Performance by Asset Class Monthly, quarterly and annual contribution (%) to the performance of BHM USD Shares (net of fees and expenses) by asset class as at 31 December 2018
| 2018 |
Rates |
FX |
Commodity |
Credit |
Equity |
Total |
| January 2018 |
1.24 |
0.34 |
0.03 |
-0.07 |
1.01 |
2.54 |
| February 2018 |
0.52 |
-0.15 |
0.00 |
0.01 |
-0.76 |
-0.38 |
| March 2018 |
-0.83 |
-0.38 |
-0.01 |
0.00 |
-0.31 |
-1.54 |
| April 2018 |
1.19 |
-0.11 |
0.01 |
-0.11 |
0.09 |
1.07 |
| May 2018 |
7.33 |
0.83 |
0.01 |
0.20 |
0.02 |
8.41 |
| June 2018 |
-0.05 |
-0.27 |
-0.04 |
-0.07 |
-0.13 |
-0.57 |
| July 2018 |
0.62 |
0.44 |
-0.05 |
-0.11 |
0.01 |
0.91 |
| August 2018 |
0.92 |
0.21 |
-0.01 |
0.01 |
-0.23 |
0.90 |
| September 2018 |
0.15 |
0.23 |
0.01 |
-0.13 |
-0.13 |
0.14 |
| October 2018 |
0.48 |
0.61 |
-0.03 |
-0.04 |
0.32 |
1.32 |
| November 2018 |
-0.10 |
0.47 |
0.07 |
0.05 |
-0.10 |
0.38 |
| December 2018 |
0.22 |
0.06 |
0.05 |
-0.00 |
0.14 |
0.47 |
| Q1 2018 |
0.93 |
-0.20 |
0.01 |
-0.06 |
-0.07 |
0.58 |
| Q2 2018 |
8.54 |
0.46 |
-0.02 |
0.02 |
-0.02 |
8.94 |
| Q3 2018 |
1.70 |
0.89 |
-0.06 |
-0.23 |
-0.35 |
1.95 |
| Q4 2018 |
0.59 |
1.14 |
0.08 |
0.00 |
0.36 |
2.18 |
| YTD 2018 |
12.07 |
2.29 |
0.02 |
-0.26 |
-0.08 |
14.16 |
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Methodology and Definition of Contribution to Performance: Attribution by asset class is produced at the instrument level, with adjustments made based on risk estimates. The above asset classes are categorised as follows: “Rates”: interest rates markets
“FX”: FX forwards and options
“Commodity”: commodity futures and options
“Credit”: corporate and asset-backed indices, bonds and CDS “Equity”: equity markets including indices and other derivatives Monthly VaR of the Fund by asset class as a % of total VaR*
|
Rates |
Vega |
FX |
Equity |
Commodity |
Credit |
| January 2018 |
48 |
17 |
11 |
22 |
1 |
0 |
| February 2018 |
63 |
13 |
9 |
13 |
1 |
1 |
| March 2018 |
69 |
11 |
15 |
2 |
1 |
2 |
| April 2018 |
67 |
11 |
12 |
7 |
2 |
1 |
| May 2018 |
52 |
25 |
12 |
3 |
4 |
4 |
| June 2018 |
54 |
16 |
17 |
4 |
4 |
5 |
| July 2018 |
53 |
15 |
16 |
11 |
2 |
3 |
| August 2018 |
58 |
16 |
16 |
7 |
1 |
3 |
| September 2018 |
53 |
14 |
25 |
5 |
2 |
1 |
| October 2018 |
48 |
19 |
23 |
6 |
1 |
3 |
| November 2018 |
51 |
19 |
21 |
4 |
1 |
3 |
| December 2018 |
47 |
19 |
28 |
2 |
2 |
2 |
Source: BHCM. Data as at 31 December 2018. * Calculated using historical simulation based on 1 day, 95% confidence interval. Sum may not add up to 100% due to rounding. Performance by Strategy Group Monthly, quarterly and annual contribution (%) to the performance of BHM USD Shares (net of fees and expenses) by strategy group as at 31 December 2018
| 2018 |
Macro |
Systematic |
Rates |
FX |
Equity |
Credit |
EMG |
Commodity |
Total |
| January 2018 |
2.45 |
0.08 |
-0.14 |
0.02 |
0.00 |
-0.04 |
0.17 |
0.00 |
2.54 |
| February 2018 |
-0.55 |
-0.06 |
0.17 |
0.01 |
0.00 |
0.00 |
0.06 |
0.00 |
-0.38 |
| March 2018 |
-0.99 |
0.01 |
-0.49 |
-0.12 |
0.00 |
0.01 |
0.05 |
0.00 |
-1.54 |
| April 2018 |
0.19 |
0.00 |
0.80 |
0.08 |
0.00 |
-0.03 |
0.02 |
0.00 |
1.07 |
| May 2018 |
5.78 |
0.01 |
1.29 |
0.29 |
0.00 |
-0.04 |
1.08 |
0.00 |
8.41 |
| June 2018 |
-1.60 |
0.04 |
0.80 |
-0.03 |
0.00 |
0.01 |
0.22 |
0.00 |
-0.57 |
| July 2018 |
0.02 |
-0.08 |
0.71 |
0.04 |
0.00 |
0.00 |
0.22 |
0.00 |
0.91 |
| August 2018 |
-1.04 |
