Foundry Consumer Cyclical Short-Term Reversal 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 |
|---|---|---|---|---|
1TSLA | TESLA INC | Consumer Cyclical | $1.43T | 83.96% |
2DHI | HORTON D R INC | Consumer Cyclical | $42.36B | 2.49% |
3YUM | YUM BRANDS INC | Consumer Cyclical | $40.77B | 2.39% |
4PHM | PULTEGROUP INC | Consumer Cyclical | $24.02B | 1.41% |
5LEN | LENNAR CORP | Consumer Cyclical | $20.21B | 1.19% |
6SGI | SOMNIGROUP INTERNATIONAL INC | Consumer Cyclical | $15.30B | 0.90% |
7TOL | TOLL BROTHERS INC | Consumer Cyclical | $14.09B | 0.83% |
8MOD | MODINE MANUFACTURING CO | Consumer Cyclical | $12.11B | 0.71% |
9CAVA | CAVA GROUP INC | Consumer Cyclical | $8.02B | 0.47% |
10ECG | EVERUS CONSTRUCTION GROUP INC | Consumer Cyclical | $6.80B | 0.40% |
11MHK | MOHAWK INDUSTRIES INC | Consumer Cyclical | $6.80B | 0.40% |
12GTX | GARRETT MOTION INC | Consumer Cyclical | $5.95B | 0.35% |
13WH | WYNDHAM HOTELS & RESORTS INC | Consumer Cyclical | $5.73B | 0.34% |
14MTH | MERITAGE HOMES CORP | Consumer Cyclical | $4.95B | 0.29% |
15BOOT | BOOT BARN HOLDINGS INC | Consumer Cyclical | $4.63B | 0.27% |
16CVCO | CAVCO INDUSTRIES INC | Consumer Cyclical | $4.35B | 0.26% |
17BBWI | BATH & BODY WORKS INC | Consumer Cyclical | $4.21B | 0.25% |
18WING | WINGSTOP INC | Consumer Cyclical | $3.88B | 0.23% |
19MHO | M/I HOMES INC | Consumer Cyclical | $3.83B | 0.22% |
20QS | QUANTUMSCAPE CORP | Consumer Cyclical | $3.60B | 0.21% |
21MSGE | MADISON SQUARE GARDEN ENTERTAINMENT CORP | Consumer Cyclical | $3.56B | 0.21% |
22KBH | KB HOME | Consumer Cyclical | $3.44B | 0.20% |
23AAP | ADVANCE AUTO PARTS INC | Consumer Cyclical | $3.19B | 0.19% |
24GRBK | GREEN BRICK PARTNERS INC | Consumer Cyclical | $3.14B | 0.18% |
25CPRI | CAPRI HOLDINGS LTD | Consumer Cyclical | $1.89B | 0.11% |
26CCS | CENTURY COMMUNITIES INC | Consumer Cyclical | $1.89B | 0.11% |
27FUN | SIX FLAGS ENTERTAINMENT CORPORATION | Consumer Cyclical | $1.79B | 0.11% |
28TRS | TRIMAS CORP | Consumer Cyclical | $1.46B | 0.09% |
29DFH | DREAM FINDERS HOMES INC | Consumer Cyclical | $1.45B | 0.09% |
30CRI | CARTERS INC | Consumer Cyclical | $1.40B | 0.08% |
31WINA | WINMARK CORP | Consumer Cyclical | $1.39B | 0.08% |
32LGIH | LGI HOMES INC | Consumer Cyclical | $1.36B | 0.08% |
33XPEL | XPEL INC | Consumer Cyclical | $1.19B | 0.07% |
34MYE | MYERS INDUSTRIES INC | Consumer Cyclical | $1.17B | 0.07% |
35MBC | MASTERBRAND INC | Consumer Cyclical | $1.11B | 0.07% |
36ARHS | ARHAUS INC | Consumer Cyclical | $1.09B | 0.06% |
37PZZA | PAPA JOHNS INTERNATIONAL INC | Consumer Cyclical | $1.08B | 0.06% |
38AEVA | AEVA TECHNOLOGIES INC | Consumer Cyclical | $1.05B | 0.06% |
39PLOW | DOUGLAS DYNAMICS INC | Consumer Cyclical | $1.03B | 0.06% |
40BH | BIGLARI HOLDINGS INC | Consumer Cyclical | $882M | 0.05% |
41SG | SWEETGREEN INC | Consumer Cyclical | $841M | 0.05% |
42HOV | HOVNANIAN ENTERPRISES INC | Consumer Cyclical | $772M | 0.05% |
43BLMN | BLOOMIN' BRANDS INC | Consumer Cyclical | $731M | 0.04% |
44CWH | CAMPING WORLD HOLDINGS INC | Consumer Cyclical | $637M | 0.04% |
45PACK | RANPAK HOLDINGS CORP | Consumer Cyclical | $583M | 0.03% |
