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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 |
|---|---|---|---|---|
1MCD | MCDONALDS CORP | Consumer Cyclical | $193.12B | 12.09% |
2TJX | TJX COMPANIES INC | Consumer Cyclical | $149.57B | 9.36% |
3SBUX | STARBUCKS CORP | Consumer Cyclical | $122.28B | 7.65% |
4BKNG | BOOKING HOLDINGS INC | Consumer Cyclical | $119.88B | 7.51% |
5MAR | MARRIOTT INTERNATIONAL INC | Consumer Cyclical | $109.35B | 6.85% |
6ABNB | AIRBNB INC | Consumer Cyclical | $108.09B | 6.77% |
7HLT | HILTON WORLDWIDE HOLDINGS INC | Consumer Cyclical | $82.93B | 5.19% |
8ROST | ROSS STORES INC | Consumer Cyclical | $75.79B | 4.74% |
9ORLY | O REILLY AUTOMOTIVE INC | Consumer Cyclical | $73.44B | 4.60% |
10EBAY | EBAY INC | Consumer Cyclical | $52.74B | 3.30% |
11CMG | CHIPOTLE MEXICAN GRILL INC | Consumer Cyclical | $44.49B | 2.79% |
12YUM | YUM BRANDS INC | Consumer Cyclical | $42.74B | 2.68% |
13DHI | HORTON D R INC | Consumer Cyclical | $40.40B | 2.53% |
14WSM | WILLIAMS SONOMA INC | Consumer Cyclical | $29.49B | 1.85% |
15ULTA | ULTA BEAUTY INC | Consumer Cyclical | $27.83B | 1.74% |
16TPR | TAPESTRY INC | Consumer Cyclical | $26.06B | 1.63% |
17DRI | DARDEN RESTAURANTS INC | Consumer Cyclical | $25.79B | 1.61% |
18LVS | LAS VEGAS SANDS CORP | Consumer Cyclical | $24.66B | 1.54% |
19RL | RALPH LAUREN CORP | Consumer Cyclical | $23.10B | 1.45% |
20ROL | ROLLINS INC | Consumer Cyclical | $18.12B | 1.13% |
21YUMC | YUM CHINA HOLDINGS INC | Consumer Cyclical | $16.58B | 1.04% |
22NVR | NVR INC | Consumer Cyclical | $15.38B | 0.96% |
23CART | INSTACART (MAPLEBEAR INC) | Consumer Cyclical | $13.84B | 0.87% |
24DECK | DECKERS OUTDOOR CORP | Consumer Cyclical | $11.28B | 0.71% |
25LULU | LULULEMON ATHLETICA INC | Consumer Cyclical | $11.03B | 0.69% |
26DPZ | DOMINOS PIZZA INC | Consumer Cyclical | $10.96B | 0.69% |
27DKNG | DRAFTKINGS INC | Consumer Cyclical | $9.53B | 0.60% |
28CHWY | CHEWY INC | Consumer Cyclical | $9.08B | 0.57% |
29EAT | BRINKER INTERNATIONAL INC | Consumer Cyclical | $8.21B | 0.51% |
30ETSY | ETSY INC | Consumer Cyclical | $7.61B | 0.48% |
31ANDG | ANDERSEN GROUP INC | Consumer Cyclical | $7.39B | 0.46% |
32CROX | CROCS INC | Consumer Cyclical | $7.17B | 0.45% |
33FTDR | FRONTDOOR INC | Consumer Cyclical | $6.45B | 0.40% |
34ANF | ABERCROMBIE & FITCH CO | Consumer Cyclical | $6.39B | 0.40% |
35HRB | H&R BLOCK INC | Consumer Cyclical | $6.17B | 0.39% |
36IBP | INSTALLED BUILDING PRODUCTS INC | Consumer Cyclical | $5.95B | 0.37% |
37BYD | BOYD GAMING CORP | Consumer Cyclical | $5.45B | 0.34% |
38SKY | CHAMPION HOMES INC | Consumer Cyclical | $4.96B | 0.31% |
39PLNT | PLANET FITNESS INC | Consumer Cyclical | $4.48B | 0.28% |
40WING | WINGSTOP INC | Consumer Cyclical | $4.31B | 0.27% |
