Citigroup is in talks with Amaranth Advisors to potentially acquire a stake in the New York-based hedge fund, according to a source close to Citigroup. The source, who spoke anonymously, confirmed the parties are talking but could not say how advanced negotiations are or whether Citigroup would buy all or part of Amaranth. If acquired, the hedge fund would likely join Citigroup's Alternative Investments unit, which has roughly $17 billion in hedge fund assets. The group is led by Dean Barr, managing director and head of liquid investments. Mr. Barr did not return a call seeking comment on Amaranth.
Separately, the $30.2 billion Pennsylvania State Employees' Retirement System, Harrisburg, does not plan any action regarding its exposure to Amaranth, said Nicholas J. Maiale, chairman . PennSERS had about $1.3 billion invested in the fund of hedge funds managed by Morgan Stanley Alternative Investment Partners as of March 31, according to the plan's website. According the regulatory filings, the fund of funds had $123.6 million invested in Amaranth as of June 30.
"We invest in 300 hedge funds through fund of funds — that way, we spread (risk) out. It's like (investing in the) S&P 500 index: In any given month, if you look, you will see that some of those companies aren't doing well, but the impact is lessened with diversification," Mr. Maiale said.
