May 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 May 2022

Investors in traditional asset classes had suffered a torrid start to the year before May, when they were granted some respite. Heading into the month, investors’ attention remained on the key risks that had thus far dominated headlines; inflation and its effect on the future direction of central bank policy, the continuing war in Ukraine, and Covid policy rather than Covid itself. After a 1.2% rise in March, consumer prices in the US rose 0.3%, fuelling hope that the pace of rising prices was slowing. Bond and equity markets reacted well to the data and recovered strongly to both post positive returns overall.

European markets remain affected by the continuing war, amongst the other prevailing risks, and May saw the first European embargos on Russian energy. In the US, the Fed raised rates by 50bps, and signalled another 50bp hike in June, although the messaging became muddled as the month wore on, much to the delight of bond and equity markets alike. Rates volatility in particular fell heavily. In China, Shanghai, much of which has been in lockdown due to the relatively mild Omicron variant, finally began to reopen as cases dropped, to the relief of Chinese equities.

The Fund posted a return of -1.6%.

Unsurprisingly, it was the Fund’s rates volatility strategies which were the biggest detractors, given the heavy falls in rates volatility towards month end. Combined they took off 0.8%.

The Fund’s US equity volatility arbitrage strategy was also a detractor, -0.5% at Fund level. Historically, the strategy can drawdown on more measured volatility stresses; in spite of the pain felt by investors, volatility has not returned to levels seen in ‘98 ’01 ’08 ‘11 & ‘20. However, it tends to be long ‘the wings’, meaning that it should provide convexity in severe market stresses such as those mentioned above.

The Fund’s long CDS positions also suffered as credit spreads narrowed on the ‘good news’ of an inflation rate of 8.3%.

The Fund’s commodity strategies were muted as curves remain in the 99th percentile of backwardation. Indeed, long commodity positions continued to be a good place to be for investors. The entry point for commodity curve strategies remains as attractive as it has ever been, and the Fund is set to increase weighting here.

Despite the brief respite after hopes were raised of a peak in inflation having passed, it would seem, as has been argued here for some time, that central banks have grossly miscalculated inflation. The money supply was vastly increased post-2008, causing none, but money supply alone is not enough; velocity matters. As a response to Covid, more stimulus was provided in three months than in the six years after the Financial Crisis, but this time in monetary and fiscal union, including direct injections of cash into bank accounts. The money found its way to Main St rather than being trapped on Wall St. it has left a $6trn overhang of excess money in the system.

The probability that the inflation being seen is in fact more of a secular phenomenon has increased hugely. May’s print, published in June, showed a reacceleration, causing equities and bonds to once more come under pressure.

The Fund has recovered all of May’s performance and more since month end. As much as the narrative of the Fed being hesitant to heap more pressure on markets is something investors are hoping holds true, there is perhaps an argument that they should be looking to DC rather than JP; non-asset owners, who control a huge block of votes, are feeling the pinch. Gas prices tend to equal votes, and they have passed $5 for the first time ever. With mid-terms on the horizon, the Fed may now have no choice.

Total Return 2022 May
UK 100 4.8% 1.1%
US 500 -12.9% 0.1%
Europe 50 -10.1% 0.9%
Japan 225 -4.4% 1.9%
Hong Kong 50 -7.6% 2.1%
US 2000 -16.6% 0.2%
Swiss 30 -7.4% -4.1%
BCOM 32.4% 1.4%
US Treasury -8.9% 0.6%
Euro Property -14.0% -4.0%
PGF -4.9% -0.6%
AGF 0.0% -1.6%
Real Estate -13.5% -6.6%
US Equity Income -12.9% 0.1%


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."

April 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 – 29th April 2022

Bond and equity markets once again sold off in tandem in April in a continuation of what investors have had to contend with thus far in 2022. A combination of the war in Ukraine, central bank hawkishness and the misguided zero-Covid policy in China again led investors out of both asset classes.

Equity markets have posted significant falls this year; as at the end of April the MSCI World is down 13.5%. But it is the bond market which has garnered the biggest headlines, having suffered their worst start to a year on record, by some margin. Global bonds fell 5.5% in April, leaving them down 11.3% in 2022. As is well documented, this has been driven by the shift in expectations from eternally dovish central banks to those same banks entering a tightening cycle and promising to begin to shrink their grossly inflated balance sheets. Whilst credit spreads have increased, credit markets have been reasonably orderly thus far, particularly when one considers the amount of leverage in the system.

