Monthly Shareholder Report - November 2015

		BH MACRO LIMITED MONTHLY SHAREHOLDER REPORT: November 2015 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 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:	$1,603 mm¹
	1. Estimated as at 30 November 2015 by BHM's administrator, Northern Trust.
Summary Information	BH Macro Limited NAV per Share (estimated as at 30 November 2015)
	Share Class NAV (USD mm) NAV per Share USD Shares 368.5 $21.05 EUR Shares 98.5 €21.23 GBP Shares 1,136.0 £21.95
	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 2.30* 2.08*
	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 2.50* 2.47*
	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 2.21* 2.56*
	Source: Fund NAV data is provided by the administrator of the Fund, International Fund Services (Ireland) Limited. 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. 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. *Estimated by BHCM as at 30 November 2015 PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
ASC 820 Asset Valuation Categorisation*	Brevan Howard Master Fund Limited
	Unaudited estimates as at 30 November 2015
	% of Gross Market Value* Level 1 74.6 Level 2 24.3 Level 3 1.1
	Source: BHCM * These estimates are unaudited and have been calculated by BHCM using the same methodology as that used in the most recent audited financial statements of the Fund. These estimates are subject to change. 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.
Performance Review	The information in this section has been provided to BHM by BHCM. Performance by Asset Class Monthly, quarterly and annual contribution (%) to the performance of BHM USD Shares (net of fees and expenses) by asset group Rates FX Commodity Credit Equity Discount Management Total November 0.28 2.02 -0.06 -0.03 -0.01 0.11 2.30 Q1 2015 -0.34 2.21 -0.16 0.15 1.01 0.04 2.90 Q2 2015 0.48 -1.16 -0.05 -0.18 -0.46 0.00 -1.37 Q3 2015 -0.23 -0.02 -0.01 -0.17 -0.79 0.11 -1.10 QTD 2015 0.36 1.58 -0.14 -0.06 -0.22 0.19 1.70 YTD 2015 0.28 2.60 -0.35 -0.26 -0.48 0.34 2.08 Monthly, quarter-to-date and year-to-date figures are calculated by BHCM as at 30 November 2015, based on total performance data for each period provided by the Fund's administrator, International Fund Services (Ireland) Limited. Figures rounded to two decimal places. The performance attribution above is derived from estimates calculated by BHCM, based on total performance data provided by the Fund’s administrator, International Fund Services (Ireland) Limited and risk estimates, estimated as at 30 November 2015. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Performance by Strategy Group Monthly, quarterly and annual contribution (%) to the performance of BHM USD Shares (net of fees and expenses) by strategy group Macro Systematic Rates FX Equity Credit EMG Commodity Discount Management Total November 1.93 0.01 0.18 0.16 -0.01 -0.07 -0.01 -0.00 0.11 2.30 Q1 2015 1.66 0.03 0.66 0.13 0.03 0.39 -0.04 -0.01 0.04 2.90 Q2 2015 -1.17 -0.03 -0.02 0.10 -0.00 -0.12 -0.12 -0.00 0.00 -1.37 Q3 2015 -1.37 0.00 0.56 -0.08 -0.00 -0.19 -0.14 -0.00 0.11 -1.10 QTD 2015 1.53 -0.00 -0.10 0.21 -0.00 -0.15 0.03 -0.00 0.19 1.70 YTD 2015 0.62 -0.00 1.11 0.36 0.02 -0.07 -0.26 -0.01 0.34 2.08 Monthly, quarter-to-date and year-to-date figures are calculated by BHCM as at 30 November 2015, based on total performance data for each period provided by the Fund's administrator, International Fund Services (Ireland) Limited. Figures rounded to two decimal places. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Methodology and Definition of Monthly Contribution to Performance: 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) “Rates”: developed interest rates markets “FX”: global FX forwards and options “EMG”: global emerging markets “Equity”: global equity markets including indices and other derivatives “Commodity”: liquid commodity futures and options “Credit”: corporate and asset-backed indices, bonds and CDS “Systematic”: rules-based futures trading “Discount Management”: buyback activity for discount management purposes
Manager's Market Review and Outlook	The information in this section has been provided to BHM by BHCM
	US Solid job gains in November sealed the case for the Federal Reserve to raise rates in December. With the unemployment rate in the neighborhood of full employment, wages finally appear to be accelerating as well. If history is a guide, the momentum in the labour market should continue for some time. As long as payroll employment is expanding more than 100,000 per month, the unemployment rate will keep falling. Inflation remains muted. Core inflation stayed at 1.3% in November y/y, while headline inflation stands at just 0.2%.  As the effects of lower consumer energy prices and falling import prices pass through, both headline and core inflation should begin to move up, absent additional shocks. Real GDP growth in the third quarter was revised up at the expense of the current quarter. For the second half overall, growth looks to be approximately 2% at an annual rate. Slightly better performance is anticipated by some going into next year as the inventory overhang is worked off. With the debate about lift-off settled, investors are focusing on the pace of rate hikes next year. The Fed has promised “gradual increases” in interest rates that are tied to the evolution of the economy. Looking at policy makers’ own forecasts for interest rates, that translates into one rate hike per quarter next year, with the odds favouring fewer increases given the well-advertised risks posed by the zero lower bound and weakness abroad. EMU In the Eurozone, actual activity indicators have shown a consistent moderation from the sustained pace recorded at the turn of the year; GDP growth slowed from 2.2% q/q in Q1, to 1.6% in Q2 and 1.2% in Q3, while industrial production and retail sales releases signalled a further slowdown at the beginning of Q4. However, survey data have consistently depicted a more sustained pace of the recovery. In November, the EMU Composite Purchasing Managers’ Index (“PMI”) added 0.2 points to 54.2, with other business surveys such as the German IFO also improving marginally to decent levels. One exception was the retail PMI, which fell back to below threshold in November, possibly due to the impact of the Paris terrorist attacks. Upcoming releases will have to clarify whether actual and survey data have been providing the correct indications on the actual underlying dynamics of the Eurozone economy; as of now there is more weight given to actual activity indicators.  