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 美国商品期货对冲基金 Amaranth Advisors LLC损失46 亿美元，比98 年LTCM还要多 |
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yongaolin
[博客]
头衔: 海归少校
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加入时间: 2006/03/27
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作者：yongaolin 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
Hedge-fund industry not learning from past errors
Expert says managers' risk control systems are not adequate
SAIJEL KISHAN
Bloomberg News
Eight years after the collapse of Long-Term Capital Management LP, the hedge fund industry is still struggling to manage trading risks.
Amaranth Advisors LLC of Greenwich, Conn., on Monday told investors it lost about $4.6 billion following wrong-way bets on natural gas prices.
MotherRock LP, a $400 million fund, collapsed because of energy trades.
Ospraie Management LLC started liquidating a $250 million fund in June after losses in commodities markets.
As more than $20 billion poured into funds that invest in energy and commodities this year, commodities prices fell. The Reuters-Jefferies CRB Price Index, a market benchmark for items ranging from oil and natural gas to copper and sugar, dropped 16 percent from its May record, the biggest decline in at least two decades.
"I expect to see more losses, but probably not at the same magnitude as Amaranth," said Peter Fusaro, co-founder of New York-based Energy Hedge Fund Center, which advises companies on energy trading strategies. "There are too many managers out there getting too much money because of the recent interest in commodities, and their risk-control systems aren't adequate enough to cope with the inflows."
Amaranth's trading losses are among the biggest since 1998, when Long-Term Capital lost $4 billion investing in government bonds. Long-Term Capital, received $3.5 billion from lenders after the Federal Reserve organized a bailout.
In a letter to investors notifying them of the loss, Amaranth founder Nick Maounis said the company is "working to protect our investors while meeting the obligations of our creditors." The firm's two main funds, which had gained 26 percent through August, were down at least 35 percent this year as of Monday.
Amaranth's losses piled up as gas prices dropped 12 percent last week after the U.S. Energy Department reported stockpiles climbed above last year's levels.
Natural gas traders have been wagering that the difference between futures prices for natural gas delivered during the Northern Hemisphere's summer and winter months would get larger, a trend that has held since at least the beginning of 2004. Futures are contracts to buy or sell a commodity on a specific date at a preset price.
Instead, the spread collapsed. The difference in price between the March 2007 and April 2007 contracts for natural gas peaked in July at $2.60. That shrunk to $1.15 by the end of last week. The spread between the two was 83 cents Tuesday on the New York Mercantile Exchange.
作者：yongaolin 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
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 美国商品期货对冲基金 Amaranth Advisors LLC损失46 亿美元，比98 年LTCM还要多 -- yongaolin - (2733 Byte) 2006-9-22 周五, 10:10 (1622 reads)
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