December 2021 – AGF

Fortem Capital Alternative Growth Fund

UK & EU – For professional and institutional investors only
Switzerland – this is an advertising document for professional and institutional clients as defined by the Swiss Financial Services Act only

Monthly Commentary – 31st December 2021

December was a very strong month for risk assets largely as a result of data emanating
from South Africa, and later the UK, suggesting that Omicron carried a significantly lower
risk of serious illness than previous variants. In spite of the positive data, the policy
reaction in a number of countries meant that there were still headwinds for many service
businesses to contend with, an all too familiar tale. Growth projections were revised
down heavily whilst inflation concerns remained, flattening the yield curve once again as
more rate hikes were priced into the front end of the curve as longer term inflation
expectations came down at longer maturities.

Inflation remains the key concern for policymakers and investors alike. In December, the
YoY inflation rate in the US hit 7.0% whilst the continued issues with Russian pipelines
deepened Europe’s energy crisis, adding to its own inflation woes.

The Fund returned -0.45% over the month.

The major drivers were the long rates volatility strategies, which suffered as volatility
collapsed due to investors flocking into treasuries after the Omicron variant came to light.
Rates volatility sits at historically low levels, which makes sense given that there has been
a guaranteed buyer in the market for over a decade. However, if central banks are true to
their word and quantitative tightening is on the horizon, the guaranteed buyer will
disappear at the same time as huge infrastructure spending requires financing through
further Treasury issuance.

The Fund’s more defensive strategies were also a drag during the month.

2021 was another stellar year for risk assets; the MSCI World Index returned a net 21.8%,
and has annualised at 20% over the past two years, in spite of a global pandemic.

The Fund returned -0.9% over the year, and is up 1.1% over the past two years.

It is looking possible that the Omicron variant may bring about an end to the pandemic in
its restrictive sense; its sheer infectiousness means that it is crowding out other more
dangerous variants. Countries such as Australia, New Zealand and China which, likely to
their overall detriment, have managed to largely keep omicron out, must decide when, not
if, they accept the inevitable. The world is going to get omicron, it is unavoidable.

Whilst clearly good news from a human standpoint, what it would mean for markets is
much more uncertain; the incredible rise in both bonds and equities seen since the
pandemic has, without question, been driven largely by the incredible support offered by
central banks around the world. One should remember that, immediately before the
pandemic, central banks had begun to tighten, or to normalise policy, having already been
incredibly accommodative in the post-GFC era.

If Omicron truly does signify the end of a restrictive pandemic that requires support,
there is much more to unwind now than there was then, and much further for parts of the
market to potentially fall.

Central banks have managed to keep the show on the road remarkably well, largely down
to the ability to keep rates floored and liquidity high. This is why inflation is the key issue;
if secular inflation removes the central banks’ ability to keep the current liquidity cycle in
perpetual motion then investors should prepare for extreme volatility.

The pandemic has been incredibly good for risk assets, it must stand to reason that there is at least a chance that its end may not be.

Total Return 2021 Dec
UK 100 18.4% 4.8%
US 500 28.2% 4.5%
Europe 50 23.3% 5.8%
Japan 225 6.3% 3.6%
Hong Kong 50 -11.9% -0.3%
US 2000 14.8% 2.2%
Swiss 30 23.7% 5.9%
BCOM 27.1% 3.5%
US Treasury -1.5% -0.3%
FTSE EPRA 28.3% 3.8%
PGF 7.7% 2.0%
AGF -0.9% -0.5%
Real Estate 24.1% 3.3%
US Equity Income n/a 4.5%


Disclaimer

– This document has been issued and approved as a financial promotion by Fortem Capital Limited for the purpose of section 21 of the Financial Services and Markets Acts 2000. Fortem Capital Limited registration number 10042702 is authorised and regulated by the Financial Conduct Authority under firm reference number 755370.
– This document is intended for Professional Investors, Institutional Clients and Advisors and should not be communicated to any other person.
– The information has been prepared solely for information purposes only and is not an offer or solicitation of an offer to buy or sell the product.
– Data is sourced from Fortem Capital Limited and external sources. The data is as at the date of this document and has been reviewed by Fortem Capital Limited.
– Information, including prices, analytical data and opinions contained within this document are believed to be correct, accurate and derived from reliable sources as at the date of the document. However, no representation or warranty, expressed or implied is made as to the correctness, accuracy or validity of such information.
– Fortem Capital Limited assumes

no responsibility or
liability for any errors, omissions or inaccuracy with respect to the information contained within this document.
– All price and analytical data included in this document is
intended for indicative purposes only and is as at the date
of the document.
– The information within this document does not take into account the specific investment objective or financial situation of any person. Investors should refer to the final documentation and any prospectus to ascertain all of the risks and terms associated with these securities and seek independent advice, where necessary, before making any decision to buy or sell.
– The product may not be offered, sold, transferred or delivered directly or indirectly in the United States to, or for the account or benefit of, any U.S. Person.
– The Fortem Capital Alternative Growth Fund is a Sub-Fund of Skyline, an open-ended investment company with variable capital incorporated on 1 June 2010 with limited liability under the laws of Ireland with segregated liability between Funds. The Company is authorised in Ireland by the Central Bank of Ireland pursuant to the UCITS Regulations.

