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BREVAN HOWARD LIQUID PORTFOLIO STRATEGIES

Société d'Investissement à Capital Variable (“SICAV”)

(R.C.S. No B 144263)

AUDITED ANNUAL REPORT FOR THE YEAR ENDED

31 DECEMBER 2016

Subscriptions cannot be received on the basis of financial reports alone. Subscriptions are valid only if made on the basis

of the current prospectus and the latest Key Investor Information Document, as supplemented by the annual report as well

as by the semi-annual report, if published thereafter.

Brevan Howard Capital Management LP, the commodity pool operator of Brevan Howard Liquid Portfolio Strategies

has filed a claim of exemption with the Commodity Futures Trading Commission (“CFTC”) in respect of Brevan Howard

Liquid Portfolio Strategies pursuant to Section 4.7 of the CFTC regulations.

Brevan Howard Liquid Portfolio Strategies

Table of Contents

Page

Management and Administration of the Fund 1

Investment Managers’ Report 2

Independent Auditor’s Report 5

Brevan Howard Dynamic US Investment Fund - Schedule of Investments 7

Brevan Howard Dynamic Global Investment Fund - Schedule of Investments 8

Brevan Howard Diversified Strategies Fund - Schedule of Investments 10

Statement of Net Assets 11

Statement of Operations and Changes in Net Assets 12

Statement of Changes in the Number of Shares 13

Statistical Information 14

Notes to the Financial Statements 16

Affirmation of the Commodity Pool Operator

Remuneration policy (Unaudited)

Securities Financing Transaction Regulation (Unaudited)

23

24

25


Management and Administration of the Fund

1

Board of Directors

Justin Egan (Chairman) Philippe Lespinard

Principal Director

Carne Global Financial Services Limited Willard Advisors SARL

Paul Guillaume Tracey McDermott

Managing Partner Director

Altra Partners S.A. Carne Global Financial Services (Luxembourg) S.à r.l.

Andrew Heyworth

Head of Branch

Brevan Howard Investment Products Limited,

Geneva Branch

Registered Office Legal Adviser (as to Luxembourg law) 49, Avenue J.F. Kennedy Linklaters LLP

L-1855 Luxembourg 35 Avenue J.F. Kennedy

Grand Duchy of Luxembourg L-1855 Luxembourg

Grand Duchy of Luxembourg

Depositary and Paying Agent

State Street Bank Luxembourg S.C.A. Administrator, Registrar and Transfer Agent 49, Avenue J.F. Kennedy State Street Bank Luxembourg S.C.A.

L-1855 Luxembourg 49, Avenue J.F. Kennedy

Grand Duchy of Luxembourg L-1855 Luxembourg


Manager

Brevan Howard Capital Management LP Principal Distributor Acting by its sole general partner Brevan Howard Capital Management LP

Brevan Howard Capital Management Limited Acting by its sole general partner

6th Floor, 37 Esplanade Brevan Howard Capital Management Limited

St Helier, Jersey, JE2 3QA 6th Floor, 37 Esplanade

Channel Islands St Helier, Jersey, JE2 3QA

Channel Islands

Investment Managers

Brevan Howard Investment Products Limited Management Company 6th Floor, 37 Esplanade Carne Global Fund Managers (Luxembourg) S.A.

St Helier, Jersey, JE2 3QA European Bank and Business Centre

Channel Islands 6B, route de Trèves

L-2633 Senningerberg

Brevan Howard Asset Management LLP Grand Duchy of Luxembourg

55 Baker Street

London, W1U 8 EW

United Kingdom

Auditor

KPMG Luxembourg, Société coopérative

39, Avenue J.F. Kennedy

L-1855 Luxembourg


Legal Adviser (as to English law)

Simmons & Simmons LLP

Citypoint

One Ropemaker Street

London EC2Y 9SS

United Kingdom


Investment Managers’ report for the year ended 31 December 2016

2

Scope of the Report

This report covers the following sub-funds of Brevan Howard Liquid Portfolio Strategies:

Brevan Howard Dynamic Global Investment Fund (“BHDGIF”)

Brevan Howard Dynamic US Investment Fund (“BHDUIF”)

Brevan Howard Diversified Strategies Fund (“BHDSF”)

This report che period 1 August 2016 to 31 October 2016.

Manager Update

BHDSF was launched on 28 December 2016. This is an absolute return, multi-strategy fund that allocates capital to a broad range of proprietary

systematic trading strategies.

Performance Summary

BHDGIF 2016 was a steady first year for the fund, despite the market gyrations caused by the Brexit vote and the US presidential election. Whilst the fund

was heavily tilted toward equities from a pure value perspective, the Dynamic Risk Control model (“DRC”) found price action unconstructive

and reduced equity exposure to minimum levels for much of the year. It was only in the latter part of 2016 that DRC permitted the full exposure

suggested by the value models, by which point the majority of the equity rally had already unfolded, leading to the year’s relatively flat

performance. The upside to the low equity exposure, however, was that the market sell-off that occurred in the first quarter of 2016 was avoided,

in line with the fund’s underlying theme of capital protection. The fund enters 2017 biased again toward equities, with low duration exposure

across all geographies traded.

BHDUIF

The fund’s positive performance for the year was reduced by the DRC, which, for the same reasons above, did not allow the full equity exposure

suggested by the value models. The fund enters 2017 biased again toward equities, with low duration exposure.

The NAV performance of each currency class of BHDGIF and BHDUIF, calculated on a month-by-month basis, is set out below:

Fund performance (%) as at 30 December 2016

BHDGIF

2016

Class CCY Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD

A CHF -0.21 0.28 0.75 -0.86 0.40 -0.34 0.71 -0.22 -1.40 -1.56 -0.93 1.45 -1.96

EUR -0.18 0.30 0.80 -0.83 0.45 -0.32 0.77 -0.16 -1.32 -1.52 -0.94 1.52 -1.47

GBP -0.13 0.35 0.87 -0.77 0.53 -0.26 0.87 -0.07 -1.29 -1.48 -0.84 1.60 -0.67

USD -0.12 0.35 0.89 -0.76 0.55 -0.18 0.89 -0.05 -1.19 -1.37 -0.81 1.66 -0.18

B CHF -0.14 0.34 0.81 -0.80 0.46 -0.28 0.77 -0.16 -1.33 -1.50 -0.99 1.50 -1.35

EUR -0.11 0.37 0.85 -0.77 0.51 -0.25 0.82 -0.09 -1.26 -1.46 -1.00 1.58 -0.86

GBP -0.07 0.42 0.93 -0.71 0.59 -0.19 0.93 0.00 -1.23 -1.42 -0.90 1.65 -0.05

C EUR (1) 1.24 -0.71 0.58 -0.19 0.88 -0.03 -1.20 -1.40 -1.08 1.63 -0.32

GBP (2) -1.38

USD (3) 0.94 -0.64 0.67 -0.05 1.01 0.09 -1.08 -1.24 -0.95 1.77 0.48

D GBP (4) -1.38

USD (5) 2.08 0.48 1.02 -0.64 0.67 -0.05 1.01 0.09 -1.08 -1.24 -0.95 1.77 3.14

E EUR -0.24 0.24 0.73 -0.90 0.38 -0.37 0.71 -0.22 -1.39 -1.58 -0.75 1.47 -1.95

I EUR (6) 0.00 -1.46 -1.12 1.59 -1.01

GBP (7) 0.00 -1.41 -1.01 1.65 -0.80

USD (8) 0.07 -0.11 0.95 0.03 -1.13 -1.30 -0.95 1.73 -0.75

M CHF -0.08 0.41 0.87 -0.74 0.53 -0.21 0.84 -0.09 -1.27 -1.43 -1.07 1.56 -0.72

EUR -0.05 0.44 0.92 -0.71 0.58 -0.19 0.89 -0.02 -1.19 -1.40 -1.08 1.64 -0.22

GBP -0.01 0.49 1.00 -0.64 0.66 -0.13 0.99 0.07 -1.16 -1.35 -0.97 1.70 0.59

USD 0.00 0.48 1.02 -0.63 0.67 -0.05 1.01 0.10 -1.07 -1.24 -0.95 1.78 1.08

X EUR -0.05 0.44 0.92 -0.71 0.58 -0.19 0.88 -0.02 -1.20 -1.40 -1.08 1.64 -0.23

.


