(Alliance News) - BH Macro Ltd on Friday reported a sharp rise in net assets over the first half as the feeder fund enjoyed the success of its master fund.
The closed-ended investment company is a feeder fund that invests all of its assets directly into Brevan Howard Master Fund Ltd, a hedge fund focused on consistent long-term appreciation through active leveraged trading and investment on a global basis.
The master fund is managed by Brevan Howard Capital Management LP. BH Macro stressed its board is independent of the Brevan Howard group.
"In the first six months of 2019 the Master Fund has maintained the strong performance seen in 2018, against a background in which market conditions have offered favourable opportunities for its macro rates trading focus," said BH Macro Chair Colin Maltby.
At June 30, BH Marco's NAV per sterling share stood at 2,632 pence, 9.1% higher than the 2,413p seen at the end of 2018. The fund's US dollar NAV per share increased 9.7% over the first half to USD27.07 from USD24.67.
BH Macro's net assets increased 9.0% in the six month period to USD545.5 million from USD500.3 million.
"The past performance of the master fund and the company has shown correlation with market volatility. In particular, volatility or unstable expectations in foreign exchange and interest rate markets can provide fertile environments for the manager's trading strategies," said Maltby.
He continued: "The master fund's main exposures at the start of 2019 consisted of yield curve and long directional positions, combined with long volatility in US and European interest rate markets. The master fund had further, smaller interest rate exposures across a wide range of markets. In FX, the master fund started the year short the US dollar and the euro versus a basket of currencies.
"Interest rate trading drove returns over the first half of the year, particularly as the opportunity set in US rates continued to develop with uncertainty around the future path of Federal Reserve Board policy. Directional and yield curve trading strategies in European, UK as well as across a wide range of emerging market interest rates also contributed to returns. FX trading detracted somewhat due to euro related trading strategies."
BH Macro GBP (BHMG)