Bermuda-based Max Capital Group Ltd. expects its returns on alternative investments to be negative 2.11 percent, the company stated on Friday.

Alternative investments, make up around 20 percent of the insurer and reinsurer's total invested assets of some $5.1 billion, as at the end of March.

The quarterly return reflected monthly results of negative 1.37 percent in January, positive 1.86 percent in February, and negative 2.57 percent in March.

Max's alternative investment performance for the quarter compares to negative 4.27 percent over the same period for the HFRI Fund of Funds Index, which the company believes is the most comparable benchmark for this asset class.

Max Capital chairman and chief executive officer Marston (Marty) Becker said: "The first quarter of 2008 was one of the most volatile investing periods in recent memory.

"Max's alternative investment performance, while down for the quarter, continued to show relatively low volatility. On an annualised basis, our alternative investment portfolio has consistently provided Max with incrementally greater growth in book value as compared to other asset classes."

Max said its average annualised return on alternative investments for the trailing five-year period through the end of March has been 9.14 percent.

The statement added: "In accordance with the company's accounting policy the unrealised mark to market gains and losses emanating from its alternative investment portfolio are recorded through net income rather than as an adjustment to book value through other comprehensive income.

"The negative impact of this mark to market return shortfall in the first quarter, as compared to the company's targeted two-percent quarterly return, is approximately 83 cents in earnings per diluted share."

Max Capital will issue its full first-quarter results before the market opens on May 6.