June 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 – 30th June 2023

The first half of 2023, whilst being
punctuated by a banking crisis and the associated volatility (sic) that comes
with one, has been an incredibly rewarding time for risk assets.

After the struggles of 2022, equities in
general have enjoyed a period of supernormal returns, buoyed by central banks
finding ways to loosen policy whilst rates remain elevated; ‘not QE, QE’,
whilst in Japan there has not yet been any tightening at all; ‘don’t fight the
Fed’ et al. As one would expect, as conditions loosened and the lagged effects
of higher rates are yet to be truly felt, there has also been a significant
rotation back to growth from value which can be seen clearly by the relative
fortunes of the value-heavy UK 100 against its growth-dominated counterpart in
the US this year.


Once more the outlier in global equities
was China / Hong Kong, where idiosyncratic issues continue to temper sentiment
as the initial optimism over the country’s reopening fades.


In a quarter of continued positive
performance for most of the Fund’s underlying indices, the Fund posted a
positive return of 2.3%.

Given the moves down in the underlying
indices to which the Fund is exposed during 2022, the number of investments
maturing early had reduced significantly. But, as the recovery has gathered
pace, those indices have begun to satisfy their early barriers once more.
During the quarter, 10 investments observed; the first eight had at least one
index below the required hurdle to mature early, before the two investments
that observed later in June called.  


As a reminder to investors, every
investment in the Fund must have its final barriers both to protect capital and
achieve full capital growth in the 60s at most; in other words, for every
investment in the Fund, the underlying indices can fall more than 30% (often
closer to 40% and in some cases even 50%) over a
six year period before not paying full returns or
risking capital. Both investments that called, did so at the end of the second
year of their potential
six
year

life, paying 14% (2 x 7%) and 12.6% (2 x 6.3%) respectively. They were replaced
with new investments with a potential return of 11.1% and 10.1% with lower
final barriers, illustrating just how attractive the pricing environment is
currently. With markets having enjoyed such a stellar run, barring a
significant fall in the very near future, there are a significant number of
investments set to mature early that have been offering returns almost half of
what can be achieved for commensurate or even lower risk today.


It is the current high rate environment which is mostly responsible
for the attractiveness in terms, a far cry from the middle of 2021, when the
investments that recently called were struck. At that time, the two main
pricing inputs of rates and volatility were very low, meaning that unless one
was willing to assume greater risk, one had to suffer a period of
lower than average returns in order to not change the risk
profile of the Fund. This Fund will not deviate from its strict guidelines as
to its final barriers, irrespective of environment. The current environment has
meant that the Fund can maintain its already attractive GRY, whilst also
lowering the average barrier levels:


Total Return 2023 Q2
UK 100 3.2% -0.3%
US 500 16.6% 8.6%
Europe 50 18.4% 3.7%
Japan 225 28.4% 18.5%
Hong Kong 50 -2.8% -6.1%
US 2000 8.1% 5.2%
Swiss 30 8.3% 3.0%
BCOM -10.0% -3.8%
US Treasury 2.1% -0.8%
Euro Property -7.6% -3.2%
PGF 7.4% 2.3%
AGF -1.9% -2.2%
DGF 1.7% -0.3%
US Equity Income 16.2% 8.5%


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."

Mar 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 – 31st March 2023

The first quarter of 2023 will in time be remembered as an extraordinary one.

When one looks at the end result, it has been a welcome respite for risk assets as well as the 60/40 portfolio after a difficult 2022. Global equities have annualised at 35% and global bonds 14%.

However, the journey of travel has been, as is the norm now with the amount of leverage in the system, anything but smooth to get there.

As we entered the year, headline inflation had been falling and data improving, causing markets to begin to price in a ‘no landing’ scenario and a return to loose monetary conditions much sooner than was previously forecast, to the benefit of risk assets across the board.

February saw some reversal as the ‘headwind’ of strong data surprises as well as a reacceleration in core inflation numbers forced investors to once more reassess both the terminal rate and more importantly how long rates may remain elevated for; the market was back to the 2022 scenario of bonds and equities struggling simultaneously.

The prospect of rates staying higher for longer caused some cracks to appear in the banking sector in March, albeit consigned to smaller banks that had a duration mismanagement / no management issue coupled with a concentration of potentially flighty VC fund deposits. In mid-March the market had a significant wobble followed by the extremely unusual scenario in which the bond market was pricing in a banking crisis whilst equity and credit were unmoved and latterly buoyant; the Fed put is back it would seem.

The Fund returned -0.3% for the month and 0.3% for the quarter.

Once more the Fund, in the eye of the storm in March, showed its defensive qualities as it began on its usual upward convex trajectory as the mini-banking crisis unfolded.

