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BH MACRO LIMITED
MONTHLY SHAREHOLDER REPORT:
AUGUST 2016
YOUR ATTENTION IS DRAWN TO THE DISCLAIMER AT THE END OF THIS
DOCUMENT |
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BH Macro Limited |
Overview |
Manager:
Brevan Howard Capital Management LP (“BHCM”)
Administrator:
Northern Trust International Fund Administration Services
(Guernsey) Limited (“Northern Trust”)
Corporate Broker:
J.P. Morgan Cazenove
Listings:
London Stock Exchange (Premium Listing)
NASDAQ Dubai - USD Class (Secondary listing)
Bermuda Stock Exchange (Secondary listing) |
BH Macro Limited (“BHM”) is a closed-ended investment
company, registered and incorporated in Guernsey on 17 January 2007
(Registration Number: 46235).
BHM invests all of its assets (net of short-term working capital)
in the ordinary shares of Brevan Howard Master Fund Limited (the
“Fund”).
BHM was admitted to the Official List of the UK Listing Authority
and to trading on the Main Market of the London Stock Exchange on
14 March 2007. |
Total
Assets: |
$900 mm¹ |
|
1. As at 31 August 2016. Source: BHM's administrator,
Northern Trust. |
Summary
Information |
BH Macro
Limited NAV per Share (Calculated as at 31 August 2016) |
Share
Class |
NAV
(USD mm) |
NAV
per Share |
USD
Shares |
225.4 |
$20.52 |
EUR
Shares |
50.7 |
€20.74 |
GBP
Shares |
623.8 |
£21.33 |
|
BH Macro
Limited NAV per Share % Monthly Change |
USD |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
YTD |
2007 |
|
|
0.10 |
0.90 |
0.15 |
2.29 |
2.56 |
3.11 |
5.92 |
0.03 |
2.96 |
0.75 |
20.27 |
2008 |
9.89 |
6.70 |
-2.79 |
-2.48 |
0.77 |
2.75 |
1.13 |
0.75 |
-3.13 |
2.76 |
3.75 |
-0.68 |
20.32 |
2009 |
5.06 |
2.78 |
1.17 |
0.13 |
3.14 |
-0.86 |
1.36 |
0.71 |
1.55 |
1.07 |
0.37 |
0.37 |
18.04 |
2010 |
-0.27 |
-1.50 |
0.04 |
1.45 |
0.32 |
1.38 |
-2.01 |
1.21 |
1.50 |
-0.33 |
-0.33 |
-0.49 |
0.91 |
2011 |
0.65 |
0.53 |
0.75 |
0.49 |
0.55 |
-0.58 |
2.19 |
6.18 |
0.40 |
-0.76 |
1.68 |
-0.47 |
12.04 |
2012 |
0.90 |
0.25 |
-0.40 |
-0.43 |
-1.77 |
-2.23 |
2.36 |
1.02 |
1.99 |
-0.36 |
0.92 |
1.66 |
3.86 |
2013 |
1.01 |
2.32 |
0.34 |
3.45 |
-0.10 |
-3.05 |
-0.83 |
-1.55 |
0.03 |
-0.55 |
1.35 |
0.40 |
2.70 |
2014 |
-1.36 |
-1.10 |
-0.40 |
-0.81 |
-0.08 |
-0.06 |
0.85 |
0.01 |
3.96 |
-1.73 |
1.00 |
-0.05 |
0.11 |
2015 |
3.14 |
-0.60 |
0.36 |
-1.28 |
0.93 |
-1.01 |
0.32 |
-0.78 |
-0.64 |
-0.59 |
2.36 |
-3.48 |
