Foundry Energy Low Volatility Factor ETF
ETF Foundry Research (hypothetical) · rebalanced monthly
Every other metric on this page is the long-shortstrategy, which needs a short book. This fund is the long leg alone, so these are the figures for what it actually holds. The bottom-bucket number is that basket’s own return — not short P&L.
Hypothetical growth of $1 — long-short backtest
Gross of the placeholder expense ratio and trading costs · not investor results
Holdings
Every constituent of the long leg — sort, search or filter by sector
| Ticker | Company | Sector | Market cap | Weight |
|---|---|---|---|---|
1WMB | WILLIAMS COMPANIES INC | Energy | $89.74B | 14.05% |
2EPD | ENTERPRISE PRODUCTS PARTNERS LP | Energy | $82.65B | 12.94% |
3KMI | KINDER MORGAN INC | Energy | $71.86B | 11.25% |
4ET | ENERGY TRANSFER LP | Energy | $69.92B | 10.95% |
5TRGP | TARGA RESOURCES CORP | Energy | $60.72B | 9.51% |
6OKE | ONEOK INC | Energy | $58.92B | 9.22% |
7MPLX | MPLX LP | Energy | $57.90B | 9.06% |
8CQP | CHENIERE ENERGY PARTNERS LP | Energy | $30.20B | 4.73% |
9WES | WESTERN MIDSTREAM PARTNERS LP | Energy | $18.10B | 2.83% |
10PAA | PLAINS ALL AMERICAN PIPELINE LP | Energy | $16.84B | 2.64% |
11VNOM | VIPER ENERGY INC | Energy | $15.93B | 2.49% |
12SUN | SUNOCO LP | Energy | $15.16B | 2.37% |
13DTM | DT MIDSTREAM INC | Energy | $14.80B | 2.32% |
14HESM | HESS MIDSTREAM LP | Energy | $8.32B | 1.30% |
15PAGP | PLAINS GP HOLDINGS LP | Energy | $5.07B | 0.79% |
16IEP | ICAHN ENTERPRISES LP | Energy | $5.03B | 0.79% |
17SUNC | SUNOCOCORP LLC | Energy | $3.84B | 0.60% |
18BSM | BLACK STONE MINERALS LP | Energy | $3.25B | 0.51% |
19DKL | DELEK LOGISTICS PARTNERS LP | Energy | $2.92B | 0.46% |
20GEL | GENESIS ENERGY LP | Energy | $1.79B | 0.28% |
21KRP | KIMBELL ROYALTY PARTNERS LP | Energy | $1.61B | 0.25% |
22DMLP | DORCHESTER MINERALS LP | Energy | $1.31B | 0.21% |
23CAPL | CROSSAMERICA PARTNERS LP | Energy | $856M | 0.13% |
24TXO | TXO PARTNERS LP | Energy | $707M | 0.11% |
25NGS | NATURAL GAS SERVICES GROUP INC | Energy | $488M | 0.08% |
26SGU | STAR GROUP LP | Energy | $430M | 0.07% |
27RNGR | RANGER ENERGY SERVICES INC | Energy | $371M | 0.06% |
Full long-leg book as of July 2026 · cap-weighted · total market cap $638.75B. Hypothetical model holdings — not a registered fund’s portfolio.
Sector Breakdown
Portfolio Style
Size × value map of the long-leg book
Share of long-leg capital by market cap × book-to-market, using terciles of the 137-name universe at July 2026. Rows: Large ≥ $7.1B, Small < $1.8B. Columns: Value ≥ 0.64, Growth < 0.40 B/M. The dot marks the capital-weighted centroid of the book — 98% toward Large, 75% toward Growth. +1% unclassified (1 missing size/value). Hypothetical holdings — descriptive, not realized P&L.
Capital-weighted centroid of the long leg, December 1998 → July 2026; the right-hand end is the same value as the box’s dot. 27 names now. Hypothetical holdings — descriptive, not P&L.
Constraint checks
How this book measures against the concentration and liquidity rules — as implemented here
These are UNCONSTRAINED factor sleeves: the construction pipeline sorts on a signal and cap-weights the top bucket, applying no issuer cap, no industry cap and no liquidity screen beyond the universe filter. A failing test therefore reports a constraint that was never applied during construction — it is not a defect in the strategy and not an error in the data. The same signal can be solved subject to these constraints.
7 independent checks plus 1 arithmetically implied by another check (RIC / IRC 851(b)(3)(A) 50% bucket), which is reported separately so the tally cannot overstate scrutiny.
1 of 7 checks could not be tested. Those are neither passes nor failures — they are gaps in what the data can answer, and they are excluded from the passed count above rather than folded into it.
With respect to 75% of total assets, no more than 5% may be invested in the securities of any one issuer.
Required>= 75.0%Actual58.0%Margin-17.0%Days required to liquidate the largest position at 20% of one day's dollar volume.
Required<= 7.0 daysActual9.5 daysMargin-2.5 days
Engineering approximation of the cited rules for a DRAFT / HYPOTHETICAL model portfolio that is not a registered fund. This reports whether the portfolio passes the stated test AS IMPLEMENTED HERE; it is not a compliance opinion and is not a statement that any fund is compliant. Real filings need securities counsel.
No verdict sits within 1.0pp of its limit.
Data version — panel=20260719T025334 rows=2239262 asof=202607 issuers=20260719T014536 rates=20260804T224700
Measured on the 2026-07 formation date across 27 holdings (cap-weighted). A different formation date can produce different verdicts.
