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BH MACRO LIMITED
MONTHLY SHAREHOLDER REPORT:
MARCH 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
“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: |
$857 mm¹ |
|
1. As at 31 March 2017. Source: BHM's administrator,
Northern Trust. |
Summary
Information |
BH Macro
Limited NAV per Share (Calculated as at 31 March 2017) |
Share
Class |
NAV
(USD mm) |
NAV
per Share |
USD
Shares |
210.3 |
$21.15 |
EUR
Shares |
33.5 |
€21.25 |
GBP
Shares |
612.7 |
£21.84 |
|
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 |
1.91 |
-2.84 |
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|
-2.44 |
|
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 |
1.85 |
-3.04 |
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-2.85 |
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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 |
1.86 |
-2.95 |
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-2.67 |
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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 March 2017
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. |
ASC 820 Asset Valuation Categorisation on a non
look-through basis*
ASC 820 Asset Valuation Categorisation on a look-through
basis*
Performance Review
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Brevan Howard
Master Fund Limited |
Unaudited as at 31
March 2017 |
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% of
Gross Market Value* |
Level
1 |
71.4 |
Level
2 |
17.1 |
Level
3 |
0.1 |
At
NAV |
11.4 |
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. The relative size of each
category is subject to change. Sum may not total 100% due to
rounding.
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.
|
% of
Gross Market Value* |
Level
1 |
82.6 |
Level
2 |
17.2 |
Level
3 |
0.2 |
Source: BHCM
* This data reflects the combined ASC 820 levels of the Fund and
the underlying allocations in which the Fund is invested,
proportional to each of the underlying allocation’s weighting in
the Fund’s portfolio. The 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 and any underlying funds
(as the case may be). The relative size of each category is subject
to change. Sum may not total 100% due to rounding.
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.
The information in this section has been provided to BHM by
BHCM.
In March the Fund’s losses came primarily from interest rate and
FX trading. Interest rate losses were driven by a combination of
directional and relative value positioning predominantly in
European interest rates and to a lesser degree in the US. Declines
in the level of implied option volatility across the major interest
rate markets also contributed to the loss. FX trading losses
were driven in the most part by the strength of the EUR vs USD and
to a lesser degree versus CHF, with partially offsetting gains from
long positions in MXN and SEK. Small credit gains were generated by
liquid agency 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 March 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 March
2017
2017 |
Rates |
FX |
Commodity |
Credit |
Equity |
Discount Management |
Total |
March
2017 |
-2.05 |
-0.85 |
0.00 |
0.07 |
-0.02 |
0.00 |
-2.84 |
Q1
2017 |
0.26 |
-3.10 |
-0.01 |
0.29 |
0.15 |
0.00 |
-2.44 |
YTD
2017 |
0.26 |
-3.10 |
-0.01 |
0.29 |
0.15 |
0.00 |
-2.44 |
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
March 2017
2017 |
Macro |
Systematic |
Rates |
FX |
Equity |
Credit |
EMG |
Commodity |
Discount Management |
Total |
March
2017 |
-2.79 |
-0.02 |
-0.26 |
-0.07 |
-0.00 |
0.15 |
0.15 |
-0.00 |
0.00 |
-2.84 |
QTD
2017 |
-2.29 |
-0.03 |
-0.18 |
-0.51 |
-0.00 |
0.35 |
0.23 |
-0.00 |
0.00 |
-2.44 |
YTD
2017 |
-2.29 |
-0.03 |
-0.18 |
-0.51 |
-0.00 |
0.35 |
0.23 |
-0.00 |
0.00 |
-2.44 |
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
The labour market sent mixed signals in March, with the
unemployment rate hitting a new cycle low of 4.5% accompanied by a
slowdown in the pace of hiring. Although estimates of the long-run
sustainable unemployment rate have wide confidence intervals, the
4.5% unemployment rate is slightly below most point estimates of
full employment. At the same time, payroll employment growth
dipped. However, smoothing through the weather impacts over the
last three months, the average monthly increase is a still healthy
175,000 (approximately). Wage indicators appear to be sturdy but
not accelerating in any marked way.
Growth in the first quarter appears to have slowed to around 1%
(annualised). For a variety of reasons, first-quarter growth has
often disappointed in recent years. However, the reasons have
ranged from technical factors such as seasonal adjustment,
temporary factors like the weather or trade disruptions, and more
sustained weakness as previously seen in business investment or
government spending. In the current situation, consumption
spending, which makes up the vast majority of the overall GDP, has
been weak. Some of that owed to the weather and what appears to be
temporary weakness in outlays on lumpy goods like autos. A bounce
back in the second quarter is expected. By contrast, business
investment looks like it firmed in the first quarter. More
generally, there is a debate about how the gap between the
so-called soft data like surveys and the hard data like retail
sales will resolve itself. It is thought, the strength in the soft
data may overstate the underlying strength in the economy, and the
weakness in the hard data is exaggerated by transitory volatility
that often accompanies the business cycle.