Investment Managers’ report for the year ended 31 December 2016 (continued)

3

Fund performance % as at 30 December 2016 (continued)

Source: NAV data is provided by the Funds’ Administrator, State Street Bank Luxembourg S.C.A., as at 30 December 2016. Monthly NAV data is net of all investment management fees and expenses.

(1) This Class was launched on 10 March 2016 (2) This Class was launched on 6 September 2016 – this share class was fully redeemed on the 12 October 2016

(3) This Class was launched on 7 March 2016

(4) This Class was launched on 6 September 2016 – this share class was fully redeemed on the 12 October 2016 (5) This Class was launched on 20 January 2016

(6) This Class was launched on 30 September 2016

(7) This Class was launched on 30 September 2016 (8) This Class was launched on 26 May 2016

BHDUIF

2016

Class CCY Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec YTD

A USD 1.49 1.79 0.56 -0.86 0.34 0.39 0.80 -0.24 -1.84 -1.52 -0.93 0.91 0.82

C USD (9) 1.26 -0.78 0.42 0.47 0.88 -0.15 -1.76 -1.43 -0.85 0.99 -0.99

D USD (10) 1.26 -0.78 0.42 0.47 0.88 -0.15 -1.76 -1.43 -0.85 0.99 -0.99

E USD 1.45 1.74 0.51 -0.90 0.30 0.34 0.77 -0.29 -1.89 -1.55 -0.98 0.88 0.31

I EUR (11) 0.00 -1.62 -1.03 0.81 -1.84

GBP (12) 0.00 -1.56 -0.92 0.88 -1.61

USD (13) 0.03 0.44 0.85 -0.19 -1.80 -1.47 -0.89 0.96 -2.09

M EUR (14) -0.05 -1.58 -0.98 0.85 -1.77

GBP (15) -0.06 -1.52 -0.88 0.92 -1.55

USD 1.58 1.88 0.65 -0.78 0.43 0.48 0.88 -0.15 -1.76 -1.43 -0.85 1.00 1.88

X USD 1.58 1.88 0.65 -0.78 0.43 0.48 0.88 -0.15 -1.76 -1.43 -0.85 1.00 1.88

Source: NAV data is provided by the Funds’ Administrator, State Street Bank Luxembourg S.C.A., as at 30 December 2016. Monthly NAV data is net of all

investment management fees and expenses.





(13) This Class was launched on 26 May 2016 (14) This Class was launched on 27 September 2016


Please note the above NAV performance is up to 30 December 2016, which was the date of the last official published NAV for the year.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.

Risk Management

Each sub-fund employs the absolute VaR approach to calculate global exposure, in accordance with ESMA’s Guidelines on Risk Measurement

and the Calculation of Global Exposure and Counterparty Risk for UCITS dated 28 July 2010 (“ESMA’s Guidelines”) and CSSF Circular 11/512

(dated 30 May 2011). The applicable VaR limits and utilisation for BHDUIF and BHDGIF from 1 January 2016 to 30 December 2016 were as

follows:

BHDGIF

VaR Limit Min Max Average

16% 1.75% 5.93% 3.18%

Leverage Min Max Average Leverage Year End

300% 90.37 % 342.09% 167.23% 280.85 %


Investment Managers’ report for the year ended 31 December 2016 (continued)

4

Risk Management (continued)

BHDUIF

VaR Limit Min Max Average

16% 2.09% 7.10% 3.95%

Leverage Min Max Average Leverage Year End

300% 91.73 % 310.78% 137.75% 167.59%

BHDSF

BHDSF was launched on 28 December 2016 and only held US Treasury Bonds and Forward Foreign Exchange Contracts as at year end. The

VaR and Leverage utilisation percentages were therefore near zero.

BHDSF’s VaR Limit is 16% and Leverage 2500%.

The VaR model uses a historical simulation, with the following features:

A 1-day holding period;

2 years of market data;

A 95% confidence interval;

Equally weighted daily returns;

Daily data update; and

Daily calculation.

The figures are converted into a 1-month holding period, 99% confidence interval using a Gaussian distribution.

The leverage figure is as at 30 December 2016 and is calculated using the sum-of-notionals methodology, as set out in ESMA’s Guidelines.

Please note the above risk data is as at 30 December 2016, which was the date of the last official published NAV for the year.

.


Independent Auditor’s Report

5

To the Shareholders of Brevan Howard Liquid Portfolio Strategies Société d’Investissement à Capital Variable 49, Avenue J.F. Kennedy L-1855 Luxembourg

REPORT OF THE REVISEUR D’ENTREPRISES AGREE

We have audited the accompanying financial statements of Brevan Howard Liquid Portfolio Strategies (the « SICAV ») and of each of its sub-funds, which comprise the statement of net assets and the schedule of investments as at December 31st, 2016 and the statement of operations and changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory information.

Board of Directors of the SICAV responsibility for the financial statements

The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements, and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

Responsibility of the Réviseur d’Entreprises agréé

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgement of the Réviseur d’Entreprises agréé, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the Réviseur d’Entreprises agréé considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control.

Brcvan Howard Liquid Port fo lio Slralegies In dependent Auditor's Reporl {conlin ucd)

As al 3 1 December 20 16

An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Opinion

In our opinion, the financial statements give a true and fair view of the financial position of Brevan Howard Liquid Portfolio Strategies and of each of its sub-funds as of December 31 st, 2016, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements.

Other information

The Board of directors of the SICAV is responsible for the other information. The other information comprises the information included in the annual report but does not include the financial statements and our report of Reviseur d'Entreprises agree thereon.

Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report this fact. We have nothing to report in this regard.

Luxembourg, 22 March 2017

6

KPMG Luxembourg Societe cooperative Cabinet de revision agree 39, Avenue J.F. Kennedy L-1855 Luxembourg Grand puchy of Luxembourg

Brevan Howard Liquid Portfolio Strategies – Brevan Howard Dynamic US Investment Fund

Schedule of Investments

As at 31 December 2016

7

The accompanying notes are an integral part of these financial statements.

Treasury Bonds

Nominal

Value Currency Security Description

Market

Value

USD

% of

Net

Assets

United States of America

4,000,000 USD US Treasury 0% 19/01/2017 3,999,253 7.76

8,500,000 USD US Treasury 0% 02/02/2017 8,496,706 16.48

7,500,000 USD US Treasury 0% 09/02/2017 7,496,325 14.54

5,500,000 USD US Treasury 0% 16/02/2017 5,496,880 10.67

7,500,000 USD US Treasury 0% 23/03/2017 7,491,815 14.54

7,500,000 USD US Treasury 0% 15/06/2017 7,479,073 14.51

8,400,000 USD US Treasury 2.875% 15/11/2046 8,068,594 15.66

Total Treasury Bonds 48,528,646 94.16

TOTAL TRANSFERABLE SECURITIES AND MONEY MARKET INSTRUMENTS DEALT IN ON ANOTHER REGULATED MARKET 48,528,646 94.16

Futures

Counterparty /

Underlying

Number of

Contracts Currency Maturity Date

Commitment

USD

Unrealised

Gain/(Loss)

USD

% of

Net

Assets

S&P 500 E MINI-CME 286 USD 17/03/2017 32,030,213 (130,529) (0.25)

Total Futures (130,529) (0.25)

Interest Rate Swaps

Counterparty /

Underlying

Nominal

Value Currency Maturity Date Rate received Rate paid

Unrealised

Gain/(Loss)

USD

% of

Net

Assets

CITI Global Markets 27,140,195 USD 16/12/2026 6M LIBOR 1.554 1,949,489 3.78

CITI Global Markets 27,140,195 USD 16/12/2026 1.663 3M LIBOR (1,679,548) (3.26)

Total Interest Rate Swaps 269,941 0.52

Forward Foreign Exchange Contracts Purchases Sales Maturity Date

Unrealised

Gain/(Loss)

USD

% of

Net

Assets

EUR 37,900 USD 40,461 20/01/2017 (449) 0.00

EUR 48,000 USD 50,176 20/01/2017 499 0.00

EUR 8,694,492 USD 9,339,971 20/01/2017 (160,928) (0.30)

USD 94,436 EUR 88,600 20/01/2017 898 0.00

EUR 129,300 USD 137,555 20/01/2017 (1,049) 0.00

GBP 112,000 USD 141,042 20/01/2017 (2,584) (0.01)

USD 93,037 GBP 73,900 20/01/2017 1,680 0.00

GBP 7,504,784 USD 9,348,109 20/01/2017 (70,493) (0.14)

GBP 36,200 USD 45,330 20/01/2017 (579) 0.00

GBP 43,200 USD 53,704 20/01/2017 (299) 0.00

Total Forward Foreign Exchange Contracts (233,304) (0.45)

The currency forward foreign exchange contracts listed in the table above were concluded with Royal Bank of Scotland.