“NOTICE TO INVESTORS DOMICILED OR RESIDENT IN SWITZERLAND – The interests in the UCITS Fund and any related services, information and opinions described or referenced in this document are not, and may not be, offered or marketed to or directed at persons in Switzerland (a) that do not meet the definition of “qualified investor" pursuant to the Swiss Federal Act on Collective Investment Schemes of 23 June 2006 (“CISA") (“Non-Qualified Investors"), or (b) that are high net worth individuals (including private investment structures established for such high-net worth individuals if they do not have professional treasury operations) that have opted out of customer protection under the Swiss Federal Financial Services Act of 15 June 2018 (“FinSA") and that have elected to be treated as “professional clients" and “qualified investors" under the FinSA and the CISA, respectively (“Elective Qualified Investors").
In particular, none of the information provided in this document should be construed as an offer in Switzerland

for the purchase or sale of the interests or any related services, nor as advertising in Switzerland for the interests or any related services, to or directed at Non-Qualified Investors or Elective Qualified Investors. Circulating or otherwise providing access to this document or offering, advertising or selling the interests or any related services to Non-Qualified Investors or Elective Qualified Investors may trigger, in particular, approval requirements and other regulatory requirements in Switzerland.
This document does not constitute a prospectus pursuant to Articles 35 et seqq. FinSA and may not fulfil the information standards established thereunder. No key information document pursuant to Swiss law has been established for the interests. The interests will not be listed or admitted to trading on a Swiss trading venue and, consequently, the information presented in this document may not fulfil the information standards set out in the relevant trading venue rules."

Dec 21

Fortem Capital Progressive Growth Fund

UK & EU – For professional and institutional investors only
Switzerland – this is an advertising document for professional and institutional clients as defined by the Swiss Financial Services Act only

Monthly Commentary – 31st December 2021

December saw a strong rally in risk assets as data from South Africa and later the UK
suggested a much lower risk of severe illness from Omicron than previous variants.
However, the policy reaction in a number of countries caused much of the momentum
that had built up in services to be lost. The equity indices to which the Fund is exposed
produced strong returns with the exception of the Hang Seng, which continues to suffer
its own idiosyncratic issues.

The Fund posted a return of 2.0% over the month, and returned 7.7% to investors over
the year, above its 6-7% longer term target.

Six investments called in December, all achieving their full capital return. The Fund was
able to take advantage of an improvement in pricing at the start of the month due to
elevated levels of volatility, which quickly came back down as virus data improved.

The Diversifier Portfolio was flat over the month.

It is looking possible that the Omicron variant could bring an end to the pandemic in its
restrictive sense; its sheer infectiousness means that it is crowding out more dangerous
variants. Whether this is good for risk assets is up for debate. In a world in which central
banks are less accommodative, markets will rely on fundamentals. It is fair to say that
equities may fail to continue to annualise in double digits, which should mean that the
Fund, which has a GRY of over 7%, and can produce meaningful positive returns if
equities are flat, up, or even fairly significantly down, will become an ever more useful
component of any multi-asset portfolio.

Total Return 2021 Dec
UK 100 18.4% 4.8%
US 500 28.2% 4.5%
Europe 50 23.3% 5.8%
Japan 225 6.3% 3.6%
Hong Kong 50 -11.9% -0.3%
US 2000 14.8% 2.2%
Swiss 30 23.7% 5.9%
BCOM 27.1% 3.5%
US Treasury -1.5% -0.3%
FTSE EPRA 28.3% 3.8%
PGF 7.7% 2.0%
AGF -0.9% -0.5%
Real Estate 24.1% 3.3%
US Equity Income n/a 4.5%


Disclaimer

– This document has been issued and approved as a financial promotion by Fortem Capital Limited for the purpose of section 21 of the Financial Services and Markets Acts 2000. Fortem Capital Limited registration number 10042702 is authorised and regulated by the Financial Conduct Authority under firm reference number 755370.
– This document is intended for Professional Investors, Institutional Clients and Advisors and should not be communicated to any other person.
– The information has been prepared solely for information purposes only and is not an offer or solicitation of an offer to buy or sell the product.
– Data is sourced from Fortem Capital Limited and external sources. The data is as at the date of this document and has been reviewed by Fortem Capital Limited.
– Information, including prices, analytical data and opinions contained within this document are believed to be correct, accurate and derived from reliable sources as at the date of the document. However, no representation or warranty, expressed or implied is made as to the correctness, accuracy or validity of such information.
– Fortem Capital Limited assumes

no responsibility or
liability for any errors, omissions or inaccuracy with respect to the information contained within this document.
– All price and analytical data included in this document is
intended for indicative purposes only and is as at the date
of the document.
– The information within this document does not take into account the specific investment objective or financial situation of any person. Investors should refer to the final documentation and any prospectus to ascertain all of the risks and terms associated with these securities and seek independent advice, where necessary, before making any decision to buy or sell.
– The product may not be offered, sold, transferred or delivered directly or indirectly in the United States to, or for the account or benefit of, any U.S. Person.
– The Fortem Capital Progressive Growth Fund is a Sub-Fund of Skyline, an open-ended investment company with variable capital incorporated on 1 June 2010 with limited liability under the laws of Ireland with segregated liability between Funds. The Company is authorised in Ireland by the Central Bank of Ireland pursuant to the UCITS Regulations.

“NOTICE TO INVESTORS DOMICILED OR RESIDENT IN SWITZERLAND – The interests in the UCITS Fund and any related services, information and opinions described or referenced in this document are not, and may not be, offered or marketed to or directed at persons in Switzerland (a) that do not meet the definition of “qualified investor" pursuant to the Swiss Federal Act on Collective Investment Schemes of 23 June 2006 (“CISA") (“Non-Qualified Investors"), or (b) that are high net worth individuals (including private investment structures established for such high-net worth individuals if they do not have professional treasury operations) that have opted out of customer protection under the Swiss Federal Financial Services Act of 15 June 2018 (“FinSA") and that have elected to be treated as “professional clients" and “qualified investors" under the FinSA and the CISA, respectively (“Elective Qualified Investors").
In particular, none of the information provided in this document should be construed as an offer in Switzerland

for the purchase or sale of the interests or any related services, nor as advertising in Switzerland for the interests or any related services, to or directed at Non-Qualified Investors or Elective Qualified Investors. Circulating or otherwise providing access to this document or offering, advertising or selling the interests or any related services to Non-Qualified Investors or Elective Qualified Investors may trigger, in particular, approval requirements and other regulatory requirements in Switzerland.
This document does not constitute a prospectus pursuant to Articles 35 et seqq. FinSA and may not fulfil the information standards established thereunder. No key information document pursuant to Swiss law has been established for the interests. The interests will not be listed or admitted to trading on a Swiss trading venue and, consequently, the information presented in this document may not fulfil the information standards set out in the relevant trading venue rules."

