RPD Fortress Fund’s commentary for the month ended June 30, 2026.
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RPD Fortress Fund returned 0.48% net in June, a positive result during a month characterized by pronounced narrative and factor swings across equity markets. Despite a slight pullback in the S&P 500 late in the month, both major indices closed near record highs, with the Nasdaq 100 posting one of its strongest quarterly gains in several years. The quarter’s strength was driven primarily by a powerful rally across memory and semicaps as continued enthusiasm around AI-related capital spending countered against ongoing concerns around inflation, the trajectory of Federal Reserve rate decisions, and hyperscaler free cash flow conversion due to the AI build out. A preliminary framework for ending the U.S.-Iran conflict also supported sentiment during the month.
The estimated performance figures net of fees as of June 30, 2026
| Month | Year to Date | Inception to Date* | |
|---|---|---|---|
| RPD Fortress Fund | 0.48% | -5.49% | 25.32% |
| BarclayHedge Equity Market Neutral Index** | 1.27% | 3.25% | 32.69% |
| Bloomberg US Aggregate TR | 0.31% | 0.58% | 11.88% |
Performance Statistics
| Annualized Net Return | Volatility | Sharpe | Positive Months |
|---|---|---|---|
| 6.83% | 3.05% | 0.97 | 88% |
*Inception date – February 1, 2023
**Based off reporting by 34 funds as of July 9, 2026
The Fund’s positive result was driven primarily by our long exposure, which contributed meaningfully during the month, while our short exposure detracted modestly as the sharp rally in select names moved certain positions closer to our strike levels. SPY hedges were additive and continued to serve their intended role within our broader risk framework, providing a stabilizing offset during periods of intra-month volatility. The core cash secured option-writing engine continued to generate premium income as designed, with the majority of positions expiring out-of-the-money and premiums captured in full.
Notably, we implemented a meaningful change to the strategy during the month to further limit volatility exposure. Based on our experience through the first half of 2026, we have eliminated the discretion to take equity ownership on the long side of the portfolio or the discretion to allow cash-secured put options to move in-the-money. This discretion had historically been used sparingly and only in situations of very high fundamental conviction; however, it was the primary source of downside and unnecessary volatility during first part of the year. Going forward, the strategy will operate on a fully cash secured options-only underwriting basis, with every position remaining out-of-the-money at all times. We expect this refinement to reduce Fund volatility materially, returning the risk profile closer to the consistency observed during the first three years of the strategy rather than the more elevated volatility experienced through the first half of 2026. This will better allow the strategy to maintain its delta adjusted market neutral structure (0-15% net long) and capture fundamental returns via cash secured options underwriting while limiting individual stock or factors to dictate month to month performance.
Given the strength of the year-to-date market rally and elevated valuations across much of the equity landscape, we remain lightly invested and disciplined on both the put and call selling sides. Our average notional exposure during the month was 19% long and 8% short, resulting in net notional exposure of 11%. On a delta-adjusted basis, exposure averaged 5% long and 5% short, resulting in net delta-adjusted exposure of 0.5%. Gross exposure remained fully cash-secured, and the portfolio continued to operate without leverage, even on a notional basis. The Fund is currently diversified across several industries, with the most meaningful exposure concentrated across Software, Professional Services, Consumer Discretionary, and Semiconductors.
Looking ahead, we are cautious on the current environment. Narrow market leadership, stretched valuations, and subdued index volatility create a backdrop where the risk-reward for aggressive premium capture is less favorable than in prior periods. As such, we expect to remain lightly invested and highly selective in the months ahead, with a continued focus on capital preservation. With the structural change regarding outright stock ownership now in place, we remain focused on disciplined execution and delivering the consistent, risk-adjusted returns that have defined Fortress since inception.
If you have any questions or would like additional information, please contact Investor Relations at [email protected]
Best regards,
RPD Fund Management LLC
(212) 201-2650
