A leading US-based hedge fund says that volatile energy prices may cost it billions of dollars.
Energy prices have fallen considerably in recent weeks.
Amaranth Advisors, said it was now "aggressively reducing" its exposure to natural gas to protect its investors.
Like other investment funds, Amaranth has invested in energy and commodities to capitalise on soaring prices
However, there has been a sharp fall in energy prices on international markets during the past six weeks as concerns over oil and gas supplies have eased.
US natural gas prices, called futures, have slipped 40% since August. They had risen sharply after hurricanes disrupted supplies last year.
Amaranth made around $1bn on the surging energy prices last year but lost more than $3bn in the recent downturn, the New York Times reported.
"Last week Amaranth multi-strategy funds experienced significant losses in their energy-related investments following a dramatic move in natural gas prices," the fund said in a letter to investors that has been seen by the Reuters news agency.
The world of the hedge funds has grown rapidly over the last 15 years or so as they offer investment services primarily to very wealthy individuals or to professional investors such as insurance companies and pension funds.
Hedge fund managers invest in anything that they think will make profits, and critics have accused them of amplifying volatility in the markets.
It is rare for a fund to admit being caught out by an investment decision.
The gas market is particularly attractive as the wide price movements make it tempting for hedge funds to gamble on potentially large profits.
Natural gas prices are more likely to swing violently than oil prices - partly because it is harder to store.