Foundry Consumer Cyclical AM 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 |
|---|---|---|---|---|
1GM | GENERAL MOTORS CO | Consumer Cyclical | $68.59B | 29.69% |
2F | FORD MOTOR CO | Consumer Cyclical | $56.70B | 24.55% |
3MGM | MGM RESORTS INTERNATIONAL | Consumer Cyclical | $11.80B | 5.11% |
4KMX | CARMAX INC | Consumer Cyclical | $8.14B | 3.52% |
5LAD | LITHIA MOTORS INC | Consumer Cyclical | $7.65B | 3.31% |
6M | MACY'S INC | Consumer Cyclical | $6.23B | 2.70% |
7CZR | CAESARS ENTERTAINMENT INC | Consumer Cyclical | $6.08B | 2.63% |
8ABG | ASBURY AUTOMOTIVE GROUP INC | Consumer Cyclical | $4.10B | 1.78% |
9HGV | HILTON GRAND VACATIONS INC | Consumer Cyclical | $3.98B | 1.72% |
10GPI | GROUP 1 AUTOMOTIVE INC | Consumer Cyclical | $3.88B | 1.68% |
11PVH | PVH CORP | Consumer Cyclical | $3.60B | 1.56% |
12VAC | MARRIOTT VACATIONS WORLDWIDE CORP | Consumer Cyclical | $3.43B | 1.49% |
13GPK | GRAPHIC PACKAGING HOLDING CO | Consumer Cyclical | $3.20B | 1.39% |
14AAP | ADVANCE AUTO PARTS INC | Consumer Cyclical | $3.19B | 1.38% |
15LCID | LUCID GROUP INC | Consumer Cyclical | $2.87B | 1.24% |
16HOG | HARLEY-DAVIDSON INC | Consumer Cyclical | $2.80B | 1.21% |
17PENN | PENN ENTERTAINMENT INC | Consumer Cyclical | $2.75B | 1.19% |
18WHR | WHIRLPOOL CORP | Consumer Cyclical | $2.48B | 1.07% |
19GT | GOODYEAR TIRE & RUBBER CO | Consumer Cyclical | $2.10B | 0.91% |
20KSS | KOHLS CORP | Consumer Cyclical | $1.96B | 0.85% |
21FUN | SIX FLAGS ENTERTAINMENT CORPORATION | Consumer Cyclical | $1.79B | 0.78% |
22ADNT | ADIENT PLC | Consumer Cyclical | $1.55B | 0.67% |
23MLKN | MILLERKNOLL INC | Consumer Cyclical | $1.49B | 0.65% |
24WEN | WENDY'S CO | Consumer Cyclical | $1.48B | 0.64% |
25DFH | DREAM FINDERS HOMES INC | Consumer Cyclical | $1.45B | 0.63% |
26OI | O-I GLASS INC | Consumer Cyclical | $1.40B | 0.60% |
27LGIH | LGI HOMES INC | Consumer Cyclical | $1.36B | 0.59% |
28DCH | DAUCH CORP | Consumer Cyclical | $1.29B | 0.56% |
29MBC | MASTERBRAND INC | Consumer Cyclical | $1.11B | 0.48% |
30LUCK | LUCKY STRIKE ENTERTAINMENT CORP | Consumer Cyclical | $1.01B | 0.44% |
31BZH | BEAZER HOMES USA INC | Consumer Cyclical | $900M | 0.39% |
32ARKO | ARKO CORP | Consumer Cyclical | $893M | 0.39% |
33HOV | HOVNANIAN ENTERPRISES INC | Consumer Cyclical | $772M | 0.33% |
34HZO | MARINEMAX INC | Consumer Cyclical | $760M | 0.33% |
35BLMN | BLOOMIN' BRANDS INC | Consumer Cyclical | $731M | 0.32% |
36BALY | BALLY'S CORP | Consumer Cyclical | $688M | 0.30% |
37CWH | CAMPING WORLD HOLDINGS INC | Consumer Cyclical | $637M | 0.28% |
38MNRO | MONRO INC | Consumer Cyclical | $509M | 0.22% |
39CPS | COOPER-STANDARD HOLDINGS INC | Consumer Cyclical | $490M | 0.21% |
40DIN | DINE BRANDS GLOBAL INC | Consumer Cyclical | $456M | 0.20% |
41GCO | GENESCO INC | Consumer Cyclical | $411M | 0.18% |
42CAL | CALERES INC | Consumer Cyclical | $398M | 0.17% |
43SHOE | SHOE CARNIVAL INC | Consumer Cyclical | $393M | 0.17% |
44LE | LANDS' END INC | Consumer Cyclical | $357M | 0.15% |
45DBI | DESIGNER BRANDS INC | Consumer Cyclical | $290M | 0.13% |
