Interim Management Statement

RNS Number : 0123G

BH Macro Limited

05 May 2011

 



BREVAN HOWARD	BH MACRO LIMITED INTERIM MANAGEMENT STATEMENT For the quarter ended 31 March 2011   ADV02590 CONFIDENTIAL DO NOT COPY OR DISTRIBUTE   ADV02590 CONFIDENTIAL DO NOT COPY OR DISTRIBUTE Your attention is drawn to the disclaimer at the beginning of this document © Brevan Howard Asset Management LLP (2011). All Rights Reserved.
	Important Legal Information and Disclaimer BH Macro Limited ("BHM") is a feeder fund investing in Brevan Howard Master Fund Limited (the "Fund"). Brevan Howard Asset Management LLP ("BHAM") has supplied the information herein regarding the Fund's performance and outlook. BHAM is authorised and regulated by the Financial Services Authority. This material constitutes a financial promotion for the purposes of the Financial Services and Markets Act 2000 (the "Act") and the handbook of rules and guidance issued from time to time by the FSA (the "FSA Rules"). The material relating to BHM and the Fund included in this report has been prepared by BHAM and is provided for information purposes only and does not constitute an invitation or offer to subscribe for or purchase shares in BHM. 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 by BHAM to be reliable, but BHAM makes no representation as to their accuracy or completeness. Estimated results, performance or achievements may materially differ from any actual results, performance or achievements. Except as required by applicable law, the Fund and BHAM expressly disclaim any obligations to update or revise such estimates to reflect any change in expectations, new information, subsequent events or otherwise. All investments are subject to risk. Prospective investors are advised to seek expert legal, financial, tax and other professional advice before making any investment decisions. Tax treatment depends on the individual circumstances of each investor in BHM and may be subject to change in 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. Potential investors in BHM should seek their own independent financial advice. BHAM neither provides investment advice to, nor receives and transmits orders from, investors in the Fund nor does it carry on any other activities with or for such investors that constitute "MiFID or equivalent third country business" for the purposes of the FSA Rules. PAST PERFORMANCE IS NOT A RELIABLE INDICATOR OF FUTURE RESULTS

B BH MACRO LIMITED INTERIM MANAGEMENT STATEMENT: 31 March 2011H MACRO LIMITED INTERIM MANAGEMENT STATEMENT: 31 March 2011		BREVAN HOWARD
T [phone]   www.brevanhoward.com
Overview and Objective	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. This Interim Management Statement covers the period from 1 January 2011 to 31 March 2011.
Company Size	The total net assets of BHM are summarised as follows: Share Class 31 March 2011* Currency: USD mm 31 December 2010 Currency: USD mm 31 March 2011* Currency of Class (mm) 31 December 2010 Currency of Class (mm) USD Shares 553.1 548.8 $553.1 $548.8 EUR Shares 333.4 339.3 €234.9 €255.5 GBP Shares 1035.6 935.5 £646.0 £607.9 Total 1922.1 1823.6 n/a n/a Source: Northern Trust International Fund Administration Services (Guernsey) Limited ("Northern Trust") * As at 31 March 2011 by Brevan Howard Asset Management LLP ("BHAM") based on data provided by Northern Trust.
Share Capital	The number of shares in issue in each share class of BHM is summarised as follows: Share Class 31 March 2011 31 December 2010 USD Shares 31,474,766 31,841,026 EUR Shares 13,315,261 14,780,360 GBP Shares 35,733,136 34,283,784 Source: Northern Trust

Performance Review	The closing share price* of each share class of BHM is summarised as follows: Share Class 31 March 2011 31 December 2010 USD Shares (US$) 16.30 15.90 EUR Shares (€) 16.31 15.85 GBP Shares (p) 1686 1650 Source: Bloomberg The NAV per share* of each share class of BHM is summarised as follows: Share Class 31 March 2011 31 December 2010 USD Shares (US$) 17.57  17.24 EUR Shares (€) 17.64 17.29 GBP Shares (p) 1808 1773 * 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. BHM NAV as at 31 March 2011 is by BHAM based on data provided by Northern Trust. Source: The Fund's Net Asset Value data is provided by the Administrator of the Fund, International Fund Services (Ireland) Limited. BHM's Net Asset and Net Asset Value per Share data is provided by BHM's Administrator, Northern Trust International Fund Administration Services (Guernsey) Limited. BHM's Net Asset and Net Asset Value data in this report 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.  PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS Further details of monthly performance information and the outlook of the Fund and BHM can be obtained from BHM's monthly newsletters, copies of which can be found on BHM's website: www.bhmacro.com
Investment Profile	The change to the investment profile (by asset class) of the Fund is summarised as follows: Asset Class 31 March 2011 % of total VaR 31 December  2010 % of total VaR Fixed Income 27% 35% Vega Vega 15% 17% Equity Equity 11% 4% Credit Credit 8% 9% FX FX 23% 15% Commodity Commodities 17% 20% Source: BHAM
Material Events and Transactions	Discount Management There was no discount management activity or other material events or transactions during the period.
Enquiries	Northern Trust International Fund Administration Services (Guernsey) Limited Rose Toussaint [phone]

 

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