October 2022 – 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 – 28th October 2022

News flow continues to be dominated by inflation, its knock on effect on the future direction of monetary policy, and escalating geopolitical tensions, much as it has been over the course of the year thus far.

Inflation prints continue to be troublesome, particularly accelerating core inflation in the US, where shelter and services more than offset falling energy and finished goods prices.

Central banks continued on their hawkish trajectory for the most part; the ECB raised by another 75bps, whilst at the time of writing the Federal reserve have also raised by another 75bps as well as indicating a higher terminal rate, and rates staying there for longer than previously anticipated.

In spite of this, risk assets posted strong returns over the month following September’s volatility. The exception was China, where hopes that the Party Conference would possibly signal an end to the country’s insane zero-covid policy were premature as Xi Jinping instead used the occasion to consolidate power, notably with the Game of Thrones-style removal of former President Hu Jintao from the chamber.

The Fund posted a return of -0.9% for the month.

The major detractors to Fund performance were the Fund’s credit volatility positions, in the form of long credit default swap (CDS) positions. As one might expect, in an environment in which risk assets rally hard, credit spreads tend to narrow. The positions have done well this year, in spite of credit markets remaining reasonably sanguine; spreads have widened, but in a fairly orderly fashion thus far. It is in the event of a market panic that the positions would really come into their own.

The Fund’s rates volatility strategies posted another month of net positive returns. They have been the Fund’s biggest contributor this year as the US Treasury market has begun to creak. As the two biggest buyers in the swollen market, Japan and the Fed, begin to step away, it leaves Treasuries facing a growing liquidity issue in the form of a dearth of demand.

Elsewhere the Fund’s US equity vol arb strategy continued to struggle, as most US equity vol strategies have this year as equity volatility has remained rangebound. The strategy was reduced and a new equity vol term strategy was added. The new strategy is net long volatility, and should provide some convexity in a crisis, but has a more defined premia during flat to rising markets.

All eyes continue to be on inflation and monetary policy. The market in general seems to assume that inflation is linear and rises to a peak before falling to a trough with no noise in between. In reality this is unlikely. There are likely to be prints which raise hopes of the world returning to its previous low or no inflation environment. However, when one looks back through time, it is clear inflation itself can be volatile. We are likely to see a period of asset price normalisation with an unwinding of globalisation, a continuation of populist politics, resource scarcity and geopolitical tension. All of this is inflationary, and given there is still the prospect of the world’s second largest economy finally reopening, investors must not only retain, but continue to increase their diversification. A sizeable rally such as the current one provides the perfect opportunity.

Total Return 2022 October
UK 100 -1.5% 2.3%
US 500 -17.4% 8.9%
Europe 50 -14.0% 8.9%
Japan 225 -4.3% 4.5%
Hong Kong 50 -34.5% -13.7%
US 2000 -16.9% 11.0%
Swiss 30 -13.9% 4.9%
BCOM 12.7% 0.2%
US Treasury -15.4% -0.9%
Euro Property -37.6% 3.0%
PGF -9.6% 3.8%
AGF 0.8% -0.9%
Real Estate -34.5% 4.4%
US Equity Income -17.4% 8.9%


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."

September 2022 – AGF

Fortem Capital Alternative Growth Fund

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

Monthly Commentary – 30th September 2022

September saw a continuation of the struggles seen for both equity and bond markets thus far this year as investors fully digested Jackson Hole, continued to come to terms with the fact policymakers are committed to bringing down inflation at the expense of growth, and witnessed this in action as central banks around the world hiked aggressively and terminal rate expectations jumped.

September’s continued declines leave global equities down 25% for the year, whilst even the mighty US Treasury market has given up over 14%.

The Fund posted a positive return of 1.5% for the month.

The majority of the returns were contributed by the Fund’s rates volatility strategies. Of those strategies, the swaption on the US 10 year yield had a hard limit of the yield hitting 3.5% before profits were taken and the position restruck. This occurred in September and indeed profits were taken and a new position entered into with a higher strike.

