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Division of Investment Management
Analytics Office
Private Funds Statistics
Third Calendar Quarter 2020
May 5, 2021
This is a report of the Staff of the Division of Investment Management’s Analytics Office of the U.S.
Securities and Exchange Commission. The Commission has expressed no view regarding the analysis,
findings, or conclusions contained herein.
May 5, 2021
Analytics Office
Introduction
This report provides a summary of recent private fund industry statistics and trends, reflecting
data collected through Form PF and Form ADV filings.1 Form PF information provided in this
report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary
information of individual Form PF filers.
This report reflects data from Fourth Calendar Quarter 2018 through Third Calendar Quarter
2020 as reported by Form PF filers.2 Please see the Appendix for information on the categories of
Form PF filers, the definitions of capitalized terms, a description of the boxplots used in several
figures, as well as other technical descriptions.
The Staff continues to work with data reported on Form PF and with filers to identify
and correct filing errors. Staff updates reported statistics based on amended filings and
also may make certain adjustments to the statistics presented to correct what appear to
be clear filing errors. Further, the Staff has employed certain assumptions in aggregating
the data. Future adjustments to these methodologies and amended filings that change
the underlying data could lead to changes in previously reported statistics.
If you have any questions or comments about Third Calendar Quarter 2020 Private
Funds Statistics, please contact:
Tim Dulaney, PhD, FRM, Tim Husson, PhD, FRM, or Trevor Tatum at FormPF@sec.gov with subject
line “Third Calendar Quarter 2020-Private Funds Statistics”.
1
Only SEC-registered advisers with at least $150 million in private fund assets under management must report to the
Commission on Form PF. SEC-registered investment advisers with less than $150 million in private fund assets under
management, SEC exempt reporting advisers, and state-registered investment advisers are not required to file Form PF,
but report general information about the private funds they manage on Form ADV.
2
The Commission began receiving Form PF filings from Large Hedge Fund Advisers in July 2012. A full data set was
not received until March 2013. This report relies upon the Form PF database constructed and maintained by the Office
of Research and Data Services in the Division of Economic and Risk Analysis.
1
Contents
I
II
III
IV
V
VI
Number of Funds and Advisers
4
Gross and Net Assets
A
Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . .
B
Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Fund Domiciles and Adviser Main Offices
Beneficial Ownership
A
All Private Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Qualifying Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Section 3 Liquidity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Section 4 Private Equity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E
Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Derivatives
5
5
8
10
11
13
15
15
16
17
18
19
20
Additional Hedge Fund Industry Information
A
High Frequency Trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Single-Strategy US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . .
D
Single-Strategy Non-US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . .
21
21
22
24
26
VII Information Reported by Large Hedge Fund Advisers
A
Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
28
28
30
31
32
VIII Qualifying Hedge Fund Specific Information
A
Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E
Number of Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
F
Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
G
Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
H
Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
I
Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
34
34
36
38
39
41
42
44
47
48
2
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J
K
Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Stress Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
49
50
A
B
C
D
E
Section 3 Liquidity Fund Specific Information
Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
52
52
52
55
55
56
A
B
C
Section 4 Private Equity Fund Specific Information
CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . .
57
57
58
59
Appendices
Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3
Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . .
5
Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
How to Read a Boxplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E
Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
61
61
61
61
62
62
62
63
63
64
65
IX
X
XI
Analytics Office
A
3
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I
Analytics Office
Number of Funds and Advisers3
Table 1: Number of Funds
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Private Equity Fund
Hedge Fund
Other Private Fund
Section 4 Private Equity Fund
Real Estate Fund
Qualifying Hedge Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2018Q4
12,791
9,204
4,900
3,935
2,850
1,827
1,562
970
73
46
32,350
2019Q1
13,021
9,399
4,755
3,932
2,850
1,794
1,569
971
72
45
32,637
2019Q2
13,035
9,497
4,715
3,932
2,851
1,784
1,577
971
72
44
32,718
2019Q3
13,043
9,507
4,702
3,932
2,839
1,803
1,579
969
72
42
32,711
2019Q4
14,347
9,309
4,963
4,394
3,112
1,821
1,717
1,156
65
43
34,669
2020Q1
14,481
9,384
4,965
4,405
3,113
1,825
1,719
1,158
64
41
34,884
2020Q2
14,493
9,416
4,970
4,405
3,109
1,814
1,719
1,155
67
45
34,929
2020Q3
14,483
9,477
4,953
4,408
3,110
1,780
1,724
1,142
69
47
34,958
Table 2: Number of Advisers Advising Each Fund Type
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Private Equity Fund
Hedge Fund
Other Private Fund
Section 4 Private Equity Fund
Real Estate Fund
Qualifying Hedge Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2018Q4
1,257
1,751
628
308
348
553
152
135
40
23
3,162
2019Q1
1,265
1,744
626
307
349
540
153
134
39
22
3,163
2019Q2
1,267
1,741
628
307
350
536
154
134
39
22
3,161
2019Q3
1,269
1,734
625
307
349
548
154
133
39
21
3,154
2019Q4
1,357
1,734
645
323
374
554
160
153
36
22
3,234
2020Q1
1,361
1,731
641
325
374
543
159
154
36
21
3,235
2020Q2
1,363
1,727
642
325
371
540
159
153
37
22
3,235
2020Q3
1,365
1,728
639
326
372
530
160
151
38
23
3,231
3
In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered
investment advisers that file a Form PF to report private funds. Please see Appendix E for definitions of other capitalized
terms used in this report.
4
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Analytics Office
II
Gross and Net Assets
A
Aggregate Assets by Fund Type over Time
Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions)
As reported on Form PF, Question 8.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2018Q4
7,594
6,153
3,176
2,329
1,226
572
570
297
292
111
13,546
2019Q1
8,053
6,480
3,260
2,364
1,223
574
573
292
289
112
14,087
2019Q2
8,256
6,735
3,260
2,364
1,213
575
575
294
290
112
14,284
2019Q3
8,101
6,655
3,259
2,364
1,227
575
576
300
293
112
14,150
2019Q4
8,180
6,713
3,736
2,743
1,368
662
649
294
289
144
15,033
2020Q1
7,746
6,322
3,811
2,795
1,339
666
647
300
294
144
14,653
2020Q2
7,780
6,403
3,809
2,795
1,354
666
647
307
304
145
14,707
2020Q3
8,203
6,825
3,810
2,796
1,363
666
649
328
324
149
15,168
Table 4: Aggregate Private Fund Net Asset Value (NAV) ($ Billions)
As reported on Form PF, Question 9.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2018Q4
3,794
2,968
2,814
2,083
1,086
445
170
295
289
99
8,703
2019Q1
4,007
3,127
2,897
2,116
1,083
448
171
288
285
99
8,992
2019Q2
4,092
3,180
2,896
2,116
1,072
448
172
292
288
98
9,070
5
2019Q3
4,066
3,189
2,895
2,116
1,086
448
172
297
291
99
9,064
2019Q4
4,135
3,238
3,305
2,442
1,204
504
205
292
286
137
9,782
2020Q1
3,782
2,917
3,374
2,493
1,176
507
202
296
289
138
9,475
2020Q2
4,092
3,215
3,373
2,493
1,187
507
202
302
298
138
9,802
2020Q3
4,300
3,401
3,374
2,493
1,201
507
204
321
318
143
10,050
May 5, 2021
Analytics Office
Figure 1: GAV and NAV Distributions
See Appendix C for an explanation of boxplots.
8
6
6
NAV ($Billions)
4
2
2
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q3
19
18
20
20
18
Q4
0
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q3
0
4
20
GAV ($Billions)
As reported on Form PF, Questions 8 and 9.
8
(a) Qualifying Hedge Fund GAV
(b) Qualifying Hedge Fund NAV
NAV ($Millions)
1000
500
1000
750
500
250
0
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q3
20
18
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q3
19
20
18
Q4
0
20
GAV ($Millions)
1250
(c) Section 4 Private Equity Fund GAV
(d) Section 4 Private Equity Fund NAV
6
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Analytics Office
Figure 2: Ratio of GAV to NAV
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
2.0
1.5
1.0
0.5
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q3
0.0
3.0
2.5
2.0
1.5
1.0
0.5
0.0
18
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q3
Ratio of GAV to NAV
Winsorized (limits=[0%,98%])
2.5
20
20
18
Ratio of GAV to NAV
Winsorized (limits=[0%,98%])
As reported on Form PF, Questions 8, 9, and 10.
3.0
(a) All Private Funds
(b) Qualifying Hedge Funds
7
May 5, 2021
Borrowings
Table 5: Aggregate Borrowings (Percent of Aggregate GAV)
As reported on Form PF, Questions 8, 12, and 43 (Third Month).
Fund Type
Securitized Asset Fund
Qualifying Hedge Fund
Hedge Fund
Real Estate Fund
Section 4 Private Equity Fund
Private Equity Fund
Other Private Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
2018Q4
53.5
45.1
41.6
14.8
5.2
5.3
3.5
0.9
0.0
0.0
2019Q1
52.7
46.7
43.0
14.9
5.2
5.1
3.4
0.8
0.0
0.0
2019Q2
52.1
47.2
43.3
14.6
5.2
5.1
3.5
0.9
0.0
0.0
2019Q3
52.2
46.7
43.1
14.6
5.2
5.1
3.5
0.9
0.0
0.0
2019Q4
52.5
47.4
43.5
14.8
7.3
6.5
4.6
0.8
0.0
0.0
2020Q1
49.0
45.9
42.3
14.9
7.3
6.4
4.9
0.7
0.0
0.0
2020Q2
47.7
45.3
41.3
14.6
7.3
6.4
4.8
0.8
0.0
0.0
2020Q3
47.5
47.0
43.0
14.6
7.3
6.4
4.9
0.8
0.0
0.0
Figure 3: Distribution of Total Borrowings for All Private Funds
and Qualifying Hedge Funds
See Appendix C for an explanation of boxplots.
1
(a) All Private Funds
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q3
0
20
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q3
0
2
18
200
3
20
400
4
Q4
Total Borrowings ($Billions)
600
18
Total Borrowings ($Millions)
As reported on Form PF, Questions 12 and 43 (Third Month).
20
B
Analytics Office
(b) Qualifying Hedge Funds
8
May 5, 2021
Analytics Office
Figure 4: Ratio of Borrowings to NAV
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
2
1
0
4
3
2
1
0
20
20
18
18
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q3
Ratio of Borrowings to NAV
Winsorized (limits=[0%,98%])
3
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q3
Ratio of Borrowings to NAV
Winsorized (limits=[0%,98%])
As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month).
4
(a) All Private Funds
(b) Qualifying Hedge Funds
Table 6: Aggregate Borrowing by Creditor Entity Type (Percent)
As reported on Form PF, Questions 12 and 43 (Third Month).
Creditor Type
US Financial
Non-US Financial
US Non-Financial
Non-US Non-Financial
2018Q4
64.9
32.1
2.4
0.9
2019Q1
65.6
31.8
2.1
0.8
2019Q2
65.9
31.6
2.2
0.9
9
2019Q3
66.2
31.3
2.3
0.8
2019Q4
65.6
31.1
2.4
1.0
2020Q1
64.9
32.4
2.6
1.0
2020Q2
66.7
30.8
2.5
1.0
2020Q3
64.7
32.9
2.4
1.0
May 5, 2021
C
Analytics Office
Fair Value Hierarchy
Table 7: Assets According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2018Q4
3,228
2,959
3,405
2,511
2019Q1
3,252
2,979
3,476
2,551
2019Q2
3,272
3,044
3,475
2,557
2019Q3
3,233
3,046
3,470
2,551
2019Q4
3,826
3,482
4,060
2,367
2020Q1
3,793
3,506
4,112
2,353
2020Q2
3,802
3,496
4,117
2,343
2020Q3
3,813
3,515
4,127
2,339
Table 8: Liabilities According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2018Q4
1,226
1,015
195
2,084
2019Q1
1,233
1,030
197
2,104
2019Q2
1,240
1,067
200
2,115
2019Q3
1,233
1,057
202
2,110
10
2019Q4
1,284
1,033
264
2,231
2020Q1
1,298
1,068
268
2,238
2020Q2
1,289
1,059
268
2,228
2020Q3
1,299
1,066
267
2,228
May 5, 2021
D
Analytics Office
Parallel Managed Accounts4
Table 9: Number of Funds with Parallel Managed Accounts
As reported on Form PF, Question 11.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Liquidity Fund
Section 3 Liquidity Fund
Section 4 Private Equity Fund
Real Estate Fund
Securitized Asset Fund
Venture Capital Fund
Total
2018Q4
663
231
510
315
18
16
112
78
***
***
1,593
2019Q1
659
223
509
314
15
13
112
78
***
***
1,584
2019Q2
648
221
504
315
14
12
112
78
***
***
1,568
2019Q3
652
227
503
294
15
12
112
78
***
***
1,551
2019Q4
614
222
504
332
12
11
136
95
***
***
1,564
2020Q1
628
232
500
331
12
11
136
95
***
***
1,573
2020Q2
610
227
499
330
11
11
135
95
***
***
1,552
2020Q3
601
221
492
330
11
11
135
95
***
***
1,536
Table 10: Aggregate Value in Parallel Managed Accounts ($ Billions)
As reported on Form PF, Question 11.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Liquidity Fund
Section 3 Liquidity Fund
Section 4 Private Equity Fund
Real Estate Fund
Securitized Asset Fund
Venture Capital Fund
Total
2018Q4
770
532
1,821
48
383
382
33
5
***
***
3,028
2019Q1
721
470
1,822
48
293
292
33
5
***
***
2,889
2019Q2
713
466
1,812
48
264
263
33
5
***
***
2,843
2019Q3
712
470
1,812
48
294
292
33
5
***
***
2,871
2019Q4
717
477
2,041
58
317
316
38
10
***
***
3,144
2020Q1
637
433
2,025
58
378
377
38
10
***
***
3,108
2020Q2
638
434
2,017
58
366
366
38
10
***
***
3,090
2020Q3
634
414
2,001
58
383
383
38
10
***
***
3,086
4
Certain data points in the tables in this section and other sections may be masked to avoid possible disclosure of
proprietary information of individual Form PF filers.
