Sept 2021 - FortemCapital

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.
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