-1.42 |
2016 |
0.71 |
0.73 |
-1.77 |
-0.82 |
-0.28 |
3.61 |
-0.99 |
-0.17 |
|
|
|
|
0.93 |
|
EUR |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
YTD |
2007 |
|
|
0.05 |
0.70 |
0.02 |
2.26 |
2.43 |
3.07 |
5.65 |
-0.08 |
2.85 |
0.69 |
18.95 |
2008 |
9.92 |
6.68 |
-2.62 |
-2.34 |
0.86 |
2.84 |
1.28 |
0.98 |
-3.30 |
2.79 |
3.91 |
-0.45 |
21.65 |
2009 |
5.38 |
2.67 |
1.32 |
0.14 |
3.12 |
-0.82 |
1.33 |
0.71 |
1.48 |
1.05 |
0.35 |
0.40 |
18.36 |
2010 |
-0.30 |
-1.52 |
0.03 |
1.48 |
0.37 |
1.39 |
-1.93 |
1.25 |
1.38 |
-0.35 |
-0.34 |
-0.46 |
0.93 |
2011 |
0.71 |
0.57 |
0.78 |
0.52 |
0.65 |
-0.49 |
2.31 |
6.29 |
0.42 |
-0.69 |
1.80 |
-0.54 |
12.84 |
2012 |
0.91 |
0.25 |
-0.39 |
-0.46 |
-1.89 |
-2.20 |
2.40 |
0.97 |
1.94 |
-0.38 |
0.90 |
1.63 |
3.63 |
2013 |
0.97 |
2.38 |
0.31 |
3.34 |
-0.10 |
-2.98 |
-0.82 |
-1.55 |
0.01 |
-0.53 |
1.34 |
0.37 |
2.62 |
2014 |
-1.40 |
-1.06 |
-0.44 |
-0.75 |
-0.16 |
-0.09 |
0.74 |
0.18 |
3.88 |
-1.80 |
0.94 |
-0.04 |
-0.11 |
2015 |
3.34 |
-0.61 |
0.40 |
-1.25 |
0.94 |
-0.94 |
0.28 |
-0.84 |
-0.67 |
-0.60 |
2.56 |
-3.22 |
-0.77 |
2016 |
0.38 |
0.78 |
-1.56 |
-0.88 |
-0.38 |
3.25 |
-0.77 |
0.16 |
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|
0.89 |
|
GBP |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
YTD |
2007 |
|
|
0.11 |
0.83 |
0.17 |
2.28 |
2.55 |
3.26 |
5.92 |
0.04 |
3.08 |
0.89 |
20.67 |
2008 |
10.18 |
6.86 |
-2.61 |
-2.33 |
0.95 |
2.91 |
1.33 |
1.21 |
-2.99 |
2.84 |
4.23 |
-0.67 |
23.25 |
2009 |
5.19 |
2.86 |
1.18 |
0.05 |
3.03 |
-0.90 |
1.36 |
0.66 |
1.55 |
1.02 |
0.40 |
0.40 |
18.00 |
2010 |
-0.23 |
-1.54 |
0.06 |
1.45 |
0.36 |
1.39 |
-1.96 |
1.23 |
1.42 |
-0.35 |
-0.30 |
-0.45 |
1.03 |
2011 |
0.66 |
0.52 |
0.78 |
0.51 |
0.59 |
-0.56 |
2.22 |
6.24 |
0.39 |
-0.73 |
1.71 |
-0.46 |
12.34 |
2012 |
0.90 |
0.27 |
-0.37 |
-0.41 |
-1.80 |
-2.19 |
2.38 |
1.01 |
1.95 |
-0.35 |
0.94 |
1.66 |
3.94 |
2013 |
1.03 |
2.43 |
0.40 |
3.42 |
-0.08 |
-2.95 |
-0.80 |
-1.51 |
0.06 |
-0.55 |
1.36 |
0.41 |
3.09 |
2014 |
-1.35 |
-1.10 |
-0.34 |
-0.91 |
-0.18 |
-0.09 |
0.82 |
0.04 |
4.29 |
-1.70 |
0.96 |
-0.04 |
0.26 |
2015 |
3.26 |
-0.58 |
0.38 |
-1.20 |
0.97 |
-0.93 |
0.37 |
-0.74 |
-0.63 |
-0.49 |
2.27 |
-3.39 |
-0.86 |
2016 |
0.60 |
0.70 |
-1.78 |
-0.82 |
-0.30 |
3.31 |
-0.99 |
-0.10 |
|
|
|
|
0.54 |
|
Source: Fund NAV data is provided by the administrator of
the Fund, International Fund Services (Ireland) Limited (“IFS”).