TOTAL DERIVATIVE FINANCIAL INSTRUMENTS (93,892) (0.18)

Total Investments 48,434,754 93.98

Other Assets less Liabilities 3,104,006 6.02

Total Net Assets 51,538,760 100.00

DERIVATIVE FINANCIAL INSTRUMENTS

TRANSFERABLE SECURITIES AND MONEY MARKET INSTRUMENTS DEALT IN ON ANOTHER REGULATED MARKET

Brevan Howard Liquid Portfolio Strategies – Brevan Howard Dynamic Global Investment Fund



8

Treasury Bonds

Nominal


Market

Value

USD

% of

Net

Assets


18,500,000 USD US Treasury 0% 05/01/2017 18,499,365 13.18

16,000,000 USD US Treasury 0% 19/01/2017 15,997,011 11.40

19,000,000 USD US Treasury 0% 02/02/2017 18,992,638 13.54

18,000,000 USD US Treasury 0% 09/02/2017 17,991,180 12.82

8,000,000 USD US Treasury 0% 16/02/2017 7,995,462 5.70

20,000,000 USD US Treasury 0% 23/03/2017 19,978,172 14.24

17,000,000 USD US Treasury 0% 15/06/2017 16,952,565 12.08

11,600,000 USD US Treasury 2.875% 15/11/2046 11,142,344 7.94



Futures

Counterparty /

Underlying

Number of

Contracts Currency Maturity Date

Commitment

USD

Unrealised

Gain/(Loss)

USD

% of

Net

Assets

NIKKEI CME 171 JPY 10/03/2017 13,955,558 478,919 0.34

FTSE 100 124 GBP 31/03/2017 10,815,459 254,860 0.19

DAX 35 EUR 17/03/2017 10,595,656 177,837 0.13

CAC 40 205 EUR 20/01/2017 10,506,852 174,617 0.12

S&P CAN 60 37 CAD 17/03/2017 4,988,054 39,993 0.03

S&P 500 E MINI-CME 386 USD 17/03/2017 43,229,588 (176,941) (0.13)

Total Futures 949,285 0.68

Interest Rate Swaps

Counterparty /

Underlying

Nominal


Unrealised

Gain/(Loss)

USD

% of

Net

Assets

CITI Global Markets 3,530,982 CAD 14/12/2026 6M CDOR 1.475 112,515 0.08

CITI Global Markets 10,275,370 EUR 16/12/2026 1Y EURIBOR 0.54 114,086 0.08

CITI Global Markets 3,846,106 GBP 16/12/2026 1.392 6M LIBOR 74,810 0.05

CITI Global Markets 27,329,307 USD 16/12/2026 6M LIBOR 1.554 1,963,072 1.41

CITI Global Markets 920,608 CAD 18/12/2045 6M CDOR 2.29 6,592 0.00

CITI Global Markets 1,077,323 CAD 17/09/2046 2.496 3M CDOR 19,261 0.01



CITI Global Markets 301,211 EUR 19/12/2046 1Y EURIBOR 0.81 34,715 0.02


CITI Global Markets 18,604,608 EUR 16/12/2026 0.666 6M EURIBOR 39,111 0.03

CITI Global Markets 7,606,086 EUR 16/06/2027 0.832 6M EURIBOR 72,103 0.05



CITI Global Markets 2,278,910,650 JPY 16/12/2026 6M LIBOR 0.075 280,759 0.20

CITI Global Markets 131,212,091 JPY 16/12/2026 6M LIBOR 0.0875 14,759 0.01

CITI Global Markets 497,836,960 JPY 19/12/2046 6M LIBOR 0.755 56,023 0.04

CITI Global Markets 296,507,299 JPY 19/06/2047 0.8785 6M LIBOR 42,938 0.03

CITI Global Markets 3,530,982 CAD 14/12/2026 1.54 3M CDOR (96,506) (0.07)

CITI Global Markets 1,413,883 CAD 18/12/2045 1.855 3M CDOR (113,312) (0.08)

CITI Global Markets 10,275,370 EUR 16/12/2026 0.5865 6M EURIBOR (64,011) (0.05)


CITI Global Markets 3,846,106 GBP 16/12/2026 6M LIBOR 1.281 (23,980) (0.02)

CITI Global Markets 275,868,414 JPY 16/12/2026 0.0585 6M LIBOR (37,890) (0.03)

CITI Global Markets 1,006,297,813 JPY 16/12/2026 0.07 6M LIBOR (128,289) (0.09)

CITI Global Markets 27,329,307 USD 16/12/2026 1.663 3M LIBOR (1,691,252) (1.20)

CITI Global Markets 1,112,672 CAD 18/12/2045 6M CDOR 2.45 (19,370) (0.01)

CITI Global Markets 619,397 CAD 18/12/2045 1.59 3M CDOR (76,520) (0.05)

CITI Global Markets 7,708,516 EUR 16/12/2026 1Y EURIBOR 0.731 (68,717) (0.05)

CITI Global Markets 10,896,092 EUR 16/12/2026 1Y EURIBOR 0.764 (134,816) (0.10)



CITI Global Markets 514,841 EUR 19/12/2046 0.77 6M EURIBOR (65,020) (0.05)

CITI Global Markets 419,015 EUR 19/12/2046 0.826 6M EURIBOR (46,442) (0.03)






Brevan Howard Liquid Portfolio Strategies – Brevan Howard Dynamic Global Investment Fund

Schedule of Investments (continued)


9


Interest Rate Swaps (continued)

Counterparty /

Underlying

Nominal


Unrealised

Gain/(Loss)

USD

% of

Net

Assets

CITI Global Markets 306,768,803 JPY 19/12/2046 6M LIBOR 0.86 (44,262) (0.03)

CITI Global Markets 540,392,193 JPY 16/12/2026 (0.084) 6M LIBOR (140,257) (0.10)





Total Interest Rate Swaps (1,011,665) (0.72)


Unrealised

Gain/(Loss)

USD

% of

Net

Assets

CHF 12,265,200 USD 12,270,476 20/01/2017 (188,458) (0.13)

CHF 43,900 USD 43,560 20/01/2017 (316) 0.00

CHF 112,500 USD 110,091 20/01/2017 728 0.00

CHF 96,000 USD 94,726 20/01/2017 (160) 0.00

EUR 109,300 USD 114,254 20/01/2017 1,137 0.00

EUR 11,709,344 USD 12,578,646 20/01/2017 (216,730) (0.16)

EUR 43,300 USD 46,226 20/01/2017 (513) 0.00

EUR 92,600 USD 98,512 20/01/2017 (751) 0.00

GBP 67,000 USD 84,373 20/01/2017 (1,546) 0.00

GBP 33,900 USD 42,450 20/01/2017 (542) 0.00

GBP 8,083,803 USD 10,069,347 20/01/2017 (75,932) (0.05)

GBP 77,500 USD 96,344 20/01/2017 (537) 0.00

USD 237,524 CAD 320,000 20/01/2017 (1,142) 0.00

USD 425,072 EUR 400,000 20/01/2017 2,780 0.00

USD 3,007,872 EUR 2,800,000 20/01/2017 51,826 0.04

EUR 700,000 USD 731,514 20/01/2017 7,498 0.01

GBP 5,000,000 USD 6,306,550 20/01/2017 (125,415) (0.09)

