Moonshine in Fivebrane Spacetimes

We consider type II superstring theory on $K3 \times S^1 \times \mathbb{R}^{1,4}$ and study perturbative BPS states in the near-horizon background of two Neveu-Schwarz fivebranes whose world-volume wraps the $K3 \times S^1$ factor. These states are counted by the spacetime helicity supertrace $\chi_2(\tau)$ which we evaluate. We find a simple expression for $\chi_2(\tau)$ in terms of the completion of the mock modular form $H^{(2)}(\tau)$ that has appeared recently in studies of the decomposition of the elliptic genus of K3 surfaces into characters of the N=4 superconformal algebra and which manifests a moonshine connection to the Mathieu group $M_{24}$.