3.09
|
2014 |
-1.35 |
-1.10 |
-0.40* |
-2.83* |
Source: Fund NAV data is provided by the administrator of the Fund, International Fund Services (Ireland) Limited. BHM NAV and NAV per Share data is provided by BHM‘s administrator, Northern Trust. BHM NAV per Share % Monthly Change is calculated by Brevan Howard. BHM NAV data is unaudited and net of allinvestment management fees (2% annual management fee and 20% performance fee) and all other fees and expenses payable by BHM. In addition, the Fund is subject to an operational services fee of 50bps per annum.
NAV performance is provided for information purposes only. Shares in BHM do not necessarily trade at a price equal to the prevailing NAV per Share.
*Estimated as at 31 March 2014
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
ASC 820 Asset Valuation Categorisation*
Brevan Howard Master Fund Limited
Unaudited Estimates as at 31 March 2014
|
% of Gross Market Value* |
|
|
Level 1 |
71.7 |
|
Level 2 |
27.9 |
|
Level 3 |
0.4 |
Source: Brevan Howard
* These estimates are unaudited and have been calculated by Brevan Howard using the same methodology as that used in the most recent audited financial statements of the Fund. These estimates are subject to change.
Level 1: This represents the level of assets in the portfolio which are priced using unadjusted quoted prices inactive 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.
Performance Review
During the month, the Fund suffered small losses in FX trading and to a lesser extent in USD interest rate trading and in equity macro trading. These losses were partially offset by small gains in interest rate volatility trading.
Monthly, quarterly and annual contribution (%) to the performance of BHM USD Shares (net of fees and expenses) by strategy group
|
Macro |
Rates |
FX |
EMG |
Equity |
Commodity |
Credit |
Systematic |
Total |
|
|
March |
-0.60 |
-0.02 |
-0.01 |
0.13 |
0.04 |
-0.02 |
0.04 |
-0.02 |
-0.46 |
|
Q1 2014 |
-3.18 |
-0.07 |
-0.03 |
-0.00 |
-0.06 |
0.02 |
0.49 |
-0.04 |
-2.89 |
|
YTD 2014 |
-3.18 |
-0.07 |
-0.03 |
-0.00 |
-0.06 |
0.02 |
0.49 |
-0.04 |
-2.89 |
Monthly, quarter-to-date and year-to-date figures are estimated by Brevan Howard as at 31 March 2014, based on total performance data for each period provided by the Fund’s administrator, International Fund Services (Ireland) Limited.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Methodology and Definition of Monthly Contribution to Performance:
Attribution is approximate and has been derived by allocating each trader book in the Fund to a single category. In cases where a trader book has activity in more than one category, the most relevant category has been selected.
The above strategies are categorised as follows:
“Macro“: multi-asset global markets, mainly directional (for the Fund, the majority of risk in this category is in rates)
“Rates“: developed interest rates markets
“FX“: global FX forwards and options
“EMG“: global emerging markets
“Equity“: global equity markets including indices and other derivatives
“Commodity“: liquid commodity futures and options
“Credit“: corporate and asset-backed indices, bonds and CDS
“Systematic“: rules-based futures trading
Market Review and Outlook
Market Commentary
US
The economy got back on track in March with payroll employment gaining nearly 200,000. The