The strategies that performed particularly well during that period were the Fund’s protection strategies, namely the long CDS positions and put spreads. As the month wore on, and the market embarked on a swift recovery and credit spreads collapsed, those gains were given back.

The main detractors, as one might imagine, given that the bond market has priced in a crisis and the associated cuts to rates starting as soon as June, were the rates volatility strategies.

We are now in the extraordinary position in which, in spite of rising geopolitical tensions, core inflation that remains stubbornly elevated, worsening data, and cracks appearing in the fabric of the financial system, global equities are running at an annualised 35% whilst the bond market is pricing in a recession; one of them must be wrong.

The market, so used to intervention at the first sign of trouble, blindly assumes that liquidity will be added as and when required in order  to keep asset prices buoyant; animal spirits are the only explanation for the current rally we are seeing. The Fed may abandon their inflation mandate. It would be a policy error, but would not be the first. However, they themselves are adamant they will not, and the market once more may be forced to grapple with this reality. Either way, equities and bonds remain correlated, predicated on central bank policy, and investors absolutely must maintain some form of diversification in case the liquidity deluge that is priced in is not in fact set to continue, never mind if there is a hard landing that awaits.

Total Return 2023 Mar
UK 100 3.5% -2.5%
US 500 7.4% 3.6%
Europe 50 14.2% 2.0%
Japan 225 8.3% 2.9%
Hong Kong 50 3.5% 3.5%
US 2000 2.7% -4.8%
Swiss 30 5.1% 1.6%
BCOM -6.5% -0.6%
US Treasury 3.0% 2.5%
Euro Property -4.5% -11.4%
PGF 5.0% 0.3%
AGF 0.3% -0.3%
DGF 2.0% -0.5%
US Equity Income 7.1% 3.4%


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."

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

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."

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.\"

Mar 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 – 31st March 2023

Equity markets finished the first quarter of 2023 as they started it; in buoyant mood.

However, as the dust settles on Q1 2023, it is likely to be remembered as an extraordinary one.

As we entered the year, headline inflation had been falling and data improving, causing markets to begin to price in a ‘no landing’ scenario and a return to loose monetary conditions much sooner than was previously forecast, to the benefit of risk assets across the board.

February saw some reversal as the ‘headwind’ of strong data surprises as well as a reacceleration in core inflation numbers forced investors to once more reassess both the terminal rate and more importantly how long rates may remain elevated for; the market was back to the 2022 scenario of bonds and equities struggling simultaneously.

The prospect of rates staying higher for longer caused some cracks to appear in the banking sector in March, albeit consigned to smaller banks that had a duration mismanagement / no management issue coupled with a concentration of potentially flighty deposits. In mid-March the market had a significant wobble followed by the extremely unusual scenario in which the bond market was pricing in a banking crisis whilst equity and credit were unmoved and latterly buoyant; the Fed put is back it would seem.

The quarter as a whole has been a very positive one for risk assets, and the 60/40 portfolio, as both bonds and equities recovered significantly, even with a mini crisis punctuating the period.

The Fund returned 0.3% during the month and 5.0% over the quarter.

One investment observed during the month without calling.

If there was any remaining doubt about the Federal Reserve’s impact on markets through the addition or subtraction of liquidity, then March should have put that to bed.

In a single week, the previous 18 months of QT was undone and the market was immediately willing to look through the cracks that had appeared in the system to resume an upward trajectory. In February’s commentary it was noted that ‘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.’  It remains to be seen whether in the Fed’s opinion they did break something, or whether they see the SVB issue as unsystematic. The unanimous vote to raise by another 25bps in the aftermath possibly points to the latter.

Either way, it remains unlikely that there will be a pivot in policy without the economy crying out for it, and whilst the labour market remains unusually tight given the economic backdrop, the Fed will be hesitant to use the monetary policy weapons in its arsenal to fight a battle that has not yet begun. The bond market in March priced in a crisis whilst equity and credit were ‘business as usual’; one must be wrong, and the Fund should be able to produce positive returns over the medium to long term in either scenario.

Total Return 2023 Mar
UK 100 3.5% -2.5%
US 500 7.4% 3.6%
Europe 50 14.2% 2.0%
Japan 225 8.3% 2.9%
Hong Kong 50 3.5% 3.5%
US 2000 2.7% -4.8%
Swiss 30 5.1% 1.6%
BCOM -6.5% -0.6%
US Treasury 3.0% 2.5%
Euro Property -4.5% -11.4%
PGF 5.0% 0.3%
AGF 0.3% -0.3%
DGF 2.0% -0.5%
US Equity Income 7.1% 3.4%


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."

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."

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."