46JACK | JACK IN THE BOX INC | Consumer Cyclical | $286M | 0.12% |
47MPAA | MOTORCAR PARTS OF AMERICA INC | Consumer Cyclical | $265M | 0.11% |
48RDNW | RIDENOW GROUP INC | Consumer Cyclical | $229M | 0.10% |
49ONEW | ONEWATER MARINE INC | Consumer Cyclical | $224M | 0.10% |
50RICK | RCI HOSPITALITY HOLDINGS INC | Consumer Cyclical | $200M | 0.09% |
51SRI | STONERIDGE INC | Consumer Cyclical | $197M | 0.09% |
52LCUT | LIFETIME BRANDS INC | Consumer Cyclical | $195M | 0.08% |
53COOK | TRAEGER INC | Consumer Cyclical | $193M | 0.08% |
54LEE | LEE ENTERPRISES INC | Consumer Cyclical | $175M | 0.08% |
55CHPT | CHARGEPOINT HOLDINGS INC | Consumer Cyclical | $146M | 0.06% |
56WW | WW INTERNATIONAL INC | Consumer Cyclical | $146M | 0.06% |
57RRGB | RED ROBIN GOURMET BURGERS INC | Consumer Cyclical | $130M | 0.06% |
58AKA | AKA BRANDS HOLDING CORP | Consumer Cyclical | $119M | 0.05% |
59UFI | UNIFI INC | Consumer Cyclical | $118M | 0.05% |
60VNCE | VINCE HOLDING CORP | Consumer Cyclical | $83M | 0.04% |
61RGS | REGIS CORP | Consumer Cyclical | $74M | 0.03% |
62NDLS | NOODLES & CO | Consumer Cyclical | $66M | 0.03% |
Full long-leg book as of July 2026 · cap-weighted · total market cap $231.00B. 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 310-name universe at July 2026. Rows: Large ≥ $5.9B, Small < $1.3B. Columns: Value ≥ 0.62, Growth < 0.38 B/M. The dot marks the capital-weighted centroid of the book — 86% toward Large, 34% toward Growth. +10% unclassified (20 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. 62 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%Actual55.7%Margin-19.3%No more than 25% of total assets may be invested in the securities of any one issuer.
Required<= 25.0%Actual29.7%Margin-4.7%
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 62 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?
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. | 26.2% | 17.7% |
| 3 yearsp.a. | 7.5% | -6.1% |
| 5 yearsp.a. | 2.3% | -3.7% |
| 10 yearsp.a. | 9.3% | -5.8% |
| Since inceptionp.a. | 4.2% | -5.1% |
| Year | Long leg | Long-short |
|---|---|---|
| 20267 mo | 6.3% | 7.1% |
| 2025 | 17.1% | 9.1% |
| 2024 | 3.4% | -24.1% |
| 2023 | 19.2% | -16.0% |
| 2022 | -34.6% | 10.8% |
| 2021 | 54.0% | 31.4% |
| 2020 | 30.0% | -21.4% |
| 2019 | 23.2% | -1.4% |
| 2018 | -24.6% | -34.8% |
| 2017 | 20.9% | -10.4% |
| 2016 | 12.6% | 10.8% |
| 2015 | -4.9% | -25.8% |
| 2014 | 3.1% | -1.2% |
| 2013 | 47.0% | 5.9% |
| 2012 | 32.2% | 15.6% |
| 2011 | -27.4% | -37.5% |
| 2010 | 40.6% | 11.1% |
| 2009 | 129.2% | 68.4% |
| 2008 | -68.2% | -45.1% |
| 2007 | -28.4% | -31.2% |
| 2006 | 18.4% | 9.4% |
| 2005 | -15.4% | -7.6% |
| 2004 | 14.6% | -2.3% |
| 2003 | 60.5% | 18.3% |
| 2002 | -23.3% | 0.2% |
| 2001 | 9.5% | 0.4% |
| 2000 | -19.6% | 19.6% |
| 1999 | -3.8% | -23.3% |
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 Consumer Cyclical AM Factor ETF tracks a rules-based model that ranks Consumer Cyclical common stocks each month by a AM 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.