================================================================================================ DRAFT — HYPOTHETICAL MODEL PORTFOLIO — NOT A REGISTERED FUND, NOT AN OFFER TO SELL SECURITIES, NOT INVESTMENT ADVICE. ================================================================================================ Foundry Book-to-Market Value Factor ETF (FBMX) Fact Sheet · November 2026 · Dated 2026-11-13 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) | FBMX CUSIP | Not applicable (hypothetical model portfolio) Listing exchange | Not listed (hypothetical) Underlying model | Book-to-Market Value factor (All stocks) Placeholder expense ratio | 0.29% Placeholder inception date | 2022-01-12 Number of holdings (long leg) | 219 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 | -8.04% 2018 | -22.97% 2019 | 1.98% 2020 | -33.01% 2021 | 25.03% 2022 | 41.62% 2023 | -20.65% 2024 | -7.92% 2025 | 10.01% 2026 | -14.43% ## Average Annual Total Returns (hypothetical, as of the most recent sample month) Period | Hypothetical Avg. Annual Total Return ------------------------------------+-------------------------------------- 1 Year | -16.44% 3 Years | -1.65% 5 Years | 0.07% 10 Years | -4.78% Since Model Inception (full sample) | 1.25% ## Top 10 Holdings (of 219) # | Ticker | Company | Sector | Weight | Market Value ---+--------+-------------------------------+--------------------+--------+------------- 1 | VMRK | VIVMARK RESIDENTIAL | Real Estate | 12.15% | $12,149,544 2 | PCG | PG&E CORP | Utilities | 8.53% | $8,526,454 3 | VICI | VICI PROPERTIES INC | Real Estate | 6.70% | $6,697,899 4 | EG | EVEREST GROUP LTD | Financial Services | 3.84% | $3,837,294 5 | NLY | ANNALY CAPITAL MANAGEMENT INC | Financial Services | 3.40% | $3,395,394 6 | ARCC | ARES CAPITAL CORP | Financial Services | 3.39% | $3,385,166 7 | ALLY | ALLY FINANCIAL INC | Financial Services | 2.80% | $2,796,390 8 | AGNC | AGNC INVESTMENT CORP | Financial Services | 2.56% | $2,562,023 9 | LNC | LINCOLN NATIONAL CORP | Financial Services | 1.95% | $1,952,374 10 | CHRD | CHORD ENERGY CORP | Energy | 1.92% | $1,918,255 ## Sector Allocation Sector | Weight | # Holdings -----------------------+--------+----------- Financial Services | 42.67% | 111 Real Estate | 28.35% | 31 Utilities | 9.06% | 3 Energy | 7.84% | 14 Consumer Cyclical | 5.02% | 22 Basic Materials | 2.50% | 6 Industrials | 2.13% | 12 Healthcare | 0.92% | 11 Consumer Defensive | 0.65% | 4 Technology | 0.60% | 3 Communication Services | 0.25% | 2 ## Portfolio Characteristics (hypothetical) Characteristic | Value -------------------------------+-------- Sharpe ratio (full sample) | 0.16 Annualized volatility | 19.22% Maximum drawdown | -72.49% Average monthly turnover | 12.35% Out-of-sample Sharpe (2019-26) | 0.01 ================================================================================================ DRAFT — HYPOTHETICAL MODEL PORTFOLIO — NOT A REGISTERED FUND, NOT AN OFFER TO SELL SECURITIES, NOT INVESTMENT ADVICE. ================================================================================================