11
May 5, 2021
Analytics Office
Figure 5: Parallel Managed Account Value Distributions
See Appendix C for an explanation of boxplots.
0
(a) All Private Funds
19
20
18
20
1
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q3
Parallel Managed Assets ($Billions)
0
2
Q4
1
3
18
2
4
20
3
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q3
Parallel Managed Assets ($Billions)
As reported on Form PF, Question 11.
(b) Qualifying Hedge Funds
12
May 5, 2021
III
Analytics Office
Fund Domiciles and Adviser Main Offices
Table 11: Fund Domicile (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
Cayman Islands
Ireland
Luxembourg
Virgin Islands, British
Bermuda
United Kingdom
Other
Country
Cayman Islands
United States
Ireland
Virgin Islands, British
Luxembourg
Bermuda
Other
Country
Ireland
United States
Cayman Islands
Other
Country
United States
Cayman Islands
Canada
United Kingdom
Bermuda
Other
All Private Funds
2018Q4 2019Q1 2019Q2 2019Q3 2019Q4
51.7
50.7
50.5
50.6
51.3
34.0
34.7
34.9
34.7
34.6
4.6
4.5
4.5
4.7
4.7
2.9
3.0
3.0
2.9
3.2
1.5
1.5
1.5
1.5
1.3
1.1
1.1
1.1
1.2
1.1
1.3
1.2
1.2
1.2
1.0
3.0
3.3
3.3
3.2
2.9
Qualifying Hedge Funds
2018Q4 2019Q1 2019Q2 2019Q3 2019Q4
50.6
51.5
51.9
51.6
51.4
35.6
34.7
34.5
34.7
35.1
3.2
3.2
3.2
3.1
3.1
4.1
3.9
3.9
3.9
3.6
2.6
2.7
2.7
2.7
2.7
2.0
1.9
1.8
2.1
2.1
1.9
2.0
1.9
1.9
1.9
Section 3 Liquidity Funds
2018Q4 2019Q1 2019Q2 2019Q3 2019Q4
***
***
***
***
***
32.9
30.0
29.7
26.5
22.2
***
***
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2018Q4 2019Q1 2019Q2 2019Q3 2019Q4
56.8
56.0
56.0
56.0
56.2
30.6
30.1
30.1
30.1
32.0
1.1
1.1
1.1
1.1
1.7
2.3
2.3
2.3
2.3
1.9
1.0
0.9
0.9
0.9
1.0
8.2
9.6
9.6
9.6
7.2
13
2020Q1
51.5
34.2
4.5
3.2
1.1
1.1
1.0
3.4
2020Q2
51.0
34.7
4.6
3.1
1.1
1.1
1.0
3.4
2020Q3
50.5
35.0
4.8
3.2
1.1
1.0
1.0
3.3
2020Q1
52.4
34.9
2.9
3.2
2.6
2.2
1.7
2020Q2
52.5
35.1
3.1
3.0
2.5
2.0
1.8
2020Q3
53.2
34.6
3.1
2.9
2.6
1.9
1.8
2020Q1
***
25.3
***
***
2020Q2
***
24.2
***
***
2020Q3
***
23.0
***
***
2020Q1
55.0
31.4
1.8
1.7
1.0
9.1
2020Q2
55.1
31.3
1.8
1.7
1.0
9.1
2020Q3
55.1
31.3
1.8
1.7
1.0
9.1
May 5, 2021
Analytics Office
Table 12: Adviser Main Office Location (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
United Kingdom
Other
2018Q4
89.6
6.2
4.2
Country
United States
United Kingdom
Hong Kong
Australia
Other
2018Q4
89.0
6.1
***
***
2.1
Country
United States
United Kingdom
2018Q4
***
***
Country
United States
Canada
Other
2018Q4
94.0
***
***
All Private Funds
2019Q1 2019Q2 2019Q3 2019Q4
89.5
89.5
89.5
90.0
6.3
6.2
6.3
5.5
4.2
4.2
4.2
4.5
Qualifying Hedge Funds
2019Q1 2019Q2 2019Q3 2019Q4
89.0
89.2
89.4
88.8
6.0
5.8
5.5
5.5
***
***
***
***
***
***
***
***
2.0
2.0
2.0
2.1
Section 3 Liquidity Funds
2019Q1 2019Q2 2019Q3 2019Q4
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2019Q1 2019Q2 2019Q3 2019Q4
94.1
94.1
94.1
93.8
***
***
***
***
***
***
***
***
14
2020Q1
90.4
5.4
4.2
2020Q2
90.4
5.3
4.3
2020Q3
90.3
5.3
4.3
2020Q1
89.4
5.0
***
***
2.1
2020Q2
89.8
4.5
***
***
2.0
2020Q3
89.8
4.4
***
***
1.9
2020Q1
***
***
2020Q2
***
***
2020Q3
***
***
2020Q1
93.8
***
***
2020Q2
93.8
***
***
2020Q3
93.8
***
***
May 5, 2021
IV
A
Analytics Office
Beneficial Ownership
All Private Funds
Table 13: Beneficial Ownership for All Private Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
State/Muni. Govt. Pension Plans
Pension Plans
Non-Profits
U.S. Individuals
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Unknown Non-U.S. Investors
Non-U.S. Individuals
State/Muni. Govt. Entities
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2018Q4
1,518
1,333
1,231
1,045
850
843
555
399
204
205
122
169
118
108
2019Q1
1,550
1,376
1,250
1,068
894
876
604
412
216
209
130
171
126
107
2019Q2
1,563
1,381
1,250
1,083
902
886
611
416
222
210
132
177
125
109
2019Q3
1,556
1,392
1,245
1,079
901
888
609
415
224
209
137
172
125
109
2019Q4
1,673
1,462
1,335
1,164
994
958
658
461
243
224
173
183
137
114
2020Q1
1,640
1,447
1,301
1,100
930
914
648
462
231
221
169
175
127
106
2020Q2
1,669
1,504
1,330
1,136
990
966
670
470
238
238
172
173
130
112
2020Q3
1,709
1,556
1,343
1,158
1,017
999
690
476
260
248
174
172
129
115
2020Q2
17.0
15.3
13.6
11.6
10.1
9.9
6.8
4.8
2.4
2.4
1.8
1.8
1.3
1.1
2020Q3
17.0
15.5
13.4
11.5
10.1
9.9
6.9
4.7
2.6
2.5
1.7
1.7
1.3
1.1
Table 14: Beneficial Ownership for All Private Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
State/Muni. Govt. Pension Plans
Pension Plans
Non-Profits
U.S. Individuals
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Unknown Non-U.S. Investors
Non-U.S. Individuals
State/Muni. Govt. Entities
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2018Q4
17.4
15.3
14.1
12.0
9.8
9.7
6.4
4.6
2.3
2.4
1.4
1.9
1.4
1.2
2019Q1
17.2
15.3
13.9
11.9
9.9
9.7
6.7
4.6
2.4
2.3
1.4
1.9
1.4
1.2
15
2019Q2
17.2
15.2
13.8
11.9
9.9
9.8
6.7
4.6
2.4
2.3
1.5
1.9
1.4
1.2
2019Q3
17.2
15.4
13.7
11.9
9.9
9.8
6.7
4.6
2.5
2.3
1.5
1.9
1.4
1.2
2019Q4
17.1
14.9
13.7
11.9
10.2
9.8
6.7
4.7
2.5
2.3
1.8
1.9
1.4
1.2
2020Q1
17.3
15.3
13.7
11.6
9.8
9.6
6.8
4.9
2.4
2.3
1.8
1.8
1.3
1.1
May 5, 2021
B
Analytics Office
Qualifying Hedge Funds
Table 15: Beneficial Ownership for Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Non-Profits
Other
Pension Plans
U.S. Individuals
State/Muni. Govt. Pension Plans
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Broker-Dealers
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Sec-Registered Investment Companies
Banking/Thrift Inst.
2018Q4
480
404
414
399
323
343
196
82
75
77
48
39
52
32
2019Q1
508
442
428
417
347
353
198
89
79
77
57
42
54
33
2019Q2
520
449
437
428
340
357
206
90
79
79
58
45
54
36
2019Q3
525
446
431
422
342
367
208
89
83
80
57
47
55
36
2019Q4
532
464
427
433
351
371
209
92
84
81
63
49
43
38
2020Q1
492
410
393
376
316
331
191
89
76
73
54
45
35
35
2020Q2
532
470
428
409
362
356
205
96
91
78
56
50
45
34
2020Q3
564
494
466
429
384
368
220
101
99
80
60
50
46
37
2020Q2
16.5
14.6
13.3
12.7
11.3
11.1
6.4
3.0
2.8
2.4
1.8
1.5
1.4
1.1
2020Q3
16.6
14.5
13.7
12.6
11.3
10.8
6.5
3.0
2.9
2.3
1.8
1.5
1.3
1.1
Table 16: Beneficial Ownership for Qualifying Hedge Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Non-Profits
Other
Pension Plans
U.S. Individuals
State/Muni. Govt. Pension Plans
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Broker-Dealers
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Sec-Registered Investment Companies
Banking/Thrift Inst.
2018Q4
16.2
13.6
14.0
13.5
10.9
11.6
6.6
2.8
2.5
2.6
1.6
1.3
1.8
1.1
2019Q1
16.3
14.1
13.7
13.3
11.1
11.3
6.3
2.8
2.5
2.5
1.8
1.3
1.7
1.1
16
2019Q2
16.4
14.1
13.7
13.5
10.7
11.2
6.5
2.8
2.5
2.5
1.8
1.4
1.7
1.1
2019Q3
16.4
14.0
13.5
13.2
10.7
11.5
6.5
2.8
2.6
2.5
1.8
1.5
1.7
1.1
2019Q4
16.4
14.3
13.2
13.4
10.8
11.5
6.5
2.8
2.6
2.5
1.9
1.5
1.3
1.2
2020Q1
16.9
14.1
13.5
12.9
10.8
11.3
6.6
3.0
2.6
2.5
1.8
1.5
1.2
1.2
May 5, 2021
C
Analytics Office
Section 3 Liquidity Funds
Table 17: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Other
Unknown Non-U.S. Investors
Private Funds
Broker-Dealers
Sec-Registered Investment Companies
Sov. Wealth Funds And For. Official Inst.
Banking/Thrift Inst.
Insurance Companies
Pension Plans
Non-U.S. Individuals
State/Muni. Govt. Entities
Non-Profits
State/Muni. Govt. Pension Plans
U.S. Individuals
2018Q4
55
54
97
***
18
***
***
9
3
5
***
1
2
***
2019Q1
57
60
84
***
19
***
***
10
***
4
***
1
***
***
2019Q2
58
60
84
***
19
***
***
10
***
3
***
***
***
***
2019Q3
75
64
69
***
19
***
16
8
***
4
***
1
***
***
2019Q4
74
63
62
***
14
***
***
8
4
4
***
2
***
***
2020Q1
76
61
72
***
12
***
***
10
***
4
***
2
***
***
2020Q2
92
59
57
***
17
***
***
11
***
3
***
2
***
***
2020Q3
93
77
55
***
18
***
11
10
5
3
***
2
1
***
2020Q2
30.7
19.9
19.0
***
5.7
***
***
3.7
***
0.9
***
0.6
***
***
2020Q3
29.2
24.1
17.3
***
5.7
***
3.5
3.2
1.5
0.8
***
0.7
0.3
***
Table 18: Beneficial Ownership for Section 3 Liquidity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Other
Unknown Non-U.S. Investors
Private Funds
Broker-Dealers
Sec-Registered Investment Companies
Sov. Wealth Funds And For. Official Inst.
Banking/Thrift Inst.
Insurance Companies
Pension Plans
Non-U.S. Individuals
State/Muni. Govt. Entities
Non-Profits
State/Muni. Govt. Pension Plans
U.S. Individuals
2018Q4
19.0
18.7
33.6
***
6.2
***
***
3.1
0.9
1.7
***
0.4
0.6
***
2019Q1
20.0
20.9
29.6
***
6.6
***
***
3.5
***
1.3
***
0.5
***
***
17
2019Q2
20.1
20.7
29.1
***
6.6
***
***
3.3
***
1.1
***
***
***
***
2019Q3
25.8
22.0
23.8
***
6.7
***
5.6
2.8
***
1.2
***
0.4
***
***
2019Q4
25.8
21.9
21.6
***
4.8
***
***
2.8
1.3
1.3
***
0.8
***
***
2020Q1
26.2
21.0
24.9
***
4.3
***
***
3.5
***
1.5
***
0.6
***
***
May 5, 2021
D
Analytics Office
Section 4 Private Equity Funds
Table 19: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
State/Muni. Govt. Pension Plans
Private Funds
Other
Sov. Wealth Funds And For. Official Inst.
Pension Plans
Insurance Companies
Non-Profits
U.S. Individuals
State/Muni. Govt. Entities
Non-U.S. Individuals
Banking/Thrift Inst.
Sec-Registered Investment Companies
Unknown Non-U.S. Investors
Broker-Dealers
2018Q4
454
398
322
225
175
127
116
117
36
48
31
17
17
1
2019Q1
454
397
336
244
175
127
116
117
36
48
31
17
17
1
2019Q2
454
397
336
244
175
127
116
117
36
48
31
17
17
1
2019Q3
454
397
336
244
175
127
116
117
36
48
31
17
17
1
2019Q4
514
467
369
278
199
152
139
132
56
51
36
28
19
1
2020Q1
526
468
392
286
201
154
140
132
56
54
37
28
19
1
2020Q2
526
468
392
285
201
154
140
132
56
54
37
28
19
1
2020Q3
526
468
392
285
201
154
140
132
56
54
37
28
19
1
Table 20: Beneficial Ownership for Section 4 Private Equity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
State/Muni. Govt. Pension Plans
Private Funds
Other
Sov. Wealth Funds And For. Official Inst.