BHM NAV and NAV per Share data is provided by BHM’s administrator,
Northern Trust. BHM NAV per Share % Monthly Change is calculated by
BHCM. BHM NAV data is unaudited and net of all investment
management fees (2% annual management fee and 20% performance fee)
and all other fees and expenses payable by BHM. In addition, the
Fund is subject to an operational services fee of 50bps per
annum.
NAV performance is provided for information purposes only. Shares
in BHM do not necessarily trade at a price equal to the prevailing
NAV per Share.
Data as at 31 August 2016
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. |
ASC 820 Asset Valuation Categorisation*
Performance Review
|
Brevan Howard
Master Fund Limited |
Unaudited as at 31
August 2016 |
|
% of
Gross Market Value* |
Level
1 |
70.6 |
Level
2 |
28.9 |
Level
3 |
0.2 |
At
NAV |
0.3 |
Source: BHCM
* This data is unaudited and has been calculated by BHCM using
the same methodology as that used in the most recent audited
financial statements of the Fund.
Level 1: This represents the level of assets in the portfolio
which are priced using unadjusted quoted prices in active markets
that are accessible at the measurement date for identical,
unrestricted assets or liabilities.
Level 2: This represents the level of assets in the portfolio
which are priced using either (i) quoted prices that are identical
or similar in markets that are not active or (ii) model-derived
valuations for which all significant inputs are observable, either
directly or indirectly in active markets.
Level 3: This represents the level of assets in the portfolio
which are priced or valued using inputs that are both significant
to the fair value measurement and are not observable directly or
indirectly in an active market.
At NAV: This represents the level of assets in the portfolio
that are invested in other Brevan Howard funds and priced or valued
at NAV as calculated by IFS.
The information in this section has been provided to BHM by
BHCM.
Interest rate trading generated small overall gains from
directional and curve positions. Short positions in USD and EUR
rates, and long positioning in the UK over the Bank of England’s
interest rate cut, all contributed. Further small gains in interest
rates were generated by basis trading in the US. Interest rate
volatility trading generated small losses overall as gains from
Sterling and European volatility trades only partially offset
losses from long positions in Japanese volatility. Emerging Markets
trading and Japanese swap spreads also were small detractors. In
FX, losses mostly came from EUR currency trading as well as AUD and
NZD. Gains from directional positioning in GBP and JPY partially
offset these losses. Credit gains were generated across several
trading books from positions in Asset Backed Securities as well as
US mortgage agency debt, while equity trading lost money from
Japanese equity volatility positions as well as US and European
directional trading.
The performance review and attributions are derived from data
calculated by BHCM, based on total performance data for each period
provided by the Fund’s administrator (IFS) and risk data provided
by BHCM, as at 31 August 2016.
|
|
Performance by Asset Class
Monthly, quarterly and annual
contribution (%) to the performance of BHM USD Shares (net of fees
and expenses) by asset class*
2016 |
Rates |
FX |
Commodity |
Credit |
Equity |
Discount Management & Tender Offer |
Total |
August 2016 |
0.11 |
-0.18 |
-0.01 |
0.06 |
-0.19 |
0.04 |
-0.17 |
Q1
2016 |
1.17 |
-0.82 |
-0.14 |
0.02 |
-1.14 |
0.57 |
-0.35 |
Q2
2016 |
0.01 |
-0.09 |
0.03 |
0.05 |
-0.39 |
2.90 |
2.47 |
QTD |
-0.14 |
-1.02 |
-0.04 |
0.08 |
-0.19 |
0.16 |
-1.16 |
YTD
2016 |
1.04 |
-1.92 |
-0.15 |
0.14 |
-1.71 |
3.65 |
0.93 |
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
*Data as at 31 August 2016
Methodology and Definition of
Contribution to Performance:
Attribution by asset class is produced at the instrument level,
with adjustments made based on risk estimates.
The above asset classes are categorised as follows:
“Rates”: interest rates markets
“FX”: FX forwards and options
“Commodity”: commodity futures and options
“Credit”: corporate and asset-backed indices, bonds and
CDS
“Equity”: equity markets including indices and other
derivatives
“Discount Management & Tender Offer”: buyback
activity for discount management purposes and repurchases under the
tender offer launched on 27 April
2016.
