Company Announcements

BH Macro (BHMG)

06/04/2023

Results analysis from Kepler Trust Intelligence

Brevan Howard Capital Management LP (the "Manager") achieved excellent returns in 2022 during a turbulent period in markets, the global economy and geopolitics. The NAV per share rose by 21.91% for the Sterling share class, which were impressive relative returns compared with other asset classes. In the Chair, Richard Horlick's, view this absolute and relative performance makes BH Macro Limited a cornerstone in investors' portfolios.

Coming into 2023, hopes that a soft landing would be achieved hit the skids in March when the Fed and the ECB turned more hawkish on inflation and unleashed a cascade of bank failures and retrenchments. The board is wholly independent of the Brevan Howard group and maintains a regular dialogue with the manager in order to assure itself of the quality of the investment team and supporting systems, operations and infrastructure across the organisation. BH Macro's Chair states that he believes that the trading team today is the strongest it has ever been.

Brevan Howard observe that global imbalances, both within individual economies as well as between them, in part due to economic desynchronisation, are at generational extremes. As a consequence, the macro landscape looks set to remain extremely interesting.

Kepler View

BH Macro invests all of its capital into the Brevan Howard Master Fund, the flagship hedge fund run by Brevan Howard. 2022 proved a banner year for BH Macro, delivering exactly as shareholders would have hoped by achieving a strong NAV return at a time when the rest of their portfolio was having a significantly tougher time. Importantly, the share price remained firm throughout this period, and the sterling shares traded at an average premium of 10.6% during the year, enabling the board to issue shares worth c. £185m.

More recently March 2023 was a tough month. As at 31st March 2023 the estimated Net Asset Values was 404p, reflecting a decline of 4.33% over the month, and -3.45% over the calendar year to date. We observe that many other macro hedge fund strategies have also fallen significantly, many having been negatively influenced by the very significant move in US interest rate expectations that followed the collapse in Silicon Valley Bank.

The negative performance during March has unsurprisingly taken some of the shine off the share price rating, having retreated to a modest premium to NAV of 3.9% (as at 06/04/2023).

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