Pension Plans
Insurance Companies
Non-Profits
U.S. Individuals
State/Muni. Govt. Entities
Non-U.S. Individuals
Banking/Thrift Inst.
Sec-Registered Investment Companies
Unknown Non-U.S. Investors
Broker-Dealers
2018Q4
21.8
19.1
15.4
10.8
8.4
6.1
5.6
5.6
1.7
2.3
1.5
0.8
0.8
0.1
2019Q1
21.4
18.8
15.9
11.5
8.3
6.0
5.5
5.5
1.7
2.3
1.5
0.8
0.8
0.1
18
2019Q2
21.4
18.8
15.9
11.5
8.3
6.0
5.5
5.5
1.7
2.3
1.5
0.8
0.8
0.1
2019Q3
21.4
18.8
15.9
11.5
8.3
6.0
5.5
5.5
1.7
2.3
1.5
0.8
0.8
0.1
2019Q4
21.1
19.1
15.1
11.4
8.2
6.2
5.7
5.4
2.3
2.1
1.5
1.1
0.8
0.1
2020Q1
21.1
18.8
15.7
11.5
8.1
6.2
5.6
5.3
2.3
2.2
1.5
1.1
0.7
0.1
2020Q2
21.1
18.8
15.7
11.4
8.1
6.2
5.6
5.3
2.3
2.2
1.5
1.1
0.7
0.1
2020Q3
21.1
18.8
15.7
11.4
8.1
6.2
5.6
5.3
2.3
2.2
1.5
1.1
0.7
0.1
May 5, 2021
E
Analytics Office
Concentration
Table 21: Weighted-Average Beneficial Ownership of Top 5 Owners (Percent)
As reported on Form PF, Questions 9 and 15.
Type
Private Equity Fund
Section 4 Private Equity Fund
Venture Capital Fund
Hedge Fund
Other Private Fund
Qualifying Hedge Fund
Liquidity Fund
Section 3 Liquidity Fund
Real Estate Fund
Securitized Asset Fund
Total
2018Q4
49.5
43.7
59.1
55.6
58.7
50.9
56.6
56.0
57.8
34.2
53.8
2019Q1
50.8
44.5
59.1
55.2
58.8
50.6
55.4
54.9
57.7
34.5
54.0
2019Q2
50.8
44.5
59.2
55.6
58.4
50.8
52.1
51.6
57.7
34.6
54.0
19
2019Q3
50.8
44.5
59.1
55.7
58.9
51.1
49.1
48.1
57.7
34.8
54.1
2019Q4
50.5
45.0
54.7
55.9
59.0
51.2
45.7
44.8
56.7
39.4
53.8
2020Q1
50.5
45.0
54.7
55.5
59.4
50.5
49.4
48.4
56.6
39.4
53.7
2020Q2
50.5
44.9
54.8
55.3
59.5
50.4
46.5
46.0
56.6
39.5
53.6
2020Q3
50.5
44.9
54.7
55.4
58.8
50.5
44.3
43.9
56.6
39.1
53.5
May 5, 2021
V
Analytics Office
Derivatives
Table 22: Aggregate Derivative Value ($ Billions)
As reported on Form PF, Questions 13 and 44 (Third Month).
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Section 4 Private Equity Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Venture Capital Fund
Total
2018Q4
12,652
9,870
132
38
31
17
***
***
3
***
12,890
2019Q1
14,163
11,298
131
37
31
17
***
***
3
***
14,384
2019Q2
13,082
11,447
134
37
31
17
***
***
3
***
13,306
2019Q3
13,568
11,493
135
37
31
17
***
***
3
***
13,589
2019Q4
12,765
11,162
111
95
37
18
***
***
3
***
12,912
2020Q1
11,977
10,540
108
96
37
18
***
***
3
***
12,221
2020Q2
11,057
9,544
108
96
37
18
***
***
3
***
11,318
2020Q3
13,747
11,771
106
97
37
18
***
***
3
***
13,998
Table 23: Aggregate Derivative Value (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 13, and 44 (Third Month).
Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Section 4 Private Equity Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Venture Capital Fund
Total
2018Q4
333.4
332.6
12.2
1.3
1.5
3.7
***
***
1.6
***
148.1
2019Q1
353.4
361.3
12.1
1.3
1.5
3.7
***
***
1.6
***
160.0
2019Q2
319.7
360.0
12.5
1.3
1.5
3.7
***
***
1.6
***
146.7
20
2019Q3
333.7
360.4
12.5
1.3
1.5
3.7
***
***
1.6
***
149.9
2019Q4
308.7
344.7
9.2
2.9
1.5
3.6
***
***
1.5
***
132.0
2020Q1
316.7
361.3
9.2
2.9
1.5
3.6
***
***
1.5
***
129.0
2020Q2
270.2
296.9
9.1
2.9
1.5
3.6
***
***
1.5
***
115.5
2020Q3
319.7
346.1
8.8
2.9
1.5
3.6
***
***
1.5
***
139.3
May 5, 2021
Analytics Office
Figure 6: Distribution of Derivative Values
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
Total Derivative Value ($Billions)
Winsorized (limits=[1%,99%])
1.5
1.0
0.5
0.0
10.0
7.5
5.0
2.5
0.0
20
20
18
18
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q3
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q3
Total Derivative Value ($Billions)
Winsorized (limits=[1%,99%])
As reported on Form PF, Questions 13 and 44 (Third Month).
(a) All Private Funds
VI
A
(b) Qualifying Hedge Funds
Additional Hedge Fund Industry Information
High Frequency Trading
Table 24: Number of Hedge Funds Using
High Frequency Trading (HFT) Strategies
As reported on Form PF, Question 21.
Fraction of NAV
0%
Less than 100%
100% or More
2018Q4
7,926
64
8
2019Q1
7,995
67
8
2019Q2
8,065
64
8
2019Q3
8,072
65
8
2019Q4
7,973
51
10
2020Q1
8,057
50
9
2020Q2
8,070
51
8
2020Q3
8,131
49
7
Table 25: Hedge Fund Assets Managed Using HFT Strategies ($ Billions)
As reported on Form PF, Questions 9 and 21.
Fraction of NAV
0%
Less than 100%
100% or More
2018Q4
3,722
43
35
2019Q1
3,923
84
2
2019Q2
3,991
85
2
2019Q3
3,956
87
2
21
2019Q4
4,038
81
3
2020Q1
3,678
84
2
2020Q2
3,969
95
2
2020Q3
4,175
99
2
May 5, 2021
B
Analytics Office
Industry Concentration
Table 26: Percent of Aggregate Hedge Fund Net Asset Value
Reported by Top Hedge Funds Sorted by Net Asset Value
As reported on Form PF, Questions 9 and 10.
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2018Q4
7.4
13.5
19.7
27.9
42.1
55.6
2019Q1
7.2
13.4
19.7
28.0
42.4
56.1
2019Q2
7.3
13.5
19.8
28.1
42.6
56.1
2019Q3
7.4
13.6
19.9
28.1
42.5
56.0
2019Q4
7.4
13.6
19.6
27.7
42.1
55.5
2020Q1
7.5
14.0
20.1
28.1
42.3
55.5
2020Q2
7.5
14.0
20.1
28.2
42.7
56.1
2020Q3
7.5
14.0
20.4
28.7
43.4
56.7
Table 27: Percent of Aggregate Hedge Fund Gross Asset Value
Reported by Top Hedge Funds Sorted by Gross Asset Value
As reported on Form PF, Questions 8 and 10.
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2018Q4
16.7
26.0
34.2
43.4
56.6
67.6
2019Q1
16.5
25.7
34.2
43.4
57.1
68.1
2019Q2
16.2
25.4
33.7
43.1
56.7
67.9
2019Q3
15.3
24.9
33.4
42.7
56.3
67.5
2019Q4
15.3
24.5
33.2
42.3
55.7
67.0
2020Q1
17.0
25.9
34.5
43.5
56.5
67.5
2020Q2
14.8
23.8
32.4
41.6
55.1
66.5
2020Q3
15.3
24.6
33.3
42.4
56.0
67.2
Table 28: Percent of Aggregate Hedge Fund Borrowings
Reported by Top Hedge Funds Sorted by Borrowings
As reported on Form PF, Questions 12 and 43 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2018Q4
36.3
51.3
62.9
73.3
84.7
91.6
2019Q1
36.1
50.9
63.0
73.3
85.0
91.9
2019Q2
35.2
50.0
62.0
72.8
84.9
91.7
2019Q3
34.1
50.0
61.8
73.0
84.8
91.7
22
2019Q4
35.5
50.5
62.2
72.9
84.5
91.6
2020Q1
38.5
52.5
63.5
73.5
84.3
91.0
2020Q2
35.0
50.3
62.5
73.5
84.4
91.4
2020Q3
34.7
51.1
62.8
74.0
85.0
91.8
May 5, 2021
Analytics Office
Table 29: Percent of Aggregate Hedge Fund Derivative Value
Reported by Top Hedge Funds Sorted by Derivative Value
As reported on Form PF, Questions 13 and 44 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2018Q4
32.7
49.1
62.1
73.7
86.7
93.3
2019Q1
31.7
50.0
63.0
74.9
87.8
94.0
2019Q2
29.2
47.1
59.8
72.4
86.2
93.2
2019Q3
30.5
48.4
61.3
73.5
87.0
93.9
2019Q4
28.9
47.3
60.1
72.1
86.5
93.7
2020Q1
34.0
52.3
65.0
76.2
88.1
94.3
2020Q2
32.6
48.8
61.5
73.3
87.2
93.9
2020Q3
39.2
53.8
66.1
76.6
89.0
94.9
Table 30: Percent of Aggregate Hedge Fund Gross Notional Exposure
Reported by Top Hedge Funds Sorted by Gross Notional Exposure
As reported on Form PF, Questions 26 and 30 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2018Q4
29.7
47.2
60.2
71.2
83.9
91.8
2019Q1
30.0
47.1
59.7
71.2
84.3
92.0
2019Q2
28.3
44.9
57.8
69.3
82.9
91.4
2019Q3
28.7
46.0
58.2
69.6
83.0
91.4
23
2019Q4
29.1
46.3
58.5
70.1
83.3
91.6
2020Q1
33.2
50.8
62.1
72.5
84.6
92.2
2020Q2
31.9
48.1
59.3
70.2
83.0
91.3
2020Q3
35.7
50.6
61.4
71.7
84.0
92.0
May 5, 2021
C
Analytics Office
Single-Strategy US-Domiciled Hedge Funds
Table 31: Exposures of Single-Strategy US-Domiciled Hedge Funds ($ Billions)
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Other
Credit
Relative Value
Event Driven
Investment in other funds
Macro
Managed Futures/CTA
Total
Strategy
Subtotal
Long Bias
Long/Short
Market Neutral
Short Bias
Subtotal
Subtotal
Long/Short
Asset Based Lending
Subtotal
F.I. Asset Backed
F.I. Corp.
F.I. Conv. Arb.
Volatility Arb.
F.I. Sov.
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Quantitative
Fundamental
Total
2018Q4
443
205
207
27
4
458
90
50
40
38
22
8
5
2
1
43
29
8
6
17
22
19
3
***
***
6
***
***
973
2019Q1
493
223
236
31
2
464
90
50
41
41
24
9
5
1
1
46
31
9
7
15
20
17
3
***
***
6
***
***
1,022
24
2019Q2
512
239
236
34
2
472
91
48
42
43
25
9
6
1
1
47
30
10
8
22
22
19
3
***
***
6
***
***
1,054
2019Q3
524
252
234
36
2
474
94
50
44
45
27
9
6
2
1
47
30
10
7
25
18
15
3
***
***
6
***
***
1,057
2019Q4
562
276
245
40
2
473
98
50
47
43
27
8
5
***
***
45
30
10
5
31
15
12
1
***
***
5
***
***
1,089
2020Q1
485
235
207
40
2
441
96
48
48
40
27
7
3
***
***
43
31
8
4
36
11
9
2
***
***
5
***
***
1,002
2020Q2
547
269
239
38
2
481
98
52
46
43
27
8
5
1
1
47
32
11
4
30
11
8
2
***
***
5
***
***
1,095
2020Q3
567
282
251
33
1
490
103
56
47
48
29
9
7
1
1
47
31
11
5
31
12
9
2
***
***
5
***
***
1,140
May 5, 2021
Analytics Office
Table 32: Number of Single-Strategy US-Domiciled Hedge Funds
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Other
Credit
Relative Value
Event Driven
Investment in other funds
Macro
Managed Futures/CTA
Total
Strategy
Subtotal
Long Bias
Long/Short
Market Neutral
Short Bias
Subtotal
Subtotal
Long/Short
Asset Based Lending
Subtotal
F.I. Asset Backed
F.I. Corp.
F.I. Conv. Arb.
Volatility Arb.
F.I. Sov.
