Monthly Shareholder Report

RNS Number : 9714S

BH Macro Limited

28 May 2009

 



BH Macro Limited Monthly Shareholder Report
30 April 2009	www.bhmacro.com
Disclaimer / Important information	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 April 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 April 2009) Shares Class NAV (USD mm) NAV per Share USD Shares 781.09 $15.83 EUR Shares 394.52 €15.88 GBP Shares 480.78 1629p 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 6.69 -2.79 -2.48 0.77 2.78 1.13 0.76 -3.13 2.76 3.74 -0.68 20.32 2009 5.06 2.78 1.17 0.13 9.38 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 2.87 1.28 0.99 -3.30 2.79 3.90 -0.45 21.65 2009 5.38 2.67 1.32 0.14 9.77 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 6.85 -2.61 -2.33 0.95 2.94 1.33 1.21 -2.99 2.84 4.21 -0.67 23.25 2009 5.19 2.86 1.18 0.05 9.54 * 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.  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 calculations made 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.  PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

FAS 157 Asset Valuation Categorisation	Brevan Howard Master Fund Limited Unaudited Estimates as at 30 April 2009 % of NAV (Gross Market Value) Level 1 46% Level 2 54% Level 3 0% Source: BHAM The estimates set out above 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 - unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities; Level 2 - quoted prices for instruments that are identical or similar in markets that are not active and model-derived valuations for which all significant inputs are observable, either directly or indirectly in active markets; Level 3 - prices or valuations that require inputs that are both significant to the fair value measurement and are unobservable.
_____________________	___________________________________________________________________________
April 2009 Performance Review	The P/L generated by Brevan Howard Master Fund Limited ('BHMF') for the month was not significant in any asset class. Small gains were made in credit, fixed income relative value trades and emerging markets. Small losses were incurred in fixed income curve trades and FX.   Monthly contribution (%) to basic performance by asset class , i.e. excluding the impact of shareholder activity (e.g. redemption penalties and tender offer) for BH Macro Limited (USD): Total Interest Rates FX Equity Commodity Credit April 2009 -0.20 0.00 -0.15 0.00 -0.05 0.00 Source: BHAM Please note: 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 regarding the manner in which trading in BHMF is managed. For example, the December 2008 Shareholder Report shows a loss in FX for 2008 when, in fact, dedicated FX strategies were profitable. The overall loss attributed to FX was due to losses from FX exposures used to hedge certain rates positions in other macro strategies.
_____________________	___________________________________________________________________________
Outlook	The following is a report from Brevan Howard Asset Management LLP, the investment manager of Brevan Howard Master Fund Limited: US In April, markets swung from despair to hope as data hinted at the end of the recession.  Housing investment and turnover appeared to have bottomed out; manufacturing surveys pointed to production gains ahead; consumption stabilized from its precipitous drop at the end of last year.  In short, the worst of the recession seems to be behind us and the question now is when the economy will grow again.  Since the start of 2009, our view has been that GDP would grow by the third quarter, a view that looked too optimistic when the stock market was in free-fall at the beginning of the year and too pessimistic as the stock market more recently clawed its way back to flat on the year.  Despite the gyrations in markets, our view has remained broadly the same, predicated on the sizeable fiscal stimulus in train, traditional and non-traditional monetary policy easing, together with the cyclical dynamics of housing which is finally bottoming out, an improvement in the trade balance and an inventory cycle following massive de-stocking. The question is: what comes next?  We believe that the economy faces significant headwinds which will make the recovery seem 'anaemic' by historical comparisons.  Households still have to de-lever, businesses are suffering from overcapacity, and the financial sector has to rebuild its capital base. Each of these dynamics takes time to repair and will sap the dynamism from the economy.
	Europe In the EMU, April marked the start of a new phase of the recession. The phase of activity disruption which characterized the end of 2008 and the first quarter of 2009 has come to an end and now the economy is on a path of transition towards stabilization. Business confidence has started to pick up, albeit slowly and from extremely low levels. That said, the output gap is still widening to unforeseen levels and the labour market keeps deteriorating rapidly. Output is likely to have contracted at a record pace in Q1 2009. Consumer price inflation is easing very rapidly as a result of the declines in commodity prices as well as of the weakness in internal demand.  The ECB reduced its policy rate to 1.25% in April (and then to 1% on 07 May). Given that rates are approaching their lower bound, the ECB is contemplating new forms of policy stimulus. However, we believe it is unlikely that the ECB will use programmes of bonds purchases, at least in the short-term. Rather, we believe that the ECB will likely continue its action of helping EMU banks with their funding needs.
	UK April saw a clear turn in both data and sentiment in the UK, suggesting that the worst activity falls may be behind us. Improvements were seen across activity and confidence surveys, and in the housing market. Credit flows and the credit conditions survey both improved. Q1 GDP contracted at a record pace, but the outlook is for a much milder contraction in Q2. On the inflation side, the evidence was mixed. Consumer price inflation is proving somewhat sticky, but this is probably a temporary effect due to earlier falls in the GBP. Wage inflation, on the other hand, is falling at the most rapid rate in UK post-war history. Major doubts remain about the ability of the economy to continue to improve in the second half of the year. Deleveraging of both financial and non-financial sectors will continue to be a drag on activity, and the economy is likely to struggle to do more than merely stabilise.  The government did not add further discretionary fiscal stimulus, but automatic stabilisers are doing a lot of work and deficits are set to reach record levels. Monetary policy remains highly stimulating, with policy rates near zero and the BoE building up a substantial amount of assets in its quantitative easing programme. We think this stimulus will remain in place for an extended period, but as the economy transitions from rapid falls to stabilisation, it is not clear that the stimulus will be increased in the near term.
	Japan Japan is seeing a light at the end of the tunnel after three quarters of extreme recession. The improvement has both external and domestic causes. On the external side, Japan is benefiting from the end of the phase of total disruption of global trade and the strong pick up in Chinese activity. The weaker yen seems to be helping. On the domestic side, the sharp increase of the fiscal stimulus put in place by the government - the most significant since World War II - is likely to provide a significant contribution. Both industrial production and exports increased slightly in March and are poised to expand further in April, according to MITI surveys and indications stemming from the PMI. Needless to say, the improvement is still insufficient to stop the on-going, huge deterioration of the labour market. The widening of the output gap, in turn, continues to exert downside pressures on prices.
Enquiries	Northern Trust International Fund Administration Services (Guernsey) Limited Harry Rouillard [phone]
Your attention is drawn to the Disclaimer set out at the beginning of this document.      BH Macro Limited is a closed-ended investment company registered and incorporated in Guernsey on 17 January 2007 (Registration Number: 46235) with its registered office at Trafalgar Court, Les Banques, St. Peter Port, Guernsey GYI 3QL, Channel Islands. © Brevan Howard Asset Management LLP (2009). All rights reserved. Brevan Howard Asset Management LLP is authorised and regulated by the Financial Services Authority Registered in England, No. OC302636   ADV01547

 

END

 

 

MSCCKFKDQBKDBPB