Derivatives risk (Rule 18f-4)
Whether this long-only book is subject to the VaR tests at all
This assessment describes the long-only book this fund holds — the top bucket only.
This fund QUALIFIES for the limited-derivatives-user exception, so it is excepted from the VaR tests; the ratio below is informational, not the operative limit.
Rule 18f-4(c)(4): a fund whose derivatives exposure (gross notional, including the value of assets sold short) is <= 10% of net assets is excepted from the VaR tests and the full derivatives risk management program.
No confidence interval: this follows from portfolio construction, not from an estimate.
Rule 18f-4(c)(2)(i): fund VaR at 99% over 20 trading days must not exceed 200% of the designated reference portfolio's VaR on the same basis.
Informational — does not governThis fund is excepted from the VaR tests, so the ratio below is context rather than the operative limit. It is shown because it is still a description of the book’s risk, not because it decides anything.
historical method · 331 monthly observations · about 3.3 in the 99% tail · paired percentile bootstrap over months
The estimators agree, which is mild evidence the number isn’t an artefact of one method.
Engineering approximation of SEC Rule 18f-4 for research display. Not a compliance opinion and not a determination that any fund is compliant. Hypothetical model portfolio, not a registered fund.
The research long-short construction behind this factor does not qualify for this exception — a dollar-neutral book counts its full short notional, which is 100% of net assets against a 10% threshold. This product sidesteps that by holding the long leg alone, which is also why the long-leg Sharpe is reported separately throughout the site.
See the long-short verdict on the factor page →Since publication
Did the edge survive the paper coming out?
Split at January of the year after the factor was published. The post-publication stretch IS genuinely out-of-sample relative to the original study -- the predictor was public by then -- so it speaks to whether the effect survived being known. Nothing is fitted here, so this is performance SINCE PUBLICATION, not validation of a model. Note the 'pre' side is our data before publication (our panel starts ~1999), NOT the study's original in-sample period, which usually ran decades earlier; a decay figure compares before-vs-after within our sample and is not a comparison against the published result.
Consistency across eras
Is this record broadly durable, or one regime?
3-year rolling windows, stepping 1 year (26 windows). Dispersion is the spread of window Sharpes — higher means the record depends more on which era you look at.
Rules-based factors fit no parameters, so these windows are not out-of-sample tests and do not validate a fitted model. They show whether the factor's record is consistent across eras or driven by one regime.
Returns
Long leg is what this fund holds — long-short is shown for reference
| Period | Long leg | Long-short |
|---|---|---|
| 1 yearcum. | 26.5% | 26.7% |
| 3 yearsp.a. | 16.6% | 28.5% |
| 5 yearsp.a. | 19.7% | 9.4% |
| 10 yearsp.a. | 8.6% | -0.1% |
| Since inceptionp.a. | 9.6% | -5.6% |
| Year | Long leg | Long-short |
|---|---|---|
| 20267 mo | 23.8% | -4.4% |
| 2025 | 7.1% | 40.5% |
| 2024 | 12.1% | 21.4% |
| 2023 | 15.9% | 22.7% |
| 2022 | 33.9% | -18.0% |
| 2021 | 42.8% | -24.1% |
| 2020 | -35.1% | -39.3% |
| 2019 | 11.4% | -1.4% |
| 2018 | -12.0% | 31.5% |
| 2017 | -0.6% | 23.0% |
| 2016 | 23.7% | -33.2% |
| 2015 | -21.2% | 41.9% |
| 2014 | -0.3% | 48.3% |
| 2013 | 22.7% | -13.0% |
| 2012 | 4.7% | -4.7% |
| 2011 | 18.5% | 3.9% |
| 2010 | 16.4% | -17.4% |
| 2009 | 6.9% | -40.3% |
| 2008 | -22.4% | 50.5% |
| 2007 | 28.8% | -2.4% |
| 2006 | 34.7% | 25.5% |
| 2005 | 37.5% | -10.3% |
| 2004 | 27.0% | -27.9% |
| 2003 | 25.6% | -9.8% |
| 2002 | -12.5% | 18.1% |
| 2001 | -2.1% | 6.9% |
| 2000 | 15.6% | -61.5% |
| 1999 | 11.4% | -45.0% |
Long leg = the top bucket this fund holds; long-short additionally shorts the bottom bucket and is not achievable in a long-only vehicle. Trailing figures run through July 2026: 1 year is a plain cumulative 12-month return (cum.), 3 years and longer are annualised (p.a.). Years marked with a month count are partial. These match the fact sheet’s tables by construction. Hypothetical backtest, gross of the placeholder expense ratio and trading costs — not investor results.
Fund Facts
Methodology
The Foundry Energy Low Volatility Factor ETF tracks a rules-based model that ranks Energy common stocks each month by a Low Volatility signal and holds the top quintile with the lowest values. Signals are computed from point-in-time Sharadar fundamentals and total-return prices. The portfolio reconstitutes monthly and is cap-weighted within the long leg.
This is a hypothetical model portfolio for research display only — not a registered fund, not an offer, and not investment advice.
Documents (draft — hypothetical)
Auto-generated from the model’s metrics and current holdings. Every document is labeled DRAFT / hypothetical.
Objective, fees, strategy, and key risks.
Full strategy, model methodology, and risks.
Policies, construction, and governance.
One-page snapshot with top holdings.
Full current constituent list.
DRAFT — HYPOTHETICAL MODEL PORTFOLIO — NOT A REGISTERED FUND, NOT AN OFFER TO SELL SECURITIES, NOT INVESTMENT ADVICE.