0.14 |
1.10 |
0.44 |
0.00 |
0.01 |
0.25 |
0.00 |
0.90 |
| September 2018 |
-0.07 |
-0.04 |
0.29 |
0.10 |
0.00 |
-0.01 |
-0.13 |
0.00 |
0.14 |
| October 2018 |
-0.34 |
-0.08 |
1.09 |
0.07 |
0.00 |
0.02 |
0.56 |
0.00 |
1.32 |
| November 2018 |
-0.27 |
-0.02 |
0.50 |
0.15 |
0.00 |
0.01 |
0.00 |
0.00 |
0.38 |
| December 2018 |
0.10 |
0.11 |
0.14 |
0.10 |
0.00 |
0.02 |
0.21 |
0.00 |
0.47 |
| Q1 2018 |
0.87 |
0.02 |
-0.46 |
-0.09 |
0.00 |
-0.03 |
0.28 |
0.00 |
0.58 |
| Q2 2018 |
4.29 |
0.05 |
2.91 |
0.34 |
0.00 |
-0.06 |
1.33 |
0.00 |
8.94 |
| Q3 2018 |
-1.09 |
0.02 |
2.10 |
0.58 |
0.00 |
0.00 |
0.35 |
0.00 |
1.95 |
| Q4 2018 |
-0.50 |
0.01 |
1.74 |
0.12 |
0.00 |
0.05 |
0.78 |
0.00 |
2.18 |
| YTD 2018 |
3.54 |
0.09 |
6.41 |
0.94 |
-0.01 |
-0.04 |
2.75 |
0.00 |
14.16 |
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Subject to de minimis rounding. Methodology and Definition of Contribution to Performance: Strategy Group 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) “Systematic”: rules-based futures trading “Rates”: developed interest rates markets “FX”: global FX forwards and options “Equity”: global equity markets including indices and other derivatives “Credit”: corporate and asset-backed indices, bonds and CDS “EMG”: global emerging markets “Commodity”: liquid commodity futures and options The information in this section has been provided to BHM by BHCM US A solid year for the labour market was punctuated in December by extensive job creation, strong wage gains, and an increase in labour force participation. The indicators for real GDP point to above-trend growth in Q4, although tabulations will become increasingly difficult as the ongoing government shutdown postpones key data releases. Core consumer price inflation rose 0.2% in December and 2.2% over the last twelve months. In the wake of a significant tightening in financial conditions since October, Federal Reserve officials calmed markets with promises to be “patient” in raising rates and flexible on running down the Fed’s balance sheet. Meanwhile, dysfunction in Washington seemed poised to worsen under divided government. UK The withdrawal agreement that Prime Minister May put forward to parliament was unsurprisingly voted down and she must now find an alternative path. Some ministers have been cited to say the UK’s exit from the EU may need to be delayed beyond the original exit date of 29 March 2019, and the Brexit secretary noted that the risk of Brexit not happening has increased. In general, parliament’s opposition to a ‘no-deal’ Brexit has supported the currency, causing Sterling to rise over 3% in the New Year. Theresa May remains opposed to a second referendum and will attempt to renegotiate with the EU with the aim of being granted further concessions, particularly on the ‘Irish back-stop’, in the hope of gaining a new deal that would foster support within parliament. Meanwhile, the Brexit induced uncertainty has caused economic activity to moderate. GDP is expected to have grown 0.3% q/q in Q4 of 2018, down from 0.6% in Q3 with industrial production likely to detract 0.1ppts from growth. The housing market has also remained weak, putting further downward pressure on house prices. Meanwhile, activity in the rest of the services industry has held up, growing around 0.3% m/m in November. Otherwise, Brexit uncertainty has caused the market to price out expectations of Bank of