Fortem Capital US Equity Income Fund

Monthly Report – 31st August 2021

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

Investment objective

The Fund aims to generate quarterly income of 4% p.a., whilst providing for capital growth such that the Fund’s total return tracks the S&P 500 Net Total Return Index, with the opportunity for slight outperformance.

Background

  • Gravitation towards passive US equity as consistent alpha hard to find.
  • This can create issues for income investors since the S&P 500 traditionally offers lower yields.
  • Active income funds tend to deviate away from the benchmark for a number of reasons:
    • Stock / sector / factor deviation in order to select higher yielding companies
    • Selling of options without mitigating the additional market risk they introduce

The Fund will

  • Generate its target income from a combination of both receiving dividends and collecting premiums from the buying and selling of listed options on the S&P 500 Index.

Dividend Yield + Option Premiums → 4% p.a. target income

  • Additionally employ hedging techniques in order to minimize daily tracking error to the S&P 500 Total Return Index.
  • Use S&P 500 futures to manage the Fund’s exposure back to a daily target beta of 1.

Performance

2021 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
Class F $ (TR) Cannot be published before one year track record. Contact us for information
SPTR500N         2.34 2.30 2.35 3.00         8.54

Distributions

  Jul'21 Oct'21 Jan'22 Apr'22 Targeted Income
Class F USD $0.0745       4% p.a.
Class F GBP £0.0745       4% p.a.

Key Facts

Investment Manager Fortem Capital Limited
AUM $17,600,486
Fund Type Irish Domiciled UCITS V ICAV
Fund Launch Date 13th May 2021
Base Currency USD
Liquidity Daily
Dealing Deadline 10:30 am Irish Time
Pricing Daily COB
Share Type Class A: Accumulation
Class F: Distribution
Initial Share Price $1.0000
Minimum Subscription $5,000,000^
AMC 0.40%
OCF 0.60%
Reporting Status Registered with HMRC
Dealing Line +353 (0)1434 5124
Dealing Email davy_ta_queries@ntrs.com
Depository, Admin, Registrar & TA Northern Trust
Auditor Deloitte
Benchmark S&P 500 Net Total Return

^Minimum sizing can be waved upon request

Share Class Unit NAV ISIN Bloomberg
Class F USD 1.0952 IE00BL643474 FCUSFFIID
Class F GBP 1.0452 IE000O7DU281 FCUSFFIID

Key Benefits

  • 4% pa target income paid out or reinvested
  • Potential for slight outperformance
  • Targeting daily beta of 1 to S&P 500 Total Return Index, inclusive of income
  • Physically backed with underlying equities
  • Daily liquidity

Key Risks

  • Capital at risk: Investors may lose capital in line with the performance of the underlying S&P 500 Net Total Return Index
  • Tracking error: The Fund’s Total Return performance may deviate from the benchmark
  • Income risk: If dividend yields and implied volatility levels fall, investors may receive less than 4% target income
  • Returns may increase or decrease as a result of currency fluctuations

Simulated Performance

Annualised Return Annualised Volatility Sharpe Ratio Beta to S&P 500 TR
S&P 500 Total Return 9.13% 19.74% 0.46 1.00
Strategy Total Return 9.74% 20.10% 0.48 0.99

Data from 31st December 2004 to 31st January 2021
Source: Fortem Capital, Bloomberg

SIMULATED PAST PERFORMANCE: Past performance data shown in this communication is derived from back-testing simulations. This is provided for illustrative purposes only. Details of the calculation methodology are available on request. Past performance is not necessarily a guide for the future. Forecasts are not reliable indicators of future performance. The value of investments, and the income from them, can go down as well as up and the investor may not get back the amount originally invested. The 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.

Disclaimers

– 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 US Income 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."