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                           
                                     28 July 2016                                  

    BH Macro Limited (the Company) announces today it has purchased the following
    number of its ordinary shares on the London Stock Exchange from J.P. Morgan
    Securities plc:

    Ordinary Shares: - Share Class         Sterling      Euro       
                                                                    
    Date of purchase:                      28 July 2016  28 July    
                                                         2016       
                                                                    
    Number of ordinary shares purchased:   2,816         1,225      
                                                                    
    Lowest price per share                 19.40         18.86      
                                                                    
    Highest price per share                19.44         18.86      
                                                                    
    Trading venue                          London        London     
                                                                    
    Aggregate volume per date per trading  2,816         1,225      
    venue:                                                          
                                                                    
    Weighted average price per day per     19.4258       18.86      
    trading venue:                                                  

    The Company intends to hold the purchased shares in treasury.

    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:

    Ordinary Shares in issue (excluding        Ordinary Shares held in Treasury            
    Treasury)                                                                              
                                                                                           
    22,764,266 Sterling Shares                 1,990,141 Sterling Shares                   
                                                                                           
    2,373,330 Euro Shares                      259,157 Euro Shares                         
                                                                                           
    10,995,012 Dollar Shares                   1,004,076 Dollar Shares                     

    From 28 July 2016, the total number of voting rights in the Company (rounded
    down to the whole number) is 44,222,371.

    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