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                           

                                28 October 2014                                

On 27 October 2014 the Company purchased the following amount of shares:

  * 25,633 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
    19.8686 per Sterling Share.
   
  * 2,790 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 19.2700
    per Euro Share.
   
  * 40,000 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 19.0324 per US Dollar 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 Number of shares in issue less     
by the Company following the         shares held in treasury following  
purchase and non-cancellation as     the purchase as described above    
described above                                                         
                                                                        
524,681 Euro Shares                  5,317,595 Euro Shares              
                                                                        
1,867,841 US Dollar Shares           19,388,877 US Dollar Shares        
                                                                        
3,768,913 Sterling Shares            38,652,599 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 27 October 2014, the total number of voting rights in the Company (rounded
down to the whole number) is 76,922,748.

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]