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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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Foundry Industrials DelCOA Factor ETF  (FDEI)
Statement of Additional Information  ·  July 2026  ·  Dated 2026-09-12
Issuer: ETF Foundry Research (hypothetical)  |  Listing: Not listed (hypothetical)  |  CUSIP: Not applicable (hypothetical model portfolio)

## Fund History

This Statement of Additional Information relates to Foundry Industrials DelCOA Factor ETF
(FDEI), a hypothetical model portfolio in the Hypothetical Model Portfolio Series (not a
registered trust). It is not part of any registration statement because none exists; it is
provided for research transparency only.

## Investment Policies and Restrictions

The model applies a single rules-based factor screen and holds the top bucket of the ranked
universe (with an offsetting short leg in the research series). It does not use leverage
beyond the long-short construction, options, or borrowing. There are no fundamental
investment restrictions because the Fund is not a registered investment company and holds no
assets.

## Portfolio Construction Methodology

The hypothetical Fund seeks to track a rules-based model that, each month, ranks liquid U.S.
common stocks in the Industrials sector by a DelCOA signal and takes a long position in the
top quintile of names with the lowest signal values. The research model additionally holds a
short position in the bottom bucket to isolate the factor (a long-short construction).

Long positions are cap-weighted (or equal-weighted where noted) within the long leg. The
model reconstitutes monthly using point-in-time Sharadar fundamentals and split- and
dividend-adjusted total-return prices. It is a research backtest, not a live trading record.

Because this is a hypothetical model portfolio and not a registered investment company, the
Fund does not actually hold securities, accept investments, or transact; all figures are
illustrative.

## Disclosure of Portfolio Holdings

Because the model is fully transparent and reconstitutes monthly, the complete hypothetical
holdings are published on the accompanying Daily Holdings file. No selective disclosure
policy applies.

## Management and Governance

Investment Adviser (hypothetical): ETF Foundry Research (hypothetical). There is no board of
trustees, officer, custodian, or transfer agent because no assets are held; any such roles
are illustrative placeholders.

## Control Persons and Principal Holders of Securities

None. No shares are issued or outstanding, so there are no control persons or
record/beneficial holders.

## Investment Advisory and Other Services

If the Fund were real, the Adviser would provide investment management for a unitary fee of
0.45%. No advisory, administrative, custody, audit, or legal services are actually provided
or paid for.

## Brokerage Allocation and Other Practices

Not applicable. No brokerage is placed and no commissions are paid because the model does
not trade.

## Capital Structure

Not applicable. The Fund has no authorized or outstanding shares, no share classes, and no
net asset value.

## Purchase, Redemption, and Pricing of Shares

Not applicable. There are no Creation Units, Authorized Participant agreements, or net-
asset-value calculations because the Fund is hypothetical.

## Taxation

Not applicable. The Fund is not a regulated investment company, holds no assets, and makes
no distributions, so it has no tax status or consequences.

## Hypothetical Performance Detail

Backtest metrics (hypothetical, gross of expenses and costs):

Metric                               | Value  
-------------------------------------+--------
Full-period Sharpe (long-short)      | 0.18   
Annualized return (long-short)       | 2.43%  
Annualized volatility                | 13.79% 
Maximum drawdown                     | -30.82%
Out-of-sample (2019-26) Sharpe       | 0.12   
Out-of-sample FF5 alpha (annualized) | 1.26%  
FF5 alpha t-statistic                | 0.24   
Average monthly turnover (long leg)  | 17.02% 
Months in sample                     | 331    


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