Archives: Commentary

Feb 23

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 February 2023

What a difference a month makes.

After January’s optimism, investors were forced to take stock as the positive data points continued, but this time accompanied by a reacceleration of core inflation numbers. This led to a reassessment as to where the terminal rate lies and how long rates are likely to be elevated in the Fed’s continued fight against inflation.

In terms of the three scenarios for the year:

1.The Federal Reserve have tightened the perfect amount and orchestrated a soft landing

2.They have tightened too much already and a hard landing lies ahead

3.They have not tightened enough and rates will be ‘higher for longer’

Having more or less priced in 1, the market was forced to recalibrate and apply a higher probability to scenario 3. Investors have thus far this year seemed content to follow the data in ascribing very little probability to scenario 2, they have been less willing to use that same data to meaningfully increase the probability of scenario 3.

The Fund increased by 1.2% during the month.

After the collapse in rates volatility at the start of the year, with higher prices came higher volatility, to the benefit of the Fund’s long rates volatility strategies.

Elsewhere, the majority of the Fund’s other exposures also provided for some positive return. The notable outlier was the Gold Intraday strategy, which is net long gold and suffered as rates made their way back up.

Two new positions have been added to the protection portfolio in the form of two put spreads on the S&P 500, taking advantage of the low volatility seen after the years initial rally.

The buoyancy of January turned out to be short lived as inflation’s downward trajectory paused, and in core numbers even reversed slightly. February brought back memories of 2022 as both equities and bonds sold off simultaneously. It is in these conditions that bonds will continue to fail to fulfil their role as a diversifier in portfolios. The market still misprices the likelihood of inflation proving more stubborn and central bank’s hands being tied with regards to policy.  

For the first time in many years central banks have replenished their policy quiver with the arrows of rate cuts when necessary. However, the idea that they would use those arrows before either it is completely necessary or the battle against inflation has been truly won is fanciful. Never before have the Fed managed to orchestrate a soft landing; this could be the first time, but history tells us that they tend to raise rates until something breaks in the economy. Here is to hoping that this time is different; it rarely is. In the meantime, the portfolio is well positioned to provide true diversification and has during its life tended to prefer periods of heightened stress for traditional asset classes

Total Return 2023 Feb
UK 100 6.2% 1.8%
US 500 3.6% -2.5%
Europe 50 12.0% 1.9%
Japan 225 5.2% 0.5%
Hong Kong 50 0.0% -9.4%
US 2000 7.9% -1.7%
Swiss 30 3.4% -1.7%
BCOM -5.9% -5.1%
US Treasury 0.4% -2.6%
Euro Property 7.8% -1.1%
PGF 4.7% -0.4%
AGF 0.6% 1.2%
DGF 2.5% 4.5%
Real Estate 6.0% -2.1%
US Equity Income 3.4% -2.5%

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."

Jan 23

mateerialpdfiamge

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 January 2023

Recession, what recession?!

Risk assets have enjoyed a stellar start to the year as price increases continued to slow in December whereas data in January turned more positive.

There are only three possible outcomes from here:

1.The Federal Reserve have tightened the perfect amount and orchestrated a soft landing

2.They have tightened too much already and a hard landing lies ahead

3.They have not tightened enough and rates will be ‘higher for longer’

Price action over the past months can be attributed to investors’ views as too which of these scenarios is most likely. It is clear that the overwhelming consensus is that, for the first time in their history, the Federal Reserve have managed to orchestrate a soft landing, to the extent that opinion has begun to even shift from shallow recession to no recession at all.

Equity and bond markets have enjoyed significant rallies this year as a result, whilst implied volatilities have collapsed.

The Fund decreased by 0.6% in January.

Unsurprisingly, given the collapse in implied rates volatility, the rates volatility strategies were the biggest detractors. The market now not only prices a pause, but a pivot in the second half of the year. Levels of implied volatility have fallen back to where they were before the invasion of Ukraine, and given the backdrop of strong demand, a Chinese reopening that is beginning in earnest, robust employment, and continued deglobalisation, rates volatility looks mispriced once more. Added to this, the premia itself has increased due to the steeper term structure after the falls at the back end of the curve.

