Max Capital Group LTD. Announces Update On Investment Portfolio

October 13, 2008

HAMILTON, Bermuda October 13, 2008—Max Capital Group Ltd. (NASDAQ: MXGL; BSX: MXGL
BH) today announced that the return on its overall investment portfolio for the quarter ended
September 30, 2008 is negative 2.85% and for the year through September 30, 2008 is negative
2.19%. Max Capital currently estimates its book value at September 30, 2008 to be in the range of
$22.00 to $23.00 per share.
Max Capital’s return on its alternative investments for the quarter ended Sept 30, 2008 is expected
to be negative 12.93%. The positive performance in the first half of 2008, coupled with the negative
performance for the third quarter, results in an overall year to date negative return of 11.97% for the
alternative investments. In accordance with the Company’s accounting policy the unrealized 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.
Max Capital’s alternative investments represented approximately 20% of the Company’s total
invested assets of approximately $5.2 billion as of June 30, 2008. The Company’s investment
performance for the third quarter compares to negative 10.7% for the HFRI Fund of Fund Index,
which the Company believes is the most comparable benchmark for this asset class. On a year to
date basis the return of Max Capital’s alternative investments is negative 11.97% compared to
negative 12.89% for the HFRI Fund of Fund Index.
Max Capital also updated guidance on its alternative investment strategy, in particular a reduction in
the allocation to alternative investments to 10-20% of invested assets from the 15-25% current
range. In addition, Max Capital plans on increasing the number of strategies employed and
managers participating within the alternative investment portfolio, employing a less volatile, more
market neutral benchmark to monitor risk and measure relative returns, reduce exposure to this
asset class over the next two quarters to the mid point (15%) of the Company’s new stated
allocation. The proposed changes are intended to lower volatility of monthly, quarterly and annual
returns while maintaining an attractive total return.
Additional details on asset allocation, performance and alternative investments are posted on the
Company’s website: www.maxcapgroup.com.
W. Marston (Marty) Becker, Chairman and Chief Executive Officer of Max Capital, said: “Max
Capital’s overall investment portfolio, while down 2.19% in the year through September 30,
compares favorably to major indices. In keeping with Max’s growing and changing underwriting
platforms, we began an assessment of our asset mix during the summer. Worsening market
conditions -- third quarter hedge fund returns were the worst since benchmarking became available -
- necessitated an acceleration of that review, and we initiated a series of fund redemptions in the
third quarter of 2008 to rebalance our portfolio in accordance with our updated investment strategy.
Overall, the recent confluence of measured financial, underwriting, and corporate stability events
likely presents opportunity for most companies in our industry, including Max as we continue to
maintain a strong capital position to take advantage of ongoing market opportunities.”
Max Capital Group Ltd., through its operating subsidiaries, provides specialty insurance and
reinsurance products to corporations, public entities, property and casualty insurers and life and
health insurers.
This release includes statements about future economic performance, finances, expectations, plans
and prospects of Max Capital Group Ltd. that constitute forward-looking statements for purposes of
the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Such forwardlooking
statements are subject to certain risks and uncertainties that could cause actual results to
differ materially from those suggested by such statements. For further information regarding
cautionary statements and factors affecting future results, please refer to Max Capital 's most recent
Annual Report on Form 10-K, Quarterly Reports on Form 10-Q filed subsequent to the Annual
Report and other documents filed by Max Capital with the SEC. Max Capital undertakes no
obligation to update or revise publicly any forward-looking statement whether as a result of new
information, future developments or otherwise.

CONTACT: Max Capital Group, Ltd.
N. James Tees, 441-293-8800
Executive Vice President
jim.tees@maxcapservices.com
or
Kekst and Company
Roanne Kulakoff, 212-521-4837
roanne-kulakoff@kekst.com