================================================================================================ DRAFT — HYPOTHETICAL MODEL PORTFOLIO — NOT A REGISTERED FUND, NOT AN OFFER TO SELL SECURITIES, NOT INVESTMENT ADVICE. ================================================================================================ Four-factor core, Fama-French style (FFFC) Fact Sheet · November 2026 · Dated 2026-11-14 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 model that combines four stock-ranking signals (book-to-market, operating profitability, asset growth and 12-month momentum), before the placeholder expense ratio and trading costs. ## Key Facts Item | Value -------------------------------+---------------------------------------------- Ticker (pseudo) | FFFC CUSIP | Not applicable (hypothetical model portfolio) Listing exchange | Not listed (hypothetical) Signals | 4 signals (see Signals) Combined | 2×3 per signal Stocks | All sectors; market value $50M+ Form | Long-short Weighting | Company size Placeholder expense ratio | 0.35% Placeholder inception date | 2021-04-22 Number of holdings (long side) | 2089 Number of short positions | 2074 Rebalance frequency | Monthly Holdings as of | November 2026 ## Signals Signal | Share | What it buys on its own ------------------------+-------+--------------------------------------------------------------- Book-to-market | 25% | Buys stocks that are cheap relative to their book value. Operating profitability | 25% | Buys firms with high operating profit relative to book equity. Asset growth | 25% | Buys firms that grew their assets the least. 12-month momentum | 25% | Buys the biggest winners of the past year. ## 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. Returns are those of the long-short spread: the long side's return minus the short side's. ## Hypothetical Calendar-Year Returns (long-short spread) Year | Hypothetical Return -----+-------------------- 2017 | -1.25% 2018 | 0.62% 2019 | -3.14% 2020 | -12.16% 2021 | 15.72% 2022 | 23.38% 2023 | -5.51% 2024 | 3.92% 2025 | 0.08% 2026 | 6.16% ## Average Annual Returns (hypothetical, as of the most recent sample month) Period | Hypothetical Avg. Annual Return ------------------------------------+-------------------------------- 1 Year | 5.66% 3 Years | 3.03% 5 Years | 5.93% 10 Years | 2.41% Since Model Inception (full sample) | 3.63% ## Top 10 Long Positions (of 2089) # | Ticker | Company | Sector | Weight | Market Value ---+--------+------------------------+------------------------+--------+------------- 1 | AAPL | APPLE INC | Technology | 3.68% | $3,680,115 2 | V | VISA INC | Financial Services | 1.84% | $1,838,678 3 | C | CITIGROUP INC | Financial Services | 1.40% | $1,399,162 4 | NVDA | NVIDIA CORP | Technology | 1.03% | $1,025,816 5 | MSFT | MICROSOFT CORP | Technology | 0.99% | $994,753 6 | LLY | ELI LILLY & CO | Healthcare | 0.96% | $958,143 7 | GOOGL | ALPHABET INC | Communication Services | 0.94% | $940,537 8 | UNH | UNITEDHEALTH GROUP INC | Healthcare | 0.76% | $759,279 9 | AMZN | AMAZON COM INC | Consumer Cyclical | 0.74% | $740,671 10 | GE | GE AEROSPACE | Industrials | 0.65% | $646,284 ## Top 10 Short Positions (of 2074) # | Ticker | Company | Sector | Weight | Market Value ---+--------+--------------------+------------------------+--------+------------- 1 | TSLA | TESLA INC | Consumer Cyclical | -5.48% | -$5,484,896 2 | GOOGL | ALPHABET INC | Communication Services | -4.77% | -$4,774,693 3 | AAPL | APPLE INC | Technology | -3.00% | -$3,002,562 4 | NVDA | NVIDIA CORP | Technology | -2.33% | -$2,331,855 5 | MSFT | MICROSOFT CORP | Technology | -2.26% | -$2,261,245 6 | META | META PLATFORMS INC | Communication Services | -2.07% | -$2,072,678 7 | AVGO | BROADCOM INC | Technology | -1.73% | -$1,732,221 8 | INTC | INTEL CORP | Technology | -0.90% | -$902,086 9 | AMZN | AMAZON COM INC | Consumer Cyclical | -0.80% | -$803,673 10 | LLY | ELI LILLY & CO | Healthcare | -0.78% | -$781,737 ## Sector Allocation (long side) Sector | Weight | # Holdings -----------------------+--------+----------- Financial Services | 23.14% | 491 Technology | 18.80% | 312 Healthcare | 12.38% | 296 Consumer Cyclical | 9.46% | 235 Industrials | 9.21% | 263 Energy | 8.79% | 123 Real Estate | 5.65% | 116 Communication Services | 4.15% | 76 Consumer Defensive | 4.04% | 84 Basic Materials | 2.61% | 72 Utilities | 1.76% | 21 ## Portfolio Characteristics (hypothetical) Characteristic | Value -----------------------------+-------- Sharpe ratio (full sample) | 0.61 Annualized volatility | 6.16% Maximum drawdown | -15.46% Average monthly turnover | 7.41% Sharpe ratio, 2019-26 window | 0.54 ================================================================================================ DRAFT — HYPOTHETICAL MODEL PORTFOLIO — NOT A REGISTERED FUND, NOT AN OFFER TO SELL SECURITIES, NOT INVESTMENT ADVICE. ================================================================================================