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BH MACRO LIMITED
MONTHLY SHAREHOLDER REPORT:
JANUARY 2017
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
“Master Fund” or “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: |
$871 mm¹ |
|
1. As at 31 Janaury 2017. Source: BHM's administrator,
Northern Trust. |
Summary
Information |
BH Macro
Limited NAV per Share (Calculated as at 31 January 2017) |
Share
Class |
NAV
(USD mm) |
NAV
per Share |
USD
Shares |
212.6 |
$21.36 |
EUR
Shares |
34.3 |
€21.51 |
GBP
Shares |
623.7 |
£22.10 |
|
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 |
-0.37 |
0.77 |
5.02 |
0.19 |
6.63 |
2017 |
-1.47 |
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-1.47 |
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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 |
-0.56 |
0.59 |
5.37 |
0.03 |
6.37 |
2017 |
-1.62 |
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|
-1.62 |
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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 |
-0.68 |
0.80 |
5.05 |
0.05 |
5.79 |
2017 |
-1.54 |
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|
|
|
|
|
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|
|
-1.54 |
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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.
BHCM shall waive its entitlement to a management fee in respect of
any performance-related growth of BHM from 3
October 2016 onwards. In addition, BHM’s investment in the
Fund will not bear an operational services fee in respect of any
performance-related growth from 3 October
2016 onwards.
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 January 2017
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. |
ASC 820 Asset Valuation Categorisation*
Manager Update
Performance Review
|
Brevan Howard
Master Fund Limited |
Unaudited as at 31
Janaury 2017 |
|
% of
Gross Market Value* |
Level
1 |
84.8 |
Level
2 |
14.7 |
Level
3 |
0.1 |
At
NAV |
0.4 |
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.
The Manager anticipates that with effect from 27 March, Alan
Howard’s trading on behalf of the Master Fund will take place
through an allocation by the Master Fund to a segregated
trading vehicle managed by Mr. Howard. The purpose of this is
simply to allow the Master Fund to maintain the same average risk
exposure to Mr. Howard as it has done over the years, whilst also
permitting Mr. Howard to potentially manage additional external
assets without the need to manage two separate pools of
capital.
The investment strategy, trading style and risk management
approach of the new vehicle will be identical to Mr. Howard's
existing trading book in the Master Fund which it will replace. Mr.
Howard’s responsibilities in respect of the management and
investment activities of the Master Fund will remain unchanged. As
such there will be no change to the Master Fund’s management or its
exposure or target risk allocation to Mr. Howard’s trading.
The information in this section has been provided to BHM by
BHCM.
The Fund’s losses came primarily from FX trading and to a lesser
extent equity trading, whilst interest rate trading overall
contributed positively. Broad based weakness of the USD currency
drove losses predominantly versus EUR, JPY and to a lesser extent
the peripheral Dollar bloc. Interest rate trading gains were driven
by a combination of directional and relative value positioning in
European interest rates, partially offset by small losses from
short directional and curve positions in US interest rates. Equity
trading losses came from long option positions in US indices.
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 Janaury 2017.
|
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Performance by Asset Class
Monthly, quarterly and annual
contribution (%) to the performance of BHM USD Shares (net of fees
and expenses) by asset class as at 31 Janaury 2017
2017 |
Rates |
FX |
Commodity |
Credit |
Equity |
Discount Management |
Total |
January 2017 |
1.12 |
-2.06 |
0.02 |
0.13 |
-0.67 |
0.00 |
-1.47 |
QTD
2017 |
1.12 |
-2.06 |
0.02 |
0.13 |
-0.67 |
0.00 |
-1.47 |
YTD
2017 |
1.12 |
-2.06 |
0.02 |
0.13 |
-0.67 |
0.00 |
-1.47 |
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
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”: buyback activity for discount
management purposes.
