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                           

                               9 December 2014                                 

On 9 December 2014 the Company purchased the following amount of shares:

  * 80,000 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
    20.3170 per Sterling Share.
   
  * 24,890 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 19.5130 per US Dollar Share.
   
  * 10,000 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 19.7180
    per Euro Share.
   
These shares will be held as treasury shares.

On 9 December 2014, the Company also cancelled 130,000 Euro treasury shares.

Following the purchase and cancellation 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 ofshares in issue less shares   
the Company following the above         held in treasury following the above   
transaction                             transaction                            
                                                                               
450,389 Euro Shares                     5,172,414 Euro Shares                  
                                                                               
2,040,215 US Dollar Shares              18,633,609 US Dollar Shares            
                                                                               
3,034,766 Sterling Shares               37,973,742 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 9 December 2014, the total number of voting rights in the Company (rounded
down to the whole number) is 75,204,511.

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]