BH Macro Limited (the "Company")                        
      (a closed-ended collective investment scheme established as a company with   
      limited liability under the laws of Guernsey with registered number 46235)   

                               Transaction in Own Shares                           
                                    29 January 2016                                

    On 29 January 2016 the Company purchased the following amount of shares:

      * 45,624 ordinary shares of no par value in the value in the capital of the
        Company designated as Sterling shares ("Sterling Shares") at a price of GBP
        20.0876 per Sterling Share.
      * 94,305 ordinary shares of no par value in the value in the capital of the
        Company designated as US Dollar shares ("US Dollar Shares") at a price of
        USD 19.2207 per US Dollar Share.

    These shares will be held as treasury shares.

    On 29 January 2016, the Company also cancelled 413,000 US Dollar treasury
    shares.

    Following the above share transactions of the relevant Euro, US Dollar and
    Sterling Shares, the total number of shares in issue in each share class of the
    Company will be as follows:

    Total number of treasury shares held  by the Number of shares in issue less shares held
    Company following the above transaction      in treasury following the above           
                                                 transaction                               
                                                                                           
    376,223 Euro Shares                          4,149,708 Euro Shares                     
                                                                                           
    1,433,617 US Dollar Shares                   16,475,582 US Dollar Shares               
                                                                                           
    3,239,256 Sterling Shares                    32,534,912 Sterling Shares                

    The number of votes each share in the Company is entitled to on a poll at any
    general meeting of the Company was published by the Company on 9 March 2007 and
    will not change as a result of the conversions. These are:

    Euro Share                    1

    US Dollar Share            0.7606 

    Sterling Share                1.4710

    From 29 January 2016, the total number of voting rights in the Company (rounded
    down to the whole number) is 64,539,891.

    Enquiries:

    Company website:        www.bhmacro.com

    William Simmonds
    JPMorgan Cazenove
    Tel: 020 7588 2828

    The Company Secretary
    Northern Trust International Fund Administration Services (Guernsey) Limited
    Tel: 01481 745368