Interim Management Statement

RNS Number : 2031R

BH Macro Limited

31 October 2011

 



BH MACRO LIMITED INTERIM MANAGEMENT STATEMENT For the quarter ended 30 September 2011
	ADV02978 CONFIDENTIAL DO NOT COPY OR DISTRIBUTE Your attention is drawn to the disclaimer at the beginning of this document © Brevan Howard (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 and Brevan Howard Capital Management LP (together "Brevan Howard") have supplied the information herein regarding BHM's and the Fund's performance and outlook. 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. Information and opinions presented in this material relating to BHM and the Fund have been obtained or derived from sources believed by Brevan Howard to be reliable, but Brevan Howard 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, BHM, the Fund and Brevan Howard 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 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. PAST PERFORMANCE IS NOT A RELIABLE INDICATOR OF FUTURE RESULTS

BH MACRO LIMITED INTERIM MANAGEMENT STATEMENT: 30 September 2011
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 2011 to 30 September 2011.
Company Size	The total net assets of BHM are summarised as follows: Share Class 30 September 2011 Currency: USD      (mm) 30 June 2011 Currency: USD      (mm) 30 September 2011 In Currency of Class (mm) 30 June 2011 In Currency of Class (mm) USD Shares 599.8 551.7 599.8 551.7 EUR Shares 311.0 328.9 231.8 226.8 GBP Shares 1144.4 1,060.2 734.7 660.4 Total 2055.2 1,940.8  -  - Source: Northern Trust International Fund Administration Services (Guernsey) Limited ("Northern Trust")
Share Capital	The number of shares in issue in each share class of BHM is summarised as follows: Share Class 30 September 2011 30 June 2011 USD Shares 31,192,084 31,255,686 EUR Shares 11,950,785 12,767,685 GBP Shares 37,074,246 36,330,595 Source: Northern Trust

Performance Review	The closing share price* of each share class of BHM is summarised as follows: Share Class 30 September 2011 30 June 2011 USD Shares (US$) 18.97 17.19 EUR Shares (€) 19.14 17.21 GBP Shares (£) 20.03 17.73 Source: Bloomberg The NAV per share* of each share class of BHM is summarised as follows: Share Class 30 September 2011 30 June 2011 USD Shares (US$) 19.23 17.65 EUR Shares (€) 19.40 17.76 GBP Shares (£) 19.82 18.18 * 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
Investment Profile	The change in the investment profile (by asset class) of the Fund is summarised as follows: Asset Class 30 September  2011 % of total VaR 30 June  2011 % of total VaR Fixed Income 53 39 Vega 10 17 Equity 6 4 Credit 7 7 FX 19 17 Commodities 5 16 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	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]

 

END

 

 

IMSLLFFDIFLLVIL