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) | FACE |
| CUSIP | Not applicable (hypothetical model portfolio) |
| Listing exchange | Not listed (hypothetical) |
| Underlying model | Earnings Quality (Accruals) factor (Energy only) |
| Placeholder expense ratio | 0.45% |
| Placeholder inception date | 2020-09-25 |
| Number of holdings (long leg) | 26 |
| 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 | -11.89% |
| 2018 | -10.05% |
| 2019 | -7.79% |
| 2020 | -5.45% |
| 2021 | 24.30% |
| 2022 | 26.79% |
| 2023 | -1.19% |
| 2024 | -16.62% |
| 2025 | -12.49% |
| 2026 | -7.40% |
Average Annual Total Returns (hypothetical, as of the most recent sample month)
| Period | Hypothetical Avg. Annual Total Return |
|---|---|
| 1 Year | -4.19% |
| 3 Years | -11.43% |
| 5 Years | -1.30% |
| 10 Years | -2.50% |
| Since Model Inception (full sample) | -0.54% |
Top 10 Holdings (of 26)
| # | Ticker | Company | Sector | Weight | Market Value |
|---|---|---|---|---|---|
| 1 | APA | APA CORP | Energy | 17.52% | $17,516,371 |
| 2 | SM | SM ENERGY CO | Energy | 10.57% | $10,565,231 |
| 3 | CHRD | CHORD ENERGY CORP | Energy | 10.15% | $10,147,344 |
| 4 | MTDR | MATADOR RESOURCES CO | Energy | 9.40% | $9,400,071 |
| 5 | MGY | MAGNOLIA OIL & GAS CORP | Energy | 7.09% | $7,093,812 |
| 6 | CRC | CALIFORNIA RESOURCES CORP | Energy | 6.60% | $6,600,368 |
| 7 | DK | DELEK US HOLDINGS INC | Energy | 5.45% | $5,454,203 |
| 8 | PTEN | PATTERSON UTI ENERGY INC | Energy | 5.35% | $5,352,052 |
| 9 | CRGY | CRESCENT ENERGY CO | Energy | 5.00% | $4,995,230 |
| 10 | TALO | TALOS ENERGY INC | Energy | 3.50% | $3,504,203 |
Sector Allocation
| Sector | Weight | # Holdings |
|---|---|---|
| Energy | 100.00% | 26 |
Portfolio Characteristics (hypothetical)
| Characteristic | Value |
|---|---|
| Sharpe ratio (full sample) | 0.05 |
| Annualized volatility | 16.31% |
| Maximum drawdown | -50.36% |
| Average monthly turnover | 16.32% |
| Out-of-sample Sharpe (2019-26) | 0.02 |