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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 |
|---|---|---|---|---|
1MPC | MARATHON PETROLEUM CORP | Energy | $112.41B | 26.33% |
2VLO | VALERO ENERGY CORP | Energy | $104.57B | 24.49% |
3PSX | PHILLIPS 66 | Energy | $102.55B | 24.02% |
4FTI | TECHNIPFMC PLC | Energy | $25.24B | 5.91% |
5DINO | HF SINCLAIR CORP | Energy | $17.51B | 4.10% |
6PAA | PLAINS ALL AMERICAN PIPELINE LP | Energy | $17.21B | 4.03% |
7PBF | PBF ENERGY INC | Energy | $8.61B | 2.02% |
8PAGP | PLAINS GP HOLDINGS LP | Energy | $5.18B | 1.21% |
9DK | DELEK US HOLDINGS INC | Energy | $4.15B | 0.97% |
10CVI | CVR ENERGY INC | Energy | $4.13B | 0.97% |
11PARR | PAR PACIFIC HOLDINGS INC | Energy | $3.61B | 0.84% |
12OII | OCEANEERING INTERNATIONAL INC | Energy | $3.46B | 0.81% |
13CLMT | CALUMET INC | Energy | $3.21B | 0.75% |
14DNOW | DNOW INC | Energy | $2.51B | 0.59% |
15LBRT | LIBERTY ENERGY INC | Energy | $2.11B | 0.49% |
16WKC | WORLD KINECT CORP | Energy | $1.78B | 0.42% |
17GLP | GLOBAL PARTNERS LP | Energy | $1.48B | 0.35% |
18PBT | PERMIAN BASIN ROYALTY TRUST | Energy | $1.41B | 0.33% |
19RES | RPC INC | Energy | $1.25B | 0.29% |
20FTK | FLOTEK INDUSTRIES INC | Energy | $937M | 0.22% |
21FET | FORUM ENERGY TECHNOLOGIES INC | Energy | $881M | 0.21% |
22CAPL | CROSSAMERICA PARTNERS LP | Energy | $759M | 0.18% |
23APC | ARKO PETROLEUM CORP | Energy | $698M | 0.16% |
24SGU | STAR GROUP LP | Energy | $433M | 0.10% |
25CLB | CORE LABORATORIES INC | Energy | $413M | 0.10% |
26RNGR | RANGER ENERGY SERVICES INC | Energy | $297M | 0.07% |
27BOOM | DMC GLOBAL INC | Energy | $164M | 0.04% |
Full long-leg book as of November 2026 · cap-weighted · total market cap $426.95B. 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 — 95% toward Large, 48% 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. 27 names now. The faded start covers early months with a much thinner universe. 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?
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. | 91.3% | 67.3% |
| 3 yearsp.a. | 32.8% | 14.1% |
| 5 yearsp.a. | 34.9% | 12.6% |
| 10 yearsp.a. | 15.7% | 9.1% |
| Since inceptionp.a. | 10.9% | -1.5% |
| Year | Long leg | Long-short |
|---|---|---|
| 202611 mo | 108.8% | 77.8% |
| 2025 | 22.6% | 19.9% |
| 2024 | -7.3% | -31.2% |
| 2023 | 11.3% | 8.5% |
| 2022 | 60.8% | 10.6% |
| 2021 | 29.6% | -27.0% |
| 2020 | -35.6% | 6.6% |
| 2019 | 15.5% | 21.4% |
| 2018 | -15.4% | 14.1% |
| 2017 | 17.0% | 18.5% |
| 2016 | 5.3% | -18.3% |
| 2015 | -14.2% | 20.3% |
| 2014 | -3.3% | 3.2% |
| 2013 | 28.2% | 5.6% |
| 2012 | 9.3% | 5.0% |
| 2011 | 15.2% | 4.7% |
| 2010 | 22.9% | -2.4% |
| 2009 | 1.2% | -39.3% |
| 2008 | -28.0% | 16.7% |
| 2007 | 28.3% | -8.3% |
| 2006 | 31.3% | 27.2% |
| 2005 | 23.2% | -17.7% |
| 2004 | 30.5% | -6.6% |
| 2003 | 27.5% | -3.3% |
| 2002 | -14.9% | -19.2% |
| 2001 | -4.8% | 4.5% |
| 2000 | 12.0% | -48.5% |
| 1999 | 10.8% | -4.3% |
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 OPLev Factor ETF tracks a rules-based model that ranks Energy common stocks each month by a OPLev 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.