Performance by Strategy Group
Monthly, quarterly and annual
contribution (%) to the performance of BHM USD Shares (net of fees
and expenses) by strategy group as at 31 Janaury 2017
2017 |
Macro |
Systematic |
Rates |
FX |
Equity |
Credit |
EMG |
Commodity |
Discount Management & Tender Offer |
Total |
January 2017 |
-1.20 |
-0.02 |
-0.02 |
-0.36 |
-0.00 |
0.13 |
0.00 |
-0.00 |
0.00 |
-1.47 |
Q1
2017 |
-1.20 |
-0.02 |
-0.02 |
-0.36 |
-0.00 |
0.13 |
0.00 |
-0.00 |
0.00 |
-1.47 |
YTD
2017 |
-1.20 |
-0.02 |
-0.02 |
-0.36 |
-0.00 |
0.13 |
0.00 |
-0.00 |
0.00 |
-1.47 |
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
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”: buyback activity for discount
management purposes.
|
Manager's Market Review and Outlook |
The information in
this section has been provided to BHM by BHCM |
US
Real GDP rose at an annualised rate of 1.9% in the fourth
quarter. Combined with a brisk increase in third-quarter real
GDP, the second half of the year delivered notably stronger growth
than in the first half of the year. Consumer spending has been
solid and the business sector has bounced back. In particular,
businesses built inventories in the second half of the year and the
recession in equipment investment ended in the fourth
quarter. International trade was a sizable subtraction from
growth in the fourth quarter, but most of the decline was
attributable to pay back from a jump in agricultural exports in the
third quarter. Smoothing through the volatility, real GDP has
expanded to nearly 2% over the last four quarters and appears to be
on track for a similar increase in the current quarter. Although
the impact of last November’s US election on aggregate demand
remains to be seen, a wide variety of consumer and business
sentiment surveys have improved appreciably. For the first time in
a considerable period, the risks to the outlook appear
balanced.
The labour market has enjoyed steady improvement. The unemployment
rate was 4.8% in January, roughly the same as many analysts’
estimates of full employment. Smoothing through some ups and downs,
the participation rate has been moving sideways, on net, which is
better than the structural downward trend governed by the ageing of
the population. Nonfarm payroll employment remains solid while wage
inflation is slowly building momentum.
Consumer price inflation has moved higher in recent quarters. The
price index for Personal Consumption Expenditures (“PCE”) rose 1.6%
over the last year, as past declines in energy prices put less
downward pressure on inflation. Excluding food and energy, core PCE
prices rose 1.7% over the same period. That’s a notable improvement
from a year earlier, and inching closer to the Federal Open Market
Committee’s (“FOMC”) target of 2.0%. The continuing effect of US
dollar appreciation has weighed on core inflation, though the
influence appears to be waning. Survey and market based measures of
inflation expectations have improved recently but remain low by
historical comparison.
In the wake of a second rate hike in December, Federal Reserve
communications have pointed to a more regular, but still gradual,
pace of rate hikes going forward. The Summary of Economic
Projections in the December FOMC meeting suggested a median
expectation of three rate hikes in 2017. Given the uncertainty
about the impact of the Republican policy agenda, monetary policy
may have to be more flexible going forward. Nevertheless,
policymakers seem intent on proceeding cautiously at this juncture
given an asymmetric ability to respond to adverse economic
developments because the target federal funds rate remains close to
the zero lower bound, and an increasing realisation that
equilibrium interest rates are historically low. As a result, the
stance of policy may not be as accommodative as the level of the
federal funds rate would have historically implied.
President Trump hit the ground running after his inauguration with
a steady stream of executive orders on everything from immigration
to financial deregulation. As the President fills his Cabinet, his
policy priorities will come into better focus. Meanwhile, at the
other end of Pennsylvania Avenue, Congress is taking up an
ambitious legislative agenda, which includes repealing and
replacing Obamacare, corporate tax reform, personal tax cuts, and
infrastructure spending. At this point, the markets are waiting on
clarity about the prospects for legislation that may not come for a
number of months.
