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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.
Gross of the placeholder expense ratio and trading costs · not investor results
Every constituent of the long leg — sort, search or filter by sector
| Ticker | Company | Sector | Market cap | Weight |
|---|---|---|---|---|
1AMZN | AMAZON COM INC | Consumer Cyclical | $2.89T | 64.94% |
2HD | HOME DEPOT INC | Consumer Cyclical | $347.46B | 7.80% |
3MCD | MCDONALDS CORP | Consumer Cyclical | $193.12B | 4.34% |
4LOW | LOWES COMPANIES INC | Consumer Cyclical | $127.62B | 2.87% |
5SBUX | STARBUCKS CORP | Consumer Cyclical | $122.28B | 2.75% |
6BKNG | BOOKING HOLDINGS INC | Consumer Cyclical | $119.88B | 2.69% |
7ABNB | AIRBNB INC | Consumer Cyclical | $108.09B | 2.43% |
8EBAY | EBAY INC | Consumer Cyclical | $52.74B | 1.18% |
9CMG | CHIPOTLE MEXICAN GRILL INC | Consumer Cyclical | $44.49B | 1.00% |
10YUM | YUM BRANDS INC | Consumer Cyclical | $42.74B | 0.96% |
11SN | SHARKNINJA INC | Consumer Cyclical | $31.02B | 0.70% |
12EXPE | EXPEDIA GROUP INC | Consumer Cyclical | $30.95B | 0.70% |
13WSM | WILLIAMS SONOMA INC | Consumer Cyclical | $29.49B | 0.66% |
14ULTA | ULTA BEAUTY INC | Consumer Cyclical | $27.83B | 0.63% |
15TPR | TAPESTRY INC | Consumer Cyclical | $26.06B | 0.59% |
16LVS | LAS VEGAS SANDS CORP | Consumer Cyclical | $24.66B | 0.55% |
17ROL | ROLLINS INC | Consumer Cyclical | $18.12B | 0.41% |
18HAS | HASBRO INC | Consumer Cyclical | $16.99B | 0.38% |
19W | WAYFAIR INC | Consumer Cyclical | $15.25B | 0.34% |
20CART | INSTACART (MAPLEBEAR INC) | Consumer Cyclical | $13.84B | 0.31% |
21TXRH | TEXAS ROADHOUSE INC | Consumer Cyclical | $12.21B | 0.27% |
22DECK | DECKERS OUTDOOR CORP | Consumer Cyclical | $11.28B | 0.25% |
23LULU | LULULEMON ATHLETICA INC | Consumer Cyclical | $11.03B | 0.25% |
24DPZ | DOMINOS PIZZA INC | Consumer Cyclical | $10.96B | 0.25% |
25MUSA | MURPHY USA INC | Consumer Cyclical | $9.68B | 0.22% |
26ALV | AUTOLIV INC | Consumer Cyclical | $8.56B | 0.19% |
27EAT | BRINKER INTERNATIONAL INC | Consumer Cyclical | $8.21B | 0.18% |
28ETSY | ETSY INC | Consumer Cyclical | $7.61B | 0.17% |
29ANDG | ANDERSEN GROUP INC | Consumer Cyclical | $7.39B | 0.17% |
30CROX | CROCS INC | Consumer Cyclical | $7.17B | 0.16% |
31FTDR | FRONTDOOR INC | Consumer Cyclical | $6.45B | 0.14% |
32HRB | H&R BLOCK INC | Consumer Cyclical | $6.17B | 0.14% |
33BYD | BOYD GAMING CORP | Consumer Cyclical | $5.45B | 0.12% |
34CAKE | CHEESECAKE FACTORY INC | Consumer Cyclical | $5.29B | 0.12% |
35MBLY | MOBILEYE GLOBAL INC | Consumer Cyclical | $4.79B | 0.11% |
36WING | WINGSTOP INC | Consumer Cyclical | $4.31B | 0.10% |
37BBWI | BATH & BODY WORKS INC | Consumer Cyclical | $4.25B | 0.10% |
38KTB | KONTOOR BRANDS INC | Consumer Cyclical | $4.25B | 0.10% |
39GNTX | GENTEX CORP | Consumer Cyclical | $3.98B | 0.09% |
40PII | POLARIS INC | Consumer Cyclical | $3.68B | 0.08% |
41SHAK | SHAKE SHACK INC | Consumer Cyclical | $3.11B | 0.07% |
42CARG | CARGURUS INC | Consumer Cyclical | $3.06B | 0.07% |
43RSI | RUSH STREET INTERACTIVE INC | Consumer Cyclical | $2.72B | 0.06% |
44PTON | PELOTON INTERACTIVE INC | Consumer Cyclical | $2.47B | 0.06% |
45BKE | BUCKLE INC | Consumer Cyclical | $2.26B | 0.05% |
46MCRI | MONARCH CASINO & RESORT INC | Consumer Cyclical | $1.95B | 0.04% |
47REAL | THEREALREAL INC | Consumer Cyclical | $1.78B | 0.04% |
48CBRL | CRACKER BARREL OLD COUNTRY STORE INC | Consumer Cyclical | $1.45B | 0.03% |
49LQDT | LIQUIDITY SERVICES INC | Consumer Cyclical | $1.41B | 0.03% |
