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BH MACRO LIMITED
MONTHLY SHAREHOLDER REPORT:
MAY 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: |
$457 mm¹ |
|
1. As at 31 May 2017. Source: BHM's administrator, Northern
Trust. |
Summary
Information |
BH Macro
Limited NAV per Share (Calculated as at 31 May 2017) |
Share
Class |
NAV
(USD mm) |
NAV
per Share |
USD
Shares |
63.5 |
$21.83 |
EUR
Shares |
20.1 |
€21.20 |
GBP
Shares |
373.0 |
£21.83 |
|
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 |
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|
0.70 |
|
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 |
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|
-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 |
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|
|
-2.75 |
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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 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 service 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 May 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
May 2017 |
|
% of
Gross Market Value* |
Level
1 |
72.7 |
Level
2 |
16.8 |
Level
3 |
0.1 |
At
NAV |
10.4 |
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 |
84.9 |
Level
2 |
15.0 |
Level
3 |
0.1 |
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 stemmed mainly from interest rate trading and were driven
by directional and yield curve positions in the US, relative value
trading in European sovereign bonds and volatility positioning in
the US and Japan. These were partially offset by gains in US basis
trading as well as GBP and emerging market directional trading. FX
trading gains in EUR, JPY and emerging markets, were largely offset
by small losses in other crosses, while very small losses were
incurred in equity options.
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 May 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 May
2017
2017 |
Rates |
FX |
Commodity |
Credit |
Equity |
Tender Offer |
Total |
May
2017 |
-0.58 |
0.06 |
-0.05 |
-0.01 |
-0.02 |
0.00 |
-0.60 |
Q1
2017 |
0.25 |
-3.06 |
-0.01 |
0.28 |
0.12 |
0.00 |
-2.44 |
QTD
2017 |
-0.85 |
-0.28 |
-0.04 |
-0.03 |
-0.02 |
4.46 |
3.22 |
YTD
2017 |
-0.60 |
-3.34 |
-0.05 |
0.26 |
0.10 |
4.46 |
0.70 |
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 May
2017
2017 |
Macro |
Systematic |
Rates |
FX |
Equity |
Credit |
EMG |
Commodity |
Tender Offer |
Total |
May
2017 |
-0.82 |
0.00 |
0.23 |
0.02 |
-0.00 |
-0.01 |
-0.01 |
-0.00 |
0.00 |
-0.60 |
Q1
2017 |
-2.29 |
-0.03 |
-0.18 |
-0.51 |
-0.00 |
0.35 |
0.23 |
-0.00 |
0.00 |
-2.44 |
QTD
2017 |
-1.61 |
-0.05 |
0.52 |
0.03 |
-0.00 |
-0.00 |
-0.10 |
-0.00 |
4.46 |
3.22 |
YTD
2017 |
-3.86 |
-0.08 |
0.34 |
-0.48 |
-0.00 |
0.35 |
0.12 |
-0.00 |
4.46 |
0.70 |
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
Investors focused on the slowdown in core inflation in May. After
having moved up over the past two years, core consumer price
inflation slowed markedly from 2.3% to 1.7% in the last three
months. Much of the drop owes to presumably one-time declines in
cell phone prices and volatile transitory factors. Regardless of
the reasons, investors were unnerved after having thought that
President Trump’s policy agenda would lead to higher inflation. The
Federal Reserve’s assessment was more sober, reflecting a detailed
understanding of the incoming data as well as the expectation that
inflation would firm toward its 2% target only slowly over the next
two years.
The disconnect between the market and the Fed was the most
remarkable feature of the last Federal Open Market Committee
meeting, when the Fed delivered a hawkish rate hike while the
market expected a dovish message. Chair Yellen raised rates for the
third quarter in a row, the policy makers pointed to continued
gradual rate increases, and the Committee set in motion plans to
begin shrinking its supersized balance sheet this year.
Against this backdrop, growth was on track to strengthen in the
second quarter. Real consumption spending is growing moderately
after a soft reading in the first quarter. Business fixed
investment appeared to be on track for another gain while housing
investment took a breather in the past couple of months. After
having accounted for much of the disappointment in real GDP growth
in the first quarter, inventory accumulation was poised to swing to
a positive contribution.
