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ETF Foundry Research (hypothetical) · rebalanced monthly
Every other metric on this page is the long-shortstrategy, which needs a short book. This fund is the long leg alone, so these are the figures for what it actually holds. The bottom-bucket number is that basket’s own return — not short P&L.
Gross of the placeholder expense ratio and trading costs · not investor results
Every constituent of the long leg — sort, search or filter by sector
| Ticker | Company | Sector | Market cap | Weight |
|---|---|---|---|---|
1MA | MASTERCARD INC | Financial Services | $568.53B | 55.02% |
2SPGI | S&P GLOBAL INC | Financial Services | $135.82B | 13.14% |
3MCO | MOODYS CORP | Financial Services | $87.33B | 8.45% |
4HOOD | ROBINHOOD MARKETS INC | Financial Services | $73.25B | 7.09% |
5MSCI | MSCI INC | Financial Services | $46.58B | 4.51% |
6COIN | COINBASE GLOBAL INC | Financial Services | $34.60B | 3.35% |
7FDS | FACTSET RESEARCH SYSTEMS INC | Financial Services | $11.69B | 1.13% |
8EVR | EVERCORE INC | Financial Services | $11.22B | 1.09% |
9MORN | MORNINGSTAR INC | Financial Services | $9.13B | 0.88% |
10FCFS | FIRSTCASH HOLDINGS INC | Financial Services | $7.79B | 0.75% |
11RIOT | RIOT PLATFORMS INC | Financial Services | $6.69B | 0.65% |
12WULF | TERAWULF INC | Financial Services | $6.54B | 0.63% |
13APLD | APPLIED DIGITAL CORP | Financial Services | $5.13B | 0.50% |
14BWIN | BALDWIN INSURANCE GROUP INC | Financial Services | $4.50B | 0.44% |
15CRVL | CORVEL CORP | Financial Services | $4.35B | 0.42% |
16NP | NEPTUNE INSURANCE HOLDINGS INC | Financial Services | $3.94B | 0.38% |
17WT | WISDOMTREE INC | Financial Services | $3.27B | 0.32% |
18MARA | MARA HOLDINGS INC | Financial Services | $2.79B | 0.27% |
19CLSK | CLEANSPARK INC | Financial Services | $1.76B | 0.17% |
20DFIN | DONNELLEY FINANCIAL SOLUTIONS INC | Financial Services | $1.67B | 0.16% |
21TWFG | TWFG INC | Financial Services | $1.45B | 0.14% |
22GOLD | GOLDCOM INC | Financial Services | $1.06B | 0.10% |
23ABX | ABACUS GLOBAL MANAGEMENT INC | Financial Services | $859M | 0.08% |
24GDOT | GREEN DOT CORP | Financial Services | $658M | 0.06% |
25CRD.A | CRAWFORD & CO | Financial Services | $572M | 0.06% |
26ABTC | AMERICAN BITCOIN CORP | Financial Services | $368M | 0.04% |
27RTAC | RENATUS TACTICAL ACQUISITION CORP I | Financial Services | $327M | 0.03% |
28PMTS | CPI CARD GROUP INC | Financial Services | $293M | 0.03% |
29CUB | LIONHEART HOLDINGS | Financial Services | $287M | 0.03% |
30CEPO | CANTOR EQUITY PARTNERS I INC | Financial Services | $276M | 0.03% |
31GTERA | GLOBA TERRA ACQUISITION CORP | Financial Services | $249M | 0.02% |
32SOCA | SOLARIUS CAPITAL ACQUISITION CORP | Financial Services | $245M | 0.02% |
33SIMA | SIM ACQUISITION CORP I | Financial Services | $90M | 0.01% |
34IBAC | IB ACQUISITION CORP | Financial Services | $54M | 0.01% |
Full long-leg book as of November 2026 · cap-weighted · total market cap $1.03T. Hypothetical model holdings — not a registered fund’s portfolio.