Nov 2021

Fortem Capital Progressive Growth Fund

UK & EU – For professional and institutional investors only
Switzerland – this is an advertising document for professional and institutional clients as defined by the Swiss Financial Services Act only

Monthly Commentary – 30th November 2021

After a number of months during which COVID news flow was muted, much to the benefit of risk assets, November was dominated first by increased infections in Europe, before news of the emergence of a new variant of concern; Omicron. Equity markets sold off heavily into month end, particularly in Europe, where the COVID news flow had already turned negative.

The Fund posted a return of -1.7% over the month.

Three investments called in November, all achieving their full capital return. They were replaced by a combination of new investments as well as some upsizing of existing investments to take advantage of the spike in volatility seen towards the end of the month.

The Diversifier Portfolio increased by 1.9%, adding 0.3% at the Fund level. The portfolio is designed to provide some buffer to the Core Portfolio when volatility spikes, and has done exactly that in December 18, March 20 and now November 21.

Investors are beginning to look at asset allocations, possibly for the first time, through a lens that is not purely tinted with a benign inflation environment, punctuated by deflationary crises. In a more uncertain future, in which growth forecasts have been revised down since the start of the year, the positive returns the Fund affords in subdued and falling equity markets is likely to see it used more and more as a diversifier, especially if fixed income’s assumed correlation in a wobble breaks down further. 

Total Return 2021 Nov
UK 100 13.0% -2.2%
US 500 22.7% -0.7%
Europe 50 16.6% -4.3%
Japan 225 2.6% -3.7%
Hong Kong 50 -11.7% -7.4%
US 2000 12.3% -4.2%
Swiss 30 16.9% 0.4%
BCOM 22.7% -7.3%
US Treasury -1.3% 0.3%
FTSE EPRA 23.6% 3.2%
PGF 5.6% -1.7%
AGF -0.5% 0.9%
Real Estate 20.1% 0.9%
US Equity Income n/a -0.8%


Disclaimer

– This document has been issued and approved as a financial promotion by Fortem Capital Limited for the purpose of section 21 of the Financial Services and Markets Acts 2000. Fortem Capital Limited registration number 10042702 is authorised and regulated by the Financial Conduct Authority under firm reference number 755370.
– This document is intended for Professional Investors, Institutional Clients and Advisors and should not be communicated to any other person.
– The information has been prepared solely for information purposes only and is not an offer or solicitation of an offer to buy or sell the product.
– Data is sourced from Fortem Capital Limited and external sources. The data is as at the date of this document and has been reviewed by Fortem Capital Limited.
– Information, including prices, analytical data and opinions contained within this document are believed to be correct, accurate and derived from reliable sources as at the date of the document. However, no representation or warranty, expressed or implied is made as to the correctness, accuracy or validity of such information.
– Fortem Capital Limited assumes

no responsibility or
liability for any errors, omissions or inaccuracy with respect to the information contained within this document.
– All price and analytical data included in this document is
intended for indicative purposes only and is as at the date
of the document.
– The information within this document does not take into account the specific investment objective or financial situation of any person. Investors should refer to the final documentation and any prospectus to ascertain all of the risks and terms associated with these securities and seek independent advice, where necessary, before making any decision to buy or sell.
– The product may not be offered, sold, transferred or delivered directly or indirectly in the United States to, or for the account or benefit of, any U.S. Person.
– The Fortem Capital Progressive Growth Fund is a Sub-Fund of Skyline, an open-ended investment company with variable capital incorporated on 1 June 2010 with limited liability under the laws of Ireland with segregated liability between Funds. The Company is authorised in Ireland by the Central Bank of Ireland pursuant to the UCITS Regulations.

“NOTICE TO INVESTORS DOMICILED OR RESIDENT IN SWITZERLAND – The interests in the UCITS Fund and any related services, information and opinions described or referenced in this document are not, and may not be, offered or marketed to or directed at persons in Switzerland (a) that do not meet the definition of “qualified investor" pursuant to the Swiss Federal Act on Collective Investment Schemes of 23 June 2006 (“CISA") (“Non-Qualified Investors"), or (b) that are high net worth individuals (including private investment structures established for such high-net worth individuals if they do not have professional treasury operations) that have opted out of customer protection under the Swiss Federal Financial Services Act of 15 June 2018 (“FinSA") and that have elected to be treated as “professional clients" and “qualified investors" under the FinSA and the CISA, respectively (“Elective Qualified Investors").
In particular, none of the information provided in this document should be construed as an offer in Switzerland

for the purchase or sale of the interests or any related services, nor as advertising in Switzerland for the interests or any related services, to or directed at Non-Qualified Investors or Elective Qualified Investors. Circulating or otherwise providing access to this document or offering, advertising or selling the interests or any related services to Non-Qualified Investors or Elective Qualified Investors may trigger, in particular, approval requirements and other regulatory requirements in Switzerland.
This document does not constitute a prospectus pursuant to Articles 35 et seqq. FinSA and may not fulfil the information standards established thereunder. No key information document pursuant to Swiss law has been established for the interests. The interests will not be listed or admitted to trading on a Swiss trading venue and, consequently, the information presented in this document may not fulfil the information standards set out in the relevant trading venue rules."

November 2021 – AGF

Fortem Capital Alternative Growth Fund

UK & EU – For professional and institutional investors only
Switzerland – this is an advertising document for professional and institutional clients as defined by the Swiss Financial Services Act only

Monthly Commentary – 30th November 2021

After a number of month’s in which COVID newsflow was muted, much to the benefit of risk assets, November was dominated first by increased infections in Europe and then the emergence of a new variant of concern; Omicron. In Europe, it was notable that hospitalisations increased more in those countries in which vaccine take up has been lower. It remains too early to tell whether the new variant significantly reduces the effectiveness of vaccines, but the early signs are encouraging on this front and early data suggests that although the variant is highly transmissible, it is relatively mild.

