N. | Use of Estimates. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. |
| O. | Share Valuation. The NAV per Share is calculated by dividing the sum of the value of the securities held by the Fund, plus cash or other assets, minus all liabilities by the total number of shares outstanding for the Fund, rounded to the nearest cent. Fund Shares will not be priced on the days on which the Cboe BZX Exchange, Inc. (“CBOE”) is closed for trading. |
| P. | Guarantees and Indemnifications. In the normal course of business, the Fund enters into contracts with service providers that contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. |
15
| Notes to the Consolidated Financial Statements | Cambria Chesapeake Pure Trend ETF |
June 30, 2025
| Q. | Illiquid Securities. Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a Board-approved Liquidity Risk Management Program (the “Program”) that requires, among other things, that the Fund limit its illiquid investments that are assets to no more than 15% of the value of the Fund’s net assets. An illiquid investment is any security that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. If the Fund should be in a position where the value of illiquid investments held by the Fund exceeds 15% of the Fund’s net assets, the Fund will take such steps as set forth in the Program. |
| NOTE 3 – PRINCIPAL INVESTMENT RISKS |
Counterparty Risk. Counterparty risk is the likelihood or probability that a party involved in a transaction might default on its contractual obligation. Where the Fund enters into derivative contracts that are exchange-traded, the Fund is subject to the counterparty risk associated with the Fund’s clearing broker or clearinghouse. Relying on a counterparty exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of an investment in the Fund to decrease. In addition, to the extent the Fund deals with a limited number of counterparties, it will be more susceptible to the credit risks associated with those counterparties.
Commodities Risk. Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments. Exposure to the commodities markets through investments in commodities (or indirectly via derivative instruments) may subject the Fund to greater volatility than investments in traditional securities. Significant changes in the value of commodities may lead to volatility in the Fund’s NAV and market price.
● Energy Commodities Risk. The prices of energy commodities are subject to national and global political events such as governmental regulation and intervention, price controls, and restrictions on production levels. Energy commodities have had significant price swings in recent years. Markets for various energy-related commodities can have significant volatility, and are subject to control or manipulation by large producers or purchasers.
● Precious Metal Commodities Risk. The prices of precious metals may be influenced by macroeconomic conditions, including confidence in the global monetary system and the relative strength of various currencies, as well as demand in the industrial and jewelry sectors. Political events also influence the prices of precious metals. Prices are influenced by supplies of precious metals, which may be affected by sales by central banks and governmental agencies that hold large amounts of these metals, particularly gold.
● Industrial Metal Commodities Risk. The prices of commodities comprising the industrial metals are subject to a number of factors that can cause price fluctuations, including changes in the level of industrial activity; disruptions in mining, storing, and refining the metals; adjustments to inventory; variations in production costs; and regulatory compliance costs.
● Grains Commodities Risk. The commodities comprising the grains are subject to a number of factors that can cause price fluctuations, including weather conditions, changes in government policies and trade agreements, planting decisions, and changes in demand.
Equity Market Risk. By virtue of the Fund’s investments in equity securities, the Fund is exposed to common stocks which subjects the Fund to equity market risk. Common stocks are generally exposed to greater risk than other types of securities, such as preferred stock and debt obligations, because common stockholders generally have inferior rights to receive payment from specific issuers. Equity securities may experience sudden, unpredictable drops in value or long periods of decline in value. This may occur because of factors that affect securities markets generally or factors affecting specific issuers, industries, or sectors in which the Fund invests.
As with any investment, there is a risk that you could lose all or a portion of your principal investment in the Fund. The Fund is subject to the above principal risks, as well as other principal risks which may adversely affect the Fund’s NAV, trading price, yield, total return and/or ability to meet its objective. For more information about the risks of investing in the Fund, see the section in the Fund’s Prospectus titled “Additional Information About the Fund — Principal Investment Risks.”
