BH Macro Limited - Q1 2024 Investor Statement

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PR Newswire

LONDON, United Kingdom, April 29

BH MACRO LIMITED INVESTOR STATEMENT

Overview and Objective

This Investor Statement covers the period of 1 January 2024 to 31 March 2024 and is being circulated to satisfy the quarterly account statement obligations of the commodity pool operator of BH Macro Limited ("BHM") pursuant to CFTC Regulation 4.7.

Company Size

The total net assets of BHM are summarised as follows:

Share Class ARIVA.DE Börsen-Geflüster	31 March 2024	31 December 2023	Change in Net Assets 31 March 2024 - 31 December 2023	31 March 2024	31 December 2023
Share Class ARIVA.DE Börsen-Geflüster	Currency USD (mm)	Currency USD (mm)	Currency USD (mm)	In Currency of Class (mm)	In Currency of Class (mm)
USD Shares	123.2	127.5	-4.3	123.2	127.5
GBP Shares	1842.5	1947.1	-104.6	1458.6	1527.5
Total	1965.7	2074.5	-108.8	-	-

Source: Northern Trust International Fund Administration Services (Guernsey) Limited ("Northern Trust")

Figures are rounded to one decimal place.

Share Capital

The number of shares in issue in each share class of BHM is summarised as follows:

Share Class	31 March 2024	31 December 2023
USD Shares	29,759,638	29,856,472
GBP Shares	361,423,610	372,024,149

Source: Northern Trust

Performance Review

The closing share price* of each share class of BHM is summarised as follows:

Share Class	31 March 2024	31 December 2023
USD Shares (US$)	3.44	3.77
GBP Shares (£)	3.34	3.67

Source: Bloomberg

The NAV per share* of each share class of BHM is summarised as follows:

Share Class	31 March 2024	31 December 2023
USD Shares (US$)	4.18	4.27
GBP Shares (£)	4.03	4.11

*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.

Source: BHM's Net Asset Value per Share data is provided by BHM's Administrator, Northern Trust, and is based on the Fund's (as defined below) Net Asset Value data provided by the Administrator of the Fund, State Street Fund Services (Ireland) Limited. BHM's Net Asset Value data in this report is unaudited and net of all investment management fees and all other fees and expenses payable by BHM. In addition, BHM's investment in the Fund is subject to an operational services fee.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

Further details of monthly performance information and the outlook of Brevan Howard Master Fund Limited (the "Fund") and BHM can be obtained from BHM's Shareholder Reports, copies of which can be found on BHM's website: www.bhmacro.com

To the best of my knowledge and belief, the information detailed in this statement is accurate and complete:

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Name: Jonathan Hughes

Title: Chief Financial Officer and Authorised Signatory

Brevan Howard Capital Management Limited as general partner of Brevan Howard Capital Management LP, the manager and commodity pool operator of BH Macro Limited.

Important Legal Information and Disclaimer

BH Macro Limited ("BHM") is a feeder fund investing in Brevan Howard Master Fund Limited (the "Fund"). Brevan Howard Capital Management LP acting through its general partner Brevan Howard Capital Management Limited ("BHCM") has supplied certain information herein regarding BHM's and the Fund's performance and outlook. BHCM is regulated by the Jersey Financial Services Commission as a fund services business and is the commodity pool operator of BHM.

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