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DRAFT — HYPOTHETICAL MODEL PORTFOLIO — NOT A REGISTERED FUND, NOT AN OFFER TO SELL SECURITIES, NOT INVESTMENT ADVICE.
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Cash-Based Profitability by Size  (FCBP)
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 built on one
stock-ranking signal (cash-based operating profitability), before the placeholder expense
ratio and trading costs.

## Key Facts

Item                           | Value                                        
-------------------------------+----------------------------------------------
Ticker (pseudo)                | FCBP                                         
CUSIP                          | Not applicable (hypothetical model portfolio)
Listing exchange               | Not listed (hypothetical)                    
Signals                        | Cash-based operating profitability (100%)    
Combined                       | Size-balanced 2×3                            
Stocks                         | All sectors; market value $50M+              
Form                           | Long-only                                    
Weighting                      | Low beta                                     
Placeholder expense ratio      | 0.35%                                        
Placeholder inception date     | 2019-11-09                                   
Number of holdings (long side) | 374                                          
Rebalance frequency            | Monthly                                      
Holdings as of                 | November 2026                                

## Signals

Signal                             | Share | What it buys on its own                            
-----------------------------------+-------+----------------------------------------------------
Cash-based operating profitability | 100%  | Buys firms with high cash operating profit relativ…

## 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 side, in excess of the 1-month U.S. Treasury bill rate.

## Hypothetical Calendar-Year Returns (long side, over T-bills)

Year | Hypothetical Return
-----+--------------------
2017 | 20.23%             
2018 | 1.88%              
2019 | 18.56%             
2020 | 17.94%             
2021 | 9.80%              
2022 | -15.23%            
2023 | 7.28%              
2024 | 3.48%              
2025 | 7.57%              
2026 | 12.06%             

## Average Annual Returns (hypothetical, as of the most recent sample month)

Period                              | Hypothetical Avg. Annual Return
------------------------------------+--------------------------------
1 Year                              | 12.62%                         
3 Years                             | 10.13%                         
5 Years                             | 3.11%                          
10 Years                            | 8.11%                          
Since Model Inception (full sample) | 11.30%                         

## Top 10 Long Positions (of 374)

#  | Ticker | Company                       | Sector      | Weight | Market Value
---+--------+-------------------------------+-------------+--------+-------------
1  | APA    | APA CORP                      | Energy      | 0.57%  | $571,429    
2  | COP    | CONOCOPHILLIPS                | Energy      | 0.57%  | $568,144    
3  | XOM    | EXXONMOBIL HOLDINGS CORP      | Energy      | 0.56%  | $564,860    
4  | LNG    | CHENIERE ENERGY INC           | Energy      | 0.56%  | $561,576    
5  | YOU    | CLEAR SECURE INC              | Technology  | 0.56%  | $558,292    
6  | EOG    | EOG RESOURCES INC             | Energy      | 0.56%  | $555,008    
7  | REGN   | REGENERON PHARMACEUTICALS INC | Healthcare  | 0.55%  | $551,724    
8  | CHRD   | CHORD ENERGY CORP             | Energy      | 0.55%  | $548,440    
9  | AR     | ANTERO RESOURCES CORP         | Energy      | 0.55%  | $545,156    
10 | LMT    | LOCKHEED MARTIN CORP          | Industrials | 0.54%  | $541,872    

## Sector Allocation (long side)

Sector                 | Weight | # Holdings
-----------------------+--------+-----------
Healthcare             | 30.90% | 109       
Energy                 | 20.86% | 56        
Technology             | 16.56% | 79        
Consumer Cyclical      | 10.26% | 44        
Industrials            | 8.57%  | 40        
Consumer Defensive     | 5.39%  | 18        
Basic Materials        | 2.96%  | 10        
Communication Services | 2.88%  | 12        
Financial Services     | 1.64%  | 6         

## Portfolio Characteristics (hypothetical)

Characteristic               | Value  
-----------------------------+--------
Sharpe ratio (full sample)   | 0.78   
Annualized volatility        | 15.28% 
Maximum drawdown             | -46.18%
Average monthly turnover     | 9.90%  
Sharpe ratio, 2019-26 window | 0.53   


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DRAFT — HYPOTHETICAL MODEL PORTFOLIO — NOT A REGISTERED FUND, NOT AN OFFER TO SELL SECURITIES, NOT INVESTMENT ADVICE.
================================================================================================