Size × value map of the long-leg book
Share of long-leg capital by market cap × book-to-market, using terciles of the 882-name universe at November 2026. Rows: Large ≥ $1.6B, Small < $311M. Columns: Value ≥ 0.61, Growth < 0.31 B/M. The dot marks the capital-weighted centroid of the book — 100% toward Large, 99% toward Growth. Hypothetical holdings — descriptive, not realized P&L.
Capital-weighted centroid of the long leg, December 1998 → November 2026; the right-hand end is the same value as the box’s dot. 34 names now. Hypothetical holdings — descriptive, not P&L.
How this book measures against the concentration and liquidity rules — as implemented here
These are UNCONSTRAINED factor sleeves: the construction pipeline sorts on a signal and cap-weights the top bucket, applying no issuer cap, no industry cap and no liquidity screen beyond the universe filter. A failing test therefore reports a constraint that was never applied during construction — it is not a defect in the strategy and not an error in the data. The same signal can be solved subject to these constraints.
7 independent checks plus 1 arithmetically implied by another check (RIC / IRC 851(b)(3)(A) 50% bucket), which is reported separately so the tally cannot overstate scrutiny.
1 of 7 checks could not be tested. Those are neither passes nor failures — they are gaps in what the data can answer, and they are excluded from the passed count above rather than folded into it.
With respect to 75% of total assets, no more than 5% may be invested in the securities of any one issuer.
No more than 25% of total assets may be invested in the securities of any one issuer.
Days required to liquidate the largest position at 20% of one day's dollar volume.
At least 50% of total assets must sit in cash, government securities, other RICs, and other securities limited to 5% of assets and 10% of the issuer's voting securities per issuer.
Arithmetically entailed by '40 Act 5(b)(1) diversification (75%/5% asset leg) — it cannot fail independently, so it is reported outside the tally rather than counted as a separate check.
Engineering approximation of the cited rules for a DRAFT / HYPOTHETICAL model portfolio that is not a registered fund. This reports whether the portfolio passes the stated test AS IMPLEMENTED HERE; it is not a compliance opinion and is not a statement that any fund is compliant. Real filings need securities counsel.
No verdict sits within 1.0pp of its limit.
Data version — panel=20261113T032607 rows=2198308 asof=202611 issuers=20261113T063725 rates=20261113T063725
Measured on the 2026-11 formation date across 34 holdings (cap-weighted). A different formation date can produce different verdicts.
Whether this long-only book is subject to the VaR tests at all
This assessment describes the long-only book this fund holds — the top bucket only.
This fund QUALIFIES for the limited-derivatives-user exception, so it is excepted from the VaR tests; the ratio below is informational, not the operative limit.
Rule 18f-4(c)(4): a fund whose derivatives exposure (gross notional, including the value of assets sold short) is <= 10% of net assets is excepted from the VaR tests and the full derivatives risk management program.
No confidence interval: this follows from portfolio construction, not from an estimate.
Rule 18f-4(c)(2)(i): fund VaR at 99% over 20 trading days must not exceed 200% of the designated reference portfolio's VaR on the same basis.
Informational — does not governThis fund is excepted from the VaR tests, so the ratio below is context rather than the operative limit. It is shown because it is still a description of the book’s risk, not because it decides anything.
historical method · 335 monthly observations · about 3.4 in the 99% tail · paired percentile bootstrap over months
The estimators disagree about the verdict, not just the value — the choice of method decides the answer here. Historical VaR gives ratio 2.14 (fail) but Gaussian VaR gives 1.49 (pass). The pass/fail conclusion is an artefact of estimator choice, not a property of the strategy.
Engineering approximation of SEC Rule 18f-4 for research display. Not a compliance opinion and not a determination that any fund is compliant. Hypothetical model portfolio, not a registered fund.
The research long-short construction behind this factor does not qualify for this exception — a dollar-neutral book counts its full short notional, which is 100% of net assets against a 10% threshold. This product sidesteps that by holding the long leg alone, which is also why the long-leg Sharpe is reported separately throughout the site.
See the long-short verdict on the factor page →Did the edge survive the paper coming out?
