Foundry Consumer Cyclical Long-Term Reversal 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 |
|---|---|---|---|---|
1W | WAYFAIR INC | Consumer Cyclical | $11.79B | 12.28% |
2ETSY | ETSY INC | Consumer Cyclical | $7.98B | 8.31% |
3VFC | V F CORP | Consumer Cyclical | $6.65B | 6.93% |
4CZR | CAESARS ENTERTAINMENT INC | Consumer Cyclical | $6.08B | 6.33% |
5PII | POLARIS INC | Consumer Cyclical | $4.16B | 4.34% |
6YETI | YETI HOLDINGS INC | Consumer Cyclical | $3.87B | 4.03% |
7QS | QUANTUMSCAPE CORP | Consumer Cyclical | $3.60B | 3.75% |
8RH | RH | Consumer Cyclical | $3.55B | 3.70% |
9CALY | CALLAWAY GOLF CO | Consumer Cyclical | $3.48B | 3.63% |
10PPLI | PEOPLE INC | Communication Services | $3.31B | 3.45% |
11AAP | ADVANCE AUTO PARTS INC | Consumer Cyclical | $3.19B | 3.32% |
12UAA | UNDER ARMOUR INC | Consumer Cyclical | $3.17B | 3.30% |
13LCID | LUCID GROUP INC | Consumer Cyclical | $2.87B | 2.99% |
14AEO | AMERICAN EAGLE OUTFITTERS INC | Consumer Cyclical | $2.85B | 2.97% |
15PENN | PENN ENTERTAINMENT INC | Consumer Cyclical | $2.75B | 2.87% |
16PTON | PELOTON INTERACTIVE INC | Consumer Cyclical | $2.55B | 2.66% |
17KSS | KOHLS CORP | Consumer Cyclical | $1.96B | 2.04% |
18CPRI | CAPRI HOLDINGS LTD | Consumer Cyclical | $1.89B | 1.96% |
19RVLV | REVOLVE GROUP INC | Consumer Cyclical | $1.78B | 1.85% |
20FIGS | FIGS INC | Consumer Cyclical | $1.72B | 1.79% |
21LEG | LEGGETT & PLATT INC | Consumer Cyclical | $1.50B | 1.57% |
22CRI | CARTERS INC | Consumer Cyclical | $1.40B | 1.46% |
23LGIH | LGI HOMES INC | Consumer Cyclical | $1.36B | 1.41% |
24REAL | THEREALREAL INC | Consumer Cyclical | $1.35B | 1.41% |
25THRM | GENTHERM INC | Consumer Cyclical | $1.10B | 1.15% |
26TDUP | THREDUP INC | Consumer Cyclical | $852M | 0.89% |
27FOXF | FOX FACTORY HOLDING CORP | Consumer Cyclical | $798M | 0.83% |
28BALY | BALLY'S CORP | Consumer Cyclical | $688M | 0.72% |
29PACK | RANPAK HOLDINGS CORP | Consumer Cyclical | $583M | 0.61% |
30XMAX | XMAX INC | Consumer Cyclical | $541M | 0.56% |
31MNRO | MONRO INC | Consumer Cyclical | $509M | 0.53% |
32JOUT | JOHNSON OUTDOORS INC | Consumer Cyclical | $485M | 0.50% |
33DIN | DINE BRANDS GLOBAL INC | Consumer Cyclical | $456M | 0.47% |
34BNED | BARNES & NOBLE EDUCATION INC | Consumer Cyclical | $437M | 0.45% |
35GCO | GENESCO INC | Consumer Cyclical | $411M | 0.43% |
36BBBY | BED BATH & BEYOND INC | Consumer Cyclical | $372M | 0.39% |
37LE | LANDS' END INC | Consumer Cyclical | $357M | 0.37% |
38FNKO | FUNKO INC | Consumer Cyclical | $326M | 0.34% |
39ZUMZ | ZUMIEZ INC | Consumer Cyclical | $315M | 0.33% |
40DBI | DESIGNER BRANDS INC | Consumer Cyclical | $290M | 0.30% |
41JACK | JACK IN THE BOX INC | Consumer Cyclical | $286M | 0.30% |
