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 June 2021

June finally gave investors pause for thought with regards to the delicate balance central banks are attempting to strike while stoking inflation, without stoking the perception of inflation. But, in spite of this, both bonds and equities had another positive month.

The Federal Reserve surprised markets with its dot plot, bringing forward the first expected rate increase to 2023 in the face of continued inflationary surprises in the data. Perhaps the bigger story in light of this was the severe flattening of the yield curve; the 2s10s spread came in by 23bps over the month. Global equities in general were higher over the month, led by the US, as inflationary data was accompanied by more evidence of a global economic rebound. There was a continued reversal in the reflationary trade of value over growth, illustrated by the strong relative performance of the NASDAQ. For now it would seem that market participants are willing to take the Federal Reserve at their word with regards to inflation and its causes.

In the risk premia universe, the continued strength of the bond market had a negative effect on the Fund’s rates strategies, long rates volatility in particular. The strategies do have some residual long rates (short bond) exposure currently, and in a month in which Treasuries are so heavily bid, and US rates volatility comes down, they will suffer. However, the strategies are structural in nature over the longer term (see ‘Black Swan’ on the resources section of website for more detail) while having a defensive profile to benefit if there were to be turbulence ahead for the bond market as economies continue to grapple with increasing inflationary pressures.

The Fund decreased by 0.5% over the month.

A new position was added during the month; NASDAQ intraday momentum. The strategy is expected to deliver positive returns on a significant jump in volatility. The strategy is implemented on the NASDAQ due to the increase in tech stock option buying from retail, vastly increased AuMs in leveraged tech ETFs, and fewer volatility sellers post Covid-19.

Total Return 2021 June
UK 100 10.9% 0.4%
US 500 15.0% 2.3%
Europe 50 16.1% 0.7%
Japan 225 5.6% -0.1%
Hong Kong 50 7.4% -0.7%
US 2000 17.4% 1.9%
Swiss 30 14.7% 5.1%
BCOM 21.2% 1.9%
US Treasury -1.6% 0.7%
FTSE EPRA 10.4% -0.7%
PGF 5.6% 0.4%
AGF -0.5% -0.5%
Real Estate 11.0% 0.1%

– 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.
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– 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.

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