Foundry Consumer Cyclical Operating Profitability 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 |
|---|---|---|---|---|
1AMZN | AMAZON COM INC | Consumer Cyclical | $2.66T | 71.98% |
2HD | HOME DEPOT INC | Consumer Cyclical | $337.89B | 9.15% |
3TJX | TJX COMPANIES INC | Consumer Cyclical | $170.63B | 4.62% |
4EBAY | EBAY INC | Consumer Cyclical | $49.75B | 1.35% |
5CMG | CHIPOTLE MEXICAN GRILL INC | Consumer Cyclical | $44.18B | 1.20% |
6LVS | LAS VEGAS SANDS CORP | Consumer Cyclical | $30.06B | 0.81% |
7TPR | TAPESTRY INC | Consumer Cyclical | $28.58B | 0.77% |
8WSM | WILLIAMS SONOMA INC | Consumer Cyclical | $26.89B | 0.73% |
9QSR | RESTAURANT BRANDS INTERNATIONAL INC | Consumer Cyclical | $26.03B | 0.70% |
10DRI | DARDEN RESTAURANTS INC | Consumer Cyclical | $22.74B | 0.62% |
11BURL | BURLINGTON STORES INC | Consumer Cyclical | $21.73B | 0.59% |
12ROL | ROLLINS INC | Consumer Cyclical | $21.72B | 0.59% |
13ULTA | ULTA BEAUTY INC | Consumer Cyclical | $20.62B | 0.56% |
14BBY | BEST BUY CO INC | Consumer Cyclical | $18.00B | 0.49% |
15TSCO | TRACTOR SUPPLY CO | Consumer Cyclical | $16.00B | 0.43% |
16TXRH | TEXAS ROADHOUSE INC | Consumer Cyclical | $12.95B | 0.35% |
17DKNG | DRAFTKINGS INC | Consumer Cyclical | $12.37B | 0.33% |
18MGM | MGM RESORTS INTERNATIONAL | Consumer Cyclical | $11.80B | 0.32% |
19HAS | HASBRO INC | Consumer Cyclical | $11.54B | 0.31% |
20MUSA | MURPHY USA INC | Consumer Cyclical | $11.43B | 0.31% |
21CART | INSTACART (MAPLEBEAR INC) | Consumer Cyclical | $10.77B | 0.29% |
22ALV | AUTOLIV INC | Consumer Cyclical | $8.81B | 0.24% |
23CHWY | CHEWY INC | Consumer Cyclical | $8.57B | 0.23% |
24EAT | BRINKER INTERNATIONAL INC | Consumer Cyclical | $8.12B | 0.22% |
25RSI | RUSH STREET INTERACTIVE INC | Consumer Cyclical | $7.56B | 0.20% |
26AN | AUTONATION INC | Consumer Cyclical | $6.88B | 0.19% |
27CROX | CROCS INC | Consumer Cyclical | $6.81B | 0.18% |
28RRR | RED ROCK RESORTS INC | Consumer Cyclical | $6.76B | 0.18% |
29BYD | BOYD GAMING CORP | Consumer Cyclical | $6.52B | 0.18% |
30IBP | INSTALLED BUILDING PRODUCTS INC | Consumer Cyclical | $6.16B | 0.17% |
31WH | WYNDHAM HOTELS & RESORTS INC | Consumer Cyclical | $5.73B | 0.16% |
32FTDR | FRONTDOOR INC | Consumer Cyclical | $5.32B | 0.14% |
33MTN | VAIL RESORTS INC | Consumer Cyclical | $5.27B | 0.14% |
34CHH | CHOICE HOTELS INTERNATIONAL INC | Consumer Cyclical | $5.09B | 0.14% |
35CAKE | CHEESECAKE FACTORY INC | Consumer Cyclical | $4.26B | 0.12% |
36HGV | HILTON GRAND VACATIONS INC | Consumer Cyclical | $3.98B | 0.11% |
37MSGE | MADISON SQUARE GARDEN ENTERTAINMENT CORP | Consumer Cyclical | $3.56B | 0.10% |
38RH | RH | Consumer Cyclical | $3.55B | 0.10% |
39SAH | SONIC AUTOMOTIVE INC | Consumer Cyclical | $3.17B | 0.09% |
40CARG | CARGURUS INC | Consumer Cyclical | $3.16B | 0.09% |
41SHAK | SHAKE SHACK INC | Consumer Cyclical | $2.48B | 0.07% |
42BLBD | BLUE BIRD CORP | Consumer Cyclical | $2.48B | 0.07% |
