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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 |
|---|---|---|---|---|
1TSLA | TESLA INC | Consumer Cyclical | $1.57T | 65.46% |
2TJX | TJX COMPANIES INC | Consumer Cyclical | $149.57B | 6.23% |
3BKNG | BOOKING HOLDINGS INC | Consumer Cyclical | $119.88B | 4.99% |
4ABNB | AIRBNB INC | Consumer Cyclical | $108.09B | 4.50% |
5CVNA | CARVANA CO | Consumer Cyclical | $78.16B | 3.26% |
6ROST | ROSS STORES INC | Consumer Cyclical | $75.79B | 3.16% |
7SN | SHARKNINJA INC | Consumer Cyclical | $31.02B | 1.29% |
8EXPE | EXPEDIA GROUP INC | Consumer Cyclical | $30.95B | 1.29% |
9WSM | WILLIAMS SONOMA INC | Consumer Cyclical | $29.49B | 1.23% |
10CPNG | COUPANG INC | Consumer Cyclical | $27.40B | 1.14% |
11PHM | PULTEGROUP INC | Consumer Cyclical | $23.36B | 0.97% |
12ROL | ROLLINS INC | Consumer Cyclical | $18.12B | 0.76% |
13NVR | NVR INC | Consumer Cyclical | $15.38B | 0.64% |
14CART | INSTACART (MAPLEBEAR INC) | Consumer Cyclical | $13.84B | 0.58% |
15GME | GAMESTOP CORP | Consumer Cyclical | $12.93B | 0.54% |
16DECK | DECKERS OUTDOOR CORP | Consumer Cyclical | $11.28B | 0.47% |
17CHWY | CHEWY INC | Consumer Cyclical | $9.08B | 0.38% |
18ANDG | ANDERSEN GROUP INC | Consumer Cyclical | $7.39B | 0.31% |
19CAVA | CAVA GROUP INC | Consumer Cyclical | $6.70B | 0.28% |
20SKY | CHAMPION HOMES INC | Consumer Cyclical | $4.96B | 0.21% |
21CVCO | CAVCO INDUSTRIES INC | Consumer Cyclical | $4.90B | 0.20% |
22MBLY | MOBILEYE GLOBAL INC | Consumer Cyclical | $4.79B | 0.20% |
23GNTX | GENTEX CORP | Consumer Cyclical | $3.98B | 0.17% |
24FIGS | FIGS INC | Consumer Cyclical | $3.76B | 0.16% |
25PTRN | PATTERN GROUP INC | Consumer Cyclical | $3.70B | 0.15% |
26OSW | ONESPAWORLD HOLDINGS LTD | Consumer Cyclical | $3.07B | 0.13% |
27CARG | CARGURUS INC | Consumer Cyclical | $3.06B | 0.13% |
28CALY | CALLAWAY GOLF CO | Consumer Cyclical | $2.90B | 0.12% |
29RSI | RUSH STREET INTERACTIVE INC | Consumer Cyclical | $2.72B | 0.11% |
30VC | VISTEON CORP | Consumer Cyclical | $1.95B | 0.08% |
31MCRI | MONARCH CASINO & RESORT INC | Consumer Cyclical | $1.95B | 0.08% |
32BLBD | BLUE BIRD CORP | Consumer Cyclical | $1.76B | 0.07% |
33PRSU | PURSUIT ATTRACTIONS & HOSPITALITY INC | Consumer Cyclical | $1.47B | 0.06% |
34LQDT | LIQUIDITY SERVICES INC | Consumer Cyclical | $1.41B | 0.06% |
35GIII | G III APPAREL GROUP LTD | Consumer Cyclical | $1.35B | 0.06% |
36TRS | TRIMAS CORP | Consumer Cyclical | $1.35B | 0.06% |
37RVLV | REVOLVE GROUP INC | Consumer Cyclical | $1.33B | 0.06% |
38XPEL | XPEL INC | Consumer Cyclical | $1.04B | 0.04% |
39WINA | WINMARK CORP | Consumer Cyclical | $967M | 0.04% |
40MOV | MOVADO GROUP INC | Consumer Cyclical | $713M | 0.03% |