Performance by Strategy Group
Monthly, quarterly and annual
contribution (%) to the performance of BHM USD Shares (net of fees
and expenses) by strategy group*
2016 |
Macro |
Systematic |
Rates |
FX |
Equity |
Credit |
EMG |
Commodity |
Discount Management & Tender Offer |
Total |
August 2016 |
-0.36 |
-0.01 |
0.10 |
-0.04 |
-0.00 |
0.04 |
0.06 |
-0.00 |
0.04 |
-0.17 |
Q1
2016 |
-1.10 |
0.01 |
0.56 |
-0.02 |
-0.01 |
-0.34 |
-0.02 |
-0.00 |
0.57 |
-0.35 |
Q2
2016 |
-0.44 |
-0.01 |
-0.24 |
0.01 |
-0.01 |
0.08 |
0.21 |
-0.00 |
2.90 |
2.47 |
QTD |
-1.13 |
-0.01 |
0.03 |
-0.17 |
-0.00 |
0.06 |
-0.09 |
-0.00 |
0.16 |
-1.16 |
YTD
2016 |
-2.64 |
-0.00 |
0.34 |
-0.18 |
-0.01 |
-0.20 |
0.10 |
-0.00 |
3.65 |
0.93 |
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
*Data as at 31 August 2016
Methodology and Definition of
Contribution to Performance:
Strategy Group attribution is approximate and has been derived
by allocating each trader book in the Fund to a single category. In
cases where a trader book has activity in more than one category,
the most relevant category has been selected.
The above strategies are categorised as follows:
“Macro”: multi-asset global markets, mainly directional
(for the Fund, the majority of risk in this category is in
rates)
“Systematic”: rules-based futures trading
“Rates”: developed interest rates markets
“FX”: global FX forwards and options
“Equity”: global equity markets including indices and
other derivatives
“Credit”: corporate and asset-backed indices, bonds and
CDS
“EMG”: global emerging markets
“Commodity”: liquid commodity futures and options
“Discount Management & Tender Offer”: buyback
activity for discount management purposes and repurchases under the
tender offer launched on 27 April
2016.
|
Manager's Market Review and Outlook |
The information in
this section has been provided to BHM by BHCM |
Market
Commentary
US
The highly anticipated August report on the labour market was
mildly disappointing in each of its major components. Job gains
slowed from the robust pace set in the prior three months. The
unemployment rate was unchanged at 4.9%, which is the same rate
seen at the beginning of the year. In addition, broader measures of
labour market slack are approximately unchanged since the start of
the year. The work week was revised down and ticked down further
still. Finally, indicators of wage growth were soft and are showing
only moderate gains over the last year. Putting those pieces
together, it looks like the labour market is slowing a little
rather than strengthening.
By contrast, the early readings on current-quarter growth have
improved. The sizable inventory liquidation that subtracted
from real GDP over the last year appears to be reversing, adding to
growth noticeably. Apart from the inventory swing, the positive
trend in consumption spending has been maintained, albeit at a
slower rate than the outsized gain in the second quarter. Business
fixed investment appears to be treading water, which is better than
the outright declines in prior quarters. Residential investment
also seems to be stabilising in the face of strong underlying
fundamentals, including attractive mortgage rates, tight
inventories, and positive demographic trends.
Inflation continues in a narrow channel. Core personal consumption
expenditure inflation in August was 1.6% over the last year, the
same rate as at the start of the year. Headline inflation has been
stuck below 1% for most of the year, weighed down by past declines
in energy prices that should lift over the next year.
The Federal Reserve (“the Fed”) tried in August to send a
consistent message about the likelihood of further gradual rate
hikes. Chair Yellen in Jackson Hole said the case for hikes had
“strengthened” and Vice Chair Fischer didn’t rule out a faster pace
of rate increases than present, discounted by market pricing. Other
Fed officials were generally supportive of the thrust of the
Chair’s message while being noncommittal about the exact timing. In
Presidential politics, the national polls generally favoured
Secretary Clinton over Mr Trump by a small margin as the campaign
season entered its final stage. Since the campaign has been light
on policy specifics, investors are left to wonder what the next
administration will bring in terms of concrete policy
initiatives.
UK
Although growth has remained resilient up to the end of Q2, the UK
faces considerable policy, and thus economic uncertainty on account
of the June referendum vote to leave the European Union. GDP grew a
firm 0.6% q/q in Q2, a touch stronger than the 0.4% increase in Q1.
