================================================================================================ DRAFT — HYPOTHETICAL MODEL PORTFOLIO — NOT A REGISTERED FUND, NOT AN OFFER TO SELL SECURITIES, NOT INVESTMENT ADVICE. ================================================================================================ Momentum, volatility-managed (FMVM) 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 (12-month momentum), before the placeholder expense ratio and trading costs. ## Key Facts Item | Value -------------------------------+---------------------------------------------- Ticker (pseudo) | FMVM CUSIP | Not applicable (hypothetical model portfolio) Listing exchange | Not listed (hypothetical) Signals | 12-month momentum (100%) Combined | One ranking Stocks | All sectors; market value $50M+ Form | Long-short Weighting | Company size Overlay | Vol target 12% Placeholder expense ratio | 0.35% Placeholder inception date | 2022-04-24 Number of holdings (long side) | 285 Number of short positions | 284 Rebalance frequency | Monthly Holdings as of | November 2026 ## Signals Signal | Share | What it buys on its own ------------------+-------+------------------------------------------- 12-month momentum | 100% | 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. They include the overlay. ## Hypothetical Calendar-Year Returns (long-short spread, with overlay) Year | Hypothetical Return -----+-------------------- 2017 | 16.17% 2018 | 17.47% 2019 | 4.03% 2020 | 9.12% 2021 | -3.78% 2022 | 27.86% 2023 | -5.93% 2024 | 13.93% 2025 | -5.14% 2026 | 20.87% ## Average Annual Returns (hypothetical, as of the most recent sample month) Period | Hypothetical Avg. Annual Return ------------------------------------+-------------------------------- 1 Year | 18.46% 3 Years | 5.99% 5 Years | 8.29% 10 Years | 8.73% Since Model Inception (full sample) | 7.66% ## Top 10 Long Positions (of 285) # | Ticker | Company | Sector | Weight | Market Value ---+--------+---------------------------------+------------+--------+------------- 1 | AMD | ADVANCED MICRO DEVICES INC | Technology | 16.83% | $16,834,542 2 | MU | MICRON TECHNOLOGY INC | Technology | 15.84% | $15,842,480 3 | TXN | TEXAS INSTRUMENTS INC | Technology | 5.01% | $5,007,432 4 | PANW | PALO ALTO NETWORKS INC | Technology | 4.63% | $4,628,649 5 | DELL | DELL TECHNOLOGIES INC | Technology | 4.14% | $4,138,642 6 | CRWD | CROWDSTRIKE HOLDINGS INC | Technology | 4.13% | $4,127,722 7 | COP | CONOCOPHILLIPS | Energy | 2.90% | $2,904,092 8 | MRVL | MARVELL TECHNOLOGY INC | Technology | 2.53% | $2,528,947 9 | SNDK | SANDISK CORP | Technology | 2.34% | $2,339,274 10 | STX | SEAGATE TECHNOLOGY HOLDINGS PLC | Technology | 2.19% | $2,194,634 ## Top 10 Short Positions (of 284) # | Ticker | Company | Sector | Weight | Market Value ---+--------+------------------------+------------------------+---------+------------- 1 | ORCL | ORACLE CORP | Technology | -16.71% | -$16,714,815 2 | NFLX | NETFLIX INC | Communication Services | -11.20% | -$11,195,144 3 | APP | APPLOVIN CORP | Technology | -5.67% | -$5,672,460 4 | NOW | SERVICENOW INC | Technology | -4.54% | -$4,543,937 5 | INTU | INTUIT INC | Technology | -3.95% | -$3,953,385 6 | HOOD | ROBINHOOD MARKETS INC | Financial Services | -3.19% | -$3,185,776 7 | BSX | BOSTON SCIENTIFIC CORP | Healthcare | -2.79% | -$2,786,187 8 | NKE | NIKE INC | Consumer Cyclical | -2.44% | -$2,439,085 9 | RKT | ROCKET COMPANIES INC | Financial Services | -1.69% | -$1,692,047 10 | SKYD | SKYDANCE CORP | Communication Services | -1.66% | -$1,664,997 ## Sector Allocation (long side) Sector | Weight | # Holdings -----------------------+--------+----------- Technology | 68.41% | 66 Energy | 12.91% | 33 Healthcare | 11.89% | 90 Industrials | 1.83% | 28 Consumer Defensive | 1.38% | 4 Consumer Cyclical | 1.37% | 28 Basic Materials | 1.17% | 5 Financial Services | 0.50% | 17 Communication Services | 0.45% | 11 Real Estate | 0.09% | 3 ## Portfolio Characteristics (hypothetical) Characteristic | Value -----------------------------+-------- Sharpe ratio (full sample) | 0.53 Annualized volatility | 16.35% Maximum drawdown | -23.87% Average monthly turnover | 28.05% Sharpe ratio, 2019-26 window | 0.52 ================================================================================================ DRAFT — HYPOTHETICAL MODEL PORTFOLIO — NOT A REGISTERED FUND, NOT AN OFFER TO SELL SECURITIES, NOT INVESTMENT ADVICE. ================================================================================================