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Division of Investment Management
Analytics Office
Private Funds Statistics
Fourth Calendar Quarter 2021
July 19, 2022
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.
July 19, 2022
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 First Calendar Quarter 2020 through Fourth Calendar Quarter
2021 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 Fourth Calendar Quarter
2021 Private Funds Statistics, please contact:
Tim Dulaney, PhD, FRM, Tim Husson, PhD, FRM, or Trevor Tatum at FormPF@sec.gov with subject
line “Fourth Calendar Quarter 2021-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.
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
46
47
2
July 19, 2022
J
K
Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Stress Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
48
49
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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
51
51
51
53
53
54
A
B
C
Section 4 Private Equity Fund Specific Information
CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . .
55
55
56
57
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
Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
59
59
59
59
60
60
60
61
61
62
IX
X
XI
Analytics Office
A
3
July 19, 2022
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
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Securitized Asset Fund
Venture Capital Fund
Qualifying Hedge Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2020Q1
14,489
9,383
4,405
4,969
3,119
1,721
1,158
1,824
64
41
34,903
2020Q2
14,501
9,415
4,405
4,974
3,115
1,721
1,155
1,813
67
45
34,948
2020Q3
14,498
9,476
4,408
4,962
3,116
1,726
1,150
1,779
69
47
34,997
2020Q4
15,737
9,373
5,267
5,385
3,289
1,862
1,422
1,792
72
53
37,140
2021Q1
15,826
9,478
5,292
5,401
3,292
1,867
1,422
1,859
73
54
37,359
2021Q2
15,864
9,616
5,308
5,380
3,295
1,915
1,424
1,965
76
56
37,570
2021Q3
15,838
9,490
5,309
5,347
3,289
1,910
1,419
2,013
77
57
37,370
2021Q4
18,995
9,435
6,497
6,021
3,758
2,243
2,186
2,070
79
56
42,717
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
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Securitized Asset Fund
Venture Capital Fund
Qualifying Hedge Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2020Q1
1,363
1,731
325
643
375
160
154
543
36
21
3,241
2020Q2
1,365
1,727
325
644
372
160
153
540
37
22
3,241
2020Q3
1,368
1,728
326
642
373
161
152
530
38
23
3,238
2020Q4
1,449
1,759
366
690
388
165
178
545
37
24
3,385
2021Q1
1,455
1,759
367
692
388
165
177
568
37
24
3,390
2021Q2
1,458
1,764
369
690
389
166
176
589
37
24
3,394
2021Q3
1,456
1,760
369
681
388
165
176
593
37
24
3,385
2021Q4
1,626
1,853
431
731
424
176
229
617
39
24
3,651
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 D for definitions of other capitalized