The Economic Monetary Union (“EMU”) labour market continues to adjust slowly, with the unemployment rate declining again in October by 0.1 percentage points to 10.7%, its lowest level since January 2012. The adjustment has however been very heterogeneous across countries, with continued improvement in Germany and more recently in Italy, while the French unemployment rate has not yet started to stabilise. Turning to price development, a very low level of inflation still persists in the common currency zone. Indeed, the Harmonised Index of Consumer Prices (“HICP”) ticked-up to 0.2% y/y in November from 0.1% y/y in October, with core inflation declining again from 1.1% to 0.9% y/y. At the same time, in October the annual growth rate of broad money supply M3 rose again after a temporary decline in September, to 5.3% y/y, broadly unchanged since July. Credit figures also improved, but not enough to provide a boost to the credit impulse. At its December monetary policy meeting, the ECB adopted a package of easing measures including a deposit rate cut of 10 basis points to -0.30%, an extension of the Asset Purchase Programme (“APP”) from September 2016 to March 2017, a broadening of purchases to include debt issued by regional and local governments, and promised to reinvest principal payments of securities purchases under the APP. However, the ECB package fell significantly short of market expectations, which had foreseen an increase in the monthly pace of purchases as well as a larger rate cut, after President Draghi hinted at more aggressive easing in speeches over the previous month. As such, following the ECB meeting, financial conditions tightened significantly, with the Euro stronger, core and peripheral bond yields higher and equity prices falling along with market inflation expectations. On the political side, importantly in France the far-right Front National secured 27.7% of votes nationally in the first-round of regional elections, a record score, meaning they were ahead of the Republicans and President Hollande’s Socialists. The increased support for the anti-immigration party can be partly attributed to the fear of terrorism and a large immigration wave. However, Le Pen’s far right party failed to win a single region in the second round due to tactical voting. President Hollande’s Socialists won five of France’s metropolitan areas while Sarkozy’s Republicans came out on top winning at least seven regions including Paris. Turnout increased by 10% compared to the first round elections, particularly in areas where Front National had won previously, suggesting many voters deliberately voted against the party, blocking them from power.   UK The UK economy continues to grow at a solid pace, shaped by robust private domestic demand and modest external demand, due to a combination of a higher trade weighted exchange rate and soft global growth. Surveys of construction activity have deteriorated recently, converging towards the poor performance in actual data (construction output fell 2.2% q/q in Q3). In contrast, growth in the services sector remains resilient even though some surveys suggest some moderation from the 0.7% q/q pace experienced in Q3. Retail sales volumes, which were previously boosted by low retail prices, have started to moderate in recent months and are now growing at around long-term average rates. Consumer confidence remains at very high levels (even if it has fallen slightly from its recent peak) and should continue to support the retail sector. Growth in consumer credit also remains robust and is likely to contribute to retail spending.  Mortgage lending has picked up pace in recent months, but the pace of growth remains well below pre-crisis rates. Surveys around housing activity have moderated, but remain fairly close to their recent peak. National house prices continue to rise, but at a slightly slower pace than experienced in 2014. Overall, it’s reasonable to expect that GDP will continue to grow at around 2-2.5% y/y (it grew 2.3% y/y in Q3), somewhat below long-term average rates. After the sharp decline throughout most of 2014, the unemployment rate hovered around 5.5-5.6% in the first half of 2015 and it has recently resumed its downward trend, falling to 5.2% in October. Some surveys have also pointed to a slight pick-up in employment growth. Wage inflation has risen markedly over the past year, but has fallen back in recent months. Wage inflation is currently growing at around 2.5%, still below pre-crisis average rates. Productivity growth has also picked up in recent quarters, now growing around 1% y/y, offsetting the inflationary impact of wage inflation. George Osborne, the Chancellor of the Exchequer, delivered the Autumn Statement last month, which is an update on the fiscal budget. Relative to the plans set out in July, the pace of fiscal tightening was reduced slightly over the next couple of years. On the monetary side, at the