REG-BH Macro Limited: Monthly Shareholder Report - February 2018
29/03/2018 13:35
BH MACRO LIMITED MONTHLY SHAREHOLDER REPORT: FEBRUARY 2018 YOUR ATTENTION IS DRAWN TO THE DISCLAIMER AT THE END OF THIS DOCUMENT
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 Listing: 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: $485 mm¹
1. As at 28 February 2018. Source: BHM's administrator, Northern Trust.
Summary Information BH Macro Limited NAV per Share (Calculated as at 28 February 2018)
Share Class NAV (USD mm) NAV per Share
USD Shares 62.2 $22.08
GBP Shares 422.3 £21.86
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 2.15
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 1.84
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 28 February 2018 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 28 February 2018
% of Gross Market Value*
Level 1 80.6
Level 2 11.0
Level 3 0.0
At NAV 8.3
% of Gross Market Value*
Level 1 86.7
Level 2 13.2
Level 3 0.0
Manager's Market Review and Outlook Enquiries 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 28 February 2018
2018 Rates FX Commodity Credit Equity Total
February 2018 0.52 -0.15 0.00 0.01 -0.76 -0.38
QTD 2018 1.77 0.18 0.03 -0.06 0.24 2.15
YTD 2018 1.77 0.18 0.03 -0.06 0.24 2.15
2018 Macro Systematic Rates FX Equity Credit EMG Commodity Total
February 2018 -0.55 -0.06 0.17 0.01 -0.00 0.00 0.06 -0.00 -0.38
QTD 2018 1.89 0.01 0.03 0.03 -0.00 -0.03 0.23 -0.00 2.15
YTD 2018 1.89 0.01 0.03 0.03 -0.00 -0.03 0.23 -0.00 2.15
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.
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