June 16, 2026
June 2026 Commentary Blueprint Chesapeake Multi-Asset Trend ETF
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Portfolio Exposure At A Glance
Notable Holdings By Macro Asset Class
| CURRENCIES | |
|---|---|
| Name | Long/Short |
| Brazil Real/U.S. Dollar | Long |
| Canadian Dollar/Swiss Franc | Short |
| Indian Rupee/U.S. Dollar | Short |
| Australian Dollar/Japanese Yen | Long |
| China Yuan/U.S. Dollar | Long |
| COMMODITIES | |
|---|---|
| Name | Long/Short |
| Aluminum Future | Long |
| Lead Future | Short |
| Brent Crude Oil Future | Long |
| Platinum Future | Long |
| Sugar Future | Short |
| FIXED INCOME | |
|---|---|
| Name | Long/Short |
| U.S. 30-Year Treasury Bond Future | Short |
| Canadian 2-Year Bond Future | Short |
| U.S. 10-Year Treasury Bond Future | Short |
| High Yield Corporate Bond Index Future | Long |
| iShares National Muni Bond ETF | Short |
| EQUITIES | |
|---|---|
| Name | Long/Short |
| Rio Tinto plc | Long |
| Microsoft Corp | Short |
| Waste Connections, Inc. | Short |
| Ross Stores Inc | Long |
| Western Digital Corp | Long |
ETF holdings and macro asset class allocations are subject to change.
Currencies
Overview
The U.S. Dollar strengthened modestly during May, though currency markets remained relatively range-bound compared to other asset classes. Overall net long foreign currency exposure was largely unchanged heading into June, with only minor adjustments within foreign exchange cross-rate positions. TFPN continues to maintain no exposure to cryptocurrency.
Drivers
Currency markets remained relatively stable during the month, with movement concentrated in select regions and currency pairs rather than broad directional shifts. Within the portfolio, the Chinese Yuan remains one of the more meaningful positions and continues to exhibit relative strength versus several international counterparts. The portfolio also maintains exposure to a variety of currency cross-rate trends, providing opportunities beyond simple U.S. Dollar movements. As in prior months, several emerging-market currencies remained among the weaker areas of the currency complex.
Commodities
Overview
Net long commodity exposure increased meaningfully during May, rising more than 10% heading into June. The increase was driven primarily by additions within energy and metals, while livestock exposure remained relatively stable. Grain markets continue to represent a net short allocation within the portfolio, though that short position was reduced during the month.
Drivers
Metals remain one of the most influential components of the commodity allocation. Positions in markets such as copper, gold, silver, aluminum, and tin continue to represent several of the largest commodity holdings within the portfolio.
Energy exposure also increased during the month, with positions across crude oil products and related energy contracts contributing meaningfully to overall positioning.
Within agriculture, the cattle complex remains an important source of long exposure. On the short side, grains continue to represent the primary area of negative exposure. Wheat and several related agricultural markets remain among the largest short positions within the commodity allocation.
Fixed Income
Overview
Fixed income exposure became more net short during May. The adjustment reflects the continuation of trends favoring higher yields, as well as weaker bond prices across global fixed income markets. These trends were evident across multiple segments of the yield curve during the month.
Drivers
Bond markets remained under pressure throughout May, with yields moving higher across many sovereign fixed income markets.
TFPN increased short exposure across a variety of sovereign bond markets, including both U.S. Treasury and international government bond futures. Positions spanning multiple maturities contributed to the larger net short allocation. While fixed income ETFs remain part of the portfolio, directional futures positions continue to represent the most exposure within the asset class.
The portfolio’s positioning reflects prevailing market trends rather than any forecast regarding future interest-rate policy. As those trends evolve, TFPN is designed to adapt accordingly.
Equities
Overview
Monthly Overview
U.S. equity exposure remained the largest net long allocation within the portfolio and increased modestly during May. Net long equity exposure rose by approximately 6% heading into June, reflecting continued strength across several individual holdings despite periodic market volatility.
Drivers
Several technology, industrial, and energy-related companies continue to represent important long positions within the portfolio. Holdings such as Lumentum Holdings and other momentum-oriented names maintained positive trends during the month, helping support overall equity exposure.
Short positions remain an important component of the equity allocation. Consumer-oriented and defensive names continue to be well represented among TFPN’s short positions, allowing the strategy to participate in both positive and negative trends as they develop.
The equity sleeve continues to reflect a disciplined trend-following process, emphasizing relative strength on the long side while maintaining targeted short exposure in areas exhibiting persistent weakness.
Portfolio Managers’ Note
May continued what has been a strong start to the year for TFPN. Positive contributions from equities and commodities, combined with increasingly net short positioning within fixed income, allowed the portfolio to remain aligned with several persistent trends across global markets.
One of the more notable developments during the month was the continued increase in net short fixed income exposure. At the same time, long exposure within commodities and equities remained meaningful, allowing the portfolio to participate in areas of continued strength while maintaining exposure across multiple asset classes.
TFPN’s positioning during May highlights an important characteristic of systematic trend following: trends often persist longer than expected. While there can be a temptation to constantly adjust positioning, some of the strongest returns are generated by remaining aligned with established trends rather than reacting to every market development. In many cases, patience can be just as important as action.
This is one of the advantages of a systematic approach. By maintaining flexibility to participate across currencies, commodities, fixed income, and equities, TFPN can adapt as leadership changes and trends evolve.
As always, the strategy remains focused on responding to price movements rather than attempting to predict economic or geopolitical outcomes. While market narratives continue to shift, the investment process remains unchanged: identify trends, manage risk, and maintain disciplined exposure across a broad opportunity set.
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