16
| Notes to the Consolidated Financial Statements | Cambria Chesapeake Pure Trend ETF |
June 30, 2025
| NOTE 4 – COMMITMENTS AND OTHER RELATED PARTY TRANSACTIONS |
The Adviser serves as investment adviser to the Fund pursuant to an investment advisory agreement between the Adviser and the Trust, on behalf of the Fund (the “Advisory Agreement”), and, pursuant to the Advisory Agreement, provides investment advice to the Fund and oversees the day-to-day operations of the Fund, subject to the direction and oversight of the Board. The Adviser is also responsible for trading portfolio securities for the Fund, including selecting broker-dealers to execute purchase and sale transactions, subject to the supervision of the Board. The Adviser also serves as adviser to the Subsidiary pursuant to the advisory agreement between the Adviser and the Subsidiary (the “Subsidiary Advisory Agreement”). The Adviser does not receive any compensation for services rendered by the Adviser as investment adviser to the Subsidiary and is not entitled to any compensation under the Subsidiary Advisory Agreement. The Adviser provides oversight of the Sub-Advisers and review of the Sub-Advisers’ performance.
Pursuant to the Advisory Agreement, the Fund pays the Adviser a unitary management fee (the “Investment Advisory Fee”) based on the average daily net assets of the Fund at the annualized rate of 0.75%. Out of the Investment Advisory Fee, the Adviser is obligated to pay or arrange for the payment of substantially all expenses of the Fund, including the cost of sub-advisory, transfer agency, custody, fund administration, and all other related services necessary for the Fund to operate. Under the Advisory Agreement, the Adviser has agreed to pay, or require the Sub-Advisers to pay, all expenses incurred by the Fund except for interest charges on any borrowings, dividends and other expenses on securities sold short, taxes, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses, distribution fees and expenses paid by the Fund under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act (collectively, “Excluded Expenses”), and the Investment Advisory Fee payable to the Adviser. The Investment Advisory Fees incurred are paid monthly to the Adviser. Investment Advisory Fees for the year ended June 30, 2025 are disclosed in the Consolidated Statement of Operations.
The Sub-Advisers serve as investment sub-advisers to the Fund, pursuant to a sub-advisory agreements between the Adviser and the Sub-Advisers with respect to the Fund (the “Sub-Advisory Agreements”). Pursuant to the Sub-Advisory Agreements, the Sub-Advisers are responsible for the day-to-day management of the Fund’s portfolio, including determining the securities purchased and sold by the Fund, subject to the supervision of the Adviser and the Board. The Sub-Advisers are paid a fee by the Adviser, which is calculated daily and paid monthly, at an annual rate of 0.04% of the Fund’s average daily net assets (the “Sub-Advisory Fee”). The Sub-Advisers and the Adviser have agreed that each will have a joint obligation to pay all expenses incurred by the Fund, except for Excluded Expenses. For assuming the payment obligation, the Adviser has agreed to pay to the Sub-Advisers a portion of the profits, if any, generated by the Fund’s Investment Advisory Fees, less a contractual fee retained by the Adviser. Expenses incurred by the Fund and paid by the Sub-Advisers include fees charged by Tidal (defined below), which is an affiliate of the Adviser.
Chesapeake also serves as the Futures Trading Advisor to the Subsidiary, a wholly-owned and controlled subsidiary of the Fund, organized under the laws of the Cayman Islands as an exempted company, pursuant to the Subsidiary Trading Agreement. Pursuant to the Subsidiary Trading Agreement, Chesapeake is responsible for the day-to-day management of the Subsidiary’s commodities portfolio, including making recommendations about the commodities investments to be purchased and sold by the Subsidiary, subject to the supervision of the Adviser and the Board. Chesapeake is not paid an additional fee under the Subsidiary Trading Agreement.
Tidal ETF Services LLC (“Tidal”), a Tidal Financial Group company and an affiliate of the Adviser, serves as the Fund’s administrator and, in that capacity, performs various administrative and management services for the Fund. Tidal coordinates the payment of Fund-related expenses and manages the Trust’s relationships with its various service providers. As compensation for the services it provides, Tidal receives a fee based on the Fund’s average daily net assets, subject to a minimum annual fee. Tidal also is entitled to certain out-of-pocket expenses for the services mentioned above.
