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 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 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 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

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

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:

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, Portfolio Manager of TFPN

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.

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

Let's Talk

Please reach out if you’d like to learn more about TFPN

Performance

Daily Pricing as of 04/18/2024

Net Asset Value ($): 25.38
Daily Change ($): 0.08
Daily Change (%): 0.31
Net Assets ($): 77423150.49
Shares Outstanding: 3050000.000
Premium/Discount (%): -0.16
Market Price ($): 25.35
Daily Change ($): -0.01
Daily Change (%): -0.02
30-Day Median Bid/Ask Spread (%): 0.98

Monthly as of 03/31/2024

YTD (%)
1-Month (%)
3-Month (%)
6-Month (%)
Since Inception (%)
Ticker: NAV
YTD (%): 6.88
1-Month (%): 3.15
3-Month (%): 6.88
6-Month (%): 4.42
Since Inception (%): 4.23
Ticker: Price
YTD (%): 6.71
1-Month (%): 3.50
3-Month (%): 6.71
6-Month (%): 4.68
Since Inception (%): 5.05

Quarterly as of 3/31/2024

YTD (%) 1-Month (%) 3-Month (%) 6-Month (%) Since Inception (%)
NAV 6.88 3.15 6.88 4.42 4.23
Price 6.71 3.50 6.71 4.68 5.05

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

Quarterly as of 3/31/2024

TFPN S&P 500 TR USD
Cumulative Return 4.23 19.69
Alpha -1.32 8.61
Beta 0.17 1.28
Standard Deviation 6.41 13.85
Maximum Drawdown -4.14 -9.94
Sharpe Ratio 0.01 2.53
Sortino Ratio 0.02 2.93
Information Ratio -1.38 2.60

Current Allocation (Gross Exposure)

Monthly as of 4/01/2024

Excluding Cash & Cash Equivalents

Pie chart showing current allocation among the four macro asset classes

Currencies

Commodities

Fixed Income

Equities

Cash legend color

Cash

Including Cash & Cash Equivalents

Pie chart showing current allocation among the four macro asset classes including cash

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.

Notable Holdings

Monthly as of 4/01/2024

CURRENCIES
Name Long/Short
Swedish Krona/Euro Short
Singapore Dollar/U.S. Dollar Long
Euro/Swiss Franc Long
iShares Bitcoin Trust Long
New Zealand Dollar/Australian Dollar Short
FIXED INCOME
Name Long/Short
Canadian 10-Year Bond Future Short
iShares National Muni Bond ETF Long
U.S. 10-Year Note Future Short
Vanguard Short-Term Corporate Bond ETF Long
Japan 10-Year Bond Future Long
COMMODITIES
Name Long/Short
Wheat Future Short
Gold Future Long
Soybean Future Short
Copper Future Long
Cocoa Future Long
EQUITIES
Name Long/Short
elf Beauty Inc Long
Hershey Co Short
Commercial Metals Company Long
MicroStrategy Inc Long
Hormel Foods Corp Short

Holdings are subject to change.

Daily Top 10 Holdings as of 04/19/2024

Name
Identifier
% of Net Assets
Shares
Market Value ($)
Name: Cash & Other
Identifier: Cash&Other
% of Net Assets: 22.84%
Shares: 17679793.430000
Market Value ($): 17679793.43
Name: Three-Month SARON Sep24
Identifier: SSYU4 Comdty
% of Net Assets: 14.70%
Shares: 42.000000
Market Value ($): 11382962.39
Name: Three-Month SARON Mar25
Identifier: SSYH5 Comdty
% of Net Assets: 11.57%
Shares: 33.000000
Market Value ($): 8955514.75
Name: FED FUND 30DAY Oct24
Identifier: FFV4 Comdty
% of Net Assets: -8.68%
Shares: -17.000000
Market Value ($): -6721558.52
Name: 3 MONTH SOFR FUT Sep25
Identifier: SFRU5 Comdty
% of Net Assets: -8.02%
Shares: -26.000000
Market Value ($): -6210425.00
Name: 3 MONTH SOFR FUT Sep24
Identifier: SFRU4 Comdty
% of Net Assets: -7.66%
Shares: -25.000000
Market Value ($): -5929375.00
Name: 3MO EURO EURIBOR Sep25
Identifier: ERU5 Comdty
% of Net Assets: 6.69%
Shares: 20.000000
Market Value ($): 5180451.37
Name: ICE 3MTH SONIA FU Sep24
Identifier: SFIU4 COMDTY
% of Net Assets: -4.59%
Shares: -12.000000
Market Value ($): -3549968.89
Name: US 2YR NOTE (CBT) Jun24
Identifier: TUM4 Comdty
% of Net Assets: -4.19%
Shares: -16.000000
Market Value ($): -3247375.01
Name: United States Treasury Bill 05/14/2024
Identifier: 912797JW8
% of Net Assets: 3.86%
Shares: 3000000.000000
Market Value ($): 2989010.43

Holdings are subject to change.

Documents & Materials

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If you’d like to learn more about TFPN, a next-generation liquid alternative