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                           

                                12 January 2015                                 

On 12 January 2015 the Company purchased the following amount of shares:

  * 11,285 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
    20.3065 per Sterling Share.
   
  * 7,500 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 19.6700
    per Euro Share.
   
  * 1,307 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 19.5800 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                            
                                                                               
529,786 Euro Shares                     5,090,887 Euro Shares                  
                                                                               
1,838,458 US Dollar Shares              18,291,545 US Dollar Shares            
                                                                               
3,448,088 Sterling Shares               37,591,367 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 12 January 2015, the total number of voting rights in the Company (rounded
down to the whole number) is 74,300,337.


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]