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                           

                                    13 October 2015                                

    On 13 October 2015 the Company purchased the following amount of shares:

      * 1,451 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
        20.4500 per Sterling Share.
      * 1,000 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 19.5152 per US Dollar Share.
      * 500 ordinary shares of no par value in the value in the capital of the
        Company designated as Euro shares ("Euro Shares") at a price of EUR 19.7700
        per Euro Share.

    These shares will be held as 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                               
                                                                                           
    425,857 Euro Shares                          4,626,867 Euro Shares                     
                                                                                           
    1,717,440 US Dollar Shares                   18,092,731 US Dollar Shares               
                                                                                           
    3,202,190 Sterling Shares                    35,822,296 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 13 October 2015, the total number of voting rights in the Company (rounded
    down to the whole number) is 71,082,796.

    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