terms used in this report.
4
July 19, 2022
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
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2020Q1
7,734
6,310
3,811
2,795
1,368
666
647
144
301
295
14,671
2020Q2
7,770
6,393
3,810
2,795
1,383
666
647
145
309
306
14,728
2020Q3
8,197
6,815
3,811
2,796
1,392
666
649
150
329
326
15,195
2020Q4
8,764
7,084
4,713
3,586
1,477
811
710
225
326
324
17,027
2021Q1
8,908
7,221
4,821
3,665
1,496
810
712
223
314
312
17,284
2021Q2
9,572
7,881
4,824
3,673
1,509
810
729
222
330
328
17,996
2021Q3
9,773
8,295
4,825
3,674
1,438
812
729
222
310
308
18,107
2021Q4
9,763
8,335
6,389
4,946
1,738
966
869
327
318
316
20,371
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
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2020Q1
3,770
2,905
3,375
2,493
1,204
507
202
138
297
291
9,493
2020Q2
4,082
3,205
3,374
2,493
1,216
507
202
138
303
300
9,823
2020Q3
4,291
3,391
3,375
2,493
1,229
507
204
144
323
320
10,072
5
2020Q4
4,652
3,562
4,161
3,203
1,300
615
218
218
322
320
11,486
2021Q1
4,801
3,728
4,264
3,276
1,318
613
216
215
304
302
11,732
2021Q2
5,122
4,045
4,269
3,283
1,341
613
219
214
319
317
12,097
2021Q3
5,105
4,155
4,269
3,283
1,274
615
220
215
302
300
12,000
2021Q4
5,122
4,180
5,729
4,475
1,550
742
264
308
313
311
14,027
July 19, 2022
Analytics Office
Figure 1: GAV and NAV Distributions
As reported on Form PF, Questions 8 and 9.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Qualifying Hedge Fund GAV ($ Billions)
2020Q1 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2
0.2
0.2
0.2
0.2
0.2
0.2
0.5
0.5
0.6
0.6
0.6
0.7
1.0
1.2
1.2
1.3
1.4
1.4
2.5
2.7
2.9
3.0
3.0
3.1
6.0
6.2
6.7
7.0
6.7
7.0
3.5
3.5
3.8
4.0
3.9
4.0
Qualifying Hedge Fund NAV ($ Billions)
2020Q1 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2
0.1
0.1
0.1
0.2
0.2
0.2
0.4
0.5
0.5
0.5
0.5
0.6
0.8
0.8
0.9
0.9
1.0
1.0
1.6
1.8
1.9
2.0
1.9
2.0
3.4
3.9
4.2
4.4
4.5
4.7
1.6
1.8
1.9
2.0
2.0
2.1
Section 4 Private Equity Fund GAV ($ Billions)
2020Q1 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.1
0.5
0.5
0.5
0.5
0.5
0.5
1.4
1.4
1.4
1.5
1.5
1.5
0.6
0.6
0.6
0.7
0.7
0.7
Section 4 Private Equity Fund NAV ($ Billions)
2020Q1 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.1
0.4
0.4
0.4
0.4
0.4
0.4
1.2
1.2
1.2
1.3
1.3
1.3
0.6
0.6
0.6
0.6
0.6
0.6
6
2021Q3
0.3
0.7
1.4
3.1
7.0
4.1
2021Q4
0.2
0.7
1.4
3.0
6.9
4.0
2021Q3
0.2
0.6
1.0
2.0
4.7
2.1
2021Q4
0.2
0.5
1.0
2.0
4.5
2.0
2021Q3
0.0
0.0
0.1
0.5
1.5
0.7
2021Q4
0.0
0.0
0.1
0.5
1.6
0.8
2021Q3
0.0
0.0
0.1
0.4
1.3
0.6
2021Q4
0.0
0.0
0.1
0.5
1.5
0.7
July 19, 2022
Analytics Office
Figure 2: Ratio of GAV to NAV
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 8, 9, and 10.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2020Q1
1.0
1.0
1.0
1.2
2.1
1.8
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2020Q1
