Throughout the Amaranth meltdown, the best source has been Platts, the subscription only energy investing newsource. This morning, Platts Gas Daily has the scoop on how much Amaranth's losses cost it's investors, including a few funds run by Morgan Stanley.
Just in case you forgot to renew your subscription, here's Platt's report:
Investors in defunct energy hedge fund Amaranth Advisors saw two-thirds of their money disappear following the Greenwich, Connecticut-based hedge funds spectacular September meltdown, according to filings made this week with the US Securities and Exchange Commission by institutional fund managers.
Amaranth Advisors lost billions when the spread between March 2007 and April 2007 natural gas futures prices--which the fund bet would widen--collapsed from $2.14/MMBtu to a few pennies.
While hedge funds by nature are large pools of capital with few regulatory reporting requirements, so-called "fund of funds"--publicly-held mutual funds that invest in hedge funds--do report the performance of their investments to the SEC.
A closer look at Amaranth's collapse comes from Tuesday's report of Morgan Stanley's Alternative Investment Partners Absolute Return Fund which invested $4.3 million in Amaranth at the beginning of this year only to see that investment lose 66% of its value by the end of the third quarter.
Another Morgan Stanley fund, the Institutional Fund of Hedge Funds, also reported Tuesday that it began investing an eventual $92 million in Amaranth starting in November 2004 and by the end of the third quarter saw a 55% drop in Amaranth's value. A sister Morgan Stanley fund, Institutional Fund of Hedge Funds II had the unfortunate timing to invest $2 million in Amaranth on July 1, losing 68% of that money in three months.