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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 |
|---|---|---|---|---|
1OXY | OCCIDENTAL PETROLEUM CORP | Energy | $58.39B | 32.65% |
2FANG | DIAMONDBACK ENERGY INC | Energy | $50.86B | 28.44% |
3VNOM | VIPER ENERGY INC | Energy | $14.77B | 8.26% |
4NE | NOBLE CORP PLC | Energy | $6.80B | 3.80% |
5NOV | NOV INC | Energy | $6.35B | 3.55% |
6RIG | TRANSOCEAN LTD | Energy | $5.94B | 3.32% |
7CNR | CORE NATURAL RESOURCES INC | Energy | $4.16B | 2.33% |
8PTEN | PATTERSON UTI ENERGY INC | Energy | $4.05B | 2.26% |
9HESM | HESS MIDSTREAM LP | Energy | $3.92B | 2.19% |
10HP | HELMERICH & PAYNE INC | Energy | $3.71B | 2.07% |
11TALO | TALOS ENERGY INC | Energy | $2.65B | 1.48% |
12BTU | PEABODY ENERGY CORP | Energy | $2.12B | 1.19% |
13NGL | NGL ENERGY PARTNERS LP | Energy | $1.95B | 1.09% |
14MNR | MACH NATURAL RESOURCES LP | Energy | $1.54B | 0.86% |
15XPRO | EXPRO GROUP HOLDINGS NV | Energy | $1.49B | 0.83% |
16DMLP | DORCHESTER MINERALS LP | Energy | $1.43B | 0.80% |
17PBT | PERMIAN BASIN ROYALTY TRUST | Energy | $1.41B | 0.79% |
18NBR | NABORS INDUSTRIES LTD | Energy | $1.26B | 0.71% |
19RES | RPC INC | Energy | $1.25B | 0.70% |
20HPK | HIGHPEAK ENERGY INC | Energy | $1.05B | 0.59% |
21TXO | TXO PARTNERS LP | Energy | $777M | 0.43% |
22CAPL | CROSSAMERICA PARTNERS LP | Energy | $759M | 0.42% |
23VTS | VITESSE ENERGY INC | Energy | $650M | 0.36% |
24OIS | OIL STATES INTERNATIONAL INC | Energy | $511M | 0.29% |
25CLB | CORE LABORATORIES INC | Energy | $413M | 0.23% |
26GTE | GRAN TIERRA ENERGY INC | Energy | $339M | 0.19% |
27PNRG | PRIMEENERGY RESOURCES CORP | Energy | $304M | 0.17% |
Full long-leg book as of November 2026 · cap-weighted · total market cap $178.87B. 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 140-name universe at November 2026. Rows: Large ≥ $6.1B, Small < $1.8B. Columns: Value ≥ 0.65, Growth < 0.38 B/M. The dot marks the capital-weighted centroid of the book — 85% toward Large, 39% toward Growth. +1% unclassified (1 missing size/value). 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. 27 names now. The faded start covers early months with a much thinner universe. 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.
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=20261113T032403 rates=20261113T032429
Measured on the 2026-11 formation date across 27 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 agree, which is mild evidence the number isn’t an artefact of one method.
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?
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. | 28.2% | 6.6% |
| 3 yearsp.a. | 11.8% | -1.6% |
| 5 yearsp.a. | 20.3% | 1.4% |
| 10 yearsp.a. | 7.9% | -0.1% |
| Since inceptionp.a. | 7.0% | -0.5% |
| Year | Long leg | Long-short |
|---|---|---|
| 202611 mo | 33.0% | 11.7% |
| 2025 | 9.9% | 15.1% |
| 2024 | 1.1% | -21.4% |
| 2023 | 6.1% | -1.7% |
| 2022 | 57.2% | 8.5% |
| 2021 | 47.0% | -11.2% |
| 2020 | -21.8% | 1.2% |
| 2019 | 12.6% | 15.9% |
| 2018 | -19.3% | 9.9% |
| 2017 | -15.0% | -15.6% |
| 2016 | 38.3% | 18.1% |
| 2015 | -33.5% | -0.4% |
| 2014 | -14.6% | -9.0% |
| 2013 | 19.3% | -7.5% |
| 2012 | 6.5% | 4.2% |
| 2011 | 0.7% | 3.7% |
| 2010 | 18.6% | 0.6% |
| 2009 | 12.6% | -29.9% |
| 2008 | -48.8% | 17.2% |
| 2007 | 33.7% | 17.8% |
| 2006 | 6.3% | -2.2% |
| 2005 | 44.4% | -2.9% |
| 2004 | 44.0% | 0.0% |
| 2003 | 28.0% | -0.4% |
| 2002 | -11.1% | 9.0% |
| 2001 | -18.9% | 7.7% |
| 2000 | 38.2% | -7.3% |
| 1999 | 16.0% | -21.9% |
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 Energy Conservative Asset Growth Factor ETF tracks a rules-based model that ranks Energy common stocks each month by a Conservative Asset Growth 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.