Foundry Consumer Cyclical Cash-Flow Yield 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 | 30.80% |
2LULU | LULULEMON ATHLETICA INC | Consumer Cyclical | $12.61B | 5.66% |
3MGM | MGM RESORTS INTERNATIONAL | Consumer Cyclical | $11.80B | 5.30% |
4LAD | LITHIA MOTORS INC | Consumer Cyclical | $7.65B | 3.43% |
5GAP | GAP INC | Consumer Cyclical | $7.33B | 3.29% |
6LEA | LEAR CORP | Consumer Cyclical | $7.10B | 3.19% |
7MHK | MOHAWK INDUSTRIES INC | Consumer Cyclical | $6.80B | 3.05% |
8BYD | BOYD GAMING CORP | Consumer Cyclical | $6.52B | 2.93% |
9LKQ | LKQ CORP | Consumer Cyclical | $6.47B | 2.90% |
10M | MACY'S INC | Consumer Cyclical | $6.23B | 2.80% |
11CZR | CAESARS ENTERTAINMENT INC | Consumer Cyclical | $6.08B | 2.73% |
12SON | SONOCO PRODUCTS CO | Consumer Cyclical | $5.59B | 2.51% |
13HRB | H&R BLOCK INC | Consumer Cyclical | $5.33B | 2.40% |
14ANF | ABERCROMBIE & FITCH CO | Consumer Cyclical | $4.23B | 1.90% |
15BBWI | BATH & BODY WORKS INC | Consumer Cyclical | $4.21B | 1.89% |
16MAT | MATTEL INC | Consumer Cyclical | $4.15B | 1.86% |
17ABG | ASBURY AUTOMOTIVE GROUP INC | Consumer Cyclical | $4.10B | 1.84% |
18GPK | GRAPHIC PACKAGING HOLDING CO | Consumer Cyclical | $3.20B | 1.44% |
19ASO | ACADEMY SPORTS & OUTDOORS INC | Consumer Cyclical | $3.00B | 1.35% |
20DAN | DANA INC | Consumer Cyclical | $2.87B | 1.29% |
21AEO | AMERICAN EAGLE OUTFITTERS INC | Consumer Cyclical | $2.85B | 1.28% |
22WLY | JOHN WILEY & SONS INC | Consumer Cyclical | $2.59B | 1.16% |
23WHR | WHIRLPOOL CORP | Consumer Cyclical | $2.48B | 1.11% |
24PRKS | UNITED PARKS & RESORTS INC | Consumer Cyclical | $2.13B | 0.95% |
25KSS | KOHLS CORP | Consumer Cyclical | $1.96B | 0.88% |
26LZB | LA-Z-BOY INC | Consumer Cyclical | $1.59B | 0.71% |
27ADNT | ADIENT PLC | Consumer Cyclical | $1.55B | 0.70% |
28SVV | SAVERS VALUE VILLAGE INC | Consumer Cyclical | $1.53B | 0.69% |
29LEG | LEGGETT & PLATT INC | Consumer Cyclical | $1.50B | 0.68% |
30WEN | WENDY'S CO | Consumer Cyclical | $1.48B | 0.66% |
31TRS | TRIMAS CORP | Consumer Cyclical | $1.46B | 0.65% |
32SBH | SALLY BEAUTY HOLDINGS INC | Consumer Cyclical | $1.42B | 0.64% |
33OI | O-I GLASS INC | Consumer Cyclical | $1.40B | 0.63% |
34DCH | DAUCH CORP | Consumer Cyclical | $1.29B | 0.58% |
35TDAY | USA TODAY CO INC | Consumer Cyclical | $1.25B | 0.56% |
36CBRL | CRACKER BARREL OLD COUNTRY STORE INC | Consumer Cyclical | $1.20B | 0.54% |
37ARHS | ARHAUS INC | Consumer Cyclical | $1.09B | 0.49% |
38SCHL | SCHOLASTIC CORP | Consumer Cyclical | $1.02B | 0.46% |
39ARKO | ARKO CORP | Consumer Cyclical | $893M | 0.40% |
40SG | SWEETGREEN INC | Consumer Cyclical | $841M | 0.38% |
41FWRG | FIRST WATCH RESTAURANT GROUP INC | Consumer Cyclical | $768M | 0.34% |
42BLMN | BLOOMIN' BRANDS INC | Consumer Cyclical | $731M | 0.33% |
43CARS | CARSCOM INC | Consumer Cyclical | $670M | 0.30% |
44ETD | ETHAN ALLEN INTERIORS INC | Consumer Cyclical | $580M | 0.26% |
