Foundry Consumer Cyclical Low Volatility 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 |
|---|---|---|---|---|
1HD | HOME DEPOT INC | Consumer Cyclical | $337.89B | 18.84% |
2MCD | MCDONALDS CORP | Consumer Cyclical | $190.21B | 10.60% |
3TJX | TJX COMPANIES INC | Consumer Cyclical | $170.63B | 9.51% |
4SBUX | STARBUCKS CORP | Consumer Cyclical | $120.23B | 6.70% |
5LOW | LOWES COMPANIES INC | Consumer Cyclical | $117.04B | 6.52% |
6MAR | MARRIOTT INTERNATIONAL INC | Consumer Cyclical | $96.57B | 5.38% |
7ROST | ROSS STORES INC | Consumer Cyclical | $74.89B | 4.18% |
8HLT | HILTON WORLDWIDE HOLDINGS INC | Consumer Cyclical | $73.15B | 4.08% |
9GM | GENERAL MOTORS CO | Consumer Cyclical | $68.59B | 3.82% |
10NKE | NIKE INC | Consumer Cyclical | $64.92B | 3.62% |
11EBAY | EBAY INC | Consumer Cyclical | $49.75B | 2.77% |
12YUM | YUM BRANDS INC | Consumer Cyclical | $40.77B | 2.27% |
13QSR | RESTAURANT BRANDS INTERNATIONAL INC | Consumer Cyclical | $26.03B | 1.45% |
14DRI | DARDEN RESTAURANTS INC | Consumer Cyclical | $22.74B | 1.27% |
15RL | RALPH LAUREN CORP | Consumer Cyclical | $22.64B | 1.26% |
16BURL | BURLINGTON STORES INC | Consumer Cyclical | $21.73B | 1.21% |
17ROL | ROLLINS INC | Consumer Cyclical | $21.72B | 1.21% |
18PKG | PACKAGING CORP OF AMERICA | Consumer Cyclical | $20.77B | 1.16% |
19DKS | DICK'S SPORTING GOODS INC | Consumer Cyclical | $19.45B | 1.08% |
20NVR | NVR INC | Consumer Cyclical | $17.52B | 0.98% |
21YUMC | YUM CHINA HOLDINGS INC | Consumer Cyclical | $15.32B | 0.85% |
22PAG | PENSKE AUTOMOTIVE GROUP INC | Consumer Cyclical | $13.32B | 0.74% |
23CCK | CROWN HOLDINGS INC | Consumer Cyclical | $13.10B | 0.73% |
24TXRH | TEXAS ROADHOUSE INC | Consumer Cyclical | $12.95B | 0.72% |
25NYT | NEW YORK TIMES CO | Consumer Cyclical | $12.29B | 0.69% |
26AVY | AVERY DENNISON CORP | Consumer Cyclical | $12.27B | 0.68% |
27HAS | HASBRO INC | Consumer Cyclical | $11.54B | 0.64% |
28SCI | SERVICE CORP INTERNATIONAL | Consumer Cyclical | $10.86B | 0.61% |
29DPZ | DOMINOS PIZZA INC | Consumer Cyclical | $10.72B | 0.60% |
30WYNN | WYNN RESORTS LTD | Consumer Cyclical | $10.03B | 0.56% |
31ALV | AUTOLIV INC | Consumer Cyclical | $8.81B | 0.49% |
32LEA | LEAR CORP | Consumer Cyclical | $7.10B | 0.40% |
33AN | AUTONATION INC | Consumer Cyclical | $6.88B | 0.38% |
34RRR | RED ROCK RESORTS INC | Consumer Cyclical | $6.76B | 0.38% |
35BYD | BOYD GAMING CORP | Consumer Cyclical | $6.52B | 0.36% |
36LKQ | LKQ CORP | Consumer Cyclical | $6.47B | 0.36% |
37WH | WYNDHAM HOTELS & RESORTS INC | Consumer Cyclical | $5.73B | 0.32% |
38MTN | VAIL RESORTS INC | Consumer Cyclical | $5.27B | 0.29% |
39BC | BRUNSWICK CORP | Consumer Cyclical | $5.23B | 0.29% |
40GNTX | GENTEX CORP | Consumer Cyclical | $5.19B | 0.29% |
41CHH | CHOICE HOTELS INTERNATIONAL INC | Consumer Cyclical | $5.09B | 0.28% |
42ABG | ASBURY AUTOMOTIVE GROUP INC | Consumer Cyclical | $4.10B | 0.23% |
