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BH MACRO LIMITED
MONTHLY SHAREHOLDER REPORT:
OCTOBER 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) |
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: |
$460 mm¹ |
|
1. As at 31 October 2017. Source: BHM's administrator,
Northern Trust.
|
Summary
Information |
BH Macro
Limited NAV per Share (Calculated as at 31 October 2017) |
Share Class |
NAV
(USD mm) |
NAV
per Share |
USD Shares |
61.0 |
$21.55 |
GBP Shares |
399.2 |
£21.46 |
|
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 |
3.84 |
-0.60 |
-1.39 |
1.54 |
0.19 |
-0.78 |
-0.84 |
|
|
-0.60 |
|
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 |
0.54 |
-0.76* |
|
|
|
|
|
|
|
-3.07 |
|
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 |
0.59 |
-0.68 |
-1.48 |
1.47 |
0.09 |
-0.79 |
-0.96 |
|
|
-4.39 |
|
*As previously announced by the Company, the Company
determined that all remaining shares in the Euro share class be
converted into Sterling shares effective as of 29 June 2017 and all Euro shares held by the
Company in treasury were cancelled on that date. The Euro
share class has been closed and its listing has been cancelled.
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 and
all other fees and expenses payable by BHM. In addition, the Fund
is subject to an operational services fee.
With effect from 1 April 2017, the
management fee is 0.5% per annum. BHM’s investment in the Fund
is subject to an operational services fee of 0.5% per annum.
No management fee or operational services fee is charged in respect
of performance related growth of NAV for each class of share in
excess of its level on 1 April 2017
as if the tender offer commenced by BHM on 27 January 2017 had completed on 1 April 2017.
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 October 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
|
Brevan Howard Master
Fund Limited |
Unaudited as at 31
October 2017 |
|
% of
Gross Market Value* |
Level 1 |
75.0 |
Level 2 |
16.1 |
Level 3 |
0.0 |
At NAV |
8.9 |
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 |
82.5 |
Level 2 |
17.4 |
Level 3 |
0.0 |
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.
Losses came from short exposure to the USD, primarily versus the
Euro, as well as a broad basket of currencies, while tactical
trading of NZD, HUF and CZK currencies was positive. European
government bond and swap-spread trading also detracted alongside
tactical directional trading in UK and EM interest rates. Small
gains in interest rate trading came from basis and directional
short-end trading in the US as well as from European volatility
strategies. Modest losses from long exposure to gold were more than
offset by small gains from equity exposure to Japan and the US, as
well as from credit.
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 October 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
October 2017
2017 |
Rates |
FX |
Commodity |
Credit |
Equity |
Tender Offer |
Total |
October
2017 |
-0.38 |
-0.53 |
-0.08 |
0.03 |
0.11 |
0.00 |
-0.84 |
Q1
2017 |
0.25 |
-3.06 |
-0.01 |
0.28 |
0.12 |
0.00 |
-2.44 |
Q2
2017 |
-1.81 |
-0.48 |
-0.14 |
-0.02 |
-0.14 |
4.46 |
1.79 |
Q3
2017 |
-0.52 |
1.55 |
0.00 |
0.09 |
-0.18 |
0.00 |
0.94 |
QTD |
-0.38 |
-0.53 |
-0.08 |
0.03 |
0.11 |
0.00 |
-0.84 |
YTD
2017 |
-2.44 |
-2.55 |
-0.22 |
0.38 |
-0.09 |
4.46 |
-0.60 |
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
“Tender Offer”: repurchases under the tender offer
launched on 27 January 2017.
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
October 2017
2017 |
Macro |
Systematic |
Rates |
FX |
Equity |
Credit |
EMG |
Commodity |
Tender Offer |
Total |
October
2017 |
-0.88 |
0.04 |
0.13 |
0.04 |
-0.00 |
0.04 |
-0.21 |
-0.00 |
0.00 |
-0.84 |
Q1 2017 |
-2.29 |
-0.03 |
-0.18 |
-0.51 |
-0.00 |
0.35 |
0.23 |
-0.00 |
0.00 |
-2.44 |
Q2 2017 |
-2.64 |
-0.08 |
0.17 |
0.01 |
-0.00 |
0.01 |
-0.05 |
-0.00 |
4.46 |
1.79 |
Q3 2017 |
0.82 |
0.05 |
-0.24 |
0.03 |
-0.00 |
0.06 |
0.21 |
-0.00 |
0.00 |
0.94 |
QTD |
-0.88 |
0.04 |
0.13 |
0.04 |
-0.00 |
0.04 |
-0.21 |
-0.00 |
0.00 |
-0.84 |
YTD 2017 |
-4.93 |
-0.02 |
-0.11 |
-0.43 |
-0.00 |
0.46 |
0.17 |
-0.00 |
4.46 |
-0.60 |
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
“Tender Offer”: repurchases under the tender offer
launched on 27 January 2017.
