Investment Objective
The Fund seeks long-term capital appreciation by tracking a rules-based Small Size factor model, before the placeholder expense ratio and trading costs.
Key Facts
| Item | Value |
|---|---|
| Ticker (pseudo) | FSIE |
| CUSIP | Not applicable (hypothetical model portfolio) |
| Listing exchange | Not listed (hypothetical) |
| Underlying model | Small Size factor (Energy only) |
| Placeholder expense ratio | 0.45% |
| Placeholder inception date | 2021-02-20 |
| Number of holdings (long leg) | 28 |
| 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 | -5.90% |
| 2018 | -13.62% |
| 2019 | -17.40% |
| 2020 | 16.77% |
| 2021 | 0.32% |
| 2022 | -13.81% |
| 2023 | -5.45% |
| 2024 | -0.38% |
| 2025 | 7.36% |
| 2026 | -17.40% |
Average Annual Total Returns (hypothetical, as of the most recent sample month)
| Period | Hypothetical Avg. Annual Total Return |
|---|---|
| 1 Year | -2.75% |
| 3 Years | -6.28% |
| 5 Years | -8.55% |
| 10 Years | -3.43% |
| Since Model Inception (full sample) | 0.84% |
Top 10 Holdings (of 28)
| # | Ticker | Company | Sector | Weight | Market Value |
|---|---|---|---|---|---|
| 1 | FTK | FLOTEK INDUSTRIES INC | Energy | 6.77% | $6,766,724 |
| 2 | HPK | HIGHPEAK ENERGY INC | Energy | 6.65% | $6,650,943 |
| 3 | TBN | TAMBORAN RESOURCES CORP | Energy | 6.36% | $6,361,492 |
| 4 | CAPL | CROSSAMERICA PARTNERS LP | Energy | 6.12% | $6,119,211 |
| 5 | INR | INFINITY NATURAL RESOURCES INC | Energy | 5.90% | $5,902,659 |
| 6 | REPX | RILEY EXPLORATION PERMIAN INC | Energy | 5.43% | $5,427,387 |
| 7 | TXO | TXO PARTNERS LP | Energy | 5.05% | $5,053,602 |
| 8 | WHK | WHITEHAWK MINERALS CORP | Energy | 4.78% | $4,775,586 |
| 9 | VTS | VITESSE ENERGY INC | Energy | 4.74% | $4,742,710 |
| 10 | FET | FORUM ENERGY TECHNOLOGIES INC | Energy | 4.24% | $4,236,707 |
Sector Allocation
| Sector | Weight | # Holdings |
|---|---|---|
| Energy | 100.00% | 28 |
Portfolio Characteristics (hypothetical)
| Characteristic | Value |
|---|---|
| Sharpe ratio (full sample) | 0.13 |
| Annualized volatility | 17.12% |
| Maximum drawdown | -66.47% |
| Average monthly turnover | 11.71% |
| Out-of-sample Sharpe (2019-26) | -0.21 |