China, and its most recent Covid outbreak, became a major story. Those that have been vaccinated in China have been so with a less effective vaccine. There is a notable difference in the death rate which has prompted the Chinese authorities to continue the zero-Covid policy that, up until now, had been relatively successful in containing the virus. Chinese lockdowns have a profound effect on the global economy, both in terms of supply and demand, those effects are likely to be felt in the coming months.

The Fund posted a return of 1.0%.

The rates volatility strategies were the biggest contributors as bond markets continued to experience turbulence.

Elsewhere, there were also positive contributions from the long CDS positions. Spreads have moved higher this year but, when looking back through time, still sit well below March 2020 levels, which was not a credit crisis, below levels in early 2016, and far below 2008 levels. If the reversal in course of monetary policy were to stress credit markets, there is still a long way that spreads could go.

The Fund’s US equity volatility arbitrage strategy was the main detractor. The strategy aims to profit from taking long and short option positions where they are perceived to be under or overvalued.

2022 has been a tough year for investors thus far, particularly in the world of 60/40. The Covid crisis in March 2020, and as importantly the sheer speed and severity of the recovery, has possibly lulled investors into an assumption that this would be repeated if the current turbulence were to get worse before it gets better. And of course it might.

However, investors should be aware that the very core of the current turbulence is centred around the removal of the stimulus that has kept bond and equity markets so buoyant for so long and facilitated such a swift recovery from the last crisis. This is not a new paradigm, it is the reversal of the old one.

Total Return 2022 Apr
UK 100 3.6% 0.8%
US 500 -13.0% -8.7%
Europe 50 -10.9% -2.1%
Japan 225 -6.1% 3.5%
Hong Kong 50 -9.5% -4.1%
US 2000 -16.7% -9.9%
Swiss 30 -3.5% 0.9%
BCOM 30.6% 4.1%
US Treasury -9.5% -3.8%
Euro Property -10.3% -6.0%
PGF -5.5% -1.5%
AGF 1.6% 1.0%
Real Estate -7.4% -3.6%
US Equity Income -13.0% -8.8%


Disclaimer

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

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

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

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

March 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 March 2022

March was an extraordinary month in global markets. At the beginning of the month, as attention was firmly focussed on the Russian invasion of Ukraine, equities, particularly in Europe, suffered heavy losses. Remarkably, even with no resolution to the conflict, those losses were made back throughout the month to leave most major indices sitting above where they started it. The notable exception was Hong Kong, where the absurd ‘zero-covid’ policy has prompted a swathe of lockdowns.

Despite the volatility in equity markets, it was bond and commodity markets that continued to grab headlines. There were truly unprecedented moves in commodities; energy and grains were particularly affected by the fallout from the invasion as a somewhat rare, by modern standards at least, coordinated response from the West put Russian energy exports in the spotlight. But the biggest surprise came in Nickel, where a Chinese billionaire, who also happened to own one of the world’s largest Nickel exporters, got short squeezed on his own reckless speculation. Ordinarily this would be a problem for any individual, unless the exchange, LME in this case, cancels all trades for that day and effectively turns back the clock, to the detriment of those who were on the other side of those contractually agreed trades.

Bond markets provided no refuge for investors as US Treasuries closed March to record their worst quarter since records began. It is well documented that the bond market has come under pressure as inflation has risen, threatening the goldilocks environment of the past decade. The first major ground invasion in Europe since the Second World War has put further pressure on prices and therefore policymakers, albeit whilst seemingly throwing them a bone in that it now seems the ‘Putin Price Hike’ is being blamed for the world’s inflationary troubles, which were already set in motion long before.

The Fund posted a return of 0.7% for the month.

The best performing strategies were the Fund’s rates strategies. These strategies are net long rates volatility and benefit from turbulence in US rates. The Fund also owns a swaption on US 10 year rates, with a strike of 3%; this provides the Fund with some convexity in the event of further increases in the US 10 year Treasury yield .

In spite of the unprecedented moves seen in commodity markets, the Fund was unscathed testament to the dynamic nature of the strategies’ implementations as well as some weakening of timespreads towards month end. Levels of backwardation entered previously unseen territory on the back of the invasion, and still sits in the 99.5th percentile historically. As a reminder, the strategies are set to benefit from the move back towards contango when it occurs.

The Fund’s FX Value strategies were the detractors; the strategies go long and short G10 currencies based on their under/overvaluation relative to their PPP. The Yen was the main driver as the Bank of Japan boosted its bond buying programme to control its yield curve.

