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| Share Name | Share Symbol | Market | Type | Share ISIN | Share Description |
|---|---|---|---|---|---|
| Bh Macro Limited | LSE:BHMG | London | Ordinary Share | GG00BQBFY362 | ORD NPV (GBP) |
| Price Change | % Change | Share Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
|---|---|---|---|---|---|---|---|---|---|---|
| 1.00 | 0.26% | 385.00 | 382.50 | 385.00 | 387.00 | 383.00 | 385.00 | 1,248,401 | 16:35:05 |
| Industry Sector | Turnover | Profit | EPS - Basic | PE Ratio | Market Cap |
|---|---|---|---|---|---|
| Unit Inv Tr, Closed-end Mgmt | 189.62M | 66.49M | 0.1702 | 22.56 | 1.5B |
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TIDMBHMG TIDMBHMU
BH MACRO LIMITED
MONTHLY SHAREHOLDER REPORT:
MARCH 2018
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 $484 mm¹
Services Assets:
(Guernsey)
Limited
("Northern
Trust") 1. As at 29 March 2018. Source: BHM's administrator, Northern Trust.
Corporate
Broker:
J.P. Morgan
Cazenove
Listing:
London Stock
Exchange
(Premium
Listing)
Summary BH Macro Limited NAV per Share (Calculated as at 29 March 2018)
Information
Share NAV (USD NAV per
Class mm) Share
USD 61.3 $21.74
Shares
GBP 422.9 GBP21.49
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 0.11 -0.30
2018 2.54 -0.38 -1.54 0.58
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 -0.06 -4.35
2018 2.36 -0.51 -1.68 0.13
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 29 March 2018
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
ASC 820 Asset Brevan Howard Master Fund Limited
Valuation
Categorisation Unaudited as at 29 March 2018
on a non
look-through % of Gross Market
basis* Value*
Level 1 75.1
Level 2 15.4
Level 3 0.0
At NAV 9.5
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
Categorisation priced using unadjusted quoted prices in active markets that are accessible
on a at the 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 in other Brevan Howard funds and priced or valued at NAV.
% of Gross Market
Value*
Level 1 83.2
Level 2 16.8
Level 3 0.0
Source: BHCM
Performance * This data reflects the combined ASC 820 levels of the Fund and the
Review 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.
In March 2018, losses primarily came from directional trading in US and
European interest rates as well as from relative value trading of European
government bonds. Smaller gains were generated from US interest rate basis
trading. Additional losses came from FX trading as well as from equity index
positions.
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 29 March 2018.
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 29 March 2018
2018 Rates FX Commodity Credit Equity Total
March 2018 -0.83 -0.38 -0.01 0.00 -0.31 -1.54
Q1 2018 0.93 -0.20 0.01 -0.06 -0.07 0.58
YTD 2018 0.93 -0.20 0.01 -0.06 -0.07 0.58
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
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 29 March 2018
2018 Macro Systematic Rates FX Equity Credit EMG Commodity Total
March -0.99 0.01 -0.49 -0.12 -0.00 0.01 0.05 -0.00 -1.54
Manager Update 2018
Q1 2018 0.87 0.02 -0.46 -0.09 -0.00 -0.03 0.28 -0.00 0.58
YTD 2018 0.87 0.02 -0.46 -0.09 -0.00 -0.03 0.28 -0.00 0.58
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
Manager's been selected.
Market Review
and Outlook 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
Middle and back-office operations
BHCM's UK affiliate, Brevan Howard Asset Management LLP ("BHAM"), is
separating its middle and back-office operations into a newly formed
affiliate with effect from 1 May 2018, which will then provide services back
to BHAM and, in turn, the Fund. In due course, the new affiliate is also
expected to provide middle and back office services to non-Brevan Howard
customers. It will be "business as usual" in terms of service provision being
unchanged, with personnel and processes remaining the same.
Minal Bathwal
The Manager anticipates that with effect from 1st May, Minal Bathwal's
trading on behalf of the Fund will take place through an allocation by the
Fund to a new fund for which Mr Bathwal will be the sole portfolio manager.
