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BH MACRO LIMITED
MONTHLY SHAREHOLDER REPORT:
NOVEMBER 2016
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)
NASDAQ Dubai - USD Class (Secondary listing)
Bermuda Stock Exchange (Secondary 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: |
$878 mm¹ |
|
1. As at 30 November 2016. Source: BHM's administrator,
Northern Trust. |
Summary
Information |
BH Macro
Limited NAV per Share (Calculated as at 30 November 2016) |
Share
Class |
NAV
(USD mm) |
NAV
per Share |
USD
Shares |
220.7 |
$21.64 |
EUR
Shares |
35.1 |
€21.86 |
GBP
Shares |
622.2 |
£22.43 |
|
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 |
|
6.43 |
|
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 |
|
6.34 |
|
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 |
|
5.73 |
|
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 fees (2% annual management fee and 20% performance fee)
and all other fees and expenses payable by BHM. In addition, the
Fund is subject to an operational services fee of 50bps per
annum.
BHCM shall waive its entitlement to a management fee in respect of
any performance-related growth of BHM from 3
October 2016 onwards. In addition, BHM’s investment in the
Fund will not bear an operational services fee in respect of any
performance-related growth from 3 October
2016 onwards.
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 2016
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. |
ASC 820 Asset Valuation Categorisation*
Performance Review
|
Brevan Howard
Master Fund Limited |
Unaudited as at 30
November 2016 |
|
% of
Gross Market Value* |
Level
1 |
77.1 |
Level
2 |
22.5 |
Level
3 |
0.2 |
At
NAV |
0.2 |
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.
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 as calculated by IFS.
The information in this section has been provided to BHM by
BHCM.
The Fund’s gains came primarily from interest rate and FX
trading. Higher interest rates in the US and, to some extent, in
Europe together with the strengthening of the US dollar, mostly
against the Japanese Yen and the Euro, drove returns. Long
positioning in option volatility and gamma in both FX and interest
rates also contributed strongly.
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 2016.
|
|
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 2016
2016 |
Rates |
FX |
Commodity |
Credit |
Equity |
Discount Management & Tender Offer |
Total |
Nov
2016 |
3.15 |
1.75 |
0.01 |
0.10 |
0.01 |
0.00 |
5.02 |
Q1
2016 |
1.17 |
-0.82 |
-0.14 |
0.02 |
-1.14 |
0.57 |
-0.35 |
Q2
2016 |
0.01 |
-0.09 |
0.03 |
0.05 |
-0.39 |
2.90 |
2.47 |
Q3
2016 |
-0.52 |
-1.55 |
0.01 |
0.20 |
-0.34 |
0.68 |
-1.52 |
QTD
2016 |
3.36 |
2.22 |
-0.01 |
0.14 |
-0.01 |
0.11 |
5.83 |
YTD
2016 |
4.03 |
-0.28 |
-0.11 |
0.41 |
-1.86 |
4.31 |
6.43 |
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
“Discount Management & Tender Offer”: buyback
activity for discount management purposes and repurchases under the
tender offer launched on 27 April
2016.
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 2016
2016 |
Macro |
Systematic |
Rates |
FX |
Equity |
Credit |
EMG |
Commodity |
Discount Management & Tender Offer |
Total |
Nov
2016 |
3.89 |
0.00 |
0.98 |
0.13 |
-0.00 |
0.08 |
-0.07 |
-0.00 |
0.00 |
5.02 |
Q1
2016 |
-1.10 |
0.01 |
0.56 |
-0.02 |
-0.01 |
-0.34 |
-0.02 |
-0.00 |
0.57 |
-0.35 |
Q2
2016 |
-0.44 |
-0.01 |
-0.24 |
0.01 |
-0.01 |
0.08 |
0.21 |
-0.00 |
2.90 |
2.47 |
Q3
2016 |
-2.14 |
-0.01 |
0.13 |
-0.28 |
-0.00 |
0.17 |
-0.06 |
-0.00 |
0.68 |
-1.52 |
QTD
2016 |
4.51 |
-0.01 |
0.94 |
0.19 |
-0.00 |
0.20 |
-0.12 |
-0.00 |
0.11 |
5.83 |
YTD
2016 |
0.72 |
-0.02 |
1.38 |
-0.09 |
-0.01 |
0.11 |
0.01 |
-0.00 |
4.31 |
6.43 |
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
“Discount Management & Tender Offer”: buyback
activity for discount management purposes and repurchases under the
tender offer launched on 27 April
2016.
