An analysis by Amaranth's risk mangers would have caught how "massively risky" the hedge fund's bets were prior to its $6 billion losses on the gas market, according to a report by the French business school Edhec. Amaranth, a US multi-strategy hedge fund, lost 65 per cent of its $9.2 billion assets last month stemming from its positions in natural gas futures contracts. Edhec said a monthly sector-level analysis of Amaranth's profits and losses would have revealed that a 24 per cent monthly loss would not have been unusual. Using a returns-based analysis to infer the sizing of positions, Edhec discovered Amaranth's energy portfolio probably suffered an adverse 9-standard-deviation event on 15 September. Hilary Till, a research associate at Edhec, said: "If investors did have position-level transparency, they would have likely noted that the fund's over-the-counter natural gas positions were massive compared to the prevailing open interest in the exchanged-traded futures market, which would have given an indication of how illiquid their energy strategies were." For experienced commodity traders, Edhec said a key party of their strategy is how to exit a strategy. "In the case of Amaranth, there was no financial counterparty who could take on their positions in under a week," said the report.