Investment Objective
The Fund seeks long-term capital appreciation by tracking a rules-based Net Operating Assets factor model, before the placeholder expense ratio and trading costs.
Key Facts
| Item | Value |
|---|---|
| Ticker (pseudo) | FNOA |
| CUSIP | Not applicable (hypothetical model portfolio) |
| Listing exchange | Not listed (hypothetical) |
| Underlying model | Net Operating Assets factor (All stocks) |
| Placeholder expense ratio | 0.29% |
| Placeholder inception date | 2022-04-22 |
| Number of holdings (long leg) | 296 |
| 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 | 8.60% |
| 2018 | 4.40% |
| 2019 | -0.37% |
| 2020 | -13.91% |
| 2021 | 10.69% |
| 2022 | 19.79% |
| 2023 | 4.51% |
| 2024 | -33.05% |
| 2025 | 0.86% |
| 2026 | 10.88% |
Average Annual Total Returns (hypothetical, as of the most recent sample month)
| Period | Hypothetical Avg. Annual Total Return |
|---|---|
| 1 Year | 13.99% |
| 3 Years | -7.95% |
| 5 Years | -0.93% |
| 10 Years | 2.36% |
| Since Model Inception (full sample) | 4.01% |
Top 10 Holdings (of 296)
| # | Ticker | Company | Sector | Weight | Market Value |
|---|---|---|---|---|---|
| 1 | BKNG | BOOKING HOLDINGS INC | Industrials | 9.53% | $9,527,263 |
| 2 | FTNT | FORTINET INC | Technology | 8.01% | $8,012,929 |
| 3 | BNY | BANK OF NEW YORK MELLON CORP | Financial Services | 7.30% | $7,298,783 |
| 4 | MCK | MCKESSON CORP | Healthcare | 6.84% | $6,844,536 |
| 5 | HOOD | ROBINHOOD MARKETS INC | Financial Services | 6.09% | $6,091,720 |
| 6 | APO | APOLLO GLOBAL MANAGEMENT INC | Financial Services | 4.70% | $4,700,230 |
| 7 | MET | METLIFE INC | Financial Services | 4.09% | $4,093,186 |
| 8 | CAH | CARDINAL HEALTH INC | Healthcare | 3.62% | $3,622,007 |
| 9 | STT | STATE STREET CORP | Financial Services | 3.42% | $3,418,258 |
| 10 | AMP | AMERIPRISE FINANCIAL INC | Financial Services | 3.21% | $3,211,444 |
Sector Allocation
| Sector | Weight | # Holdings |
|---|---|---|
| Financial Services | 47.12% | 86 |
| Healthcare | 18.26% | 64 |
| Industrials | 16.10% | 115 |
| Technology | 13.66% | 16 |
| Communication Services | 3.06% | 5 |
| Consumer Cyclical | 1.50% | 4 |
| Basic Materials | 0.13% | 3 |
| Energy | 0.09% | 1 |
| Consumer Defensive | 0.08% | 2 |
Portfolio Characteristics (hypothetical)
| Characteristic | Value |
|---|---|
| Sharpe ratio (full sample) | 0.33 |
| Annualized volatility | 15.42% |
| Maximum drawdown | -39.04% |
| Average monthly turnover | 9.33% |
| Out-of-sample Sharpe (2019-26) | -0.01 |