The unemployment rate declined to 4.3% in May, a new low in the
business cycle and the best reading since 2001. Broader measures of
labour market slack such as the closely watched U-6 (covers the
percentage of the labour force that is unemployed, underemployed
and discouraged) are improving even faster. U-6 has plunged a full
percentage point since the start of the year and is now basically
back to normal. Meanwhile, wages are growing at a modest pace, in
line with the weak trend in productivity and because they react
with a lag to the tighter labour market. Employment growth slowed
in recent months but remains well above the estimated pace that
will continue to put downward pressure on the unemployment
rate.
The President’s legislative agenda is slowly making its way through
Congress. The Senate has sped up consideration of its health care
plan. Once that is out of the way, Congress will turn its attention
to next fiscal year’s budget and tax cuts. However, another fight
over spending levels and the debt limit looms at the end of the
summer.
UK
Additional signs of a gradual slowdown in the UK economy emerged
over the past month; Q1 GDP growth was revised down to 0.2% q/q
from its initial estimate of 0.3% q/q. House prices continued to
slow in year-on-year terms on the Halifax and Nationwide metrics.
While retail sales rebounded in April, surveys suggested that the
rebound was temporary, possibly caused by Easter, and that retail
sales would resume their slowdown in the coming months. After
surging around the turn of the year, the annual growth rate of
industrial production (“IP”) turned negative in April. Car
registrations have fallen substantially in recent months, while the
Purchasing Managers’ Index (“PMI”) has moderated, suggesting weak
hand-off in growth to Q2. This broad slowdown is not unexpected;
the Sterling-induced rise in inflation has started to eat into real
incomes, reducing households’ real purchasing power. While the
weaker currency should simultaneously provide a boost to exports,
the uncertainty around Brexit and the future trading relationship
between the UK and the EU is likely to put a lid on investment in
production capacities.
Inflation remains on the rise, as the past depreciation of the
currency continues to feed through to consumer prices. Headline and
core inflation moved up to 2.9% y/y and 2.6% y/y, respectively, in
May. Headline inflation had last been this high in 2013 and core
inflation has hit the highest level since 2012. So far, the rise in
inflation has not led to the emergence of second-round effects;
inflation expectations remain in line with their historical ranges,
and wage growth has slowed in recent months. This should give the
majority of the Bank of England’s (“BoE”) Monetary Policy Committee
(“MPC”) some confidence that it can look through the
Sterling-induced rise in inflation without having to tighten
monetary policy. However, for three members of the Committee –
Kristin Forbes, Michael Saunders and Ian McCafferty – the time was
already ripe in June for removing part of the stimulus injected
last August, resulting in a 5-3 vote to keep rates unchanged, as
slack in the labour market had continued to diminish and weaker
consumption looked to be offset by growth in business investment
and net trade. It was Kristin Forbes’ last meeting, as her term
expires at the end of June. A successor is yet to be named.
While the 5-3 vote came as a hawkish surprise, as the consensus had
expected a 7-1 vote for unchanged policy, the unexpected outcome of
the General Election is likely to prove more consequential; the
Conservative Party lost its absolute majority in Parliament and is
now dependent on a confidence and supply arrangement with the
Northern Irish Democratic Unionist Party (“DUP”). Back in
mid-April, when Prime Minister Theresa May called the snap
election, the Tory lead over Labour had been as wide as 22 points
in opinion polls, only to gradually tighten as the Election Day
approached. The closer-than-expected outcome has prompted a debate
within the Conservative Party, but also among the wider public,
about the right approach to Brexit and the sustainability of
austerity.
EU
Euro area Q1 GDP was revised up to 0.6% q/q from the initial 0.5%
flash estimate, corroborating the message of strong Q1 PMI data and
taking the annual growth rate back up to 1.9% y/y (the same as in
Q4 2015) from 1.8% y/y in Q4 2016. The May composite PMI (56.8)
remained at its strongest level since April
2011 (57.8) while the IFO business climate index (114.6 in
May) hit its strongest since the pan-German series began in the
early 1990s on a record-high assessment of the current situation.