Inflation remained stubbornly high over the month; US CPI rose 6.2% from a year earlier in October. The perception that any further lockdowns may cause further supply chain disruption has meant that bond markets have been fairly erratic, yields fell heavily on the news of the new variant, before rising at the front end as it was suggested that there may be an acceleration in the US taper in spite of this.

The Fund increased by 0.9% over the month.

There were positive contributions from the majority of strategies.

The Fund’s long rates volatility strategies benefitted from heightened volatility in bond markets as investors grappled with inflation and the new variant. The risks to the bond market have been discussed often and at length, but perhaps what is likely, irrespective of the overall journey of travel for the bond market, is that there will be continued volatility along the way.

It was a positive month for the Fund’s commodity strategies which benefitted from some weakness in energy prices at the front of the curve. There was an element of this stemming from a move in oil timespreads as a result of the new variant, but the bigger impact came from a reversal of the moves seen in Natural Gas in September and October. In spite of the weakness in November, 75% of BCOM still remains in backwardation, suggesting there is still plenty to come from the strategies.

Total Return 2021 Nov
UK 100 13.0% -2.2%
US 500 22.7% -0.7%
Europe 50 16.6% -4.3%
Japan 225 2.6% -3.7%
Hong Kong 50 -11.7% -7.4%
US 2000 12.3% -4.2%
Swiss 30 16.9% 0.4%
BCOM 22.7% -7.3%
US Treasury -1.3% 0.3%
FTSE EPRA 23.6% 3.2%
PGF 6.0% -1.3%
AGF -0.5% 0.9%
Real Estate 20.1% 0.9%
US Equity Income n/a -0.8%


Disclaimer

– This document has been issued and approved as a financial promotion by Fortem Capital Limited for the purpose of section 21 of the Financial Services and Markets Acts 2000. Fortem Capital Limited registration number 10042702 is authorised and regulated by the Financial Conduct Authority under firm reference number 755370.
– This document is intended for Professional Investors, Institutional Clients and Advisors and should not be communicated to any other person.
– The information has been prepared solely for information purposes only and is not an offer or solicitation of an offer to buy or sell the product.
– Data is sourced from Fortem Capital Limited and external sources. The data is as at the date of this document and has been reviewed by Fortem Capital Limited.
– Information, including prices, analytical data and opinions contained within this document are believed to be correct, accurate and derived from reliable sources as at the date of the document. However, no representation or warranty, expressed or implied is made as to the correctness, accuracy or validity of such information.
– Fortem Capital Limited assumes

no responsibility or
liability for any errors, omissions or inaccuracy with respect to the information contained within this document.
– All price and analytical data included in this document is
intended for indicative purposes only and is as at the date
of the document.
– The information within this document does not take into account the specific investment objective or financial situation of any person. Investors should refer to the final documentation and any prospectus to ascertain all of the risks and terms associated with these securities and seek independent advice, where necessary, before making any decision to buy or sell.
– The product may not be offered, sold, transferred or delivered directly or indirectly in the United States to, or for the account or benefit of, any U.S. Person.
– The Fortem Capital Alternative Growth Fund is a Sub-Fund of Skyline, an open-ended investment company with variable capital incorporated on 1 June 2010 with limited liability under the laws of Ireland with segregated liability between Funds. The Company is authorised in Ireland by the Central Bank of Ireland pursuant to the UCITS Regulations.

“NOTICE TO INVESTORS DOMICILED OR RESIDENT IN SWITZERLAND – The interests in the UCITS Fund and any related services, information and opinions described or referenced in this document are not, and may not be, offered or marketed to or directed at persons in Switzerland (a) that do not meet the definition of “qualified investor" pursuant to the Swiss Federal Act on Collective Investment Schemes of 23 June 2006 (“CISA") (“Non-Qualified Investors"), or (b) that are high net worth individuals (including private investment structures established for such high-net worth individuals if they do not have professional treasury operations) that have opted out of customer protection under the Swiss Federal Financial Services Act of 15 June 2018 (“FinSA") and that have elected to be treated as “professional clients" and “qualified investors" under the FinSA and the CISA, respectively (“Elective Qualified Investors").
In particular, none of the information provided in this document should be construed as an offer in Switzerland

for the purchase or sale of the interests or any related services, nor as advertising in Switzerland for the interests or any related services, to or directed at Non-Qualified Investors or Elective Qualified Investors. Circulating or otherwise providing access to this document or offering, advertising or selling the interests or any related services to Non-Qualified Investors or Elective Qualified Investors may trigger, in particular, approval requirements and other regulatory requirements in Switzerland.
This document does not constitute a prospectus pursuant to Articles 35 et seqq. FinSA and may not fulfil the information standards established thereunder. No key information document pursuant to Swiss law has been established for the interests. The interests will not be listed or admitted to trading on a Swiss trading venue and, consequently, the information presented in this document may not fulfil the information standards set out in the relevant trading venue rules."

October 2021 – AGF

Fortem Capital Alternative Growth Fund

UK & EU – For professional and institutional investors only
Switzerland – this is an advertising document for professional and institutional clients as defined by the Swiss Financial Services Act only

Monthly Commentary – 29th October 2021

Last month’s ‘crisis’ was short lived as equity markets swiftly returned to all time highs in

October, leaving global equities 20% higher than where they started the year. Investors were buoyed by positive earnings data in the US as well as positive economic data elsewhere after a summer lull. In addition, there was some respite from negative news regarding China’s beleaguered property sector after Evergrande made an interest payment within the 30 day grace period afforded to firms before default.