As the dust has settled on the first quarter of 2022, the financial press is awash with the death knell for the 60/40 portfolio, something that has been written about here for some time. As always, most commentators are too binary in their aspersions; it is true that currently the 60/40 portfolio is not fit for purpose, but it may well have its time again if bond and equity markets are ever allowed to function without obscene central bank intervention; this is not a given. What is more relevant for investors is that, in the current environment, one needs more than two asset classes in order to achieve diversification in a multi-asset portfolio. Policymakers said, incorrectly, that there would be no inflation.  They said, incorrectly, that it was transitory. They now say it has peaked. Given their track record in predicting these things, it would be foolhardy to take them at their word; they hope it has peaked, as does everybody else.

Total Return 2022 Mar
UK 100 2.9% 1.4%
US 500 -4.7% -3.7%
Europe 50 -9.0% -0.5%
Japan 225 -2.7% 5.6%
Hong Kong 50 -5.7% -2.8%
US 2000 -7.5% 1.2%
Swiss 30 -4.3% 2.8%
BCOM 25.5% 8.6%
US Treasury -5.9% -2.8%
Euro Property -5.9% -2.8%
PGF -4.0% -1.0%
AGF 0.6% 0.7%
Real Estate -3.9% 4.7%
US Equity Income -5.9% 3.7%


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.\"

May 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 May 2022

Investors were granted some respite in May after a fairly torrid start to the year. A slight pivot from the Federal Reserve to a less hawkish tone after inflation slowed slightly, causing some to proclaim it had peaked, allowed both equity and bond markets to post positive returns on the month. NB – they are still correlated.

However, the broad risks of inflation, conflict, and Covid policy rather than Covid itself remain.

The Fund returned 0.6% over the month.

Within the Fund, the FTSE 100 continues to be the stand out performer across global equities. It’s equally weighted sibling underperformed it by 2.5% over the month. Meanwhile, most other equity markets posted modest positive returns. The Hang Seng has notably begun to recover as Covid restrictions begin to be lifted, the tech crackdown begins to loosen, and the Chinese Government attempt to stimulate the economy.

One investment called during the month, at the end of the first year of its life, returning investors 7.30% in growth as well as original capital. The investment was linked to the FTSE 100 and S&P 500. A replacement investment linked to the same indices was entered into in its place, with a headline coupon of 8.12% and a final protection barrier of 65% of initial strike.

The diversifier overlay returned -0.4% over the month as sentiment shifted and spreads narrowed.

With the relatively benign May out of the way, attention returns to inflation numbers for the same month. Any acceleration is likely to put risk assets, including bonds, back under pressure. The Fund, whilst not escaping the mark to market impact of equity declines, retains its significant protection over the medium term. And, if equities are to enter a paradigm of lower annualised returns than those investors have become used to, if not expect, then the pre-defined return profile that the Fund offers is something that should prove extremely useful in portfolios.

Total Return 2022 May
UK 100 4.8% 1.1%
US 500 -12.9% 0.1%
Europe 50 -10.1% 0.9%
Japan 225 -4.4% 1.0%
Hong Kong 50 -7.6% 2.1%
US 2000 -16.6% 0.2%
Swiss 30 -7.4% -4.1%
BCOM 32.4% 1.4%
US Treasury -8.9% 0.6%
Euro Property -14.0% -4.0%
PGF -4.9% 0.6%
AGF 0.0% -1.6%
Real Estate -13.5% -6.6%
US Equity Income -12.9% 0.1%


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."

Apr 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 – 29th April 2022

The trend that has characterised 2022 of bonds and equities selling off in tandem continued through April as investors again saw the war in Ukraine, increased hawkishness from central banks and the fallout from the misguided zero-Covid policy in China weigh on sentiment. There have been few places for the 60/40 portfolio to hide this year; the MSCI World Index is down 13.5% and Global Aggregate Bonds are down 11.3%. Again, given that the ultra-loose policy of the past decade or so is what drove the correlation to the upside, it is unsurprising to see the potential reversal of that policy driving correlation to the downside. The previously unloved FTSE 100 continues to stage something of a comeback due to its heavy exposure to financials and commodities.

The Fund returned -1.5% over the month.

Within the Fund, the equally weighted FTSE 100 continued to underperform its market cap weighted counterpart. Unsurprisingly, given the moves seen over the month, the S&P 500 was the biggest detractor.