USD 7,498,632 GBP 6,020,000 20/01/2017 56,546 0.04

USD 1,639,840 JPY 178,999,999 20/01/2017 103,577 0.07

USD 453,026 JPY 50,000,000 20/01/2017 23,902 0.02

JPY 50,000,000 USD 425,441 20/01/2017 3,682 0.00

USD 110,000 CAD 147,432 20/01/2017 40 0.00

USD 592,998 CAD 798,905 20/01/2017 (2,851) 0.00

CAD 160,905 USD 120,000 20/01/2017 8 0.00

USD 120,000 CAD 161,573 20/01/2017 (506) 0.00

USD 329,508 EUR 310,000 20/01/2017 2,231 0.00

USD 218,952 EUR 210,000 20/01/2017 (2,752) 0.00

EUR 1,901,800 USD 2,042,990 20/01/2017 (35,201) (0.03)

USD 259,340 EUR 240,000 20/01/2017 5,964 0.00

USD 188,607 EUR 180,000 20/01/2017 (1,424) 0.00

USD 241,196 GBP 190,000 20/01/2017 6,313 0.00

USD 208,640 GBP 170,000 20/01/2017 (1,518) 0.00

USD 586,687 GBP 471,000 20/01/2017 4,424 0.00

GBP 140,000 USD 174,782 20/01/2017 (1,710) 0.00

USD 124,597 GBP 100,000 20/01/2017 974 0.00

USD 130,000 JPY 15,245,529 20/01/2017 (844) 0.00

USD 250,000 JPY 29,459,725 20/01/2017 (2,837) 0.00

USD 350,000 JPY 39,447,275 20/01/2017 11,445 0.01

JPY 23,264,480 USD 200,000 20/01/2017 (333) 0.00

JPY 71,248,996 USD 652,720 20/01/2017 (41,228) (0.03)

JPY 22,820,616 USD 210,000 20/01/2017 (14,143) (0.01)

USD 380,000 JPY 43,860,816 20/01/2017 3,566 0.00

JPY 33,869,013 USD 290,000 20/01/2017 680 0.00

Total Forward Foreign Exchange Contracts (430,068) (0.31)

The currency forward foreign exchange contracts listed in the table above were concluded with Royal Bank of Scotland.

TOTAL DERIVATIVE FINANCIAL INSTRUMENTS (492,448) (0.35)




DERIVATIVE FINANCIAL INSTRUMENTS (CONTINUED)

Brevan Howard Liquid Portfolio Strategies – Brevan Howard Diversified Strategies Fund



10


Treasury Bonds

Nominal


Market

Value

USD

% of

Net

Assets


16,000,000 USD US Treasury 0% 19/01/2017 15,997,011 15.99

16,000,000 USD US Treasury 0% 02/02/2017 15,993,800 15.99

16,000,000 USD US Treasury 0% 09/02/2017 15,992,160 15.99

16,000,000 USD US Treasury 0% 16/02/2017 15,990,925 15.99

16,000,000 USD US Treasury 0% 23/03/2017 15,982,538 15.98

16,000,000 USD US Treasury 0% 15/06/2017 15,955,355 15.95




Unrealised

Gain/(Loss)

USD

% of

Net

Assets

EUR 3,000 USD 3,125 20/01/2017 42 0.00

EUR 959,974 USD 1,000,000 20/01/2017 13,475 0.01

GBP 2,000 USD 2,448 20/01/2017 24 0.00

GBP 816,917 USD 1,000,000 20/01/2017 9,894 0.01

Total Forward Foreign Exchange Contracts 23,435 0.02

The currency forward foreign exchange contracts listed in the table above were concluded with HSBC Bank plc.

TOTAL DERIVATIVE FINANCIAL INSTRUMENTS 23,435 0.02







Statement of Net Assets


11


BREVAN HOWARD BREVAN HOWARD BREVAN HOWARD COMBINED

DYNAMIC US DYNAMIC GLOBAL DIVERSIFIED BREVAN HOWARD LIQUID

INVESTMENT FUND INVESTMENT FUND STRATEGIES FUND* PORTFOLIO STRATEGIES

Notes USD USD USD USD

Assets

Investments in Securities at Market Value 3c) 48,528,646 127,548,737 95,911,789 271,989,172

Acquisition cost 48,598,305 127,628,303 95,908,860 272,135,468

Derivative instruments:

Net Unrealised Gain/(Loss) on Futures 3h) - 949,285 - 949,285

Net Unrealised Gain/(Loss) on Interest Rate Swaps 3i) 269,941 - - 269,941

Net Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts 3g) - - 23,435 23,435

Cash at Bank 914,985 5,406,249 4,124,094 10,445,328

Due from Brokers 4) 2,024,818 7,752,200 - 9,777,018

Formation Expenses Prepaid 3f) 297,690 268,334 99,462 665,486

Interest Receivable 30,688 43,303 - 73,991

Total Assets 52,066,768 141,968,108 100,158,780 294,193,656

Liabilities

Derivative instruments:

Net Unrealised Gain/(Loss) on Futures 3h) 130,529 - - 130,529

Net Unrealised Gain/(Loss) on Interest Rate Swaps 3i) - 1,011,665 - 1,011,665

Net Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts 3g) 233,304 430,068 - 663,372

Due to Brokers - - 25,390 25,390

Management Fees Payable 3 8 - 11

Administration Fee Payable 24,161 49,173 676 74,010

Formation Expenses Payable 3f) 73,084 78,576 100,000 251,660

Other Payables 66,927 84,605 3,363 154,895

Total Liabilities 528,008 1,654,095 129,429 2,311,532

Net Assets 51,538,760 140,314,013 100,029,351 291,882,124

* This Sub-Fund was launched on 28 December 2016.


Statement of Operations and Changes in Net Assets

For the Year Ended 31 December 2016

12


BREVAN HOWARD BREVAN HOWARD BREVAN HOWARD COMBINED

DYNAMIC US DYNAMIC GLOBAL DIVERSIFIED BREVAN HOWARD LIQUID

Notes INVESTMENT FUND INVESTMENT FUND STRATEGIES FUND* PORTFOLIO STRATEGIES

USD USD USD USD

Income

Interest Income 3d) 156,859 261,605 - 418,464

Total Income 156,859 261,605 - 418,464

Expenses

Management Fees 5a) 26 583 - 609

Depositary and Paying Agent, Administrator, Registrar and Transfer Agent Fees 5c) 111,576 195,955 873 308,404

Taxe d'abonnement 7) 6,211 43,254 2,473 51,938

Audit Fees 30,916 30,916 52 61,884

Legal Fees 49,517 53,804 134 103,455

Amortisation of Formation Expenses 3f) 76,945 69,556 538 147,039

Overdraft Interest 9,744 14,704 - 24,448

Transaction Costs 9 20,197 52,721 - 72,918

Other Expenses 5d), 5e) 118,157 126,718 507 245,382

Total Expenses 423,289 588,211 4,577 1,016,077

Net Investment Income/(Loss) for the Year (266,430) (326,606) (4,577) (597,613)

Net Realised Gain/(Loss) on Sale of Investments 3d) (1,644,692) (3,042,613) - (4,687,305)

Net Realised Gain/(Loss) on Forward Foreign Exchange Contracts 3g) (886,029) (10,629,778) (9,217) (11,525,024)

Net Realised Gain/(Loss) on Futures Contracts 3h) 736,851 1,215,504 - 1,952,355

Net Realised Gain/(Loss) on Interest Rate Swaps 3i) 2,034,000 3,237,928 - 5,271,928

Net Realised Gain/(Loss) on Foreign Exchange 3e) (63) (15,534) - (15,597)

Net Realised Gain/(Loss) for the Year 240,067 (9,234,493) (9,217) (9,003,643)

Net Change in Unrealised Gain/(Loss) on Investments (79,574) (89,481) 2,929 (166,126)

Net Change in Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts 3g) (233,304) (912,321) 23,435 (1,122,190)

Net Change in Unrealised Gain/(Loss) on Futures Contracts 3h) (260,535) 944,855 - 684,320

Net Change in Unrealised Gain/(Loss) on Interest Rate Swaps 3i) 313,504 (943,240) - (629,736)

Net Change in Unrealised Gain/(Loss) on Foreign Exchange 3e) - (189,553) 9,217 (180,336)

Net Change in Unrealised Gain/(Loss) for the Year (259,909) (1,189,740) 35,581 (1,414,068)

Increase/(Decrease) in Net Assets as a Result of Operations (286,272) (10,750,839) 21,787 (11,015,324)

Subscriptions 2,400,304 198,166,474 100,007,564 300,574,342

Redemptions (54,291) (96,627,846) - (96,682,137)

Increase/(Decrease) in Net Assets as a Result of Movements in Share Capital 2,346,013 101,538,628 100,007,564 203,892,205

Net Assets at the Beginning of the Year 49,479,019 49,526,224 - 99,005,243

Net Assets at the End of the Year 51,538,760 140,314,013 100,029,351 291,882,124



Statement of Changes in the Number of Shares

For the Year Ended 31 December 2016

13


(1) This Class was launched on 7 March 2016.