The other significant detractor were the CDS positions. The Fund, in its protection bucket, holds significant exposure to CDS. The buoyancy in markets and heavy falls in volatility have also been accompanied by a significant tightening of credit spreads to the extent that they also are back to the levels they were at the beginning of last year.

The Fund’s commodity and FX strategies provided some positive performance over the month. In particular, the commodity strategies are set to benefit from any demand weakness brought on if conditions worsen throughout the year.

The market is increasingly confident that the Federal reserve have managed to orchestrate a soft landing. Whilst this might be the case, purely on the balance of probabilities it is less likely than the other outcomes of a hard landing or the need for higher rates for longer. Investors should note that in all previous rate rise cycles, soft landing type conditions have been experienced at some point, after all, you need to at least pass through those types of conditions before heading elsewhere. Let us hope we have reached our final destination.

Total Return 2023 Jan
UK 100 4.4% 4.4%
US 500 6.3% 6.3%
Europe 50 9.9% 9.9%
Japan 225 4.7% 4.7%
Hong Kong 50 10.4% 10.4%
US 2000 9.8% 9.8%
Swiss 30 5.2% 5.2%
BCOM -0.9% -0.9%
US Treasury 3.1% 3.1%
Euro Property 8.8% 8.8%
PGF 5.1% 5.1%
AGF -0.6% -0.6%
Real Estate 8.3% 8.3%
US Equity Income 6.2% 6.2%

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."

Dec22

mateerialpdfiamge

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 December 2022

As was largely the case for 2022 as a whole, investors looked to inflation and its potential impact on central bank policy to guide sentiment.

Pleasingly, inflation numbers did moderate once more, with US headline falling to 7.1%. However, central bank rhetoric remained hawkish meaning there was some tempering of the buoyant mood that had characterised the fourth quarter to December.

There was idiosyncratic optimism in China as the continuation of the relaxation of ‘zero-Covid’ policy allowed for some further recovery in their ailing equity markets, including in Hong Kong.

Elsewhere, even Japan finally jumped onto the tightening bandwagon as they adjusted Yield Curve Control (YCC) by widening the target band to 50bps on the 10 year yield target of 0%.

The Fund increased by 0.3% to end the year up 1.0%.

As one might expect, given the softer inflation print, the Fund’s rates volatility strategies were relatively muted.

However, as central banks doubled down on hawkish rhetoric, credit spreads did widen, to the benefit of the Fund’s credit volatility strategies.

Elsewhere, the Fund’s FX value strategies, which had suffered at the hands of the dollar for most of the year, continued their recovery. Gold intraday again struggled on non-normal gold price action.

As we head into 2023, there are three scenarios that could play out for investors to consider:

1.The Fed have tightened the perfect amount; soft landing.

2.The Fed have tightened too much; hard landing.

3.The Fed have not tightened enough; higher for longer.

In Q4 markets priced in an increasing likelihood of outcome 1. Whilst this is possible, and clearly is what we all hope for, on the balance of probabilities it is unlikely, particularly when one considers that they have never managed it in any previous rate rise cycle.

In scenario 2, fixed income is likely to have its time once more, and provide some diversification to the equity content in portfolios that is likely to struggle in all three of these scenarios.

However, given that the stickier core components of inflation remain stubborn, the world is de-globalising at an alarming rate, the world’s second biggest and most commodity hungry economy is reopening, and unemployment remains floored with labour markets tight, a significant probability must be assigned to the chance that inflation has not yet been defeated. Scenario 3 would likely see the same dynamics as in 2022 of bonds and equities selling off together once more.

Liquid alternatives should perform relatively well in all three scenarios, the same cannot be said for much else.

Total Return 2022 December
UK 100 4.6% -1.5%
US 500 -18.5% -5.8%
Europe 50 -9.5% -4.3%
Japan 225 -7.8% -6.8%
Hong Kong 50 -12.7% 6.4%
US 2000 -20.4% -3.6%
Swiss 30 -14.3% -3.6%
BCOM 13.8% -2.8%
US Treasury -13.0% -0.5%
Euro Property -38.9% -1.7%
PGF -6.5% -1.3%
AGF 1.0% 0.3%
Real Estate -33.9% -1.2%
US Equity Income -18.4% -5.9%

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

mateerialpdfiamge

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.\"

Feb 23

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 – 28th February 2023

What a difference a month makes.

