March 12, 2026
March 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 |
| Indian Rupee/U.S. Dollar | Short |
| Swiss Franc/China Yuan | Long |
| Mexican Peso/U.S. Dollar | Long |
| Euro/Czech Koruna | Short |
| South African Rand/U.S. Dollar | Long |
| COMMODITIES | |
|---|---|
| Name | Long/Short |
| Aluminum Future | Long |
| Corn Future | Short |
| Wheat Future | Short |
| Platinum Future | Long |
| Brent Crude Oil Future | Long |
| FIXED INCOME | |
|---|---|
| Name | Long/Short |
| Japan 10-Year JGB Future | Short |
| Canadian 2-Year Bond | Long |
| U.S. 10-Year Treasury Bond Future | Long |
| iShares MBS ETF | Long |
| Australian 10-Year Bond Future | Short |
| EQUITIES | |
|---|---|
| Name | Long/Short |
| Bank of Nova Scotia | Long |
| Ingredion Inc | Short |
| Centrus Energy | Long |
| Bloom Energy Corp | Long |
| Aon Plc | Short |
ETF holdings and macro asset class allocations are subject to change.
Currencies
Overview
Following its multi-year low in January, the U.S. Dollar rose modestly in February and strengthened more sharply at the start of March. Despite this movement, the portfolio’s overall exposure to international currencies remains largely unchanged as the first quarter progresses. The U.S. Dollar currently shows relative strength primarily against Canada and a handful of Asia-Pacific currencies.
TFPN has now fully exited its prior long positions in cryptocurrencies.
Drivers
The Chinese Yuan (long) continues to increase in influence within the portfolio and is now the largest currency position. This is true both in isolation and when considering the combined exposure across related positions versus the U.S. Dollar and other international currencies, including the Hong Kong Dollar, Canadian Dollar, and Singapore Dollar.
As of the end of February, the portfolio remained net long the U.S. Dollar versus only a limited group of currencies: Canada, India, Indonesia, South Korea, New Zealand, the Philippines, and Japan.
Commodities
Overview
Net long commodity exposure increased slightly last month. Metals remained the most influential allocation and were largely unchanged during the month. Long energy exposure declined modestly, while short positions in grains remained elevated but eased somewhat. The most notable change was an increase in net long exposure to livestock futures.
Energy markets strengthened late in the period, increasing the influence of TFPN’s existing energy positions.
Drivers
Gold and copper once again represent the largest long positions within commodities. Gold resumed its upward trend after experiencing a sharp sell-off at the end of January, while copper stabilized following a similar recent pullback.
Long exposure to livestock futures increased meaningfully by the end of February, driven entirely by additional positioning in cattle contracts.
On the short side, wheat remains the largest commodity position in the portfolio. Although prices rose modestly during February, the market continues to reflect a longer-term downward trend.
The food and fiber segment remained relatively quiet. One notable development was the emergence of a long position in rubber, which now represents the largest allocation within that segment after previously being led by positions like coffee and sugar.
Fixed Income
Overview
Fixed income exposure increased in February. Most of the additional allocation is concentrated in shorter-duration bonds, resulting in relatively limited impact on overall portfolio volatility. Intermediate-duration bonds, which had briefly shifted to a net short position at the time of the previous update, also saw an increase in allocation and are now positioned close to neutral.
Drivers
Global bond markets remain mixed as economic data and geopolitical developments continue to influence expectations around interest rates. While some markets have reflected stable or moderating rate expectations, others continue to respond to evolving geopolitical conditions.
At present, bond trends remain relatively stable but not strongly directional. As a result, TFPN’s positioning across fixed income markets remains balanced and responsive to ongoing price developments.
Equities
Overview
U.S. equities experienced a notable divergence in February relative to recent trends. Large-cap stocks – particularly growth and technology – weakened, while small-cap stocks performed well. As a result, the benchmark S&P 500 Index is nearly flat for 2026 thus far, the NASDAQ has declined, and several growth indexes are meaningfully negative. In contrast, dividend, value, and small-cap stocks have started the year strongly.
Drivers
TFPN has historically maintained meaningful exposure to small- and mid-cap equities, which can provide different return drivers relative to large-cap-dominated indexes, such as the S&P 500. February provided a clear example of this dynamic.
Lumentum Holdings, previously highlighted as a significant long position, rose sharply during the month and became the portfolio’s largest equity holding heading into March. Western Digital, which entered February as the largest equity position, also advanced, building on its strong performance from January. AZZ Inc. continued its upward trend as well.
In addition to the strength among several long holdings, the short book also contributed positively. TFPN’s largest short position, Ingredion Inc., declined during the month, benefiting overall performance while helping balance exposure alongside the long equity positions.
Portfolio Managers’ Note
One question that occasionally arises about TFPN is its meaningful exposure to equities, particularly given its role alongside portfolios that already contain stocks and bonds. The early months of 2026 offer a helpful illustration of why the strategy maintains this exposure.
When investors think about equity markets, the focus is often concentrated on large-cap indexes and the relatively small number of companies that have driven a significant portion of recent returns. While that emphasis has been understandable in recent years, the equity universe is far broader than the handful of mega-cap names that dominate major benchmarks.
For example: Following its double-digit return in January, TFPN advanced again in February, rising by nearly 4%. Contributions came from several areas, including long metals, long energy, and long livestock positions. However, the single largest source of performance was the portfolio’s long exposure across a broad group of small- and mid-cap stocks.
Trend-following strategies often highlight opportunities in markets that are less familiar to many investors, such as commodities or international currencies. Those markets remain an important part of TFPN’s opportunity set. At times, however, meaningful non-correlation can also emerge within more familiar areas of the market. The recent strength across small- and mid-cap equities is an example of how trends can develop outside the most widely followed segments of the market.
Whether the trends emerge from less familiar markets or from different segments of widely known ones, the objective remains the same: to maintain a portfolio that can participate in trends across a wide range of asset classes. TFPN’s systematic approach remains focused on responding to evolving price trends rather than anticipating them.
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.
For standardized performance please visit tfpnetf.com.
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