Data as of Nov 4, 2026.
RSST vs TFPN: Correlation to the S&P 500
Over the year to Nov 4, 2026, TFPN moved less with the S&P 500 than RSST: correlation +0.75 against +0.85.
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Net assets: $480m on Jul 31, 2026 for Return Stacked U.S. Stocks & Managed Futures ETF, and $170m on Jun 30, 2026 for Blueprint Chesapeake Multi-Asset Trend ETF.
RSST in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, RSST −1.76%.
TFPN in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, TFPN −1.32%.
Pair scorecard
RSST costs 0.14 points a year less; their one-year returns differ by 9.1 points.
| Measure | RSST | TFPN |
|---|---|---|
| Return | ||
| Total return, 1 year | +23.3% | +14.2% |
| Against its benchmark | ||
| Treasury bills, 52 weeks | +3.7% | |
| Cost and size | ||
| Expense ratio | 0.99% | 1.13% |
| Net assets, RSST as of Jul 31, 2026 and TFPN as of Jun 30, 2026 | $480m | $170m |
| Holdings | ||
| Holdings in common | not published | |
| Risk | ||
| Beta to the S&P 500 | +1.45: about 1.45% for each 1% | +1.00: about 1.00% for each 1% |
| Its average week when the S&P 500 fell | fell 1.76% | fell 1.32% |
How much it diversifies a stock portfolio, ranked against 17 systematic trend alternatives ETFs with a full year. 100 is best. How it is computed
One year of weekly moves against the S&P 500, within one strategy; it ignores what the fund returned. All alternatives ETFs ranked by it →
Risk and return
Sep 15, 2023 to Oct 30, 2026 · 163 weekly returns · each against VOOFrom Sep 2023 to Oct 2026, RSST returned more: +72.6% to +20.4%. TFPN swung less: 10.9% to 21.3%. TFPN fell less at its worst: −15.4% to −26.8%.
Full scorecard
19 measures, with how each is measured Open ↓
| Measure | RSST | TFPN | VOO | Edge | How it is measured |
|---|---|---|---|---|---|
| Return | |||||
| Total return | +72.6% | +20.4% | RSST | Price change plus distributions, reinvested. | |
| Annualized | +19.0% | +6.1% | RSST | Total return as a yearly rate. | |
| Price return | +69.0% | +18.1% | RSST | Price change alone, distributions left out. | |
| Risk | |||||
| Volatility | 21.3% | 10.9% | TFPN | Spread of weekly returns, annualized. Lower is steadier. | |
| Downside deviation | 15.4% | 8.0% | TFPN | Like volatility, counting only weeks below the Treasury bill rate. | |
| Max drawdown | −26.8% | −15.4% | TFPN | Deepest fall from a high to the low after it. | |
| Upside capture | 134.3% | 30.7% | 100.0% | RSST | Share of its benchmark's rise caught in the weeks it rose. |
| Downside capture | 122.2% | 53.8% | 100.0% | TFPN | Share of its benchmark's fall taken in the weeks it fell. Lower is better. |
| Beta | 1.30 | 0.38 | 1.00 | TFPN lower | How far it moves for each 1% its benchmark moves. |
| R squared | 0.74 | 0.24 | 1.00 | Not an edge | Share of its weekly moves its benchmark explains. |
| Risk-adjusted | |||||
| Sharpe | 0.72 | 0.19 | RSST | Return above Treasury bills per unit of volatility. | |
| Sortino | 0.99 | 0.25 | RSST | Return above Treasury bills per unit of downside deviation. | |
| Treynor | 0.118 | 0.053 | 0.148 | RSST | Return above Treasury bills per unit of beta. |
| Calmar | 0.71 | 0.40 | RSST | Annualized return divided by the max drawdown. | |
| Against the benchmark | |||||
| Benchmark | VOO | VOO | VOO | The ETF each fund is measured against. | |
| Alpha | −4.0% a year | −3.6% a year | 0.0% | Not significant | Yearly return beyond what its beta to the benchmark predicts. |
| Alpha t-stat | −0.64 | −0.66 | Not an edge | How sure the alpha is. Below 2, it could be chance. | |
| Alpha range | −16.2% to +8.3% | −14.3% to +7.1% | Both include zero | The 95% range for the yearly alpha. | |
| Information ratio | 0.04 | −0.99 | RSST | Return against its benchmark per unit of tracking error. | |
| Tracking error | 11.6% | 12.9% | 0.0% | Not an edge | How far weekly returns stray from the benchmark, annualized. |
Computed by ETFIQ from Tiingo daily prices and ETFIQ's distribution records, 163 weekly returns. Cash rate: the 13-week Treasury bill.
