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BH MACRO LIMITED
MONTHLY SHAREHOLDER REPORT:
NOVEMBER 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) |
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: |
$468 mm¹ |
|
1. As at 30 November 2017. Source: BHM's administrator,
Northern Trust.
|
Summary
Information |
BH Macro
Limited NAV per Share (Calculated as at 30 November 2017) |
Share Class |
NAV
(USD mm) |
NAV
per Share |
USD Shares |
61.2 |
$21.59 |
GBP Shares |
407.0 |
£21.48 |
|
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 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 30
November 2017 |
|
% of
Gross Market 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.
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 |
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 Offer |
Total |
November 2017 |
-0.16 |
0.15 |
0.01 |
-0.06 |
0.26 |
0.00 |
0.20 |
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 Offer |
Total |
November
2017 |
0.34 |
0.01 |
-0.07 |
-0.03 |
-0.00 |
-0.03 |
-0.01 |
-0.00 |
0.00 |
0.20 |
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 Market Review and Outlook |
The information in
this section has been provided to BHM by BHCM |
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 €45-55bn. 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. |
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.