Investors’ attention should instead be drawn to the bond market, where yields were volatile over the month as investors continue to grapple with a phenomena that is completely new to a significant portion of them; inflation. The 10y US treasury yield reached as high as 1.70% before retracing all the way back to 1.55%. Of equal note were the much larger increases in shorter-dated yields, which caused curves to flatten significantly, further exacerbated by numerous hedge funds being stopped out of ‘steepener’ trades. The yield curve phenomena will be written on more extensively in the Get Him To The Greek to be published this month, but suffice to say the eccentric moves seen in curves, not for the first time in the past 18m, perhaps illustrate how investors are struggling to price risk in an asset class that has been considered more or less riskless for so long.

The Fund was down 0.45% over the month.

The biggest detractors, unsurprisingly, were the rates curve strategies, two of which are US yield curve ‘steepeners’. The US yield curve flattened at its most aggressive rate since 2011 during the month. From here, if inflation does prove transitory, one would expect that the front end has gone too far, and the curve to steepen courtesy of the front retracing. If it is persistent, then the front end is correct and it is the back end that needs to catch up, again steepening the curve.

Elsewhere, the rates volatility strategies were the most profitable, benefitting from the turbulence in bond markets, which it should be noted still remains minor whilst the transitory narrative is widely accepted.

The Fund’s remaining equity quality exposure was sold during the month. Companies with weaker balance sheets in the US have been rewarded thus far this year. However, if inflation is to prove non-transitory, and debt does become more burdensome for a highly leveraged financial system, it is likely that there will be stress in credit markets, something already being seen in China. Therefore, the position has been replaced with a purer protection against volatility in credit markets, through long CDS positions on both European and US credit markets, bought at historically low levels.

To the end of October, the Fund is down 1.39% for the year, albeit some of this has already reversed out in November. This type of drawdown is not unusual for the strategies, particularly when equities are running at 25% annualised, and has been seen before; from 2011 to 2013 there was a drawdown of ~ 3%.

It would seem that the worst of the headwinds of commodities steepening into record backwardation, yield curves flattening at their fastest rate in a decade, and companies with the weakest balance sheets being rewarded the most look to have likely passed. And, looking at the current environment of rising inflation concerns, the inevitable re-emergence of Chinese liquidity issues in its property market, and a general consensus that the performance enhancing drugs of endless money printing and artificially low rates are going to have to be taken away from the market at some point. Structural uncorrelated diversifiers with some more convex defensive trades are likely to serve investors well; it may be the only diversification that is left.

Total Return 2021 Oct
UK 100 15.5% 2.2%
US 500 23.6% 7.0%
Europe 50 21.9% 5.2%
Japan 225 6.5% -1.9%
Hong Kong 50 -4.6% 3.3%
US 2000 17.2% 4.3%
Swiss 30 16.4% 4.0%
BCOM 32.4% 2.6%
US Treasury -1.6% 0.0%
FTSE EPRA 19.8% 3.6%
PGF 7.4% 2.0%
AGF -1.4% -0.5%
Real Estate 19.1% 4.8%
US Equity Income n/a 7.0%


Disclaimer

– This document has been issued and approved as a financial promotion by Fortem Capital Limited for the purpose of section 21 of the Financial Services and Markets Acts 2000. Fortem Capital Limited registration number 10042702 is authorised and regulated by the Financial Conduct Authority under firm reference number 755370.
– This document is intended for Professional Investors, Institutional Clients and Advisors and should not be communicated to any other person.
– The information has been prepared solely for information purposes only and is not an offer or solicitation of an offer to buy or sell the product.
– Data is sourced from Fortem Capital Limited and external sources. The data is as at the date of this document and has been reviewed by Fortem Capital Limited.
– Information, including prices, analytical data and opinions contained within this document are believed to be correct, accurate and derived from reliable sources as at the date of the document. However, no representation or warranty, expressed or implied is made as to the correctness, accuracy or validity of such information.
– Fortem Capital Limited assumes

no responsibility or
liability for any errors, omissions or inaccuracy with respect to the information contained within this document.
– All price and analytical data included in this document is
intended for indicative purposes only and is as at the date
of the document.
– The information within this document does not take into account the specific investment objective or financial situation of any person. Investors should refer to the final documentation and any prospectus to ascertain all of the risks and terms associated with these securities and seek independent advice, where necessary, before making any decision to buy or sell.
– The product may not be offered, sold, transferred or delivered directly or indirectly in the United States to, or for the account or benefit of, any U.S. Person.
– The Fortem Capital Alternative Growth Fund is a Sub-Fund of Skyline, an open-ended investment company with variable capital incorporated on 1 June 2010 with limited liability under the laws of Ireland with segregated liability between Funds. The Company is authorised in Ireland by the Central Bank of Ireland pursuant to the UCITS Regulations.

“NOTICE TO INVESTORS DOMICILED OR RESIDENT IN SWITZERLAND – The interests in the UCITS Fund and any related services, information and opinions described or referenced in this document are not, and may not be, offered or marketed to or directed at persons in Switzerland (a) that do not meet the definition of “qualified investor" pursuant to the Swiss Federal Act on Collective Investment Schemes of 23 June 2006 (“CISA") (“Non-Qualified Investors"), or (b) that are high net worth individuals (including private investment structures established for such high-net worth individuals if they do not have professional treasury operations) that have opted out of customer protection under the Swiss Federal Financial Services Act of 15 June 2018 (“FinSA") and that have elected to be treated as “professional clients" and “qualified investors" under the FinSA and the CISA, respectively (“Elective Qualified Investors").
In particular, none of the information provided in this document should be construed as an offer in Switzerland

for the purchase or sale of the interests or any related services, nor as advertising in Switzerland for the interests or any related services, to or directed at Non-Qualified Investors or Elective Qualified Investors. Circulating or otherwise providing access to this document or offering, advertising or selling the interests or any related services to Non-Qualified Investors or Elective Qualified Investors may trigger, in particular, approval requirements and other regulatory requirements in Switzerland.
This document does not constitute a prospectus pursuant to Articles 35 et seqq. FinSA and may not fulfil the information standards established thereunder. No key information document pursuant to Swiss law has been established for the interests. The interests will not be listed or admitted to trading on a Swiss trading venue and, consequently, the information presented in this document may not fulfil the information standards set out in the relevant trading venue rules."

