During June the Roubaix Fund Composite generated a net return of +3.98% relative to losses of -8.22% for the long-only Russell 2000 Total Return Index and -4.54% for our long/short equity hedge fund peer group, represented by the HFRI Equity Hedge (Total) Index. On a quarter-to-date basis, the Composite generated a net return of -2.66% compared to losses of -17.20% for the Russell and -8.30% for the HFRI. Year-to-date the Composite generated a net return of -11.97% relative to losses of -23.43% for the Russell and -12.28% for the HFRI. End of period net exposure was 40.83% compared to a 43.47% average since inception in January 2010.
The Russell 2000 Index has had its worst start to the year since its inception in 1979 and has incurred 3 of the 10 largest monthly drawdowns since the Composite’s inception in January 2010. During these 10 months of extreme downside volatility, the Composite has posted an average net loss of just -1.4% relative to the average index loss of -10.9%. Additionally, in all but one of these months the Composite posted a better return than our HFRI hedge fund peer group, whose average monthly net loss was -5.0%. While we share your frustration during short-term periods of underperformance as incurred in Q1, we also believe in the long-term success of Roubaix’s investment philosophy and process that has now proven itself over six bear markets in just our 13th year running the strategy. While past performance does not guarantee future results, Roubaix continues to deliver its mandate to investors of an equity like return over the cycle with substantially lower volatility than the market and stronger absolute returns than our hedge fund peer group.
