Foundry Consumer Cyclical 12-Month Momentum 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 |
|---|---|---|---|---|
1ROST | ROSS STORES INC | Consumer Cyclical | $74.89B | 30.14% |
2CASY | CASEYS GENERAL STORES INC | Consumer Cyclical | $31.79B | 12.79% |
3BWA | BORGWARNER INC | Consumer Cyclical | $12.81B | 5.15% |
4MOD | MODINE MANUFACTURING CO | Consumer Cyclical | $12.11B | 4.87% |
5MUSA | MURPHY USA INC | Consumer Cyclical | $11.43B | 4.60% |
6RSI | RUSH STREET INTERACTIVE INC | Consumer Cyclical | $7.56B | 3.04% |
7ECG | EVERUS CONSTRUCTION GROUP INC | Consumer Cyclical | $6.80B | 2.74% |
8GOLF | ACUSHNET HOLDINGS CORP | Consumer Cyclical | $6.72B | 2.70% |
9VSXY | VICTORIA'S SECRET & CO | Consumer Cyclical | $6.47B | 2.61% |
10M | MACY'S INC | Consumer Cyclical | $6.23B | 2.51% |
11GTX | GARRETT MOTION INC | Consumer Cyclical | $5.95B | 2.39% |
12BC | BRUNSWICK CORP | Consumer Cyclical | $5.23B | 2.10% |
13KTB | KONTOOR BRANDS INC | Consumer Cyclical | $4.73B | 1.90% |
14CVCO | CAVCO INDUSTRIES INC | Consumer Cyclical | $4.35B | 1.75% |
15OPLN | OPENLANE INC | Consumer Cyclical | $4.18B | 1.68% |
16MSGE | MADISON SQUARE GARDEN ENTERTAINMENT CORP | Consumer Cyclical | $3.56B | 1.43% |
17CALY | CALLAWAY GOLF CO | Consumer Cyclical | $3.48B | 1.40% |
18SHOO | STEVEN MADDEN LTD | Consumer Cyclical | $3.17B | 1.28% |
19PHIN | PHINIA INC | Consumer Cyclical | $2.97B | 1.19% |
20DAN | DANA INC | Consumer Cyclical | $2.87B | 1.16% |
21AEO | AMERICAN EAGLE OUTFITTERS INC | Consumer Cyclical | $2.85B | 1.15% |
22BLBD | BLUE BIRD CORP | Consumer Cyclical | $2.48B | 1.00% |
23KSS | KOHLS CORP | Consumer Cyclical | $1.96B | 0.79% |
24FIGS | FIGS INC | Consumer Cyclical | $1.72B | 0.69% |
25BJRI | BJS RESTAURANTS INC | Consumer Cyclical | $1.42B | 0.57% |
26CRI | CARTERS INC | Consumer Cyclical | $1.40B | 0.57% |
27REAL | THEREALREAL INC | Consumer Cyclical | $1.35B | 0.54% |
28TDAY | USA TODAY CO INC | Consumer Cyclical | $1.25B | 0.50% |
29LQDT | LIQUIDITY SERVICES INC | Consumer Cyclical | $1.23B | 0.50% |
30XPEL | XPEL INC | Consumer Cyclical | $1.19B | 0.48% |
31MYE | MYERS INDUSTRIES INC | Consumer Cyclical | $1.17B | 0.47% |
32AEVA | AEVA TECHNOLOGIES INC | Consumer Cyclical | $1.05B | 0.42% |
33PLOW | DOUGLAS DYNAMICS INC | Consumer Cyclical | $1.03B | 0.42% |
34SCHL | SCHOLASTIC CORP | Consumer Cyclical | $1.02B | 0.41% |
35ARKO | ARKO CORP | Consumer Cyclical | $893M | 0.36% |
36MOV | MOVADO GROUP INC | Consumer Cyclical | $859M | 0.35% |
37HZO | MARINEMAX INC | Consumer Cyclical | $760M | 0.31% |
38BALY | BALLY'S CORP | Consumer Cyclical | $688M | 0.28% |
39PACK | RANPAK HOLDINGS CORP | Consumer Cyclical | $583M | 0.23% |
40ELA | ENVELA CORP | Consumer Cyclical | $547M | 0.22% |
41XMAX | XMAX INC | Consumer Cyclical | $541M | 0.22% |
42CTRN | CITI TRENDS INC | Consumer Cyclical | $535M | 0.22% |