50WINA | WINMARK CORP | Consumer Cyclical | $967M | 0.02% |
51AEVA | AEVA TECHNOLOGIES INC | Consumer Cyclical | $825M | 0.02% |
52FOXF | FOX FACTORY HOLDING CORP | Consumer Cyclical | $728M | 0.02% |
53KRT | KARAT PACKAGING INC | Consumer Cyclical | $707M | 0.02% |
54CARS | CARSCOM INC | Consumer Cyclical | $669M | 0.02% |
55PZZA | PAPA JOHNS INTERNATIONAL INC | Consumer Cyclical | $631M | 0.01% |
56HBB | HAMILTON BEACH BRANDS HOLDING CO | Consumer Cyclical | $410M | 0.01% |
57CHPT | CHARGEPOINT HOLDINGS INC | Consumer Cyclical | $324M | 0.01% |
58ELA | ENVELA CORP | Consumer Cyclical | $270M | 0.01% |
59DIBS | 1STDIBSCOM INC | Consumer Cyclical | $199M | 0.00% |
Full long-leg book as of November 2026 · cap-weighted · total market cap $4.45T. Hypothetical model holdings — not a registered fund’s portfolio.
Size × value map of the long-leg book
Share of long-leg capital by market cap × book-to-market, using terciles of the 302-name universe at November 2026. Rows: Large ≥ $5.8B, Small < $1.3B. Columns: Value ≥ 0.64, Growth < 0.36 B/M. The dot marks the capital-weighted centroid of the book — 99% toward Large, 58% toward Growth. Hypothetical holdings — descriptive, not realized P&L.
Capital-weighted centroid of the long leg, December 1998 → November 2026; the right-hand end is the same value as the box’s dot. 59 names now. Hypothetical holdings — descriptive, not P&L.
How this book measures against the concentration and liquidity rules — as implemented here
The constraint checks couldn’t be loaded. The service didn’t respond, so this is a gap in what we could fetch — not a statement about the factor.
Reloading the page usually resolves it.
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 · 335 monthly observations · about 3.4 in the 99% tail · paired percentile bootstrap over months
The estimators differ materially in value but agree on the verdict. Historical and Gaussian fund VaR differ by 19%; both still land on the same side of the 2x limit.
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 →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.
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.
Long leg is what this fund holds — long-short is shown for reference
| Period | Long leg | Long-short |
|---|---|---|
| 1 yearcum. | 9.3% | 5.6% |
| 3 yearsp.a. | 15.0% | 3.8% |
| 5 yearsp.a. | 3.6% | 10.7% |
| 10 yearsp.a. | 14.1% | 5.7% |
| Since inceptionp.a. | 12.2% | 10.0% |
| Year | Long leg | Long-short |
|---|---|---|
| 202611 mo | 9.6% | 6.8% |
| 2025 | 2.2% | -6.3% |
| 2024 | 28.6% | 21.7% |
| 2023 | 47.9% | 12.1% |
| 2022 | -42.2% | 23.8% |
| 2021 | 12.8% | -0.5% |
| 2020 | 45.1% | -19.6% |
| 2019 | 25.1% | -2.5% |
| 2018 | 11.1% | 31.8% |
| 2017 | 34.7% | 2.1% |
| 2016 | 6.3% | 6.7% |
| 2015 | 26.2% | 33.2% |
| 2014 | -0.4% | -1.3% |
| 2013 | 38.6% | 5.2% |
| 2012 | 15.7% | -27.2% |
| 2011 | 16.7% | 31.8% |
| 2010 | 33.6% | -11.2% |
| 2009 | 87.1% | 0.2% |
| 2008 | -38.6% | 50.0% |
| 2007 | -8.1% | 27.4% |
| 2006 | 3.6% | -6.4% |
| 2005 | 6.7% | 9.2% |
| 2004 | 16.5% | 0.7% |
| 2003 | 41.2% | -15.8% |
| 2002 | -13.8% | 0.8% |
| 2001 | 17.2% | 4.4% |
| 2000 | -9.9% | 147.2% |
| 1999 | 11.6% | 49.4% |
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 November 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.
The Foundry Consumer Cyclical CBOperProf Factor ETF tracks a rules-based model that ranks Consumer Cyclical common stocks each month by a CBOperProf 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.
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.