46KRUS | KURA SUSHI USA INC | Consumer Cyclical | $567M | 0.03% |
47ELA | ENVELA CORP | Consumer Cyclical | $547M | 0.03% |
48BBBY | BED BATH & BEYOND INC | Consumer Cyclical | $372M | 0.02% |
49KWY | KINGSWAY CORP | Consumer Cyclical | $279M | 0.02% |
50MPAA | MOTORCAR PARTS OF AMERICA INC | Consumer Cyclical | $265M | 0.02% |
51RDNW | RIDENOW GROUP INC | Consumer Cyclical | $229M | 0.01% |
52COOK | TRAEGER INC | Consumer Cyclical | $193M | 0.01% |
53LEE | LEE ENTERPRISES INC | Consumer Cyclical | $175M | 0.01% |
54INSE | INSPIRED ENTERTAINMENT INC | Consumer Cyclical | $174M | 0.01% |
55HOFT | HOOKER FURNISHINGS CORP | Consumer Cyclical | $152M | 0.01% |
56WW | WW INTERNATIONAL INC | Consumer Cyclical | $146M | 0.01% |
57RRGB | RED ROBIN GOURMET BURGERS INC | Consumer Cyclical | $130M | 0.01% |
58INTG | INTERGROUP CORP | Consumer Cyclical | $84M | 0.00% |
59VNCE | VINCE HOLDING CORP | Consumer Cyclical | $83M | 0.00% |
60BARK | BARK INC | Consumer Cyclical | $82M | 0.00% |
61BDL | FLANIGANS ENTERPRISES INC | Consumer Cyclical | $76M | 0.00% |
62NDLS | NOODLES & CO | Consumer Cyclical | $66M | 0.00% |
Full long-leg book as of July 2026 · cap-weighted · total market cap $1.70T. 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 — 97% toward Large, 90% toward Growth. 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%Actual21.0%Margin-54.0%No more than 25% of total assets may be invested in the securities of any one issuer.
Required<= 25.0%Actual84.0%Margin-59.0%
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%Actual21.0%Margin-29.0%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 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 disagree about the verdict, not just the value — the choice of method decides the answer here. Historical VaR gives ratio 2.32 (fail) but Gaussian VaR gives 1.89 (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?
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. | 1.3% | 0.9% |
| 3 yearsp.a. | 1.9% | -4.2% |
| 5 yearsp.a. | -6.5% | -9.4% |
| 10 yearsp.a. | 7.6% | -8.0% |
| Since inceptionp.a. | 5.3% | -3.3% |
| Year | Long leg | Long-short |
|---|---|---|
| 20267 mo | 3.5% | 7.2% |
| 2025 | -12.7% | -21.1% |
| 2024 | 15.3% | -7.7% |
| 2023 | 64.5% | 22.9% |
| 2022 | -58.1% | -18.5% |
| 2021 | 25.3% | -6.7% |
| 2020 | 60.6% | -41.6% |
| 2019 | 33.4% | 9.2% |
| 2018 | -5.6% | 6.9% |
| 2017 | 13.0% | -13.4% |
| 2016 | 5.0% | -9.9% |
| 2015 | -10.1% | -15.4% |
| 2014 | 5.7% | -3.8% |
| 2013 | 45.3% | 1.1% |
| 2012 | 30.4% | 8.1% |
| 2011 | -1.6% | 5.0% |
| 2010 | 38.1% | 3.9% |
| 2009 | 37.3% | -15.3% |
| 2008 | -56.4% | -10.9% |
| 2007 | -21.6% | -24.8% |
| 2006 | 19.5% | 8.8% |
| 2005 | -4.6% | -6.3% |
| 2004 | 23.5% | 6.0% |
| 2003 | 65.0% | 18.8% |
| 2002 | -11.8% | 11.5% |
| 2001 | 49.9% | 49.4% |
| 2000 | -36.5% | 16.3% |
| 1999 | -14.9% | -25.1% |
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 Short-Term Reversal Factor ETF tracks a rules-based model that ranks Consumer Cyclical common stocks each month by a Short-Term Reversal 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.