Foundry Energy VolSD 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 |
|---|---|---|---|---|
1CQP | CHENIERE ENERGY PARTNERS LP | Energy | $30.20B | 49.86% |
2IEP | ICAHN ENTERPRISES LP | Energy | $5.03B | 8.31% |
3USAC | USA COMPRESSION PARTNERS LP | Energy | $3.78B | 6.25% |
4BSM | BLACK STONE MINERALS LP | Energy | $3.25B | 5.37% |
5DKL | DELEK LOGISTICS PARTNERS LP | Energy | $2.92B | 4.82% |
6MNR | MACH NATURAL RESOURCES LP | Energy | $2.21B | 3.65% |
7GLP | GLOBAL PARTNERS LP | Energy | $1.63B | 2.68% |
8PBT | PERMIAN BASIN ROYALTY TRUST | Energy | $1.32B | 2.19% |
9DMLP | DORCHESTER MINERALS LP | Energy | $1.31B | 2.17% |
10APC | ARKO PETROLEUM CORP | Energy | $989M | 1.63% |
11FTK | FLOTEK INDUSTRIES INC | Energy | $947M | 1.56% |
12HPK | HIGHPEAK ENERGY INC | Energy | $931M | 1.54% |
13CAPL | CROSSAMERICA PARTNERS LP | Energy | $856M | 1.41% |
14INR | INFINITY NATURAL RESOURCES INC | Energy | $826M | 1.36% |
15TXO | TXO PARTNERS LP | Energy | $707M | 1.17% |
16EGY | VAALCO ENERGY INC | Energy | $553M | 0.91% |
17SD | SANDRIDGE ENERGY INC | Energy | $503M | 0.83% |
18NGS | NATURAL GAS SERVICES GROUP INC | Energy | $488M | 0.81% |
19SGU | STAR GROUP LP | Energy | $430M | 0.71% |
20SMC | SUMMIT MIDSTREAM CORP | Energy | $407M | 0.67% |
21RNGR | RANGER ENERGY SERVICES INC | Energy | $371M | 0.61% |
22GTE | GRAN TIERRA ENERGY INC | Energy | $233M | 0.38% |
23EPSN | EPSILON ENERGY LTD | Energy | $167M | 0.28% |
24PED | PEDEVCO CORP | Energy | $161M | 0.27% |
25BOOM | DMC GLOBAL INC | Energy | $128M | 0.21% |
26NCSM | NCS MULTISTAGE HOLDINGS INC | Energy | $114M | 0.19% |
27GEOS | GEOSPACE TECHNOLOGIES CORP | Energy | $88M | 0.15% |
Full long-leg book as of July 2026 · cap-weighted · total market cap $60.55B. 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 — 64% toward Large, 83% 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. 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%Actual50.2%Margin-24.8%No more than 25% of total assets may be invested in the securities of any one issuer.
Required<= 25.0%Actual49.9%Margin-24.9%Days required to liquidate the largest position at 20% of one day's dollar volume.
Required<= 7.0 daysActual99.9 daysMargin-92.9 daysNo more than 15% of net assets may be held in illiquid investments.
Required<= 15.0%Actual76.7%Margin-61.7%
At least 50% of total assets must sit in cash, government securities, other RICs, and other securities limited to 5% of assets and 10% of the issuer's voting securities per issuer.
Required>= 50.0%Actual50.2%Margin0.2%Close to the line. The engine flags this verdict as one a routine data rebuild could flip. Read it as borderline rather than settled — the margin beside it is the whole story.
Arithmetically entailed by '40 Act 5(b)(1) diversification (75%/5% asset leg) — it cannot fail independently, so it is reported outside the tally rather than counted as a separate check.
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.
1 verdict(s) sit within 1.0pp of their limit and can be flipped by a routine data rebuild; do not headline them, and always show the margin.
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. | 25.3% | -9.0% |
| 3 yearsp.a. | 10.6% | -2.8% |
| 5 yearsp.a. | 17.2% | -4.9% |
| 10 yearsp.a. | 6.0% | -3.4% |
| Since inceptionp.a. | 11.8% | 2.0% |
| Year | Long leg | Long-short |
|---|---|---|
| 20267 mo | 27.4% | -3.9% |
| 2025 | -12.1% | -18.0% |
| 2024 | 15.9% | 9.1% |
| 2023 | 6.3% | 7.6% |
| 2022 | 46.1% | -13.3% |
| 2021 | 51.5% | -1.7% |
| 2020 | -19.9% | 27.0% |
| 2019 | 1.1% | -10.0% |
| 2018 | -29.8% | -15.9% |
| 2017 | -15.8% | -15.1% |
| 2016 | 40.1% | 12.2% |
| 2015 | -24.2% | -2.0% |
| 2014 | -2.9% | 3.4% |
| 2013 | 34.8% | 7.5% |
| 2012 | -1.2% | -6.0% |
| 2011 | 4.4% | -1.2% |
| 2010 | 48.2% | 24.4% |
| 2009 | 66.0% | 41.3% |
| 2008 | -40.4% | -11.4% |
| 2007 | 3.9% | -25.4% |
| 2006 | 31.0% | 4.4% |
| 2005 | 32.3% | -2.3% |
| 2004 | 52.6% | 15.2% |
| 2003 | 63.4% | 30.0% |
| 2002 | 2.5% | 18.1% |
| 2001 | 16.0% | 29.2% |
| 2000 | 35.0% | 8.0% |
| 1999 | -2.5% | -19.3% |
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 VolSD Factor ETF tracks a rules-based model that ranks Energy common stocks each month by a VolSD 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.