Whilst the Brexit vote is expected to weigh on the manufacturing
sector, the depreciation in Sterling should support manufacturing
activity and exports in general. Surveys on activity, which tend to
lead GDP, have been somewhat mixed in recent months. The composite
Purchasing Manager’s Index (“PMI”) rose 6 points in August to 53.6,
after having fallen 4.9pp in the previous month. Current levels of
the PMI suggest GDP should continue to grow (a better outlook than
earlier expectations of a recession) albeit at a modest pace.
Retail sales volumes continue to grow very strongly in recent
months, reaching a pace of 4.8% on a quarterly basis. Whilst the
fall in both retail surveys and consumer confidence would suggest
retailing should moderate in coming months, it is possible that
consumer spending is temporarily being boosted by the lower
currency through tourism, especially if the rise in import prices
is slow to feed through into retail prices. The housing market
appears to have softened as well. House prices have moderated
showing little growth in recent months; however there have not been
any clear signs of the sharp fall that some commentators expected.
Surveys on housing activity collapsed earlier in the year, but have
picked up slightly returning to modest levels in the two months to
August.
There has been little hard data on the labour market since the
Brexit vote. The claimant count fell 8,600 in July and the
unemployment rate recorded 4.9% in June, unchanged from the
previous month. Moreover, employment grew at a robust pace of 2%
y/y in June. However, there are signs that the labour market is
softening; the composition of employment growth has been
disappointing as it has been mostly come through growth in
self-employment. Growth in full-time employees has grown very
little in the three months to June. Moreover, surveys continue to
suggest that employment growth should moderate in coming months. In
addition, the claimant count has risen slightly in the first half
of the year, despite the 8,600 fall in July. Core inflation ticked
down 0.1pp to 1.3% y/y in July, however, headline inflation rose
0.1ppts to 0.6% y/y. Although the influence of the depreciation in
the exchange rate has so far been modest, there are clear signs
that the lower exchange rate will lift prices in the medium term.
Surveys on prices have started to accelerate, reaching the highest
levels in five years. Moreover, producer input prices rose 4.1% m/m
in July, the largest monthly increase in the history of the series
(starting in 1996). Over time, higher import prices and diminishing
base effects can be expected to cause headline inflation to rise
above the Bank of England’s (“BoE”) target of 2%.
The Prime Minister is expected to invoke Article 50 (the legal
process in which the UK leaves the EU) in early 2017, although the
exact timing remains unclear. As such, economic growth is expected
to slow over the coming quarters as the uncertainty around the
Brexit vote feeds into the economy. Due to projections of lower
growth as well as downside risks to the inflation target in the
longer-term, the Monetary Policy Committee (“MPC”) lowered the
policy interest rate by 25bps to 0.25% in August and sought to
increase the asset purchase facility by £70bn to £445bn in an
attempt to bolster the economy. In August, the MPC suggested that
if growth were to match the BoE forecast of 0.1% q/q in Q3, then
further monetary policy easing would be needed in November. Given
the rebound in the latest PMI, it is becoming increasingly possible
that growth will surprise above the BoE’s forecast, implying that
further easing may be delayed, if not halted.
EMU
Recent survey data have shown a loss of momentum of Eurozone
economic activity. The final composite PMI for the euro area fell
in August to 52.9 from 53.2 in July, led by a weakening of new
orders, particularly in Germany and the manufacturing sector. Other
key national surveys posted even more pronounced, sometimes
non-linear falls, with the German IFO suffering a major setback
which bodes badly for both the EMU and global growth outlook. While
the declines may reflect some lagged reaction to the UK’s decision
to leave the European Union, weakness in other major jurisdictions
outside of Europe indicate a broader slowing of the global economy.
Sluggish EMU growth is therefore likely to persist in Q3 after
growth slowed to 1.2% q/q (annualised) from 2.1% in Q1. In turn,
overall slower growth will continue to pressure countries more
vulnerable to slowdown, let alone a recession, due to the
unresolved legacy of the past crisis. In particular, any turmoil in
the Italian banking system could also negatively impact the outcome
of Italy’s constitutional referendum in November, to which Prime
Minister Renzi has tied his political future.
