Transaction in Own Shares

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                           

                                 21 October 2014                                 

On 21 October 2014 the Company purchased the following amount of shares:

  * 53,000 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
    19.8081 per Sterling Share.
   
  * 9,500 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 19.1716 per US Dollar Share.
   
  * 1,000 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 19.5500
    per Euro Share.
   
These shares will be held as treasury shares. Following the purchase 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 Number of shares in issue less shares  
the Company following the purchase and  held in treasury following the purchase
non-cancellation as described above     as described above                     
                                                                               
520,778 Euro Shares                     5,325,929 Euro Shares                  
                                                                               
1,702,841 US Dollar Shares              19,544,414 US Dollar Shares            
                                                                               
3,665,967 Sterling Shares               38,757,824 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 21 October 2014, the total number of voting rights in the Company (rounded
down to the whole number) is 77,204,169.

Enquiries:

Company website:        www.bhmacro.com

William Simmonds
JPMorgan Cazenove
Tel: [phone]

The Company Secretary
Northern Trust International Fund Administration Services (Guernsey) Limited
Tel: [phone]