(3) This Class was launched on 30 September 2016.


(5) This Class was launched on 26 May 2016.







(12) This Class was launched on 20 January 2016.



(15) This Class was launched on 26 May 2016.

Currency

Shares Outstanding

at the Beginning of

the Year

Shares

Subscribed

Shares

Redeemed

Shares Outstanding

at the End of

the Year

BREVAN HOWARD DYNAMIC US INVESTMENT FUND

A (USD) As at 31 December 2016 USD 10.00 - - 10.00

C (USD) (1) As at 31 December 2016 USD - 11,146.90 546.90 10,600.00

D (USD) (2) As at 31 December 2016 USD - 12,813.02 - 12,813.02

E (USD) As at 31 December 2016 USD 10.00 - - 10.00

I (EUR) (3) As at 31 December 2016 EUR (hedged) - 10.00 - 10.00

I (GBP) (4) As at 31 December 2016 GBP (hedged) - 10.00 - 10.00

I (USD) (5) As at 31 December 2016 USD - 10.00 - 10.00

M (EUR) (6) As at 31 December 2016 EUR (hedged) - 89,309.61 - 89,309.61

M (GBP) (7) As at 31 December 2016 GBP (hedged) - 77,011.92 - 77,011.92

M (USD) As at 31 December 2016 USD 500,000.00 - 196,082.68 303,917.32

X (USD) As at 31 December 2016 USD 10.00 - - 10.00

BREVAN HOWARD DYNAMIC GLOBAL INVESTMENT FUND

A (CHF) As at 31 December 2016 CHF (hedged) 10.00 - - 10.00

A (EUR) As at 31 December 2016 EUR (hedged) 10.00 - - 10.00

A (GBP) As at 31 December 2016 GBP (hedged) 10.00 - - 10.00

A (USD) As at 31 December 2016 USD 10.00 1,200.00 1,200.00 10.00

B (CHF) As at 31 December 2016 CHF (hedged) 10.00 - - 10.00

B (EUR) As at 31 December 2016 EUR (hedged) 10.00 - - 10.00

B (GBP) As at 31 December 2016 GBP (hedged) 10.00 - - 10.00

C (EUR) (8) As at 31 December 2016 EUR (hedged) - 3,757.65 - 3,757.65

C (GBP) (9) As at 31 December 2016 GBP (hedged) - 273,522.73 273,522.73 -

C (USD) (10) As at 31 December 2016 USD - 701,832.79 368,404.70 333,428.09

D (GBP) (11) As at 31 December 2016 GBP (hedged) - 494,585.76 494,585.76 -

D (USD) (12) As at 31 December 2016 USD - 1,243,502.52 668,198.52 575,304.00

E (EUR) As at 31 December 2016 EUR (hedged) 10.00 - - 10.00

I (EUR) (13) As at 31 December 2016 EUR (hedged) - 10.00 - 10.00

I (GBP) (14) As at 31 December 2016 GBP (hedged) - 10.00 - 10.00

I (USD) (15) As at 31 December 2016 USD - 10.00 - 10.00

M (CHF) As at 31 December 2016 CHF (hedged) 128,606.25 - - 128,606.25

M (EUR) As at 31 December 2016 EUR (hedged) 118,225.67 - - 118,225.67

M (GBP) As at 31 December 2016 GBP (hedged) 83,642.81 - - 83,642.81

M (USD) As at 31 December 2016 USD 125,000.00 - - 125,000.00

X (EUR) As at 31 December 2016 EUR (hedged) 10.00 - - 10.00

BREVAN HOWARD DIVERSIFIED STRATEGIES FUND*

I (EUR) As at 31 December 2016 EUR (hedged) - 10.00 - 10.00

I (GBP) As at 31 December 2016 GBP (hedged) - 10.00 - 10.00

I (USD) As at 31 December 2016 USD - 10.00 - 10.00

Im (EUR) As at 31 December 2016 EUR (hedged) - 10.00 - 10.00

Im (GBP) As at 31 December 2016 GBP (hedged) - 10.00 - 10.00

Im (USD) As at 31 December 2016 USD - 10.00 - 10.00

M (EUR) As at 31 December 2016 EUR (hedged) - 9,620.94 - 9,620.94

M (GBP) As at 31 December 2016 GBP (hedged) - 8,178.29 - 8,178.29

M (USD) As at 31 December 2016 USD - 979,999.54 - 979,999.54

X (EUR) As at 31 December 2016 EUR (hedged) - 10.00 - 10.00


Statistical Information

31 December 2016

14


Currency

Outstanding

Shares

Net Asset

Value per

Share

USD

Net Asset Value

per Share in

Local currencies

Net Assets

USD

Net Asset

in Local

currencies

BREVAN HOWARD DYNAMIC US INVESTMENT FUND

A (USD) As at 30 Dec 2016 (official published) USD 10.00 100.3966 100.3966 1,004 1,004

C (USD) As at 30 Dec 2016 (official published) USD 10,600.00 99.0096 99.0096 1,049,502 1,049,502

D (USD) As at 30 Dec 2016 (official published) USD 12,813.02 99.0096 99.0096 1,268,612 1,268,612

E (USD) As at 30 Dec 2016 (official published) USD 10.00 99.8631 99.8631 999 999

I (EUR) As at 30 Dec 2016 (official published) EUR (hedged) 10.00 103.5315 98.1574 1,035 982

I (GBP) As at 30 Dec 2016 (official published) GBP (hedged) 10.00 121.5806 98.3940 1,216 984

I (USD) As at 30 Dec 2016 (official published) USD 10.00 97.9056 97.9056 979 979

M (EUR) As at 30 Dec 2016 (official published) EUR (hedged) 89,309.61 103.6090 98.2308 9,253,279 8,772,954

M (GBP) As at 30 Dec 2016 (official published) GBP (hedged) 77,011.92 121.6551 98.4543 9,368,893 7,582,155

M (USD) As at 30 Dec 2016 (official published) USD 303,917.32 100.6597 100.6597 30,592,226 30,592,226

X (USD) As at 30 Dec 2016 (official published) USD 10.00 101.5407 101.5407 1,015 1,015

BREVAN HOWARD DYNAMIC GLOBAL INVESTMENT FUND

A (CHF) As at 30 Dec 2016 (official published) CHF (hedged) 10.00 95.4860 97.0472 955 970

A (EUR) As at 30 Dec 2016 (official published) EUR (hedged) 10.00 102.9570 97.6127 1,030 976

A (GBP) As at 30 Dec 2016 (official published) GBP (hedged) 10.00 121.6752 98.4706 1,217 985

A (USD) As at 30 Dec 2016 (official published) USD 10.00 98.9579 98.9579 990 990

B (CHF) As at 30 Dec 2016 (official published) CHF (hedged) 10.00 96.1271 97.6987 961 977

B (EUR) As at 30 Dec 2016 (official published) EUR (hedged) 10.00 103.6536 98.2731 1,037 983

B (GBP) As at 30 Dec 2016 (official published) GBP (hedged) 10.00 122.5000 99.1381 1,225 991

C (EUR) As at 30 Dec 2016 (official published) EUR (hedged) 3,757.65 105.1345 99.6771 395,059 374,552

C (USD) As at 30 Dec 2016 (official published) USD 333,428.09 100.4809 100.4809 33,503,155 33,503,155

D (USD) As at 30 Dec 2016 (official published) USD 575,304.00 103.1372 103.1372 59,335,243 59,335,243

E (EUR) As at 30 Dec 2016 (official published) EUR (hedged) 10.00 102.4038 97.0882 1,024 971



I (USD) As at 30 Dec 2016 (official published) USD 10.00 99.2472 99.2472 992 992

M (CHF) As at 30 Dec 2016 (official published) CHF (hedged) 128,606.25 95.5895 97.1524 12,293,407 12,494,406

M (EUR) As at 30 Dec 2016 (official published) EUR (hedged) 118,225.67 103.1217 97.7688 12,191,632 11,558,782

