Revealed: How Malcolm Turnbull invests in a hedge fund that makes millions when Australian companies like Myer and mining businesses FAIL

• Prime Minister has at least $1 million of his own money invested in Bronte Capital
• Its Amalthea Fund made millions this year shorting Australian companies
• Retail and mining companies like Harvey Norman were a favourite target 
• Hedge fund is run by John Hempton, a colourful friend of Mr Turnbull's son Alex
• Mr Hempton was accused of harassing and intimidating a company boss
• He then made millions when the company's value collapsed days later

Malcolm Turnbull has at least $1 million of his own money invested in a hedge fund notorious for profiting off failing Australian companies.

Amalthea Fund made millions this year despite a flat stock market by betting the share prices of 'Australian mining and retail' would fall.

The fund is run by colourful trader John Hempton, a friend of the Prime Minister's son Alex, through his Bronte Capital firm.

Mr Hempton was last week accused of bullying the head of asset manager Blue Sky Alternative Investments by bombarding her with 80 late-night text messages.

Days later Blue Sky's value dived $600 million amid fears of market manipulation and Mr Hempton profited handsomely from shorting it.

Mr Turnbull invested in Amalthea Fund in May 2013 and has investments in 21 other funds, according to his register of pecuniary interests lodged with Parliament.

The fund's February market update to investors bragged that its investments grew 4.15 per cent that month while the global index fell 1 per cent.

'Australian mining and retail shorts proved useful and a USA medical technology firm, the fund held a short position in declined by more than 50 per cent,' it read.

Amalthea produced a 27 per cent return over the previous year and was up 14.3 per cent since Bronte Capital created it.

Mr Hempton previously said his company could manage a fund of up to $700 million with $500 million in the usual 'long' investments and $150 to 200 million in shorts. 

The fund refused to say what companies it shorts but it was known to bet a few million against Harvey Norman.

Myer is the company most investors want to fail on the ASX with 11.37 per cent of its stock shorted, and JB Hi-Fi, Myer, Webber, Domino's Pizza, and Flight Centre all favourites to bet against.

Mr Hempton last year played down the size of Mr Turnbull's investments when questions were raised about his holdings in banks.

'Malcolm owns a low, seven-digit position in our funds and I am short 30 basis points of the banks so if the banks halve he will probably make about $15,000,' he said.

'If you want to beat that story up I will mercilessly patronise you. Malcolm is long property like the rest of us Aussies.' 

Mr Turnbull refused to comment about the size of his dividends from his Amalthea investment.

'The Prime Minister's investments are managed by an independent investment manager,' his office told the Daily Telegraph.

The newspaper reported that Blue Sky would on Friday ask the corporate watchdog ASIC to investigate whether market manipulation of its shares caused the $600 million plunge.

The company's executive director Dr Elaine Stead claimed the messages Mr Hempton sent urged her to seek personal legal advice and talked down Blue Sky.

But he insisted he was merely offering advice, not harassing her.

'There were not 80 messages — rather a sequence of several long private messages which are broken into shorter messages because of the mechanics of the messaging platform,' he said.

'The intent of the messages was to provide advice and it was not intended to bully or intimidate and we regret if it was perceived as such. 

'Bronte Capital uses short -positions as a legitimate strategy to generate returns.' 

The company said in 2015 it targeted companies it suspected of fraudulently inflating their price, which Mr Hempton frequently railed against, or were 'being destroyed, typically by technological change'.