Foundry Energy Return on Assets 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 |
|---|---|---|---|---|
1EOG | EOG RESOURCES INC | Energy | $74.51B | 23.87% |
2MPLX | MPLX LP | Energy | $57.90B | 18.55% |
3CQP | CHENIERE ENERGY PARTNERS LP | Energy | $30.20B | 9.67% |
4FTI | TECHNIPFMC PLC | Energy | $28.73B | 9.21% |
5TPL | TEXAS PACIFIC LAND CORP | Energy | $28.67B | 9.19% |
6EXE | EXPAND ENERGY CORP | Energy | $21.08B | 6.75% |
7RRC | RANGE RESOURCES CORP | Energy | $8.66B | 2.78% |
8HESM | HESS MIDSTREAM LP | Energy | $8.32B | 2.66% |
9WFRD | WEATHERFORD INTERNATIONAL PLC | Energy | $5.80B | 1.86% |
10VAL | VALARIS LTD | Energy | $5.30B | 1.70% |
11MGY | MAGNOLIA OIL & GAS CORP | Energy | $5.04B | 1.62% |
12CNX | CNX RESOURCES CORP | Energy | $4.71B | 1.51% |
13INSW | INTERNATIONAL SEAWAYS INC | Energy | $4.29B | 1.38% |
14OII | OCEANEERING INTERNATIONAL INC | Energy | $4.22B | 1.35% |
15CRK | COMSTOCK RESOURCES INC | Energy | $3.92B | 1.26% |
16PARR | PAR PACIFIC HOLDINGS INC | Energy | $3.82B | 1.23% |
17TDW | TIDEWATER INC | Energy | $3.77B | 1.21% |
18BSM | BLACK STONE MINERALS LP | Energy | $3.25B | 1.04% |
19GPOR | GULFPORT ENERGY CORP | Energy | $2.75B | 0.88% |
20LPG | DORIAN LPG LTD | Energy | $1.76B | 0.56% |
21PBT | PERMIAN BASIN ROYALTY TRUST | Energy | $1.32B | 0.42% |
22DMLP | DORCHESTER MINERALS LP | Energy | $1.31B | 0.42% |
23NPKI | NPK INTERNATIONAL INC | Energy | $1.21B | 0.39% |
24FTK | FLOTEK INDUSTRIES INC | Energy | $947M | 0.30% |
25SD | SANDRIDGE ENERGY INC | Energy | $503M | 0.16% |
26NCSM | NCS MULTISTAGE HOLDINGS INC | Energy | $114M | 0.04% |
Full long-leg book as of July 2026 · cap-weighted · total market cap $312.12B. 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 — 90% toward Large, 57% toward Growth. 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. 26 names now. The faded start covers early months with a much thinner universe. 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%Actual52.8%Margin-22.2%Days required to liquidate the largest position at 20% of one day's dollar volume.
Required<= 7.0 daysActual19.4 daysMargin-12.4 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 26 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?
Publication date unknown. We don’t have a source year for this signal, so we can’t split its record into before and since publication. That’s a gap in our reference data — not a statement about how the factor performed.
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. | 22.9% | -2.7% |
| 3 yearsp.a. | 7.2% | 0.1% |
| 5 yearsp.a. | 13.0% | -8.6% |
| 10 yearsp.a. | 3.7% | -7.6% |
| Since inceptionp.a. | 6.5% | -3.3% |
| Year | Long leg | Long-short |
|---|---|---|
| 20267 mo | 26.8% | 4.7% |
| 2025 | -5.5% | -14.2% |
| 2024 | 6.0% | 3.0% |
| 2023 | -5.3% | -10.5% |
| 2022 | 43.3% | -9.8% |
| 2021 | 40.2% | -26.1% |
| 2020 | -33.2% | -20.8% |
| 2019 | 4.1% | -5.4% |
| 2018 | -25.0% | -0.3% |
| 2017 | 3.2% | 20.2% |
| 2016 | -1.8% | -31.3% |
| 2015 | -13.1% | 28.4% |
| 2014 | -9.0% | 8.0% |
| 2013 | 22.7% | 1.5% |
| 2012 | 2.9% | -2.3% |
| 2011 | 7.4% | -2.8% |
| 2010 | 12.0% | -12.9% |
| 2009 | 5.7% | -41.6% |
| 2008 | -30.6% | 51.1% |
| 2007 | 32.9% | 20.3% |
| 2006 | 20.6% | 6.6% |
| 2005 | 20.5% | -18.6% |
| 2004 | 29.0% | -19.7% |
| 2003 | 24.0% | -0.4% |
| 2002 | -10.3% | 33.7% |
| 2001 | 2.2% | 34.0% |
| 2000 | 9.5% | -37.7% |
| 1999 | 64.8% | 23.2% |
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 Return on Assets Factor ETF tracks a rules-based model that ranks Energy common stocks each month by a Return on Assets signal and holds the top quintile with the highest 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.