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 June 2016                                  

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

      * 30,600 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 18.7409
        per Euro Share.
      * 65,481 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 18.7245 per US Dollar Share.
      * 73,696 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
        19.5723 per Sterling Share.

    These shares will be held as treasury shares.

    On 29 June 2016, the Company also cancelled 63,000 EUR 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                               
                                                                                           
    215,991 Euro Shares                          2,476,322 Euro Shares                     
                                                                                           
    1,094,533 US Dollar Shares                   11,166,404 US Dollar Shares               
                                                                                           
    2,213,590 Sterling Shares                    23,133,656 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 June 2016, the total number of voting rights in the Company (rounded
    down to the whole number) is 44,999,097.

    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