================================================================================================ DRAFT — HYPOTHETICAL MODEL PORTFOLIO — NOT A REGISTERED FUND, NOT AN OFFER TO SELL SECURITIES, NOT INVESTMENT ADVICE. ================================================================================================ Foundry Book-to-Market Value Industry-Neutral Factor ETF (FBMR) Fact Sheet · November 2026 · Dated 2026-11-14 Issuer: ETF Foundry Research (hypothetical) | Listing: Not listed (hypothetical) | CUSIP: Not applicable (hypothetical model portfolio) ## Investment Objective The Fund seeks long-term capital appreciation by tracking a rules-based Book-to-Market Value factor model, before the placeholder expense ratio and trading costs. ## Key Facts Item | Value ------------------------------+------------------------------------------------------- Ticker (pseudo) | FBMR CUSIP | Not applicable (hypothetical model portfolio) Listing exchange | Not listed (hypothetical) Underlying model | Book-to-Market Value factor (Industry-relative (FF48)) Placeholder expense ratio | 0.35% Placeholder inception date | 2022-10-22 Number of holdings (long leg) | 218 Weighting | Cap-weighted Rebalance frequency | Monthly Holdings as of | November 2026 ## Performance The following performance is HYPOTHETICAL and BACKTESTED — it was calculated by applying the model to historical data with the benefit of hindsight, is gross of the placeholder expense ratio and trading costs, and does not represent the results of any actual account. Past (hypothetical) performance does not guarantee or predict future results. ## Hypothetical Calendar-Year Total Returns (long-short backtest) Year | Hypothetical Total Return -----+-------------------------- 2017 | -5.11% 2018 | -18.08% 2019 | -0.27% 2020 | -14.03% 2021 | 21.57% 2022 | 12.47% 2023 | -13.41% 2024 | -20.31% 2025 | 22.47% 2026 | -2.63% ## Average Annual Total Returns (hypothetical, as of the most recent sample month) Period | Hypothetical Avg. Annual Total Return ------------------------------------+-------------------------------------- 1 Year | -5.93% 3 Years | 0.94% 5 Years | -0.69% 10 Years | -2.59% Since Model Inception (full sample) | 1.72% ## Top 10 Holdings (of 218) # | Ticker | Company | Sector | Weight | Market Value ---+--------+-------------------------------+--------------------+--------+------------- 1 | VMRK | VIVMARK RESIDENTIAL | Real Estate | 10.89% | $10,890,777 2 | VICI | VICI PROPERTIES INC | Real Estate | 6.00% | $6,003,956 3 | SW | SMURFIT WESTROCK PLC | Consumer Cyclical | 4.98% | $4,979,848 4 | LEN | LENNAR CORP | Consumer Cyclical | 4.37% | $4,371,821 5 | FSLR | FIRST SOLAR INC | Technology | 4.07% | $4,071,765 6 | SMCI | SUPER MICRO COMPUTER INC | Technology | 3.91% | $3,912,029 7 | NLY | ANNALY CAPITAL MANAGEMENT INC | Financial Services | 3.04% | $3,043,610 8 | ARCC | ARES CAPITAL CORP | Financial Services | 3.03% | $3,034,442 9 | AGNC | AGNC INVESTMENT CORP | Financial Services | 2.30% | $2,296,582 10 | BIO | BIO-RAD LABORATORIES INC | Healthcare | 2.19% | $2,190,626 ## Sector Allocation Sector | Weight | # Holdings -----------------------+--------+----------- Real Estate | 33.80% | 40 Financial Services | 21.48% | 61 Consumer Cyclical | 15.59% | 32 Technology | 14.25% | 22 Industrials | 3.63% | 23 Healthcare | 3.56% | 13 Basic Materials | 2.80% | 10 Communication Services | 1.94% | 7 Energy | 1.83% | 4 Consumer Defensive | 0.65% | 4 Utilities | 0.48% | 2 ## Portfolio Characteristics (hypothetical) Characteristic | Value -------------------------------+-------- Sharpe ratio (full sample) | 0.19 Annualized volatility | 15.98% Maximum drawdown | -55.04% Average monthly turnover | 15.03% Out-of-sample Sharpe (2019-26) | 0.06 ================================================================================================ DRAFT — HYPOTHETICAL MODEL PORTFOLIO — NOT A REGISTERED FUND, NOT AN OFFER TO SELL SECURITIES, NOT INVESTMENT ADVICE. ================================================================================================