Bloomberg reports that the $7.2 billion San Diego County Employees Retirement Association had invested $175 million in Amaranth in 2005. The collapse could also be felt by the pension fund of Post-it Note maker 3M, which had less than one percent of its assets invested in the hedge fund.
Amaranth lost about $4.6 billion this month on bad wagers on natural-gas prices. This left it down about 35%, or $2.6 billion, for the year, according to Bloomberg.
According to Securities and Exchange Commission filings, investors in Amaranth included fund-of-funds managed by Goldman Sachs Group Inc., Morgan Stanley, Credit Suisse Group and Deutsche Bank AG. Morgan Stanley’s Institutional Fund of Hedge Funds had about $126 million, or 5.48% of its assets, invested in Amaranth as of June 30.
Max Re Capital Ltd. said third-quarter earnings will be reduced by $35 million because of losses from hedge-fund investments, although the company did not disclose which hedge fund caused the losses.