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 300+ markets across four macro asset classes: currencies, commodities, fixed income, and equities. Its massive global diversification and long/short flexibility can adapt to all market cycles.

Snapshot

Ticker TFPN

Expense Ratio (%) 1.10

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 diversification — plus, long/short flexibility allows for significant long equity positions 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 within 300+ markets 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

Low cost & accessibility

A competitive expense ratio (1.10%), full liquidity, and accessibility via all major custodians

Time-tested strategy

Underlying strategy has traded since 1994 as a limited partnership

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Systematic Investing Process Is Trend Following Plus Nothing (TFPN)

Portfolio Selection

Monitor a universe of 300+ markets

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 300+ markets 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. & 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, Portfolio Manager of TFPN ETF

JERRY 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, Jerry founded Chesapeake Capital Corporation, which sub-advises TFPN alongside Blueprint. Chesapeake is an innovative provider of systematic alternative investment solutions, including a limited partnership, separately managed accounts, and mutual funds.

JON 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.

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Underlying Strategy Trading Since 1994

The underlying strategy used by TFPN has been trading since 1994 and is 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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Please reach out if you’d like to learn more about TFPN

Data For TFPN

Performance

Daily Pricing as of 09/26/2023

Net Asset Value ($): 24.82

Daily Change ($): 0.03

Daily Change (%): 0.13

Net Assets ($): 49648073.06

Shares Outstanding: 2000000.000

Premium/Discount (%): 0.21

Market Price ($): 24.88

Daily Change ($): 0.02

Daily Change (%): 0.08

30-Day Median Bid/Ask Spread (%): 0.72

Monthly as of 08/31/2023

YTD (%)

1-Month (%)

3-Month (%)

6-Month (%)

Since Inception (%)

Ticker: NAV

YTD (%): -

1-Month (%): -0.04

3-Month (%): -

6-Month (%): -

Since Inception (%): -0.28

Ticker: Price

YTD (%): -

1-Month (%): -0.73

3-Month (%): -

6-Month (%): -

Since Inception (%): 0.58

Quarterly as of 06/30/2023

	YTD (%)	1-Month (%)	3-Month (%)	6-Month (%)	Since Inception (%)
NAV	-	-	-	-	-
Price	-	-	-	-	-

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.

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Current Allocation

Monthly as of 09/01/2023

Currencies

Commodities

Fixed Income

Equities

Excludes cash and cash equivalents.
ETF holdings and macro asset class allocations are subject to change.

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Top Holdings

Monthly Top 5 Holdings By Macro Asset Class as of 09/01/2023

CURRENCIES
Name	Long/Short
Euro/Swiss Franc Future	Short
Euro/British Pound Future	Short
U.S. Dollar/Chinese Yuan Future	Long
British Pound/Swiss Franc Future	Long
Swiss Franc/Japanese Yen Future	Long

FIXED INCOME
Name	Long/Short
3-Month Euribor Future	Short
3-Month SONIA Future	Short
Canadian Banker’s Acceptance Future	Short
3-Month Secured Overnight Financing Rate Future	Short
90-Day Australian Bank Bill Future	Short

COMMODITIES
Name	Long/Short
Cattle Feeder Future	Long
Live Cattle Future	Long
Cocoa Future	Long
London Cocoa Future	Long
White Sugar Future	Long

EQUITIES
Name	Long/Short
elf Beauty Inc	Long
General Dynamics Corp.	Short
Kraft Heinz Co.	Short
Hormel Foods Corp.	Short
WEC Energy Group Inc.	Short

Excludes cash and cash equivalents.
Holdings are subject to change.

Daily Top 10 Holdings as of 09/27/2023

Name

Identifier

% of Net Assets

Market Value ($)

Name: Cash & Other

Identifier: Cash&Other

% of Net Assets: 100.46%

Shares: 49875435.83

Market Value ($): 49875435.83

Name: 3MO EURO EURIBOR Mar25

Identifier: ERH5 COMDTY

% of Net Assets: -12.89%

Shares: -25.00

Market Value ($): -6401020.83

Name: ICE 3MTH SONIA FU Mar25

Identifier: SFIH5 COMDTY

% of Net Assets: -12.87%

Shares: -22.00

Market Value ($): -6387753.12

Name: BANK ACCEPT FUTR Mar24

Identifier: BAH4 Comdty

% of Net Assets: -11.61%

Shares: -33.00

Market Value ($): -5762953.08

Name: 3 MONTH SOFR FUT Mar25

Identifier: SFRH5 Comdty

% of Net Assets: -8.19%

Shares: -17.00

Market Value ($): -4064275.00

Name: 90-DAY BANK BILL Mar24

Identifier: IRH4 Comdty

% of Net Assets: -4.82%

Shares: -39.00

Market Value ($): -2391580.26

Name: US 2YR NOTE (CBT) Dec23

Identifier: TUZ3 Comdty

% of Net Assets: -4.08%

Shares: -10.00

Market Value ($): -2025703.12

Name: ISHARES TR SHRT NAT MUN ETF

Identifier: SUB

% of Net Assets: 3.47%

Shares: 16706.00

Market Value ($): 1721887.42

Name: Short Euro-BTP Fu Dec23

Identifier: BTSZ3 Comdty

% of Net Assets: -3.33%

Shares: -15.00

Market Value ($): -1653489.55

Name: US 3YR NOTE (CBT) Dec23

Identifier: 3YZ3 Comdty

% of Net Assets: -3.32%

Shares: -8.00

Market Value ($): -1648625.01

Download Full Holdings

Holdings are subject to change.

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Documents & Materials

Monthly Commentary

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