1.0
1.0
1.2
1.7
2.6
1.7
All Private Funds
2020Q2 2020Q3 2020Q4 2021Q1
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.1
1.1
1.1
1.1
2.1
2.1
2.1
2.1
1.8
1.8
1.8
1.8
Qualifying Hedge Funds
2020Q2 2020Q3 2020Q4 2021Q1
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.2
1.1
1.2
1.2
1.6
1.6
1.6
1.6
2.6
2.5
2.6
2.7
1.6
1.6
1.6
1.6
7
2021Q2
1.0
1.0
1.0
1.1
2.1
1.8
2021Q3
1.0
1.0
1.0
1.1
2.1
1.8
2021Q4
1.0
1.0
1.0
1.1
2.0
1.7
2021Q2
1.0
1.0
1.1
1.6
2.7
1.6
2021Q3
1.0
1.0
1.1
1.6
2.7
1.6
2021Q4
1.0
1.0
1.1
1.6
2.7
1.6
July 19, 2022
B
Analytics Office
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
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
2020Q1
49.0
46.0
42.4
14.9
6.4
7.3
4.8
0.7
0.0
0.0
2020Q2
47.7
45.3
41.4
14.6
6.4
7.3
4.7
0.8
0.0
0.0
2020Q3
47.5
47.0
43.0
14.6
6.4
7.3
4.8
0.8
0.0
0.0
2020Q4
53.4
45.7
41.1
13.8
5.0
5.1
5.0
0.5
0.0
0.0
2021Q1
50.1
45.3
40.9
13.9
4.7
4.9
4.9
0.5
0.0
0.0
2021Q2
50.0
45.7
41.7
13.6
4.7
4.9
4.1
0.5
0.0
0.0
2021Q3
49.8
44.6
41.3
14.0
4.7
4.9
3.9
0.5
0.0
0.0
2021Q4
52.4
45.5
42.1
13.2
5.5
5.4
3.5
0.7
0.0
0.0
Figure 3: Distribution of Total Borrowings
As reported on Form PF, Questions 12 and 43.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2020Q1
0.0
0.0
0.0
0.2
0.6
0.5
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2020Q1
0.0
0.1
0.3
0.9
3.0
2.4
All Private Funds ($ Billions)
2020Q2 2020Q3 2020Q4 2021Q1 2021Q2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.2
0.2
0.2
0.2
0.3
0.6
0.6
0.6
0.6
0.6
0.5
0.5
0.5
0.5
0.6
Qualifying Hedge Funds ($ Billions)
2020Q2 2020Q3 2020Q4 2021Q1 2021Q2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.3
0.3
0.3
0.3
0.4
1.0
1.1
1.2
1.3
1.4
3.0
3.6
4.1
4.0
4.3
2.5
2.8
2.8
2.8
2.9
8
2021Q3
0.0
0.0
0.0
0.3
0.6
0.6
2021Q4
0.0
0.0
0.0
0.3
0.6
0.6
2021Q3
0.0
0.1
0.4
1.3
4.1
3.0
2021Q4
0.0
0.1
0.4
1.3
3.8
2.9
July 19, 2022
Analytics Office
Figure 4: Ratio of Borrowings to NAV
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month).
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2020Q1
0.0
0.0
0.2
0.9
5.6
2.3
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2020Q1
0.0
0.1
0.3
0.8
1.9
0.8
All Private Funds
2020Q2 2020Q3 2020Q4 2021Q1
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.2
0.2
0.2
0.2
0.9
0.9
0.9
0.8
5.2
5.1
6.4
6.4
2.3
2.3
2.6
2.6
Qualifying Hedge Funds
2020Q2 2020Q3 2020Q4 2021Q1
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.3
0.3
0.3
0.3
0.8
0.8
0.8
0.8
2.0
2.3
2.3
2.3
0.8
0.8
0.9
0.9
2021Q2
0.0
0.0
0.2
0.9
6.7
2.6
2021Q3
0.0
0.0
0.2
0.9
7.0
2.6
2021Q4
0.0
0.0
0.2
0.9
9.6
2.3
2021Q2
0.0
0.1
0.3
0.9
2.4
0.9
2021Q3
0.0
0.1
0.3
0.9
2.5
0.9
2021Q4
0.0
0.1
0.3
0.9
2.3
0.9
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
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
9
2020Q4
66.3
30.4
2.3
1.0
