TIDMBHMG TIDMBHMU
BH MACRO LIMITED
MONTHLY SHAREHOLDER REPORT:
NOVEMBER 2017
YOUR ATTENTION IS DRAWN TO THE DISCLAIMER AT THE OF THIS
DOCUMENT
BH Macro Overview
Limited
Manager: BH Macro Limited ("BHM") is a closed-ended investment company, registered and
Brevan Howard incorporated in Guernsey on 17 January 2007 (Registration Number: 46235).
Capital BHM invests all of its assets (net of short-term working capital) in the
Management LP ordinary shares of Brevan Howard Master Fund Limited (the "Fund").
("BHCM") BHM was admitted to the Official List of the UK Listing Authority and to
Administrator: trading on the Main Market of the London Stock Exchange on 14 March 2007.
Northern Trust
International
Fund
Administration Total $468 mm¹
Services Assets:
(Guernsey)
Limited
("Northern
Trust") 1. As at 30 November 2017. Source: BHM's administrator, Northern Trust.
Corporate
Broker:
J.P. Morgan
Cazenove
Listings:
London Stock
Exchange
(Premium
Listing)
Summary BH Macro Limited NAV per Share (Calculated as at 30 November 2017)
Information
Share NAV (USD NAV per
Class mm) Share
USD 61.2 $21.59
Shares
GBP 407.0 GBP21.48
Shares
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 0.20 -0.40
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 0.09 -4.30
*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 30 November 2017
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
ASC 820 Asset Brevan Howard Master Fund Limited
Valuation
Categorisation Unaudited as at 30 November 2017
on a non
look-through % of Gross Market
basis* Value*
Level 1 78.3
Level 2 12.7
Level 3 0.0
At NAV 9.0
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.
ASC 820 Asset
Valuation Level 1: This represents the level of assets in the portfolio which are priced
Categorisation using unadjusted quoted prices in active markets that are accessible at the
on a measurement date for identical, unrestricted assets or liabilities.
look-through
basis* 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
Performance in other Brevan Howard funds and priced or valued at NAV.
Review
% of Gross Market
Value*
Level 1 85.8
Level 2 14.1
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.
Gains came from FX trading, primarily from the euro, from equity positioning in
the SPX and also from short end interest rate option strategies in Europe and
the US. These gains were in large part offset by losses from US yield curve and
European government bond positioning, as well as, to a lesser extent, from UK
interest rate and credit positioning.
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 30 November 2017.
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 30 November 2017
2017 Rates FX Commodity Credit Equity Tender Total
Offer
November -0.16 0.15 0.01 -0.06 0.26 0.00 0.20
2017
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 -0.53 -0.38 -0.07 -0.03 0.37 0.00 -0.64
YTD 2017 -2.60 -2.41 -0.21 0.32 0.17 4.46 -0.40
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 30 November 2017
2017 Macro Systematic Rates FX Equity Credit EMG Commodity Tender Total
Offer
November 0.34 0.01 -0.07 -0.03 -0.00 -0.03 -0.01 -0.00 0.00 0.20
2017
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 -0.55 0.05 0.07 0.01 -0.00 0.01 -0.23 -0.00 0.00 -0.64
YTD 2017 -4.61 -0.01 -0.18 -0.46 -0.00 0.43 0.16 -0.00 4.46 -0.40
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 The information in this section has been provided to BHM by BHCM
Market Review
and Outlook US
The labour market strengthened in November, following hurricane related
volatility in the prior two months. Job gains accelerated above 200,000, hours
worked rose, and the unemployment rate remained at an ultra-low 4.1%.
Meanwhile, average hourly earnings disappointed, keeping wage growth tepid. The
contrast between unsustainably strong job gains and relatively weak earnings
promises to keep monetary policy hawks and doves at odds.
Real Gross Domestic Product ("GDP") growth has maintained solid momentum in Q4.
