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

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 effects on the hedge fund industry and the wider capital markets.

Author(s) :

Hilary Till

Research Associate, EDHEC-Risk InstitutePrincipal, Premia Capital Management, LLC

Presentation :

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 column will summarize this report. Given that there are no new material facts on this case as of the end of November 2006, this column 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.
Pdf
Inferences about the Amaranth Case and the Emerging Maturity of the Hedge Fund I...
(517.67 KB)
Type : Working paper
Date : le 06/11/2006
Extra information : For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ]
Research Cluster : Finance

See Also

- 08-09-2017
Ranked 4th in France, EDHEC reinforces its position in the world’s Top 20 (16th place) in the 2017 Financial Times Master in Management Ranking, among prestigious international institutions...
- 30-08-2017
EDHEC welcomes students and participants who are back to school in the upcoming weeks. A positive and international atmosphere (more than 100 nationalities expected) shines through our...
Innovation with limited resources (Video)
- 18-08-2017
The article "Innovation with Limited Resources: Management Lessons from the German...
Station F successfully inaugurated in the presence of Emmanuel Macron and EDHEC
- 29-06-2017
EDHEC announced this May that it had joined Station F, the world’s biggest start-up...