The purpose of this is to allow the Fund to continue to access Mr Bathwal's
trading expertise whilst also permitting Mr Bathwal to manage additional
external assets without the need to manage two pools of capital.
The information in this section has been provided to BHM by BHCM
US
The economy slowed to a trend-like pace in Q1. However, indicators suggest
momentum picked up at the end of the quarter despite a soft reading on the
labour market. Retail sales firmed in March after three lacklustre months.
Orders and shipments of core capital goods, that are a key input in capex
spending, jumped in February. Early tracking of the current quarter puts
growth back around 3% at an annual rate.
After having surged in February, job gains slowed in March. Smoothing through
the monthly volatility, payroll employment has risen 200,000 per month on
average this year. That brisk pace should put further downward pressure on
the unemployment rate, which remained at 4.1% for the sixth month in a row in
March. Wage pressures remain moderate, reflecting the lagged impact of
subdued productivity trends and restrained wage bargaining.
Inflation continues to build slowly. Core consumer price index ("CPI") prices
rose 0.2% in March. With the sharp decline in wireless prices falling out of
the calculation, the y/y change in core CPI jumped to 2.1%. Combined with the
other inputs to the Federal Reserve's ("Fed") preferred underlying inflation
gauge, core personal consumption expenditure ("PCE") inflation is expected to
rise to 1.9% in the next release, little different from the Fed's 2% target.
Nevertheless, the Fed appears patient in normalising interest rates since a
breakout of inflation pressures seems like a tail risk. Most policy makers
are pointing to three or four rate increases this year. The debate about
whether, and by how much, policy will eventually need to go above neutral is
just shaping up. Some policy makers think rates will need to go above neutral
by a modest amount to bring the economy into a soft landing.
Elsewhere in Washington, the Trump administration's various trade
announcements dominated the headlines. While there were hints of good news
from the North American Free Trade Agreement ("NAFTA") negotiations and the
section 232 steel/aluminum tariffs seemed to be more 'bark' than 'bite',
significant uncertainty surrounds the section 301 actions against China.
There have been no hard actions, but these trade negotiations appear much
more serious and bear watching carefully in the coming months.
UK
UK activity has moderated according to the latest data, though some evidence
suggests that the slowdown may be temporary. Based on recent hard data,
construction is expected to detract 0.2ppts from GDP, and manufacturing to
make little contribution at all. Furthermore, the Markit composite Purchasing
Managers' Index ("PMI"), reflective of business sentiment, fell by 2.0pts in
March, marking the lowest reading since July 2016, suggesting activity should
decelerate in Q1 compared to the 0.5% q/q pace seen in Q4 2017. The abrupt
nature of the slowdown suggests the moderation may be temporary; one
possibility is that adverse weather conditions, due to a colder than usual
winter, have impeded growth in Q1. Otherwise, data has in general been
consistent with trends seen last year. Employment has continued to grow
around 1% y/y; the unemployment rate ticked down 0.1ppts to a low level of
4.3% in January, unwinding the tick up from the previous month. Consumer
confidence ticked up in March to levels marginally above long-term average
levels. Growth in nominal retailing has moderated, albeit still running at a
healthy pace of 3.2% y/y as of March; the slowdown in part reflects a
deceleration in consumer credit growth, after banks had allowed consumer
credit to accelerate meaningfully last year. The housing market has remained
relatively soft, as has been the case since the referendum. House prices
continue to grow around 2% y/y, down from the 6-7% pace seen in 2015 and the
first half of 2016.
