Inferences About the Amaranth Case and the Emerging Maturity of the Hedge Fund Industry

10 Pages Posted: 24 Jul 2015

See all articles by Hilary Till

Hilary Till

Premia Research LLC; EDHEC-Risk Institute; J.P. Morgan Center for Commodities, University of Colorado Denver Business School; Global Commodities Applied Research Digest

Date Written: November 25, 2006

Abstract

The Amaranth case is surprising in many ways. It is definitely a surprise that a well-respected multi-strategy hedge fund could lose about $6-billion in little over a week. It is perhaps an even greater surprise that such a loss would have little knock-on effect on the hedge fund industry and the wider capital markets.

On October 2nd, the EDHEC Risk and Asset Management Research Centre (EDHEC-Risk) released a report on the early lessons from the Amaranth debacle. This paper will summarize this report. Given that there are no new material facts on this case as of the end of November 2006, this paper will focus on providing new inferences on the riskiness of Amaranth’s trading strategies.

Because we have the benefit of observing the past two months of stability in the hedge fund industry, we can draw new conclusions about the emerging maturity of the industry.

Keywords: Hedge fund, Amaranth, natural gas

JEL Classification: G11, G23

Suggested Citation

Till, Hilary, Inferences About the Amaranth Case and the Emerging Maturity of the Hedge Fund Industry (November 25, 2006). Available at SSRN: https://ssrn.com/abstract=2634712 or http://dx.doi.org/10.2139/ssrn.2634712

Hilary Till (Contact Author)

Premia Research LLC ( email )

United States
312-583-1137 (Phone)
312-873-3914 (Fax)

HOME PAGE: http://customindices.spindices.com/custom-index-calculations/premia/all

EDHEC-Risk Institute

Nice
France

HOME PAGE: http://risk.edhec.edu/

J.P. Morgan Center for Commodities, University of Colorado Denver Business School ( email )

1475 Lawrence St.
Denver, CO 80202
United States

HOME PAGE: http://www.business.ucdenver.edu/commodities

Global Commodities Applied Research Digest ( email )

J.P. Morgan Center for Commodities
1475 Lawrence Street
Denver, CO 80202
United States

HOME PAGE: http://www.jpmcc-gcard.com/hilary-till

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