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 – 28th May 2021
May was characterised by a raft of positive economic data as well as inflation numbers that really began to heat up. It was perhaps unsurprising that risk assets were more muted, albeit still positive, than their stellar returns in April. It may be now the case that there is a window of how good the data can be, without being too good, in order that it does not illicit a tightening response, or at least the perception of a possible tightening response, from policymakers. Thus far investors have been happy to accept the Fed’s prognosis of ‘transitory’ inflation, it remains to be seen if and when that may change.
Within the risk premia universe, it was a similarly muted but positive month on the whole. The commodity strategies, which suffered slightly as curves steepened into their 99th percentile of backwardation over the past 12m, began to see the benefit of the back end of the curves starting to catch up. There were also positive moves in the Fund’s Volatility Arbitrage strategies. Again, the Strong Balance sheet strategies were the major detractor, having been reduced, not helped by the re-emergence of the ‘meme stock’ trade.
The Fund increased by 0.13% over the month.
The Fund’s FX Congestion Strategy was sold in May. The significant moves seen at month end in currency markets, particularly the dollar, have overwhelmed the premia, and with central bank policy and economic data continuing to be so heavily in the spotlight this is likely to continue for some time.
A further FX Value strategy was added. The strategy attempts to monetise deviations of spot from fair value, as measured by OECD PPP, of the G10 currencies. The strategy simply takes long positions in those pairs that are undervalued and vice versa.
The Fund is flat for the year, a year in which risk assets of most kinds have been on an incredible run, and in which sovereign bonds remain negative on the whole. It retains convexity in trades that should payoff in severe turbulence, in both bond and equity markets, whenever that may occur.
|Hong Kong 50||8.0%||2.0%|
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