Foundry Consumer Cyclical dNOA 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 |
|---|---|---|---|---|
1EBAY | EBAY INC | Consumer Cyclical | $49.75B | 25.83% |
2TPR | TAPESTRY INC | Consumer Cyclical | $28.58B | 14.84% |
3IP | INTERNATIONAL PAPER CO | Consumer Cyclical | $19.89B | 10.33% |
4MBLY | MOBILEYE GLOBAL INC | Consumer Cyclical | $7.76B | 4.03% |
5RSI | RUSH STREET INTERACTIVE INC | Consumer Cyclical | $7.56B | 3.93% |
6CROX | CROCS INC | Consumer Cyclical | $6.81B | 3.54% |
7LKQ | LKQ CORP | Consumer Cyclical | $6.47B | 3.36% |
8MSGE | MADISON SQUARE GARDEN ENTERTAINMENT CORP | Consumer Cyclical | $3.56B | 1.85% |
9GEF | GREIF INC | Consumer Cyclical | $3.52B | 1.83% |
10CALY | CALLAWAY GOLF CO | Consumer Cyclical | $3.48B | 1.81% |
11CARG | CARGURUS INC | Consumer Cyclical | $3.16B | 1.64% |
12DAN | DANA INC | Consumer Cyclical | $2.87B | 1.49% |
13LCID | LUCID GROUP INC | Consumer Cyclical | $2.87B | 1.49% |
14HOG | HARLEY-DAVIDSON INC | Consumer Cyclical | $2.80B | 1.45% |
15PENN | PENN ENTERTAINMENT INC | Consumer Cyclical | $2.75B | 1.43% |
16PTON | PELOTON INTERACTIVE INC | Consumer Cyclical | $2.55B | 1.33% |
17DRVN | DRIVEN BRANDS HOLDINGS INC | Consumer Cyclical | $2.51B | 1.30% |
18BLBD | BLUE BIRD CORP | Consumer Cyclical | $2.48B | 1.29% |
19MCRI | MONARCH CASINO & RESORT INC | Consumer Cyclical | $2.18B | 1.13% |
20AIN | ALBANY INTERNATIONAL CORP | Consumer Cyclical | $2.12B | 1.10% |
21GT | GOODYEAR TIRE & RUBBER CO | Consumer Cyclical | $2.10B | 1.09% |
22KSS | KOHLS CORP | Consumer Cyclical | $1.96B | 1.02% |
23CPRI | CAPRI HOLDINGS LTD | Consumer Cyclical | $1.89B | 0.98% |
24FUN | SIX FLAGS ENTERTAINMENT CORPORATION | Consumer Cyclical | $1.79B | 0.93% |
25LEG | LEGGETT & PLATT INC | Consumer Cyclical | $1.50B | 0.78% |
26TRS | TRIMAS CORP | Consumer Cyclical | $1.46B | 0.76% |
27REAL | THEREALREAL INC | Consumer Cyclical | $1.35B | 0.70% |
28TDAY | USA TODAY CO INC | Consumer Cyclical | $1.25B | 0.65% |
29LQDT | LIQUIDITY SERVICES INC | Consumer Cyclical | $1.23B | 0.64% |
30MYE | MYERS INDUSTRIES INC | Consumer Cyclical | $1.17B | 0.61% |
31PZZA | PAPA JOHNS INTERNATIONAL INC | Consumer Cyclical | $1.08B | 0.56% |
32SCHL | SCHOLASTIC CORP | Consumer Cyclical | $1.02B | 0.53% |
33WGO | WINNEBAGO INDUSTRIES INC | Consumer Cyclical | $868M | 0.45% |
34FOXF | FOX FACTORY HOLDING CORP | Consumer Cyclical | $798M | 0.41% |
35HOV | HOVNANIAN ENTERPRISES INC | Consumer Cyclical | $772M | 0.40% |
36KRT | KARAT PACKAGING INC | Consumer Cyclical | $760M | 0.39% |
37BLMN | BLOOMIN' BRANDS INC | Consumer Cyclical | $731M | 0.38% |
38CARS | CARSCOM INC | Consumer Cyclical | $670M | 0.35% |
39CNNE | CANNAE HOLDINGS INC | Consumer Cyclical | $657M | 0.34% |
40MLR | MILLER INDUSTRIES INC | Consumer Cyclical | $566M | 0.29% |
41JOUT | JOHNSON OUTDOORS INC | Consumer Cyclical | $485M | 0.25% |
42BNED | BARNES & NOBLE EDUCATION INC | Consumer Cyclical | $437M | 0.23% |
