Foundry Consumer Cyclical OCFP 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 | 25.59% |
2F | FORD MOTOR CO | Consumer Cyclical | $56.70B | 21.16% |
3LULU | LULULEMON ATHLETICA INC | Consumer Cyclical | $12.61B | 4.71% |
4MGM | MGM RESORTS INTERNATIONAL | Consumer Cyclical | $11.80B | 4.40% |
5KMX | CARMAX INC | Consumer Cyclical | $8.14B | 3.04% |
6GAP | GAP INC | Consumer Cyclical | $7.33B | 2.73% |
7LEA | LEAR CORP | Consumer Cyclical | $7.10B | 2.65% |
8MHK | MOHAWK INDUSTRIES INC | Consumer Cyclical | $6.80B | 2.54% |
9LKQ | LKQ CORP | Consumer Cyclical | $6.47B | 2.41% |
10M | MACY'S INC | Consumer Cyclical | $6.23B | 2.32% |
11CZR | CAESARS ENTERTAINMENT INC | Consumer Cyclical | $6.08B | 2.27% |
12HRB | H&R BLOCK INC | Consumer Cyclical | $5.33B | 1.99% |
13ANF | ABERCROMBIE & FITCH CO | Consumer Cyclical | $4.23B | 1.58% |
14BBWI | BATH & BODY WORKS INC | Consumer Cyclical | $4.21B | 1.57% |
15ABG | ASBURY AUTOMOTIVE GROUP INC | Consumer Cyclical | $4.10B | 1.53% |
16GPI | GROUP 1 AUTOMOTIVE INC | Consumer Cyclical | $3.88B | 1.45% |
17SIG | SIGNET JEWELERS LTD | Consumer Cyclical | $3.60B | 1.35% |
18PVH | PVH CORP | Consumer Cyclical | $3.60B | 1.34% |
19GPK | GRAPHIC PACKAGING HOLDING CO | Consumer Cyclical | $3.20B | 1.19% |
20AEO | AMERICAN EAGLE OUTFITTERS INC | Consumer Cyclical | $2.85B | 1.06% |
21PENN | PENN ENTERTAINMENT INC | Consumer Cyclical | $2.75B | 1.03% |
22PTON | PELOTON INTERACTIVE INC | Consumer Cyclical | $2.55B | 0.95% |
23PRKS | UNITED PARKS & RESORTS INC | Consumer Cyclical | $2.13B | 0.79% |
24GT | GOODYEAR TIRE & RUBBER CO | Consumer Cyclical | $2.10B | 0.78% |
25KSS | KOHLS CORP | Consumer Cyclical | $1.96B | 0.73% |
26FUN | SIX FLAGS ENTERTAINMENT CORPORATION | Consumer Cyclical | $1.79B | 0.67% |
27ADNT | ADIENT PLC | Consumer Cyclical | $1.55B | 0.58% |
28LEG | LEGGETT & PLATT INC | Consumer Cyclical | $1.50B | 0.56% |
29WEN | WENDY'S CO | Consumer Cyclical | $1.48B | 0.55% |
30SBH | SALLY BEAUTY HOLDINGS INC | Consumer Cyclical | $1.42B | 0.53% |
31OI | O-I GLASS INC | Consumer Cyclical | $1.40B | 0.52% |
32DCH | DAUCH CORP | Consumer Cyclical | $1.29B | 0.48% |
33CBRL | CRACKER BARREL OLD COUNTRY STORE INC | Consumer Cyclical | $1.20B | 0.45% |
34ACEL | ACCEL ENTERTAINMENT INC | Consumer Cyclical | $989M | 0.37% |
35ARKO | ARKO CORP | Consumer Cyclical | $893M | 0.33% |
36WGO | WINNEBAGO INDUSTRIES INC | Consumer Cyclical | $868M | 0.32% |
37HOV | HOVNANIAN ENTERPRISES INC | Consumer Cyclical | $772M | 0.29% |
38FWRG | FIRST WATCH RESTAURANT GROUP INC | Consumer Cyclical | $768M | 0.29% |
39HZO | MARINEMAX INC | Consumer Cyclical | $760M | 0.28% |
40BLMN | BLOOMIN' BRANDS INC | Consumer Cyclical | $731M | 0.27% |
41CARS | CARSCOM INC | Consumer Cyclical | $670M | 0.25% |
42OXM | OXFORD INDUSTRIES INC | Consumer Cyclical | $604M | 0.23% |
43MLR | MILLER INDUSTRIES INC | Consumer Cyclical | $566M | 0.21% |
44DIN | DINE BRANDS GLOBAL INC | Consumer Cyclical | $456M | 0.17% |
45GCO | GENESCO INC | Consumer Cyclical | $411M | 0.15% |
46CAL | CALERES INC | Consumer Cyclical | $398M | 0.15% |
47SHOE | SHOE CARNIVAL INC | Consumer Cyclical | $393M | 0.15% |