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Quantitative
Fundamental
Total
2018Q4
1,026
510
455
50
17
907
272
147
130
154
73
48
16
16
12
207
145
39
32
170
61
37
16
***
***
34
***
***
2,663
2019Q1
1,045
511
468
56
16
910
274
143
133
153
72
49
16
14
10
203
141
36
34
174
58
37
15
***
***
34
***
***
2,696
25
2019Q2
1,053
519
468
56
16
894
285
153
134
153
72
48
16
14
10
206
145
37
33
193
60
38
15
***
***
34
***
***
2,711
2019Q3
1,055
524
467
54
16
924
289
155
136
159
74
51
15
16
15
221
157
44
30
203
57
35
15
***
***
32
***
***
2,734
2019Q4
1,013
521
434
48
17
924
297
155
146
151
72
48
16
***
***
215
153
47
23
211
44
24
9
***
***
26
***
***
2,687
2020Q1
1,007
511
438
47
18
931
303
159
147
149
69
47
17
***
***
220
159
45
23
215
45
24
14
***
***
27
***
***
2,721
2020Q2
993
504
433
45
18
943
313
165
151
160
81
49
16
12
11
227
165
45
24
213
44
22
13
***
***
27
***
***
2,746
2020Q3
1,017
522
443
45
17
958
318
168
153
172
88
53
17
12
16
220
156
46
23
219
44
21
13
***
***
28
***
***
2,776
May 5, 2021
D
Analytics Office
Single-Strategy Non-US-Domiciled Hedge Funds
Table 33: Exposures of Single-Strategy Non-US-Domiciled Hedge Funds ($ Billions)
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Macro
Relative Value
Other
Credit
Event Driven
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Corp.
Volatility Arb.
F.I. Conv. Arb.
Subtotal
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Risk Arb./Merger Arb.
Equity
Subtotal
Quantitative
Fundamental
Subtotal
Total
2018Q4
751
507
159
***
***
328
318
7
***
***
233
104
86
15
19
8
449
172
133
39
172
81
68
23
124
***
***
24
1,597
2019Q1
855
586
178
91
1
390
378
8
***
***
284
150
89
16
21
9
488
180
137
43
124
82
19
23
142
***
***
23
1,712
26
2019Q2
890
613
185
91
1
384
373
8
***
***
355
220
90
17
20
8
515
180
137
43
133
83
27
23
168
***
***
27
1,765
2019Q3
868
595
178
95
1
392
380
8
***
***
358
222
91
18
19
8
538
183
137
46
122
80
20
22
173
***
***
31
1,750
2019Q4
907
601
211
***
***
357
346
8
***
***
359
224
88
19
17
10
560
202
153
49
121
81
18
21
172
***
***
30
1,805
2020Q1
779
512
190
***
***
353
344
6
***
***
390
248
99
18
16
9
529
206
150
56
111
72
21
18
153
***
***
28
1,653
2020Q2
902
608
224
***
***
343
332
6
***
***
377
256
74
24
12
11
538
212
152
61
117
81
17
19
110
***
***
29
1,820
2020Q3
994
670
249
***
***
434
425
6
***
***
375
252
76
24
12
11
565
220
155
65
136
93
22
21
132
***
***
28
1,938
May 5, 2021
Analytics Office
Table 34: Number of Single-Strategy Non-US-Domiciled Hedge Funds
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Macro
Relative Value
Other
Credit
Event Driven
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Corp.
Volatility Arb.
F.I. Conv. Arb.
Subtotal
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Risk Arb./Merger Arb.
Equity
Subtotal
Quantitative
Fundamental
Subtotal
Total
2018Q4
1,115
656
331
***
***
263
210
40
***
***
308
55
133
91
43
29
761
335
248
95
299
198
58
73
138
***
***
95
3,082
2019Q1
1,104
651
324
125
7
265
211
41
***
***
304
56
128
88
41
30
763
336
248
96
297
198
59
69
132
***
***
94
3,079
27
2019Q2
1,099
644
327
124
7
256
197
46
***
***
297
54
131
88
37
29
781
344
254
98
311
209
60
71
131
***
***
107
3,108
2019Q3
1,078
633
317
124
7
246
187
46
***
***
291
55
123
85
35
29
797
337
246
94
314
216
57
72
129
***
***
107
3,092
2019Q4
1,055
623
317
***
***
216
161
44
***
***
296
57
130
91
34
28
790
334
241
95
285
195
52
75
122
***
***
130
3,029
2020Q1
1,059
632
317
***
***
216
163
44
***
***
303
56
129
97
34
27
828
333
237
99
295
206
47
78
132
***
***
127
3,078
2020Q2
1,029
620
312
***
***
209
158
40
***
***
300
58
134
97
28
27
811
340
244
99
300
215
44
74
124
***
***
130
3,047
2020Q3
1,030
618
315
***
***
213
163
41
***
***
297
57
138
94
26
26
807
345
246
101
306
223
43
72
121
***
***
126
3,065
May 5, 2021
VII
A
Analytics Office
Information Reported by Large Hedge
Fund Advisers
Economic Leverage
Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
12.5
10.0
7.5
5.0
2.5
0.0
15.0
12.5
10.0
7.5
5.0
2.5
0.0
20
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-09
Ratio of GNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
15.0
20
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-09
Ratio of GNE to NAV
Winsorized (limits=[0%,98%])
As reported on Form PF, Questions 3(a) and 26.
(a) Gross Exposure with Interest Rate Derivatives (IRDs)
28
(b) Gross Exposure without IRDs
6
4
2
0
(c) Short Exposure with IRDs
29
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-09
(a) Long Exposure with IRDs
19
8
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-09
18
0
20
2
20
4
-12
6
Ratio of LNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
8
18
10
Ratio of SNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-09
18
20
Ratio of LNE to NAV
Winsorized (limits=[0%,98%])
10
20
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-09
19
20
-12
18
20
Ratio of SNE to NAV
Winsorized (limits=[0%,98%])
May 5, 2021
Analytics Office
Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and
Short Notional Exposure (SNE) to Net Asset Value Distribution
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
As reported on Form PF, Questions 3(a) and 26.
10
8
6
4
2
0
(b) Long Exposure without IRDs
10
8
6
4
2
0
(d) Short Exposure without IRDs
May 5, 2021
B
Analytics Office
Industry Concentration
Table 35: Large Hedge Fund Adviser Asset and Exposure Concentration
(Percent of Total Reported)
As reported on Form PF, Questions 3(a) and 26.
Month
2018-10
2018-11
2018-12
2019-01
2019-02
2019-03
2019-04
2019-05
2019-06
2019-07
2019-08
2019-09
2019-10
2019-11
2019-12
2020-01
2020-02
2020-03
2020-04
2020-05
2020-06
2020-07
2020-08
2020-09
Top 10 Advisers (NAV)
19.2
19.2
19.2
19.0
18.9
18.9
18.9
18.9
18.9
19.3
19.3
19.4
19.5
19.5
19.5
19.1
19.1
19.1
18.3
18.3
18.3
18.4
18.4
18.5
Top 20 Advisers (NAV)
28.7
28.7
28.7
28.5
28.5
28.5
28.5
28.5
28.5
28.8
28.8
28.9
29.3
29.3
29.3
29.6
29.6
29.6
29.0
29.0
29.0
29.1
29.1
29.3
30
Top 10 Advisers (GNE)
35.4
36.4
36.9
37.4
36.9
36.8
37.7
37.4
36.3
36.7
36.7
37.3
37.6
37.3
36.9
37.9
38.6
40.9
40.6
40.4
39.7
42.0
40.5
40.2
Top 20 Advisers (GNE)
51.9
52.4
52.1
53.2
53.0
53.0
54.1
54.1
52.6
53.7
53.9
54.0
54.0
54.0
53.5
55.2
55.8
56.5
56.6
56.0
55.5
57.1
56.5
55.9
May 5, 2021
Portfolio Turnover
Table 36: Aggregate Portfolio Turnover ($ Billions)
As reported on Form PF, Question 27.
Month
2018-10
2018-11
2018-12
2019-01
2019-02
2019-03
2019-04
2019-05
2019-06
2019-07
2019-08
2019-09
2019-10
2019-11
2019-12
2020-01
2020-02
2020-03
2020-04
2020-05
2020-06
2020-07
2020-08
2020-09
Futures
11,765
13,470
12,715
9,675
11,269
14,103
9,917
18,308
16,336
10,905
15,848
15,763
12,752
14,105
13,352
13,069
19,150
25,073
9,351
12,203
12,862
7,968
10,052
11,043
Sov. and muni. bonds
3,180
3,214
2,911
3,783
4,095
3,779
3,425
3,834
3,866
3,490
4,384
3,941
3,679
3,877
3,367
3,799
4,625
6,465
4,464
4,189
4,038
3,345
3,829
3,738
Listed equities
3,018
2,576
2,189
2,353
2,048
2,295
2,263
2,528
2,188
2,278
2,400
2,226
2,566
2,280
2,302
2,719
2,916
4,071
2,658
2,677
3,201
2,928
2,552
2,866
Corporate bonds
129
112
72
159
135
143
127
134
134
136
116
144
152
134
95
176
167
230
226
211
220
164
165
207
Convertible bonds
23
20
13
23
22
27
18
22
25
21
26
34
19
27
21
36
31
36
39
44
51
40
39
38
Total
18,115
19,393
17,901
15,993
17,569
20,347
15,749
24,826
22,549
16,830
22,774
22,108
19,168
20,422
19,137
19,798
26,890
35,875
16,738
19,324
20,372
14,444
16,638
17,891
Figure 9: Distributions of Portfolio Turnover
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
Ratio of Turnover to NAV
Winsorized (limits=[1%,99%])
As reported on Form PF, Questions 3(a) and 27.
80
60
40
20
20
10
0
20
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-09
0
30
20
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-09
Total Turnover ($Billions)
Winsorized (limits=[1%,99%])
C
Analytics Office
(a) Total Turnover
(b) Total Turnover to NAV Ratio
31
May 5, 2021
D
Analytics Office
Region and Country Exposure
Table 37: Large Hedge Fund Adviser Hedge Fund
Region Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.
Region
North America
Europe EEA
Asia
Europe Other
South America
Africa
Middle East
Supranational
2018Q4
5,007
1,822
787
70
111
29
27
66
2019Q1
5,323
1,804
844
78
115
31
25
48
2019Q2
5,522
1,765
840
82
119
33
28
38
2019Q3
5,368
1,737
734
82
101
29
26
69
2019Q4
5,410
1,619
770
85
122
33
29
54
2020Q1
4,940
1,443
658
93
87
30
40
42
2020Q2
4,943
1,419
674
94
86
37
28
54
2020Q3
5,422
1,639
815
126
98
40
35
35
Table 38: Large Hedge Fund Adviser Hedge Fund
Region Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.
Region
North America
Europe EEA
Asia
Europe Other
South America
Africa
Middle East
Supranational
2018Q4
153.0
55.7
24.0
2.1
3.4
0.9
0.8
2.0
2019Q1
154.2
52.3
24.5
2.3
3.3
0.9
0.7
1.4
2019Q2
156.4
50.0
23.8
2.3
3.4
0.9
0.8
1.1
2019Q3
155.0
50.1
21.2
2.4
2.9
0.8
0.8
2.0
32
2019Q4
151.8
45.5
21.6
2.4
3.4
0.9
0.8
1.5
2020Q1
151.8
44.4
20.2
2.8
2.7
0.9
1.2
1.3
2020Q2
138.8
39.9
18.9
2.6
2.4
1.0
0.8
1.5
2020Q3
143.4
43.3
21.6
3.3
2.6
1.1
0.9
0.9
May 5, 2021
Analytics Office
Table 39: Large Hedge Fund Adviser Hedge Fund
Country Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.
Country
United States
China (Inc. Hong Kong)
Japan
Brazil
India
Russia
2018Q4
4,783
147
274
40
35
9
2019Q1
5,201
187
265
43
36
9
2019Q2
5,233
186
239
46
32
11
2019Q3
5,165
176
287
40
34
11
2019Q4
5,074
199
264
50
37
15
2020Q1
4,716
181
221
32
29
15
2020Q2
4,721
221
191
33
30
17
2020Q3
5,159
271
214
36
32
17
2020Q2
132.6
6.2
5.4
0.9
0.8
0.5
2020Q3
136.4
7.2
5.7
1.0
0.9
0.4
Table 40: Large Hedge Fund Adviser Hedge Fund
Country Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.
Country
United States
China (Inc. Hong Kong)
Japan
Brazil
India
Russia
2018Q4
146.2
4.5
8.4
1.2
1.1
0.3
2019Q1
150.7
5.4
7.7
1.2
1.0
0.3
2019Q2
148.3
5.3
6.8
1.3
0.9
0.3
33
2019Q3
149.1
5.1
8.3
1.2
1.0
0.3
2019Q4
142.4
5.6
7.4
1.4
1.0
0.4
2020Q1
144.9
5.6
6.8
1.0
0.9
0.5
May 5, 2021
VIII
Qualifying Hedge Fund Specific Information
Economic Leverage
Figure 10: Ratio of Qualifying Hedge Fund Gross Notional Exposure to Net Asset Value
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
7.5
5.0
2.5
7.5
5.0
2.5
0.0
20
20
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-09
0.0
10.0
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-09
10.0
12.5
18
12.5
Ratio of GNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
As reported on Form PF, Questions 9, 10, 26, and 30.
Ratio of GNE to NAV
Winsorized (limits=[0%,98%])
A
Analytics Office
(a) Including IRDs
(b) Excluding IRDs
34
(a) LNE Including IRDs
(c) SNE Including IRDs
35
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-09
0
19
2
20
4
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-09
18
20
0
-12
2
Ratio of LNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
4
18
6
Ratio of SNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-09
20
Ratio of LNE to NAV
Winsorized (limits=[0%,98%])
6
20
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-09
19
20
-12
18
20
Ratio of SNE to NAV
Winsorized (limits=[0%,98%])
May 5, 2021
Analytics Office
Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and
Short Notional Exposure (SNE) to Net Asset Value
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
As reported on Form PF, Questions 9, 10, 26, and 30.
6
4
2
0
(b) LNE Excluding IRDs
6
4
2
0
(d) SNE Excluding IRDs
May 5, 2021
B
Analytics Office
Gross Exposure by Strategy5
Table 41: Exposures of Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Other
Relative Value
Macro
Credit
Event Driven
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Conv. Arb.
F.I. Corp.
Volatility Arb.
Subtotal
Global Macro
Currency
Commodity
Active Trading
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Risk Arb./Merger Arb.