After January’s spectacular start, investor optimism was tempered in February as, having eschewed reassessing assumptions based on more positive economic data, investors were forced to take note of the reacceleration in core inflation numbers and reassess where both the peak rate of interest lies and how long rates may remain elevated relative to the ultra-low levels they have become accustomed to in the post-GFC world.

That reassessment of how close to the end of the global tightening cycle we lie caused global equities and bonds to sell-off in tandem once more. Chinese equities were particularly poor performers, after a strong start to the year, as geopolitical tensions overshadowed the continued reopening as various ‘spy balloons’ found their way onto foreign shores.

The Fund returned -0.4% in February.

Two investments observed during the month with one of those investments maturing.

The maturing investment, which was linked to the FTSE 100 & EuroStoxx 50, called at the end of the first year of its life, paying out its full return of 7.7%. The proceeds were reinvested in an investment linked to the Nikkei 225 & EuroStoxx 50, with an annual return of 8.9%, illustrating that terms remain attractive against the environment into which the Fund launched.

The opportunity was also taken to upsize positions with attractive GRYs on the back of inflows.

There is currently over 34% on average before capital is at risk, and over 32% before investments would not pay out their full growth amounts, unchanged from last month.

The Fund’s GRY increased to 10.4% in the event that the underlying equities are flat, and the Fund retains large amounts of intrinsic value.

Of the three scenarios that could play out this year:

  • Soft landing (& now ‘no landing’)
  • Hard landing
  • Higher for longer

The market was increasingly confident at the start of the year that no landing, or at worst a soft landing, had been orchestrated simultaneously with inflation making its way back to target largely by supply chain easing given Fed policy cannot be overly restrictive without some form of landing.

However, recent data has called this assumption into question. For the first time in a long time, central banks have replenished some of the arrows in their quivers to tackle a recession as and when that happens. The idea that there would be a pivot and those arrows would be used before any landing is in sight is fanciful. Investors must get used to the fact that ‘higher for longer’ is likely to remain in place until either inflation does come back down to target, which is likely to prove difficult (ceteris paribus) given structural shifts in economies, or the Fed tighten enough to break something, as they always do. Either way, we are comforted by the protection afforded to investors in the Fund, and the significant returns it can produce in an environment in which equity struggles.

Total Return 2023 Feb
UK 100 6.2% 1.8%
US 500 3.6% -2.5%
Europe 50 12.0% 1.9%
Japan 225 5.2% 0.5%
Hong Kong 50 0.0% -9.4%
US 2000 7.9% -1.7%
Swiss 30 3.4% -1.7%
BCOM -5.9% -5.1%
US Treasury 0.4% -2.6%
Euro Property 7.8% -1.1%
PGF 4.7% -0.4%
AGF 0.6% 1.2%
DGF 2.5% 4.5%
Real Estate 6.0% -2.1%
US Equity Income 3.4% -2.5%

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."

Jan 23

mateerialpdfiamge

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 January 2023

What a difference a year makes.

2023 started in fairly spectacular style as risk assets across the board enjoyed a month of high optimism and returns.

December’s inflation numbers continued to slow whereas data turned more positive causing investors to assign a higher probability to a soft landing, and the whispers are now that a recession may even be avoided altogether.

The Fund had a similarly buoyant month, increasing by 5.1%.

Within the Fund’s underlying indices themselves, the reversal of a trend that characterised 2022 was of some note; the FTSE 100 Equal Weight Index, that lagged its market cap weighted sibling so significantly in 2022, outperformed as markets priced in the prospect of lower rates. On the other side of the world the Hang Seng, which was the subject of a number of issues topped by the ill-advised and fundamentally unachievable ‘zero Covid’ policy, has enjoyed a period of significant growth as it has become clear that Beijing have abandoned it entirely and will allow Omicron to blow through the population and reopen in earnest.

There were four observations during the month, with one investment calling.

The maturing investment, which was linked to the FTSE 100 & EuroStoxx 50, called at the end of the third year of its life, paying out its full return of 21.3% (7.1% x 3). The proceeds were reinvested in an investment linked to the Russell 2000 & EuroStoxx 50, with an annual return of 9.0%, illustrating that terms remain attractive against the environment into which the Fund launched.

