Foundry Consumer Cyclical Net Operating Assets 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 |
|---|---|---|---|---|
1SBUX | STARBUCKS CORP | Consumer Cyclical | $120.23B | 15.07% |
2MAR | MARRIOTT INTERNATIONAL INC | Consumer Cyclical | $96.57B | 12.10% |
3ROST | ROSS STORES INC | Consumer Cyclical | $74.89B | 9.39% |
4HLT | HILTON WORLDWIDE HOLDINGS INC | Consumer Cyclical | $73.15B | 9.17% |
5ORLY | O REILLY AUTOMOTIVE INC | Consumer Cyclical | $71.31B | 8.94% |
6EBAY | EBAY INC | Consumer Cyclical | $49.75B | 6.24% |
7CPNG | COUPANG INC | Consumer Cyclical | $29.83B | 3.74% |
8TPR | TAPESTRY INC | Consumer Cyclical | $28.58B | 3.58% |
9RIVN | RIVIAN AUTOMOTIVE INC | Consumer Cyclical | $22.00B | 2.76% |
10BBY | BEST BUY CO INC | Consumer Cyclical | $18.00B | 2.26% |
11NVR | NVR INC | Consumer Cyclical | $17.52B | 2.20% |
12DECK | DECKERS OUTDOOR CORP | Consumer Cyclical | $14.79B | 1.85% |
13DKNG | DRAFTKINGS INC | Consumer Cyclical | $12.37B | 1.55% |
14W | WAYFAIR INC | Consumer Cyclical | $11.79B | 1.48% |
15SCI | SERVICE CORP INTERNATIONAL | Consumer Cyclical | $10.86B | 1.36% |
16CART | INSTACART (MAPLEBEAR INC) | Consumer Cyclical | $10.77B | 1.35% |
17DPZ | DOMINOS PIZZA INC | Consumer Cyclical | $10.72B | 1.34% |
18GME | GAMESTOP CORP | Consumer Cyclical | $9.82B | 1.23% |
19DDS | DILLARD'S INC | Consumer Cyclical | $8.61B | 1.08% |
20CHWY | CHEWY INC | Consumer Cyclical | $8.57B | 1.07% |
21ETSY | ETSY INC | Consumer Cyclical | $7.98B | 1.00% |
22RSI | RUSH STREET INTERACTIVE INC | Consumer Cyclical | $7.56B | 0.95% |
23LEA | LEAR CORP | Consumer Cyclical | $7.10B | 0.89% |
24GTX | GARRETT MOTION INC | Consumer Cyclical | $5.95B | 0.75% |
25HRB | H&R BLOCK INC | Consumer Cyclical | $5.33B | 0.67% |
26FTDR | FRONTDOOR INC | Consumer Cyclical | $5.32B | 0.67% |
27OPLN | OPENLANE INC | Consumer Cyclical | $4.18B | 0.52% |
28PII | POLARIS INC | Consumer Cyclical | $4.16B | 0.52% |
29WING | WINGSTOP INC | Consumer Cyclical | $3.88B | 0.49% |
30SIG | SIGNET JEWELERS LTD | Consumer Cyclical | $3.60B | 0.45% |
31CALY | CALLAWAY GOLF CO | Consumer Cyclical | $3.48B | 0.44% |
32AAP | ADVANCE AUTO PARTS INC | Consumer Cyclical | $3.19B | 0.40% |
33DAN | DANA INC | Consumer Cyclical | $2.87B | 0.36% |
34LCID | LUCID GROUP INC | Consumer Cyclical | $2.87B | 0.36% |
35VC | VISTEON CORP | Consumer Cyclical | $2.80B | 0.35% |
36HOG | HARLEY-DAVIDSON INC | Consumer Cyclical | $2.80B | 0.35% |
37PTON | PELOTON INTERACTIVE INC | Consumer Cyclical | $2.55B | 0.32% |
38BLBD | BLUE BIRD CORP | Consumer Cyclical | $2.48B | 0.31% |
39GT | GOODYEAR TIRE & RUBBER CO | Consumer Cyclical | $2.10B | 0.26% |
40CPRI | CAPRI HOLDINGS LTD | Consumer Cyclical | $1.89B | 0.24% |
41RVLV | REVOLVE GROUP INC | Consumer Cyclical | $1.78B | 0.22% |
42ADNT | ADIENT PLC | Consumer Cyclical | $1.55B | 0.19% |