Equity
Subtotal
Quantitative
Fundamental
Subtotal
Total
2018Q4
1,477
762
348
360
7
1,013
879
599
145
55
59
21
716
627
47
37
4
321
256
65
304
164
64
76
150
***
***
44
4,904
2019Q1
1,616
841
384
386
5
1,038
963
686
130
60
67
19
782
695
46
37
4
325
258
66
313
169
64
80
172
***
***
43
5,251
2019Q2
1,644
867
392
380
5
1,088
1,054
774
134
59
69
18
753
666
***
38
***
314
246
68
337
165
86
86
191
***
***
41
5,422
2019Q3
1,622
833
404
381
4
1,098
1,021
723
159
57
64
19
708
629
***
34
***
305
234
71
308
160
71
78
191
***
***
48
5,301
2019Q4
1,723
880
443
397
3
1,134
1,030
714
177
60
61
18
666
579
44
39
5
315
233
82
311
163
69
79
193
***
***
48
5,420
2020Q1
1,379
713
373
***
***
1,106
1,106
836
129
55
53
32
644
577
36
28
4
327
240
87
271
140
65
65
159
158
1
50
5,041
2020Q2
1,641
867
443
329
1
1,126
983
700
116
80
62
26
641
572
***
25
***
358
265
93
281
159
59
64
126
***
***
42
5,198
2020Q3
1,757
957
485
***
***
1,128
1,023
689
135
101
72
26
797
725
40
28
4
370
272
98
307
162
74
71
149
145
4
43
5,574
5
Form PF Question 20 requires advisers to indicate which strategies best describe the reporting fund’s strategies
including a good faith estimate of the reporting fund’s allocation among strategies, and provides a list of investment
strategies for this purpose. Form PF does not define the investment strategies listed by Question 20.
36
May 5, 2021
Analytics Office
Table 42: Exposures of Hedge Funds (Percent of NAV)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Other
Relative Value
Macro
Credit
Event Driven
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Conv. Arb.
F.I. Corp.
Volatility Arb.
Subtotal
Global Macro
Currency
Commodity
Active Trading
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Risk Arb./Merger Arb.
Equity
Subtotal
Quantitative
Fundamental
Subtotal
Total
2018Q4
49.8
25.7
11.7
12.1
0.2
34.1
29.6
20.2
4.9
1.9
2.0
0.7
24.1
21.1
1.6
1.3
0.1
10.8
8.6
2.2
10.2
5.5
2.1
2.6
5.0
***
***
1.5
165.2
2019Q1
51.7
26.9
12.3
12.4
0.2
33.2
30.8
22.0
4.2
1.9
2.2
0.6
25.0
22.2
1.5
1.2
0.1
10.4
8.3
2.1
10.0
5.4
2.0
2.6
5.5
***
***
1.4
167.9
37
2019Q2
51.7
27.3
12.3
12.0
0.1
34.2
33.1
24.3
4.2
1.9
2.2
0.6
23.7
20.9
***
1.2
***
9.9
7.7
2.1
10.6
5.2
2.7
2.7
6.0
***
***
1.3
170.5
2019Q3
50.9
26.1
12.7
11.9
0.1
34.4
32.0
22.7
5.0
1.8
2.0
0.6
22.2
19.7
***
1.1
***
9.6
7.3
2.2
9.7
5.0
2.2
2.5
6.0
***
***
1.5
166.2
2019Q4
53.2
27.2
13.7
12.3
0.1
35.0
31.8
22.0
5.5
1.8
1.9
0.6
20.6
17.9
1.3
1.2
0.2
9.7
7.2
2.5
9.6
5.0
2.1
2.5
5.9
***
***
1.5
167.4
2020Q1
47.3
24.5
12.8
***
***
37.9
37.9
28.7
4.4
1.9
1.8
1.1
22.1
19.8
1.2
1.0
0.1
11.2
8.2
3.0
9.3
4.8
2.2
2.2
5.5
5.4
0.1
1.7
172.8
2020Q2
51.0
27.0
13.8
10.2
0.0
35.0
30.6
21.8
3.6
2.5
1.9
0.8
19.9
17.8
***
0.8
***
11.1
8.2
2.9
8.7
4.9
1.8
2.0
3.9
***
***
1.3
161.7
2020Q3
51.7
28.1
14.3
***
***
33.2
30.1
20.3
4.0
3.0
2.1
0.8
23.4
21.3
1.2
0.8
0.1
10.9
8.0
2.9
9.0
4.8
2.2
2.1
4.4
4.3
0.1
1.3
163.9
May 5, 2021
C
Analytics Office
Leverage by Strategy
Table 43: Asset Weighted-Average Ratio of GAV to NAV
by Strategy
As reported on Form PF, Questions 8, 9, 10, and 20.
Strategy
Relative Value
Macro
Multi-Strategy
Equity
Credit
Other
Managed Futures/CTA
Event Driven
Investment in other funds
2018Q4
5.4
3.9
2.3
1.7
1.6
1.7
1.3
1.3
4.8
2019Q1
5.4
4.2
2.3
1.7
1.6
1.7
1.4
1.3
4.5
2019Q2
6.0
4.5
2.5
1.6
1.5
1.8
1.4
1.3
1.2
2019Q3
5.7
4.2
1.9
1.6
1.5
1.6
1.5
1.3
3.9
2019Q4
5.6
4.3
2.3
1.6
1.6
1.7
1.4
1.3
1.2
2020Q1
6.3
4.4
2.3
1.5
1.7
1.7
1.4
1.4
1.2
2020Q2
5.0
3.7
2.0
1.6
1.6
1.6
1.4
1.4
1.3
2020Q3
4.8
4.6
2.5
1.6
1.5
1.5
1.5
1.3
1.3
Table 44: Asset Weighted-Average Ratio of GNE to NAV
by Strategy
As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month).
Strategy
Macro
Managed Futures/CTA
Relative Value
Multi-Strategy
Other
Equity
Credit
Investment in other funds
Event Driven
2018Q4
24.6
9.7
21.4
8.7
4.5
3.5
3.3
14.8
1.8
2019Q1
28.0
17.9
22.4
9.1
4.4
3.6
3.2
12.0
1.8
2019Q2
29.1
19.9
24.0
9.8
4.7
3.3
2.6
2.4
2.0
2019Q3
25.7
19.8
23.0
10.1
4.3
3.3
2.4
10.3
1.9
2019Q4
27.6
18.5
24.2
11.5
4.3
3.1
2.8
1.9
1.9
2020Q1
26.7
14.6
25.5
10.3
4.6
2.7
3.1
1.8
1.9
2020Q2
20.2
17.4
22.5
9.4
4.1
3.0
2.8
2.0
1.8
2020Q3
32.5
20.9
19.6
10.3
3.4
3.0
2.8
2.0
1.8
Table 45: Asset Weighted-Average Percent of Unencumbered Cash
by Strategy
As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month).
Strategy
Managed Futures/CTA
Macro
Multi-Strategy
Relative Value
Other
Equity
Event Driven
Credit
Investment in other funds
2018Q4
57.4
38.3
29.7
20.1
18.1
13.5
12.2
8.3
12.8
2019Q1
49.9
36.5
23.0
19.8
18.2
10.6
9.9
7.3
14.5
2019Q2
48.5
38.8
25.7
18.6
18.6
9.6
7.2
6.8
5.8
38
2019Q3
45.2
37.6
22.3
22.5
16.9
10.7
10.0
7.1
13.0
2019Q4
43.4
39.7
22.7
22.6
14.9
9.3
10.4
7.7
6.6
2020Q1
58.6
43.2
25.0
26.3
16.2
15.2
12.3
8.3
4.7
2020Q2
46.1
40.1
28.5
24.0
16.2
10.5
10.0
7.4
5.1
2020Q3
47.7
38.2
30.1
26.2
13.4
8.3
8.0
7.9
6.0
May 5, 2021
D
Analytics Office
Investment Exposures
Table 46: Aggregate Qualifying Hedge Fund Gross Notional Exposure
by Asset Type ($ Billions)
As reported on Form PF, Questions 26 and 30.
Interest Rate Derivatives
Foreign Exchange Derivatives
Non-Financial Listed Equities
Repurchase Agreements
U.S. Treasury Securities
Non-Financial Equity Derivatives
Sovereign Bonds - Non-U.S. G10
Credit Derivatives
Cash/Cash Equivalents - Other
Sovereign Bonds - Other
Commodity Derivatives
Non-Financial Unlisted Equities
MBS
Non-Financial Corporate Bonds
Financial Listed Equities
Other Derivatives
Leveraged Loans
Cash/Cash Equivalents - Deposits
Non-U.S. Currency Holdings
Cash/Cash Equivalents - MMFs
Non-Financial Convertible Bonds
Other Private Funds
Other Loans (Excluding Repo)
Physical Real Estate
Financial Equity Derivatives
Other
Financial Corporate Bonds
Other ABS/Structured Products
U.S. Agency and GSE Securities
CDO/CLO
Financial Unlisted Equities
Registered Investment Companies
U.S. State and Local Bonds
Financial Convertible Bonds
Physical Commodities
2018Q4
5,355
2,278
1,813
1,771
1,793
998
1,270
730
396
224
286
215
358
211
254
319
133
179
146
187
76
110
98
99
112
124
55
50
65
38
19
29
24
9
3
2019Q1
6,600
2,413
2,049
1,995
1,931
1,110
1,312
770
448
255
316
233
309
238
277
263
144
182
180
155
77
119
106
90
98
122
63
51
48
42
21
31
22
10
3
2019Q2
6,755
2,501
2,115
1,939
2,189
1,178
1,276
721
457
280
309
232
234
238
282
274
152
195
182
154
79
125
107
97
94
120
64
52
42
44
21
29
21
11
10
39
2019Q3
6,088
3,127
2,010
1,891
2,124
1,324
1,130
687
460
275
312
236
276
226
275
220
157
202
188
161
86
121
99
107
99
111
70
51
45
43
26
27
20
10
3
2019Q4
5,736
2,941
2,141
1,922
2,192
1,452
1,194
659
464
291
345
269
308
223
295
411
166
205
202
171
90
123
107
106
107
96
67
56
43
42
24
14
20
10
3
2020Q1
5,625
3,187
1,551
2,010
1,957
1,137
928
536
491
235
227
238
219
203
196
236
168
212
172
209
86
113
100
102
83
103
64
45
36
31
22
12
20
8
3
2020Q2
5,287
2,836
1,945
1,800
1,768
1,132
962
488
409
275
266
255
246
246
237
204
181
190
215
186
117
115
109
99
90
100
67
48
35
35
22
23
20
9
4
2020Q3
6,390
3,164
2,142
2,069
1,740
1,168
1,155
534
389
348
309
288
254
246
244
235
198
190
180
170
140
123
117
100
88
85
69
51
39
35
24
20
19
8
5
May 5, 2021
Analytics Office
Table 47: Percent of Qualifying Hedge Fund Gross Notional Exposure
Representing Long Notional Exposure
As reported on Form PF, Questions 26 and 30.
Interest Rate Derivatives
Foreign Exchange Derivatives
Non-Financial Listed Equities
Repurchase Agreements
U.S. Treasury Securities
Non-Financial Equity Derivatives
Sovereign Bonds - Non-U.S. G10
Credit Derivatives
Cash/Cash Equivalents - Other
Sovereign Bonds - Other
Commodity Derivatives
Non-Financial Unlisted Equities
MBS
Non-Financial Corporate Bonds
Financial Listed Equities
Other Derivatives
Leveraged Loans
Cash/Cash Equivalents - Deposits
Non-U.S. Currency Holdings
Cash/Cash Equivalents - MMFs
Non-Financial Convertible Bonds
Other Private Funds
Other Loans (Excluding Repo)
Physical Real Estate
Financial Equity Derivatives
Other
Financial Corporate Bonds
Other ABS/Structured Products
U.S. Agency and GSE Securities
CDO/CLO
Financial Unlisted Equities
Registered Investment Companies
U.S. State and Local Bonds
Financial Convertible Bonds
Physical Commodities
2018Q4
50.9
54.6
67.8
42.2
64.2
49.5
51.4
41.4
78.7
73.5
56.5
99.8
67.6
80.2
68.9
60.9
99.3
76.0
60.6
***
85.2
99.9
89.9
***
65.2
94.6
90.7
96.0
66.6
***
99.8
96.5
***
96.4
***
2019Q1
52.2
55.1
67.3
39.6
63.2
53.0
51.9
43.1
78.9
73.8
58.3
99.8
70.2
80.8
69.1
67.8
99.3
75.6
55.2
***
94.0
100.0
90.7
***
51.8
94.5
91.2
96.3
74.1
***
99.8
96.6
99.4
96.1
97.8
2019Q2
51.6
54.7
67.6
37.1
60.0
54.3
52.3
42.1
78.9
77.1
59.4
99.8
82.4
81.0
69.8
63.5
99.2
69.4
56.2
***
93.7
99.8
89.7
***
57.3
92.2
90.5
95.9
82.5
***
99.8
97.9
99.3
95.7
99.0
40
2019Q3
49.8
59.4
67.7
35.2
61.2
54.4
55.1
45.0
80.7
78.1
59.0
99.8
82.6
81.1
68.8
56.1
99.5
64.1
58.1
***
92.6
99.5
89.5
***
55.4
96.1
91.6
97.5
79.9
***
99.6
98.2
***
96.0
97.7
2019Q4
47.8
58.3
68.7
36.1
60.6
57.7
54.3
49.6
80.4
75.7
64.2
99.9
81.5
82.1
68.5
42.1
99.5
61.0
52.6
98.9
94.5
99.8
90.4
***
55.3
96.3
92.0
93.9
75.4
***
99.4
97.5
99.5
95.8
***
2020Q1
48.0
57.7
69.8
37.2
61.1
50.9
54.4
43.5
77.5
77.3
60.8
99.9
85.9
86.8
69.7
42.3
99.5
73.9
56.2
***
93.5
99.8
88.2
***
54.6
94.3
92.7
94.7
87.8
***
99.8
96.6
99.1
96.7
99.1
2020Q2
44.5
60.3
69.0
38.3
61.4
50.6
52.3
41.9
79.4
77.9
63.3
99.8
84.1
86.3
69.4
49.8
98.2
70.9
51.5
***
99.2
99.7
90.9
***
54.9
94.4
91.5
94.6
86.7
***
99.8
92.8
***
96.8
***
2020Q3
52.4
58.4
69.7
38.1
62.2
51.2
51.9
42.5
78.4
75.5
67.1
99.1
82.4
85.2
70.2
65.5
99.4
72.3
49.0
***
98.7
99.7
91.0
***
55.1
95.0
91.5
92.4
85.0
***
99.9
97.3
98.6
97.1
***
May 5, 2021
Number of Positions
Figure 12: Number of Positions Reported by Qualifying Hedge Funds
As reported on Form PF, Question 34.
