================================================================================================ DRAFT — HYPOTHETICAL MODEL PORTFOLIO — NOT A REGISTERED FUND, NOT AN OFFER TO SELL SECURITIES, NOT INVESTMENT ADVICE. ================================================================================================ Foundry 12-Month Momentum Industry-Neutral Factor ETF (FMOR) Fact Sheet · November 2026 · Dated 2026-11-13 Issuer: ETF Foundry Research (hypothetical) | Listing: Not listed (hypothetical) | CUSIP: Not applicable (hypothetical model portfolio) ## Investment Objective 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. ## Key Facts 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 ## Performance 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. ## Hypothetical Calendar-Year Total Returns (long-short backtest) 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% ## Average Annual Total Returns (hypothetical, as of the most recent sample month) 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% ## Top 10 Holdings (of 284) # | 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 Allocation 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 ## Portfolio Characteristics (hypothetical) 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. ================================================================================================