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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 |
|---|---|---|---|---|
1BKNG | BOOKING HOLDINGS INC | Consumer Cyclical | $119.88B | 16.34% |
2MAR | MARRIOTT INTERNATIONAL INC | Consumer Cyclical | $109.35B | 14.91% |
3HLT | HILTON WORLDWIDE HOLDINGS INC | Consumer Cyclical | $82.93B | 11.31% |
4ORLY | O REILLY AUTOMOTIVE INC | Consumer Cyclical | $73.44B | 10.01% |
5F | FORD MOTOR CO | Consumer Cyclical | $47.52B | 6.48% |
6CMG | CHIPOTLE MEXICAN GRILL INC | Consumer Cyclical | $44.49B | 6.06% |
7CPNG | COUPANG INC | Consumer Cyclical | $27.40B | 3.74% |
8LVS | LAS VEGAS SANDS CORP | Consumer Cyclical | $24.66B | 3.36% |
9LEN | LENNAR CORP | Consumer Cyclical | $19.88B | 2.71% |
10ROL | ROLLINS INC | Consumer Cyclical | $18.12B | 2.47% |
11IP | INTERNATIONAL PAPER CO | Consumer Cyclical | $17.97B | 2.45% |
12YUMC | YUM CHINA HOLDINGS INC | Consumer Cyclical | $16.58B | 2.26% |
13NVR | NVR INC | Consumer Cyclical | $15.38B | 2.10% |
14FLUT | FLUTTER ENTERTAINMENT PLC | Consumer Cyclical | $14.25B | 1.94% |
15CART | INSTACART (MAPLEBEAR INC) | Consumer Cyclical | $13.84B | 1.89% |
16DECK | DECKERS OUTDOOR CORP | Consumer Cyclical | $11.28B | 1.54% |
17DKNG | DRAFTKINGS INC | Consumer Cyclical | $9.53B | 1.30% |
18BYD | BOYD GAMING CORP | Consumer Cyclical | $5.45B | 0.74% |
19MTN | VAIL RESORTS INC | Consumer Cyclical | $5.39B | 0.73% |
20SON | SONOCO PRODUCTS CO | Consumer Cyclical | $4.81B | 0.66% |
21MBLY | MOBILEYE GLOBAL INC | Consumer Cyclical | $4.79B | 0.65% |
22PLNT | PLANET FITNESS INC | Consumer Cyclical | $4.48B | 0.61% |
23WING | WINGSTOP INC | Consumer Cyclical | $4.31B | 0.59% |
24MTH | MERITAGE HOMES CORP | Consumer Cyclical | $4.17B | 0.57% |
25VAC | MARRIOTT VACATIONS WORLDWIDE CORP | Consumer Cyclical | $3.96B | 0.54% |
26PII | POLARIS INC | Consumer Cyclical | $3.68B | 0.50% |
27HOG | HARLEY-DAVIDSON INC | Consumer Cyclical | $3.28B | 0.45% |
28CARG | CARGURUS INC | Consumer Cyclical | $3.06B | 0.42% |
29CALY | CALLAWAY GOLF CO | Consumer Cyclical | $2.90B | 0.40% |
30YETI | YETI HOLDINGS INC | Consumer Cyclical | $2.80B | 0.38% |
31BFAM | BRIGHT HORIZONS FAMILY SOLUTIONS INC | Consumer Cyclical | $2.53B | 0.34% |
32PRKS | UNITED PARKS & RESORTS INC | Consumer Cyclical | $1.82B | 0.25% |
33FUN | SIX FLAGS ENTERTAINMENT CORPORATION | Consumer Cyclical | $1.14B | 0.16% |
34WINA | WINMARK CORP | Consumer Cyclical | $967M | 0.13% |
35TRIP | TRIPADVISOR INC | Consumer Cyclical | $855M | 0.12% |
36FOXF | FOX FACTORY HOLDING CORP | Consumer Cyclical | $728M | 0.10% |
37CNNE | CANNAE HOLDINGS INC | Consumer Cyclical | $668M | 0.09% |
38FOSL | FOSSIL GROUP INC | Consumer Cyclical | $517M | 0.07% |
39JOUT | JOHNSON OUTDOORS INC | Consumer Cyclical | $499M | 0.07% |
40DIN | DINE BRANDS GLOBAL INC | Consumer Cyclical | $447M | 0.06% |
