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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 |
|---|---|---|---|---|
1EXE | EXPAND ENERGY CORP | Energy | $20.28B | 22.37% |
2PBF | PBF ENERGY INC | Energy | $8.61B | 9.50% |
3CHRD | CHORD ENERGY CORP | Energy | $7.82B | 8.63% |
4SM | SM ENERGY CO | Energy | $7.70B | 8.50% |
5MTDR | MATADOR RESOURCES CO | Energy | $6.54B | 7.21% |
6RIG | TRANSOCEAN LTD | Energy | $5.94B | 6.55% |
7MUR | MURPHY OIL CORP | Energy | $5.21B | 5.75% |
8CNX | CNX RESOURCES CORP | Energy | $5.20B | 5.74% |
9CRGY | CRESCENT ENERGY CO | Energy | $5.09B | 5.61% |
10CNR | CORE NATURAL RESOURCES INC | Energy | $4.16B | 4.59% |
11BTU | PEABODY ENERGY CORP | Energy | $2.12B | 2.34% |
12BKV | BKV CORP | Energy | $2.08B | 2.30% |
13MNR | MACH NATURAL RESOURCES LP | Energy | $1.54B | 1.70% |
14HOS | HORNBECK OFFSHORE SERVICES INC | Energy | $1.24B | 1.36% |
15VTOL | BRISTOW GROUP INC | Energy | $1.18B | 1.31% |
16HPK | HIGHPEAK ENERGY INC | Energy | $1.05B | 1.16% |
17TBN | TAMBORAN RESOURCES CORP | Energy | $1.00B | 1.11% |
18PUMP | PROPETRO HOLDING CORP | Energy | $908M | 1.00% |
19GRNT | GRANITE RIDGE RESOURCES INC | Energy | $856M | 0.94% |
20OIS | OIL STATES INTERNATIONAL INC | Energy | $511M | 0.56% |
21SD | SANDRIDGE ENERGY INC | Energy | $488M | 0.54% |
22SMC | SUMMIT MIDSTREAM CORP | Energy | $428M | 0.47% |
23NC | NACCO INDUSTRIES INC | Energy | $266M | 0.29% |
24PED | PEDEVCO CORP | Energy | $173M | 0.19% |
25BOOM | DMC GLOBAL INC | Energy | $164M | 0.18% |
26NINE | NINE ENERGY SERVICE INC | Energy | $100M | 0.11% |
Full long-leg book as of November 2026 · cap-weighted · total market cap $90.66B. 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 — 73% toward Large, 9% toward Growth. Hypothetical holdings — descriptive, not realized P&L.
Capital-weighted centroid of the long leg, December 1999 → November 2026; the right-hand end is the same value as the box’s dot. 26 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.
Days required to liquidate the largest position at 20% of one day's dollar volume.
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=20261113T043645 rates=20261113T043645
Measured on the 2026-11 formation date across 26 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 · 332 monthly observations · about 3.3 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?
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. | 38.0% | -0.9% |
| 3 yearsp.a. | 14.4% | -5.7% |
| 5 yearsp.a. | 27.6% | 5.0% |
| 10 yearsp.a. | 4.6% | 0.4% |
| Since inceptionp.a. | 8.6% | 4.0% |
| Year | Long leg | Long-short |
|---|---|---|
| 202611 mo | 42.6% | -0.5% |
| 2025 | 1.0% | 2.0% |
| 2024 | 5.8% | -17.1% |
| 2023 | 15.0% | 12.1% |
| 2022 | 86.0% | 31.9% |
| 2021 | 89.5% | 40.8% |
| 2020 | -48.0% | -19.0% |
| 2019 | -19.9% | -31.2% |
| 2018 | -30.3% | 5.3% |
| 2017 | -16.8% | -3.4% |
| 2016 | 42.5% | 17.2% |
| 2015 | -49.9% | -24.5% |
| 2014 | -24.0% | -23.4% |
| 2013 | 31.9% | -0.4% |
| 2012 | 3.2% | -1.9% |
| 2011 | 0.7% | 2.3% |
| 2010 | 28.4% | 4.3% |
| 2009 | 52.4% | 16.9% |
| 2008 | -24.7% | 70.5% |
| 2007 | 31.8% | -15.6% |
| 2006 | 13.6% | -3.2% |
| 2005 | 33.0% | -12.0% |
| 2004 | 44.5% | 5.9% |
| 2003 | 37.0% | 14.2% |
| 2002 | -27.1% | -18.9% |
| 2001 | 7.6% | 47.3% |
| 2000 | 72.4% | 88.1% |
| 19999 mo | 10.9% | 7.8% |
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 Book-to-Market Value Factor ETF tracks a rules-based model that ranks Energy common stocks each month by a Book-to-Market Value signal and holds the top quintile with the highest 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.