Thanks to a requirement that mutual funds report performance to the Securities and Exchange Commission, a sharper image of how Amaranth Advisors’ $6 billion in losses is emerging. It seems three Morgan Stanley funds that invested in the Connecticut-based hedge fund suffered severely after the huge bets on the spread in gas futures between March 2007 and April 2007 plummeted from $2.14/MMBtu to a few cents. Citing regulatory filings, Gas Daily, published by Platts, reports that MS’ Alternative Investment Partners Absolute Return Fund lost two-thirds of its $4.3 million allocation, while its Institutional Fund of Hedge Funds – which started pouring $92 million two years ago – lost 55% of its value. Finally, it took just three months for MS’ Institutional Fund of Hedge Funds II, to see 68% of its $2 million July 1 investment evaporate. The good news for the big M is that none of the funds plunked down more than 3% of its total assets in Amaranth. Another investment giant, Goldman Sachs recorded Amaranth-related losses though it could not pin a figure on it. According to Gas Daily, GS, in its Nov. 14 filing with the SEC said only that its Global Relative Value Fund, with $95.6 million, “experienced negative performance for the quarter due primarily to significant losses in energy-related investments by a single GRV advisor, Amaranth Advisors, following a dramatic move in natural gas prices.” Goldman Sachs, states the SEC filing, did not provide a dollar amount because it “relied upon information provided by Amaranth throughout the month of September in connection with preparation of the net asset value of GRV’s investment in Amaranth.” GS said it was important to note that the fair asset value estimate of the investment was based on “limited information and such information may have been inaccurate or incomplete.”
