Loading the page
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 |
|---|---|---|---|---|
1VG | VENTURE GLOBAL INC | Energy | $33.38B | 38.26% |
2SM | SM ENERGY CO | Energy | $7.70B | 8.83% |
3MTDR | MATADOR RESOURCES CO | Energy | $6.54B | 7.49% |
4PAGP | PLAINS GP HOLDINGS LP | Energy | $5.18B | 5.94% |
5CRGY | CRESCENT ENERGY CO | Energy | $5.09B | 5.83% |
6DK | DELEK US HOLDINGS INC | Energy | $4.15B | 4.75% |
7TALO | TALOS ENERGY INC | Energy | $2.65B | 3.04% |
8NOG | NORTHERN OIL & GAS INC | Energy | $2.62B | 3.00% |
9BKV | BKV CORP | Energy | $2.08B | 2.38% |
10NGL | NGL ENERGY PARTNERS LP | Energy | $1.95B | 2.24% |
11WKC | WORLD KINECT CORP | Energy | $1.78B | 2.04% |
12NEXT | NEXTDECADE CORP | Energy | $1.75B | 2.01% |
13GEL | GENESIS ENERGY LP | Energy | $1.55B | 1.77% |
14GLP | GLOBAL PARTNERS LP | Energy | $1.48B | 1.69% |
15NBR | NABORS INDUSTRIES LTD | Energy | $1.26B | 1.45% |
16HOS | HORNBECK OFFSHORE SERVICES INC | Energy | $1.24B | 1.42% |
17HPK | HIGHPEAK ENERGY INC | Energy | $1.05B | 1.21% |
18DEC | DIVERSIFIED ENERGY CO | Energy | $974M | 1.12% |
19PUMP | PROPETRO HOLDING CORP | Energy | $908M | 1.04% |
20CAPL | CROSSAMERICA PARTNERS LP | Energy | $759M | 0.87% |
21APC | ARKO PETROLEUM CORP | Energy | $698M | 0.80% |
22AESI | ATLAS ENERGY SOLUTIONS INC | Energy | $689M | 0.79% |
23SGU | STAR GROUP LP | Energy | $433M | 0.50% |
24SMC | SUMMIT MIDSTREAM CORP | Energy | $428M | 0.49% |
25GTE | GRAN TIERRA ENERGY INC | Energy | $339M | 0.39% |
26FTW | PRESIDIO PRODUCTION CO | Energy | $320M | 0.37% |
27BOOM | DMC GLOBAL INC | Energy | $164M | 0.19% |
28NINE | NINE ENERGY SERVICE INC | Energy | $100M | 0.11% |
Full long-leg book as of November 2026 · cap-weighted · total market cap $87.26B. 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 — 70% toward Large, 35% toward Growth. +2% 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
The constraint checks couldn’t be loaded. The service didn’t respond, so this is a gap in what we could fetch — not a statement about the factor.
Reloading the page usually resolves it.
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. | 49.4% | 15.2% |
| 3 yearsp.a. | 16.7% | 4.3% |
| 5 yearsp.a. | 26.9% | 9.2% |
| 10 yearsp.a. | 13.3% | 14.4% |
| Since inceptionp.a. | 12.1% | 10.6% |
| Year | Long leg | Long-short |
|---|---|---|
| 202611 mo | 57.0% | 16.5% |
| 2025 | 10.9% | 29.7% |
| 2024 | -10.3% | -27.1% |
| 2023 | 12.8% | 16.0% |
| 2022 | 83.3% | 21.0% |
| 2021 | 89.7% | 46.1% |
| 2020 | -28.0% | 30.0% |
| 2019 | -8.9% | -7.4% |
| 2018 | -12.3% | 23.3% |
| 2017 | -5.9% | 9.1% |
| 2016 | 34.9% | 7.8% |
| 2015 | -50.4% | -32.4% |
| 2014 | -16.2% | -9.9% |
| 2013 | 40.0% | 13.0% |
| 2012 | 12.0% | 15.8% |
| 2011 | 9.8% | 25.9% |
| 2010 | 43.0% | 14.2% |
| 2009 | 77.9% | 52.8% |
| 2008 | -39.0% | 11.2% |
| 2007 | 29.8% | -5.4% |
| 2006 | 17.3% | 7.2% |
| 2005 | 52.9% | 1.1% |
| 2004 | 50.3% | 8.5% |
| 2003 | 44.4% | 25.8% |
| 2002 | -47.4% | -29.9% |
| 2001 | -2.9% | 48.8% |
| 2000 | 65.6% | 37.4% |
| 1999 | 13.8% | 9.2% |
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 Leverage Factor ETF tracks a rules-based model that ranks Energy common stocks each month by a Leverage 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.