HAMILTON, Bermuda (HedgeWorld.com) – Reinsurance company PXRE Group Ltd. reduced its hedge fund portfolio by US$4.2 million in the first quarter of this year.

The net reduction came amid a quarterly period when its hedge funds returned 8.2% on an annualized basis, according to its quarterly earnings report. In the same period, the CSFB/Tremont Hedge Fund index returned on an annualized basis 9.2%.

PXRE officials couldn’t be reached for comment.

The PXRE hedge fund portfolio stood at US$111 million as of March 30, down 1.4% from its Dec. 31 value of US$113 million, according to its financial statements. Unrealized market appreciation in hedge funds added almost US$1 million to its coffers.

PXRE is one of a handful of reinsurance companies investing a portion of assets in hedge funds, and as of March 31, hedge funds represented 14% of its investment assets. PXRE in the previous quarter had increased this size of its hedge fund portfolio by US$26 million.

PXRE’s corporate earnings came in at US$23.6 million, up from US$18.2 million in the first quarter of 2002.