|
Manager's Market Review and Outlook |
The information in
this section has been provided to BHM by BHCM |
US
The US economy grew at an annual rate of 3% in Q3 and retained its
momentum as it entered Q4. Combining the quarters, the second half
of the year should see annualised growth around 3%, paced by sturdy
consumption spending, continued strength in business investment,
and inventory restocking. Despite the length of the business cycle,
solid fundamentals and easy financial conditions are promoting an
underlying dynamism that resembles a mid-cycle expansion.
Smoothing through the hurricane related disruptions, the labour
market performed well on net. The unemployment rate declined in
October to a new low of 4.1%. Perhaps more impressive is the drop
in the U-6 unemployment rate, which is the broadest measure of
labour market utilisation. It has declined 1.5ppts since the
beginning of the year to reach 7.9%, which matches the trough in
the prior business cycle. Despite the tight labour market, wage
increases are moderate across a range of indicators.
Headline Consumer Price Index (“CPI”) inflation over the last year
was near 2% in October and core CPI inflation ticked up to 1.8%. It
appears core inflation may have bottomed out, which would be a
welcome development after a string of mostly idiosyncratic
disappointments since last spring. Even so, low inflation in the
face of such good economic performance remains something of a
puzzle that will have to be resolved, in order to reassure cautious
policy makers at the Federal Reserve (“Fed”). Nevertheless, in the
face of such positive data, the Fed is firmly on track to raise
rates again in December. Even after its third rate hike this year,
real interest rates will be negative.
In Washington, congressional action on tax reform shifted into high
gear. The House Committee on Ways and Means passed its version of
tax legislation and the Senate began to coalesce around its plan.
It looks increasingly likely that something will be agreed, perhaps
as soon as the end of the year. Estimates vary but the tax plan
overall has the potential to raise the growth rate of Gross
Domestic Product (“GDP”) by a few tenths over the next couple of
years.
UK
Although the UK economy has continued to evolve at a moderate pace,
there are signs that spare capacity has continued to erode. GDP
grew 0.4% q/q in Q3, a modest pace compared to historical rates,
but still an improvement from the 0.3% seen in the previous two
quarters. Growth in Q3 was supported by services, contributing
0.3ppts, and manufacturing, adding 0.1ppts. Otherwise, there was a
small drag from construction activity. In general, surveys of
activity have remained resilient; with the composite Purchasing
Managers’ Index (“PMI”) rising 1.6pts to 55.8 in October, implying
GDP should continue to grow broadly in line with the current pace.
The labour market has also performed moderately well with
employment growing at an annual pace of 1%, slower than the pace
seen in previous years, but still above long-term average rates.
Positive performance in the labour market should support the
consumer, but headwinds exist. In particular, consumer credit
growth has moderated in recent months, and the housing market has
slowed over the past year. Housing activity, particularly in
London, has become subdued with house prices only growing at around
1-2% annualised. As a reflection of mixed consumer data, retail
sales growth slowed from the high pace seen last year, around 6%
y/y, to a more moderate pace of around 3% annualised.
Overall economic growth remains moderate, but there is increasing
evidence that there is very little spare capacity in the economy.
