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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 | 24.22% |
2FANG | DIAMONDBACK ENERGY INC | Energy | $50.86B | 23.38% |
3EQT | EQT CORP | Energy | $32.75B | 15.06% |
4EXE | EXPAND ENERGY CORP | Energy | $20.28B | 9.32% |
5MTDR | MATADOR RESOURCES CO | Energy | $6.54B | 3.00% |
6MGY | MAGNOLIA OIL & GAS CORP | Energy | $6.43B | 2.96% |
7CNX | CNX RESOURCES CORP | Energy | $5.20B | 2.39% |
8PAGP | PLAINS GP HOLDINGS LP | Energy | $5.18B | 2.38% |
9CRGY | CRESCENT ENERGY CO | Energy | $5.09B | 2.34% |
10CRK | COMSTOCK RESOURCES INC | Energy | $4.42B | 2.03% |
11CRC | CALIFORNIA RESOURCES CORP | Energy | $4.23B | 1.94% |
12HESM | HESS MIDSTREAM LP | Energy | $3.92B | 1.80% |
13GPOR | GULFPORT ENERGY CORP | Energy | $2.84B | 1.31% |
14NOG | NORTHERN OIL & GAS INC | Energy | $2.62B | 1.20% |
15NGL | NGL ENERGY PARTNERS LP | Energy | $1.95B | 0.90% |
16NEXT | NEXTDECADE CORP | Energy | $1.75B | 0.81% |
17GEL | GENESIS ENERGY LP | Energy | $1.55B | 0.71% |
18MNR | MACH NATURAL RESOURCES LP | Energy | $1.54B | 0.71% |
19GLP | GLOBAL PARTNERS LP | Energy | $1.48B | 0.68% |
20DEC | DIVERSIFIED ENERGY CO | Energy | $974M | 0.45% |
21INR | INFINITY NATURAL RESOURCES INC | Energy | $837M | 0.38% |
22TXO | TXO PARTNERS LP | Energy | $777M | 0.36% |
23CAPL | CROSSAMERICA PARTNERS LP | Energy | $759M | 0.35% |
24APC | ARKO PETROLEUM CORP | Energy | $698M | 0.32% |
25AESI | ATLAS ENERGY SOLUTIONS INC | Energy | $689M | 0.32% |
26VTS | VITESSE ENERGY INC | Energy | $650M | 0.30% |
27SMC | SUMMIT MIDSTREAM CORP | Energy | $428M | 0.20% |
28NGS | NATURAL GAS SERVICES GROUP INC | Energy | $376M | 0.17% |
Full long-leg book as of November 2026 · cap-weighted · total market cap $217.51B. 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 — 86% toward Large, 31% 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. 28 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.
No more than 25% of total assets may be invested in the securities of any one issuer.
Close to the line. The engine flags this verdict as one a routine data rebuild could flip. Read it as borderline rather than settled — the margin beside it is the whole story.
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.
1 verdict(s) sit within 1.0pp of their limit and can be flipped by a routine data rebuild; do not headline them, and always show the margin.
Data version — panel=20261113T032607 rows=2198308 asof=202611 issuers=20261113T032403 rates=20261113T032429
Measured on the 2026-11 formation date across 28 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. | 26.5% | -4.0% |
| 3 yearsp.a. | 15.5% | -2.7% |
| 5 yearsp.a. | 19.0% | -0.1% |
| 10 yearsp.a. | 7.7% | 3.6% |
| Since inceptionp.a. | 10.3% | 5.3% |
| Year | Long leg | Long-short |
|---|---|---|
| 202611 mo | 27.8% | -4.2% |
| 2025 | -4.9% | -7.0% |
| 2024 | 28.7% | 3.4% |
| 2023 | 15.2% | 12.8% |
| 2022 | 30.7% | -4.6% |
| 2021 | 58.3% | 19.0% |
| 2020 | -29.7% | 22.9% |
| 2019 | 4.9% | -1.9% |
| 2018 | -15.4% | 0.4% |
| 2017 | -10.4% | -0.6% |
| 2016 | 48.3% | 17.2% |
| 2015 | -50.8% | -32.5% |
| 2014 | -15.6% | -12.1% |
| 2013 | 36.6% | 5.5% |
| 2012 | -3.6% | -6.1% |
| 2011 | 9.1% | 14.7% |
| 2010 | 36.2% | 11.7% |
| 2009 | 56.5% | 49.0% |
| 2008 | -40.8% | -7.3% |
| 2007 | 24.3% | -16.5% |
| 2006 | 19.1% | 13.0% |
| 2005 | 34.4% | -11.1% |
| 2004 | 39.2% | 1.4% |
| 2003 | 33.5% | 14.1% |
| 2002 | -10.8% | -1.4% |
| 2001 | 2.1% | 47.6% |
| 2000 | 76.6% | 80.2% |
| 1999 | 11.6% | -4.8% |
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 CashProd Factor ETF tracks a rules-based model that ranks Energy common stocks each month by a CashProd 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.