RPD Fortress Fund’s commentary for the month ended May 31, 2026.
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The estimated performance figures net of fees as of May 31, 2026
| Month | Year to Date | Inception to Date* | |
|---|---|---|---|
| RPD Fortress Fund | -1.85% | -5.96% | 24.70% |
| BarclayHedge Equity Market Neutral Index** | 0.33% | 1.59% | 30.58% |
| Bloomberg US Aggregate TR | 0.20% | 0.27% | 11.54% |
Performance Statistics
| Annualized Net Return | Volatility | Sharpe | Positive Months |
|---|---|---|---|
| 7.03% | 3.09% | 0.96 | 88% |
*Inception date – February 1, 2023
**Based off reporting by 25 funds as of June 5, 2026
RPD Fortress Fund declined approximately 1.85% net in May. The month’s loss was driven almost entirely by a single outright equity position, ZoomInfo (GTM), which triggered our stop-loss policy following its first quarter report. The core option writing strategy performed as designed, with cash-secured put selling contributing positively. Our SPY index hedge detracted as equity markets continued their sharp ascent, while call selling was modestly negative. Apart from the GTM stop-loss detraction, the remainder of the portfolio behaved consistent with the strategy’s objectives.
May extended U.S. equity indices’ powerful rally that began in April. Easing geopolitical tensions, supported by progress toward a ceasefire in the U.S.-Iran conflict, combined with continued enthusiasm around artificial intelligence, drove broad-based gains and pushed major indices to all-time highs, with SPY gaining 5% and the Nasdaq gaining 9.5%. Leadership remained concentrated in semiconductors and the broader AI infrastructure complex, while much of the rest of the market participated to a lesser degree. The rally persisted despite firmer inflation data, underscoring that investor focus remained squarely on the AI growth narrative rather than near-term macro concerns or valuation. Against this backdrop, our SPY hedge, which is designed to contain portfolio-level moves and protect capital during market drawdowns, detracted as markets surged — a natural cost of maintaining a disciplined net exposure framework during a strong directional move higher that is driven by narrow breadth.
The defining event of the month was our position in ZoomInfo (GTM), an outright long that resulted from a prior option assignment. ZoomInfo reported its first quarter results in mid-May, and the quarter itself came in line with our expectations and ahead of Street estimates. However, the company adjusted its annual revenue outlook lower to bake in room for a modification to its pricing model which the market viewed as defensive to better compete in an increasingly AI-centric world. While we had viewed a transition of this nature as a risk, we did not anticipate that it would lead management to kitchen sink their full-year guidance rather than gradually make these adjustments throughout customer renewal cycles. The stock declined sharply on the news, triggering an individual stop-loss and necessitating an exit from the position, which accounted for essentially the entirety of the Fund’s loss for the month. Following this extremely disappointing reaction for shares, Fortress adhered to its risk parameters of predefined stop-loss. This parameter exists in attempt to limit any further damage from an adverse, company-specific development rather than allowing a single position to inflict outsized harm on the portfolio.
Importantly, the Fund’s core option-writing engine continued to generate premium income as designed. Cash-secured put selling was the largest positive contributor, with Bill Holdings (BILL), Atlassian (TEAM), Forrester Research (FORR), Appian (APPN), Abercrombie (ANF) among the more notable names, as disciplined strike selection allowed these positions to expire out-of-the-money with premiums captured.
Cash-secured call selling was modestly negative, as the second straight month of outsized semiconductor move driven rally compressed the opportunity set and pressured a small number of short-dated call positions. As is typical for the strategy, the result reflected diversified premium capture across many names rather than reliance on any single outsized contributor.
Given the environment of record-high indices driven by returns in the momentum factor alongside further stretched valuations, we remain lightly invested and conservatively positioned. We continue to prioritize valuation discipline over activity, preserving flexibility to deploy capital as volatility resurfaces or individual dislocations emerge. We have also reduced single stock outright exposure and believe the steady stream of cash-secured option selling will allow us to be nimble and collect uncorrelated returns as intended by Fortress’s strategy.
Average notional exposure of 41% long and 18% short, resulting in net notional exposure of 23%; on a delta-adjusted basis, 19% long and 14% short, for net delta-adjusted exposure of 5%. Gross exposure remained fully cash-secured, and the portfolio continued to operate without leverage, even on a notional basis.
Reflecting on periods such of this reinforce the value of maintaining a disciplined approach. When a single adverse development occurs, we contained detraction following our strict risk framework, while the underlying premium-capture strategy continued to function as designed. We remain focused on capital preservation, strict valuation discipline, and repeatable premium capture, and we believe the portfolio is well-positioned to navigate an environment of elevated valuations and continued macro uncertainty.
If you have any questions or would like additional information, please contact Investor Relations at [email protected]
Best regards,
RPD Fund Management LLC
