Foundry Consumer Cyclical Book-to-Market Value 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 | 33.71% |
2F | FORD MOTOR CO | Consumer Cyclical | $56.70B | 27.87% |
3LEN | LENNAR CORP | Consumer Cyclical | $20.21B | 9.93% |
4KMX | CARMAX INC | Consumer Cyclical | $8.14B | 4.00% |
5MHK | MOHAWK INDUSTRIES INC | Consumer Cyclical | $6.80B | 3.34% |
6TMHC | TAYLOR MORRISON HOME CORP | Consumer Cyclical | $6.74B | 3.31% |
7MTH | MERITAGE HOMES CORP | Consumer Cyclical | $4.95B | 2.43% |
8MHO | M/I HOMES INC | Consumer Cyclical | $3.83B | 1.88% |
9KBH | KB HOME | Consumer Cyclical | $3.44B | 1.69% |
10PPLI | PEOPLE INC | Communication Services | $3.31B | 1.63% |
11HOG | HARLEY-DAVIDSON INC | Consumer Cyclical | $2.80B | 1.38% |
12GT | GOODYEAR TIRE & RUBBER CO | Consumer Cyclical | $2.10B | 1.03% |
13KSS | KOHLS CORP | Consumer Cyclical | $1.96B | 0.96% |
14CCS | CENTURY COMMUNITIES INC | Consumer Cyclical | $1.89B | 0.93% |
15GIII | G III APPAREL GROUP LTD | Consumer Cyclical | $1.49B | 0.73% |
16DFH | DREAM FINDERS HOMES INC | Consumer Cyclical | $1.45B | 0.71% |
17LGIH | LGI HOMES INC | Consumer Cyclical | $1.36B | 0.67% |
18BZH | BEAZER HOMES USA INC | Consumer Cyclical | $900M | 0.44% |
19MOV | MOVADO GROUP INC | Consumer Cyclical | $859M | 0.42% |
20HOV | HOVNANIAN ENTERPRISES INC | Consumer Cyclical | $772M | 0.38% |
21CNNE | CANNAE HOLDINGS INC | Consumer Cyclical | $657M | 0.32% |
22LEGH | LEGACY HOUSING CORP | Consumer Cyclical | $637M | 0.31% |
23HVT | HAVERTY FURNITURE COMPANIES INC | Consumer Cyclical | $413M | 0.20% |
24GCO | GENESCO INC | Consumer Cyclical | $411M | 0.20% |
25CAL | CALERES INC | Consumer Cyclical | $398M | 0.20% |
26SHOE | SHOE CARNIVAL INC | Consumer Cyclical | $393M | 0.19% |
27LE | LANDS' END INC | Consumer Cyclical | $357M | 0.18% |
28JAKK | JAKKS PACIFIC INC | Consumer Cyclical | $277M | 0.14% |
29LOVE | LOVESAC CO | Consumer Cyclical | $267M | 0.13% |
30MPAA | MOTORCAR PARTS OF AMERICA INC | Consumer Cyclical | $265M | 0.13% |
31SGC | SUPERIOR GROUP OF COMPANIES INC | Consumer Cyclical | $209M | 0.10% |
32BSET | BASSETT FURNITURE INDUSTRIES INC | Consumer Cyclical | $187M | 0.09% |
33HOFT | HOOKER FURNISHINGS CORP | Consumer Cyclical | $152M | 0.07% |
34UFI | UNIFI INC | Consumer Cyclical | $118M | 0.06% |
35MED | MEDIFAST INC | Consumer Cyclical | $114M | 0.06% |
36VIRC | VIRCO MFG CORPORATION | Consumer Cyclical | $97M | 0.05% |
37VNCE | VINCE HOLDING CORP | Consumer Cyclical | $83M | 0.04% |
38CPHC | CANTERBURY PARK HOLDING CORP | Consumer Cyclical | $82M | 0.04% |
39BDL | FLANIGANS ENTERPRISES INC | Consumer Cyclical | $76M | 0.04% |
Full long-leg book as of July 2026 · cap-weighted · total market cap $203.46B. 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 — 89% toward Large, 20% toward Growth. Hypothetical holdings — descriptive, not realized P&L.
Capital-weighted centroid of the long leg, December 1999 → July 2026; the right-hand end is the same value as the box’s dot. 39 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%Actual43.5%Margin-31.5%No more than 25% of total assets may be invested in the securities of any one issuer.
Required<= 25.0%Actual33.7%Margin-8.7%
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%Actual43.5%Margin-6.5%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.
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 39 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 · 329 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. | 41.2% | 19.6% |
| 3 yearsp.a. | 16.3% | 1.7% |
| 5 yearsp.a. | 10.9% | 0.1% |
| 10 yearsp.a. | 14.3% | -5.3% |
| Since inceptionp.a. | 10.7% | 0.1% |
| Year | Long leg | Long-short |
|---|---|---|
| 20267 mo | 11.1% | 25.1% |
| 2025 | 29.3% | 4.5% |
| 2024 | 12.0% | -15.4% |
| 2023 | 33.7% | -13.2% |
| 2022 | -32.7% | 11.9% |
| 2021 | 63.6% | 21.5% |
| 2020 | 15.5% | -37.8% |
| 2019 | 27.2% | 0.9% |
| 2018 | -23.1% | -34.1% |
| 2017 | 32.5% | -2.5% |
| 2016 | 7.3% | 2.2% |
| 2015 | -3.3% | -27.5% |
| 2014 | -4.3% | -9.3% |
| 2013 | 34.0% | -7.7% |
| 2012 | 43.0% | 18.9% |
| 2011 | -0.7% | -4.2% |
| 2010 | 35.2% | 8.6% |
| 2009 | 116.6% | 63.8% |
| 2008 | -42.5% | 19.2% |
| 2007 | -49.4% | -49.5% |
| 2006 | 32.5% | 14.0% |
| 2005 | -19.5% | -12.0% |
| 2004 | 27.9% | 0.8% |
| 2003 | 49.8% | 15.1% |
| 2002 | -7.7% | 29.3% |
| 2001 | 59.8% | 39.7% |
| 2000 | 3.8% | 39.9% |
| 199910 mo | -9.2% | -12.4% |
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 Book-to-Market Value Factor ETF tracks a rules-based model that ranks Consumer Cyclical common stocks each month by a Book-to-Market Value 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.