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%


– 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 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.
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– All price and analytical data included in this document is
intended for indicative purposes only and is as at the date
of the document.
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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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