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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 |
|---|---|---|---|---|
1DVN | DEVON ENERGY CORP | Energy | $52.69B | 23.73% |
2EQT | EQT CORP | Energy | $32.75B | 14.75% |
3EXE | EXPAND ENERGY CORP | Energy | $20.28B | 9.13% |
4TPL | TEXAS PACIFIC LAND CORP | Energy | $19.39B | 8.73% |
5PR | PERMIAN RESOURCES CORP | Energy | $19.10B | 8.60% |
6OVV | OVINTIV INC | Energy | $17.44B | 7.85% |
7RRC | RANGE RESOURCES CORP | Energy | $12.03B | 5.42% |
8CHRD | CHORD ENERGY CORP | Energy | $7.82B | 3.52% |
9NE | NOBLE CORP PLC | Energy | $6.80B | 3.06% |
10VAL | VALARIS LTD | Energy | $5.60B | 2.52% |
11INSW | INTERNATIONAL SEAWAYS INC | Energy | $5.35B | 2.41% |
12CNR | CORE NATURAL RESOURCES INC | Energy | $4.16B | 1.87% |
13UEC | URANIUM ENERGY CORP | Energy | $3.37B | 1.52% |
14BTU | PEABODY ENERGY CORP | Energy | $2.12B | 0.96% |
15LPG | DORIAN LPG LTD | Energy | $2.05B | 0.92% |
16INVX | INNOVEX INTERNATIONAL INC | Energy | $1.76B | 0.79% |
17NRP | NATURAL RESOURCE PARTNERS LP | Energy | $1.65B | 0.74% |
18XPRO | EXPRO GROUP HOLDINGS NV | Energy | $1.49B | 0.67% |
19DMLP | DORCHESTER MINERALS LP | Energy | $1.43B | 0.65% |
20RES | RPC INC | Energy | $1.25B | 0.56% |
21TBN | TAMBORAN RESOURCES CORP | Energy | $1.00B | 0.45% |
22VTS | VITESSE ENERGY INC | Energy | $650M | 0.29% |
23OIS | OIL STATES INTERNATIONAL INC | Energy | $511M | 0.23% |
24SD | SANDRIDGE ENERGY INC | Energy | $488M | 0.22% |
25PNRG | PRIMEENERGY RESOURCES CORP | Energy | $304M | 0.14% |
26RNGR | RANGER ENERGY SERVICES INC | Energy | $297M | 0.13% |
27NC | NACCO INDUSTRIES INC | Energy | $266M | 0.12% |
Full long-leg book as of November 2026 · cap-weighted · total market cap $222.04B. 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 — 90% toward Large, 35% 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. 27 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.
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?
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. | 8.0% | -30.1% |
| 3 yearsp.a. | 8.4% | -12.3% |
| 5 yearsp.a. | 15.9% | -5.7% |
| 10 yearsp.a. | 4.5% | -4.7% |
| Since inceptionp.a. | 8.2% | -1.9% |
| Year | Long leg | Long-short |
|---|---|---|
| 202611 mo | 12.5% | -31.1% |
| 2025 | -1.0% | 2.8% |
| 2024 | 16.1% | -6.0% |
| 2023 | -2.2% | -10.8% |
| 2022 | 62.4% | 25.9% |
| 2021 | 51.2% | 5.0% |
| 2020 | -28.7% | -2.7% |
| 2019 | 5.9% | -4.5% |
| 2018 | -27.3% | -10.4% |
| 2017 | -7.8% | -4.6% |
| 2016 | 30.0% | -0.6% |
| 2015 | -26.2% | 14.3% |
| 2014 | -9.7% | -7.0% |
| 2013 | 23.5% | -3.4% |
| 2012 | 3.3% | -2.8% |
| 2011 | 4.6% | -9.6% |
| 2010 | 36.1% | 1.9% |
| 2009 | 56.1% | -16.1% |
| 2008 | -51.5% | 0.7% |
| 2007 | 33.0% | -6.3% |
| 2006 | 5.7% | -2.0% |
| 2005 | 43.6% | -1.4% |
| 2004 | 35.3% | -8.4% |
| 2003 | 13.2% | -12.8% |
| 2002 | -7.6% | 38.0% |
| 2001 | -12.3% | 6.5% |
| 2000 | 27.1% | -13.9% |
| 1999 | 52.1% | 33.7% |
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 Leverage Factor ETF tracks a rules-based model that ranks Energy common stocks each month by a Book Leverage 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.