2000
1500
1000
500
-1
20 2
20
-0
20 3
20
-0
20 6
20
-09
20
19
-09
20
19
-06
20
19
-03
19
20
18
-12
0
20
Number of Positions
E
Analytics Office
41
May 5, 2021
Liquidity
Table 48: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 50.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2018Q4
8.4
14.8
27.8
50.2
58.4
71.8
2019Q1
8.5
14.5
29.2
47.9
58.5
70.8
2019Q2
8.1
14.0
27.3
46.4
57.4
70.2
2019Q3
7.6
13.8
27.0
47.0
58.5
69.7
2019Q4
7.7
13.1
26.5
46.3
56.9
68.9
2020Q1
7.8
12.9
25.8
44.5
55.4
67.6
2020Q2
7.6
13.1
24.7
42.9
53.5
66.9
2020Q3
7.7
13.2
24.6
42.8
54.7
66.1
Table 49: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 26, 30, and 32.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2018Q4
39.3
61.2
73.7
79.4
83.0
86.8
2019Q1
37.0
60.2
73.0
79.0
82.7
86.7
2019Q2
36.3
59.9
72.5
78.6
82.3
86.5
2019Q3
35.9
58.7
71.4
77.8
81.7
86.0
2019Q4
34.8
57.0
70.1
76.4
80.3
85.2
2020Q1
39.5
59.6
70.6
75.9
79.5
83.8
2020Q2
37.9
59.0
70.4
76.4
80.5
84.7
Figure 13: Asset Weighted-Average Qualifying Hedge Fund
Investor and Portfolio Liquidity
As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of Third Calendar Quarter 2020.
60
40
20
ays
mo
st
36
5d
ays
At
18
mo
st
At
mo
At
42
0d
ays
0d
mo
At
st 3
0d
day
st 7
mo
st 9
s
ays
0
At
st 1
mo
Investor Liquidity
80
day
Percent of Fund Net Assets (%)
Portfolio Liquidity
At
F
Analytics Office
2020Q3
35.5
56.9
69.7
75.9
80.1
84.6
May 5, 2021
Analytics Office
Table 50: Restrictions on Qualifying Hedge Fund Assets ($ Billions)
As reported on Form PF, Questions 48 and 49.
2018Q4
2,266
1,402
42
40
19
2019Q1
2,396
1,488
42
39
17
2019Q2
2,441
1,519
42
40
16
2019Q3
2,427
1,494
45
42
18
2019Q4
2,430
1,553
47
42
15
2020Q1
2,162
1,386
47
47
22
2020Q2
2,375
1,521
54
56
18
Figure 14: Percentage of Qualifying Hedge Fund NAV
Subject to a Side-Pocket Arrangement
See Appendix C for an explanation of boxplots.
NAV in Side-Pocket (%)
As reported on Form PF, Questions 9 and 48.
40
30
20
10
18
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q3
0
20
Type
May Suspend
May Have Gates
Side-Pocketed
Gated
Suspended
43
2020Q3
2,500
1,608
61
50
15
May 5, 2021
G
Analytics Office
Borrowings
Table 51: Borrowings of Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Question 43 (Third Month).
Type
Secured
Unsecured
Total
Subtype
Subtotal
Prime Broker
Reverse Repo
Other Secured
Subtotal
Total
2018Q4
2,757
1,289
1,081
387
12
2,769
2019Q1
3,016
1,412
1,202
401
13
3,028
2019Q2
3,158
1,438
1,291
429
15
3,173
2019Q3
3,089
1,358
1,330
401
16
3,104
2019Q4
3,163
1,410
1,302
450
18
3,180
2020Q1
2,880
1,067
1,375
438
19
2,899
2020Q2
2,886
1,302
1,169
415
13
2,899
2020Q3
3,194
1,415
1,332
447
12
3,205
Table 52: Aggregate Borrowing by Creditor Entity Type (Percent)
As reported on Form PF, Question 43 (Third Month).
Creditor Type
US Financial
Non-US Financial
US Non-Financial
Non-US Non-Financial
2018Q4
63.0
36.5
***
***
2019Q1
63.1
36.5
***
***
2019Q2
63.5
35.9
***
***
2019Q3
63.6
35.9
***
***
2019Q4
63.0
36.4
***
***
2020Q1
61.2
38.1
0.6
0.1
2020Q2
63.4
36.0
***
***
2020Q3
61.0
38.3
0.6
0.1
Table 53: Aggregate Collateral for Secured Borrowings
of Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Question 43 (Third Month).
Borrowing Type
Prime Broker
Reverse Repo
Other Secured
Total
Collateral Type
Subtotal
Other
Cash
Subtotal
Other
Cash
Subtotal
Other
Cash
Total
2018Q4
1,597
1,067
530
1,121
702
420
443
278
165
3,162
2019Q1
1,723
1,158
565
1,250
766
484
456
297
160
3,429
2019Q2
1,806
1,222
584
1,355
804
550
494
324
169
3,654
44
2019Q3
1,706
1,157
549
1,371
836
535
482
339
143
3,559
2019Q4
1,771
1,222
549
1,305
800
506
498
344
154
3,574
2020Q1
1,411
956
455
1,465
875
590
510
351
159
3,386
2020Q2
1,716
1,183
533
1,193
771
422
486
344
142
3,395
2020Q3
1,861
1,293
568
1,346
907
439
513
379
134
3,720
6
4
2
0
20
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-09
8
Collateral/Reverse Repo Borrowing
Winsorized (limits=[0%,98%])
20
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-09
Collateral/Prime Broker Borrowing
Winsorized (limits=[0%,98%])
20
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-09
Collateral/Total Secured Borrowing
Winsorized (limits=[0%,98%])
May 5, 2021
Analytics Office
Figure 15: Ratio of Collateral Posted to Secured Borrowing
for Qualifying Hedge Funds
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
As reported on Form PF, Question 43.
8
6
4
2
0
(a) Total Secured Borrowing
(b) Prime Broker Borrowing
45
8
6
4
2
0
(c) Reverse Repo Borrowing
May 5, 2021
Analytics Office
Table 54: Financing Liquidity for Qualifying Hedge Funds
(Percent of Available Financing)
As reported on Form PF, Question 46.
Financing Available
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2018Q4
30.0
50.2
68.6
82.8
95.7
96.8
2019Q1
34.7
51.4
68.6
82.7
95.7
96.7
2019Q2
34.5
51.0
68.0
83.5
95.4
96.5
2019Q3
39.7
54.1
68.9
82.7
95.1
96.2
2019Q4
29.1
47.9
67.4
82.8
94.9
96.0
2020Q1
37.1
50.5
70.0
83.9
94.3
95.3
2020Q2
39.2
50.7
66.7
81.2
94.5
95.9
Figure 16: Weighted-Average Qualifying Hedge Fund
Financing Liquidity (Percent of Available Financing)
Financing Liquidity
100
80
60
40
20
s
mo
At
st 3
65
day
s
mo
st 1
80
day
ays
46
At
0d
mo
At
st 9
mo
At
st 3
0d
day
s
st 7
mo
At
mo
st 1
At
ays
0
day
Percent of Available Financing (%)
As reported on Form PF, Question 46 as of Third Calendar Quarter 2020.
2020Q3
39.0
51.1
67.5
80.9
94.7
96.0
May 5, 2021
Central Clearing
Figure 17: Qualifying Hedge Funds Using Central Clearing
As reported on Form PF, Question 39.
Percent of Funds
20
Percent of NAV
15
10
5
47
Q3
20
20
Q2
20
20
Q1
20
20
Q4
19
20
Q3
19
20
Q2
19
20
Q1
19
20
18
Q4
0
20
H
Analytics Office
May 5, 2021
I
Analytics Office
Value-at-Risk (“VaR”) Reporting
Table 55: Number of Qualifying Hedge Funds Using VaR
As reported on Form PF, Question 40.
VaR Method
VaR (Any Method)
Historical Simulation
Parametric
Monte Carlo Simulation
Other
VaR Not Used
2018Q4
684
303
189
186
49
1,143
2019Q1
676
297
191
183
45
1,118
2019Q2
665
305
189
165
46
1,119
2019Q3
668
314
183
167
45
1,135
2019Q4
673
317
182
174
43
1,148
2020Q1
669
311
178
176
48
1,156
2020Q2
665
311
181
169
46
1,149
2020Q3
628
285
175
167
43
1,152
Table 56: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions)
As reported on Form PF, Questions 8 and 40.
VaR Method
VaR (Any Method)
Historical Simulation
Parametric
Monte Carlo Simulation
Other
VaR Not Used
2018Q4
3,652
1,954
801
617
742
2,502
2019Q1
3,887
2,104
817
683
833
2,592
2019Q2
4,021
2,212
831
700
851
2,714
2019Q3
3,914
2,071
829
709
868
2,741
2019Q4
3,938
2,062
797
736
913
2,775
2020Q1
3,784
1,955
739
704
868
2,538
2020Q2
3,685
1,838
742
804
807
2,719
2020Q3
3,918
1,979
769
836
845
2,906
Table 57: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions)
As reported on Form PF, Questions 9 and 40.
VaR Method
VaR (Any Method)
Historical Simulation
Parametric
Monte Carlo Simulation
Other
VaR Not Used
2018Q4
1,324
524
460
337
114
1,643
2019Q1
1,385
547
475
345
128
1,742
2019Q2
1,393
561
482
332
131
1,787
48
2019Q3
1,382
563
461
334
135
1,807
2019Q4
1,378
560
452
351
121
1,861
2020Q1
1,232
507
382
318
131
1,685
2020Q2
1,334
548
422
341
140
1,881
2020Q3
1,374
564
434
351
147
2,027
May 5, 2021
J
Analytics Office
Stress Testing and VaR
Table 58: Number of Qualifying Hedge Funds Managed Using
VaR or Market Factor Change Testing (“Stress Testing”)
As reported on Form PF, Questions 40 and 42.
Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither
2018Q4
606
486
78
657
2019Q1
588
453
88
665
2019Q2
587
463
78
656
2019Q3
599
459
69
676
2019Q4
596
448
77
700
2020Q1
600
428
69
728
2020Q2
598
433
67
716
2020Q3
568
430
60
722
Table 59: Aggregate Qualifying Hedge Fund GAV Managed
Using VaR or Stress Testing ($ Billions)
As reported on Form PF, Questions 8, 40, and 42.
Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither
2018Q4
3,496
1,322
155
1,180
2019Q1
3,684
1,322
203
1,270
2019Q2
3,798
1,380
223
1,334
2019Q3
3,733
1,330
181
1,412
2019Q4
3,750
1,299
188
1,476
2020Q1
3,594
1,148
190
1,390
2020Q2
3,332
1,237
353
1,482
2020Q3
3,692
1,302
226
1,604
Table 60: Aggregate Qualifying Hedge Fund NAV Managed
Using VaR or Stress Testing ($ Billions)
As reported on Form PF, Questions 9, 40, and 42.
Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither
2018Q4
1,222
704
103
939
2019Q1
1,255
728
129
1,014
2019Q2
1,254
740
139
1,048
2019Q3
1,268
740
114
1,068
49
2019Q4
1,254
741
124
1,120
2020Q1
1,122
651
111
1,034
2020Q2
1,194
732
140
1,149
2020Q3
1,243
781
130
1,246
May 5, 2021
K
Analytics Office
Stress Testing
Table 61: Number of Qualifying Hedge Funds Stressing Each Market Factor
As reported on Form PF, Question 42.
Market Factor
Equity Prices
Currency Rates
Risk Free Rates
Credit Spreads
Implied Volatilities
Commodity Prices
Bond Default Rates
ABS Default Rates
2018Q4
933
789
779
700
575
523
295
243
2019Q1
888
753
756
667
557
506
273
236
2019Q2
888
761
764
674
565
499
286
237
2019Q3
899
782
769
682
582
507
285
243
2019Q4
881
776
753
664
555
484
266
225
2020Q1
866
765
741
653
535
461
256
205
2020Q2
862
762
749
652
535
476
266
218
2020Q3
836
730
717
630
518
459
258
214
Table 62: Aggregate GAV of Qualifying Hedge Funds
Stressing Each Market Factor ($ Billions)
As reported on Form PF, Questions 8 and 42.
Market Factor
Equity Prices
Currency Rates
Risk Free Rates
Credit Spreads
Implied Volatilities
Commodity Prices
Bond Default Rates
ABS Default Rates
2018Q4
4,164
3,850
4,180
3,497
3,394
3,266
1,006
840
2019Q1
4,332
4,012
4,361
3,608
3,540
3,368
1,063
898
2019Q2
4,457
4,121
4,508
3,712
3,690
3,429
1,144
997
2019Q3
4,373
4,010
4,386
3,643
3,608
3,324
1,043
897
2019Q4
4,393
4,016
4,335
3,666
3,550
3,311
984
871
2020Q1
4,137
3,822
4,130
3,527
3,320
3,204
937
832
2020Q2
3,877
3,621
3,873
3,133
3,079
2,851
876
762
2020Q3
4,407
4,021
4,229
3,582
3,471
3,371
914
789
Table 63: Aggregate NAV of Qualifying Hedge Funds
Stressing Each Market Factor ($ Billions)
As reported on Form PF, Questions 9 and 42.
