Case Study Of Amaranth

1577 Words4 Pages

Background Amaranth is a multi-strategy hedge fund founded in 2000. Its headquarter is sited in Greenwich, U.S. Amaranth involved heavily in energy trading (natural gas) and this accounted for about half of the fund’s capital. Brian Hunter was one of the fund’s trader and he helped the fund climb to the peak of success but later also contributed to the Amaranth debacle. 2. The Amaranth Debacle 2.1. What happened Majority of the initial energy investments of Amaranth were conservative in nature. The energy desk consistently posted annual returns of around 30% and eventually Hunter was able to make more speculative positions with the use of natural gas futures contracts. The bets on natural gas and hurricanes paid off in 2005 due to the disruption of natural gas production caused by hurricanes. In Figure 1 below, we can see that the hurricane in 2005 helped push the price of natural gas up …show more content…

However, the bet in 2006 led to a great loss because the continually drop of the price of natural gas. In the second week of September 2006, Amaranth's losses already grew to $6 billion. Major storms did not happen in the U.S. by the third week, and therefore Amaranth suffered further losses because the price of natural gas continued to fall. 2.2. What went wrong Amaranth made huge bets on the market moving in one direction, the direction of their leveraged bets. Although the fund’s investors would have significant returns if the trades went as planned, this strategy cannot effectively minimize risk. Also, futures contracts that Amaranth engaged in have higher risk than equities because of the leverage given to futures traders. Amaranth was therefore exposed to high level of risks, which will be discussed in the later section. The Amaranth debacle was mainly due to the insufficient risk management steps taken and the incorrect bets on the

Open Document