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First Quarter Hedge Fund Returns Strong at Max Re

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HAMILTON, Bermuda (–Hedge funds performed well in the first quarter at Max Re Capital Ltd., beating both the firm’s internal benchmark and the CSFB/Tremont Hedge Fund Index.

Max Re’s hedge fund portfolio, managed primarily through a fund of funds overseen by Moore Capital Management, New York, returned 2.88% in the three months ended March, according to its quarterly financial report. In the same period, its benchmark (80% bonds and 20% stocks) returned 0.48% and the CSFB/Tremont Index returned 2.23%.

The reinsurance company’s hedge fund of funds, Moore Diversified Strategies, captured strong performance from its allocations to distressed securities funds, which returned 5.23% in the quarter; convertible arbitrage, which returned, 5.13%; emerging markets, 3.49%; and event-driven arbitrage, 3.06%.

Returns for Max Re’s other hedge fund allocations were: futures managers, 2.94%; diversified arb, 2.73%; fixed-income arb, 2.5%; long/short equity, 2.39%; global macro, 2.03%; and opportunistic, which was flat.

The Diversified Strategies fund has US$657 million in assets, representing 30.4% of its investment portfolio. During the quarter, Max Re boosted its alternative investments exposure by US$61 million, according to its financial report.

Total net income for the quarter was US$14.6 million, or $0.38 per diluted share, up from US$2.6 million and US$0.06 per diluted share in the year-earlier quarter.

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