Inflation developments were unusually interesting in March. The
headline figure has been flattered by the lagged impact of higher
energy prices and is probably poised to top out around 2%. Apart
from energy and food, the core category was remarkably soft,
showing its largest outright monthly decline in the last thirty
years. Whenever there is such a marked decline, special factors are
at work. In this case, the combination of new adjustment of mobile
phone plans and various vendors’ introduction of unlimited data
plans combined to account for the decline. Apart from this special
story, price changes were still unusually weak. Some of that owed
to volatile categories. However, the large and persistent housing
inflation categories look like they are no longer putting upward
pressure on overall inflation.
The Federal Reserve has turned more constructive on the economy and
delivered its second consecutive quarterly rate hike in March. Its
communications have pointed to more rate hikes this year and
beginning to shrink passively its US$4.5
trillion balance sheet, perhaps as soon as later this year.
The market doesn’t seem to believe it, although, the market did not
believe the Fed would raise rates in March until very close to the
meeting. President Trump’s legislative agenda suffered a setback
when the Republican Congress failed to pass its version of
repealing and replacing Obamacare. That setback impedes
progress on the more macro-relevant legislation on tax cuts and
reform. For now, developments in Washington are stalled and the
question is whether this is temporary or a more persistent feature
of a potentially gridlocked Congress. Time will tell.
UK
After the UK economy had proved resilient in the second half of
2016 in response to the Brexit vote, the latest data suggest that a
slowdown in economic activity may at last be under way. As
inflation rises, any given nominal amount of spending buys fewer
goods and services; correspondingly, as consumer price inflation
hit 2.3% y/y in February, up from 1.6% y/y in December, the growth
of retail sales excluding fuel slowed to an average of 3.1% y/y in
the two months ended February 2017
from 5.7% y/y in the two months ended December 2016. House price growth also
decelerated on a broad range of metrics, to around 2.5% y/y at the
end of the first quarter from around 5.0% y/y at the end of last
year. It remains to be seen as to what extent the emerging domestic
weakness can be offset by the remarkable and broad-based global
upswing that, along with weaker Sterling, could provide a welcome
boost to UK exports. All told, however, the National Institute of
Economic and Social Research’s monthly tracking of UK GDP currently
points to a loss of momentum to about 0.5% q/q in March from around
0.7% q/q at the start of the year, back in line with the Bank of
England’s (“BoE”) initial projection in the February Inflation
Report. More important for the BoE is that the unexpected strength
of economic activity in the second half of 2016 and the
currency-induced rise in inflation have not led to the emergence of
domestic price pressure beyond the expected price-level adjustment.
Average weekly earnings excluding bonuses have slowed to 1.9% y/y
in January from 2.3% y/y in December, and several price components
on the major surveys have come off their highs.
Hence, it came as a slight surprise to the market when the BoE’s
Monetary Policy Committee (“MPC”) at its most recent policy meeting
in mid-March seemingly endorsed the implied policy rate path for a
moderate tightening in interest rates priced by financial markets.
One of the rate setters on the committee even voted for a 25bps
rate hike at this meeting, resulting in an 8-1 split vote in favour
of unchanged monetary policy. The minutes of the meeting hinted at
the possibility that other members of the committee could start
voting for hikes soon. Other members, however, found confirmation
in the latest data for the MPC’s baseline scenario set out in the
Inflation Report. Whether the BoE will actually hike interest rates
over the coming year will depend on real economic activity and the
extent to which the Sterling-induced rise in inflation feeds
through to inflation expectations and wages. Should inflation
expectations and wages show no signs of acceleration, it is hard to
see a majority of MPC members vote for a rate hike, especially now
that some signs of weakness in economic activity are emerging. On
18 April 2017, Prime Minister Theresa
May, called a General Election for 8 June
2017, in which she and her Conservative party will seek to
boost their majority in the House of Commons, cementing her power
and giving her more flexibility in the exit negotiations with the
remaining 27 EU member states.
EMU
Survey indicators remain positive with the EMU March composite
Purchasing Managers’ Index (“PMI”) at a fresh high since
April 2011 and the IFO business
climate index at its strongest since July
2011, although some overshooting of indications stemming
from business surveys relative to actual data has been noted.
