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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 |
|---|---|---|---|---|
1XOM | EXXONMOBIL HOLDINGS CORP | Energy | $692.57B | 56.99% |
2VLO | VALERO ENERGY CORP | Energy | $104.57B | 8.60% |
3PSX | PHILLIPS 66 | Energy | $102.55B | 8.44% |
4EPD | ENTERPRISE PRODUCTS PARTNERS LP | Energy | $80.66B | 6.64% |
5KMI | KINDER MORGAN INC | Energy | $71.31B | 5.87% |
6MPLX | MPLX LP | Energy | $57.33B | 4.72% |
7CQP | CHENIERE ENERGY PARTNERS LP | Energy | $29.72B | 2.45% |
8WES | WESTERN MIDSTREAM PARTNERS LP | Energy | $17.26B | 1.42% |
9PAA | PLAINS ALL AMERICAN PIPELINE LP | Energy | $17.21B | 1.42% |
10AM | ANTERO MIDSTREAM CORP | Energy | $9.64B | 0.79% |
11CRK | COMSTOCK RESOURCES INC | Energy | $4.42B | 0.36% |
12EE | EXCELERATE ENERGY INC | Energy | $4.30B | 0.35% |
13ARLP | ALLIANCE RESOURCE PARTNERS LP | Energy | $3.25B | 0.27% |
14BSM | BLACK STONE MINERALS LP | Energy | $3.20B | 0.26% |
15DKL | DELEK LOGISTICS PARTNERS LP | Energy | $3.10B | 0.26% |
16KRP | KIMBELL ROYALTY PARTNERS LP | Energy | $1.92B | 0.16% |
17GEL | GENESIS ENERGY LP | Energy | $1.55B | 0.13% |
18MNR | MACH NATURAL RESOURCES LP | Energy | $1.54B | 0.13% |
19GLP | GLOBAL PARTNERS LP | Energy | $1.48B | 0.12% |
20DMLP | DORCHESTER MINERALS LP | Energy | $1.43B | 0.12% |
21PBT | PERMIAN BASIN ROYALTY TRUST | Energy | $1.41B | 0.12% |
22HPK | HIGHPEAK ENERGY INC | Energy | $1.05B | 0.09% |
23INR | INFINITY NATURAL RESOURCES INC | Energy | $837M | 0.07% |
24TXO | TXO PARTNERS LP | Energy | $777M | 0.06% |
25CAPL | CROSSAMERICA PARTNERS LP | Energy | $759M | 0.06% |
26APC | ARKO PETROLEUM CORP | Energy | $698M | 0.06% |
27SGU | STAR GROUP LP | Energy | $433M | 0.04% |
28NC | NACCO INDUSTRIES INC | Energy | $266M | 0.02% |
Full long-leg book as of November 2026 · cap-weighted · total market cap $1.22T. 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 — 98% toward Large, 56% toward Growth. 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?
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. | 39.4% | 2.9% |
| 3 yearsp.a. | 18.7% | 3.0% |
| 5 yearsp.a. | 22.4% | 1.9% |
| 10 yearsp.a. | 9.7% | -3.8% |
| Since inceptionp.a. | 10.9% | -3.6% |
| Year | Long leg | Long-short |
|---|---|---|
| 202611 mo | 37.5% | -0.9% |
| 2025 | 9.9% | 4.7% |
| 2024 | 11.5% | 7.5% |
| 2023 | -2.3% | -2.8% |
| 2022 | 63.8% | -0.9% |
| 2021 | 51.0% | -25.6% |
| 2020 | -36.1% | -38.2% |
| 2019 | 7.4% | 3.5% |
| 2018 | -11.4% | 11.1% |
| 2017 | -1.3% | 13.8% |
| 2016 | 18.7% | -33.2% |
| 2015 | -18.5% | 33.4% |
| 2014 | -0.9% | 21.7% |
| 2013 | 29.7% | 2.8% |
| 2012 | 10.8% | 2.5% |
| 2011 | 15.8% | 25.8% |
| 2010 | 29.6% | -3.8% |
| 2009 | 42.4% | -11.2% |
| 2008 | -16.9% | 50.0% |
| 2007 | 23.0% | -11.5% |
| 2006 | 32.6% | 22.3% |
| 2005 | 14.3% | -26.1% |
| 2004 | 28.4% | -5.5% |
| 2003 | 22.1% | -8.7% |
| 2002 | -10.2% | 2.8% |
| 2001 | -2.3% | 10.4% |
| 2000 | 8.9% | -43.7% |
| 1999 | 7.6% | -30.6% |
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 StdTurn Factor ETF tracks a rules-based model that ranks Energy common stocks each month by a StdTurn 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.