The unemployment rate paused its downward trend and remained at
10.1% in July, down around 0.7pp on the year but still considerably
above its pre-crisis average. Amid a still large output gap,
extremely muted wage growth, lower NAIRU (“Non Accelerating
Inflation Rate of Unemployment”) and exchange rate dynamics,
inflationary pressures remain largely absent beyond the base
effects that are expected to raise headline inflation closer to its
current core rate by the beginning of next year. Economic and
market conditions are unlikely to allow the ECB to “exit” from its
asset purchase programme as early as March
2017, hence the Governing Council’s decision at the
September meeting to refrain from extending the duration of its
asset purchase programme is likely to be temporary and is poised to
be revisited by the end of the year.
China
Chinese activity data for August showed tentative signs of
stabilisation. The official PMI in July was better than expected
with a 50.4 reading but the Caixin PMI fell. Hard data, from
Industrial Production (“IP”) to trade, fixed asset investments and
retail sales was better than expected by the consensus. However,
this moderate improvement was mainly due to a higher number of
working days in the month relative to the previous year. Indeed,
measures corrected for this effect and / or for seasonality
indicate that the Chinese business cycle peaked at the turn between
the second and the third quarters and are now rolling over; a
dynamic that is expected to continue in the coming months. Consumer
Price Index (“CPI”) inflation fell sharply from 1.8% to 1.3% in
August because of lower food inflation, undershooting consensus
forecasts. Producer Price Inflation (“PPI”) deflation continued to
abate, mainly because of the past increases in commodity and
intermediate goods prices, a process which seems to have come to a
halt in recent weeks.
The People’s Bank of China (“PBoC”) has maintained a neutral
monetary policy stance; the 7-day repo rate jumped to 2.6%
temporarily, but soon fell back to 2.3%. The PBoC has maintained a
somewhat stable exchange rate for the past month, although with
some volatility. Official FX reserves declined slightly in August,
by US$15bn to US$3.18tn.
Japan
Japanese economic activity continued to trudge along. Real
GDP rose 0.7% (annualised rate) in the second quarter. IP was
flat in the latest month. The Shoko-Chukin survey of small
and medium-sized firms and the Economic Watchers survey improved
but remains at subdued levels. Altogether, the latest data do
not suggest that the remaining output gap will be closed anytime
soon.
Inflation trends also continued apace. Those trends continue
to be the wrong way relative to the Bank of Japan’s (”BoJ”)
expressed goal of pushing inflation higher. Twelve-month
changes in the national western core rate fell 0.2pp in July, and
the Tokyo measure decreased another 0.1pp to only 0.1% in
August. Inflation expectations remained unchanged at 1.7% for
a third month. The last time they were lower was at the start
of 2013. The drag from the appreciation of the yen over the first
half of the year will extend for a while longer, but will wane
overtime. As a result, inflation will increase slightly, but there
is nothing in the pipeline to suggest that inflation will come
close to approaching the 2% target.
The September BoJ meeting appears to confirm fears that it has
added to its mandate the support of banks, pensions and insurance
companies. While an upward sloping yield curve is a symptom
of a well-functioning economy, it is not a means to achieve
it. At the meeting, the BoJ left its target for the short
rate unchanged at -0.1%. It announced no changes to the pace
of government bond buying and in fact said that in the future it
will be flexible in its purchases in order to manage the shape of
the yield curve. In remarks afterwards, Chairman Kuroda said
that the current intention was to keep the ten-year rate around
zero percent, where it is presently. Obviously, that’s no
increase in monetary accommodation and seems designed to allow some
support to longer rates prospectively. The BoJ made no
changes to its stated commitment to achieve 2% inflation as early
as possible, though its actions indicate otherwise. In that
light, the Bank’s “inflation-overshooting commitment”, whereby the
Bank commits to expand the monetary base until the year-on-year CPI
rate exceeds 2% in a stable manner, is too distant to matter
now. |
Enquiries |
Northern Trust
International Fund Administration Services (Guernsey)
Limited
Harry Rouillard +44 (0) 1481 74 5315 |
Important Legal Information and
Disclaimer
BH Macro Limited (“BHM") is a feeder fund investing in Brevan
Howard Master Fund Limited (the "Fund"). Brevan Howard
Capital Management LP (“BHCM”) has supplied certain information
herein regarding BHM’s and the Fund’s performance and outlook.