Developments in the labour market remain favourable as the EMU
unemployment rate edged down again to 9.5% in February (its lowest
since April 2009). Despite this, wage
growth remains sluggish: euro area negotiated wage growth was 1.4%
y/y in Q4 2016 and averaged 1.5% for the whole of 2016 - the
slowest annual growth rate since 1991 - after 1.5% in 2015, 1.7% in
2014 and 2.3% on average during 1991-2012. Consistently, EMU
headline inflation dropped back to 1.5% y/y in March, due to a
correction of food prices after the overshooting due to an
unseasonal cold winter in the South of Europe and the impact of the
later timing of Easter which helped core inflation to fall from
0.9% y/y in February to just 0.67% y/y in March. While there will
likely be some unwind next month, the core inflation trend remains
subdued.
Underlying inflation is currently the main argument of the ECB’s
reaction function and the ECB is poised to be surprised to the
downside on core inflation, which should limit the risks of
premature tightening. The ECB’s core inflation forecast is 1.1% for
2017, 1.5% for 2018 and 1.8% for 2019. The ECB having an
optimistic outlook on core inflation is nothing new and depends
crucially on wage inflation, which is kept low by a falling NAIRU.
ECB policy has been in sharp focus following the suggestion by some
Governing Council members that the sequencing within the forward
guidance could be changed and interest rates could increase before
the end of Quantitative Easing. However, there has been strong
pushback to this view, with Draghi and Praet at the ECB Watchers’
conference confirming there was no reason to deviate from the
guidance, including on sequencing and also there is no convincing
sign of self-sustained inflation yet. Furthermore, accounts from
the 9 March ECB meeting confirmed that discussions on forward
guidance were focussed on whether to remove the downward bias on
interest rates, rather than on sequencing (even though the debate
quickly turned to the latter following the meeting). However, the
prevailing counter-argument was that changes to the current
guidance could lead to an undue upward shift in market rates and
tighten financial conditions (so it proved during the debate that
followed). That meant that “on balance” removing the downward bias
on interest rates within the forward guidance was seen as
“premature”. That said, the reference to “on balance” suggests its
removal is probably not far off, most likely to happen in June.
Renewed downside risks in 2017 are linked mainly to political
developments in Europe. The next important election focus is France
(7 May Presidential and 11/18 June legislative). Dovish tones were
maintained by the ECB at the April policy meeting, when the ECB
slightly upgraded its growth assessment, while keeping their views
unchanged on underlying inflation.
China
On average, activity data held up in March. The official PMI
improved on February to print 51.8, however, the Caixin PMI
weakened from 51.7 for February to 51.2 in March. Fixed asset
investment growth recorded a further improving 9.2% y/y. In
addition, industrial production growth exceeded expectations to
register a 7.6% gain while retail sales growth also gained on
February to deliver a 10.9% gain y/y. Inflation ticked up a little
to 0.9% from 0.8% prior, although still lower than a previous
survey of 1.0%. Producer prices, however, did tick down from the
prior month of 7.8% for February to 7.6% in March. On the external
side, export data improved to 16.4% y/y for March and imports gave
back some of the strong gains from February.
Total Social Financing increased to RMB
2,120bn in March from RMB
1,150bn in February. The seven day repo rate was
guided higher from 2.9% for February to 3.4% on average during
March.
Japan
Japanese policy and economic conditions in March were generally
uninteresting. Inflation remained flat. The core
Consumer Price Inflation was unchanged on a seasonally adjusted
basis in February and was up only 0.2% year-on-year.
Non-fresh food and energy prices edged up, while the western core
measure, which excludes all food and energy slipped in February and
was flat over the last twelve months. Tokyo data have been a
touch weaker. Oil prices have firmed in the last few weeks,
but are only back to levels seen over the winter. Meanwhile,
the firming in the Yen since the start of the year has reversed
half of the Trump-related depreciation against the dollar in the
immediate aftermath of the election. As there is still a
moderate-sized output gap, it is unclear from where the Bank of
Japan (“BoJ”) thinks reinflationary pressures are going to come
from.
Survey data have likewise been quiet. The latest data point from
the Tankan survey improved slightly, but is better thought of as
continuing the sideways trend seen for almost four years. The
monthly Shoko-Chukin survey of small and medium-sized businesses
reversed half of the previous month’s jump, but it too has mostly
just moved sideways at a level a little below the 50 par
line. The economy watchers survey has been more
volatile. Over the last three months it has decreased but
from a slightly elevated level to a little below its four-year
average. The one exception to this dull outlook is industrial
production which has been trending up at about a 0.7% (monthly
rate) for over half a year.
The BoJ’s latest statement suggests no upcoming policy
changes. The BoJ reiterated its yield-control policy and
repeated its expected pace of JGB purchases. In its summary
of opinions released a couple of weeks after the meeting, it stated
that “there have been no obstacles to its [monetary policy]
operations” and that “there is no need to change the current policy
framework in the near future”. |
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.