September 2021 – AGF

Fortem Capital Alternative Growth Fund

UK & EU – For professional and institutional investors only
Switzerland – this is an advertising document for professional and institutional clients as defined by the Swiss Financial Services Act only

The Title

Somewhat surprisingly, given recent history, it was not the pandemic that caused markets to wobble in September, but rather a cocktail of rising inflation, supply chain issues, moderating growth and China’s beleaguered property sector. Once again investors should take note that equities and bonds wobbled simultaneously, symptomatic of the worries being largely inflation based as well as a shift in central bank rhetoric to a more hawkish tone, and the definition of what counts as ‘transitory’ extended once more.

The Fund was down 0.4% over the month.

Ordinarily, a month such as September in which bonds and equities fall would be one in which the Fund would be expected to perform well. However, there are idiosyncratic risks present, and commodity markets saw huge moves in September, particularly in natural gas. The Fund is short nat gas timespreads, which hurt as they have more than doubled. Over the past year, commodities steepening into near record backwardation has been a detractor to performance in general. Agriculturals were first, largely due to Chinese demand for US crops pre-harvest in order to replenish their own pandemic-induced depleted reserves. Now energy has gone the same way. The Fund’s commodity strategies will benefit as and when they move back to contango, which they must do eventually as one cannot be paid for somebody else to store on their behalf ad infinitum.

Within oil, inventories are falling, but there is really no inventory shortage, meaning that barring production cuts (unlikely in the current climate) there is a limit to how backwardated oil curves should be. There is clearly also much scope for mean reversion back to contango on the back of a worsening macroeconomic backdrop and associated falls in demand. Natural gas has been the real mover of late and the curve is now extremely backwardated. The greater difficulty in storing nat gas means it is always volatile and susceptible to big impacts from weather. It is highly unusual for spreads to be this elevated at this time of year, largely because so little is currently known about whether the winter will be cold or mild. The reason is ‘low inventory’. While inventory is slightly below the 10 year average, it is only slight, and the type of storage that is more reactive is bang in line. Undoubtedly, the fact that the global media have really run with the ‘global gas shortage’ story has also had a marked effect; in Europe this is true, where inventories are 8% below average, and due to not being able to move gas from the US to Europe, there might be higher gas prices to come for Europeans if winter is cold. However, in the US there is no shortage, meaning that unless winter is brutally cold, it is highly likely nat gas spreads finish lower than where they reside currently, making the Fund’s commodity strategies money.

Similarly, some of the more defensive convex strategies are negatively affected by markets selling off and recovering intraday, they start to really kick in on market panics in which markets sell off heavily through the day. Given the journey of travel this year, it might be argued that September was a healthy pause, whether this is the case remains to be seen.

The Fund’s rates strategies did react well to the first knockings of volatility the bond market has experienced in some months. Yields are still incredibly low historically, but there is a growing sense that central banks are coming to a decision that has been obviously on the horizon to some for some time; raise rates in order to control inflation for the benefit of non-asset owners that rely on inflation-adjusted wage growth for living standards, but badly damage asset prices in the process. Or, prioritise asset markets. Whether this is politically possible any longer is up for debate.

Within the Fund, the position in gold was replaced with a gold seasonality strategy, which has been in development for some time. The strategy is long gold during Asian hours, and can go short during European hours when most hedging activity occurs.

Total Return 2021 Sept
UK 100 13.0% -0.2%
US 500 15.6% -4.7%
Europe 50 15.9% -3.4%
Japan 225 8.6% 5.4%
Hong Kong 50 -7.6% -4.7%
US 2000 12.4% -3.0%
Swiss 30 11.2% -6.1%
BCOM 29.1% 5.0%
US Treasury -1.6% -0.9%
FTSE EPRA 15.6% -6.9%
PGF 5.2% -1.2%
AGF -0.9% -0.4%
Real Estate 13.6% -6.8%
US Equity Income n/a -4.7%

– This document has been issued and approved as a financial promotion by Fortem Capital Limited for the purpose of section 21 of the Financial Services and Markets Acts 2000. Fortem Capital Limited registration number 10042702 is authorised and regulated by the Financial Conduct Authority under firm reference number 755370.
– This document is intended for Professional Investors, Institutional Clients and Advisors and should not be communicated to any other person.
– The information has been prepared solely for information purposes only and is not an offer or solicitation of an offer to buy or sell the product.
– Data is sourced from Fortem Capital Limited and external sources. The data is as at the date of this document and has been reviewed by Fortem Capital Limited.
– Information, including prices, analytical data and opinions contained within this document are believed to be correct, accurate and derived from reliable sources as at the date of the document. However, no representation or warranty, expressed or implied is made as to the correctness, accuracy or validity of such information.
– Fortem Capital Limited assumes

no responsibility or
liability for any errors, omissions or inaccuracy with respect to the information contained within this document.
– All price and analytical data included in this document is
intended for indicative purposes only and is as at the date
of the document.
– The information within this document does not take into account the specific investment objective or financial situation of any person. Investors should refer to the final documentation and any prospectus to ascertain all of the risks and terms associated with these securities and seek independent advice, where necessary, before making any decision to buy or sell.
– The product may not be offered, sold, transferred or delivered directly or indirectly in the United States to, or for the account or benefit of, any U.S. Person.
– The Fortem Capital Alternative Growth Fund is a Sub-Fund of Skyline, an open-ended investment company with variable capital incorporated on 1 June 2010 with limited liability under the laws of Ireland with segregated liability between Funds. The Company is authorised in Ireland by the Central Bank of Ireland pursuant to the UCITS Regulations.