|
Manager's Market Review and Outlook |
The information in
this section has been provided to BHM by BHCM |
Market
Commentary
US
The unemployment rate declined to 4.6% in November, a little below
many experts’ estimates of full employment. Broader measures of
labour market slack also showed some improvement. With the labour
market getting tighter, the trend toward faster wage growth appears
to be entrenched.
Real GDP growth was pushed up in the third quarter by a remarkable
one-time surge in agricultural exports that is poised to turn into
a drag in the current quarter. Apart from the swings in trade,
moderate growth has been maintained in the fourth quarter.
Consumption spending has slowed from the brisk pace set in the
middle of the year. Business investment is mixed, and residential
investment looks to have turned the corner into positive
territory.
Inflation is gradually building. Headline prices are following
energy prices with a lag, while underlying core inflation is
inching up ever so slowly. The latest reading on core Personal
Consumption Expenditure Index inflation was 1.3%, the highest level
seen since 2014. Going forward, the trend in inflation will depend
on the tailwinds from a stronger economy and the headwinds from
another leg of appreciation in the exchange value of the US
dollar.
The Republicans’ win in the election shifted the focus from
monetary policy to fiscal policy, deregulation, trade and
immigration. The outlines of certain policy proposals like
corporate tax reform are taking shape quickly, but in other areas
like trade and immigration there is much uncertainty. The President
– Elect’s cabinet looks extraordinarily business-friendly so while
it will take time for the legislative agenda to come together,
animal spirits may be buoyed in 2017.
UK
The UK economy has continued to defy expectations of a slowdown in
response to the vote to leave the European Union. Growth has proved
remarkably resilient, with companies continuing to invest and
consumer spending remaining buoyant. Rather than slowing, retail
sales actually accelerated to an annual pace of around 7% in the
last two releases. This is just one example for the resilience of
private domestic demand. One very relevant question going forward
will be to what extent consumer spending will have to adjust to the
expected hit to real incomes, as nominal incomes move largely
sideways, while inflation is expected to pick up materially. So
far, some of the outperformance in consumption over real income
growth can be explained by faster credit growth and rising house
prices. It is possible that this trend continues and consumption
spending defies the upcoming slowdown in real income growth, but it
is also possible that there is some adjustment. This will be one of
the key calls for the UK outlook in 2017. The UK labour market has
remained broadly stable in recent months, with higher frequency
indicators showing a slight loss of momentum. However, so far,
there haven’t been any clear signs of the rise in unemployment that
the Bank of England (“BoE”) expects for 2017.
Core inflation has been evolving slightly weaker than expected by
the BoE in its November Inflation Report, but headline inflation is
broadly on track, helped by the most recent rise in oil prices,
offsetting the slight undershooting of core inflation. In November,
the BoE forecast a material overshoot of inflation relative to its
target in the next few years, largely on account of the sharp
depreciation of Sterling over the past year, prompting the Monetary
Policy Committee to abandon its easing stance and move to a more
neutral policy stance. The latest appreciation of Sterling – likely
triggered by the market’s perception of a lower probability of a
‘hard Brexit’ – has reduced the projected overshoot in inflation
and should thus leave the BoE in a comfortable wait-and-see mode
for the coming months. More news on the Brexit process is expected
in January, when the United Kingdom’s Supreme Court is expected to
rule on the need for parliamentary approval for triggering Article
50 TEU. Under most scenarios, the Government’s timetable for the
Article 50 notification by the end of March
2017 remains intact.
EMU
Euro area Q3 GDP was confirmed at 0.3% q/q (with some risk of an
upwards revision to 0.4% q/q) supported by domestic demand.