Personal consumption expenditures appear to be growing moderately, while
business investment is positive on net, with indicators pointing to a
double-digit increase in equipment capex and a pause in structures investment.
After two quarters of declines, residential investment looks ready to edge up.
Trade and inventories will probably be drags on Q4 growth, but the second-half
combined should see approximately 3% real growth at an annual rate.
Consumer price inflation carved out a bottom in November, with the y/y change
in core personal consumption expenditures ("PCE") inflation rising to 1.4%.
Total inflation slowed after having surged on hurricane related refinery
shutdowns in the Gulf Coast.
In Washington, the Senate passed its version of tax reform and began to work
with the House to forge a compromise between their two versions of the
legislation. Although there are important differences, the two chambers should
be able to combine their bills and pass legislation before the end of the year.
The $1.5 trillion 10-year cost of the reform understates its impact on
individuals and businesses. There are roughly $6 trillion in tax cuts and $4.5
trillion in pay-fors, making it the most significant tax reform since 1986.
Most estimates suggest the legislation will boost growth by a few tenths in
2018 and 2019, adding fuel to an economy that is already reaccelerating.
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. On the expenditure side, growth was
supported by a pick up in consumption, an improvement from the weakness seen in
the first half of the year. In general, surveys of activity have remained
resilient. Although the composite Purchasing Managers' Index ("PMI") fell
0.9pts to 54.9 in November, it still implies a pace of growth close to
potential. In particular, the manufacturing PMI has climbed to the highest
levels since August 2013, supported by a pick up in global activity, which in
turn has been amplified by the low levels of the exchange rate. Otherwise, the
economy continues to face a multitude of headwinds, in part caused by the
uncertainty around the Brexit process. Business investment remains meagre, and
the outlook for the housing market remains benign, with price expectations of
housing remaining relatively subdued. The labour market has also started to
moderate lately, with the level of employment falling 56,000 over the three
months to October. At the same time, the participation rate has fallen by
0.3ppts, allowing the unemployment rate to remain unchanged for the third month
at the recent lows of 4.3%. This is 0.2ppts below the Bank of England's ("BoE")
estimate of the long-term equilibrium unemployment rate.
Despite the moderate economic growth, data suggests there is little spare
capacity in the economy. Alongside the low level of the unemployment rate,
there has been a pick up in wage growth, with average weekly earnings growing
just below 3% annualised as of October. Although such a pace in wage growth is
still modest compared to historical figures, it's fairly high considering
productivity has averaged a subdued growth rate of 0.6% y/y in Q3. Though
volatile, unit labour costs show that the nominal component of wages has been
growing above 2% since 2016. Meanwhile, headline inflation rose 0.1ppts to 3.1%
y/y in November, the highest rate since April 2012. In addition, various
surveys including the PMI and the BoE's Agents' summary of business conditions
have alluded to increasing difficulty in recruitment of skilled labour, which
would point to higher wage growth in the future. At the most recent BoE
Monetary Policy Committee ("MPC") meeting in December, members voted
unanimously to keep the policy rate unchanged at 0.5%, after having raised the
policy rate 0.25ppts for the first time in a decade at the November meeting.
The MPC noted that should the economy evolve in line with its November
forecasts, further modest increases in the Bank Rate would be warranted over
the next few years. In addition, the MPC stated that it will incorporate the
small stimulus announced in the Government's Autumn Budget into the February
forecasts, as well as the positive developments around the Brexit negotiations.
Brexit negotiations moved forward in December, with the European Union ("EU")
council declaring that sufficient progress has been made on the first phase of
the negotiations (divorce bill, rights of citizens and the Irish border) to
move onto the second phase regarding transition and the framework for the
future relationship. Although still subject to change, the first phase of
negotiations had agreed on the methodology for calculating the Brexit
settlement, now cited to be around EUR45-55bn. It was also agreed that there
would be no hard border between Northern Ireland and the Republic of Ireland.
