HAMILTON, Bermuda (HedgeWorld.com) — Strong hedge fund performance bolstered fourth-quarter earnings at Max Re Capital Ltd., a reinsurance company that has about 29% of its invested assets in hedge funds.
Max Re's hedge funds returned 4.02% in the fourth quarter, substantially all of its 4.15% return for the entire year, according to the company's financial statement. The hedge funds' benchmark, 80% Lehman Aggregate Bond Index and 20% Standard & Poor's 500 Stock Index, returned 3.07% in the quarter, while the CSFB/Tremont Hedge Fund Index* returned 2.13%.
Robert J. Cooney, chairman, president and chief executive, said in a statement that hedge fund performance was primarily responsible for the reinsurance company's favorable fourth quarter earnings. The results were turnaround for Max Re, which had seen earnings dragged down in the third quarter by lagging hedge fund returns.
Max Re's hedge funds are managed in Moore Diversified Strategies, a hedge fund of funds run by Louis Bacon's Moore Capital Management Inc., Morganville, N.J. (Max Re was co-founded by the affiliated company Moore Holdings LLC.) Hedge fund assets in Moore Diversified at Max Re rose US$43 million to US$578 million as of Dec. 31, an 8% increase from the end of the third quarter, financial data shows.
Moore Diversified's largest hedge fund allocation continued to be in diversified arbitrage funds at US$123 million and 6.1% of the total investment portfolio. Next were: global macro, US$93 million and 4.6%; distressed securities, US$79 million and 3.9% of investment assets; long/short equity, US$59 million and 2.9%; event-driven arbitrage, US$48 million and 2.4%; fixed-income arbitrage, US$47 million and 2.3%; convertible arbitrage, US$36 million and 1.8%; opportunistic, US$34 million and 1.7%; commodity trading advisers, US$33 million and 1.7%; and emerging markets, US$25 million and 1.2%.
* Tremont Advisers Inc., Rye, N.Y., is a strategic partner of, and minority investor in, HedgeWorld.