The Fund’s credit volatility positions were also positive contributors once more. As the market grapples with the fact central banks are looking at inflation alone and not the effect their actions have on companies’ ability to service the significant debt built up over years of low rates, spreads continue to widen.

The biggest detractor to performance was the Fund’s commodity value strategy, which is designed to monetise the outperformance of gold in Asian trading hours over European. It tends to be net long gold over time and thus suffered from gold’s heavy falls.

A new rates curve strategy was added during the month, a steepener on the US yield curve. The curve has inverted to levels not seen for 40 years. The opportunity was taken to put on a two year trade to take advantage of an eventual reversion here.

It has become something of a trope, but this year has shown more than any other in recent memory the importance of diversification within investment portfolios. Persistent and high inflation, the hawkish commitment from central banks to bring it down, rising geo-political tensions and the de-globalisation of the global economy mean that the risk that traditional assets may produce at best anaemic returns for the foreseeable future is one investors must take seriously. Liquid alternatives were unnecessary whilst 60/40 had its goldilocks decade. The temperature has changed and looks set to not be quite right for some time to come.

Total Return 2022 September
UK 100 -3.7% -5.2%
US 500 -24.1% -9.3%
Europe 50 -21.0% -5.6%
Japan 225 -8.5% -7.1%
Hong Kong 50 -24.1% -13.2%
US 2000 -25.1% -9.6%
Swiss 30 -18.0% -5.3%
BCOM 12.4% -8.4%
US Treasury -14.6% -4.3%
Euro Property -39.5% -16.6%
PGF -12.9% -6.2%
AGF 1.7% 1.5%
Real Estate -37.3% -17.3%
US Equity Income -24.1% -9.3%


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."

August 2022 – AGF

Fortem Capital Alternative Growth Fund

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

Monthly Commentary – 31st August 2022

In August investors were finally left in no doubt as to where the priorities of the Federal Reserve lie; in reducing inflation, even at the expense of the economy over the short term. Jerome Powell’s Jackson Hole speech was clear, there will not be a pivot unless inflation moves meaningfully towards the 2% target. As a result, equities and bonds suffered in tandem once more, as they are likely to in an environment in which inflation proves more structural and persistent than is being priced in, even now. From here, bond and equity markets are likely to experience more turbulence unless inflation does indeed move down in a meaningful manner.

The MSCI World Index returned -4.1%, whilst global aggregate bonds returned -3.9%.

The Fund returned 0.7%.

Whereas the previous month, which saw investors buoyed by a truly paltry inflation reading of 8.5%, saw the Fund’s rates and credit volatility strategies suffer, August saw a return of volatility in bond markets after Powell’s Jackson Hole speech.

Some calm also returned to natural gas prices in the US after a turbulent summer in which inventories were depleted as demand for cooling was high by historic standards. Something to note for investors is the disconnect between what is going on in European gas prices, which have surged on the back of the Russia situation, and US gas prices which are an inventory and weather phenomena. The US are already at their export limit for liquefied natural gas (LNG) and prices therefore are relatively insulated from the troubles across the Atlantic. US natural gas prices have though increased incredibly early this year, to the detriment of the Fund, but it does mean that there is a sizeable premium available to investors heading into winter. But, given the scale of the rise so far this year (+125%) it is a risk that needs to be sized diligently; any portfolio that was left alone would have double the exposure that it started the year with.

The Fund’s FX strategies once again suffered from the dollar’s strength vs the rest of the G10 currencies, particularly the yen as the Bank of Japan remain incredibly dovish given the backdrop. That has undoubtedly been to the advantage of Japanese equities this year, but as import price rises start to bite there are whispers of intervention coming.