42LOVE | LOVESAC CO | Consumer Cyclical | $267M | 0.28% |
43RDNW | RIDENOW GROUP INC | Consumer Cyclical | $229M | 0.24% |
44ONEW | ONEWATER MARINE INC | Consumer Cyclical | $224M | 0.23% |
45SRI | STONERIDGE INC | Consumer Cyclical | $197M | 0.20% |
46LCUT | LIFETIME BRANDS INC | Consumer Cyclical | $195M | 0.20% |
47COOK | TRAEGER INC | Consumer Cyclical | $193M | 0.20% |
48LEE | LEE ENTERPRISES INC | Consumer Cyclical | $175M | 0.18% |
49CHPT | CHARGEPOINT HOLDINGS INC | Consumer Cyclical | $146M | 0.15% |
50RRGB | RED ROBIN GOURMET BURGERS INC | Consumer Cyclical | $130M | 0.14% |
51UFI | UNIFI INC | Consumer Cyclical | $118M | 0.12% |
52MED | MEDIFAST INC | Consumer Cyclical | $114M | 0.12% |
53INTG | INTERGROUP CORP | Consumer Cyclical | $84M | 0.09% |
54VNCE | VINCE HOLDING CORP | Consumer Cyclical | $83M | 0.09% |
55BARK | BARK INC | Consumer Cyclical | $82M | 0.09% |
56RGS | REGIS CORP | Consumer Cyclical | $74M | 0.08% |
57NDLS | NOODLES & CO | Consumer Cyclical | $66M | 0.07% |
Full long-leg book as of July 2026 · cap-weighted · total market cap $96.02B. 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 — 55% toward Large, 63% toward Growth. +33% unclassified (17 missing size/value). Hypothetical holdings — descriptive, not realized P&L.
Capital-weighted centroid of the long leg, December 2002 → July 2026; the right-hand end is the same value as the box’s dot. 57 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.
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 57 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 · 283 monthly observations · about 2.8 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 (22 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. | -14.3% | -16.9% |
| 3 yearsp.a. | 7.5% | 0.2% |
| 5 yearsp.a. | 4.8% | -1.1% |
| 10 yearsp.a. | 11.9% | -3.3% |
| Since inceptionp.a. | 8.8% | -1.2% |
| Year | Long leg | Long-short |
|---|---|---|
| 20267 mo | -1.1% | -2.8% |
| 2025 | -5.7% | 20.9% |
| 2024 | 25.5% | -20.7% |
| 2023 | 30.1% | -19.4% |
| 2022 | -18.5% | 42.4% |
| 2021 | 48.6% | 18.6% |
| 2020 | 35.6% | -10.1% |
| 2019 | 15.2% | -7.8% |
| 2018 | -12.6% | -27.7% |
| 2017 | 27.6% | -6.6% |
| 2016 | 2.8% | 3.5% |
| 2015 | -16.2% | -18.5% |
| 2014 | 2.1% | -0.2% |
| 2013 | 61.1% | 13.2% |
| 2012 | 27.2% | 15.7% |
| 2011 | -10.6% | -17.2% |
| 2010 | 46.3% | 14.6% |
| 2009 | 75.3% | 34.7% |
| 2008 | -51.6% | 14.3% |
| 2007 | -23.7% | -0.9% |
| 2006 | 13.9% | 16.5% |
| 2005 | -11.2% | -26.1% |
| 2004 | 10.0% | -17.4% |
| 2003 | 34.4% | -7.7% |
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 Long-Term Reversal Factor ETF tracks a rules-based model that ranks Consumer Cyclical common stocks each month by a Long-Term Reversal 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.