================================================================================================ DRAFT — HYPOTHETICAL MODEL PORTFOLIO — NOT A REGISTERED FUND, NOT AN OFFER TO SELL SECURITIES, NOT INVESTMENT ADVICE. ================================================================================================ Foundry Earnings Quality (Accruals) Industry-Neutral Factor ETF (FACR) Fact Sheet · July 2026 · Dated 2026-09-12 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 Earnings Quality (Accruals) factor model, before the placeholder expense ratio and trading costs. ## Key Facts Item | Value ------------------------------+-------------------------------------------------------------- Ticker (pseudo) | FACR CUSIP | Not applicable (hypothetical model portfolio) Listing exchange | Not listed (hypothetical) Underlying model | Earnings Quality (Accruals) factor (Industry-relative (FF48)) Placeholder expense ratio | 0.35% Placeholder inception date | 2021-09-08 Number of holdings (long leg) | 223 Weighting | Cap-weighted Rebalance frequency | Monthly Holdings as of | July 2026 ## 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. ## Hypothetical Calendar-Year Total Returns (long-short backtest) Year | Hypothetical Total Return -----+-------------------------- 2017 | -22.53% 2018 | 19.30% 2019 | 6.79% 2020 | 18.80% 2021 | 13.15% 2022 | 6.45% 2023 | 43.42% 2024 | -8.68% 2025 | -11.32% 2026 | 11.50% ## Average Annual Total Returns (hypothetical, as of the most recent sample month) Period | Hypothetical Avg. Annual Total Return ------------------------------------+-------------------------------------- 1 Year | 10.25% 3 Years | 0.15% 5 Years | 5.98% 10 Years | 7.38% Since Model Inception (full sample) | -1.32% ## Top 10 Holdings (of 223) # | Ticker | Company | Sector | Weight | Market Value ---+--------+-----------------------------------+------------------------+--------+------------- 1 | NFLX | NETFLIX INC | Communication Services | 14.55% | $14,549,666 2 | GEV | GE VERNOVA INC | Utilities | 14.24% | $14,238,639 3 | BA | BOEING CO | Industrials | 8.45% | $8,451,150 4 | MO | ALTRIA GROUP INC | Consumer Defensive | 6.21% | $6,207,246 5 | SNOW | SNOWFLAKE INC | Technology | 4.67% | $4,668,395 6 | TTWO | TAKE TWO INTERACTIVE SOFTWARE INC | Communication Services | 2.20% | $2,201,122 7 | COIN | COINBASE GLOBAL INC | Financial Services | 2.07% | $2,073,463 8 | CBRE | CBRE GROUP INC | Real Estate | 2.07% | $2,067,473 9 | AXON | AXON ENTERPRISE INC | Industrials | 2.06% | $2,060,169 10 | CRWV | COREWEAVE INC | Technology | 2.00% | $2,000,643 ## Sector Allocation Sector | Weight | # Holdings -----------------------+--------+----------- Communication Services | 18.50% | 16 Industrials | 18.23% | 37 Technology | 16.04% | 39 Healthcare | 14.37% | 76 Utilities | 14.24% | 1 Consumer Defensive | 6.59% | 6 Financial Services | 4.54% | 8 Real Estate | 3.21% | 6 Consumer Cyclical | 2.03% | 13 Basic Materials | 1.23% | 6 Energy | 1.02% | 15 ## Portfolio Characteristics (hypothetical) Characteristic | Value -------------------------------+-------- Sharpe ratio (full sample) | -0.00 Annualized volatility | 15.96% Maximum drawdown | -76.60% Average monthly turnover | 23.65% Out-of-sample Sharpe (2019-26) | 0.60 ================================================================================================ DRAFT — HYPOTHETICAL MODEL PORTFOLIO — NOT A REGISTERED FUND, NOT AN OFFER TO SELL SECURITIES, NOT INVESTMENT ADVICE. ================================================================================================