2021Q1
67.2
30.1
2.4
1.0
2021Q2
67.7
29.9
2.2
0.9
2021Q3
67.0
30.5
2.3
0.9
2021Q4
67.1
29.3
2.8
1.0
July 19, 2022
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
2020Q1
3,816
3,510
4,104
2,354
2020Q2
3,825
3,500
4,109
2,345
2020Q3
3,836
3,519
4,120
2,342
2020Q4
4,249
3,657
5,059
2,333
2021Q1
4,279
3,639
5,160
2,340
2021Q2
4,315
3,648
5,192
2,333
2021Q3
4,384
3,650
5,263
2,323
2021Q4
4,676
3,841
6,774
2,847
Table 8: Liabilities According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2020Q1
1,298
1,068
268
2,238
2020Q2
1,289
1,059
268
2,228
2020Q3
1,299
1,066
267
2,228
2020Q4
1,344
1,197
294
2,067
10
2021Q1
1,336
1,175
296
2,081
2021Q2
1,340
1,179
303
2,075
2021Q3
1,342
1,197
338
2,071
2021Q4
1,701
1,362
376
2,273
July 19, 2022
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
Other Private Fund
Private Equity Fund
Qualifying Hedge Fund
Section 4 Private Equity Fund
Real Estate Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Total
2020Q1
628
501
331
232
136
95
***
12
11
***
1,574
2020Q2
610
500
330
227
135
95
***
11
11
***
1,553
2020Q3
601
493
330
221
135
95
***
11
11
***
1,537
2020Q4
597
478
311
210
103
73
17
***
11
***
1,489
2021Q1
581
475
311
199
103
73
17
***
11
***
1,470
2021Q2
574
487
312
199
115
73
17
***
11
***
1,477
2021Q3
558
486
312
206
115
73
17
***
***
***
1,459
2021Q4
568
505
299
206
136
81
30
***
***
***
1,495
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
Other Private Fund
Private Equity Fund
Qualifying Hedge Fund
Section 4 Private Equity Fund
Real Estate Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Total
2020Q1
637
2,052
58
433
38
10
***
378
377
***
3,135
2020Q2
638
2,044
58
434
38
10
***
366
366
***
3,117
2020Q3
634
2,028
58
414
38
10
***
383
383
***
3,113
2020Q4
764
2,583
98
473
44
7
1
***
391
***
3,845
2021Q1
768
2,620
98
470
44
7
1
***
411
***
3,905
2021Q2
808
2,647
98
512
68
7
1
***
396
***
3,970
2021Q3
840
2,642
98
550
68
7
1
***
***
***
3,993
2021Q4
880
2,675
112
565
102
15
2
***
***
***
4,103
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
July 19, 2022
Analytics Office
Figure 5: Parallel Managed Account Value Distributions
As reported on Form PF, Question 11.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2020Q1
0.0
0.0
0.2
1.0
3.4
2.0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2020Q1
0.1
0.2
0.5
1.4
3.9
1.9
All Private Funds ($ Billions)
2020Q2 2020Q3 2020Q4 2021Q1 2021Q2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.2
0.2
0.3
0.3
0.3
1.0
1.0
1.3
1.3
1.5
3.3
3.4
4.9
5.0
5.0
2.0
2.0
2.6
2.7
2.7
Qualifying Hedge Funds ($ Billions)
2020Q2 2020Q3 2020Q4 2021Q1 2021Q2
0.1
0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.2
0.2
0.5
0.5
0.5
0.6
0.6
1.6
1.6
1.9
1.9
2.1
3.9
4.3
5.1
6.0
6.3
1.9
1.9
2.3
2.4
2.6
12
2021Q3
0.0
0.0
0.3
1.5
5.0
2.7
2021Q4
0.0
0.0
0.3
1.5
5.3
2.7
2021Q3