The material relating to BHM and the Fund included in this
report is provided for information purposes only, does not
constitute an invitation or offer to subscribe for or purchase
shares in BHM or the Fund and is not intended to constitute
“marketing” of either BHM or the Fund as such term is understood
for the purposes of the Alternative Investment Fund Managers
Directive as it has been implemented in states of the European
Economic Area. This material is not intended to provide a
sufficient basis on which to make an investment decision.
Information and opinions presented in this material relating to BHM
and the Fund have been obtained or derived from sources believed to
be reliable, but none of BHM, the Fund or BHCM make any
representation as to their accuracy or completeness. Any estimates
may be subject to error and significant fluctuation, especially
during periods of high market volatility or disruption. Any
estimates should be taken as indicative values only and no reliance
should be placed on them. Estimated results, performance or
achievements may materially differ from any actual results,
performance or achievements. Except as required by applicable law,
BHM, the Fund and BHCM expressly disclaim any obligations to update
or revise such estimates to reflect any change in expectations, new
information, subsequent events or otherwise.
Tax treatment depends on the individual circumstances of each
investor in BHM and may be subject to change in the future. Returns
may increase or decrease as a result of currency fluctuations.
You should note that, if you invest in BHM, your capital will be
at risk and you may therefore lose some or all of any amount that
you choose to invest. This material is not intended to constitute,
and should not be construed as, investment advice. All
investments are subject to risk. You are advised to seek expert
legal, financial, tax and other professional advice before making
any investment decisions.
THE VALUE OF INVESTMENTS CAN GO DOWN
AS WELL AS UP. YOU MAY NOT GET BACK THE AMOUNT ORIGINALLY
INVESTED AND YOU MAY LOSE ALL OF YOUR INVESTMENT. PAST
PERFORMANCE IS NOT A RELIABLE INDICATOR OF FUTURE RESULTS.
Risk Factors
Acquiring shares in BHM may expose an investor to a significant
risk of losing all of the amount invested. Any person who is in any
doubt about investing in BHM (and therefore gaining exposure to the
Fund) should consult an authorised person specialising in advising
on such investments. Any person acquiring shares in BHM must be
able to bear the risks involved. These include the following:
• The Fund is speculative and involves substantial risk.
• The Fund will be leveraged and will engage in speculative
investment practices that may increase the risk of investment loss.
The Fund may invest in illiquid securities.
• Past results of the Fund’s investment managers are not
necessarily indicative of future performance of the Fund, and the
Fund’s performance may be volatile.
• An investor could lose all or a substantial amount of his or
her investment.
• The Fund’s investment managers have total investment and
trading authority over the Fund, and the Fund is dependent upon the
services of the investment managers.
• Investments in the Fund are subject to restrictions on
withdrawal or redemption and should be considered illiquid. There
is no secondary market for investors’ interests in the Fund and
none is expected to develop.
• The investment managers’ incentive compensation, fees and
expenses may offset the Fund’s trading and investment profits.
• The Fund is not required to provide periodic pricing or
valuation information to investors with respect to individual
investments.
• The Fund is not subject to the same regulatory requirements as
mutual funds.
• A portion of the trades executed for the Fund may take place
on foreign markets.
• The Fund and its investment managers are subject to conflicts
of interest.
• The Fund is dependent on the services of certain key
personnel, and, were certain or all of them to become unavailable,
the Fund may prematurely terminate.
• The Fund’s managers will receive performance-based
compensation. Such compensation may give such managers an incentive
to make riskier investments than they otherwise would.
• The Fund may make investments in securities of issuers in
emerging markets. Investment in emerging markets involve particular
risks, such as less strict market regulation, increased likelihood
of severe inflation, unstable currencies, war, expropriation of
property, limitations on foreign investments, increased market
volatility, less favourable or unstable tax provisions, illiquid
markets and social and political upheaval.
The above summary risk factors do not purport to be a complete
description of the relevant risks of an investment in shares of BHM
or the Fund and therefore reference should be made to publicly
available documents and information.