The Amaranth Case Study

By Hilary Till, Solich Scholar, J.P. Morgan Center for Commodities, University of Colorado Denver Business School; and Principal, Premia Research LLC

The Winter 2017 issue of the Global Commodities Applied Research Digest (GCARD) provided a case study on the MF Global bankruptcy. In this issue of the GCARD, we cover another debacle: the Amaranth (commodity) hedge fund debacle. While the lessons from the MF Global bankruptcy can best be understood in terms of due diligence principles, the Amaranth blowup can best be understood in terms of market-risk principles.