UK
Economic activity in the UK has continued to defy the expectations
of economists and the Bank of England (“BoE”) for a slowdown in
response to the referendum. Not only has investment been slightly
more resilient than expected, but consumption growth actually
gathered pace in the second half of 2016, keeping GDP growth stable
at 0.6% q/q for the third quarter in a row in Q4 2016. The main
question going forward remains to what extent consumer spending
will slow in response to the deceleration in real incomes, as
inflation is expected to pick up further. So far, some of the
outperformance in consumption over real income growth can be
explained by faster credit growth and rising house prices, but the
latest data show some tentative signs of weakness: retail sales
excluding fuel slowed to 4.9% y/y in December from 6.4% y/y in
November. Consumer borrowing, which had underpinned the strong
consumption spending of late, also slowed in December. This is far
from being conclusive evidence that the slowdown is materialising,
but it does support the BoE’s view that consumption will eventually
slow in response to the deceleration in real incomes. Moreover,
early indications suggest that wage settlements may come in lower
than last year, reflecting a lower equilibrium unemployment rate
and Brexit-related uncertainty.
Therefore, the BoE maintained its neutral policy stance at its
latest meeting in early February. The MPC’s decision to ‘look
through’ the price level shock stemming from the depreciation of
Sterling will likely only be questioned if underlying price
pressures emerge – stemming from either an unexpectedly strong
economy or second-round effects of higher inflation. In the former
case, the output gap could turn positive. In the latter case,
inflation expectations would be at risk of becoming un-anchored.
Either case would call for a tightening in monetary policy.
Conversely, however, a negative growth shock – be it due to Brexit
or a global slowdown – could yet trigger further easing by the BoE.
Meanwhile, the Brexit negotiations are due to start in earnest in
March. While the Supreme Court rejected the Government’s appeal
against a High Court ruling that required a vote in Parliament as a
pre-condition for triggering Article 50, it looks unlikely that
Parliament will materially restrict the Prime Minister’s room for
manoeuvre. Hence, the Article 50 notification is still expected to
occur by the end of March.
EMU
EMU preliminary GDP was 0.5% q/q in Q4, in line with the ECB
December staff projection, marking an acceleration from the 0.4%
q/q growth rate recorded in Q3. The estimate implies EMU GDP growth
of 1.7% in 2016, slightly lower than 1.9% in 2016. The first survey
indications for 2017 remained broadly positive, although with some
possible indications that a cyclical peak may be approaching. While
the EMU January composite Purchasing Managers’ Index (“PMI”) was
unchanged at its strongest level since May
2011, the IFO business climate index declined due to
weakening in the key expectations component. Due to moderate, but
higher than potential growth, the EMU unemployment rate continued
to decline to 9.6% in December 2016,
its lowest level since May 2009,
although with still large divergences across countries. Wage growth
remains sluggish, with euro area negotiated wage growth likely to
have averaged around 1.45% in 2016 (the slowest annual rate since
1991), after 1.5% in 2015, 1.7% in 2014 and 2.5% on average since
1991. Headline inflation in the euro area jumped to 1.8% y/y in
Jan 2017 (according to the flash
estimate), much stronger than ECB December staff projections,
prompting some of the more hawkish Governing Council members (e.g.
Board member Lautenschlaeger) to announce the ECB should soon end
Quantitative Easing. Certainly, the ECB’s 2017 headline inflation
projection will need to be raised in March. However, core inflation
remained unchanged at 0.9% y/y as the weakness in wage growth
weighs.
Recent comments from influential ECB Board members (i.e. Draghi,
Praet, Coeure) suggest little appetite for opening up any early
debate about revisiting the 8 December decision (i.e. to continue
QE at a reduced pace of €60bn from April
2017 - with an easing bias to increase in terms of size
and/or duration if required - until at least the end of 2017, or
beyond, if necessary), although as stated the pressure from the
hawks is likely to increase in view of elevated headline inflation.