It has been something of a theme this year that the Fund has dovetailed bonds and equities; benefitted as they have suffered and given back on their relief rallies (as one might hope an alternative might). It was reported here last month that the narrative around the potential Fed pivot was far overblown, and so it has turned out. Worryingly for the Fed, it is again the stickier components of inflation that are increasing. It is looking increasingly likely that they will be forced into hiking higher and for longer than the market anticipates. Add to this Quantitative Tightening starting in earnest and there is the potential for things to get worse before they get better. The net short position in commodities has clearly been a detractor this year but, in spite of this, the Fund remains in positive territory and that commodity positioning remains the biggest risk weight. If the Fed are indeed forced into hiking to the point of killing off demand, that may be the time that all of the strategies begin to work together.

Total Return 2022 August
UK 100 1.6% -1.1%
US 500 -16.4% -4.1%
Europe 50 -16.3% -5.1%
Japan 225 -1.6% 1.1%
Hong Kong 50 -12.6% -0.8%
US 2000 -17.2% -2.1%
Swiss 30 -13.4% -2.6%
BCOM 22.7% 0.2%
US Treasury -10.8% -2.8%
Euro Property -27.4% -10.8%
PGF -7.2% -2.3%
AGF 0.2% 0.7%
Real Estate -24.2% -9.4%
US Equity Income -18.8% -4.1%


Disclaimer

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

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

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

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

October 2021 – AGF

Fortem Capital Alternative Growth Fund

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

Monthly Commentary – 29th October 2021

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

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

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

The Fund was down 0.45% over the month.

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

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

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

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

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

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


Disclaimer

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

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

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

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

September 2021 – AGF

Fortem Capital Alternative Growth Fund

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

The Title

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

The Fund was down 0.4% over the month.

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

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

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

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

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

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

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

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

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

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

Oct 2022

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 October 2022

News flow continues to be dominated by inflation, its knock-on effect on the future direction of monetary policy, and escalating geopolitical tensions, much as it has been over the course of the year thus far.

Inflation prints continue to be troublesome, particularly accelerating core inflation in the US, where shelter and services more than offset falling energy and finished good prices.

Central banks continued on their hawkish trajectory for the most part; the ECB raised by another 0.75%, whilst at the time of writing the Federal Reserve have also raised by another 0.75% as well as indicating a higher terminal rate, and rates staying there for longer than previously anticipated.

In spite of this, equity markets on the whole posted healthy returns after September’s volatility. The exception was China, where hopes that the Party Conference would possibly signal an end to the country’s insane zero-covid policy were premature as Xi Jinping instead used the occasion to consolidate power, notably with the Game of Thrones-style removal of former President Hu Jintao from the chamber.

The Fund increased by 3.8% over the month.

There was one investment that matured during the month, four years since its inception. The investment was replaced at terms that show just how attractively the market is pricing currently, with a coupon of 10.5% and protection that would allow the indices to fall 40% over 6 years from already depressed levels before any capital erosion.

The opportunity was also taken at the start of the month to restructure one of the two Hang Seng positions, before the party conference. The position was switched into an investment on the US 2000 and Swiss Market 30 indices with an annual payoff of 11.3%, which improved the Fund’s GRY in all scenarios as well as adding extra protection given the new investment was also struck with a 40% buffer.

Persistent inflation, central banks steadfast in their hawkishness to bring it under control as well as continued geopolitical tension and the de-globalisation it brings mean that investors must take seriously the prospect that equity returns may be anaemic over the medium term. The Fund remains poised to deliver significant returns if markets do turn out to be anaemic, just as it does if there are further falls or indeed a recovery from here.

Total Return 2022 October
UK 100 -1.5% 2.3%
US 500 -17.4% 8.9%
Europe 50 -14.0% 8.9%
Japan 225 -4.3% 4.5%
Hong Kong 50 -34.5% -13.7%
US 2000 -16.9% 11.0%
Swiss 30 -13.9% 4.9%
BCOM 12.7% 0.2%
US Treasury -15.4% -0.9%
Euro Property -37.6% 3.0%
PGF -9.6% 3.8%
AGF 0.8% -0.9%
Real Estate -34.5% 4.4%
US Equity Income -17.4% 8.9%


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."