The most recent unemployment rate was unchanged at 4.3%, 0.2ppts
below the Bank of England’s (“BoE”) estimate of the long-term
equilibrium unemployment rate. There has also been a pick up in
wage growth in most recent data, with average weekly earnings
growing just below 3% annualised. Although such a pace in wage
growth is still modest compared to historical figures, it is fairly
high considering productivity has averaged a subdued growth rate of
0.4% y/y. Though volatile, unit labour costs show that the nominal
component of wages has been growing around 2%, broadly consistent
with the BoE’s inflation target of 2%. Meanwhile, headline
inflation rose 0.1ppts to 3.0% y/y in September, the highest rate
since April 2012, and will likely
continue to accelerate on account of the depreciation in the
currency which began over a year ago. In light of this apparent
erosion in spare capacity, seven members of the BoE’s Monetary
Policy Committee (“MPC”) voted to raise the policy rate by 0.25ppts
to 0.5%, whilst the remaining two members voted to keep the policy
rate unchanged. Being the first rate increase in a decade, the MPC
noted that future increases in the Bank Rate would be expected to
be at a gradual pace and to a limited extent. Caution over further
rate rises is particularly apt given the many uncertainties
surrounding the outlook. In particular, Brexit negotiations are
still ongoing with uncertainty concerning the future relationship
of the UK and the European Union.
EMU
The first release of Q3 EMU GDP showed a higher than consensus 0.6%
q/q growth rate, thus highlighting how the pace of the meaningful
recovery remains unabated. While retail sales remained on a solid
path at the end of the quarter, increasing by 0.7% m/m, industrial
production fell by more than expected, partly unwinding the strong
rise recorded in August, especially apparent in Germany and Italy.
Moreover, at the beginning of Q4, business surveys showed some
softening from the cyclical highs recorded in September, although
remaining at high levels, from 56.7 to 56.0 for the Composite PMI.
Inflation indications were even less encouraging, as the growth
rate of the core Harmonised Index of Consumer Prices (“HICP”)
index, excluding food and energy, fell in October from 1.1% y/y to
0.9% y/y. This fell short of market forecasts, offsetting the mild
acceleration of the previous months, still far from the
self-sustained recovery path towards target aimed by the European
Central Bank (“ECB”). In particular, although producer prices and
wages show some signs of reviving, the impact of the recent
appreciation of the euro is visible in the ongoing drop of import
prices. At the October ECB policy meeting the pace of monthly net
QE purchases was reduced from €60bn to €30bn per month, starting
from January 2018. The program was
extended until September 2018,
signalling that reinvestment will continue for a longer period and
maintaining the forward guidance, thus indicating that rate hikes
will not occur well into 2019.
China
Activity data was mixed in October. The official PMI was weaker at
51.6 in October versus 52.4 for September, but the Caixin PMI was
unchanged at 51.0 for October. Fixed Asset Investment growth was
recorded at 7.3% for October, slightly worse than the 7.5%
expected. Industrial production growth was weaker at 6.2% for
October. Retail sales also weakened and printed 10.0% y/y for
October. Inflation rose to 1.9% from 1.6% in September. Producer
prices were unchanged from the prior month printing 6.9%. On the
external side, export data weakened to 6.9% y/y for October and
imports fell to be 17.2% y/y, down from 18.7%. The seven day repo
rate on average was 3.23% for October compared to 3.38% for
September.
Japan
The Bank of Japan (“BoJ”) left policy on hold at its October
meeting. The statement and Governor of the BoJ Haruhiko Kuroda’s
comments were unremarkable. Board members marked to market their
core CPI forecast, reducing FY 2017 inflation by 0.3ppts and 2018
inflation by a tick.
Reaching the 2017 forecast still appears to be difficult given the
simple arithmetic associated with fiscal year averages. It would
certainly require a substantial acceleration in energy prices.
Reaching the 2018 expectation would require an immediate
acceleration of the inflation rate, to a little over 0.1% per
month, through early 2019. Non fresh food and energy prices will
not be enough; to get close would require a substantial pick up in
prices excluding food and energy, the so-called Western core rate.
However, over the 12 months through September they were actually
down a tick. As the economy tightens there should be additional
wage and real estate pressures, so some acceleration is imminent.
However, it remains to be seen whether a slow build in such
pressures can lead to a large rise in monthly inflation. It would
require a notable increase in inflation expectations. Expectations
moved up in the latest consumer survey but so far have not shown
the requisite increase to support a big increase in consumer price
inflation.
Economic activity continues to power ahead. The Shoko-Chukin Survey
of small and medium-sized businesses moved above 50 in October. The
Economy Watchers Survey increased by a point and is at its best
level since early 2014. Industrial production fell in the latest
release, but even that simply follows its zig-zag pattern along an
upward sloping trend. |
Enquiries |
The Company
Secretary
Northern Trust International Fund Administration Services
(Guernsey) Limited
bhfa@ntrs.com
+44 (0) 1481 745736 |
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.