M (GBP) As at 30 Dec 2016 (official published) GBP (hedged) 83,642.81 121.8740 98.6315 10,193,884 8,249,816


X (EUR) As at 30 Dec 2016 (official published) EUR (hedged) 10.00 104.4166 98.9966 1,044 990

BREVAN HOWARD DIVERSIFIED STRATEGIES FUND*



I (USD) As at 30 Dec 2016 (official published) USD 10.00 99.9951 99.9951 1,000 1,000

Im (EUR) As at 30 Dec 2016 (official published) EUR (hedged) 10.00 105.3332 99.8656 1,053 999

Im (GBP) As at 30 Dec 2016 (official published) GBP (hedged) 10.00 123.4759 99.9279 1,235 999

Im (USD) As at 30 Dec 2016 (official published) USD 10.00 99.9924 99.9924 1,000 1,000

M (EUR) As at 30 Dec 2016 (official published) EUR (hedged) 9,620.94 105.3388 99.8709 1,013,458 960,852

M (GBP) As at 30 Dec 2016 (official published) GBP (hedged) 8,178.29 123.4828 99.9335 1,009,878 817,285


X (EUR) As at 30 Dec 2016 (official published) EUR (hedged) 10.00 105.3388 99.8709 1,053 999


Statistical Information (continued)

31 December 2016

15

(1) This Sub-Fund was launched on 2 December 2015.



Net Asset Value

per Share in

Local currencies

Net Asset

in Local

currencies

Net Asset Value

per Share in

Local currencies

Net Asset

in Local

currencies

BREVAN HOWARD DYNAMIC US INVESTMENT FUND (1)

A (USD) 100.3966 1,004 99.7266 997

C (USD) 99.0096 1,049,502 - -

D (USD) 99.0096 1,268,612 - -

E (USD) 99.8631 999 99.6936 997

I (EUR) 98.1574 982 - -

I (GBP) 98.3940 984 - -

I (USD) 97.9056 979 - -

M (EUR) 98.2308 8,772,954 - -

M (GBP) 98.4543 7,582,155 - -

M (USD) 100.6597 30,592,226 98.9520 49,476,027

X (USD) 101.5407 1,015 99.8175 998

BREVAN HOWARD DYNAMIC GLOBAL INVESTMENT FUND (2)

A (CHF) 97.0472 970 99.0083 990

A (EUR) 97.6127 976 99.0973 991

A (GBP) 98.4706 985 99.1600 992

A (USD) 98.9579 990 99.1603 992

B (CHF) 97.6987 977 99.0649 991

B (EUR) 98.2731 983 99.1542 992

B (GBP) 99.1381 991 99.2185 992

C (EUR) 99.6771 374,552 - -

C (USD) 100.4809 33,503,155 - -

D (USD) 103.1372 59,335,243 - -

E (EUR) 97.0882 971 99.0427 990

I (EUR) 98.9871 990 - -

I (GBP) 99.2033 992 - -

I (USD) 99.2472 992 - -

M (CHF) 97.1524 12,494,406 97.8842 12,588,523

M (EUR) 97.7688 11,558,782 98.0180 11,588,238

M (GBP) 98.6315 8,249,816 98.0807 8,203,747

M (USD) 99.1111 12,388,888 98.0821 12,260,268

X (EUR) 98.9966 990 99.2509 993

BREVAN HOWARD DIVERSIFIED STRATEGIES FUND (3)

I (EUR) 99.8683 999 - -

I (GBP) 99.9306 999 - -

I (USD) 99.9951 1,000 - -

Im (EUR) 99.8656 999 - -

Im (GBP) 99.9279 999 - -

Im (USD) 99.9924 1,000 - -

M (EUR) 99.8709 960,852 - -

M (GBP) 99.9335 817,285 - -

M (USD) 99.9984 97,998,386 - -

X (EUR) 99.8709 999 - -

31 December 2016 31 December 2015


Notes to the Financial Statements

31 December 2016

16

1. Organisation

Brevan Howard Liquid Portfolio Strategies (the “Fund”) is an open-ended investment company incorporated under the laws of the Grand

Duchy of Luxembourg as a Société d'Investissement à Capital Variable (“SICAV”). The Fund was incorporated under the name of Brevan

Howard Investment Fund on 12 January 2009 for an unlimited period and has changed its name to “Brevan Howard Liquid Portfolio

Strategies” with effect from 1 October 2015. The Fund is governed by Part I of the Luxembourg Law of 17 December 2010 on Undertakings

for Collective Investment (UCI). The most recent Articles of Incorporation, dated 2 November 2015, were published on 24 November

2015 in the “Mémorial C, Recueil des Sociétés et Associations”.

The Fund is registered at the “Registre de Commerce et des Sociétés” at the District Court of Luxembourg under the number B 144263.

As at 31 December 2016, the Fund has the following Sub-Funds:

BREVAN HOWARD LIQUID PORTFOLIO STRATEGIES – BREVAN HOWARD DYNAMIC US INVESTMENT FUND

The base currency is USD.

As at 31 December 2016, the following classes were subscribed:

Accumulation share class A (“Class A Shares”) in USD

Accumulation share class C (“Class C Shares”) in USD

Accumulation share class D (“Class D Shares”) in USD

Accumulation share class E (“Class E Shares”) in USD

Accumulation share class I (“Class I Shares”) in EUR, GBP, USD

Accumulation share class M (“Class M Shares”) in EUR, GBP, USD

Accumulation share class X (“Class X Shares”) in USD

BREVAN HOWARD LIQUID PORTFOLIO STRATEGIES – BREVAN HOWARD DYNAMIC GLOBAL INVESTMENT FUND



Accumulation share class A (“Class A Shares”) in CHF, EUR, GBP, USD

Accumulation share class B (“Class B Shares”) in CHF, EUR, GBP

Accumulation share class C (“Class C Shares”) in EUR, USD

Accumulation share class D (“Class D Shares”) in USD

Accumulation share class E (“Class E Shares”) in EUR


Accumulation share class M (“Class M Shares”) in CHF, EUR, GBP, USD

Accumulation share class X (“Class X Shares”) in EUR

BREVAN HOWARD LIQUID PORTFOLIO STRATEGIES – BREVAN HOWARD DIVERSIFIED STRATEGIES FUND




Accumulation share class Im (“Class Im Shares”) in EUR, GBP, USD

Accumulation share class M (“Class M Shares”) in EUR, GBP, USD

Accumulation share class X (“Class X Shares”) in EUR

2. Investment Objective

The Brevan Howard Dynamic US Investment Fund seeks to generate returns over the medium to longer term with lower levels of risk and

drawdown than are usually associated with investing only in equities. This is to be delivered through active allocation primarily to U.S.

assets, in particular through exposure to the U.S. equity markets and the U.S. fixed income markets.

The Brevan Howard Dynamic Global Investment Fund seeks to generate returns over the medium to longer term with lower levels of risk

and drawdown than are usually associated with investing only in equities. This is to be delivered through active allocation primarily to

global assets, in particular through exposure to the global equity markets and the global fixed income markets.


Notes to the Financial Statements (continued)

31 December 2016

17

2. Investment Objective (continued)

The Brevan Howard Diversified Strategies Fund seeks to generate absolute returns over the period of at least a year irrespective of the

conditions or direction of traditional markets. This is to be delivered through discretionary active allocation primarily to quantitative trading

strategies spanning multiple investment styles, asset classes and geographies.

3. Significant Accounting Policies

a) General

The financial statements are prepared in accordance with Luxembourg regulations relating to Undertakings for Collective Investment in

Transferable Securities (UCITS).

The accounts of the Fund are expressed in USD and the accounts of the Sub-Funds are kept in the currency of each Sub-Fund. During the

year ended 31 December 2016 the currency of each Sub-Fund was USD.

b) Net Asset Value per Share

The Net Asset Value per Share of each Sub-Fund is determined on each business day or any other day as the board of Directors may

determine (“Valuation Day”).

c) Investment Valuation

The value of the securities listed or dealt in on any Stock Exchange is based on the last available price on the Stock Exchange which is

normally the principal market for such securities.

The value of securities dealt in on any other Regulated Market is based on the last available price on the relevant market.

