Brevan Howard Global’s monthly shareholder report published April 2014.

Brevan Howard Global: Monthly Commentary

The NAV per share of Brevan Howard Global’s (BHG) USD shares depreciated by 0.45% and the NAV per share of GBP and EUR share classes depreciated by 0.30% and 0.51% respectively in April. The outperformance of the GBP and USD share classes can be attributed to share buy-backs.

Brevan Howard Global BHG 2

There were positive returns from credit and commodities strategies, which did not offset the losses experienced in the other Underlying Funds.

The Investment Committee did not make any target allocation changes or portfolio adjustments in April.

Brevan Howard Global BHG fund allocation

Monthly Performance of Underlying Funds

Brevan Howard Global BHG

Brevan Howard Master Fund Limited (“BHMF”)

The NAV per share of BHMF Class Y USD Shares depreciated by 1.07% (net of fees) in April.

During April, BHMF suffered some losses in USD interest rate trading, in equity macro trading and in FX trading. These losses were partially offset by small gains in EUR interest rate trading and credit trading.

Brevan Howard Asia Master Fund Limited (“BHA”)

The NAV per share of BHA Class X USD Shares depreciated by 0.66% (net of fees) in April.

During the month, BHA incurred losses across all strategies with the exception of gains in Chinese FX trading.

Brevan Howard Emerging Markets Strategies Master Fund Limited (“BHEMS”)

In February 2014, the board of directors of BHEMS determined to return investors’ capital. 98% of capital has been returned, with the balance due to be returned to investors (including BHGO) in Q2 2014.

Brevan Howard Credit Catalysts Master Fund Limited (“BHCC”)

The NAV per Share of BHCC Class Y USD Shares appreciated by 1.54% (net of fees) in April.

Contributions from ABS/MBS and corporate strategies were both positive on the month. Mortgage- and asset-backed positions contributed approximately 75% of monthly performance, driven by several catalysts, as well as generally positive performance in the asset-backed market.

Brevan Howard Commodities Strategies Master Fund Limited (“BHCS”)

The NAV per Share of BHCS Class X USD Shares appreciated by 0.34% (net of fees) in April.

In April, BHCS generated positive returns. Gains in base and precious metals and natural gas strategies outweighed losses in oil and, to a lesser extent, agriculture.

Brevan Howard Systematic Trading Master Fund Limited (“BHST”)

The NAV per Share of BHST Class B USD Shares depreciated by 0.69% (net of fees) in April.

During the month, BHST made gains in bond futures, metals and agricultural commodity futures trading. However these were offset by losses in all other strategies.

Brevan Howard Emerging Markets Local Fixed Income Leveraged Master Fund Limited (“BEL”)

The NAV per Share of BEL Class Y USD Shares depreciated by 0.15% (net of fees) in April.

During April, the net exposure to emerging market currencies continued to be significantly long. The net exposure to emerging market interest rates remained modestly long. The foreign exchange positions incurred losses. The interest rate positions made small gains.

Brevan Howard Credit Value Master Fund Limited (“BHCV”)

The NAV per Share of BHCV Class Y USD Shares appreciated by 0.75% (net of fees) in April.

The majority of April returns came from mortgage- and asset-backed positions. Commercial mortgage-backed positions, European-based investments and US RMBS (in particular second lien positions) all performed well over the month. Corporate holdings’ contributions to returns were muted, though positive.

Brevan Howard: Market Commentary


Employment rose at a brisk pace in April, making up for the weak numbers seen during the unusually harsh winter. At the same time, the unemployment rate dropped four tenths of a percentage point to 6.3%, the kind of monthly decline seen in only a handful of instances in the last 50 years. It seems likely the unemployment rate will fall below the psychologically important 6% rate by the end of the year. To be sure, some of the lustre of the April drop was tarnished by the fact that the participation rate fell by the same amount and average hourly earnings were flat.

Growth stalled in the first quarter and eventually might be revised into negative territory. However, the early indicators about the current quarter are positive, as the economy bounces back from the mostly temporary weather-related disruptions. Motor vehicle sales have been strong even though retail sales have been choppy. Indicators of business spending have picked up. Finally, inventories appear to be better aligned with final demand, a development that sets the stage for healthy gains in production going forward.

Inflation remains soft. Both headline and core price inflation are a little above 1%. There are tentative signs of a bottom at these low rates of inflation but no indication of any strong upward momentum.

With the mixed signals from the data – a solid labour market against weak wage and price inflation – the Federal Reserve seems content to stick with its game plan to end QE this fall and raise rates sometime in the second half of next year.


According to Eurostat’s flash estimate, euro area HICP inflation recovered to 0.7% y/y in April from 0.5% y/y in March, less than initially expected. The rise in headline inflation in April was mainly driven by an Easter-induced rebound in core inflation and an acceleration of energy prices. Food prices continued to decelerate. Core inflation moved up to 1.0% y/y in April from 0.7% y/y in March. The rebound in services inflation was mainly driven by the late timing of the Easter holidays this year, while prices of non-energy industrial goods continued to decelerate in March. In April while the EMU Composite PMI climbed to its highest level since May 2011, March industrial production figures surprised to the downside showing a meaningful monthly fall and a loss of momentum towards the second quarter. The positive news is that the recovery in the periphery countries’ labour markets continues. In April, the unemployment count fell in Spain almost by twice as much as expected by the consensus and showed a further decline in Portugal and Greece. The ECB Governing Council left interest rates unchanged at the May meeting but, as a response to the weak inflation data, signalled an upcoming easing of monetary policy in June. The Governing Council Members have also stepped up their rhetoric on the strong euro, calling the strengthening of the exchange rate in the context of low inflation a cause for serious concern. While the exchange rate is not a policy target for the ECB, it remains a very important indicator of price stability and for growth.


The UK activity data remains resilient, and shows no sign of slowing from the pace seen in recent quarters. Activity indicators over the past month actually ticked up again after some months of being stable. Consumer confidence has risen back to pre-crisis levels, retail sales growth has continued to be robust, as have car sales. House prices continue to rise at around a 10% annualised pace, and gains have become more broad-based geographically. Unemployment claims data point to ongoing improvement in the labour market, consistent with above-trend growth and a reduction in economic slack. The composition of growth has become better balanced, which reduces the risk that it will fall back sharply. The initial growth pick-up relied heavily on housing and consumption. Moreover, that consumption

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