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BH MACRO LIMITED
MONTHLY SHAREHOLDER REPORT:
JUNE 2017
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: |
$452 mm¹ |
|
1. As at 30 June 2017. Source: BHM's administrator,
Northern Trust. |
Summary
Information |
BH Macro
Limited NAV per Share (Calculated as at 30 June 2017) |
Share
Class |
NAV
(USD mm) |
NAV
per Share |
USD
Shares |
61.3 |
$21.53 |
GBP
Shares |
390.9 |
£21.50 |
|
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 |
|
|
|
|
|
|
-0.69 |
|
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* |
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|
|
|
|
-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 |
-1.48 |
|
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|
|
|
|
-4.19 |
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*As previously announced by the Company, the Company
determined that all remaining shares in the Euro share class be
converted into Sterling shares effective as of 29 June 2017 and all Euro shares held by the
Company in treasury were cancelled on that date. The Euro
share class has been closed and its listing has been cancelled.
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 30 June 2017
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 30
June 2017 |
|
% of
Gross Market Value* |
Level
1 |
73.5 |
Level
2 |
16.3 |
Level
3 |
0.1 |
At
NAV |
10.1 |
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.
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.
|
% of
Gross Market Value* |
Level
1 |
84.7 |
Level
2 |
15.2 |
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 were incurred in interest rate trading from directional
and relative value positioning in European rates and sovereign bond
markets as well as to a lesser extent from directional trading of
Canadian interest rates. Further smaller losses were incurred in FX
trading of GBP, JPY and EUR as well as from long positioning in
crude oil and gold. Small gains were made in directional trading of
US interest rates as well as from FX trading in Scandinavian and
other currency pairs.
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 June 2017.
|
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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 June
2017
2017 |
Rates |
FX |
Commodity |
Credit |
Equity |
Tender Offer |
Total |
June
2017 |
-0.97 |
-0.20 |
-0.10 |
0.00 |
-0.12 |
0.00 |
-1.39 |
Q1
2017 |
0.25 |
-3.06 |
-0.01 |
0.28 |
0.12 |
0.00 |
-2.44 |
Q2
2017 |
-1.81 |
-0.48 |
-0.14 |
-0.02 |
-0.14 |
4.46 |
1.79 |
YTD
2017 |
-1.56 |
-3.53 |
-0.15 |
0.26 |
-0.02 |
4.46 |
-0.69 |
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 30
June 2017
2017 |
Macro |
Systematic |
Rates |
FX |
Equity |
Credit |
EMG |
Commodity |
Tender Offer |
Total |
June
2017 |
-1.05 |
-0.02 |
-0.35 |
-0.02 |
-0.00 |
0.01 |
0.05 |
-0.00 |
0.00 |
-1.39 |
Q1
2017 |
-2.29 |
-0.03 |
-0.18 |
-0.51 |
-0.00 |
0.35 |
0.23 |
-0.00 |
0.00 |
-2.44 |
Q2
2017 |
-2.64 |
-0.08 |
0.17 |
0.01 |
-0.00 |
0.01 |
-0.05 |
-0.00 |
4.46 |
1.79 |
YTD
2017 |
-4.87 |
-0.11 |
-0.01 |
-0.50 |
-0.00 |
0.36 |
0.17 |
-0.00 |
4.46 |
-0.69 |
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 Market Review and Outlook |
The information in
this section has been provided to BHM by BHCM |
US
The labour market remained strong in June while inflation remained
weak. Job creation accelerated in June bringing the average monthly
increase this year to 190,000, a pace which promises to keep the
labour market strong. The unemployment rate ticked up to 4.4%, a
little below most estimates of the long-run sustainable rate. Wage
gains were modest, rising 0.15% bringing the y/y change to 2.5%.
That rate of increase may be consistent with subdued productivity
gains, but the question remains whether better outturns should be
expected if the economy is operating with no more slack.
By contrast with the strength in the labour market, core inflation
disappointed again. Although some of the internal details were
stronger, pronounced declines in volatile categories like airfares
and lodging kept the y/y change in core Consumer Price Index
(“CPI”) inflation at 1.7%, a notable slowing of 0.5 percentage
points from the beginning of the year.
GDP growth was revised up to 1.4% (annual rate) in the first
quarter and is consistently tracking above 2% in the current
quarter, making for the same sort of dull slightly above-trend
growth that has characterised the whole expansion. The household
sector appears to be late-cycle in so far as consumption is slowing
but still above trend, especially auto sales which have settled
into a new lower range of 16.5 million units at an annual rate.
