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B BOOTHBAY
FUND MANAGEMENT, LLC

February 16, 2017

In the fourth quarter of 2016, Boothbay Absolute Return Strategies, LP (the “Fund”) earned a net return of approximately +0.04%.1,2

October November December 2016 ITD Sharpe ITD* Sortino ITD*
Boothbay Absolute Return Strategies, L.P -0.14% -0.05% 0.23% 3.84% 16.09% 2.25 6.37
S&P 500 -1.94% 3.42% 1.82% 9.54% 14.21% 0.51 0.93
HFRX : Equity Market Neutral -0.13% -0.04% -1.07% -5.08% 2.51% 0.23 0.48
HFRX : Absolute Return -0.39% -0.16% 0.20% 0.31% 2.13% 0.36 0.98
HFRX : Global Hedge Fund -0.57% 0.87% 0.86% 2.50% -3.50% -0.42 -0.43

* For Sharpe/Sortino Ratio calculations, 1-Month LIBOR is set as the risk free rate.

Since the Fund opened on July 1, 2014, it has returned 16.10%.1,2 In that period, the Fund’s largest month-to-month drawdown has been -1.4%, versus -8.9% for the S&P 500, -1.5% for the HFRX Absolute Return Index, -8.9% for the HFRX Global Hedge Fund Index and -5.3% for the HFRX Market Neutral Index.

Performance and Commentary

We ended 2016 with a slightly positive quarter, bringing net performance for the year to +3.84%. Consistent with the trend seen earlier in the year, 2016 has been described by investors and financial media as among the worst years for multi-manager multi-strategy firms, on both an absolute and risk-adjusted return basis. While we consider earning +3.84% to be disappointing for our strategy on an absolute return basis, doing so with a maximum drawdown of 1.4%, and in what was a challenging environment for low-net exposure relative value strategies, leaves us viewing 2016 as a “good” bad year.

For a second consecutive year, the Fund generated positive net returns overall on the days when the S&P 500 Index was negative. The S&P had 121 losing days in 2016 (producing losses of over -66% in total)3 and on those days, we were positive approximately 55% of the time, and generated almost half of our total net returns for the year. Given that we aim to be a protector of capital in markets that most managers will lose capital, this sampling is especially gratifying. As we look forward, we remain as encouraged as ever that our combination of unique “niche” strategies and strategies with structural edge, alongside our allocations to low-beta alpha-generating stock pickers and quantitative portfolio managers, will deliver strong risk-adjusted returns over various market cycles.

Before going into the performance attribution for Q4 and 2016 overall, we want to re-visit a topic discussed in our Q1 2016 letter related to hedge fund crowding, which investors have continued to ask us about the past several months. The question raised is typically some variation of the following: Given that Boothbay allocates to low-net equity focused managers, who may have similar strategies to those that comprise other multi-manager platforms, why has Boothbay been less-exposed to deleveraging and hedge fund crowding

1 Assumes Boothbay Absolute Return Strategies, LP, Onshore Accelerator Share Class 1A (2-year lock and 14% incentive allocation).
2 Performance figures reported herein are shown unaudited, net of fees/allocations and expenses; include the reinvestment of dividends, capital gains, and other earnings; and may be subject to adjustment.
3 S&P 500 negative-return analysis calculated using Bloomberg closing prices for SPX Index.

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