The Fund seeks long-term capital appreciation by tracking a rules-based 12-Month Momentum factor model, before the placeholder expense ratio and trading costs.
| Item | Value |
|---|---|
| Ticker (pseudo) | FMOR |
| CUSIP | Not applicable (hypothetical model portfolio) |
| Listing exchange | Not listed (hypothetical) |
| Underlying model | 12-Month Momentum factor (Industry-relative (FF48)) |
| Placeholder expense ratio |
| 0.35% |
| Placeholder inception date | 2020-05-11 |
| Number of holdings (long leg) | 284 |
| Weighting | Cap-weighted |
| Rebalance frequency | Monthly |
| Holdings as of | November 2026 |
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.
| Year | Hypothetical Total Return |
|---|---|
| 2017 | 18.36% |
| 2018 | 21.13% |
| 2019 | -13.02% |
| 2020 | 55.68% |
| 2021 | -21.43% |
| 2022 | 27.71% |
| 2023 | -4.68% |
| 2024 | 52.08% |
| 2025 | -10.86% |
| 2026 | -27.41% |
| Period | Hypothetical Avg. Annual Total Return |
|---|---|
| 1 Year | -31.79% |
| 3 Years | -2.26% |
| 5 Years | 2.14% |
| 10 Years | 6.20% |
| Since Model Inception (full sample) | 3.68% |
| # | Ticker | Company | Sector | Weight | Market Value |
|---|---|---|---|---|---|
| 1 | AMD | ADVANCED MICRO DEVICES INC | Technology | 15.15% | $15,145,964 |
| 2 | MU | MICRON TECHNOLOGY INC | Technology | 14.25% | $14,253,410 |
| 3 | PM | PHILIP MORRIS INTERNATIONAL INC | Consumer Defensive | 4.84% | $4,836,349 |
| 4 | TXN | TEXAS INSTRUMENTS INC | Technology | 4.51% | $4,505,164 |
| 5 | PANW | PALO ALTO NETWORKS INC | Technology | 4.16% | $4,164,376 |
| 6 | DELL | DELL TECHNOLOGIES INC | Technology | 3.72% | $3,723,518 |
| 7 | CRWD | CROWDSTRIKE HOLDINGS INC | Technology | 3.71% | $3,713,693 |
| 8 | GEV | GE VERNOVA INC | Utilities | 3.42% | $3,418,071 |
| 9 | MRVL | MARVELL TECHNOLOGY INC | Technology | 2.28% | $2,275,283 |
| 10 | SCCO | SOUTHERN COPPER CORP | Basic Materials | 2.24% | $2,240,899 |
| Sector | Weight | # Holdings |
|---|---|---|
| Technology | 62.33% | 77 |
| Energy | 8.92% | 23 |
| Consumer Defensive | 8.35% | 10 |
| Basic Materials | 5.30% | 9 |
| Healthcare | 5.03% | 45 |
| Utilities | 3.42% | 1 |
| Industrials | 2.19% | 38 |
| Consumer Cyclical | 1.76% | 36 |
| Communication Services | 1.41% | 15 |
| Financial Services | 0.72% | 21 |
| Real Estate | 0.58% | 9 |
| Characteristic | Value |
|---|---|
| Sharpe ratio (full sample) | 0.27 |
| Annualized volatility | 24.89% |
| Maximum drawdown | -60.66% |
| Average monthly turnover | 28.13% |
| Out-of-sample Sharpe (2019-26) | 0.25 |
DRAFT — HYPOTHETICAL MODEL PORTFOLIO — NOT A REGISTERED FUND, NOT AN OFFER TO SELL SECURITIES, NOT INVESTMENT ADVICE.