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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 |
|---|---|---|---|---|
1SW | SMURFIT WESTROCK PLC | Consumer Cyclical | $22.65B | 10.50% |
2AMCR | AMCOR PLC | Consumer Cyclical | $20.25B | 9.39% |
3LEN | LENNAR CORP | Consumer Cyclical | $19.88B | 9.22% |
4IP | INTERNATIONAL PAPER CO | Consumer Cyclical | $17.97B | 8.33% |
5PAG | PENSKE AUTOMOTIVE GROUP INC | Consumer Cyclical | $14.00B | 6.49% |
6SCI | SERVICE CORP INTERNATIONAL | Consumer Cyclical | $10.19B | 4.72% |
7MGM | MGM RESORTS INTERNATIONAL | Consumer Cyclical | $8.41B | 3.90% |
8NCLH | NORWEGIAN CRUISE LINE HOLDINGS LTD | Consumer Cyclical | $8.29B | 3.85% |
9KMX | CARMAX INC | Consumer Cyclical | $7.46B | 3.46% |
10LAD | LITHIA MOTORS INC | Consumer Cyclical | $6.42B | 2.98% |
11CZR | CAESARS ENTERTAINMENT INC | Consumer Cyclical | $5.97B | 2.77% |
12AN | AUTONATION INC | Consumer Cyclical | $5.77B | 2.68% |
13LEA | LEAR CORP | Consumer Cyclical | $5.23B | 2.43% |
14LKQ | LKQ CORP | Consumer Cyclical | $4.97B | 2.31% |
15SON | SONOCO PRODUCTS CO | Consumer Cyclical | $4.81B | 2.23% |
16SLGN | SILGAN HOLDINGS INC | Consumer Cyclical | $4.30B | 1.99% |
17ABG | ASBURY AUTOMOTIVE GROUP INC | Consumer Cyclical | $3.58B | 1.66% |
18HGV | HILTON GRAND VACATIONS INC | Consumer Cyclical | $3.33B | 1.54% |
19GPK | GRAPHIC PACKAGING HOLDING CO | Consumer Cyclical | $3.19B | 1.48% |
20KBH | KB HOME | Consumer Cyclical | $2.94B | 1.36% |
21KSS | KOHLS CORP | Consumer Cyclical | $2.66B | 1.24% |
22PATK | PATRICK INDUSTRIES INC | Consumer Cyclical | $2.52B | 1.17% |
23RH | RH | Consumer Cyclical | $2.45B | 1.13% |
24PENN | PENN ENTERTAINMENT INC | Consumer Cyclical | $2.35B | 1.09% |
25DAN | DANA INC | Consumer Cyclical | $2.27B | 1.05% |
26SAH | SONIC AUTOMOTIVE INC | Consumer Cyclical | $1.90B | 0.88% |
27WHR | WHIRLPOOL CORP | Consumer Cyclical | $1.90B | 0.88% |
28PRKS | UNITED PARKS & RESORTS INC | Consumer Cyclical | $1.82B | 0.85% |
29EYE | NATIONAL VISION HOLDINGS INC | Consumer Cyclical | $1.47B | 0.68% |
30CCS | CENTURY COMMUNITIES INC | Consumer Cyclical | $1.47B | 0.68% |
31MLKN | MILLERKNOLL INC | Consumer Cyclical | $1.47B | 0.68% |
32CBRL | CRACKER BARREL OLD COUNTRY STORE INC | Consumer Cyclical | $1.45B | 0.67% |
33MBC | MASTERBRAND INC | Consumer Cyclical | $1.26B | 0.58% |
34FUN | SIX FLAGS ENTERTAINMENT CORPORATION | Consumer Cyclical | $1.14B | 0.53% |
35LGIH | LGI HOMES INC | Consumer Cyclical | $957M | 0.44% |
36BLMN | BLOOMIN' BRANDS INC | Consumer Cyclical | $868M | 0.40% |
37FWRG | FIRST WATCH RESTAURANT GROUP INC | Consumer Cyclical | $799M | 0.37% |
38BALY | BALLY'S CORP | Consumer Cyclical | $582M | 0.27% |
39PTLO | PORTILLO'S INC | Consumer Cyclical | $509M | 0.24% |
40CAL | CALERES INC | Consumer Cyclical | $456M | 0.21% |
41LOCO | EL POLLO LOCO HOLDINGS INC | Consumer Cyclical | $447M | 0.21% |
42CSV | CARRIAGE SERVICES INC | Consumer Cyclical | $443M | 0.21% |