One investment called during the month, at the end of the fourth year of its life, returning investors the full 32.5% in growth as well as original capital. A replacement investment linked to the Russell 2000 and Swiss Market Index was entered into in its place, with a headline coupon of 8.12% and a final protection barrier of 65% of initial strike.

The diversifier overlay returned 0.36%, driven mainly by the Fund’s CDS exposure.

Given the significant moves down in the underlying equities this year, it continues to be telling how much protection is in the Fund and is testament to the conservative setting of barriers at outset. The average protection before any loss of capital is 32.1%, and 29.8% before the full pre-defined capital growth is not paid.

As markets fall, the potential return on offer from the Fund continues to increase. The GRY grid, which can be seen on the factsheet, shows positive returns if equities are down, up or sideways, provided those final barriers are not breached at maturity. This year has shown, in an environment in which central banks are tightening and looking to shrink balance sheets, there are not many investments that can offer similar.

Total Return 2022 Apr
UK 100 3.6% 0.8%
US 500 -13.0% -8.7%
Europe 50 -10.9% -2.1%
Japan 225 -6.1% 3.5%
Hong Kong 50 -9.5% -4.1%
US 2000 -16.7% -9.9%
Swiss 30 -3.5% 0.9%
BCOM 30.6% 4.1%
US Treasury -9.5% -3.8%
Euro Property -10.3% -6.0%
PGF -5.5% -1.5%
AGF 1.6% 1.0%
Real Estate -7.4% -3.6%
US Equity Income -13.0% -8.8%


Disclaimer

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

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

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

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

Mar 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 March 2022

March was a fairly extraordinary month. The world’s attention was understandably focussed on the unfolding invasion of Ukraine, which initially weighed heavily on equities and caused unprecedented moves in commodities. The added possible inflationary consequences of the war weighed further on bond markets, which have suffered their worst quarter in 40 years; once more investors are being warned that bonds are unlikely to serve as a diversifier to equity in an environment in which central banks are reversing course on the incredible support both asset classes have been afforded since the Global Financial Crisis.

The Fund returned -1.0% over the month.

The Fund’s equally weighted indices underperformed their market cap weighted counterparts significantly in March. The FTSE 100 EW was down 3.3% against the market cap version’s gain of 1.4% gain, whilst the EuroStoxx 50 EW was down 2.2% against the market cap’s 0.5% retreat. In the FTSE’s case, the underperformance has been stark YTD at -7.6% vs 2.9%, which has had a fairly significant mark-to-market impact on Fund performance. The Fund’s diversification across geographies has also meant that it has picked up more of the downdraft in international equities thus far in 2022, particularly in Europe, as can be seen on the table on the right hand side.

However, when a Fund’s return is predicated on its underlying indices meeting performance criteria at maturity, even if that criteria is ‘not having fallen by more than x%’, having diversification across underlyings is sensible, in the same way it is for any asset class.

One buys defined return funds for their ability to produce positive returns in multiple environments, and therefore the key questions investors should ask themselves are:

  • How much protection is there until they don’t produce positive returns or lose capital?
  • How much time is there until those protection levels are observed?
  • How much is one being paid to take that risk?

The Fund’s current average protection levels sit at 35.5% before any capital loss and 32.3% before investments don’t return their full pre-defined capital growth, even post the drawdowns seen so far this year. What’s more, the average time to maturity of the investments is 5 years, leaving plenty of time for recovery if markets were to experience significant falls of more than 30% in the near term. It is worth remembering that they would only need to recover to the extent that the indices were above those conservative final barriers, they would not need to recover anything like fully.

With regards to the returns on offer, they are significant. This intuitively makes sense as market moves this year mean that a ‘catch-up’ is required for the investments to achieve those pre-defined and contractually agreed returns in order for the Fund to annualise at its 6-7% target return.

Total Return 2022 Mar
UK 100 2.9% 1.4%
US 500 -4.7% -3.7%
Europe 50 -9.0% -0.5%
Japan 225 -2.7% 5.6%
Hong Kong 50 -5.7% -2.8%
US 2000 -7.5% 1.2%
Swiss 30 -4.3% 2.8%
BCOM 25.5% 8.6%
US Treasury -5.9% -2.8%
Euro Property -5.9% -2.8%
PGF -4.0% -1.0%
AGF 0.6% 0.7%
Real Estate -3.9% 4.7%
US Equity Income -5.9% 3.7%

At the risk of sounding like a stuck record, there have been few times when this type of investment has made more sense for multi-asset investors.


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%

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