Sep 2022

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 2022

Bonds and equities continued to sell off sharply together in September as investors digested central banks’ commitment to bringing down inflation, even at the expense of growth.

September’s continued declines leave global equities down 25% for the year, whilst even the mighty US Treasury market has given up over 14%.

The Fund fell by 6.2% over the month.

There were five investments within the Fund that observed in September, four of which were at the end of their first year and therefore missed the barrier given the heavy declines seen over the past year. However, one investment did call, after its third year, showing the effectiveness of having barriers that reduce through time, giving investments the opportunity to produce positive returns even when the underlying equities they are linked to do not.

Given just how far equity markets have now fallen, for the first time investors can see that one would expect a negative return if the underlying equity indices were to fall another 20% and not recover, albeit the Fund would still strongly outperform those underlying equity indices.

In spite of this, there still remains a sizeable amount of protection in the portfolio, as well as the protection that time affords it; the average life to maturity is currently just over 4 years.

Persistent and high inflation, the hawkish commitment from central banks to bring it down, rising geo-political tensions and the de-globalisation of the global economy mean that the risk that equity markets may produce at best anaemic returns for the foreseeable future is one investors must take seriously. Having a Fund that produces double digit returns if equity markets make no recovery from here, and still maintains some protection even in the event of further falls, simply must be considered given the backdrop.

Total Return 2022 September
UK 100 -3.7% -5.2%
US 500 -24.1% -9.3%
Europe 50 -21.0% -5.6%
Japan 225 -8.5% -7.1%
Hong Kong 50 -24.1% -13.2%
US 2000 -25.1% -9.6%
Swiss 30 -18.0% -5.3%
BCOM 12.4% -8.4%
US Treasury -14.6% -4.3%
Euro Property -39.5% -16.6%
PGF -12.9% -6.2%
AGF 1.7% 1.5%
Real Estate -37.3% -17.3%
US Equity Income -24.1% -9.3%


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."

Aug 2022

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 August 2022

August saw investors left under no uncertainty about the commitment of central banks to bring inflation under control in spite of data continuing to signal a slowdown of growth in the global economy. Both bond and equity markets reacted negatively over the month as investors brace for tighter conditions for longer.

Most major equity indices suffered falls over the month with the exception of Japan, where policy continues to be loose and the benefits felt of a weakening currency.

The Fund posted a return of -2.3% for the month.

There were again no maturities during the month, with three observation barriers being missed; those three investments simply roll onto next year, during which they will have another, lower observation barrier. The defined annual returns from this year also roll onto next year, hence the Fund is building in significant levels of value that is essentially locked in and paid so long as the investments’ final barrier, set in the 60s at outset, is not breached.

The return available to investors in a scenario in which the equity indices do not rise is now greater than an annualised 10%. Given that central banks are now telling investors that they expect rates to rise higher and stay higher for longer, the return built into the Fund looks more and more attractive.

Equities have enjoyed a prolonged period of favourable conditions until this year, and it has undoubtedly caused a shift in where expectations of future returns are anchored. Given the prospect that conditions may be tighter for longer, valuations’ heady starting point, and the continued call for the redistribution of some of the spoils of the era of stimulus, equities could be set for an extended period of lower annualised returns than investors have become used to. It is for this reason that the case for defined returns in portfolios has never really been stronger.

Total Return 2022 August
UK 100 1.6% -1.1%
US 500 -16.4% -4.1%
Europe 50 -16.3% -5.1%
Japan 225 -1.5% 1.1%
Hong Kong 50 -12.6% -0.8%
US 2000 -17.2% -2.1%
Swiss 30 -13.4% -2.6%
BCOM 22.7% -0.2%
US Treasury -10.8% -2.8%
Euro Property -27.4% -10.8%
PGF -7.2% -2.3%
AGF 0.2% 0.7%
Real Estate -24.2% -9.4%
US Equity Income -18.8% -4.1%


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."