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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 DolVol Factor ETF  (FDOL)
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 DolVol factor model,
before the placeholder expense ratio and trading costs.

## Key Facts

Item                          | Value                                        
------------------------------+----------------------------------------------
Ticker (pseudo)               | FDOL                                         
CUSIP                         | Not applicable (hypothetical model portfolio)
Listing exchange              | Not listed (hypothetical)                    
Underlying model              | DolVol factor (All stocks)                   
Placeholder expense ratio     | 0.29%                                        
Placeholder inception date    | 2022-05-16                                   
Number of holdings (long leg) | 321                                          
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 | -17.62%                  
2018 | -7.29%                   
2019 | -13.86%                  
2020 | -20.07%                  
2021 | -11.49%                  
2022 | 20.38%                   
2023 | -14.60%                  
2024 | -19.71%                  
2025 | -23.73%                  
2026 | -5.62%                   

## Average Annual Total Returns (hypothetical, as of the most recent sample month)

Period                              | Hypothetical Avg. Annual Total Return
------------------------------------+--------------------------------------
1 Year                              | -15.02%                              
3 Years                             | -16.59%                              
5 Years                             | -11.08%                              
10 Years                            | -10.96%                              
Since Model Inception (full sample) | -6.46%                               

## Top 10 Holdings (of 321)

#  | Ticker | Company                           | Sector                 | Weight | Market Value
---+--------+-----------------------------------+------------------------+--------+-------------
1  | AAC.U  | ARES ACQUISITION CORP III         | Industrials            | 5.12%  | $5,124,149  
2  | ALF    | CENTURION ACQUISITION CORP        | Industrials            | 0.95%  | $953,110    
3  | DMII   | DRUGS MADE IN AMERICA ACQUISITIO… | Industrials            | 0.87%  | $869,553    
4  | AENT   | ALLIANCE ENTERTAINMENT HOLDING C… | Communication Services | 0.87%  | $868,605    
5  | CXII   | CHURCHILL CAPITAL CORP XII        | Industrials            | 0.81%  | $807,936    
6  | CEPF   | CANTOR EQUITY PARTNERS IV INC     | Industrials            | 0.81%  | $807,665    
7  | CRD.A  | CRAWFORD & CO                     | Financial Services     | 0.73%  | $726,682    
8  | MLAA   | MOUNTAIN LAKE ACQUISITION CORP II | Industrials            | 0.66%  | $659,376    
9  | KRSP   | RICE ACQUISITION CORP 3           | Industrials            | 0.66%  | $656,668    
10 | CRAN   | CRANE HARBOR ACQUISITION CORP II  | Industrials            | 0.65%  | $645,292    

## Sector Allocation

Sector                 | Weight | # Holdings
-----------------------+--------+-----------
Industrials            | 73.60% | 195       
Financial Services     | 10.56% | 49        
Real Estate            | 3.12%  | 13        
Healthcare             | 2.30%  | 17        
Unclassified           | 1.90%  | 6         
Basic Materials        | 1.81%  | 7         
Technology             | 1.71%  | 8         
Consumer Cyclical      | 1.51%  | 10        
Communication Services | 1.47%  | 6         
Energy                 | 1.17%  | 4         
Consumer Defensive     | 0.84%  | 6         

## Portfolio Characteristics (hypothetical)

Characteristic                 | Value  
-------------------------------+--------
Sharpe ratio (full sample)     | -0.48  
Annualized volatility          | 12.38% 
Maximum drawdown               | -88.17%
Average monthly turnover       | 37.23% 
Out-of-sample Sharpe (2019-26) | -0.86  


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