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) | FNOC |
| CUSIP | Not applicable (hypothetical model portfolio) |
| Listing exchange | Not listed (hypothetical) |
| Underlying model | Net Operating Assets factor (Consumer Cyclical only) |
| Placeholder expense ratio | 0.45% |
| Placeholder inception date | 2019-12-18 |
| Number of holdings (long leg) | 61 |
| 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 | 15.18% |
| 2018 | 42.67% |
| 2019 | 9.85% |
| 2020 | 55.45% |
| 2021 | 4.31% |
| 2022 | -7.59% |
| 2023 | -11.59% |
| 2024 | 6.53% |
| 2025 | 11.63% |
| 2026 | 13.32% |
Average Annual Total Returns (hypothetical, as of the most recent sample month)
| Period | Hypothetical Avg. Annual Total Return |
|---|---|
| 1 Year | 12.43% |
| 3 Years | 9.40% |
| 5 Years | 3.77% |
| 10 Years | 12.29% |
| Since Model Inception (full sample) | 8.17% |
Top 10 Holdings (of 61)
| # | Ticker | Company | Sector | Weight | Market Value |
|---|---|---|---|---|---|
| 1 | SBUX | STARBUCKS CORP | Consumer Cyclical | 15.07% | $15,067,664 |
| 2 | MAR | MARRIOTT INTERNATIONAL INC | Consumer Cyclical | 12.10% | $12,103,222 |
| 3 | ROST | ROSS STORES INC | Consumer Cyclical | 9.39% | $9,385,673 |
| 4 | HLT | HILTON WORLDWIDE HOLDINGS INC | Consumer Cyclical | 9.17% | $9,167,404 |
| 5 | ORLY | O REILLY AUTOMOTIVE INC | Consumer Cyclical | 8.94% | $8,937,166 |
| 6 | EBAY | EBAY INC | Consumer Cyclical | 6.24% | $6,235,584 |
| 7 | CPNG | COUPANG INC | Consumer Cyclical | 3.74% | $3,738,999 |
| 8 | TPR | TAPESTRY INC | Consumer Cyclical | 3.58% | $3,581,990 |
| 9 | RIVN | RIVIAN AUTOMOTIVE INC | Consumer Cyclical | 2.76% | $2,757,265 |
| 10 | BBY | BEST BUY CO INC | Consumer Cyclical | 2.26% | $2,256,083 |
Sector Allocation
| Sector | Weight | # Holdings |
|---|---|---|
| Consumer Cyclical | 100.00% | 61 |
Portfolio Characteristics (hypothetical)
| Characteristic | Value |
|---|---|
| Sharpe ratio (full sample) | 0.61 |
| Annualized volatility | 14.77% |
| Maximum drawdown | -35.49% |
| Average monthly turnover | 9.79% |
| Out-of-sample Sharpe (2019-26) | 0.56 |