45CTRN | CITI TRENDS INC | Consumer Cyclical | $535M | 0.24% |
46BBW | BUILD-A-BEAR WORKSHOP INC | Consumer Cyclical | $428M | 0.19% |
47GCO | GENESCO INC | Consumer Cyclical | $411M | 0.18% |
48CAL | CALERES INC | Consumer Cyclical | $398M | 0.18% |
49SHOE | SHOE CARNIVAL INC | Consumer Cyclical | $393M | 0.18% |
50LE | LANDS' END INC | Consumer Cyclical | $357M | 0.16% |
51ZUMZ | ZUMIEZ INC | Consumer Cyclical | $315M | 0.14% |
52DBI | DESIGNER BRANDS INC | Consumer Cyclical | $290M | 0.13% |
53JACK | JACK IN THE BOX INC | Consumer Cyclical | $286M | 0.13% |
54LOVE | LOVESAC CO | Consumer Cyclical | $267M | 0.12% |
55JILL | JJILL INC | Consumer Cyclical | $248M | 0.11% |
56INSE | INSPIRED ENTERTAINMENT INC | Consumer Cyclical | $174M | 0.08% |
57RRGB | RED ROBIN GOURMET BURGERS INC | Consumer Cyclical | $130M | 0.06% |
58KEQU | KEWAUNEE SCIENTIFIC CORP | Consumer Cyclical | $109M | 0.05% |
59VNCE | VINCE HOLDING CORP | Consumer Cyclical | $83M | 0.04% |
60BDL | FLANIGANS ENTERPRISES INC | Consumer Cyclical | $76M | 0.03% |
61RGS | REGIS CORP | Consumer Cyclical | $74M | 0.03% |
Full long-leg book as of July 2026 · cap-weighted · total market cap $222.70B. 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 — 79% toward Large, 33% toward Growth. +3% unclassified (4 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. 61 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%Actual73.2%Margin-1.8%No more than 25% of total assets may be invested in the securities of any one issuer.
Required<= 25.0%Actual30.8%Margin-5.8%Days required to liquidate the largest position at 20% of one day's dollar volume.
Required<= 7.0 daysActual25.8 daysMargin-18.8 days
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 61 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. | 32.5% | 10.3% |
| 3 yearsp.a. | 12.7% | -4.1% |
| 5 yearsp.a. | 7.1% | -0.6% |
| 10 yearsp.a. | 9.1% | -15.4% |
| Since inceptionp.a. | 7.9% | -5.9% |
| Year | Long leg | Long-short |
|---|---|---|
| 20267 mo | 8.2% | 21.3% |
| 2025 | 24.0% | 5.2% |
| 2024 | 5.2% | -35.6% |
| 2023 | 33.2% | 3.4% |
| 2022 | -29.5% | 41.4% |
| 2021 | 42.9% | -17.7% |
| 2020 | 5.8% | -63.9% |
| 2019 | 14.7% | -8.3% |
| 2018 | -18.7% | -35.9% |
| 2017 | 17.4% | -19.7% |
| 2016 | 13.5% | 9.8% |
| 2015 | -11.2% | -36.5% |
| 2014 | 14.4% | 17.4% |
| 2013 | 36.8% | -13.4% |
| 2012 | 32.4% | 9.9% |
| 2011 | -16.0% | -13.6% |
| 2010 | 39.8% | -14.9% |
| 2009 | 98.1% | 15.4% |
| 2008 | -56.2% | 11.0% |
| 2007 | -23.4% | -24.2% |
| 2006 | 6.3% | -0.1% |
| 2005 | -0.9% | 8.3% |
| 2004 | 16.7% | -9.2% |
| 2003 | 61.0% | 15.8% |
| 2002 | -11.4% | 13.6% |
| 2001 | 31.9% | 26.1% |
| 2000 | -16.4% | 30.9% |
| 1999 | 16.5% | -5.6% |
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 Cash-Flow Yield Factor ETF tracks a rules-based model that ranks Consumer Cyclical common stocks each month by a Cash-Flow Yield 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.