Also of note is the increase in the protection levels afforded to investors after the recent rally. There is currently over 34% on average before capital is at risk, and over 32% before investments would not pay out their full growth amounts.

Despite the levels of protection increasing significantly, the Fund retains a high GRY of 9.9% in the event markets return nothing, whilst if markets were to fall 20% from here, the terminal payoff of the existing investments is +34.5%. Those returns are contractually stipulated and in effect locked-in provided the underlying indices satisfy their conservative final barriers.

The market is increasingly confident that the Federal reserve have managed to orchestrate a soft landing. Whilst this might be the case, purely on the balance of probabilities it is less likely than the other outcomes of a hard landing or the need for higher rates for longer. Anecdotally, they have never in their history managed it before. Investors should note that in all previous rate rise cycles, soft landing type conditions have been experienced, after all, you need to at least pass through those types of conditions before heading elsewhere. Let us hope we have reached our final destination.

Total Return 2023 Jan
UK 100 4.4% 4.4%
US 500 6.3% 6.3%
Europe 50 9.9% 9.9%
Japan 225 4.7% 4.7%
Hong Kong 50 10.4% 10.4%
US 2000 9.8% 9.8%
Swiss 30 5.2% 5.2%
BCOM -0.9% -0.9%
US Treasury 3.1% 3.1%
Euro Property 8.8% 8.8%
PGF 5.1% 5.1%
AGF -0.6% -0.6%
Real Estate 8.3% 8.3%
US Equity Income 6.2% 6.2%

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 22

mateerialpdfiamge

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 December 2022

Despite another month in which inflation numbers moderated, risk assets struggled as central banks reiterated their hawkish rhetoric and commitment to staying the course in taming inflation, which remains highly elevated. This was possibly best illustrated by the dot plot increasing in spite of the softer print.

Elsewhere, the big news came out of Asia, where China stepped up their relaxation of Covid curbs and Japan adjusted Yield Curve Control, widening the target band to 50bps on the 0% 10 year yield target.

The Fund decreased by 1.3%.

No investments called during the month.

The GRY available to investors increased once more. The terminal value of the current investments stands at 33.7% in the event markets annualise at 0% in price terms over the next three years. GRYs remain highly attractive even in equity markets that fall significantly.

The Fund decreased by 6.5% over the year, against a decrease in global equities of 17.7%. The Fund’s sensitivity to its underlying equity exposures remains within target before the protection overlay is taken into account.

As the dust settles on 2022, it will go down as perhaps the year in which irreparable damage was done to the 60/40 investment philosophy as a stand alone, all weather strategy for all times. And, more importantly, that asset allocations consisting purely of bonds and equities are not suitable across risk profiles. That is certainly not to say that the 60/40 portfolio will not have its day again, it will. The question is when. But, given correlations, and what has been seen this year as the result of markets beginning to be weaned from the performance enhancing drugs they have enjoyed for so long, there can be no argument over its fitness in isolation.

Given the price action seen in the first part of the New Year, it would seem the narrative has shifted to one of the Fed having manufactured a soft landing perfectly. Of course this is possible, but less likely than the options either side that they have either done too much already, leading to a hard landing, or not enough and, as the central banks themselves remain keen to point out, more is needed to tame the stickier aspects of inflation, namely wages. In either of the latter scenarios, equity is likely to struggle to annualise above meagre returns for the foreseeable future, and investors need to seek ways to achieve meaningful returns from other sources.

Total Return 2022 December
UK 100 4.6% -1.5%
US 500 -18.5% -5.8%
Europe 50 -9.5% -4.3%
Japan 225 -7.8% -6.8%
Hong Kong 50 -12.7% 6.4%
US 2000 -20.4% -6.5%
Swiss 30 -11.1% -3.6%
BCOM 13.8% -2.8%
US Treasury -13.0% -0.5%
Euro Property -38.9% -1.7%
PGF -6.5% -1.3%
AGF 1.0% 0.2%
Real Estate -33.9% -1.2%
US Equity Income -18.4% -5.9%

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."

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."