Amaranth Advisors

Amaranth Advisors was a U.S. hedge fund manager founded by Nicholas Maounis in 2000 and headquartered in Greenwich, Connecticut. The firm initially invested in areas including convertible bonds before expanding into energy and other alternative-investment strategies. During 2005 and 2006, its energy team accumulated large positions in natural-gas futures and related derivatives. In September 2006, an adverse move in natural-gas prices and futures spreads produced losses measured in several billion dollars, forcing the firm to reduce or liquidate positions. Investor redemptions, asset liquidation, and the closure of its funds followed. Amaranth became a notable case in discussions of hedge-fund risk management and leverage in commodity derivatives. Public regulatory materials generally describe the 2006 loss as roughly $6 billion to $6.5 billion, depending on the measurement date and methodology.

Amaranth Advisors was established in the United States in 2000 by Nicholas Maounis as a hedge-fund manager focused initially on alternative strategies such as convertible-bond investing. It later expanded into energy trading, particularly natural-gas futures and spread strategies. By 2005 and 2006, energy positions had become a major source of the firm’s risk. In September 2006, market movements contrary to the fund’s positioning caused the value of its futures and derivatives portfolio to fall rapidly. Losses reached several billion dollars, while investor redemptions increased pressure to liquidate positions. The firm subsequently wound down its principal portfolios and ceased fund operations. The episode also drew attention from U.S. commodity-market regulators concerning trading conduct, position size, and market impact. Amaranth’s failure is commonly cited as a case study in the interaction of leverage, concentrated positions, and liquidity risk in commodity derivatives.

• 2006

  Massive Natural Gas Trading Loss and Closure

  [1]CFTC enforcement order concerning Amaranth entitiescftc.gov

  After significant losses in natural gas futures and related spread positions, the company liquidated assets and ceased operations.

• 2000

  Company Founded

  [1]CFTC enforcement order concerning Amaranth entitiescftc.gov

  Nicholas Maounis founded Amaranth Advisors in the United States to conduct hedge fund management business.

Alternative asset management and multi-strategy hedge fund

• Investment Strategy

  Energy trading strategies

  Energy and commodity-derivatives strategies became a major part of Amaranth’s later business, especially natural-gas futures and related spread trades. This was also the investment area most closely associated with the firm’s losses in 2006.

• Investment Strategy · 2000

  Convertible-bond strategies

  Convertible-bond investing was one of the firm’s early alternative-investment strategies and reflected its broader multi-strategy hedge-fund approach.

• 2006

  Huge Losses in Natural Gas Futures Trading

  The company held concentrated positions in natural gas futures and spreads; after market reversal, losses were approximately $6-6.5 billion, leading to liquidation and closure.

  Source

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• 2006

  Liquidated Energy Positions and Closed FundsStrategy

  Background

  The reversal in natural gas markets caused rapid losses on concentrated positions, while investor redemption pressure increased.

  Action taken

  The company disposed of major energy positions, liquidated related fund assets, and ceased operations.

  Aftermath

  Amaranth Advisors exited the market, and the event became a classic case of commodity derivatives risk management in hedge funds.

  2006年交易损失. 约60亿至65亿美元 (2006年9月前后)

  Source

1. 1CFTC enforcement order concerning Amaranth entitiescftc.gov