Securities not listed or dealt in on any Stock Exchange or on any other Regulated Market and securities which are listed or dealt in on any

Stock Exchange or on any other Regulated Market but in which price is not representative of the fair market value of the relevant securities

are valued based on the reasonably foreseeable sales price determined prudently and in good faith.

Money Market Instruments with a remaining maturity of ninety days or less are valued based on the last available price on the relevant

market.

Units or shares of open-ended UCI are valued at their last determined and available net asset value or, if such price is not representative of

the fair market value of such assets, then the price is determined by the Board of Directors on a fair and equitable basis. Units or shares of

a closed-ended UCI are valued at their last available stock market value.

d) Investment Transactions and Investment Income

Investment transactions are recorded on a trade date basis. Realised gains and losses on sales of investments and futures are determined

using the first in first out method.

Dividend income is accrued on the ex-dividend date. Interest income is recorded on the accrual basis.

e) Conversion of Foreign Currencies

The books and records of the Sub-Funds are denominated in USD. Amounts denominated in other currencies are translated into USD on

the following basis: (i) investment valuations and other assets and liabilities initially expressed in other currencies are converted each

business day into USD using currency exchange rates prevailing on each such business day, and (ii) purchases and sales of foreign

investments, income and expenses are converted into USD using currency exchange rates prevailing on the respective dates of such

transactions.

Net realised gains and losses on foreign exchange represent: (i) foreign exchange gains and losses from the holding and sale of foreign

currencies, (ii) gains and losses between trade date and settlement date on securities transactions, and (iii) gains and losses arising from

the difference between amounts of dividends and interest recorded and the amounts actually received.

The resulting gains and losses on exchange are included in “Net Realised Gain/(Loss) on Foreign Exchange” in the Statement of Operations

and Changes in Net Assets.

The accounts of the Fund are maintained in USD.



31 December 2016

18

3. Significant Accounting Policies (continued)

e) Conversion of Foreign Currencies (continued)

The exchange rates applied as at 31 December 2016 are as follows:

f) Formation Expenses

Charges relating to the restructuring of the Fund of November 2015 are amortised on a straight line basis over a period not exceeding five

years from the restructuring of the Fund.

Charges relating to the creation of a new Sub-Fund are amortised on a straight line basis over a period not exceeding five years from the

launch of the relevant Sub-Fund against the assets of that Sub-Fund.

g) Forward Foreign Exchange Contracts

A Forward Foreign Exchange Contract is an agreement between two parties to exchange one currency for another at a specific price and

date in the future.

Open forward contracts are valued based by reference to the last available forward currency rates prevailing at the relevant valuation date.

These market values are recorded under “Net Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts” in the Statement of Net

Assets. The changes in such amounts are recorded under “Net Change in Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts”

and the realised gain/loss under “Net Realised Gain/(Loss) on Forward Foreign Exchange Contracts” in the Statement of Operations and

Changes in Net Assets.

h) Futures Contracts

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on the change

in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Sub-Fund is required to

deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount which is referred to as the

initial margin account. Subsequent payments, referred to as variation margin, are made or received by the Sub-Fund periodically and are

based on changes in the market value of open futures contracts.

These market values are recorded under “Net Unrealised Gain/(Loss) on Futures” in the Statement of Net Assets. Changes in the market

value of open futures contracts are recorded as unrealised appreciation/depreciation in the Statement of Operations and Changes in Net

Assets under “Net Change in Unrealised Gain/(Loss) on Futures Contracts”. Realised profits or losses, representing the difference between

the value of the contract at the time it was opened and the value at the time it was closed, are reported at the closing or expiration of futures

contracts in the Statement of Operations and Changes in Net Assets under “Net Realised Gain/(Loss) on Futures Contracts”. Securities

deposited as initial margin are designated in the securities portfolio and cash deposited is recorded in the Statement of Net Assets. A

receivable and/or a payable to brokers for the daily variation margin is also recorded in the Statement of Net Assets.

i) Interest Rate Swaps

An interest rate swap (“IRS”) is a bilateral agreement in which each of the parties agree to exchange a series of interest payments (usually

fixed/floating) based on a notional amount that serves as a computation basis and that is usually not exchanged.

IRS contracts are valued by reference to the net present value of the underlying future cash flows.

These market values are recorded under “Net Unrealised Gain/(Loss) on Interest Rate Swaps” in the Statement of Net Assets. The changes

in such amounts are recorded under “Net Change in Unrealised Gain/(Loss) on Interest Rate Swaps” and the realised gain/loss under “Net

Realised Gain/(Loss) on Interest Rate Swaps” in the Statement of Operations and Changes in Net Assets.

1 USD = 1.0164 CHF

1 USD = 0.9481 EUR

1 USD = 0.8093 GBP

1 USD = 116.64 JPY

1 USD = 1.3411 CAD



31 December 2016

19

4. Collateral

Amounts due from brokers include cash pledged as collateral for derivative instruments. At 31 December 2016, the following collateral

was held by counterparties.

Brevan Howard Dynamic US Investment Fund

Counterparty Type of Derivatives

Collateral

USD

Royal Bank of Scotland Forward Foreign Exchange Contracts 300,000

Citi Group Global Markets Ltd Interest Rate Swaps 63,467

Citi Group Global Markets Ltd Futures 1,661,351

Total 2,024,818

Brevan Howard Dynamic Global Investment Fund

Counterparty Type of Derivatives

Collateral

USD

Royal Bank of Scotland Forward Foreign Exchange Contracts 650,000

Citi Group Global Markets Ltd Interest Rate Swaps 2,465,996

Citi Group Global Markets Ltd Futures 4,636,204

Total 7,752,200

5. Fees and Expenses

a) Management Fees

Each Sub-Fund pays a management fee to the Manager equal to 1/12 of the relevant percentage of the weighted average net asset value of

each Shares Class for the relevant month as described in the below table.

The management fee is payable monthly and is accrued and calculated as of each Valuation Day.

Management fee

percentage


– BREVAN HOWARD DYNAMIC US INVESTMENT FUND

Class A/Ad 1.00%

Class B/Bd 0.50%

Class C/Cd 0.00%

Class D/Dd 0.00%

Class E/Ed 1.00%

Class I/Id 0.50%

Class M/Md/Mx 0.00%

Class Ma 0.85%

Class Mb 0.50%

Class Ms 0.40%

Class X/Xd 0.00%


– BREVAN HOWARD DYNAMIC GLOBAL INVESTMENT FUND

Class A/Ad 1.25%

Class B/Bd 0.625%

Class C/Cd 0.00%

Class D/Dd 0.00%

Class E/Ed 1.25%

Class I/Id 0.625%

Class M/Md/Mx 0.00%

Class Ma 0.975%

Class Mb 0.625%

Class Ms 0.50%

Class X/Xd 0.00%



31 December 2016

20

5. Fees and Expenses (continued)

a) Management Fees (continued)


– BREVAN HOWARD DIVERSIFIED STRATEGIES FUND

Management fee

percentage

Class C 0.00%

Class D 0.00%

Class I 0.60%

Class Im 1.10%

Class M 0.00%

Class X 0.00%

b) Performance Fees

BREVAN HOWARD LIQUID PORTFOLIO STRATEGIES – BREVAN HOWARD DYNAMIC US INVESTMENT FUND:

No performance fee is payable by the Sub-Fund to the Manager in respect of all Share Classes.

BREVAN HOWARD LIQUID PORTFOLIO STRATEGIES - BREVAN HOWARD DYNAMIC GLOBAL INVESTMENT FUND:

No performance fee is payable by the Sub-Fund to the Manager in respect of all Share Classes.

BREVAN HOWARD LIQUID PORTFOLIO STRATEGIES - BREVAN HOWARD DIVERSIFIED STRATEGIES FUND:

The Sub-Fund pays a performance fee to the Manager in respect of Class I Shares and Class X Shares and is equal to 10% of the excess of

the Net Asset Value per Share of Class I Shares and Class X Shares at the end of the Performance Period, as defined in the Fund’s prospectus,

over the High Water Mark, as defined in the Fund’s prospectus, of that Class, multiplied by the number of Shares of the relevant Class in

issue at the end of the Performance Period.

The performance fee is calculated on an annual basis and is payable annually in arrears in respect of each performance period.

No performance fee is payable by the Sub-Fund to the Manager in relation to Class C Shares, Class D Shares, Class Im Shares, Class M

Shares.