41GNTX | GENTEX CORP | Consumer Cyclical | $3.98B | 0.25% |
42GTX | GARRETT MOTION INC | Consumer Cyclical | $3.97B | 0.25% |
43COLM | COLUMBIA SPORTSWEAR CO | Consumer Cyclical | $3.61B | 0.23% |
44OSW | ONESPAWORLD HOLDINGS LTD | Consumer Cyclical | $3.07B | 0.19% |
45CARG | CARGURUS INC | Consumer Cyclical | $3.06B | 0.19% |
46YETI | YETI HOLDINGS INC | Consumer Cyclical | $2.80B | 0.18% |
47BFAM | BRIGHT HORIZONS FAMILY SOLUTIONS INC | Consumer Cyclical | $2.53B | 0.16% |
48DAN | DANA INC | Consumer Cyclical | $2.27B | 0.14% |
49BKE | BUCKLE INC | Consumer Cyclical | $2.26B | 0.14% |
50MCRI | MONARCH CASINO & RESORT INC | Consumer Cyclical | $1.95B | 0.12% |
51PRKS | UNITED PARKS & RESORTS INC | Consumer Cyclical | $1.82B | 0.11% |
52KRT | KARAT PACKAGING INC | Consumer Cyclical | $707M | 0.04% |
53CARS | CARSCOM INC | Consumer Cyclical | $669M | 0.04% |
54CNNE | CANNAE HOLDINGS INC | Consumer Cyclical | $668M | 0.04% |
55WEYS | WEYCO GROUP INC | Consumer Cyclical | $578M | 0.04% |
56ETD | ETHAN ALLEN INTERIORS INC | Consumer Cyclical | $446M | 0.03% |
57BBW | BUILD-A-BEAR WORKSHOP INC | Consumer Cyclical | $350M | 0.02% |
58FLXS | FLEXSTEEL INDUSTRIES INC | Consumer Cyclical | $313M | 0.02% |
59DIBS | 1STDIBSCOM INC | Consumer Cyclical | $199M | 0.01% |
Full long-leg book as of November 2026 · cap-weighted · total market cap $1.60T. 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 — 98% toward Large, 76% toward Growth. +1% unclassified (2 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. 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 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. | 4.6% | -5.9% |
| 3 yearsp.a. | 9.2% | -14.5% |
| 5 yearsp.a. | 4.7% | -10.5% |
| 10 yearsp.a. | 11.6% | -17.9% |
| Since inceptionp.a. | 10.1% | -7.4% |
| Year | Long leg | Long-short |
|---|---|---|
| 202611 mo | 3.0% | -6.0% |
| 2025 | 4.8% | -9.4% |
| 2024 | 13.2% | -27.6% |
| 2023 | 15.8% | -50.6% |
| 2022 | -14.8% | 69.9% |
| 2021 | 30.4% | -4.6% |
| 2020 | 18.8% | -56.9% |
| 2019 | 30.5% | 2.7% |
| 2018 | -1.0% | -21.2% |
| 2017 | 25.1% | -17.8% |
| 2016 | 2.0% | -6.9% |
| 2015 | 8.8% | -11.0% |
| 2014 | 12.6% | 15.4% |
| 2013 | 37.2% | -12.1% |
| 2012 | 17.2% | -8.5% |
| 2011 | 19.6% | 43.6% |
| 2010 | 29.8% | -11.5% |
| 2009 | 30.4% | -30.8% |
| 2008 | -29.1% | 46.0% |
| 2007 | -7.1% | -9.7% |
| 2006 | 16.8% | 16.0% |
| 2005 | 0.4% | 5.9% |
| 2004 | 21.7% | -16.6% |
| 2003 | 38.5% | -12.0% |
| 2002 | -14.4% | -11.7% |
| 2001 | 5.4% | -18.3% |
| 2000 | -2.1% | 77.9% |
| 1999 | 2.9% | -20.4% |
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 NetEqFin Factor ETF tracks a rules-based model that ranks Consumer Cyclical common stocks each month by a NetEqFin 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.