43PPLI | PEOPLE INC | Communication Services | $3.31B | 0.18% |
44COLM | COLUMBIA SPORTSWEAR CO | Consumer Cyclical | $3.25B | 0.18% |
45ASO | ACADEMY SPORTS & OUTDOORS INC | Consumer Cyclical | $3.00B | 0.17% |
46GIII | G III APPAREL GROUP LTD | Consumer Cyclical | $1.49B | 0.08% |
47WEN | WENDY'S CO | Consumer Cyclical | $1.48B | 0.08% |
48CRI | CARTERS INC | Consumer Cyclical | $1.40B | 0.08% |
49SCHL | SCHOLASTIC CORP | Consumer Cyclical | $1.02B | 0.06% |
50LUCK | LUCKY STRIKE ENTERTAINMENT CORP | Consumer Cyclical | $1.01B | 0.06% |
51ACEL | ACCEL ENTERTAINMENT INC | Consumer Cyclical | $989M | 0.06% |
52CSV | CARRIAGE SERVICES INC | Consumer Cyclical | $598M | 0.03% |
53ETD | ETHAN ALLEN INTERIORS INC | Consumer Cyclical | $580M | 0.03% |
54MLR | MILLER INDUSTRIES INC | Consumer Cyclical | $566M | 0.03% |
55HVT | HAVERTY FURNITURE COMPANIES INC | Consumer Cyclical | $413M | 0.02% |
56NATH | NATHANS FAMOUS INC | Consumer Cyclical | $393M | 0.02% |
57WEYS | WEYCO GROUP INC | Consumer Cyclical | $374M | 0.02% |
58HBB | HAMILTON BEACH BRANDS HOLDING CO | Consumer Cyclical | $313M | 0.02% |
59KWY | KINGSWAY CORP | Consumer Cyclical | $279M | 0.02% |
60ESCA | ESCALADE INC | Consumer Cyclical | $266M | 0.01% |
61VIRC | VIRCO MFG CORPORATION | Consumer Cyclical | $97M | 0.01% |
62CPHC | CANTERBURY PARK HOLDING CORP | Consumer Cyclical | $82M | 0.00% |
Full long-leg book as of July 2026 · cap-weighted · total market cap $1.79T. 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 — 98% toward Large, 69% 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. 62 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%Actual72.4%Margin-2.6%
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 62 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. | 29.7% | -20.3% |
| 3 yearsp.a. | 17.2% | -5.5% |
| 5 yearsp.a. | 9.1% | -5.3% |
| 10 yearsp.a. | 14.6% | -13.5% |
| Since inceptionp.a. | 11.6% | -5.1% |
| Year | Long leg | Long-short |
|---|---|---|
| 20267 mo | 16.1% | 8.9% |
| 2025 | 8.1% | -31.1% |
| 2024 | 24.7% | 6.4% |
| 2023 | 12.3% | -49.6% |
| 2022 | -17.5% | 82.8% |
| 2021 | 12.8% | -7.4% |
| 2020 | 44.6% | -67.8% |
| 2019 | 30.8% | 6.5% |
| 2018 | -0.1% | 6.7% |
| 2017 | 31.2% | 1.1% |
| 2016 | -0.9% | -11.8% |
| 2015 | 9.9% | 39.7% |
| 2014 | 14.3% | 5.4% |
| 2013 | 34.3% | -12.2% |
| 2012 | 17.3% | -8.7% |
| 2011 | 6.1% | 15.4% |
| 2010 | 28.9% | -17.4% |
| 2009 | 22.3% | -51.3% |
| 2008 | -23.8% | 119.7% |
| 2007 | -3.2% | -5.7% |
| 2006 | 19.8% | 0.4% |
| 2005 | -0.6% | -7.5% |
| 2004 | 24.6% | -10.6% |
| 2003 | 36.7% | -13.4% |
| 2002 | -15.1% | 9.9% |
| 2001 | 12.5% | -38.4% |
| 2000 | -5.5% | 88.6% |
| 1999 | 14.2% | 2.8% |
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 Low Volatility Factor ETF tracks a rules-based model that ranks Consumer Cyclical common stocks each month by a Low Volatility 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.