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                           

                                   26 November 2015                                

    On 26 November 2015 the Company purchased the following amount of shares:

      * 15,000 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
        20.0994 per Sterling Share.
      * 20,000 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 19.4700 per US Dollar Share.
      * 4,290 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 19.6807
        per Euro 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 Number of shares in issue less shares held
    Company following the above transaction      in treasury following the above           
                                                 transaction                               
                                                                                           
    420,223 Euro Shares                          4,403,834 Euro Shares                     
                                                                                           
    1,855,349 US Dollar Shares                   17,528,742 US Dollar Shares               
                                                                                           
    3,624,151 Sterling Shares                    34,530,066 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 26 November 2015, the total number of voting rights in the Company
    (rounded down to the whole number) is 68,529,922.

    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