0.1
0.2
0.6
2.1
6.2
2.7
2021Q4
0.1
0.2
0.6
2.1
6.0
2.7
July 19, 2022
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
Luxembourg
Ireland
United Kingdom
Bermuda
Virgin Islands, British
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
2020Q1 2020Q2 2020Q3 2020Q4 2021Q1
51.5
50.9
50.4
51.1
51.0
34.0
34.5
34.9
34.3
34.2
3.2
3.1
3.2
3.7
3.6
4.5
4.6
4.8
4.3
4.1
1.0
1.0
1.0
1.0
1.0
1.1
1.1
1.0
1.0
1.0
1.1
1.1
1.1
1.0
1.0
3.7
3.7
3.6
3.6
4.2
Qualifying Hedge Funds
2020Q1 2020Q2 2020Q3 2020Q4 2021Q1
52.2
52.3
53.0
53.2
52.6
35.1
35.3
34.7
34.2
35.1
2.9
3.1
3.1
3.3
3.1
3.3
3.1
2.9
2.8
2.8
2.6
2.5
2.6
2.7
2.6
2.2
2.0
1.9
1.8
1.7
1.7
1.8
1.8
2.1
2.1
Section 3 Liquidity Funds
2020Q1 2020Q2 2020Q3 2020Q4 2021Q1
***
***
***
***
***
25.1
24.1
22.9
25.5
28.0
***
***
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2020Q1 2020Q2 2020Q3 2020Q4 2021Q1
55.0
55.1
55.1
56.3
55.2
31.4
31.3
31.3
29.6
29.0
1.8
1.8
1.8
2.2
2.2
1.7
1.7
1.7
1.5
1.5
1.0
1.0
1.0
1.1
1.1
9.1
9.1
9.1
9.3
11.0
13
2021Q2
50.1
34.2
3.7
4.1
0.9
1.0
1.0
5.0
2021Q3
49.6
34.8
3.7
4.0
0.9
1.0
1.0
5.0
2021Q4
51.8
32.8
4.1
3.9
1.0
0.9
0.9
4.7
2021Q2
51.5
34.1
3.2
2.7
2.5
1.6
4.3
2021Q3
51.6
33.9
3.2
2.7
2.6
1.5
4.5
2021Q4
51.7
34.3
3.2
2.6
2.4
1.5
4.2
2021Q2
***
27.8
***
***
2021Q3
***
26.6
***
***
2021Q4
***
27.6
***
***
2021Q2
55.2
28.9
2.2
1.5
1.1
11.1
2021Q3
55.2
28.9
2.2
1.5
1.1
11.1
2021Q4
56.2
29.2
2.0
1.4
1.2
10.0
July 19, 2022
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
2020Q1
90.1
5.4
4.5
Country
United States
United Kingdom
Australia
Hong Kong
Other
2020Q1
89.4
5.0
***
***
2.1
Country
United States
United Kingdom
2020Q1
***
***
Country
United States
Canada
Other
2020Q1
93.8
***
***
All Private Funds
2020Q2 2020Q3 2020Q4 2021Q1
90.1
90.0
90.4
90.3
5.3
5.4
4.6
4.8
4.7
4.6
4.9
4.9
Qualifying Hedge Funds
2020Q2 2020Q3 2020Q4 2021Q1
89.7
89.8
88.9
89.6
4.6
4.4
4.7
4.5
***
***
***
***
***
***
***
***
2.0
1.9
2.0
1.8
Section 3 Liquidity Funds
2020Q2 2020Q3 2020Q4 2021Q1
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2020Q2 2020Q3 2020Q4 2021Q1
93.8
93.8
94.2
94.3
***
***
***
***
***
***
***
***
14
2021Q2
89.4
4.8
5.9
2021Q3
89.6
4.6
5.8
2021Q4
91.2
3.9
4.9
2021Q2
87.6
4.3
***
***
4.0
2021Q3
88.0
4.1
***
***
4.1
2021Q4
88.1
4.1
***
***
4.1
2021Q2
***
***
2021Q3
***
***
2021Q4
***
***
2021Q2
94.3
***
***
2021Q3
94.3
***
***
2021Q4
95.6
***
***
July 19, 2022
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
U.S. Individuals
Pension Plans
Non-Profits
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2020Q1
1,641
1,450
1,301
914
1,105
929
647
462
231
231
169
175
127
106
2020Q2
1,671
1,507
1,331
965
1,141
991
669
470
248
238
173
173
130
112
2020Q3
1,711
1,559
1,343
999
1,163
1,017
689
476
258
260
175
172
129
115
2020Q4
2,039
1,823
1,534
1,163
1,248
1,140
802
553
297
277
192
169
134
