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BHME BH Macro Eur

18.57
0.00 (0.00%)
28 Mar 2024 - Closed
Delayed by 15 minutes
Share Name Share Symbol Market Type Share ISIN Share Description
BH Macro Eur LSE:BHME London Ordinary Share GG00B1NPGZ52 ORD NPV (EUR)
  Price Change % Change Share Price Bid Price Offer Price High Price Low Price Open Price Shares Traded Last Trade
  0.00 0.00% 18.57 18.40 18.74 0.00 00:00:00
Industry Sector Turnover Profit EPS - Basic PE Ratio Market Cap
0 0 N/A 0

BH Macro Limited Monthly Shareholder Report - May 2017

29/06/2017 11:23am

UK Regulatory


 
TIDMBHMG TIDMBHME TIDMBHMU 
 
BH MACRO LIMITED 
                         MONTHLY SHAREHOLDER REPORT: 
                         MAY 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 
Services 
(Guernsey) 
Limited 
("Northern 
Trust")         Total       $457 mm¹ 
Corporate       Assets: 
Broker: 
J.P. Morgan 
Cazenove 
Listings: 
London Stock 
Exchange 
(Premium 
Listing) 
NASDAQ Dubai -  1. As at 31 May 2017. Source: BHM's administrator, Northern Trust. 
USD Class 
(Secondary 
listing) 
Bermuda Stock 
Exchange 
(Secondary 
listing 
 
Summary         BH Macro Limited NAV per Share (Calculated as at 31 May 2017) 
Information 
                  Share    NAV (USD     NAV per 
                  Class       mm)        Share 
 
                   USD           63.5      $21.83 
                 Shares 
 
                   EUR           20.1      EUR21.20 
                 Shares 
 
                   GBP          373.0      GBP21.83 
                 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                                            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                                           -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                                           -2.75 
 
                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   Brevan Howard Master Fund Limited 
Valuation 
Categorisation  Unaudited as at 31 May 2017 
on a non 
look-through              % of Gross Market 
basis*                         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. 
 
ASC 820 Asset   Level 1: This represents the level of assets in the portfolio which are priced 
Valuation       using unadjusted quoted prices in active markets that are accessible at the 
Categorisation  measurement date for identical, unrestricted assets or liabilities. 
on a 
look-through    Level 2: This represents the level of assets in the portfolio which are priced 
basis*          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* 
 
Performance     Level 1         84.9 
Review 
                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. 
 
                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   Total 
                                                                          Offer 
 
                 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   Total 
                                                                                       Offer 
 
                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       The information in this section has been provided to BHM by BHCM 
Market Review 
and Outlook     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 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 
 

(END) Dow Jones Newswires

June 29, 2017 06:23 ET (10:23 GMT)

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