For the year ended 31 December 2016, no performance fees were charged in respect of Class I Shares and Class X Shares.

c) Depositary and Paying Agent, Administrator, Registrar and Transfer Agent Fees

The fees payable to State Street Bank Luxembourg S.C.A. and its affiliates for the provision of depositary, administration and registrar

and transfer agency, paying agency, middle office and compliance testing services out of the Sub-Fund’s assets attributable to each Class

of Shares will not exceed 0.25% p.a., calculated as of each Valuation Day on the basis of the Net Asset Value of the assets attributable to

the relevant Class of Shares, and are paid out monthly.

d) Other expenses

The expenses include management company fees, registration fees, legal fees and various administration fees.

e) Directors’ Fees

As at the date hereof, the remuneration of independent Directors’ services is up to EUR 20,000 (excluding VAT) per director per annum.

These are included under Other Expenses on the Statement of Operations and Changes in Net Assets.

f) Distribution Fees

The Sub-Fund will pay the following distribution fees to the Principal Distributor of Class E and Class Ed Shares: 1/12 of 0.50% of the

weighted average net asset value of such Shares for the relevant month. The distribution fee is payable monthly and is accrued and

calculated as of each Valuation Day.



31 December 2016

21

6. Distribution Policy

The SICAV will not declare dividends in respect of the Accumulation Share Classes. All income and gains attributable to the Accumulation

Share Classes will be accumulated and reinvested on behalf of the Accumulation Share Classes Shareholders.

The Board of Directors intends that substantially all of the net income attributable to the Distribution Share Classes (but excluding any

gains from disposal of investments attributable to the Distribution Share Classes) will be distributed by way of dividend.

For the year ended 31 December 2016, no dividends had been distributed.

7. Taxation

The Fund is not liable to any Luxembourg tax on profits or income. The Fund is, however, liable in Luxembourg to a “taxe d’abonnement”

of 0.05% per annum of its NAV, such tax being payable quarterly on the basis of the value of the aggregate NAV of the Sub-Funds at the

end of the relevant calendar quarter. No such tax is payable on the value of assets which consist of units or shares of other Luxembourg

funds that have already been subject to such tax. No stamp duty or other tax is payable in Luxembourg on the issue of Shares. No

Luxembourg tax is payable on the realised capital appreciation of the assets of the Fund.

A reduced taxe d’abonnement rate of 0.01% per annum or an exemption of the taxe d’abonnement will be applicable to certain Classes of

Shares reserved to Institutional Investors within the meaning of article 174 (2) c) of the Law as well as to certain sub-funds investing

exclusively in money market instruments.

Dividends and interest received by the Fund on its investments may be subject to non-recoverable withholding or other taxes in the

countries of origin.

In addition, the Fund may be liable to certain taxes in countries where the Fund carries out its investment activities. Those taxes are not

recoverable by the Fund in Luxembourg.

8. Statement of Changes in Investments

A statement giving the changes in the portfolio of investments for the period under review can be obtained free of charge from the registered

office of the SICAV.

9. Transaction Costs

The Sub-Funds incurred the following transaction costs in relation to Foreign Exchange, Futures and Swap Prime Brokerage.

USD

Brevan Howard Dynamic US Investment Fund 20,197

Brevan Howard Dynamic Global Investment Fund 52,721

Brevan Howard Diversified Strategies Fund -

10. Subsequent Events

There were no material subsequent events that have an impact on the financial statements for the the year ended 31 December 2016.

11. Related Party

As at 31 December 2016, Brevan Howard Master Fund Limited held 95.4901% of Brevan Howard Liquid Portfolio Strategies – Brevan

Howard Dynamic US Investment Fund, 33.5446% of Brevan Howard Liquid Portfolio Strategies – Brevan Howard Dynamic Global

Investment Fund and 99.9924% of Brevan Howard Liquid Portfolio Strategies – Brevan Howard Diversified Strategies Fund.

As at 31 December 2016, Brevan Howard Capital Management LP held 0.0121% of Brevan Howard Liquid Portfolio Strategies – Brevan

Howard Dynamic US Investment Fund, 0.0091% of Brevan Howard Liquid Portfolio Strategies – Brevan Howard Dynamic Global

Investment Fund and 0.0076% of Brevan Howard Liquid Portfolio Strategies – Brevan Howard Diversified Strategies Fund.

Brevan Howard Capital Management LP (the “Manager”) is the Manager of the Fund and of Brevan Howard Master Fund Limited.

The Manager has appointed Brevan Howard Investment Products Limited (“BHIPL”) as the investment manager of the assets of Brevan

Howard Liquid Portfolio Strategies – Brevan Howard Dynamic Global Investment Fund and Brevan Howard Dynamic US Investment

Fund. BHIPL is an indirect subsidiary of the Manager.



31 December 2016

22

11. Related Party (continued)

The Manager has appointed Brevan Howard Asset Management LLP (“BHAM”) as the investment manager of the assets of Brevan Howard

Liquid Portfolio Strategies – Brevan Howard Diversified Strategies Fund. BHAM is an indirect subsidiary of the Manager.

As at 31 December 2016, Class C Shareholders held 2.0363% of Brevan Howard Liquid Portfolio Strategies – Brevan Howard Dynamic

US Investment Fund and 24.1588% of Brevan Howard Liquid Portfolio Strategies – Brevan Howard Dynamic Global Investment Fund.

As at 31 December 2016, Class D Shareholders held 2.4615% of Brevan Howard Liquid Portfolio Strategies – Brevan Howard Dynamic

US Investment Fund and 42.2875% of Brevan Howard Liquid Portfolio Strategies – Brevan Howard Dynamic Global Investment Fund.

As at 31 December 2016, Brevan Howard Liquid Portfolio Strategies – Brevan Howard Diversified Strategies Fund had not issued any

Class C or D Shares.

For each Sub-Fund, Class C Shares (and Class Cd Shares where applicable) may be held by the Directors and the Manager’s (and its

affiliates’) members or employees.

For each Sub-Fund, Class D Shares (and Class Dd Shares where applicable) may be held by the Manager’s (and its affiliates’) members.



31 December 2016

23


31 December 2016

To the best of my knowledge and belief, the information detailed in these Audited Financial Statements is accurate and complete.

By:

Name: Jonathan Wrigley

Title: Group Head of Finance and Authorised Signatory

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

operator of Brevan Howard Liquid Portfolio Strategies.

21 March 2017


Remuneration policy (Unaudited)

31 December 2016

24

The Management Company has designed and implemented a remuneration policy (the “Remuneration Policy”) in line with the provisions on

remuneration as set out by the European Directive 2009/65/EC (“UCITS Directive”), as amended by Directive 2014/91/EU (“UCITS V

Directive”) as implemented into Luxembourg in the Law of 10 May 2016 (the “2016 Law”).

The Management Company has developed and implemented remuneration policies and practices that are consistent with and promote a sound

and effective risk management of the Fund, do not encourage risk-taking which is inconsistent with the risk profiles/rules governing the Fund,

and do not impair compliance with the Management Company’s duty to act in the best interest of the Fund and ultimately its investors.

The Board of Directors of the Management Company is responsible for the design and implementation of the Remuneration Policy and reviews

this on a regular basis as part of its supervisory function. In reviewing the Remuneration Policy, the Board of Directors of the Management

Company will consider whether the remuneration framework operates as intended and that the risk profile, long-term objectives and goals of the

Fund are adequately reflected.

The staff costs of the Management Company proportionated to the total net assets of the Fund and the number of Identified Staff (as defined in

ESMA’s Guidelines on Sound Remuneration Policies Under the UCITS Directive dated 14 October 2016) of the Management Company are

available to the shareholders at the registered office of the Management Company, as well as further details on the Management Company’s

remuneration framework and its Remuneration Policy.


Securities Financing Transaction Regulation (Unaudited)

31 December 2016

25

The Securities Financing Regulation (Regulation (EU) 2015/2365) (“SFTR”) came into force on 12 January 2016. Its aim is to improve the

transparency of securities financing transactions. The Manager has considered the SFTR and concluded that no disclosures are required in the

Notes to the Financial Statements as none of the sub-funds entered into any securities financing transactions, as defined in the SFTR, during the

year ended 31 December 2016.

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