111
2021Q1
2,070
1,857
1,557
1,195
1,266
1,168
843
566
310
269
199
176
142
110
2021Q2
2,126
1,944
1,576
1,225
1,278
1,206
854
583
387
263
205
190
143
110
2021Q3
2,130
1,924
1,586
1,207
1,262
1,213
855
593
384
266
203
189
138
44
2021Q4
2,590
2,435
1,856
1,417
1,369
1,308
1,004
696
415
317
232
188
154
42
2021Q3
17.8
16.0
13.2
10.1
10.5
10.1
7.1
4.9
3.2
2.2
1.7
1.6
1.2
0.4
2021Q4
18.5
17.4
13.2
10.1
9.8
9.3
7.2
5.0
3.0
2.3
1.7
1.3
1.1
0.3
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
U.S. Individuals
Pension Plans
Non-Profits
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2020Q1
17.3
15.3
13.7
9.6
11.6
9.8
6.8
4.9
2.4
2.4
1.8
1.8
1.3
1.1
2020Q2
17.0
15.3
13.5
9.8
11.6
10.1
6.8
4.8
2.5
2.4
1.8
1.8
1.3
1.1
15
2020Q3
17.0
15.5
13.3
9.9
11.5
10.1
6.8
4.7
2.6
2.6
1.7
1.7
1.3
1.1
2020Q4
17.8
15.9
13.4
10.1
10.9
9.9
7.0
4.8
2.6
2.4
1.7
1.5
1.2
1.0
2021Q1
17.6
15.8
13.3
10.2
10.8
10.0
7.2
4.8
2.6
2.3
1.7
1.5
1.2
0.9
2021Q2
17.6
16.1
13.0
10.1
10.6
10.0
7.1
4.8
3.2
2.2
1.7
1.6
1.2
0.9
July 19, 2022
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
Other
Non-Profits
U.S. Individuals
Pension Plans
State/Muni. Govt. Pension Plans
Sov. Wealth Funds And For. Official Inst.
Non-U.S. Individuals
Insurance Companies
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2020Q1
489
388
408
315
375
331
190
76
88
54
45
35
35
73
2020Q2
529
424
469
362
408
356
204
91
96
56
50
34
45
78
2020Q3
562
462
493
383
428
368
219
99
101
60
50
37
46
80
2020Q4
604
489
537
414
457
399
225
111
112
67
53
38
38
17
2021Q1
640
519
559
453
467
411
236
113
121
63
56
40
41
5
2021Q2
694
568
593
485
478
430
243
186
131
80
62
43
42
6
2021Q3
723
593
600
491
478
447
254
186
139
89
59
42
42
8
2021Q4
722
602
600
491
478
458
263
182
144
86
62
41
38
9
2021Q3
17.4
14.3
14.4
11.8
11.5
10.8
6.1
4.5
3.4
2.1
1.4
1.0
1.0
0.2
2021Q4
17.3
14.4
14.4
11.8
11.4
11.0
6.3
4.3
3.4
2.1
1.5
1.0
0.9
0.2
Table 16: Beneficial Ownership for Qualifying Hedge Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
Non-Profits
U.S. Individuals
Pension Plans
State/Muni. Govt. Pension Plans
Sov. Wealth Funds And For. Official Inst.
Non-U.S. Individuals
Insurance Companies
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2020Q1
16.8
13.4
14.1
10.8
12.9
11.4
6.5
2.6
3.0
1.9
1.6
1.2
1.2
2.5
2020Q2
16.5
13.2
14.6
11.3
12.7
11.1
6.4
2.8
3.0
1.8
1.6
1.1
1.4
2.4
16
2020Q3
16.6
13.6
14.5
11.3
12.6
10.8
6.5
2.9
3.0
1.8
1.5
1.1
1.3
2.4
2020Q4
17.0
13.7
15.1
11.6
12.8
11.2
6.3
3.1
3.2
1.9
1.5
1.1
1.1
0.5
2021Q1
17.2
13.9
15.0
12.1
12.5
11.0
6.3
3.0
3.3
1.7
1.5
1.1
1.1
0.1
2021Q2
17.2
14.0
14.7
12.0
11.8
10.6
6.0
4.6
3.2
2.0
1.5
1.1
1.0
0.2
July 19, 2022
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
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
Insurance Companies
Pension Plans
Sov. Wealth Funds And For. Official Inst.