41ETD | ETHAN ALLEN INTERIORS INC | Consumer Cyclical | $446M | 0.06% |
42CHPT | CHARGEPOINT HOLDINGS INC | Consumer Cyclical | $324M | 0.04% |
43CPS | COOPER-STANDARD HOLDINGS INC | Consumer Cyclical | $323M | 0.04% |
44FLXS | FLEXSTEEL INDUSTRIES INC | Consumer Cyclical | $313M | 0.04% |
45KWY | KINGSWAY CORP | Consumer Cyclical | $263M | 0.04% |
46VRA | VERA BRADLEY INC | Consumer Cyclical | $217M | 0.03% |
47RICK | RCI HOSPITALITY HOLDINGS INC | Consumer Cyclical | $207M | 0.03% |
48DIBS | 1STDIBSCOM INC | Consumer Cyclical | $199M | 0.03% |
49CLAR | CLARUS CORP | Consumer Cyclical | $198M | 0.03% |
50ONEW | ONEWATER MARINE INC | Consumer Cyclical | $164M | 0.02% |
51COOK | TRAEGER INC | Consumer Cyclical | $162M | 0.02% |
52HOFT | HOOKER FURNISHINGS CORP | Consumer Cyclical | $156M | 0.02% |
53SRI | STONERIDGE INC | Consumer Cyclical | $145M | 0.02% |
54MED | MEDIFAST INC | Consumer Cyclical | $144M | 0.02% |
55WW | WW INTERNATIONAL INC | Consumer Cyclical | $123M | 0.02% |
56AKA | AKA BRANDS HOLDING CORP | Consumer Cyclical | $98M | 0.01% |
57LAKE | LAKELAND INDUSTRIES INC | Consumer Cyclical | $92M | 0.01% |
58NDLS | NOODLES & CO | Consumer Cyclical | $82M | 0.01% |
59BARK | BARK INC | Consumer Cyclical | $81M | 0.01% |
60PRTS | CARPARTSCOM INC | Consumer Cyclical | $68M | 0.01% |
Full long-leg book as of November 2026 · cap-weighted · total market cap $733.59B. 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 — 96% toward Large, 70% toward Growth. +5% unclassified (15 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. 60 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. | -5.6% | -11.3% |
| 3 yearsp.a. | 9.3% | -10.3% |
| 5 yearsp.a. | 4.4% | -7.1% |
| 10 yearsp.a. | 13.2% | -12.4% |
| Since inceptionp.a. | 8.6% | -6.5% |
| Year | Long leg | Long-short |
|---|---|---|
| 202611 mo | -8.5% | -13.3% |
| 2025 | 8.1% | -1.2% |
| 2024 | 23.5% | -17.0% |
| 2023 | 29.0% | -42.3% |
| 2022 | -23.2% | 53.7% |
| 2021 | 22.1% | -17.8% |
| 2020 | 42.0% | -34.5% |
| 2019 | 27.4% | -0.4% |
| 2018 | -3.8% | -19.1% |
| 2017 | 33.4% | -2.9% |
| 2016 | 6.5% | -2.4% |
| 2015 | 7.3% | -0.3% |
| 2014 | 19.0% | 15.4% |
| 2013 | 46.1% | 8.8% |
| 2012 | 24.7% | -1.1% |
| 2011 | 6.1% | -6.5% |
| 2010 | 21.1% | -13.2% |
| 2009 | 58.2% | -10.7% |
| 2008 | -37.7% | 19.3% |
| 2007 | -18.5% | -14.9% |
| 2006 | 25.6% | 23.1% |
| 2005 | -0.3% | 8.3% |
| 2004 | 12.3% | -17.3% |
| 2003 | 40.3% | -2.8% |
| 2002 | -19.4% | 3.0% |
| 2001 | -0.4% | -22.8% |
| 2000 | -26.0% | 11.3% |
| 1999 | -2.7% | -31.8% |
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 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 DelEqu Factor ETF tracks a rules-based model that ranks Consumer Cyclical common stocks each month by a DelEqu 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.