41KRT | KARAT PACKAGING INC | Consumer Cyclical | $707M | 0.03% |
42LEGH | LEGACY HOUSING CORP | Consumer Cyclical | $675M | 0.03% |
43WEYS | WEYCO GROUP INC | Consumer Cyclical | $578M | 0.02% |
44MLR | MILLER INDUSTRIES INC | Consumer Cyclical | $551M | 0.02% |
45MCFT | MASTERCRAFT BOAT HOLDINGS INC | Consumer Cyclical | $522M | 0.02% |
46JOUT | JOHNSON OUTDOORS INC | Consumer Cyclical | $499M | 0.02% |
47ETD | ETHAN ALLEN INTERIORS INC | Consumer Cyclical | $446M | 0.02% |
48XMAX | XMAX INC | Consumer Cyclical | $423M | 0.02% |
49JAKK | JAKKS PACIFIC INC | Consumer Cyclical | $416M | 0.02% |
50HBB | HAMILTON BEACH BRANDS HOLDING CO | Consumer Cyclical | $410M | 0.02% |
51QVCG | QVC GROUP INC | Consumer Cyclical | $388M | 0.02% |
52ESCA | ESCALADE INC | Consumer Cyclical | $289M | 0.01% |
53ELA | ENVELA CORP | Consumer Cyclical | $270M | 0.01% |
54STRT | STRATTEC SECURITY CORP | Consumer Cyclical | $251M | 0.01% |
55AOUT | AMERICAN OUTDOOR BRANDS INC | Consumer Cyclical | $240M | 0.01% |
56DIBS | 1STDIBSCOM INC | Consumer Cyclical | $199M | 0.01% |
57CLAR | CLARUS CORP | Consumer Cyclical | $198M | 0.01% |
58HOFT | HOOKER FURNISHINGS CORP | Consumer Cyclical | $156M | 0.01% |
59MED | MEDIFAST INC | Consumer Cyclical | $144M | 0.01% |
60JRSH | JERASH HOLDINGS (US) INC | Consumer Cyclical | $93M | 0.00% |
61CPHC | CANTERBURY PARK HOLDING CORP | Consumer Cyclical | $81M | 0.00% |
Full long-leg book as of November 2026 · cap-weighted · total market cap $2.40T. 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, 93% 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. 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. | -3.3% | -10.4% |
| 3 yearsp.a. | 12.8% | -2.9% |
| 5 yearsp.a. | -3.2% | -7.9% |
| 10 yearsp.a. | 16.7% | 2.3% |
| Since inceptionp.a. | 9.5% | -0.2% |
| Year | Long leg | Long-short |
|---|---|---|
| 202611 mo | -4.7% | -8.3% |
| 2025 | 4.7% | -8.8% |
| 2024 | 36.9% | 23.2% |
| 2023 | 45.0% | 7.0% |
| 2022 | -53.6% | -31.0% |
| 2021 | 25.0% | -16.9% |
| 2020 | 154.7% | 59.9% |
| 2019 | 24.7% | -4.3% |
| 2018 | 0.3% | 26.6% |
| 2017 | 29.8% | 5.5% |
| 2016 | 1.1% | -12.7% |
| 2015 | 5.6% | 9.2% |
| 2014 | 1.9% | -8.6% |
| 2013 | 22.9% | -11.6% |
| 2012 | 18.1% | -15.5% |
| 2011 | -16.3% | -0.6% |
| 2010 | 33.4% | -14.5% |
| 2009 | 76.3% | -29.0% |
| 2008 | -44.8% | 44.1% |
| 2007 | -0.8% | 12.2% |
| 2006 | 4.1% | -8.7% |
| 2005 | 7.2% | 21.9% |
| 2004 | 22.6% | 4.4% |
| 2003 | 53.9% | -4.7% |
| 2002 | -21.7% | -10.8% |
| 2001 | 63.8% | 62.0% |
| 2000 | -42.2% | -29.7% |
| 1999 | 1.0% | 3.3% |
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 NetDebtPrice Factor ETF tracks a rules-based model that ranks Consumer Cyclical common stocks each month by a NetDebtPrice 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.