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as the Fund’s sub-administrator, fund accountant and transfer agent. In those capacities, Fund Services performs various administrative and accounting services for the Fund. Fund Services prepares various federal and state regulatory filings, reports and returns for the Fund, including regulatory compliance monitoring and financial reporting; prepares reports and materials to be supplied to the Board; and monitors the activities of the Fund’s custodian. U.S. Bank N.A. (the “Custodian”), an affiliate of Fund Services, serves as the Fund’s custodian.
Effective April 1, 2025, ALPS Distributors, Inc (the “Distributor”) acts as the Fund’s principal underwriter in a continuous public offering of the Fund’s Shares. Prior to April 1, 2025, Foreside Fund Services, LLC acted as the Fund’s Distributor.
Certain officers and a trustee of the Trust are affiliated with the Adviser. Neither the affiliated trustee nor the Trust’s officers receive compensation from the Fund.
17
| Notes to the Consolidated Financial Statements | Cambria Chesapeake Pure Trend ETF |
June 30, 2025
The Board has adopted a Distribution (Rule 12b-1) Plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Plan, the Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year to pay distribution fees for the sale and distribution of its Shares. No Rule 12b-1 fees are currently paid by the Fund, and there are no plans to impose these fees. However, in the event Rule 12b-1 fees are charged in the future, because the fees are paid out of the Fund’s assets on an ongoing basis, over time these fees will increase the cost of your investment and may cost you more than certain other types of sales charges.
| NOTE 5 – SEGMENT REPORTING |
In accordance with the FASB Accounting Standards Update (ASU) 2023-07, Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures, the Fund has evaluated its business activities and determined that it operates as a single reportable segment.
The Fund’s investment activities are managed by the Adviser, which serves as the Chief Operating Decision Maker (“CODM”). The Adviser is responsible for assessing the Fund’s financial performance and allocating resources. In making these assessments, the Adviser evaluates the Fund’s financial results on an aggregated basis, rather than by separate segments. As such, the Fund does not allocate operating expenses or assets to multiple segments, and accordingly, no additional segment disclosures are required.
The Fund primarily generates income through dividends, interest, and realized/unrealized gains on its investment portfolio. Expenses incurred, including management fees, Fund operating expenses, and transaction costs, are considered general fund-level expenses and are not allocated to specific segments or business lines.
Management has determined that the Fund does not meet the criteria for disaggregated segment reporting under ASU 2023-07 and will continue to evaluate its reporting requirements in accordance with applicable accounting standards.
| NOTE 6 – PURCHASES AND SALES OF SECURITIES |
For the fiscal year ended June 30, 2025, the cost of purchases and proceeds from the sales or maturities of securities, excluding short-term investments, securities sold short, U.S. government securities, in-kind transactions, and purchases and sales of the Subsidiary, were $29,080,710 and $33,742,348, respectively.
For the year ended June 30, 2025, there were no purchases or sales of long-term U.S. government securities.
For the year ended June 30, 2025, there were no in-kind transactions associated with creations or redemptions for the Fund.
During the current fiscal year, the Fund had a trade error that resulted in a $18,332 loss to the Fund which was subsequently reimbursed to the Fund by the Adviser.