43BKE | BUCKLE INC | Consumer Cyclical | $2.19B | 0.06% |
44CPRI | CAPRI HOLDINGS LTD | Consumer Cyclical | $1.89B | 0.05% |
45FUN | SIX FLAGS ENTERTAINMENT CORPORATION | Consumer Cyclical | $1.79B | 0.05% |
46WEN | WENDY'S CO | Consumer Cyclical | $1.48B | 0.04% |
47TDAY | USA TODAY CO INC | Consumer Cyclical | $1.25B | 0.03% |
48LQDT | LIQUIDITY SERVICES INC | Consumer Cyclical | $1.23B | 0.03% |
49CBRL | CRACKER BARREL OLD COUNTRY STORE INC | Consumer Cyclical | $1.20B | 0.03% |
50ACEL | ACCEL ENTERTAINMENT INC | Consumer Cyclical | $989M | 0.03% |
51ARKO | ARKO CORP | Consumer Cyclical | $893M | 0.02% |
52TDUP | THREDUP INC | Consumer Cyclical | $852M | 0.02% |
53BLMN | BLOOMIN' BRANDS INC | Consumer Cyclical | $731M | 0.02% |
54CARS | CARSCOM INC | Consumer Cyclical | $670M | 0.02% |
Full long-leg book as of July 2026 · cap-weighted · total market cap $3.69T. 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 — 99% toward Large, 93% toward Growth. +1% unclassified (3 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. 54 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%Actual28.9%Margin-46.1%No more than 25% of total assets may be invested in the securities of any one issuer.
Required<= 25.0%Actual72.0%Margin-47.0%
At least 50% of total assets must sit in cash, government securities, other RICs, and other securities limited to 5% of assets and 10% of the issuer's voting securities per issuer.
Required>= 50.0%Actual28.9%Margin-21.1%Arithmetically entailed by '40 Act 5(b)(1) diversification (75%/5% asset leg) — it cannot fail independently, so it is reported outside the tally rather than counted as a separate check.
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 54 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. | 5.1% | 5.0% |
| 3 yearsp.a. | 17.4% | 15.0% |
| 5 yearsp.a. | 7.0% | 15.5% |
| 10 yearsp.a. | 14.8% | 5.3% |
| Since inceptionp.a. | 11.6% | 6.8% |
| Year | Long leg | Long-short |
|---|---|---|
| 20267 mo | 5.0% | 1.8% |
| 2025 | 4.1% | 5.2% |
| 2024 | 33.5% | 33.3% |
| 2023 | 51.6% | 9.1% |
| 2022 | -39.9% | 15.7% |
| 2021 | 14.4% | -4.9% |
| 2020 | 44.4% | -32.6% |
| 2019 | 26.7% | 14.9% |
| 2018 | 6.2% | 26.5% |
| 2017 | 36.2% | 2.6% |
| 2016 | 8.7% | 6.4% |
| 2015 | 26.3% | 30.0% |
| 2014 | 3.1% | 6.7% |
| 2013 | 40.4% | -4.1% |
| 2012 | 16.3% | -23.0% |
| 2011 | 8.7% | 36.8% |
| 2010 | 30.0% | -3.4% |
| 2009 | 79.3% | 3.2% |
| 2008 | -41.1% | 17.7% |
| 2007 | -8.6% | 34.2% |
| 2006 | 11.9% | -13.8% |
| 2005 | 2.8% | 23.2% |
| 2004 | 21.2% | 4.0% |
| 2003 | 44.0% | -6.9% |
| 2002 | -11.5% | 1.1% |
| 2001 | 3.4% | -33.1% |
| 2000 | -16.5% | 89.1% |
| 1999 | 5.2% | 14.2% |
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 Operating Profitability Factor ETF tracks a rules-based model that ranks Consumer Cyclical common stocks each month by a Operating Profitability 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.