Foundry Energy Small Size 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 |
|---|---|---|---|---|
1FTK | FLOTEK INDUSTRIES INC | Energy | $947M | 6.77% |
2HPK | HIGHPEAK ENERGY INC | Energy | $931M | 6.65% |
3TBN | TAMBORAN RESOURCES CORP | Energy | $890M | 6.36% |
4CAPL | CROSSAMERICA PARTNERS LP | Energy | $856M | 6.12% |
5INR | INFINITY NATURAL RESOURCES INC | Energy | $826M | 5.90% |
6REPX | RILEY EXPLORATION PERMIAN INC | Energy | $759M | 5.43% |
7TXO | TXO PARTNERS LP | Energy | $707M | 5.05% |
8WHK | WHITEHAWK MINERALS CORP | Energy | $668M | 4.78% |
9VTS | VITESSE ENERGY INC | Energy | $664M | 4.74% |
10FET | FORUM ENERGY TECHNOLOGIES INC | Energy | $593M | 4.24% |
11EGY | VAALCO ENERGY INC | Energy | $553M | 3.95% |
12CLB | CORE LABORATORIES INC | Energy | $523M | 3.74% |
13EROC | EAGLE ROCK ENERGY PARTNERS L P | Energy | $520M | 3.72% |
14OIS | OIL STATES INTERNATIONAL INC | Energy | $507M | 3.63% |
15SD | SANDRIDGE ENERGY INC | Energy | $503M | 3.60% |
16EROK | EAGLEROCK LAND LLC | Energy | $498M | 3.56% |
17NGS | NATURAL GAS SERVICES GROUP INC | Energy | $488M | 3.49% |
18SGU | STAR GROUP LP | Energy | $430M | 3.07% |
19SMC | SUMMIT MIDSTREAM CORP | Energy | $407M | 2.91% |
20RNGR | RANGER ENERGY SERVICES INC | Energy | $371M | 2.65% |
21PNRG | PRIMEENERGY RESOURCES CORP | Energy | $302M | 2.16% |
22GTE | GRAN TIERRA ENERGY INC | Energy | $233M | 1.67% |
23EPSN | EPSILON ENERGY LTD | Energy | $167M | 1.19% |
24PED | PEDEVCO CORP | Energy | $161M | 1.15% |
25NINE | NINE ENERGY SERVICE INC | Energy | $158M | 1.13% |
26BOOM | DMC GLOBAL INC | Energy | $128M | 0.92% |
27NCSM | NCS MULTISTAGE HOLDINGS INC | Energy | $114M | 0.82% |
28GEOS | GEOSPACE TECHNOLOGIES CORP | Energy | $88M | 0.63% |
Full long-leg book as of July 2026 · cap-weighted · total market cap $13.99B. 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 — 0% toward Large, 37% toward Growth. +12% unclassified (3 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. 28 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.
Days required to liquidate the largest position at 20% of one day's dollar volume.
Required<= 7.0 daysActual139.7 daysMargin-132.7 daysNo more than 15% of net assets may be held in illiquid investments.
Required<= 15.0%Actual41.4%Margin-26.4%
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 28 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 disagree about the verdict, not just the value — the choice of method decides the answer here. Historical VaR gives ratio 1.95 (pass) but Gaussian VaR gives 2.02 (fail). The pass/fail conclusion is an artefact of estimator choice, not a property of the strategy.
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?
There is no “before” to compare against — the predictor was already public when our data begins, so every month shown is out-of-sample relative to the original study.
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. | 31.9% | -2.7% |
| 3 yearsp.a. | 7.3% | -6.3% |
| 5 yearsp.a. | 12.9% | -8.5% |
| 10 yearsp.a. | 5.5% | -3.4% |
| Since inceptionp.a. | 8.7% | 0.8% |
| Year | Long leg | Long-short |
|---|---|---|
| 20267 mo | 9.2% | -17.4% |
| 2025 | 13.4% | 7.4% |
| 2024 | 9.5% | -0.4% |
| 2023 | -4.9% | -5.4% |
| 2022 | 41.0% | -13.8% |
| 2021 | 50.7% | 0.3% |
| 2020 | -25.7% | 16.8% |
| 2019 | -8.9% | -17.4% |
| 2018 | -27.0% | -13.6% |
| 2017 | -6.7% | -5.9% |
| 2016 | 57.2% | 30.1% |
| 2015 | -43.5% | -24.1% |
| 2014 | -30.9% | -26.4% |
| 2013 | 40.2% | 12.0% |
| 2012 | 0.5% | -4.3% |
| 2011 | -7.1% | -8.6% |
| 2010 | 34.2% | 14.2% |
| 2009 | 77.6% | 56.3% |
| 2008 | -57.5% | -33.4% |
| 2007 | 3.1% | -24.6% |
| 2006 | 28.5% | 6.6% |
| 2005 | 40.9% | 5.8% |
| 2004 | 64.9% | 26.1% |
| 2003 | 88.7% | 52.4% |
| 2002 | -4.7% | 11.3% |
| 2001 | -11.8% | 0.6% |
| 2000 | 84.6% | 53.1% |
| 1999 | 8.6% | -6.3% |
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 Small Size Factor ETF tracks a rules-based model that ranks Energy common stocks each month by a Small Size 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.