There is no “before” to compare against — the predictor was already public when our data begins, so every month shown is out-of-sample relative to the original study.
Split at January of the year after the factor was published. The post-publication stretch IS genuinely out-of-sample relative to the original study -- the predictor was public by then -- so it speaks to whether the effect survived being known. Nothing is fitted here, so this is performance SINCE PUBLICATION, not validation of a model. Note the 'pre' side is our data before publication (our panel starts ~1999), NOT the study's original in-sample period, which usually ran decades earlier; a decay figure compares before-vs-after within our sample and is not a comparison against the published result.
Is this record broadly durable, or one regime?
3-year rolling windows, stepping 1 year (26 windows). Dispersion is the spread of window Sharpes — higher means the record depends more on which era you look at.
Rules-based factors fit no parameters, so these windows are not out-of-sample tests and do not validate a fitted model. They show whether the factor's record is consistent across eras or driven by one regime.
Long leg is what this fund holds — long-short is shown for reference
| Period | Long leg | Long-short |
|---|---|---|
| 1 yearcum. | 24.1% | 13.4% |
| 3 yearsp.a. | 7.7% | -25.8% |
| 5 yearsp.a. | 0.2% | -19.6% |
| 10 yearsp.a. | 14.9% | -9.6% |
| Since inceptionp.a. | 10.4% | -6.3% |
| Year | Long leg | Long-short |
|---|---|---|
| 202611 mo | 21.0% | 2.8% |
| 2025 | -5.7% | -34.9% |
| 2024 | 11.2% | -32.7% |
| 2023 | 21.3% | -10.3% |
| 2022 | -35.6% | -16.8% |
| 2021 | 53.3% | 27.6% |
| 2020 | 42.1% | -1.9% |
| 2019 | 7.5% | -25.6% |
| 2018 | 3.5% | 10.0% |
| 2017 | 58.9% | 1.1% |
| 2016 | 21.5% | 17.0% |
| 2015 | 17.1% | 3.2% |
| 2014 | 10.5% | 0.6% |
| 2013 | 48.4% | -6.0% |
| 2012 | 29.9% | 7.8% |
| 2011 | 0.4% | 18.2% |
| 2010 | 0.8% | -5.5% |
| 2009 | 34.1% | -30.1% |
| 2008 | -54.3% | 34.1% |
| 2007 | -6.5% | -33.3% |
| 2006 | 22.2% | 3.8% |
| 2005 | 34.6% | 73.9% |
| 2004 | 15.3% | -28.5% |
| 2003 | 33.7% | -6.6% |
| 2002 | -19.2% | -1.0% |
| 2001 | -33.2% | 6.9% |
| 2000 | 23.8% | -0.8% |
| 1999 | 39.4% | -57.3% |
Long leg = the top bucket this fund holds; long-short additionally shorts the bottom bucket and is not achievable in a long-only vehicle. Trailing figures run through November 2026: 1 year is a plain cumulative 12-month return (cum.), 3 years and longer are annualised (p.a.). Years marked with a month count are partial. These match the fact sheet’s tables by construction. Hypothetical backtest, gross of the placeholder expense ratio and trading costs — not investor results.
The Foundry Financial Services Earnings Quality (Accruals) Factor ETF tracks a rules-based model that ranks Financial Services common stocks each month by a Earnings Quality (Accruals) signal and holds the top quintile with the lowest values. Signals are computed from point-in-time Sharadar fundamentals and total-return prices. The portfolio reconstitutes monthly and is cap-weighted within the long leg.
This is a hypothetical model portfolio for research display only — not a registered fund, not an offer, and not investment advice.
Auto-generated from the model’s metrics and current holdings. Every document is labeled DRAFT / hypothetical.
Objective, fees, strategy, and key risks.
Full strategy, model methodology, and risks.
Policies, construction, and governance.
One-page snapshot with top holdings.
Full current constituent list.
DRAFT — HYPOTHETICAL MODEL PORTFOLIO — NOT A REGISTERED FUND, NOT AN OFFER TO SELL SECURITIES, NOT INVESTMENT ADVICE.