Investment Objective
The Fund seeks long-term capital appreciation by tracking a rules-based Price factor model, before the placeholder expense ratio and trading costs.
Key Facts
| Item | Value |
|---|---|
| Ticker (pseudo) | FPRR |
| CUSIP | Not applicable (hypothetical model portfolio) |
| Listing exchange | Not listed (hypothetical) |
| Underlying model | Price factor (Industry-relative (FF48)) |
| Placeholder expense ratio | 0.35% |
| Placeholder inception date | 2020-10-03 |
| 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 | -17.46% |
| 2018 | -13.78% |
| 2019 | -8.87% |
| 2020 | -19.70% |
| 2021 | -20.36% |
| 2022 | 2.64% |
| 2023 | -6.18% |
| 2024 | -6.63% |
| 2025 | -9.67% |
| 2026 | 3.58% |
Average Annual Total Returns (hypothetical, as of the most recent sample month)
| Period | Hypothetical Avg. Annual Total Return |
|---|---|
| 1 Year | -4.75% |
| 3 Years | -4.70% |
| 5 Years | -7.27% |
| 10 Years | -8.76% |
| Since Model Inception (full sample) | -3.09% |
Top 10 Holdings (of 319)
| # | Ticker | Company | Sector | Weight | Market Value |
|---|---|---|---|---|---|
| 1 | ET | ENERGY TRANSFER LP | Energy | 13.07% | $13,070,084 |
| 2 | RKT | ROCKET COMPANIES INC | Financial Services | 7.69% | $7,689,761 |
| 3 | PCG | PG&E CORP | Utilities | 7.13% | $7,129,495 |
| 4 | VG | VENTURE GLOBAL INC | Energy | 6.41% | $6,408,293 |
| 5 | CNH | CNH INDUSTRIAL NV | Industrials | 2.47% | $2,466,019 |
| 6 | AUR | AURORA INNOVATION INC | Technology | 2.22% | $2,221,494 |
| 7 | AES | AES CORP | Utilities | 1.97% | $1,968,857 |
| 8 | AVTR | AVANTOR INC | Basic Materials | 1.41% | $1,412,740 |
| 9 | JOBY | JOBY AVIATION INC | Industrials | 1.33% | $1,329,300 |
| 10 | NOV | NOV INC | Energy | 1.31% | $1,309,450 |
Sector Allocation
| Sector | Weight | # Holdings |
|---|---|---|
| Energy | 25.89% | 21 |
| Financial Services | 17.54% | 58 |
| Industrials | 13.90% | 58 |
| Utilities | 11.73% | 9 |
| Technology | 11.36% | 56 |
| Consumer Cyclical | 6.72% | 43 |
| Basic Materials | 3.30% | 20 |
| Healthcare | 2.66% | 15 |
| Real Estate | 2.60% | 15 |
| Communication Services | 2.16% | 11 |
| Consumer Defensive | 2.15% | 13 |
Portfolio Characteristics (hypothetical)
| Characteristic | Value |
|---|---|
| Sharpe ratio (full sample) | -0.12 |
| Annualized volatility | 15.54% |
| Maximum drawdown | -71.69% |
| Average monthly turnover | 18.62% |
| Out-of-sample Sharpe (2019-26) | -0.44 |