\"NOTICE TO INVESTORS DOMICILED OR RESIDENT IN SWITZERLAND – The interests in the UCITS Fund and any related services, information and opinions described or referenced in this document are not, and may not be, offered or marketed to or directed at persons in Switzerland (a) that do not meet the definition of \"qualified investor\" pursuant to the Swiss Federal Act on Collective Investment Schemes of 23 June 2006 (\"CISA\") (\"Non-Qualified Investors\"), or (b) that are high net worth individuals (including private investment structures established for such high-net worth individuals if they do not have professional treasury operations) that have opted out of customer protection under the Swiss Federal Financial Services Act of 15 June 2018 (\"FinSA\") and that have elected to be treated as \"professional clients\" and \"qualified investors\" under the FinSA and the CISA, respectively (\"Elective Qualified Investors\").
In particular, none of the information provided in this document should be construed as an offer in Switzerland

for the purchase or sale of the interests or any related services, nor as advertising in Switzerland for the interests or any related services, to or directed at Non-Qualified Investors or Elective Qualified Investors. Circulating or otherwise providing access to this document or offering, advertising or selling the interests or any related services to Non-Qualified Investors or Elective Qualified Investors may trigger, in particular, approval requirements and other regulatory requirements in Switzerland.
This document does not constitute a prospectus pursuant to Articles 35 et seqq. FinSA and may not fulfil the information standards established thereunder. No key information document pursuant to Swiss law has been established for the interests. The interests will not be listed or admitted to trading on a Swiss trading venue and, consequently, the information presented in this document may not fulfil the information standards set out in the relevant trading venue rules.\"

Oct 2021

Fortem Capital Progressive Growth Fund

UK & EU – For professional and institutional investors only
Switzerland – this is an advertising document for professional and institutional clients as defined by the Swiss Financial Services Act only

Monthly Commentary – 29th October 2021

Last month’s ‘crisis’ turned out to be short-lived as markets quickly returned to setting new all time highs in October, buoyed by strong earnings and some respite from Chinese property news flow. Bond markets were more volatile, as surprises emanating from Canada, Australia and the UK caused front end rates to spike while longer term yields remained subdued, flattening yield curves substantially and severely hampering the ‘steepener’ trade, popular amongst hedge funds. Covid news was refreshingly muted.

The Fund posted a return of 2.0% over the month.

One investment called in October, on the 3rd anniversary of its original strike date, paying the Fund 130.6% of the original invested capital. It was replaced with a new investment in a dual index structure with the FTSE 100 and Nikkei 225 as underlyings.

The Diversifier Portfolio was flat for the month.

The Fund retains a highly attractive defensive profile, illustrated by the average cover to achieve capital growth having increased to 38.0%, whilst the average cover before any capital loss is incurred now stands at 40.1%.

In an era in which bond investing could become less straightforward, equity-linked investments with defined return profiles and in-built protection are likely to provide a highly useful portfolio management tool.

Total Return 2021 Oct
UK 100 15.5% 2.2%
US 500 23.6% 7.0%
Europe 50 21.9% 5.2%
Japan 225 6.5% -1.9%
Hong Kong 50 -4.6% 3.3%
US 2000 17.2% 4.3%
Swiss 30 16.4% 4.0%
BCOM 32.4% 2.6%
US Treasury -1.6% 0.0%
FTSE EPRA 19.8% 3.6%
PGF 7.4% 2.0%
AGF -1.4% -0.5%
Real Estate 19.1% 4.8%
US Equity Income n/a 7.0%


Disclaimer

– This document has been issued and approved as a financial promotion by Fortem Capital Limited for the purpose of section 21 of the Financial Services and Markets Acts 2000. Fortem Capital Limited registration number 10042702 is authorised and regulated by the Financial Conduct Authority under firm reference number 755370.
– This document is intended for Professional Investors, Institutional Clients and Advisors and should not be communicated to any other person.
– The information has been prepared solely for information purposes only and is not an offer or solicitation of an offer to buy or sell the product.
– Data is sourced from Fortem Capital Limited and external sources. The data is as at the date of this document and has been reviewed by Fortem Capital Limited.
– Information, including prices, analytical data and opinions contained within this document are believed to be correct, accurate and derived from reliable sources as at the date of the document. However, no representation or warranty, expressed or implied is made as to the correctness, accuracy or validity of such information.
– Fortem Capital Limited assumes

no responsibility or
liability for any errors, omissions or inaccuracy with respect to the information contained within this document.
– All price and analytical data included in this document is
intended for indicative purposes only and is as at the date
of the document.
– The information within this document does not take into account the specific investment objective or financial situation of any person. Investors should refer to the final documentation and any prospectus to ascertain all of the risks and terms associated with these securities and seek independent advice, where necessary, before making any decision to buy or sell.
– The product may not be offered, sold, transferred or delivered directly or indirectly in the United States to, or for the account or benefit of, any U.S. Person.
– The Fortem Capital Progressive Growth Fund is a Sub-Fund of Skyline, an open-ended investment company with variable capital incorporated on 1 June 2010 with limited liability under the laws of Ireland with segregated liability between Funds. The Company is authorised in Ireland by the Central Bank of Ireland pursuant to the UCITS Regulations.

“NOTICE TO INVESTORS DOMICILED OR RESIDENT IN SWITZERLAND – The interests in the UCITS Fund and any related services, information and opinions described or referenced in this document are not, and may not be, offered or marketed to or directed at persons in Switzerland (a) that do not meet the definition of “qualified investor" pursuant to the Swiss Federal Act on Collective Investment Schemes of 23 June 2006 (“CISA") (“Non-Qualified Investors"), or (b) that are high net worth individuals (including private investment structures established for such high-net worth individuals if they do not have professional treasury operations) that have opted out of customer protection under the Swiss Federal Financial Services Act of 15 June 2018 (“FinSA") and that have elected to be treated as “professional clients" and “qualified investors" under the FinSA and the CISA, respectively (“Elective Qualified Investors").
In particular, none of the information provided in this document should be construed as an offer in Switzerland

for the purchase or sale of the interests or any related services, nor as advertising in Switzerland for the interests or any related services, to or directed at Non-Qualified Investors or Elective Qualified Investors. Circulating or otherwise providing access to this document or offering, advertising or selling the interests or any related services to Non-Qualified Investors or Elective Qualified Investors may trigger, in particular, approval requirements and other regulatory requirements in Switzerland.
This document does not constitute a prospectus pursuant to Articles 35 et seqq. FinSA and may not fulfil the information standards established thereunder. No key information document pursuant to Swiss law has been established for the interests. The interests will not be listed or admitted to trading on a Swiss trading venue and, consequently, the information presented in this document may not fulfil the information standards set out in the relevant trading venue rules."

