Investment Objective
The Fund seeks long-term capital appreciation by tracking a rules-based NetDebtPrice factor model, before the placeholder expense ratio and trading costs.
Key Facts
| Item | Value |
|---|---|
| Ticker (pseudo) | FNER |
| CUSIP | Not applicable (hypothetical model portfolio) |
| Listing exchange | Not listed (hypothetical) |
| Underlying model | NetDebtPrice factor (Industry-relative (FF48)) |
| Placeholder expense ratio | 0.35% |
| Placeholder inception date | 2022-07-25 |
| Number of holdings (long leg) | 319 |
| 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 | 7.07% |
| 2018 | -2.50% |
| 2019 | -2.42% |
| 2020 | -1.72% |
| 2021 | -10.38% |
| 2022 | -8.91% |
| 2023 | -5.45% |
| 2024 | 24.16% |
| 2025 | -19.07% |
| 2026 | -12.88% |
Average Annual Total Returns (hypothetical, as of the most recent sample month)
| Period | Hypothetical Avg. Annual Total Return |
|---|---|
| 1 Year | -29.90% |
| 3 Years | -0.77% |
| 5 Years | -5.83% |
| 10 Years | -2.48% |
| Since Model Inception (full sample) | -2.50% |
Top 10 Holdings (of 319)
| # | Ticker | Company | Sector | Weight | Market Value |
|---|---|---|---|---|---|
| 1 | NFLX | NETFLIX INC | Communication Services | 18.87% | $18,874,037 |
| 2 | SCHW | SCHWAB CHARLES CORP | Financial Services | 11.48% | $11,476,682 |
| 3 | DIS | WALT DISNEY CO | Communication Services | 11.02% | $11,020,445 |
| 4 | BLK | BLACKROCK INC | Financial Services | 10.81% | $10,814,909 |
| 5 | HOOD | ROBINHOOD MARKETS INC | Financial Services | 5.85% | $5,848,880 |
| 6 | APO | APOLLO GLOBAL MANAGEMENT INC | Financial Services | 4.51% | $4,512,860 |
| 7 | AMP | AMERIPRISE FINANCIAL INC | Financial Services | 3.08% | $3,083,423 |
| 8 | LYV | LIVE NATION ENTERTAINMENT INC | Communication Services | 2.76% | $2,758,297 |
| 9 | TKO | TKO GROUP HOLDINGS INC | Communication Services | 2.30% | $2,299,097 |
| 10 | RJF | RAYMOND JAMES FINANCIAL INC | Financial Services | 2.13% | $2,131,931 |
Sector Allocation
| Sector | Weight | # Holdings |
|---|---|---|
| Financial Services | 48.61% | 28 |
| Communication Services | 38.45% | 17 |
| Industrials | 5.44% | 249 |
| Consumer Cyclical | 3.72% | 15 |
| Energy | 1.95% | 2 |
| Basic Materials | 1.41% | 3 |
| Real Estate | 0.22% | 3 |
| Technology | 0.19% | 1 |
| Healthcare | 0.01% | 1 |
Portfolio Characteristics (hypothetical)
| Characteristic | Value |
|---|---|
| Sharpe ratio (full sample) | -0.16 |
| Annualized volatility | 11.81% |
| Maximum drawdown | -60.85% |
| Average monthly turnover | 20.61% |
| Out-of-sample Sharpe (2019-26) | -0.30 |