| NOTE 7 – INCOME TAXES AND DISTRIBUTIONS TO SHAREHOLDERS |
The tax character of distributions paid during the fiscal year ended June 30, 2025 and the prior fiscal period ended June 30, 2024 were as follows:
| Distributions paid from: | June 30, 2025 | June 30, 2024 | ||||||
| Ordinary Income | $ | 70,850 | $ | — | ||||
As of the fiscal year ended June 30, 2025, the components of accumulated losses on a tax basis were as follows:
| Investments, at cost (a) | $ | 13,602,297 | ||
| Gross tax unrealized appreciation | 1,518,192 | |||
| Gross tax unrealized depreciation | (734,750 | ) | ||
| Net tax unrealized appreciation (depreciation) | 783,442 | |||
| Undistributed ordinary income (loss) | — | |||
| Undistributed long-term capital gain (loss) | — | |||
| Total accumulated losses | — | |||
| Other accumulated gain (loss) | (5,607,428 | ) | ||
| Total accumulated losses | $ | (4,823,986 | ) |
| (a) | Investments, at cost includes long & short investments, futures, and forwards. The difference between book and tax-basis cost of investments was attributable primarily to the treatment of wash sales, mark-to-market treatment of futures and open forward currency contracts. |
18
| Notes to the Consolidated Financial Statements | Cambria Chesapeake Pure Trend ETF |
June 30, 2025
Net capital losses incurred after October 31 (post-October losses) and net investment losses incurred after December 31 (late-year losses), and within the taxable year, may be elected to be deferred to the first business day of the Fund’s next taxable year. As of the fiscal year ended June 30, 2025, the Fund had elected to defer $1,396,972 late-year losses.
As of the fiscal year ended June 30, 2025, the Fund had long-term and short-term capital loss carryovers of $1,925,613 and $2,284,843, respectively, which do not expire.
| NOTE 8 – SHARES TRANSACTIONS |
Shares of the Fund are listed and traded on the CBOE. Market prices for the Shares may be different from their NAV. The Fund issues and redeems Shares on a continuous basis at NAV generally in large blocks of Shares, called Creation Units. Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, Shares generally trade in the secondary market at market prices that change throughout the day. Except when aggregated in Creation Units, Shares are not redeemable securities of the Fund. Creation Units may only be purchased or redeemed by Authorized Participants. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Company participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem the Shares directly from the Fund. Rather, most retail investors may purchase Shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.
The Fund currently offers one class of shares, which has no front-end sales load, no deferred sales charge, and no redemption fee. A fixed transaction fee is imposed for the transfer and other transaction costs associated with the purchase or sale of Creation Units. The standard fixed transaction fee for the Fund is $500, payable to the Custodian. The fixed transaction fee may be waived on certain orders if the Fund’s Custodian has determined to waive some or all of the costs associated with the order or another party, such as the Adviser, has agreed to pay such fee. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units and Redemption Units of up to a maximum of 2% of the value of the Creation Units and Redemption Units subject to the transaction. Variable fees are imposed to compensate the Fund for transaction costs associated with the cash transactions. Variable fees received by the Fund, if any, are disclosed in the capital shares transactions section of the Consolidated Statements of Changes in Net Assets. The Fund may issue an unlimited number of shares of beneficial interest, with no par value. All shares of the Fund have equal rights and privileges.
| NOTE 9 – RECENT MARKET EVENTS |
U.S. and international markets have experienced and may continue to experience significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including uncertainty regarding inflation and central banks’ interest rate changes, the possibility of a national or global recession, trade tensions and tariffs, political events, armed conflict, war, and geopolitical conflict. These developments, as well as other events, could result in further market volatility and negatively affect financial asset prices, the liquidity of certain securities and the normal operations of securities exchanges and other markets, despite government efforts to address market disruptions. As a result, the risk environment remains elevated. The Adviser and Sub-Adviser will monitor developments and seek to manage the Fund in a manner consistent with achieving the Fund’s investment objective, but there can be no assurance that they will be successful in doing so.
| NOTE 10 – SUBSEQUENT EVENTS |
In preparing these consolidated financial statements, management has evaluated events and transactions for potential recognition or disclosure through the date the consolidated financial statements were issued. Management has determined that there are no subsequent events that would need to be recognized or disclosed in the Fund’s consolidated financial statements.
