A Next-Generation Liquid Alt: Blueprint Chesapeake Multi-Asset Trend ETF
Seeks Capital Appreciation By Trend Following Futures & Individual Securities
The Blueprint Chesapeake Multi-Asset Trend ETF (TFPN) strives to accomplish this by applying repeatable systematic investing rules to as many as 500 securities and financial instruments across four macro asset classes: currencies, commodities, fixed income, and equities. Its massive global exposure long/short flexibility can adapt to all market cycles.
Snapshot
| Ticker | TFPN |
| Expense Ratio (%) | 2.06 |
| Inception | 7/11/2023 |
| Fund Type | Actively managed ETF |
| Tax Form | 1099 |
| Exchange | NYSE |
| CUSIP | 88636J873 |
Seeking to Solve the Drawbacks Of Other Liquid & Traditional Alt Strategies
Minimal portfolio drag during bull markets
Combining the return streams of long/short equity and managed futures allows for massive global exposure — plus, long/short flexibility makes significant long equity positions possible during strong bull markets, particularly allocations to individual securities with strong momentum and trend characteristics
Non-correlated returns
Can provide zero to low (and sometimes negative) correlation due to its ability to go long, short, or neutral across four macro asset classes: equities, currencies, commodities, and fixed income
Tax efficiency
As an ETF without a K-1, provides tax-efficient access to a liquid alternative return stream that can be used in both non-taxable and taxable accounts
Liquidity
Maintains full intraday liquidity due to traditional ETF structure
Optimized for behavioral finance
Repeatable investing rules maintain discipline during prolonged volatility, and the application to as many as 500 securities, futures, and forward contracts provides flexibility to make significant allocations to stronger areas during all market cycles – a combination that removes emotion from the decision-making process, helps clients stay invested, and can lessen performance drag
Accessibility
Full liquidity and accessibility via all major custodians
Time-tested strategy
Underlying strategy began trading in 1994 as a limited partnership
Systematic Investing Process Is Trend Following Plus Nothing (TFPN)
Portfolio Selection
Monitor a universe of as many as 500 securities, futures, and forward contracts
Determine allocations using correlation and covariance analysis
Monitor market landscape for attractive futures and equities to add
Entry/Exit Methodology
Position with the long-term trends, either up or down without bias
Use multiple parameters (e.g., exponential moving averages and breakouts) for each position with a range of 50-200 days
Risk Control
Apply a stop loss for each position
Limit max risk exposure at position, sector, and portfolio levels
Trading as many as 500 securities, futures, and forward contracts allows TFPN to capitalize on trends in both large and small areas within four macro asset classes:
| Currencies |
Developed Emerging Digital |
| Commodities |
Energies Metals Grains Softs |
| Fixed Income |
U.S. Treasuries Global Sovereign |
| Equities |
U.S. and foreign developed (individual stocks and indices) Emerging markets |
Risk Budget
Currencies
Commodities
Fixed Income
Equities
ETF holdings and macro asset class allocations are subject to change.
Jerry Parker at Helm Of Portfolio Management Team
Jerry Parker
Parker has more than 35 years of systematic investing experience. He remains faithful to the lessons he learned during the famous Turtle Trading experiment in 1983, which was run by legendary commodity traders Bill Eckhardt and Richard Dennis.
In 1988, Parker founded Chesapeake Capital Corporation, which sub-advises TFPN alongside Blueprint. Chesapeake is an innovative provider of systematic alternative investment solutions and has offered its strategies as limited partnerships, separately managed accounts, and mutual funds.
Jon Robinson
Robinson co-founded a systematic commodity trading advisory (CTA) firm in 2006, which offered managed accounts and a managed futures fund.
His work had demonstrated the efficacy of systematic investing strategies, but he became disillusioned with the “black box” that surrounded many models. It motivated him to co-found Blueprint Investment Partners, which launched in 2013 to build a suite of investment strategies for financial advisors that would be systematic, repeatable, and transparent. The Blueprint family of companies expanded in 2019 with the addition of Blueprint Fund Management, which aims to make trend following strategies even more accessible to advisors.
Underlying Strategy Began Trading In 1994
The underlying strategy used by TFPN began trading in 1994 and was offered by Chesapeake Capital Corporation as a private fund and separately managed account.
Use Cases For Financial Advisors
TFPN was built with intentionality to be highly accessible for advisors to use in their practices.
The ETF is commonly used as:
Satellite holding or tactical allocation
Core alternative
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Data For TFPN
The inception date is 7/11/2023.
The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. The market price is the final price at which a security is traded on a given trading day. Net asset value (NAV) is value per share on a specific date or time. Returns less than one year are cumulative. The 30-day median bid/ask spread is a calculation expressed as a percentage rounded to the nearest hundredth. It is computed by: identifying the ETF's national best bid and national best offer as of the end of each 10 second interval during each trading day of the last 30 calendar days, dividing the difference between each such bid and offer by the midpoint of the national best bid and national best offer, and identifying the median of those values.
Risk/Return (Since Inception)
Quarterly as of 09/30/2024
| TFPN | S&P 500 TR USD | |
|---|---|---|
| Cumulative Return | -0.70 | 32.16 |
| Alpha | -10.53 | 4.79 |
| Beta | 0.49 | 1.38 |
| Standard Deviation | 9.28 | 14.85 |
| Maximum Drawdown | -9.34 | -9.94 |
| Sharpe Ratio | -0.99 | 2.08 |
| Sortino Ratio | -0.97 | 2.32 |
| Information Ratio | -2.58 | 1.77 |
Current Allocation
Monthly as of 12/02/2024
Excluding Cash & Cash Equivalents
Currencies
Commodities
Fixed Income
Equities
Cash
Including Cash & Cash Equivalents
Cash and cash equivalents in the portfolio are primarily used as collateral on positions which can be purchased through margin, which means they have a smaller cash requirement than the actual amount of dollars at risk. The result is a portfolio with the appearance of a mostly cash allocation that can, in reality, exhibit the return and volatility profile of a much different investment. For this reason, the allocation of the portfolio is expressed with cash excluded in favor of the sector exposures that are most responsible for volatility and returns.
ETF holdings and macro asset class allocations are subject to change.
Holdings
Notable Holdings, Monthly as of 12/02/2024
| CURRENCIES | |
|---|---|
| Name | Long/Short |
| Canadian Dollar/U.S. Dollar | Short |
| Australian Dollar/New Zealand Dollar | Long |
| Singapore Dollar/U.S. Dollar | Short |
| Euro/South African Rand | Long |
| iShares Ethereum Trust | Long |
| COMMODITIES | |
|---|---|
| Name | Long/Short |
| Live Cattle Future | Long |
| Cotton Future | Short |
| Frozen Orange Juice Future | Long |
| Rice Future | Short |
| Cocoa Future | Long |
| FIXED INCOME | |
|---|---|
| Name | Long/Short |
| U.S. 2-Year Note Future | Short |
| iShares Short-Term National Muni Bond ETF | Long |
| Australian 10-Year Bond Future | Short |
| iShares 0-5 Year HY Corp Bond ETF | Long |
| Japan 10-Year Bond Future | Long |
| EQUITIES | |
|---|---|
| Name | Long/Short |
| MicroStrategy Inc | Long |
| Canadian National Railway Co | Short |
| Carpenter Technology Corp | Long |
| PepsiCo Inc | Short |
| AZZ Inc | Long |
Holdings are subject to change.
Documents & Materials
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