Overall, the current message from those driving policy within the
ECB remains that the latest increase in inflation mainly reflects
temporary factors and underlying inflationary pressures remain
subdued. Therefore, stimulus will remain in place until inflation
has converged sustainably, with the ECB focusing on (i) medium-term
inflation, (ii) a durable convergence that is (iii) self-sustained
(ie, not reliant on monetary stimulus), and (iv) for the whole euro
area (not inflation in individual countries). According to Coeure,
the ECB will continue to monitor closely the evolution of prices
and costs in the coming weeks and months to assess any secondary
effects of energy prices and the extent to which the increase in
inflation represents a sustainable adjustment towards its
objective. In the meantime, the focus is increasingly turning to
politics - keeping uncertainty high - with elections taking place
in The Netherlands (15 March), France (23 April/7 May Presidential
and 11/18 June legislative) and Germany (24 September), although
elections in Italy could yet be delayed until its natural deadline
(Q1 2018).
China
Activity data in China over the past two months continued its
cyclical recovery. The official PMI stayed at an elevated
51.3 in January, although falling for the second month in a row,
while the Caixin PMI dropped to a still decent level of 51.0. Fixed
Asset Investment (“FAI”) growth in 2016 recorded a satisfactory
growth of 8.1% y/y. In addition, IP growth in 2016 stabilised at 6%
while retail sales growth was healthy at 10.4% for the whole of
2016. Inflation, after rising to 2.3% in November 2016, fell slightly to 2.1% in
December 2016, below the consensus,
while the Producer Price Index also rose again to 5.5% in
December 2016. On the external side,
trade data softened somewhat with export y/y growth falling to
-6.1% in December, mostly due to the base
effect. Trade statistics in the two months were distorted due to
the holiday effect.
Total social financing has sustained its fast growth in December,
recovering sharply in 2016 with a y/y figure of 15.5%. The 7-day
repo rate has been volatile for the past month, partly due to the
seasonal effect, ranging from 2.35% to 3.25%, the highest since
early 2015, stabilising at around 2.5%. On the exchange rate side,
after lower fixings in January, CNY has somewhat stabilised at
around the 6.86% level.
Japan
Results from the Bank of Japan (“BoJ”) meeting at the end of
January were a non-event. It left its policy of yield-curve
control intact and also kept the reference to the ¥80 trillion
annual pace of bond buying, a pace that it has fallen short of for
a while. Yields on 10-year benchmark government bonds subsequently
drifted up towards 0.10%, a level that market participants
generally thought of as representing the outer limits of “around
zero percent.” Some analysts test drove a story that the BoJ
may be thinking about pulling back on accommodation. However,
many take the unchanged statement at face value but assume that the
Bank will continue to be buffeted by external forces. Any policy
commitments are conditioned on the future looking similar to
today.
One major external force, of course is the United States. Since the
start of the year, the yen has reversed almost half of its
depreciation against the US dollar in the wake of President Trump’s
election. Managing policy, with basic US tax and trade policy
highly uncertain will be challenging. Prime Minister Abe’s visit to
the United States was viewed as a successful introduction to the
new administration, reaffirming that Japan is an important ally;
nonetheless, it is unlikely to have a lasting impact on
Washington’s direction.
The latest data on the economy point to further moderate
improvement in activity and demand. Surveys were generally positive
with the Markit manufacturing Purchasing Managers’ Index (“PMI”)
and the Shoko-Chukin survey of small and medium-sized business
enterprises increasing. The Economy Watchers’ survey was
unchanged at a decent level. Industrial production moved up
in January to its highest level in two years. Energy prices
have recently increased to put some upward pressure on the core
aggregate. Prices excluding food and energy have been
somewhat flat of late, on a seasonally adjusted basis; it is
expected some of the overall depreciation in the yen over the last
few months will put modest upward pressure on inflation soon. |
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.