43BNED | BARNES & NOBLE EDUCATION INC | Consumer Cyclical | $440M | 0.20% |
44OXM | OXFORD INDUSTRIES INC | Consumer Cyclical | $424M | 0.20% |
45MBUU | MALIBU BOATS INC | Consumer Cyclical | $400M | 0.19% |
46RCKY | ROCKY BRANDS INC | Consumer Cyclical | $389M | 0.18% |
47GCO | GENESCO INC | Consumer Cyclical | $387M | 0.18% |
48DBI | DESIGNER BRANDS INC | Consumer Cyclical | $329M | 0.15% |
49MNRO | MONRO INC | Consumer Cyclical | $324M | 0.15% |
50CPS | COOPER-STANDARD HOLDINGS INC | Consumer Cyclical | $323M | 0.15% |
51JACK | JACK IN THE BOX INC | Consumer Cyclical | $270M | 0.13% |
52LE | LANDS' END INC | Consumer Cyclical | $264M | 0.12% |
53RICK | RCI HOSPITALITY HOLDINGS INC | Consumer Cyclical | $207M | 0.10% |
54LCUT | LIFETIME BRANDS INC | Consumer Cyclical | $177M | 0.08% |
55VNCE | VINCE HOLDING CORP | Consumer Cyclical | $167M | 0.08% |
56RRGB | RED ROBIN GOURMET BURGERS INC | Consumer Cyclical | $167M | 0.08% |
57ONEW | ONEWATER MARINE INC | Consumer Cyclical | $164M | 0.08% |
58MPAA | MOTORCAR PARTS OF AMERICA INC | Consumer Cyclical | $146M | 0.07% |
59AKA | AKA BRANDS HOLDING CORP | Consumer Cyclical | $98M | 0.05% |
60NDLS | NOODLES & CO | Consumer Cyclical | $82M | 0.04% |
61RGS | REGIS CORP | Consumer Cyclical | $59M | 0.03% |
Full long-leg book as of November 2026 · cap-weighted · total market cap $215.68B. 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 — 84% toward Large, 41% toward Growth. +9% unclassified (12 missing size/value). 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. 61 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 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 →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. | 11.4% | 4.3% |
| 3 yearsp.a. | 9.0% | -7.3% |
| 5 yearsp.a. | -0.0% | -5.1% |
| 10 yearsp.a. | 7.0% | -8.7% |
| Since inceptionp.a. | 5.6% | -4.2% |
| Year | Long leg | Long-short |
|---|---|---|
| 202611 mo | 10.6% | 4.1% |
| 2025 | -7.8% | -14.4% |
| 2024 | 12.4% | -17.2% |
| 2023 | 23.8% | -11.3% |
| 2022 | -32.4% | 9.2% |
| 2021 | 54.7% | 30.7% |
| 2020 | 11.7% | -32.2% |
| 2019 | 28.2% | 1.5% |
| 2018 | -24.8% | -32.6% |
| 2017 | 20.9% | -9.7% |
| 2016 | 9.4% | 7.4% |
| 2015 | -5.6% | -19.1% |
| 2014 | 9.1% | -6.1% |
| 2013 | 39.4% | -4.6% |
| 2012 | 36.7% | 14.5% |
| 2011 | -12.5% | -23.3% |
| 2010 | 45.5% | 10.8% |
| 2009 | 69.1% | 28.6% |
| 2008 | -55.1% | -26.2% |
| 2007 | -30.3% | -19.4% |
| 2006 | 16.6% | 9.3% |
| 2005 | -1.2% | 3.2% |
| 2004 | 18.0% | -2.3% |
| 2003 | 49.1% | 6.3% |
| 2002 | -11.6% | 9.4% |
| 2001 | 21.4% | 10.8% |
| 2000 | -6.9% | 37.3% |
| 1999 | -19.2% | -31.1% |
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 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 CashProd Factor ETF tracks a rules-based model that ranks Consumer Cyclical common stocks each month by a CashProd 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.
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.