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 September 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	Dollar
Date of purchase:	28 September 2016	28 September 2016
Number of ordinary shares purchased:	40,441	3,761
Lowest price per share	18.92	18.40
Highest price per share	18.99	18.40
Trading venue	London	London
Aggregate volume per date per trading venue:	40,441	3,761
Weighted average price per day per trading venue:	18.969	18.40

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 Treasury)	Ordinary Shares held in Treasury
21,817,089 Sterling Shares	2,409,000 Sterling Shares
2,121,098 Euro Shares	271,854 Euro Shares
10,439,514 Dollar Shares	1,286,319 Dollar Shares

From 28 September 2016, the total number of voting rights in the Company (rounded down to the whole number) is 42,154,330.

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]