Survey data in October-December suggest the potential for growth to
exceed Q3, while solid data released thus far were softer, pointing
in the direction of a softer outcome. Following recent revisions,
the euro area unemployment rate has now fallen to 9.8% in October –
its lowest since July 2009 – from a
revised 9.9% in September (previously 10%). However, wage growth
has yet to pick up despite the improvement in the labour market in
recent years. Euro area negotiated wage growth remains low at just
1.4% y/y in Q3, its slowest annual growth rate since Q4 1991.
Headline inflation edged up again (0.6% y/y in November) and may
move to approximately 1% early next year driven by higher oil
prices and base effects. However, core inflation remained
stubbornly low at 0.8% y/y in November.
The ECB announced its intention to reduce the pace of monthly
purchases from €80bn to €60bn from April
2017 onwards, as part of a 9-month Quantitative Easing
(“QE”) extension until at least the end of 2017, or beyond, if
necessary (adding €540bn of purchases and taking the total intended
stock of QE to €2.28trn, or 21% of GDP). The reduction in the
monthly pace was the only novelty, albeit relevant, on the hawkish
side. The additional announcements from the ECB were leaning to the
dovish side. This includes a warning that the ECB intends to
increase the programme in terms of size and/or duration if, in the
meantime, (i) the outlook becomes less favourable (likely mindful
of increased uncertainty following the resounding Italian
referendum result and resignation of PM Renzi), or (ii) financial
conditions become inconsistent with achieving a sustained inflation
adjustment (perhaps reflecting concerns over what the QE pace
reduction might mean for markets). The ECB also changed some of the
parameters to accommodate an expanded QE programme (expanding the
maturity of eligible bonds by decreasing the minimum remaining
maturity to 1yr from 2yrs and allowing purchases with a yield to
maturity below the deposit rate “to the extent necessary”). The
profile of ECB policy for 2017 therefore looks quite orthogonal to
what is currently expected by the Fed, envisaging a continuation of
tightening.
China
In November, activity in China remained resilient, although the
indications stemming from the manufacturing Purchasing Managers’
Index (“PMI”) overshot actual underlying dynamics. The official PMI
rebounded further to 51.7, much stronger than expected and the
highest level since Q3 2014, while the Caixin PMI stood at a
reasonable 50.9 level. Fixed Asset Investment grew by a relatively
modest 8.3% y/y YTD, as did Industrial Production (“IP”) growth at
6.2% y/y, while retail sales growth rose to 10.8% y/y and car
registrations accelerated further. Inflation accelerated from 2.1%
to 2.3% in November, exceeding the consensus forecast, while the
Producer Price Index (“PPI”) rose by a solid 3.3% y/y.
On the monetary side, total social financing accelerated further in
November, to 18.3% y/y. The 7-day repo rate has been volatile for
the past month, ranging from 2.35% to 3.24%, which is the highest
since early 2015. Foreign exchange reserves fell in November by
nearly US$70bn to US$3.05 trn.
Japan
Economic data suggest an economy operating a little above its
potential rate. Q3 GDP revised down, but at 1.3% (annualised
rate), it is still running above estimated potential GDP
growth. Household and government consumption expanded
moderately. Trade added arithmetically to growth as exports
moved up and imports declined for the fourth straight
quarter. Inventories were a modest drag on activity, and
fixed investment was mixed. Higher-frequency survey data
improved. The Shoko-Chukin survey of small and medium-sized
businesses edged up again. The economy watchers survey jumped
3.2 points; at 52.5 it is at its highest level in two and a half
years.
National prices excluding food and energy edged up 0.1% seasonally
adjusted in October, as did Tokyo prices in November. Even
so, both nationally and just in Tokyo, the 12-month change remains
around zero. After falling rapidly, consumer inflation
expectations have flattened out in the last six months at a
relatively low level. The recent 10% depreciation in the yen
relative to the dollar should provide some impetus to inflation in
the next half year, though not nearly enough to raise inflation to
be consistent with the implied path of the median projection from
members of the Bank of Japan. |
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.