Despite only moderate growth, data suggests there is little spare capacity in
the economy. Alongside the low levels of unemployment, there has been a pick
up in wage growth in most recent data, with average weekly earnings growing
around 3% annualised as of January. Consistent with this, unit labour costs
grew 2.1% y/y as of Q4 2017. In addition, various surveys have alluded to
increasing difficulties in the recruitment of labour, suggesting wages may
grow more markedly in the future. Headline inflation, which fell 0.3ppts to
2.7% y/y in February, is still projected to moderate in the medium term, as
the effects from the earlier exchange rate shock is expected to fade; but
inflation remains well above the Bank of England's ("BoE") target of 2%. In
general, the lack of spare capacity, and expected pick up in wages, should
support domestic inflationary pressures in the medium term. At the BoE's most
recent Monetary Policy Committee ("MPC") meeting in March, two members voted
Enquiries to raise Bank Rate a further 25bps, whilst the seven person majority voted to
keep rates unchanged at 0.5%. The MPC statement concluded that 'given the
prospect of excess demand over the forecast period, an ongoing tightening of
monetary policy over the forecast period will be appropriate to return
inflation sustainably to its target at a more conventional horizon.' As such,
an increase in Bank Rate is widely expected in May.
Though political sentiment has generally improved, the Brexit process
continues to cloud the outlook for the United Kingdom. In December, the
European Union council declared that sufficient progress has been made on the
three pillars of 'divorce' to allow negotiations to move onto discussing a
transition deal and the future relationship. In March, the UK was able to
secure a transition deal (conditional on a final withdrawal treaty), allowing
the UK to stay in the single market and customs union until December 2020.
The agreement also ensured that Northern Ireland will effectively stay in
parts of the single market and customs union in the absence of other
solutions. The next milestone will be the European Council meeting on 28
June, wherein issues such as the Irish border and terms for the future trade
are still to be discussed.
EMU
Business confidence releases in March confirmed earlier indications that the
EMU economy peaked at around the turn of the year, and has been slowing
since. In particular, the EMU Composite PMI fell by almost 2pts from 57.1 to
55.2, almost twice the standard deviation of the series. This is the lowest
level since January 2017, and 3.6pts below the January 2018 peak. At the same
time, hard data available up to February, from industrial production to
retail sales and construction, paints a much less encouraging picture for Q1
EMU GDP than encompassed in the European Central Bank ("ECB") 0.7% q/q March
forecasts. Moreover, the March Harmonised Index of Consumer Prices ("HICP")
release indicates that ECB forecasts will not be hit, and the ECB's hopes of
convergence towards its definition of medium-term price stability, along a
self-sustaining path, appears unlikely. Indeed, both headline and core
inflation missed the consensus forecasts by 0.1pts, rising from 1.1% to 1.3%
y/y and remaining stable at 1.0% y/y, respectively. In particular, the
stability of core inflation at a mere 1%, despite the support provided in
March by the seasonal Easter effect, is a reason for concern.
Japan
The most interesting development in Japan of late is political. A second
cronyism scandal involving Prime Minister Abe is brewing. It is presently
hard to assess its significance for the current government. However, there
has been an unmistakable decline in approval ratings, with the worst readings
coming in below the 30-point cut-off, which in the past, has been read as
especially problematic. As seen elsewhere, unresolved scandals can cost
valuable political capital. Firm leadership will be needed to push through
fiscal legislation to offset the immediate, pernicious effects of the
scheduled consumption tax hike in October 2019.
The inflation environment has not really changed of late. Recent trends
suggest a 1% or so rate, with no hint of a further acceleration, other than
some base effects likely to help out the 12 month change in core prices over
the next couple months. Non-fresh food and especially energy prices are
supportive of the core aggregate, but western core price inflation needs to
pick up further for a more sustainable re-inflation. Of late, the monthly
prints have vacillated between flat and up only 0.1%. Tokyo prices, which are
released with a one month lead, dropped 0.2% in March, unwinding February's
0.2% increase. The pickup in consumer inflation expectations appears to have
stalled, and the yen has appreciated 4.75% against the dollar since the start
of the year.
Information on the real economy has been mixed. The quarterly Tankan Survey
data point to well-maintained production and optimism among businesses. The
Economy Watchers index is down from the elevated level seen at the end of
last year, but around the average level seen in the last six years or so.
Industrial production in February reversed much of January's pothole, but has
in the last half year moved sideways on balance.
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. END
(END) Dow Jones Newswires
April 30, 2018 12:39 ET (16:39 GMT)
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