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                           

                               18 December 2014                                 

On 18 December 2014 the Company purchased the following amount of shares:

  * 69,000 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
    20.1400 per Sterling Share.
   
  * 2,375 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 19.5000
    per Euro Share.
   
  * 3,276 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 19.3980 per US Dollar Share.
   
These shares will be held as 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 Number of shares in issue less shares   
the Company following the above         held in treasury following the above   
transaction                             transaction                            
                                                                               
500,264 Euro Shares                     5,122,539 Euro Shares                  
                                                                               
1,722,306 US Dollar Shares              18,491,518 US Dollar Shares            
                                                                               
4,165,865 Sterling Shares               37,720,238 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 18 December 2014, the total number of voting rights in the Company
(rounded down to the whole number) is 74,673,658.

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]