================================================================================================ DRAFT — HYPOTHETICAL MODEL PORTFOLIO — NOT A REGISTERED FUND, NOT AN OFFER TO SELL SECURITIES, NOT INVESTMENT ADVICE. ================================================================================================ Calm and profitable (FCAP) 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 two stock-ranking signals (low volatility and cash-based operating profitability), before the placeholder expense ratio and trading costs. ## Key Facts Item | Value -------------------------------+--------------------------------------------------------------- Ticker (pseudo) | FCAP CUSIP | Not applicable (hypothetical model portfolio) Listing exchange | Not listed (hypothetical) Signals | Low volatility (50%), Cash-based operating profitability (50%) Combined | One ranking Stocks | All sectors; market value $50M+ Form | Long-only Weighting | Calmer stocks more, at most 5% per stock Placeholder expense ratio | 0.35% Placeholder inception date | 2020-08-26 Number of holdings (long side) | 604 Rebalance frequency | Monthly Holdings as of | November 2026 ## Signals Signal | Share | What it buys on its own -----------------------------------+-------+---------------------------------------------------- Low volatility | 50% | Buys the least volatile stocks. Cash-based operating profitability | 50% | 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 | 13.78% 2018 | -7.87% 2019 | 18.44% 2020 | 2.06% 2021 | 16.76% 2022 | -2.52% 2023 | 0.48% 2024 | 5.83% 2025 | 3.21% 2026 | 4.31% ## Average Annual Returns (hypothetical, as of the most recent sample month) Period | Hypothetical Avg. Annual Return ------------------------------------+-------------------------------- 1 Year | 6.08% 3 Years | 4.79% 5 Years | 2.44% 10 Years | 5.57% Since Model Inception (full sample) | 8.15% ## Top 10 Long Positions (of 604) # | Ticker | Company | Sector | Weight | Market Value ---+--------+--------------------------------------+--------------------+--------+------------- 1 | CEPF | CANTOR EQUITY PARTNERS IV INC | Financial Services | 0.33% | $332,014 2 | EVOX | EVOLUTION GLOBAL ACQUISITION CORP | Financial Services | 0.33% | $332,014 3 | CEPS | CANTOR EQUITY PARTNERS VI INC | Financial Services | 0.33% | $332,014 4 | GTEN | GORES HOLDINGS X INC | Financial Services | 0.33% | $332,014 5 | NHIV | NEWHOLD INVESTMENT CORP IV | Financial Services | 0.33% | $332,014 6 | RTAC | RENATUS TACTICAL ACQUISITION CORP I | Financial Services | 0.33% | $332,014 7 | WPAC | WHITE PEARL ACQUISITION CORP | Financial Services | 0.33% | $332,014 8 | IEAG | INFINITE EAGLE ACQUISITION CORP | Financial Services | 0.33% | $332,014 9 | BACC | BLUE ACQUISITION CORP | Financial Services | 0.33% | $332,014 10 | ARCI | ARCHIMEDES TECH SPAC PARTNERS III CO | Financial Services | 0.33% | $332,014 ## Sector Allocation (long side) Sector | Weight | # Holdings -----------------------+--------+----------- Financial Services | 93.46% | 494 Real Estate | 3.42% | 54 Healthcare | 1.04% | 21 Consumer Cyclical | 0.61% | 9 Technology | 0.42% | 8 Industrials | 0.39% | 7 Energy | 0.27% | 4 Communication Services | 0.26% | 5 Basic Materials | 0.08% | 1 Consumer Defensive | 0.05% | 1 ## Portfolio Characteristics (hypothetical) Characteristic | Value -----------------------------+-------- Sharpe ratio (full sample) | 0.81 Annualized volatility | 10.35% Maximum drawdown | -44.37% Average monthly turnover | 10.01% Sharpe ratio, 2019-26 window | 0.61 ================================================================================================ DRAFT — HYPOTHETICAL MODEL PORTFOLIO — NOT A REGISTERED FUND, NOT AN OFFER TO SELL SECURITIES, NOT INVESTMENT ADVICE. ================================================================================================