43MCFT | MASTERCRAFT BOAT HOLDINGS INC | Consumer Cyclical | $407M | 0.21% |
44FLXS | FLEXSTEEL INDUSTRIES INC | Consumer Cyclical | $391M | 0.20% |
45WEYS | WEYCO GROUP INC | Consumer Cyclical | $374M | 0.19% |
46STRT | STRATTEC SECURITY CORP | Consumer Cyclical | $344M | 0.18% |
47FNKO | FUNKO INC | Consumer Cyclical | $326M | 0.17% |
48HBB | HAMILTON BEACH BRANDS HOLDING CO | Consumer Cyclical | $313M | 0.16% |
49JACK | JACK IN THE BOX INC | Consumer Cyclical | $286M | 0.15% |
50LOVE | LOVESAC CO | Consumer Cyclical | $267M | 0.14% |
51ONEW | ONEWATER MARINE INC | Consumer Cyclical | $224M | 0.12% |
52SRI | STONERIDGE INC | Consumer Cyclical | $197M | 0.10% |
53LCUT | LIFETIME BRANDS INC | Consumer Cyclical | $195M | 0.10% |
54COOK | TRAEGER INC | Consumer Cyclical | $193M | 0.10% |
55INSE | INSPIRED ENTERTAINMENT INC | Consumer Cyclical | $174M | 0.09% |
56HOFT | HOOKER FURNISHINGS CORP | Consumer Cyclical | $152M | 0.08% |
57CHPT | CHARGEPOINT HOLDINGS INC | Consumer Cyclical | $146M | 0.08% |
58RRGB | RED ROBIN GOURMET BURGERS INC | Consumer Cyclical | $130M | 0.07% |
59UFI | UNIFI INC | Consumer Cyclical | $118M | 0.06% |
60INTG | INTERGROUP CORP | Consumer Cyclical | $84M | 0.04% |
61NDLS | NOODLES & CO | Consumer Cyclical | $66M | 0.03% |
Full long-leg book as of July 2026 · cap-weighted · total market cap $192.62B. 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 — 80% toward Large, 58% toward Growth. +9% unclassified (13 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%Actual64.0%Margin-11.0%No more than 25% of total assets may be invested in the securities of any one issuer.
Required<= 25.0%Actual25.8%Margin-0.8%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.
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 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. | 14.9% | 16.4% |
| 3 yearsp.a. | 12.8% | -3.9% |
| 5 yearsp.a. | 8.7% | -3.1% |
| 10 yearsp.a. | 14.2% | -1.2% |
| Since inceptionp.a. | 10.3% | -0.6% |
| Year | Long leg | Long-short |
|---|---|---|
| 20267 mo | 5.2% | 5.6% |
| 2025 | 25.6% | 25.7% |
| 2024 | 4.0% | -36.2% |
| 2023 | 23.6% | -29.4% |
| 2022 | -25.0% | 21.7% |
| 2021 | 46.1% | 34.7% |
| 2020 | 27.1% | 20.2% |
| 2019 | 22.6% | -12.6% |
| 2018 | -6.8% | -22.0% |
| 2017 | 32.5% | 5.6% |
| 2016 | 15.1% | 5.7% |
| 2015 | -1.4% | 6.2% |
| 2014 | 15.7% | 8.5% |
| 2013 | 45.0% | 1.0% |
| 2012 | 24.9% | -3.1% |
| 2011 | 0.7% | 5.8% |
| 2010 | 25.3% | -11.7% |
| 2009 | 55.4% | 1.5% |
| 2008 | -34.9% | 31.6% |
| 2007 | -8.8% | -10.0% |
| 2006 | 16.6% | 4.9% |
| 2005 | 0.6% | 5.4% |
| 2004 | 14.2% | -20.7% |
| 2003 | 30.4% | -12.1% |
| 2002 | -14.4% | -8.0% |
| 2001 | 24.5% | -3.0% |
| 2000 | -14.5% | 6.1% |
| 1999 | -5.9% | 2.7% |
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 dNOA Factor ETF tracks a rules-based model that ranks Consumer Cyclical common stocks each month by a dNOA 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.