Meanwhile, the business sector has more life. Sentiment is healthy,
surveys are constructive, and business investment has firmed.
Washington is busy this summer. The Senate is grappling with health
care legislation and the House is trying to pass a fiscal year 2018
budget that would set the stage for tax cuts. Must-pass legislation
on the debt limit and Government funding looms in September. The
White House is developing its tax, deregulation and trade
plans.
UK
Even as more signs of a gradual slowdown in the domestic economy
emerged over the past month, the labour market so far seems to be
unperturbed: Q1 GDP growth was revised down to 0.2% q/q from its
initial estimate of 0.3% q/q, and Q2 looks set to print in a
similar range. House prices continued to slow in y/y terms on the
Halifax and Rightmove metrics. Retail sales resumed their downward
trend, slowing to 0.9% y/y in May, while Industrial Production
(“IP”) was down 0.3% y/y. While weaker Sterling, compared to its
level 18 months ago, should have boosted IP, it’s possible that the
uncertainty around Brexit and the future trading relationship
between the UK and the EU has encouraged firms to boost margins
rather than expand production. Hence, the weakness of the currency
may not prove as stimulative as previous instances of Sterling
depreciation.
Inflation remains broadly on the rise, despite a downtick in June,
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, compared to 1.6% y/y at the
end of last year. Headline inflation was last this high in 2013 and
core inflation hit the highest level since 2012. At a time of
subdued wage growth, the rise in inflation has proved a substantial
drag on real incomes, which, in turn, have started to weigh on
consumption. 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. Wage growth slipped to 1.8%
3m/12m in the latest release and has overall been weaker than one
might have expected given the low level of the unemployment rate.
Indeed, the unemployment rate declined to 4.5% in May, the lowest
level since 1975. This dichotomy between low unemployment – at
levels normally associated with a tight labour market – and subdued
wage growth as well as differences in views about the permanence of
current above-target inflation may explain the range of views on
the Bank of England’s Monetary Policy Committee (“MPC”). For three
members of the Committee – Kristin Forbes, Michael Saunders and Ian
McCafferty – the time was already ripe at the June meeting for the
removal of part of the stimulus injected last August, resulting in
a 5-3 vote to keep rates unchanged. The three hawks argued that
slack in the labour market had continued to diminish and weaker
consumption looked to be offset by growth in business investment
and net trade, warranting a 25bps rate hike. It was Kristin Forbes’
last meeting and she has been succeeded by LSE economist Silvana
Tenreyro. However, even some of the more dovish-leaning members of
the MPC have acknowledged that a removal of stimulus may be
appropriate soon.
After an unexpected election upset for Prime Minister Theresa May,
in which she lost her absolute majority in Parliament, the
Conservative Party entered into a confidence and supply arrangement
with the Northern Irish Democratic Unionist Party (“DUP”). So far,
the Government’s position on Brexit has not changed from before the
election, ruling out continued membership of the single market or
customs union, but calls for a softening of the Government’s Brexit
stance have intensified. The clearest consequence of the election
and subsequent events is an emerging consensus for less austerity
and greater preparedness for tax rises.
EU
The June composite Purchasing Managers’ Index (“PMI”) (56.3) was
slightly lower than in April-May (56.8, the strongest level since
April 2011) although the IFO business
climate index (115.1 in June) hit another new high since the
pan-German series began in the early 1990s. Overall, the EMU
composite PMI improved in Q2 (+1pt to 56.6), suggesting EMU Q2 GDP
growth could be even stronger than the 0.6% q/q (1.9% y/y) growth
rate recorded in Q1. The strengthening recovery has allowed the
euro area unemployment rate to decline to 9.3%, now down 0.9pp from
a year ago and the lowest since the same rate in March 2009. However, as recognised by the
European Central Bank (“ECB”), there is still 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 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. Euro area headline Harmonised Index
of Consumer Prices (“HICP”) inflation eased slightly further to
1.3% y/y in June from 1.4% y/y in May, even as core inflation
rebounded to 1.1% y/y in June from 0.9% y/y in May. A slight upward
trend in core inflation is now discernible.
