Interim Management Statement

RNS Number : 7571R

BH Macro Limited

30 October 2013

 



	ADV05076 CONFIDENTIAL DO NOT COPY OR DISTRIBUTE BH MACRO LIMITED INTERIM MANAGEMENT STATEMENT For the quarter ended 30 September 2013 ADV05076 CONFIDENTIAL DO NOT COPY OR DISTRIBUTE Your attention is drawn to the disclaimer at the beginning of this document © Brevan Howard (2013). 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 Capital Management LP acting through its general partner Brevan Howard Capital Management Limited ("BHCM") and Brevan Howard Asset Management LLP ("BHAM" and BHAM together with BHCM "Brevan Howard") have supplied the 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.  BHAM is authorised and regulated by the Financial Conduct Authority (the "FCA") in the United Kingdom. The material relating to BHM and the Fund included in this report has been prepared by Brevan Howard and is provided for information purposes only and does not constitute an invitation or offer to subscribe for or purchase shares in BHM or the Fund. This material is not intended to provide a sufficient basis on which to make an investment decision. 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 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.  Potential investors in BHM should seek their own independent financial advice.  Brevan Howard neither provides investment advice to, nor receives and transmits orders from, investors in the funds to which this material relates 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 FCA Handbook. PAST PERFORMANCE IS NOT A RELIABLE INDICATOR OF FUTURE RESULTS

BH MACRO LIMITED INTERIM MANAGEMENT STATEMENT: 30 September 2013
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 July 2013 to 30 September 2013.
Company Size	The total net assets of BHM are summarised as follows: Share Class 30 September 2013 Currency: USD          (mm) 30 June 2013 Currency: USD         (mm) Change in Net Assets 30 June 2013 to 30 September 2013 Currency: USD (mm) 30 September 2013 In Currency of Class (mm) 30 June 2013 In Currency of Class (mm) USD Shares 543.0 581.0 -38.0 543.0 581.0 EUR Shares 190.8 186.7 4.1 140.9 143.6 GBP Shares 1,451.5 1,366.8 84.7 896.3 901.2 Total 2,185.3 2,134.6 50.7  -  - 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 2013 30 June 2013 USD Shares 26,677,046 27,877,684 EUR Shares 6,874,438 6,839,881 GBP Shares 42,510,726 41,778,807 Source: Northern Trust

Performance Review	The closing share price* of each share class of BHM is summarised as follows: Share Class 30 September 2013 30 June 2013 USD Shares (US$) 20.45 20.80 EUR Shares (€) 21.16 20.90 GBP Shares (£) 21.40 22.15 Source: Bloomberg The NAV per share* of each share class of BHM is summarised as follows: Share Class 30 September 2013 30 June 2013 USD Shares (US$) 20.35 20.84 EUR Shares (€) 20.50 21.00 GBP Shares (£) 21.08 21.57 * 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 Net Asset Value data provided by the Administrator of the Fund, International Fund Services (Ireland) Limited. BHM's 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 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 above in this interim management statement is accurate and complete: By: Name: David Barton Title: Head of Legal 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.
Investment Profile	The change in the investment profile (by asset class) of the Fund is summarised as follows: Asset Class 30 September 2013 % of total VaR 30 June 2013 % of total VaR Fixed Income 24 28 Vega 17 12 Equity 28 19 Credit 9 10 FX 14 26 Commodities 8 4 Source: Brevan Howard Calculated using historical simulation based on a 1 day, 95% confidence interval. Figures are rounded to the nearest whole number. Therefore in some instances the total may not equal 100%.
Material Events and Transactions	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]

 

END

 

 

IMSLLFELIILIVIV