First Quarter Hedge Fund Returns Strong at Max Re

HAMILTON, Bermuda (HedgeWorld.com)–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.