48STRT | STRATTEC SECURITY CORP | Consumer Cyclical | $344M | 0.13% |
49DBI | DESIGNER BRANDS INC | Consumer Cyclical | $290M | 0.11% |
50JACK | JACK IN THE BOX INC | Consumer Cyclical | $286M | 0.11% |
51LOVE | LOVESAC CO | Consumer Cyclical | $267M | 0.10% |
52JILL | JJILL INC | Consumer Cyclical | $248M | 0.09% |
53ONEW | ONEWATER MARINE INC | Consumer Cyclical | $224M | 0.08% |
54RICK | RCI HOSPITALITY HOLDINGS INC | Consumer Cyclical | $200M | 0.07% |
55COOK | TRAEGER INC | Consumer Cyclical | $193M | 0.07% |
56INSE | INSPIRED ENTERTAINMENT INC | Consumer Cyclical | $174M | 0.06% |
57RRGB | RED ROBIN GOURMET BURGERS INC | Consumer Cyclical | $130M | 0.05% |
58UFI | UNIFI INC | Consumer Cyclical | $118M | 0.04% |
59KEQU | KEWAUNEE SCIENTIFIC CORP | Consumer Cyclical | $109M | 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 $267.99B. 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 — 85% toward Large, 27% toward Growth. +5% unclassified (8 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%Actual63.2%Margin-11.8%No more than 25% of total assets may be invested in the securities of any one issuer.
Required<= 25.0%Actual25.6%Margin-0.6%Close to the line. The engine flags this verdict as one a routine data rebuild could flip. Read it as borderline rather than settled — the margin beside it is the whole story.
Days required to liquidate the largest position at 20% of one day's dollar volume.
Required<= 7.0 daysActual21.4 daysMargin-14.4 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.
1 verdict(s) sit within 1.0pp of their limit and can be flipped by a routine data rebuild; do not headline them, and always show the margin.
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 disagree about the verdict, not just the value — the choice of method decides the answer here. Historical VaR gives ratio 2.10 (fail) but Gaussian VaR gives 1.84 (pass). The pass/fail conclusion is an artefact of estimator choice, not a property of the strategy.
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. | 35.5% | 17.2% |
| 3 yearsp.a. | 16.9% | 2.1% |
| 5 yearsp.a. | 9.3% | 11.7% |
| 10 yearsp.a. | 11.3% | -4.5% |
| Since inceptionp.a. | 7.1% | -3.6% |
| Year | Long leg | Long-short |
|---|---|---|
| 20267 mo | 9.6% | 23.5% |
| 2025 | 27.9% | 18.0% |
| 2024 | 6.6% | -35.6% |
| 2023 | 29.5% | 5.0% |
| 2022 | -28.6% | 49.8% |
| 2021 | 62.1% | 86.6% |
| 2020 | 13.5% | -54.4% |
| 2019 | 12.9% | -17.3% |
| 2018 | -16.7% | -31.5% |
| 2017 | 14.6% | -19.5% |
| 2016 | 9.5% | 6.4% |
| 2015 | -10.7% | -22.6% |
| 2014 | 4.0% | 7.1% |
| 2013 | 38.1% | -8.7% |
| 2012 | 29.6% | 13.2% |
| 2011 | -9.0% | -3.4% |
| 2010 | 39.6% | -5.9% |
| 2009 | 109.8% | 43.8% |
| 2008 | -59.1% | -6.2% |
| 2007 | -27.7% | -28.0% |
| 2006 | 16.3% | 3.7% |
| 2005 | -6.4% | 3.7% |
| 2004 | 13.7% | -18.2% |
| 2003 | 48.6% | -4.9% |
| 2002 | -13.2% | 4.1% |
| 2001 | -1.5% | -14.9% |
| 2000 | -3.1% | 54.7% |
| 1999 | 10.2% | -31.1% |
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 OCFP Factor ETF tracks a rules-based model that ranks Consumer Cyclical common stocks each month by a OCFP 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.