Sept 2021

Fortem Capital Progressive Growth Fund

UK & EU – For professional and institutional investors only
Switzerland – this is an advertising document for professional and institutional clients as defined by the Swiss Financial Services Act only

Monthly Commentary – 30th September 2021

For the first time in what seems an eternity, September’s pause for breath was not pandemic related as a combination of supply chain disruptions, increasing inflation, moderating growth, and China’s beleaguered property sector wobbled equities and bonds in tandem. Despite September’s fall, equities posted modest gains over the third quarter and still sit at handsome returns for the year far in excess of long term averages. Perhaps most telling was the shift of central banks to more hawkish rhetoric and the elongation of the definition of ‘transitory’, resulting in bonds giving back much of their gains from earlier in the quarter.

Against this backdrop the Fund declined by 1.2%. As would be expected, the most significant contributors were delta and vega, while theta (the passage of time) was the most significant additive factor; time is very much on one’s side investing in autocalls.

Three investments called in September. There were five new investments added to the core portfolio on a range of underlyings, including one linked to the equally weighted S&P 500, which has a lower weighting to technology than its market cap weighted sibling.

The Diversifier Portfolio was down, largely due to natural gas timespreads blowing out, as well as equity intraday momentum. Intraday momentum strategies are defensive in nature, but in a crisis rather than a wobble as they dislike markets that mean revert intraday as they did in September.

Further protection was added to the Fund in the form of CDS, which should provide some insulation against any significant credit event that may be on the horizon.

Total Return 2021 Sept
UK 100 13.0% -0.2%
US 500 15.6% -4.7%
Europe 50 15.9% -3.4%
Japan 225 8.6% 5.4%
Hong Kong 50 -7.6% -4.7%
US 2000 12.4% -3.0%
Swiss 30 11.9% -6.1%
BCOM 29.1% 5.0%
US Treasury -1.6% -0.9%
FTSE EPRA 15.6% -6.9%
PGF 5.2% -1.2%
AGF -0.9% -0.4%
Real Estate 13.6% -6.8%
US Equity Income n/a -4.7%

– This document has been issued and approved as a financial promotion by Fortem Capital Limited for the purpose of section 21 of the Financial Services and Markets Acts 2000. Fortem Capital Limited registration number 10042702 is authorised and regulated by the Financial Conduct Authority under firm reference number 755370.
– This document is intended for Professional Investors, Institutional Clients and Advisors and should not be communicated to any other person.
– The information has been prepared solely for information purposes only and is not an offer or solicitation of an offer to buy or sell the product.
– Data is sourced from Fortem Capital Limited and external sources. The data is as at the date of this document and has been reviewed by Fortem Capital Limited.
– Information, including prices, analytical data and opinions contained within this document are believed to be correct, accurate and derived from reliable sources as at the date of the document. However, no representation or warranty, expressed or implied is made as to the correctness, accuracy or validity of such information.
– Fortem Capital Limited assumes

no responsibility or
liability for any errors, omissions or inaccuracy with respect to the information contained within this document.
– All price and analytical data included in this document is
intended for indicative purposes only and is as at the date
of the document.
– The information within this document does not take into account the specific investment objective or financial situation of any person. Investors should refer to the final documentation and any prospectus to ascertain all of the risks and terms associated with these securities and seek independent advice, where necessary, before making any decision to buy or sell.
– The product may not be offered, sold, transferred or delivered directly or indirectly in the United States to, or for the account or benefit of, any U.S. Person.
– The Fortem Capital Progressive Growth Fund is a Sub-Fund of Skyline, an open-ended investment company with variable capital incorporated on 1 June 2010 with limited liability under the laws of Ireland with segregated liability between Funds. The Company is authorised in Ireland by the Central Bank of Ireland pursuant to the UCITS Regulations.

“NOTICE TO INVESTORS DOMICILED OR RESIDENT IN SWITZERLAND – The interests in the UCITS Fund and any related services, information and opinions described or referenced in this document are not, and may not be, offered or marketed to or directed at persons in Switzerland (a) that do not meet the definition of “qualified investor" pursuant to the Swiss Federal Act on Collective Investment Schemes of 23 June 2006 (“CISA") (“Non-Qualified Investors"), or (b) that are high net worth individuals (including private investment structures established for such high-net worth individuals if they do not have professional treasury operations) that have opted out of customer protection under the Swiss Federal Financial Services Act of 15 June 2018 (“FinSA") and that have elected to be treated as “professional clients" and “qualified investors" under the FinSA and the CISA, respectively (“Elective Qualified Investors").
In particular, none of the information provided in this document should be construed as an offer in Switzerland

for the purchase or sale of the interests or any related services, nor as advertising in Switzerland for the interests or any related services, to or directed at Non-Qualified Investors or Elective Qualified Investors. Circulating or otherwise providing access to this document or offering, advertising or selling the interests or any related services to Non-Qualified Investors or Elective Qualified Investors may trigger, in particular, approval requirements and other regulatory requirements in Switzerland.
This document does not constitute a prospectus pursuant to Articles 35 et seqq. FinSA and may not fulfil the information standards established thereunder. No key information document pursuant to Swiss law has been established for the interests. The interests will not be listed or admitted to trading on a Swiss trading venue and, consequently, the information presented in this document may not fulfil the information standards set out in the relevant trading venue rules."