President of the European Council, Donald Tusk, said 'exploratory contacts'
will begin on Britain's future relationship, but formal talks are not expected
to begin before March. In the meantime, the UK still has to decide the nature
of the end relationship it is aiming to achieve with the EU.
EMU
The theme of strong economic activity combined with weak price pressure
continued in Europe. Eurozone Purchasing Managers' Indexes ("PMI") continued
to make new highs since 2011 and other measures such as retail sales and
industrial production continued to track historically high levels. Q3 GDP was
estimated at 2.5% y/y, another new high since 2011. Meanwhile the Core
Harmonised Index of Consumer Prices ("HICP") came in at just 0.9% with the
Headline HICP at 1.4%, well below the European Central Bank's ("ECB") medium
term target of inflation below but close to 2%. Eurozone unemployment
continued to drop, printing 8.8% making another new low since 2008, following
the double economic shocks of the financial crisis and the European debt
crisis.
The price action in financial markets continued to respond to the ECB meeting
on 26 October when the policymakers effectively put policy on auto-pilot by
extending the quantitative easing ("QE") programme to September 2018, and
maintaining guidance that policy rates are expected to remain at current levels
well past the end of the QE programme. The extended time until any change to
expected policy action, even in the face of strong economic performance, had
squeezed term premia lower in the European money markets. As always, the
imbalance between strong economic activity and extraordinary easy financial
conditions has to be balanced somehow, and as November progressed financial
conditions in the market started to tighten again. The euro appreciated
sharply and it was not long before the small term premium in the rates markets
also returned.
China
Activity data was mixed in November. The official Purchasing Managers' Index
("PMI") was stronger at 51.8 in November versus 51.6 for October, but the
Caixin PMI was weaker at 50.8 for November. Fixed Asset Investment growth was
recorded at 7.2% for November, slightly worse than the 7.3% prior. Industrial
production growth was weaker at 6.1% for November. Retail sales strengthened
and printed 10.2% y/y for November. Inflation fell to 1.7% from 1.9% prior.
Producer prices fell from the prior month, printing 5.8%. On the external side,
export data strengthened to 12.3% y/y for November and imports were higher at
17.7% y/y. The seven day repo rate was on average 3.3% for November compared to
3.23% for October.
Japan
The picture in Japan has not changed. Expectations of a pick up in inflation
remain completely prospective. After falling in the first part of the year, the
western core prices, prices excluding food and energy, edged up. However, an
uptick every few months will not approach the Bank of Japan's 2% goal. Faster
increases in non-fresh food and energy mean the trend in core inflation is a
little higher, but those categories are unlikely to be a source of a sustained
acceleration in prices. The yen-dollar rate has bounced between 108 and 113
for several months; recently it has been at the higher end. Inflation
expectations, as measured in the consumer survey, moved up a few months ago
from a subdued level in 2016. However, they remain far below the level seen in
2014 and 2015, when optimism in "Abenomics" and the re-inflation project led to
noticeable increases in general prices. Initial bargaining positions for the
spring wage negotiation also indicate subdued expectations. Japan's trade union
confederation has called for a 4% total increase with a 2% increase in base
pay. While that sounds solid, those are the same targets for the previous two
years, suggesting no additional pressures.
Activity data, on the other hand, remains strong. Real GDP rose 2.5%, at an
annual rate, in Q3. Gains this quarter came from inventories, and net exports.
Consumption actually declined. The pattern in the Japanese accounts the last
few years has been that when private demand was strong, inventories and net
exports were weak, and vice versa. This has produced steady gains over the last
year and a half, and there is no reason to think consumption will not bounce
back next quarter. Investment was strong. High-frequency indicators remained
strong. The Economy Watchers Survey soared in November to its highest level in
almost four years. The Shoko-Chukin Survey of small and medium-sized
businesses moved above 50 in October. Industrial production continues to gyrate
around an upward trend.
The Company Secretary
Enquiries 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.
END
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