Non-Profits
State/Muni. Govt. Entities
Non-U.S. Individuals
U.S. Individuals
State/Muni. Govt. Pension Plans
2020Q1
76
61
72
***
12
***
10
***
***
2
***
4
***
***
2020Q2
92
59
57
***
17
***
11
***
***
2
***
3
***
***
2020Q3
93
77
55
11
18
***
10
5
***
2
***
3
***
1
2020Q4
89
81
59
***
20
***
10
9
***
3
***
***
***
1
2021Q1
83
73
55
***
24
***
11
7
***
3
***
***
***
1
2021Q2
105
57
52
24
25
***
11
8
***
3
***
4
***
1
2021Q3
101
50
50
***
27
***
9
7
***
3
***
3
***
1
2021Q4
96
60
57
***
23
***
9
7
***
4
3
***
***
1
2021Q3
33.8
16.7
16.5
***
8.9
***
3.2
2.4
***
1.1
***
0.9
***
0.4
2021Q4
31.0
19.2
18.5
***
7.5
***
2.8
2.3
***
1.2
1.0
***
***
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
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
Insurance Companies
Pension Plans
Sov. Wealth Funds And For. Official Inst.
Non-Profits
State/Muni. Govt. Entities
Non-U.S. Individuals
U.S. Individuals
State/Muni. Govt. Pension Plans
2020Q1
26.2
21.0
24.8
***
4.3
***
3.5
***
***
0.6
***
1.5
***
***
2020Q2
30.7
19.8
18.9
***
5.6
***
3.8
***
***
0.6
***
0.9
***
***
17
2020Q3
29.1
24.0
17.2
3.5
5.6
***
3.2
1.5
***
0.8
***
0.8
***
0.3
2020Q4
27.8
25.2
18.4
***
6.3
***
3.1
2.7
***
0.8
***
***
***
0.4
2021Q1
27.4
24.1
18.1
***
7.9
***
3.6
2.3
***
1.0
***
***
***
0.3
2021Q2
33.1
18.0
16.5
7.4
7.8
***
3.5
2.4
***
1.0
***
1.1
***
0.3
July 19, 2022
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
Private Funds
State/Muni. Govt. Pension Plans
Other
Sov. Wealth Funds And For. Official Inst.
Pension Plans
U.S. Individuals
Insurance Companies
Non-Profits
Non-U.S. Individuals
State/Muni. Govt. Entities
Sec-Registered Investment Companies
Banking/Thrift Inst.
Unknown Non-U.S. Investors
Broker-Dealers
2020Q1
468
526
392
286
201
132
154
140
54
56
28
37
19
1
2020Q2
468
526
392
285
201
132
154
140
54
56
28
37
19
1
2020Q3
468
526
392
285
201
132
154
140
54
56
28
37
19
1
2020Q4
656
652
513
361
246
186
189
180
65
63
27
38
25
3
2021Q1
659
654
544
387
246
187
190
180
71
63
27
38
25
3
2021Q2
662
655
544
388
247
187
190
180
71
63
27
38
25
3
2021Q3
662
655
544
388
247
187
190
180
71
63
27
38
25
3
2021Q4
953
835
816
500
323
262
252
237
83
82
49
45
33
3
Table 20: Beneficial Ownership for Section 4 Private Equity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
State/Muni. Govt. Pension Plans
Other
Sov. Wealth Funds And For. Official Inst.
Pension Plans
U.S. Individuals
Insurance Companies
Non-Profits
Non-U.S. Individuals
State/Muni. Govt. Entities
Sec-Registered Investment Companies
Banking/Thrift Inst.