Window by window
| Total return | vs its benchmark | |||
|---|---|---|---|---|
| Window | RSST | TFPN | RSST | TFPN |
| 3 months | +0.9% | −3.4% | +1.0 pts vs VOO | −3.3 pts vs VOO |
| 6 months | +3.0% | −8.5% | −2.0 pts vs VOO | −13.5 pts vs VOO |
| 1 year | +23.3% | +14.2% | +8.5 pts vs VOO | −0.6 pts vs VOO |
| 3 years | +80.1% | +18.6% | −3.2 pts vs VOO | −64.7 pts vs VOO |
| Since launchNot the same days: RSST Sep 2023 · TFPN Jul 2023 | +71.0% | +17.8% | −8.2 pts vs VOO | −61.6 pts vs VOO |
Side by side
As of Nov 4, 2026. Source: ETFIQ.
One strategy, two funds
RSST and TFPN both run a managed futures strategy. Over the same 52 weeks to Nov 4, 2026, RSST’s weekly returns had a correlation of +0.85 with the S&P 500 and TFPN’s +0.75. In the 26 weeks the index fell, by 1.07% a week on average, RSST averaged −1.76% and TFPN −1.32%. Over the same weeks, RSST finished 18.9 percentage points ahead of cash and TFPN finished 10.8 points ahead of cash.
Client brief:
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RSST
RSST is a managed futures fund. ETFIQ measures what every alternatives fund is sold on: whether it moves differently from the stock market. Over the year to Nov 4, 2026, its weekly returns had a correlation of +0.85 with the S&P 500’s and a beta of +1.45, so for each 1% the index moved it moved about 1.45% the same way. The S&P 500 fell in 26 of those 52 weeks, by 1.07% on average. In the same weeks RSST fell 1.76% on average, a down-week capture of 164.8%. Over the same 52 weeks RSST returned +22.5% and a Treasury bill fund +3.7%, so it finished 18.9 percentage points ahead of cash.
TFPN
TFPN is a managed futures fund. Over the year to Nov 4, 2026, its weekly returns had a correlation of +0.75 with the S&P 500’s and a beta of +1.00, so for each 1% the index moved it moved about 1.00% the same way. In the same weeks TFPN fell 1.32% on average, a down-week capture of 123.6%. Over the same 52 weeks TFPN returned +14.4% and a Treasury bill fund +3.7%, so it finished 10.8 percentage points ahead of cash.
Questions people ask
- Which moved less with the S&P 500, RSST or TFPN?
- Over the 52 weeks to Nov 4, 2026, RSST’s weekly returns had a correlation of +0.85 with the S&P 500 and TFPN’s +0.75, so TFPN moved less with the index.
- Which did better when the S&P 500 fell, RSST or TFPN?
- In the 26 weeks the S&P 500 fell, by 1.07% a week on average, RSST averaged −1.76% and TFPN −1.32%, so TFPN returned more in those weeks.
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How this is computed
It is a place in a set, not a rating or a recommendation.
Every number is an ETFIQ calculation with distributions reinvested.
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ETFIQ, RSST against TFPN, data as of Nov 4, 2026. https://etfiq.com/compare/alternatives/rsst-vs-tfpn
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[RSST against TFPN (ETFIQ, Nov 4, 2026)](https://etfiq.com/compare/alternatives/rsst-vs-tfpn)
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