Bank of England’s (“BoE”) most recent Monetary Policy Committee (“MPC”) meeting, again only one member voted to raise the policy rate by 0.25%, whilst the remaining eight members voted to keep interest rates unchanged at 0.5%. In the November inflation report, the BoE revised down their forecast for inflation over the next two years, in part due to lower expectations of utility prices, but at the same time revised up the forecast out to three years to 2.2%, above the 2% target. The BoE continue to discuss the process of balancing rising domestic costs against disinflationary pressures from abroad (due to the higher sterling and subdued commodity prices). MPC members briefed the Treasury Select Committee on November’s inflation report. Their rhetoric around the timing of the first interest rate rise was broadly unchanged; they acknowledged a tightening in the labour market, but with core and headline inflation currently at 1.1% and 0.1% y/y respectively, they still don’t see any clear signs of inflationary pressure, indicating that they are in no rush to raise interest rates. However, they are relatively more concerned about running inflation above target at the forecast horizon when the disinflationary pressures related to the higher exchange rate start to dissipate. In December, the Financial Policy Committee kept the counter cyclical buffer at 0%, leaving bank capital requirements unchanged. They will review the level again in March. Japan The Bank of Japan “(BOJ”) kept policy unchanged at its latest meeting.  It described economic growth as moderate, with exports and industrial production as “more or less flat, due mainly to the effects of the slowdown in emerging economies.”  The latest data actually suggest a better picture.  Real exports bounced back in the third quarter after a sharp drop in the previous quarter.  Industrial production moved up 2.5% in total over September and October.  Recent survey data have been broadly on par with the Economy Watchers’ survey edging up in October after dropping the previous two months.  The Shoko-Chukin survey of small and medium-sized businesses declined in the latest reading.  Real GDP fell 0.75% (annual rate) in the third quarter, pushed down by a drag from inventory investment.  With potential output running at only 0.5%, however, two straight quarters of GDP declines, as appears to have happened in the middle of the year, is not all that remarkable. The latest inflation report was on the whole an improvement from the previous month.  Western core inflation in Japan did tick down -0.1%, its first backsliding since January.  That, however, could have been worse given the advance Tokyo data, which was printed in October, reported a bigger decline.  Moreover, in the latest report, the seasonally adjusted Western Core Index for Tokyo fully unwound that October drop.  The 12-month change in the Tokyo Consumer Price Index (“CPI”) that excludes food and energy has picked up 0.5 percentage points in the last half year. In a speech to business leaders at the end of the month, Governor Kuroda repeated his determination to raise trend inflation to 2% “at the earliest possible time.”  Towards the end of his speech, he argued that it was up to the Bank to show “unwavering resolve” to defeat the “deflationary mindset”, and that the Bank couldn’t simply wait around until wages moved up on their own in order to increase inflation.  At the same time, he was obviously also lobbying for firms and labour representatives to get on board with the inflationary program.  Some analysts interpret this as suggesting additional stimulus would come before the spring wage negotiations, though the trading of the yen seemed to disregard the comments in the immediate aftermath of the speech. China Activity in China has shown mixed signs in October and November, although remains soft. The PMIs (“Purchasing Managers Index”) produced by Markit (Caixin) and the National Bureau of Statistics have remained weak, while the synthetic Caixin Composite PMI increased from 49.9 in October to 50.5 in November. Details of the surveys were mixed, NBS new export orders fell while Caixin new export orders rose strongly. Disinflationary pressures intensified further, and employment remained in contraction territory. Real activity indicators in November including industrial production, fixed-asset investment, and retail sales surprised market expectations somewhat to the upside, especially industrial production, which accelerated from 5.6% y/y to 6.2%, above the 5.7% consensus forecast. CPI inflation rose from 1.3% y/y to 1.5% y/y, above the 1.4% y/y consensus, while PPI remained at a very low -5.9% y/y, thus providing room for more policy easing. According to trade data in October, the trade surplus shrank from US$ 61.6bn to US$ 54.1bn, below the expected figure, due to declining imports. Monetary policy has remained accommodating to support growth. Indeed, the 7-day repo rate also fell by approximately 10 bps following the interest rate and Reserve Requirement Ratio (“RRR”) cuts in October. However, the transmission mechanism from interbank market rates to economic growth is less clear, from money growth to credit growth and from credit growth to investments. On 30 November, RMB joined the SDR basket with a weight of 10.92, which is slightly below the market expectation. Importantly, after strengthening for a few months since the depreciation of last August, in conjunction with People’s Bank of China (“PBoC”) foreign exchange interventions, the exchange rate of the Chinese yuan has weakened again against the US dollar.
Enquiries	Northern Trust International Fund Administration Services (Guernsey) Limited Harry Rouillard [phone]

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.