Market Factor
Equity Prices
Currency Rates
Risk Free Rates
Credit Spreads
Implied Volatilities
Commodity Prices
Bond Default Rates
ABS Default Rates
2018Q4
1,714
1,515
1,485
1,324
1,106
1,136
431
351
2019Q1
1,766
1,553
1,527
1,343
1,143
1,155
428
367
2019Q2
1,771
1,550
1,528
1,347
1,136
1,134
424
369
50
2019Q3
1,792
1,568
1,542
1,362
1,159
1,137
426
376
2019Q4
1,773
1,551
1,507
1,338
1,128
1,098
392
347
2020Q1
1,563
1,387
1,345
1,180
1,001
982
339
294
2020Q2
1,704
1,496
1,446
1,269
1,074
1,057
396
348
2020Q3
1,799
1,571
1,496
1,333
1,144
1,115
403
358
May 5, 2021
Analytics Office
Table 64: Number of Qualifying Hedge Funds Stressing Market Factors
As reported on Form PF, Question 42.
Factors Tested
0
1
2
3
4
5
6
7
8
2018Q4
735
185
129
118
93
123
211
77
156
2019Q1
753
170
119
122
86
119
202
73
150
2019Q2
734
179
115
115
90
122
207
68
154
2019Q3
745
179
117
100
101
121
208
77
155
2019Q4
777
181
118
95
105
131
206
73
135
2020Q1
797
182
115
94
107
124
217
74
115
2020Q2
783
183
112
107
100
119
204
75
131
2020Q3
782
183
110
98
100
108
196
75
128
Table 65: Aggregate GAV of Qualifying Hedge Funds
Stressing Market Factors ($ Billions)
As reported on Form PF, Questions 8 and 42.
Factors Tested
0
1
2
3
4
5
6
7
8
2018Q4
1,335
340
562
331
248
749
1,732
236
620
2019Q1
1,473
354
564
367
258
785
1,777
235
667
2019Q2
1,557
386
590
364
271
788
1,836
184
759
2019Q3
1,592
397
570
338
291
746
1,848
222
649
2019Q4
1,665
416
544
339
277
776
1,860
243
595
2020Q1
1,581
365
475
290
276
763
1,784
203
584
2020Q2
1,834
414
493
431
270
740
1,461
250
511
2020Q3
1,830
424
510
336
266
841
1,810
260
547
Table 66: Aggregate NAV of Qualifying Hedge Funds
Stressing Market Factors ($ Billions)
As reported on Form PF, Questions 9 and 42.
Factors Tested
0
1
2
3
4
5
6
7
8
2018Q4
1,042
231
212
175
147
256
544
139
222
2019Q1
1,143
241
211
207
143
268
545
134
234
2019Q2
1,186
259
206
196
152
274
562
109
235
2019Q3
1,181
260
205
187
167
265
561
127
235
51
2019Q4
1,244
269
212
189
162
271
567
122
202
2020Q1
1,144
240
191
170
145
237
503
119
168
2020Q2
1,288
267
214
199
142
254
509
123
218
2020Q3
1,376
278
230
208
148
266
546
126
222
May 5, 2021
IX
A
Analytics Office
Section 3 Liquidity Fund Specific Information
Liquidity
Table 67: Investor Liquidity For Section 3 Liquidity Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 64.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2018Q4
77.9
95.9
99.4
99.8
99.9
99.9
2019Q1
77.9
95.9
99.5
99.9
100.0
100.0
2019Q2
76.2
96.1
99.6
99.9
100.0
100.0
2019Q3
75.5
95.9
99.7
99.8
99.9
100.0
2019Q4
73.6
95.7
99.7
99.8
99.9
99.9
2020Q1
75.5
95.9
99.7
99.9
99.9
100.0
2020Q2
73.2
95.1
99.1
99.6
99.9
100.0
2020Q3
72.7
95.3
99.1
99.5
99.9
99.9
Table 68: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Question 63.
Type
May Suspend
May Have Gates
Suspended
Gated
2019Q1
273
237
0
0
2019Q2
276
241
0
0
2019Q3
277
245
0
0
2019Q4
273
241
0
0
2020Q1
274
239
0
0
2020Q2
280
251
0
0
2020Q3
302
273
0
0
Portfolio Characteristics
Figure 18: Weighted-Average Maturity Reported by Section 3 Liquidity Funds
As reported on Form PF, Question 55.
Average WAM
50
Asset-Weighted WAM
40
30
20
10
20
20
-09
20
20
-06
20
20
-03
19
20
-12
19
20
-09
19
20
-06
19
20
-03
18
-12
0
20
Weighted Average Maturity (WAM) in Days
B
2018Q4
278
243
0
0
52
May 5, 2021
Analytics Office
Figure 19: Weighted-Average Life Reported by Section 3 Liquidity Funds
As reported on Form PF, Question 55.
Asset-Weighted WAL
80
60
40
20
-09
20
20
-06
20
20
-03
20
20
-12
20
19
-09
20
19
-06
20
19
20
19
20
18
-03
0
-12
Weighted Average Life (WAL) in Days
Average WAL
Figure 20: Seven-Day Gross Yield Reported by Section 3 Liquidity Funds
As reported on Form PF, Question 55.
Average Yield
Asset-Weighted Yield
2.5
2.0
1.5
1.0
0.5
53
9
0-0
20
2
6
0-0
20
2
3
0-0
20
2
2
20
1
9-1
9
9-0
20
1
6
9-0
20
1
3
9-0
20
1
8-1
2
0.0
20
1
Seven-Day Gross Yield (%)
3.0
May 5, 2021
Analytics Office
Figure 21: Ratio of Daily Liquid Assets to Net Asset Value of Section 3 Liquidity Funds
Average DLA
100
Asset-Weighted DLA
80
60
40
20
-09
20
20
-06
20
20
-03
20
20
-12
20
19
-09
20
19
-06
20
19
20
19
20
18
-03
0
-12
Ratio of Daily Liquid Assets (DLA)
to Net Asset Value (%)
As reported on Form PF, Question 55.
Figure 22: Ratio of Weekly Liquid Assets to Net Asset Value of Section 3 Liquidity Funds
Average WLA
100
Asset-Weighted WLA
80
60
40
20
20
20
-09
20
20
-06
20
20
-03
19
20
-12
19
20
-09
19
20
-06
19
20
-03
18
-12
0
20
Ratio of Weekly Liquid Assets (WLA)
to Net Asset Value (%)
As reported on Form PF, Question 55.
54
May 5, 2021
C
Analytics Office
Rule 2a-7 Compliance
Table 69: Rule 2a-7 Compliance (Percent of Funds)
As reported on Form PF, Questions 9 and 54.
Compliance Type
Credit Quality
Diversification
Maturity
Liquidity
Fully
None
2018Q4
60.9
56.5
56.5
52.2
47.8
39.1
2019Q1
60.0
55.6
55.6
51.1
46.7
40.0
2019Q2
61.4
56.8
56.8
52.3
47.7
38.6
2019Q3
61.9
57.1
57.1
52.4
47.6
38.1
2019Q4
62.8
58.1
58.1
53.5
48.8
37.2
2020Q1
61.0
56.1
56.1
51.2
46.3
39.0
2020Q2
62.2
57.8
57.8
53.3
48.9
37.8
2020Q3
61.7
57.4
57.4
53.2
48.9
38.3
Table 70: Rule 2a-7 Compliance (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 54.
Compliance Type
Credit Quality
Diversification
Maturity
Liquidity
Fully
None
D
2018Q4
13.4
12.4
12.4
12.2
10.3
86.6
2019Q1
13.8
12.7
12.7
12.5
10.5
86.2
2019Q2
13.6
12.8
12.8
12.6
10.8
86.4
2019Q3
13.6
13.0
13.0
12.8
10.9
86.4
2019Q4
12.9
12.3
12.3
12.1
10.1
87.1
2020Q1
13.2
12.4
12.4
12.2
10.2
86.8
2020Q2
13.8
12.9
12.9
12.6
10.6
86.2
2020Q3
13.2
12.1
12.1
11.9
10.0
86.8
Methods of Calculating NAV
Table 71: NAV Calculation Method (Percent of Funds)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2018Q4
78.3
21.7
2019Q1
80.0
20.0
2019Q2
75.0
25.0
2019Q3
76.2
23.8
2019Q4
74.4
25.6
2020Q1
75.6
24.4
2020Q2
73.3
26.7
2020Q3
74.5
25.5
Table 72: NAV Calculation Method (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2018Q4
70.9
29.1
2019Q1
74.4
25.6
2019Q2
56.5
43.5
2019Q3
62.9
37.1
55
2019Q4
64.6
35.4
2020Q1
68.2
31.8
2020Q2
68.1
31.9
2020Q3
69.9
30.1
May 5, 2021
Aggregate Portfolio Holdings
Table 73: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2
-09
20
20
20
20
20
20
19
-08
20
19
-07
20
19
-06
20
19
20
19
20
19
-05
-04
-03
19
19
19
-02
-01
-12
18
20
Product Type
U.S. Treasuries
Deposits
Repo - Govt. Collateral
Commercial Paper
Other
Asset-Backed Securities
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
18
18
-11
-10
As reported on Form PF, Question 63.
51.4
59.5
49.3
46.8
47.2
21.8
15.6
3.5
0.9
57.2
60.7
49.9
46.5
42.7
22.7
14.1
3.1
0.9
60.3
54.2
48.3
41.1
46.4
22.4
14.3
3.2
0.9
47.1
55.0
58.0
43.9
48.5
24.4
16.8
2.9
1.0
46.2
58.5
57.6
40.4
45.4
21.9
13.4
3.5
0.9
48.9
57.6
48.4
37.8
45.4
20.8
12.9
4.4
0.9
40.9
61.7
58.0
40.2
41.2
20.3
12.7
3.2
0.8
37.5
62.3
59.0
42.0
39.2
21.4
10.6
4.2
0.8
39.5
65.8
62.5
39.6
44.4
18.6
11.9
3.4
0.7
36.6
67.8
69.8
40.7
47.8
19.2
11.8
2.3
0.7
41.3
70.1
60.6
43.2
43.6
18.1
8.0
2.4
0.6
50.2
66.1
52.0
40.8
41.9
18.3
9.6
2.2
0.6
Table 74: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2
-09
20
20
-08
20
20
-07
20
20
-06
20
20
-05
20
20
-04
20
20
-03
20
20
-02
20
20
-01
20
20
-12
19
-11
19
20
Product Type
U.S. Treasuries
Deposits
Repo - Govt. Collateral
Commercial Paper
Other
Asset-Backed Securities
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
20
19
-10
As reported on Form PF, Question 63.
20
E
Analytics Office
49.8
64.7
51.7
43.6
41.7
17.9
10.0
1.9
0.7
55.3
70.6
46.8
42.6
39.9
17.3
9.6
1.9
0.7
60.0
65.6
45.9
41.8
40.1
16.5
8.2
1.8
0.7
42.4
80.9
43.7
44.4
36.8
18.1
8.7
1.8
0.7
41.1
78.0
44.7
49.1
32.7
17.5
8.7
2.0
0.7
86.1
59.3
46.1
32.1
30.8
13.9
9.1
2.3
0.9
101.2
64.7
25.2
38.4
28.0
19.8
9.9
2.9
1.0
107.0
58.7
28.1
34.6
30.5
21.0
12.0
2.3
1.1
108.4
54.4
30.7
37.3
36.7
20.0
14.4
2.4
1.3
102.1
61.3
35.0
38.2
39.5
21.0
15.5
2.3
1.5
101.2
54.5
44.4
43.1
31.9
20.5
15.8
1.9
1.4
108.5
53.4
42.3
40.5
30.4
19.2
16.5
2.2
1.3
56
May 5, 2021
Analytics Office
X
Section 4 Private Equity Fund Specific Information
A
CPC Industry Concentration
Table 75: Gross Assets in CPC Industries (Percent of Total)
As reported on Form PF, Questions 8 and 77.
Type
Software Publishers
Electric Power Generation,...
Data Processing, Hosting, &...
Oil & Gas Extraction
Telecommunications Data Processing...
Custom Computer Programming...
Other Financial Investment...
Pharmaceutical & Medicine Mfg
Other Information Services
Pipeline Transportation
Scientific Research & Development...
Management, Scientific, &...
Activities Related to Credit...
All Other Professional,...
Other Financial Vehicles
Insurance Agencies & Brokerages
Lessors of Nonresidential Buildings
Educational Services
2013Q4
2.8
3.8
2.9
7.9
2.6
0.9
2.0
1.0
2.0
2.4
0.9
1.0
1.2
0.4
0.4
0.9
0.8
1.4
2014Q4
3.8
3.8
2.3
7.8
2.5
1.0
1.8
1.3
2.1
2.6
0.9
1.2
1.2
0.6
0.4
1.0
0.8
1.3
57
2015Q4
4.9
3.7
1.8
5.8
2.7
1.5
1.8
1.5
1.9
2.4
1.0
1.1
1.4
0.6
0.6
1.0
0.8
1.3
2016Q4
6.1
4.1
2.0
6.7
2.3
1.5
1.7
1.4
1.8
2.2
0.7
1.3
1.0
0.9
1.8
1.2
0.7
1.2
2017Q4
6.0
4.2
2.3
6.2
2.2
1.5
1.4
1.5
2.0
1.9
1.0
1.6
1.2
0.8
1.6
1.1
0.7
1.4
2018Q4
8.0
4.5
3.5
4.9
2.4
1.8
2.1
2.4
1.7
1.8
1.0
1.4
1.3
1.4
1.3
1.0
0.6
1.2
2019Q4
10.6
4.3
4.2
3.6
2.6
2.1
2.1
2.0
1.9
1.7
1.7
1.6
1.4
1.4
1.2
1.1
1.1
1.1
May 5, 2021
CPC Financial Leverage
Figure 23: Distribution of Ratio of Aggregate CPC Current Liabilities
to Total Liabilities of Section 4 Private Equity Funds
See Appendix C for an explanation of boxplots.