Since the dovish June press conference, ECB President Draghi’s
Sintra speech (28 June) triggered a bond market sell-off. The
elements of novelty within Draghi’s speech were the increased
confidence that the low inflation period can be temporary and the
notion that the ECB can accompany the recovery by changing the
parameters of its policy, though with the aim of keeping the stance
unchanged rather than tightening it (i.e. tapering QE, but with no
hint of a rate hike). The latest account of the 7-8 June meeting
also suggested some discussion of removal of the quantitative
easing (“QE”) bias, on top of the rate easing bias (which was
indeed removed). However, the future removal of the QE bias was
linked to confidence in the translation of the economic expansion
into a further improvement of the inflation outlook, which suggests
that the time is not ripe as of yet for its removal. Furthermore,
this view is also supported by ECB acknowledgment that even small
changes in wording could translate into unwarranted tightening of
financial conditions, a notion which was likely strengthened
following the market reaction to Draghi’s Sintra speech. Overall,
the ECB’s recent communication can be viewed as just a step of the
gradual process towards an exit, rather than any outright hawkish
step.
China
Activity data improved in June. The official PMI was stronger at
51.7 versus 51.2 for May, and the Caixin PMI also improved from
49.6 for May to 50.4 in June. Fixed Asset Investment growth
recorded was 8.6% for June which was slightly higher than the 8.5%
expected. IP growth was strong, recording 7.6% for June,
significantly higher than the 6.5% expectation. Retail sales
continued to improve and printed 11.0% y/y for June. Inflation was
subdued at an unchanged 1.5%, likewise producer prices remained
unchanged from the prior month. On the external side export data
improved further to 11.3% y/y for June and imports had further
gains in June to be 17.2% y/y up from 14.8%. The seven day repo
rate on average was 3.37% for June compared to 3.34% for May.
Japan
The dynamics of Japanese monetary policy are becoming more
interesting after a subdued period. For example, at the end of the
first week of July, the Bank of Japan (“BoJ”) announced its
willingness to buy an unlimited amount of 5 to 10 year Japanese
Government Bonds (“JGBs”) at 0.11%. JGB rates had begun to rise in
sympathy with rising rates around the world, and the BoJ’s
announcement merely unmasked what was implied by its yield-curve
control policy of “around zero”. The yen depreciated a little over
1% against the dollar that week and longer rates fell slightly.
Recent economic trends have continued to persist. The real economy
continues to firm. The quarterly Tankan survey index improved with
manufacturing indices at or exceeding previous highs for the cycle.
Non-Manufacturing indices weren’t quite as strong but still towards
the top of their ranges. The Shoko-Chukin monthly survey of small
and medium-sized enterprises improved in July and appears to be in
a rising trend after falling a little over a year ago. The Economy
Watchers survey has been more volatile, but it too improved in the
most recent report. The diffusion index at the 50-par line is at
its best level for the year. Industrial production moved down in
May after a pop in April but even then remains inside an
upward-sloping channel.
The news on inflation continues to disappoint. Prices excluding all
food and energy ticked up in May. Even so, they remain slightly
below the level seen a year ago. Tokyo prices, which also moved up
in May, fell back in June. Neither inflation rate shows any
inclination to lift off zero, let alone approach the BoJ’s
two-percent target. Consumer inflation expectations have been a
little better. They rose in April, which by itself isn’t
particularly special as there appears to be a tendency for them to
firm at the start of the fiscal year. However, subsequently they
retained that higher level, which was last seen two years ago when
they were declining from a much higher level in 2014.
There are likely to be additional, more stringent market tests of
the BoJ’s resolve to come. As the gap between the BoJ’s
accommodative policy and the rest-of-the-world’s increasingly less
accommodative policy widens, long-term Japanese rates and the yen
will come under greater pressure. It’s a race between inflation and
inflation expectations on the one hand and political pressure from
actors who may find the stepped up pace of bond buying in the face
of a weakening yen too unpalatable. Consequently, investors have to
pay some attention to Prime Minister Abe’s political standing. One
might be tempted to brush off the drubbing Abe’s Liberal Democratic
Party took in the Tokyo municipal assembly as somewhat
idiosyncratic. However, at the same time his approval poll figures
have dropped to their lowest level since he took office. Some have
suggested that in response the Government will be more inclined to
boost Government spending, which could bring things to a head more
quickly. At the same time, it suggests a more tenuous grip on power
and the need to tread more carefully. |
Enquiries |
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.