Brevan Howard Master Fund declined in May after taking a +3.27 percent in April, the flagship fund was down 0.08 percent in May, bringing the year to date performance to +6.55 percent.  The Master fund booked gains in forex trades and from volatility in U.S. interest rates while losing in European interest rates. The fund’s performance in May is exactly opposite to how it fared in April when European rates gave profits and U.S. rates’ volatility was a loser.

Brevan Howard Gains in Credit, Asia Fund; Down In EM Fund

Brevan Howard’s Overall Performance

Brevan Howard’s overall performance in May was abysmal, with two major funds posting large detractions. Brevan Howard Emerging Markets Strategies Master Fund lost 3.9 percent in May whereas Brevan Howard Systematic Trading Master Fund was down 4.37 percent in the month.  The EM focused fund has continued to underperform in June as well, losing 5 percent till the first two weeks of the month. BHEMS is down 11.6 percent YTD.

Varied Performance, Uncertain Futures

Other funds that underperformed in May were Brevan Howard Commodities Strategies Master Fund, which lost 0.79 percent, whereas Emerging Markets Local Fixed Income Fund was down 1.92 percent. The best returns were generated in Brevan Howard Asia Fund, which gained 1.68 percent whereas Credit Catalysis Fund was up 1.7 percent and Credit Value Master Fund was up 1.3 percent. Investment Fund II Macro FX Fund, the one whose future is uncertain after BH dismissed its chief trader, took in a return of +0.31 percent in May. BH Global Limited (LON:BHGG), the fund feeder, took a loss of 0.62 percent in NAV in May.

In the Asia fund, BH gained from Singaporean dollar interest rate while losing in Asian equities and volatility trading. Brevan Howard’s credit funds have been taking most of the profits from MBS/ABS strategies. The Credit Value Master Fund has been up mainly in RMBS space. BH’s profits in securitized credit are notable as the strategy looks to suffer in the event of the Federal Reserve tapering its easing program.