50
40
30
20
10
Q4
19
20
Q4
18
20
Q4
17
20
Q4
16
20
Q4
15
20
Q4
14
20
20
Q4
0
13
Ratio of Portfolio Company Current
Liabilities to Total Liabilities (%)
As reported on Form PF, Questions 71 and 72.
Figure 24: Distribution of CPC Payment-in-Kind or
Zero Coupon Borrowings to Total Borrowings Ratio
See Appendix C for an explanation of boxplots.
As reported on Form PF, Question 73.
60
40
20
58
19
Q4
20
18
Q4
20
17
Q4
20
16
Q4
20
15
Q4
20
20
20
14
Q4
0
13
Q4
CPC Payment-in-Kind Borrowings
to Total Borrowings Ratio (%)
B
Analytics Office
May 5, 2021
C
Analytics Office
CPC Investments by Region and Country
Table 76: Aggregate Gross Value of Private Equity
Investments by Region ($ Billions)
As reported on Form PF, Questions 70 and 78.
Region
North America
Europe EEA
Asia
South America
Europe Other
Supranational
Middle East
Africa
2013Q4
5,249
1,432
445
75
25
65
8
21
2014Q4
4,506
1,259
462
85
9
67
12
12
2015Q4
4,132
941
447
58
21
23
9
12
2016Q4
3,942
848
406
111
22
37
15
18
2017Q4
3,961
963
379
184
40
49
23
14
2018Q4
4,211
1,256
435
140
46
55
16
10
2019Q4
5,163
1,547
561
149
69
60
18
15
Table 77: Private Equity CPC Investments by Region
(Percent of Aggregate CPC Gross Asset Value)
As reported on Form PF, Questions 70 and 78.
Region
North America
Europe EEA
Asia
South America
Europe Other
Supranational
Middle East
Africa
2013Q4
71.7
19.6
6.1
1.0
0.3
0.9
0.1
0.3
2014Q4
70.2
19.6
7.2
1.3
0.1
1.0
0.2
0.2
2015Q4
73.2
16.7
7.9
1.0
0.4
0.4
0.2
0.2
59
2016Q4
73.0
15.7
7.5
2.0
0.4
0.7
0.3
0.3
2017Q4
70.5
17.1
6.8
3.3
0.7
0.9
0.4
0.3
2018Q4
68.2
20.3
7.0
2.3
0.7
0.9
0.3
0.2
2019Q4
68.0
20.4
7.4
2.0
0.9
0.8
0.2
0.2
May 5, 2021
Analytics Office
Table 78: Aggregate Gross Asset Value of Private Equity
CPC Investments by Country ($ Billions)
As reported on Form PF, Questions 70 and 78.
Country
United States
China and Hong Kong
India
Brazil
Japan
Russia
2013Q4
5,002
171
63
45
108
3
2014Q4
4,305
186
83
58
98
2
2015Q4
3,943
173
89
41
85
5
2016Q4
3,776
114
92
88
79
4
2017Q4
3,794
147
73
131
52
4
2018Q4
4,015
154
104
96
52
2
2019Q4
4,803
149
128
93
78
1
2018Q4
65.1
2.5
1.7
1.6
0.8
0.0
2019Q4
63.3
2.0
1.7
1.2
1.0
0.0
Table 79: Private Equity CPC Investments by Country
(Percent of Aggregate CPC Gross Asset Value)
As reported on Form PF, Questions 70 and 78.
Country
United States
China and Hong Kong
India
Brazil
Japan
Russia
2013Q4
68.3
2.3
0.9
0.6
1.5
0.0
2014Q4
67.1
2.9
1.3
0.9
1.5
0.0
2015Q4
69.9
3.1
1.6
0.7
1.5
0.1
60
2016Q4
69.9
2.1
1.7
1.6
1.5
0.1
2017Q4
67.6
2.6
1.3
2.3
0.9
0.1
May 5, 2021
XI
A
Analytics Office
Appendices
Form PF Filer Categories
The amount of information an adviser must report and the frequency with which it must report
on Form PF depends on the amount of the adviser’s private fund assets and the types of private
funds managed. Reporting advisers must identify the types of private funds they manage on Form
PF.
1
All Private Fund Advisers
SEC-registered investment advisers with at least $150 million in private fund assets under
management are required to file Form PF. Registered investment advisers with less than $150 million
in private funds assets under management, exempt reporting advisers, and state-registered advisers
report general private fund data on Form ADV, but do not file Form PF.6 Not all Form PF filers
report on a quarterly basis. Smaller private fund advisers and all private equity fund advisers file
Form PF on an annual basis, while larger hedge fund advisers and larger liquidity fund advisers file
the form quarterly.7 As a result of the difference in reporting frequency, information in this report
related to funds that are reported annually may be dated by several months.8
2
Large Hedge Fund Advisers
Large Hedge Fund Advisers have at least $1.5 billion in hedge fund assets under management.
A Large Hedge Fund Adviser is required to file Form PF quarterly and provide data about each
hedge fund it managed during the reporting period (irrespective of the size of the fund).
Large Hedge Fund Advisers must report more information on Form PF about Qualifying Hedge
Funds than other hedge funds they manage during the reporting period. A Qualifying Hedge Fund is
any hedge fund advised by a Large Hedge Fund Adviser that had a NAV (individually or in
combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of
at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the
adviser’s most recently completed fiscal quarter. This report provides information about all hedge
funds reported by Large Hedge Fund Advisers, including Qualifying Hedge Funds and smaller hedge
funds. This report also provides an overview of certain data reported solely for Qualifying Hedge
Funds.
6
Note that these thresholds are on a gross basis. Exempt reporting advisers are advisers that rely on the exemptions
from SEC registration in Advisers Act section 203(l) for venture capital fund advisers and section 203(m) for advisers
managing less than $150 million in private fund assets in the U.S.
7
An adviser may be a large hedge fund adviser that must file quarterly to report data about the hedge funds it manages
as well as a private equity fund adviser that must file only annually to report data about the private equity funds it
manages.
8
In addition, because some Form PF filers have fiscal year ends that are not December 31, not all Form PF data is filed
as of a single date.
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May 5, 2021
3
Analytics Office
Large Liquidity Fund Advisers
Large Liquidity Fund Advisers have at least $1 billion in combined liquidity fund and money
market fund assets under management. On a quarterly basis, such advisers report on Form PF data
about the liquidity funds they managed during the reporting period (irrespective of the size of the
fund). This report contains information about all liquidity funds reported by Large Liquidity Fund
Advisers (referred to in this report as “Section 3 Liquidity Funds”).
4
Large Private Equity Fund Advisers
Large Private Equity Fund Advisers have at least a $2 billion in private equity fund assets
under management. These advisers are required to file Form PF annually in connection with the
private equity funds they managed during the reporting period. Smaller Private Equity Fund
Advisers must file annually as well, but provide less detail regarding the private equity funds they
manage. This report provides information about private equity funds managed by Large Private
Equity Fund Advisers (referred to in this report as “Section 4 Private Equity Funds”).
5
Other Private Fund Advisers
All advisers required to file Form PF that are not Large Hedge Fund Advisers or Large
Liquidity Fund Advisers must file Form PF annually to report data about each private fund
managed by the adviser.9 These “annual filing advisers” include smaller fund advisers, Large Private
Equity Fund advisers, and venture capital fund advisers. Annual filers must provide specific
information about each of the private funds they manage on an annual basis.
9
This includes “other private funds,” which are private funds that do not meet the Form PF definition of hedge fund,
liquidity fund, private equity fund, real estate fund, securitized asset fund, or venture capital fund.
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May 5, 2021
B
Analytics Office
Handling Annual and Quarterly Data
Only a subset of filers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are
required to file Form PF quarterly; all other filings are made annually. Annual filings are typically,
but not always, made at the end of the calendar year, as Form PF allows filings to be made at the
end of an adviser’s fiscal year. In order to present the most complete and recent data possible, while
accounting for differences in filing dates, we use the following procedure for determining which data
to consider in any given quarter:
First, filings are grouped by their report date within their reported year:
(Q1): February 15 to May 14
(Q2): May 15 to August 14
(Q3): August 15 to November 14
(Q4): November 15 to February 14
Then, responses for funds that have no information are ‘filled forward’ — essentially, copied
from last reported values — up to a maximum of three quarters. Any fund that has no data four
quarters after its most recent date is no longer counted or included in any calculations.10
C
How to Read a Boxplot
In these figures, the boxes extend from the twenty-fifth percentile to the seventy-fifth percentile,
while the levels (the dashed vertical lines) extend from the tenth to the twenty-fifth percentile as well
as the seventy-fifth to the ninetieth percentile. Also shown as a red line within the box is the median
(the fiftieth percentile) and the horizontal dashed line is mean of the distribution. See Figure 25 for
an explanation of each feature.
Figure 25: How to Read a Boxplot
10
Form PF has no requirement to inform the SEC if a fund liquidates or otherwise terminates operations. Therefore,
liquidations or terminations may not be reflected on this report for up to one year after ceasing operations.
63
May 5, 2021
D
Analytics Office
Mitigating the Effects of Outliers
Form PF data occasionally contains spurious outliers. While Analytics Office staff actively
engages in outreach to identify and correct such values, not all aberrant values have been corrected
as of this writing. To reduce the effect of these outliers on the aggregate measures reported here, we
have chosen to winsorize or trim some data sets.
Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest
and smallest values in a distribution.11 For example, to calculate a 95%/5% winsorized data set, all
the values above the ninety-fifth percentile are set to the value of the ninety-fifth percentile, and all
the values below the fifth percentile are set to the value of the fifth percentile. Effectively, this
procedure makes the very largest values smaller (but still large), and all the smallest values larger
(but still small). This approach can be more effective than trimming (simply removing the largest
and/or smallest values) because it does not change the number of data points and does not change
the median or other percentile values within the 95%/5% range. All instances of winsorization or
trimming have been noted and include the affected percentiles.
11
Such techniques are known as ‘robust statistics’, reviewed for example in Wilcox (2012), Introduction to Robust
Estimation & Hypothesis Testing, 3rd Edition.
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May 5, 2021
E
Analytics Office
Definitions
Included by reference are all definitions included in the glossary of Form PF.
Aggregate Exposure
A dollar value for long and short positions as of the last day in each
month of the reporting period, by sub-asset class, including all exposure
whether held physically, synthetically or through derivatives. Includes
closed out and OTC forward positions that have not expired, as well as
positions in side-pockets.
Borrowing
In Form PF, borrowings include secured borrowings, unsecured borrowings, as well as synthetic borrowings (e.g., total return swaps that meet
the failed sale accounting requirements).
CPC
Controlled portfolio company, as defined in Form PF.
Gross Notional Exposure (GNE)
The gross nominal or notional value of all transactions that have been
entered into but not yet settled as of the data reporting date. For
contracts with variable nominal or notional principal amounts, the basis
for reporting is the nominal or notional principal amounts as of the data
reporting date.
Hedge Fund
Any private fund (other than a securitized asset fund): (a) with respect
to which one or more investment advisers (or related persons of investment advisers) may be paid a performance fee or allocation calculated
by taking into account unrealized gains (other than a fee or allocation
the calculation of which may take into account unrealized gains solely
for the purpose of reducing such fee or allocation to reflect net unrealized losses); (b) that may borrow an amount in excess of one-half of
its net asset value (including any committed capital) or may have gross
notional exposure in excess of twice its net asset value (including any
committed capital); or (c) that may sell securities or other assets short
or enter into similar transactions (other than for the purpose of hedging currency exposure or managing duration). The definition of a hedge
fund for Form PF purposes also includes any commodity pool an adviser
reports on Form PF.
IRDs
Interest rate derivatives, including foreign exchange derivatives used for
either investment or hedging.
Large Hedge Fund Adviser
An adviser that has at least $1.5 billion in hedge fund assets under
management.
65
May 5, 2021
Analytics Office
Large Liquidity Fund Adviser
An adviser that has at least $1 billion in combined liquidity fund and
money market fund assets under management.
Large Private Equity Fund Adviser
An adviser that has at least a $2 billion in private equity fund assets
under management.
Parallel Managed Account
An account advised by an adviser that pursues substantially the same
investment objective and strategy and invests side by side in substantially the same positions as the reporting fund.
Qualifying Hedge Fund
A hedge fund advised by a Large Hedge Fund Adviser that has a net asset
value (individually or in combination with any feeder funds, parallel
funds, and/or dependent parallel managed accounts) of at least $500
million as of the last day of any month in the fiscal quarter immediately
preceding the adviser’s most recently completed fiscal quarter.
Section 3 Liquidity Fund
A liquidity fund advised by a Large Liquidity Fund Adviser.
Section 4 Private Equity Fund
A private equity fund advised by a Large Private Equity Fund Adviser.
Value
For derivatives (other than options), “value” means gross notional value;
for options, “value” means delta adjusted notional value; for all other
investments and for all borrowings where the reporting fund is the creditor, “value” means market value or, where there is not a readily available
market value, fair value; for borrowings where the reporting fund is the
debtor, “value” means the value you report internally and to current
and prospective investors.
66
This is a copy of a public record, reproduced as it was published. It is not legal advice, and it may not be the version a court would rely on. Check the official source before you cite it.