43LOCO | EL POLLO LOCO HOLDINGS INC | Consumer Cyclical | $505M | 0.20% |
44DIN | DINE BRANDS GLOBAL INC | Consumer Cyclical | $456M | 0.18% |
45FLXS | FLEXSTEEL INDUSTRIES INC | Consumer Cyclical | $391M | 0.16% |
46WEYS | WEYCO GROUP INC | Consumer Cyclical | $374M | 0.15% |
47FNKO | FUNKO INC | Consumer Cyclical | $326M | 0.13% |
48HBB | HAMILTON BEACH BRANDS HOLDING CO | Consumer Cyclical | $313M | 0.13% |
49RCKY | ROCKY BRANDS INC | Consumer Cyclical | $309M | 0.12% |
50DBI | DESIGNER BRANDS INC | Consumer Cyclical | $290M | 0.12% |
51ESCA | ESCALADE INC | Consumer Cyclical | $266M | 0.11% |
52MPAA | MOTORCAR PARTS OF AMERICA INC | Consumer Cyclical | $265M | 0.11% |
53RDNW | RIDENOW GROUP INC | Consumer Cyclical | $229M | 0.09% |
54LCUT | LIFETIME BRANDS INC | Consumer Cyclical | $195M | 0.08% |
55LEE | LEE ENTERPRISES INC | Consumer Cyclical | $175M | 0.07% |
56HOFT | HOOKER FURNISHINGS CORP | Consumer Cyclical | $152M | 0.06% |
57INTG | INTERGROUP CORP | Consumer Cyclical | $84M | 0.03% |
58VNCE | VINCE HOLDING CORP | Consumer Cyclical | $83M | 0.03% |
59ROLR | HIGH ROLLER TECHNOLOGIES INC | Consumer Cyclical | $76M | 0.03% |
60RGS | REGIS CORP | Consumer Cyclical | $74M | 0.03% |
61NDLS | NOODLES & CO | Consumer Cyclical | $66M | 0.03% |
Full long-leg book as of July 2026 · cap-weighted · total market cap $248.48B. 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 — 83% toward Large, 83% toward Growth. +2% unclassified (9 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%Actual66.9%Margin-8.1%No more than 25% of total assets may be invested in the securities of any one issuer.
Required<= 25.0%Actual30.1%Margin-5.1%
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. | 15.3% | 14.2% |
| 3 yearsp.a. | -0.6% | -10.4% |
| 5 yearsp.a. | -5.7% | -18.2% |
| 10 yearsp.a. | 4.7% | -12.4% |
| Since inceptionp.a. | 8.5% | -0.5% |
| Year | Long leg | Long-short |
|---|---|---|
| 20267 mo | 5.1% | 13.2% |
| 2025 | -7.6% | -24.3% |
| 2024 | 0.1% | -15.4% |
| 2023 | 7.5% | -62.5% |
| 2022 | -34.3% | 20.1% |
| 2021 | 2.1% | -19.7% |
| 2020 | 43.0% | -11.7% |
| 2019 | 22.7% | -7.1% |
| 2018 | 9.3% | 24.4% |
| 2017 | 26.6% | 11.6% |
| 2016 | -1.9% | -19.8% |
| 2015 | 17.3% | 48.8% |
| 2014 | 6.0% | -0.5% |
| 2013 | 31.0% | -11.7% |
| 2012 | 20.7% | 0.9% |
| 2011 | 9.9% | 31.7% |
| 2010 | 52.5% | 22.8% |
| 2009 | 19.8% | -61.3% |
| 2008 | -32.4% | 50.0% |
| 2007 | 5.8% | 64.9% |
| 2006 | 11.6% | -1.3% |
| 2005 | -5.8% | 7.7% |
| 2004 | 38.4% | 19.6% |
| 2003 | 38.6% | -13.8% |
| 2002 | -15.8% | 6.0% |
| 2001 | 23.5% | 16.5% |
| 2000 | -25.5% | -14.4% |
| 1999 | 28.6% | 55.0% |
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 12-Month Momentum Factor ETF tracks a rules-based model that ranks Consumer Cyclical common stocks each month by a 12-Month Momentum 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.