43TRS | TRIMAS CORP | Consumer Cyclical | $1.46B | 0.18% |
44WINA | WINMARK CORP | Consumer Cyclical | $1.39B | 0.17% |
45REAL | THEREALREAL INC | Consumer Cyclical | $1.35B | 0.17% |
46ACVA | ACV AUCTIONS INC | Consumer Cyclical | $1.30B | 0.16% |
47LQDT | LIQUIDITY SERVICES INC | Consumer Cyclical | $1.23B | 0.15% |
48MOV | MOVADO GROUP INC | Consumer Cyclical | $859M | 0.11% |
49TDUP | THREDUP INC | Consumer Cyclical | $852M | 0.11% |
50CNNE | CANNAE HOLDINGS INC | Consumer Cyclical | $657M | 0.08% |
51BNED | BARNES & NOBLE EDUCATION INC | Consumer Cyclical | $437M | 0.05% |
52MCFT | MASTERCRAFT BOAT HOLDINGS INC | Consumer Cyclical | $407M | 0.05% |
53NATH | NATHANS FAMOUS INC | Consumer Cyclical | $393M | 0.05% |
54BBBY | BED BATH & BEYOND INC | Consumer Cyclical | $372M | 0.05% |
55STRT | STRATTEC SECURITY CORP | Consumer Cyclical | $344M | 0.04% |
56XPOF | XPONENTIAL FITNESS INC | Consumer Cyclical | $328M | 0.04% |
57KWY | KINGSWAY CORP | Consumer Cyclical | $279M | 0.04% |
58MPAA | MOTORCAR PARTS OF AMERICA INC | Consumer Cyclical | $265M | 0.03% |
59SRI | STONERIDGE INC | Consumer Cyclical | $197M | 0.02% |
60CHPT | CHARGEPOINT HOLDINGS INC | Consumer Cyclical | $146M | 0.02% |
61BARK | BARK INC | Consumer Cyclical | $82M | 0.01% |
Full long-leg book as of July 2026 · cap-weighted · total market cap $797.91B. 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 — 95% toward Large, 82% toward Growth. +3% unclassified (7 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%Actual69.1%Margin-5.9%
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?
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. | 6.1% | 12.4% |
| 3 yearsp.a. | 7.8% | 9.4% |
| 5 yearsp.a. | -2.4% | 3.8% |
| 10 yearsp.a. | 15.3% | 12.3% |
| Since inceptionp.a. | 11.5% | 8.2% |
| Year | Long leg | Long-short |
|---|---|---|
| 20267 mo | 5.7% | 13.3% |
| 2025 | 7.9% | 11.6% |
| 2024 | 10.0% | 6.5% |
| 2023 | 23.2% | -11.6% |
| 2022 | -43.4% | -7.6% |
| 2021 | 11.8% | 4.3% |
| 2020 | 114.3% | 55.5% |
| 2019 | 38.9% | 9.8% |
| 2018 | -1.2% | 42.7% |
| 2017 | 46.6% | 15.2% |
| 2016 | 8.5% | 7.6% |
| 2015 | 29.2% | 33.4% |
| 2014 | -1.3% | -8.3% |
| 2013 | 47.4% | 12.1% |
| 2012 | 28.2% | 18.7% |
| 2011 | 3.0% | -4.5% |
| 2010 | 15.6% | -8.1% |
| 2009 | 81.8% | 32.0% |
| 2008 | -47.0% | 27.3% |
| 2007 | -8.7% | -3.1% |
| 2006 | 11.3% | 7.7% |
| 2005 | -0.8% | -2.5% |
| 2004 | 11.2% | -12.6% |
| 2003 | 43.8% | 0.7% |
| 2002 | -10.8% | 10.6% |
| 2001 | 24.9% | -0.3% |
| 2000 | -13.4% | 2.3% |
| 1999 | 1.5% | 3.9% |
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 Net Operating Assets Factor ETF tracks a rules-based model that ranks Consumer Cyclical common stocks each month by a Net Operating Assets 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.