Citadel Investment Group, the $12bn (€10bn) Chicago hedge fund company, is sitting on losses of up to $150m after being caught out by its energy and insurance investments in the aftermath of Hurricane Katrina. Hedge fund industry sources said the company, run by Ken Griffin, sustained the losses as a result of a short position in natural gas coupled with a long position in the reinsurance sector.

Scott Rose, head of energy trading, left Citadel this month, an outside spokeswoman for the company confirmed.