September 2023 Blueprint Chesapeake Multi-Asset Trend ETF

September 19, 2023

Portfolio Exposure At A Glance

September 2023 net exposures for currencies, commodities, fixed income, and equities in the Blueprint Chesapeake Multi-Asset Trend ETF

Top 5 Holdings By Macro Asset Class

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

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

Currencies

August Overview

The largest short positions are continuing to capitalize on the weakness of the Euro against stronger currencies like the British Pound and the Swiss Franc. Compared to last month, there is a slight decrease in the concentration of long positions in the U.S. Dollar; however, it remains high within the currency segment. Swiss Franc pairs maintain significant exposure in the portfolio as well, most notably the British Pound against the Swiss Franc, and in the Swiss Franc against the Japanese Yen.

Portfolio Drivers

Hawkish economic data and discussions about interest rate hikes in the U.S. have continued to bolster the U.S. dollar against foreign currencies such as the Chinese Yuan. Meanwhile, upward revisions to the UK’s GDP have provided a boost to the British Pound, reinforcing the uptrends that have been in place since its October 2022 low.

Commodities

August Overview

The top five holdings have seen little change since August, and the portfolio continues to maintain net long exposure as we enter September. Cattle futures remain the largest positions, followed by cocoa and sugar. Orange juice futures nearly joined the top 5, building on a 16% return in July with a gain of just under 4% in the September 2023 contract.

Portfolio Drivers

Except for a few commodities like wheat, the sustained strength in the global consumer market has generally supported higher commodity prices over the past month. While one might expect higher interest rates to affect these assets, that has not been the case so far. In the U.S., emerging signs of a slowing employment rate, as well as rising credit usage, may impact commodity prices in the near future. For now, the strategy maintains its net long exposure in the sector.

Fixed Income

August Overview

As indicated in the exposure chart above, the ETF's most substantial sector exposure continues to be short fixed income, globally. This trend spans a variety of instruments both domestically and internationally. Bond markets are arguably the most entrenched in downtrends across all asset categories. The latest economic reports advocating for higher and longer interest rates only add further pressure to bond prices.

Portfolio Drivers

If one were to summarize the dominant themes in global financial markets during the past couple of years, inflation and central banks’ countermeasures via interest rate hikes would likely top the list. While trends in currencies, commodities, and equities have contributed to the portfolio, fixed income stands out for its consistent direction over the entire period, making it the de facto headline trend for 2022 and 2023.

In a more traditional portfolio of stocks and bonds, expressing this kind of position is challenging. This is where we believe TFPN’s real strength lies. The lack of constraints to pursue what we believe are the best trades is what sets the ETF apart and makes it so valuable when used in traditional portfolios. The lack of constraints on the ETF’s portfolio and the ability to pursue trades across as 500 securities and financial instruments, in our view, makes TFPN a critical addition to traditional portfolios. The current positions and trends in fixed income are good illustrations of this.

Equities

August Overview

Net long exposure contracted over the past month, with stocks experiencing a modest pullback in August, leading to an increase in short exposure throughout the month. Long positions continue to be diversified across a range of small- and mid-cap stocks, while short positions are mainly focused on value-oriented names.

Portfolio Drivers

The gap between growth and value stocks widened in August, resuming a trend that had paused for about two months. Both segments experienced declines, but growth stock indexes generally outperformed, extending their lead for the year 2023. Although the S&P 500 Index has been performing above average — thanks largely to a few key stocks — it is worth noting that value- and dividend-oriented equity indexes are flat to negative for the year.

This landscape serves as a compelling case for the benefits of a trend-based strategy, which can systematically exploit both long and short opportunities. In typical market conditions, such trends can persist for extended periods, enabling the ETF to profit from diverging trends. However, during times of market volatility caused by an outlier event, correlations often converge, meaning all stocks may decline simultaneously. While this poses a risk to long positions, having concurrent short positions can mitigate some, if not all, of the potential downside within the sector.

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