19
| Report of Independent Registered Public Accounting Firm |
Cambria Chesapeake Pure Trend ETF |
To the Shareholders of Cambria Chesapeake Pure Trend ETF and
Board of Trustees of Tidal Trust II
Opinion on the Financial Statements
We have audited the accompanying consolidated statement of assets and liabilities, including the consolidated schedules of investments, securities sold short, futures contracts, and forward currency contracts, of Cambria Chesapeake Pure Trend ETF (the “Fund”), a series of Tidal Trust II, as of June 30, 2025, the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets, and the consolidated financial highlights for the year ended June 30, 2025, and for the period from May 28, 2024 (commencement of operations) through June 30, 2024, and the related notes (collectively referred to as the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Fund as of June 30, 2025, the results of its operations for the year then ended, the changes in net assets, and the financial highlights for each of the periods indicated above, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These consolidated financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s consolidated financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our procedures included confirmation of securities owned as of June 30, 2025, by correspondence with the custodian and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Tidal Investments LLC investment companies since 2020.
COHEN & COMPANY, LTD.
Philadelphia, Pennsylvania
August 29, 2025
20
| Other Non-Audited Information |
Cambria Chesapeake Pure Trend ETF |
June 30, 2025
QUALIFIED DIVIDEND INCOME/DIVIDENDS RECEIVED DEDUCTION
For the year ended June 30, 2025, certain dividends paid by the Fund may be subject to a maximum tax rate of 23.8%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and the Tax Cuts and Jobs Act of 2017. The percentage of dividends declared from ordinary income designated as qualified dividend income was as follows:
| Cambria Chesapeake Pure Trend ETF | 7.45% |
For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the year ended June 30, 2025, was as follows:
| Cambria Chesapeake Pure Trend ETF | 7.45% |
The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(c) for the year ended June 30, 2025, was as follows:
| Cambria Chesapeake Pure Trend ETF | 0.00% |
21
| (b) | Financial Highlights are included within the financial statements filed under Item 7(a) of this Form. |
Item 8. Changes in and Disagreements with Accountants for Open-End Investment Companies.
There have been no changes in or disagreements with the Fund’s accountants.
Item 9. Proxy Disclosure for Open-End Investment Companies.
There were no matters submitted to a vote of shareholders during the period covered by the report.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Investment Companies.
See Item 7(a). Under the Investment Advisory Agreement, in exchange for a single unitary management fee from the Fund, the Adviser has agreed to pay all expenses incurred by the Fund, including Trustee compensation, except for certain excluded expenses.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
Not Applicable.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 15. Submission of Matters to a Vote of Security Holders.
Not Applicable.
Item 16. Controls and Procedures.
| (a) | The Registrant’s President/Principal Executive Officer and Treasurer/Principal Financial Officer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable to open-end investment companies.
Item 18. Recovery of Erroneously Awarded Compensation.
(a) Not Applicable
(b) Not Applicable
Item 19. Exhibits.
| (a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Filed herewith. |
(2) Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the registrant’s securities are listed. Not applicable.
(3) A separate certification for each principal executive officer and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(4) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable.
(5) Change in the registrant’s independent public accountant. Provide the information called for by Item 4 of Form 8-K under the Exchange Act (17 CFR 249.308). Unless otherwise specified by Item 4, or related to and necessary for a complete understanding of information not previously disclosed, the information should relate to events occurring during the reporting period. Not applicable.
| (b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (Registrant) | Tidal Trust II |
| By (Signature and Title)* | /s/ Eric W. Falkeis | |
| Eric W. Falkeis, Principal Executive Officer |
| Date | September 8, 2025 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By (Signature and Title)* | /s/ Eric W. Falkeis | |
| Eric W. Falkeis, Principal Executive Officer |
| Date | September 8, 2025 |
| By (Signature and Title)* | /s/ Aaron J. Perkovich | |
| Aaron J. Perkovich, Treasurer/Principal Financial Officer | ||
| Date | September 8, 2025 |
* Print the name and title of each signing officer under his or her signature.
FAQ
What is the Fund's inception date and share NAV?
How much of the Fund's assets were invested and what percent was shorted?
What derivative instruments does the Fund use?
What was the Fund's portfolio turnover and what does it indicate?
Did the Fund incur any trade-error losses?