The strengthening recovery has resulted in the euro area
unemployment rate continuing to decline to 9.3%, now down 0.9pp
from a year ago and the lowest since the same rate in February 2009. However, the ECB continues to
recognise there may still be a high degree of labour market slack
over and above that suggested by the unemployment rate, accounting
for subdued wage growth and underlying inflation. Euro area
negotiated wage growth edged up only slightly in Q1 2017, as
expected, to 1.5% y/y from 1.4% y/y in Q4 2016, after averaging
just 1.4% for the whole of 2016 - the slowest annual growth rate
since 1991. Headline inflation in the euro area fell back to 1.4%
y/y in May from 1.9% in April, as the Easter effect was unwound,
pulling down core inflation to 0.9% from 1.2% in April. Looking
ahead, euro area Harmonised Index of Consumer Prices (“HICP”)
inflation is expected to ease further in June, before settling at
levels of around 1.2-1.3% y/y in the second half of the year. Core
inflation is likely to remain around 1% in the coming months,
before accelerating slightly to 1.2-1.3% y/y by the end of the
year, still falling slightly short of the ECB’s forecast for a
quicker pick-up, as the weakness in wages will continue to weigh on
core inflation. Underlying inflation remains the main argument of
the ECB reaction function and the ECB Governing Council continues
to note that so far, measures of underlying inflation continue to
remain subdued and hence a very substantial degree of monetary
accommodation is still needed. The latest ECB press conference was
overall dovish: although the growth risk assessment was upgraded
from “downward” to “broadly balanced” (for the first time since
August 2011), the GDP forecast was
upgraded by 0.1pp across the board and the rate easing bias in the
forward guidance (i.e. reference to “or lower” rates) was removed,
a number of dovish factors were kept unchanged or stepped up. For
instance, the HICP inflation forecast was revised down
significantly (2017 by 0.2pp to 1.5%, 2018 by 0.3pp to 1.4% and
2019 by 0.1pp to 1.6%), not only on the back of lower oil and food
prices, but also via a lower core inflation forecast. The
quantitative easing (“QE”) bias (i.e. the option to step up QE if
necessary: a key ingredient of the ECB reaction function) as well
as the sequencing between QE and rates were kept unchanged in the
forward guidance, and the Governing Council did not discuss
tapering and its possible announcement in September.
China
Activity data was mixed in May. The official PMI was unchanged to
print 51.2, and the Caixin PMI weakened from 50.3 for April to 49.6
in May. Fixed Asset Investment growth was 8.6% for May down from
8.9% in April. IP growth was 6.5% for May which was unchanged
from April. Retail sales recorded 10.7% growth y/y in May,
also unchanged from April’s number. Inflation ticked up again to
1.5% from 1.2% prior. Producer prices however did tick down from
the prior month to be 5.5% for May. On the external side export
data improved a little to 8.7% y/y for May and imports had further
gains to 14.8% y/y up from 11.9%. The seven day repo rate was 3.34%
for May on average compared to 3.31% for April.
Japan
The theory underlying yield curve control is that investors should
take the Bank of Japan’s (“BoJ”) commitment seriously and look
forward. As the economy tightens and inflation is pressured
upward, holding the 10-year Japanese Government Bond rate “around
zero” would mean an even higher rate of monetary policy
accommodation.
Many were sceptical that the BoJ would hold to its policy when
pressures started to build and it had to ramp up asset purchases to
control rates. It was assumed that it would keep the
narrative going as long as the pressures were relatively
moderate. Instead, there has been increasing chatter about
how the BoJ will communicate that it has started to think about
exit strategies. This is reminiscent of United States
monetary policy several years ago when Reserve Bank Presidents
prematurely started talking about exit strategies when the Federal
Reserve was years away from hiking rates. That needlessly
tightened financial conditions and counteracted the effectiveness
of policy accommodation in place. The yen has appreciated
against the dollar somewhat in response. More importantly, if
investors come to seriously question the BoJ’s commitment to its
yield curve control policy, it will become much more difficult for
the BoJ to control long rates.
BoJ policy has been somewhat successful. Real GDP has been
rising a little faster than potential output for a while now, with
GDP up 1.25% over the four quarters ending the first quarter of
2017. IP has been climbing rapidly for a year.
Prices, on the other hand, have done nothing for a year and a
half. After showing a pick-up in the middle of 2015, prices
have slipped a little on balance since then. Tokyo prices
excluding food and energy moved up 0.2% in May, a sizeable gain for
this index but all that does is offset a similar-sized decline in
March. The next time it publishes projections, the BoJ will
likely push back the time it reaches its 2% goal. Although, with
exit talk already picking up, the BoJ will eventually have to
confront the question of whether it should continue to aim that
high.
|
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
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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.