During July, the Roubaix Fund Composite generated a net return of +5.84% relative to a total return of +10.44% for the Russell 2000 Index and +2.89% for the HFRI Equity Hedge (Total) Index. On a year-to-date basis, the Composite generated a net return of -6.83% relative to losses of -15.43% for the Russell 2000 TR Index and -9.20% for the HFRI Equity Hedge (Total) Index. End of period net exposure was 40.48% compared to a 43.45% average since inception in January 2010.
Following significant outperformance in June when the Composite generated a net return of +3.98% relative to a large loss for the Russell 2000 Index of -8.22%, the Composite once again delivered significant alpha in July amidst a mirror image rebound in stocks despite little change to gross or net exposure levels. We believe this sequential outperformance in one of the worst and best months for our underlying long-only benchmark, respectively, showcases the structural advantages of Roubaix’s fundamental investment philosophy and process. Our peer leading Sharpe ratio points to our ability to deliver an equity market return with substantially lower volatility over an investment cycle, while our peer leading Sortino ratio points to our capacity to consistently preserve capital in volatile markets.
