REG-BH Macro Limited: Investor Statement

BH MacroAnnouncement

27/10/2023 18:00

 
BH MACRO LIMITED INVESTOR STATEMENT

 

 
Overview and Objective
This Investor Statement covers the period of 1 July 2023 to 30 September 2023
and is being circulated to satisfy the quarterly account statement obligations
of the commodity pool operator of BH Macro Limited ("BHM") pursuant to CFTC
Regulation 4.7.

 
Company Size
The total net assets of BHM are summarised as follows:

 Share Class  30 September 2023  30 June 2023       Change in Net Assets 30 September 2023 - 30 June 2023  30 September 2023          30 June 2023               
              Currency USD (mm)  Currency USD (mm)  Currency USD (mm)                                      In Currency of Class (mm)  In Currency of Class (mm)  
 USD Shares   125.1              117.7              7.4                                                    125.1                      117.7                      
 GBP Shares   1832.5             1868.8             -36.3                                                  1501.3                     1470.0                     
 Total        1957.7             1986.6             -28.9                                                  -                          -                          

 

Source: Northern Trust International Fund Administration Services (Guernsey)
Limited ("Northern Trust")

Figures are rounded to one decimal place.

 

 
Share Capital
The number of shares in issue in each share class of BHM is summarised as
follows:

 Share Class  30 September 2023  30 June 2023  
 USD Shares   29,607,429         28,840,946    
 GBP Shares   373,729,951        374,357,176   

 

Source: Northern Trust

 

 

 

 
Performance Review
The closing share price* of each share class of BHM is summarised as follows:

 Share Class       30 September 2023  30 June 2023  
 USD Shares (US$)  3.69               3.99          
 GBP Shares (£)    3.56               3.68          

 

Source: Bloomberg

 

The NAV per share* of each share class of BHM is summarised as follows:

 Share Class       30 September 2023  30 June 2023  
 USD Shares (US$)  4.18               4.08          
 GBP Shares (£)    4.02               3.93          

 

 

*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.

Source: BHM's Net Asset Value per Share data is provided by BHM's
Administrator, Northern Trust, and is based on the Fund's (as defined below)
Net Asset Value data provided by the Administrator of the Fund, State Street
Fund Services (Ireland) Limited. BHM's Net Asset Value data in this report is
unaudited and net of all investment management fees and all other fees and
expenses payable by BHM. In addition, BHM's investment in the Fund is subject
to an operational services fee.

 

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

 

Further details of monthly performance information and the outlook of Brevan
Howard Master Fund Limited (the "Fund") and BHM can be obtained from BHM's
Shareholder Reports, copies of which can be found on BHM's website:
www.bhmacro.com

To the best of my knowledge and belief, the information detailed in this
statement is accurate and complete:


Name: Jonathan Hughes

Title: Chief Financial Officer and Authorised Signatory

Brevan Howard Capital Management Limited as general partner of Brevan Howard
Capital Management LP, the manager and commodity pool operator of BH Macro
Limited.


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 acting
through its general partner Brevan Howard Capital Management Limited ("BHCM")
has supplied certain information herein regarding BHM's and the Fund's
performance and outlook.  BHCM is regulated by the Jersey Financial Services
Commission as a fund services business and is the commodity pool operator of
BHM.

The material relating to BHM and the Fund included in this investor statement
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 the UK and states of the European
Economic Area. This material is not intended to provide a sufficient basis on
which to make an investment decision.

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.

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