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)

30 December 2015

On 30 December 2015 the Company purchased the following amount of shares:

3,000 ordinary shares of no par value in the value in the capital of the Company designated as Sterling shares (â€œSterling Sharesâ€) at a price of GBP 20.2700 per Sterling Share.
40,000 ordinary shares of no par value in the value in the capital of the Company designated as Euro shares (â€œEuro Sharesâ€) at a price of EUR 19.4221 per Euro Share.
10,000 ordinary shares of no par value in the value in the capital of the Company designated as US Dollar shares (â€œUS Dollar Sharesâ€) at a price of USD 19.3850 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 the Company following the above transaction	Number of shares in issue less shares held in treasury following the above transaction
446,723 Euro Shares	4,188,208 Euro Shares
1,537,035 US Dollar Shares	17,202,974 US Dollar Shares
2,942,169 Sterling Shares	33,428,871 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 30 December 2015, the total number of voting rights in the Company (rounded down to the whole number) is 66,446,659.

Enquiries:

Company website: www.bhmacro.com

William Simmonds
JPMorgan Cazenove
Tel: 020 7588 2828

The Company Secretary
Northern Trust International Fund Administration Services (Guernsey) Limited
Tel: 01481 745368