Monthly Shareholder Report

RNS Number : 6324E

BH Macro Limited

23 December 2009

 



BH MACRO LIMITED MONTHLY SHAREHOLDER REPORT NOVEMBER 2009		Important Legal Information and Disclaimer BH Macro Limited (the "Fund"), is a feeder fund investing in the Brevan Howard Master Fund Limited ("BHMF"). Brevan Howard Asset Management LLP ("BHAM") has supplied the following information regarding BHMF's November 2009 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 the Fund and BHMF 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 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 the Fund and BHMF 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 the Fund 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 the Fund, 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 the Fund 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

Summary information	BH Macro Limited NAVs per share (as at 30 November 2009) Shares Class NAV (USD mm) NAV per Share USD Shares 719.6 $17.02 EUR Shares 451.0 €17.06 GBP Shares 721.2 1748p BH Macro Limited NAV per Share*% Monthly Change USD Shares 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 17.60 EUR Shares 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 17.89 GBP Shares 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 6.85 -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 17.53 Source: Underlying BHMF NAV data is provided by the Administrator of BHMF, International Fund Services (Ireland) Limited. BH Macro Limited NAV and NAV per Share data is provided by the Fund's Administrator, Northern Trust International Fund Administration Services (Guernsey) Limited. BH Macro Limited NAV per Share % Monthly Change are calculated by BHAM. BH Macro Limited 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 BH Macro Limited. In addition, BHMF is subject to an operational services fee of 50bps per annum.  *NAV performance is provided for information purposes only. Shares in BH Macro Limited do not necessarily trade at a price equal to the prevailing NAV per Share.   PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
FAS 157 Asset Valuation Categorisation1	Brevan Howard Master Fund Limited (the "Master Fund") Unaudited Estimates as at 30 November 2009 % of NAV (Gross Market Value) Level 1 58% Level 2 42% Level 3 0% Source: BHAM	1These estimates are unaudited and have been calculated by BHAM using the same methodology as that used for the 2008 audited financial statements of BHMF. 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.
November 2009 Performance Review	During the month, Brevan Howard Master Fund Limited generated positive P/L across a range of fixed income strategies (directional, curve, relative value and volatility) and commodities.  Smaller profits were also made in emerging markets and credit strategies. Losses were suffered in FX and equity index trading. Monthly contribution (%) to basic performance by asset class: Total Interest Rates FX Equity Commodity Credit Other Nov 2009 0.37 0.85 -0.36 -0.42 0.29 0.12 -0.10 Source: BHAM - Trading in BHMF is managed on a strategy basis rather than on an asset class basis. The data in the table above does not make this distinction and instead reflects approximate gains and losses of the asset classes that comprise BHMF's strategies. Investors should therefore be circumspect as to any inferences that they draw from this data.  - 'Other' includes non-trading items such as treasury returns.
Outlook	The following is a report from Brevan Howard Asset Management LLP, the principal investment manager of Brevan Howard Master Fund Limited: US In November, risk assets moved upwards in listless trading and economic indicators were mixed. During the month, stocks erased the decline which had been suffered in October by rising 5%, the dollar edged downwards and private risk spreads narrowed further still. In fact, mortgage rates quietly hit some of their lowest rates in the modern era. Nevertheless, the money multiplier remains very low and bank lending continues to contract. Data on private demand were mixed. On the one hand, retail sales continued to impress, albeit compared with subdued expectations. On the other hand, orders and shipments of non-defense capital goods were disappointing. Data were also mixed in the housing sector. Sales of new and existing homes have been boosted by the pull forward created by the new homeowner tax credit (subsequently extended and expanded through to the middle of next year). However, housing starts and permits have lost momentum. We see some downward revisions to Q3 GDP and some upward revisions to Q4, which brings the second-half average to a bit less than 3% at an annual rate - respectable but unspectacular. Prospects for the labour market are the key unknown at this point. We have been looking for the trend in payroll employment to improve in order to be consistent with the upturn in GDP growth. The decline in initial and continuing claims for unemployment insurance has been consistent with payrolls printing positive in the coming months. In the event, however, the data disappointed again with the unemployment rate rising to 10.2% and firms shedding nearly 200,000 jobs. We will need to see better jobs numbers or the recovery may fade before it even gets started. Europe The data released in November confirmed that the EMU recovery is gaining momentum and is becoming more evenly spread across production sectors. Despite the positive news on the production side, the outlook for EMU households is still mixed. Consumer spending continues to be anaemic and consumer sentiment remains weak by historical standards, albeit improving compared to the previous months. The labour market situation is still challenging. The unemployment rate is at the highest level since the launch of the euro and remains the biggest concern for EMU households. There is, however, a degree of differentiation in labour market developments across the EMU. On the one hand, the Spanish labour market shows renewed weakness after a period of stabilization and its unemployment rate is now approaching 20%; on the other, German unemployment is relatively low and slowly declining due to generous government subsidies. Looking forward, we believe that this differentiation in macro developments among EMU countries will pose a challenge for the conduct of a common monetary policy by the ECB.  The ECB November policy meeting turned out to be uneventful. At the meeting, the ECB reiterated its accommodative monetary policy stance and monitoring of the market impact of its "enhancing credit support" programme (namely, long-term funding to banks and the purchasing of covered bonds). Despite the positive data flow, the ECB continues to be very cautious about the medium term sustainability of the ongoing recovery. Nevertheless, over the coming months we expect policy makers to become more upbeat about the economic outlook and to start hinting that the time for unwinding some of the exceptional measures introduced at the apex of the crisis is approaching. UK Further evidence of the recovery in UK activity was seen in November. The PMI surveys rose further into expansionary territory, retail sales growth continued to edge up, and some confidence is returning in business and household sectors. GDP growth in Q3, which was well below expectations and still negative, has started to be revised upwards. Housing starts are experiencing a rapid recovery: with some credit flows returning, builders are re-opening sites to meet the housing supply short fall, which already existed before the crisis and worsened during the crisis. Core inflation remains resilient. Strong downward pressure on services inflation due to a large output gap is being offset by strong upward pressure on goods inflation from lower FX due to higher import prices. Wage growth has started to normalize somewhat after sharp weakness earlier in the year. The Bank of England decided to phase out further asset purchases gradually, by announcing a further GBP25bn of purchases in November, after GBP50bn in August and GBP75bn in May and February. The Minutes revealed that the Monetary Policy Committee is still cautious on growth, but is starting to see the risks to inflation as being more balanced. Over the past month the tone of policy has moved from erring on the side of too much stimulus to a more balanced outlook where it is less clear that injecting additional stimulus is appropriate. Japan Japan's economy continues to expand - but at a slower pace than expected. Q3 GDP growth was revised downward by a huge 3.5 percentage points, to 1.3% q/q. Available information is suggestive of further expansion in Q4, possibly firmer than in Q3, although data remains quite mixed. In particular, while many areas remain resilient, from exports to consumption and machinery orders, surveys showed some moderation, especially in the sectors more exposed to domestic demand. Overall, the problem in Japan remains the size of the output gap opened by the sharp recession which, in the lack of supportive monetary and exchange rate policies, has pushed the economy into deflation. Actual data on prices, from GDP deflator to CPI, show that the pace of deflation is intensifying. The BoJ is increasing its quantitative easing, but we believe the extent of the move is still insufficient.
Enquiries	Northern Trust International Fund Administration Services (Guernsey) Limited Harry Rouillard [phone]

 

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