Fund History
This Statement of Additional Information relates to Foundry Financial Services Enterprise Multiple Factor ETF (FENF), 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 Financial Services sector by a Enterprise Multiple 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) | 0.42 |
| Annualized return (long-short) | 6.02% |
| Annualized volatility | 14.46% |
| Maximum drawdown | -55.23% |
| Out-of-sample (2019-26) Sharpe | 0.44 |
| Out-of-sample FF5 alpha (annualized) | 9.45% |
| FF5 alpha t-statistic | 2.15 |
| Average monthly turnover (long leg) | 9.59% |
| Months in sample | 331 |