England rate hikes; a full rate hike is now only priced in by mid-2020, compared to autumn 2019 priced two months prior. The UK stock market has also remained relatively suppressed, with the FTSE 100 still sitting 10% below the 2018 highs in line with how riskier assets have traded globally as well as the higher pound. EMU The EMU Composite PMI fell further in December to its lowest level since July 2013, thus unwinding the whole quantitative easing-led cyclical acceleration. As such, the incoming data – both soft and hard - continue to dismantle the market view that EMU growth is robust and only held back by temporary factors. EMU headline inflation fell to 1.6% y/y in December from 1.9% in November, due to unwinding energy inflation. Core inflation remained stuck at 1.0%, confirming that underlying inflation remains subdued and shows little sign of a “self-sustaining” convergence process to target. With the exception of wages (which are responding with the usual lag to past growth), the sharp slowdown in activity does not bode well for the chances of a convincing end to the inertia in core inflation going forward. Overall, incoming data remain consistent with a weak inflation outlook, in the short-term but also the medium-term. Such an outlook clashes, more than ever, with the bullish inflation forecast published by the European Central Bank (“ECB”) and de facto subscribed to by the market consensus. The ECB’s disappointment on inflation, particularly core, is likely to persist and become a prominent theme as the year progresses, increasingly suggesting that ending net quantitative easing purchases was a policy mistake by the ECB. Japan World-wide financial instability also impacted Japan in December. Equity prices dropped sharply, with the Tokyo Stock Price Index dropping 10% over December. Interest rates not already pinned down by Bank of Japan monetary policy fell. The 10-year Japanese Government Bond rate temporarily moved into negative territory. More importantly for the macro economic outlook, the yen appreciated sharply; against the dollar it appreciated almost 4% over December. In early January, in a so-called “flash crash”, it jumped another 4%, though most of that crash was later undone. The Bank of Japan (“BoJ”) left its stance of monetary policy unchanged at its December meeting. According to Minutes of the October meeting, members debated the efficacy of widening the bands in which interest rates would be allowed to fluctuate. Monetary policymakers continue to argue that inflation will begin to move up towards 2%. At the same time the actual data evince no inclination to do so. The core rate (consumer price index excluding fresh food prices) has been running at around 1% for a while. However, even that owed mostly to the faster rate of increase in energy prices. So-called western core prices (consumer price index excluding all food and energy prices) are up a mere 0.1% over the past twelve months and have been flat on balance on a seasonally adjusted basis for three straight months. Tokyo prices had moved up a little earlier in the year, but they too have done little of late. The recent drop in petroleum prices and the appreciation in the yen suggest a further drag on the core rate is in the offing. The Company Secretary Northern Trust International Fund Administration Services (Guernsey) Limited bhfa@ntrs.com +44 (0) 1481 745736 |