Unknown Non-U.S. Investors
Broker-Dealers
2020Q1
18.8
21.1
15.7
11.5
8.1
5.3
6.2
5.6
2.2
2.3
1.1
1.5
0.7
0.1
2020Q2
18.8
21.1
15.7
11.4
8.1
5.3
6.2
5.6
2.2
2.3
1.1
1.5
0.7
0.1
18
2020Q3
18.8
21.1
15.7
11.4
8.1
5.3
6.2
5.6
2.2
2.3
1.1
1.5
0.7
0.1
2020Q4
20.5
20.3
16.0
11.3
7.7
5.8
5.9
5.6
2.0
2.0
0.8
1.2
0.8
0.1
2021Q1
20.1
20.0
16.6
11.8
7.5
5.7
5.8
5.5
2.2
1.9
0.8
1.2
0.8
0.1
2021Q2
20.2
20.0
16.6
11.8
7.5
5.7
5.8
5.5
2.2
1.9
0.8
1.2
0.8
0.1
2021Q3
20.2
20.0
16.6
11.8
7.5
5.7
5.8
5.5
2.2
1.9
0.8
1.2
0.8
0.1
2021Q4
21.3
18.7
18.2
11.2
7.2
5.9
5.6
5.3
1.9
1.8
1.1
1.0
0.7
0.1
July 19, 2022
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
Real Estate Fund
Other Private Fund
Hedge Fund
Venture Capital Fund
Qualifying Hedge Fund
Private Equity Fund
Liquidity Fund
Section 3 Liquidity Fund
Section 4 Private Equity Fund
Securitized Asset Fund
Total
2020Q1
56.6
59.0
55.6
54.7
50.5
50.5
49.3
48.2
45.0
39.4
53.7
2020Q2
56.6
59.1
55.3
54.8
50.5
50.5
46.3
45.9
44.9
39.5
53.6
2020Q3
56.6
58.5
55.4
54.7
50.6
50.5
44.2
43.8
44.9
39.1
53.5
19
2020Q4
56.2
59.6
55.4
53.8
50.8
50.2
43.8
43.6
45.2
36.6
53.3
2021Q1
56.2
59.4
55.3
53.7
50.6
51.1
45.4
45.2
46.1
35.3
53.6
2021Q2
56.1
59.4
54.3
53.9
49.8
51.1
47.4
47.1
46.2
35.0
53.3
2021Q3
56.1
60.2
54.0
53.9
49.9
51.1
46.3
46.0
46.2
35.0
53.2
2021Q4
59.0
57.0
53.9
52.5
50.0
49.4
46.1
45.8
44.8
37.3
52.2
July 19, 2022
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
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2020Q1
11,977
10,540
109
96
37
18
3
***
***
***
12,222
2020Q2
11,057
9,544
1,613
96
37
18
3
***
***
***
12,823
2020Q3
13,752
11,771
1,611
97
37
18
3
***
***
***
15,508
2020Q4
14,161
11,893
134
66
34
19
3
***
***
***
14,476
2021Q1
15,237
13,460
138
66
34
18
3
***
***
***
15,505
2021Q2
16,306
14,415
134
66
34
18
3
***
***
***
16,554
2021Q3
15,883
14,474
133
66
34
18
3
***
***
***
16,089
2021Q4
15,525
14,167
118
70
52
41
5
***
***
***
15,787
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
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2020Q1
317.7
362.8
9.0
2.9
1.5
3.6
1.5
***
***
***
128.7
2020Q2
270.8
297.8
132.7
2.9
1.5
3.6
1.5
***
***
***
130.5
2020Q3
320.5
347.1
131.0
2.9
1.5
3.6
1.5
***
***
***
154.0
20
2020Q4
304.4
333.9
10.3
1.6
1.1
3.1
1.2
***
***
***
126.0
2021Q1
317.3
361.1
10.5
1.5
1.0
2.9
1.3
***
***
***
132.2
2021Q2
318.4
356.3
10.0
1.6
1.0
2.9
1.2
***
***
***
136.8
2021Q3
311.1
348.4
10.4
1.6
1.0
2.9
1.2
***
***
***
134.1
2021Q4
303.1
338.9
7.6
1.2
1.2
5.6
1.8
***
***
***
112.5
July 19, 2022
Analytics Office
Figure 6: Distribution of Derivative Values
As reported on Form PF, Questions 13 and 44 (Third Month).
VI
A
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2020Q1
0.0
0.0
0.0
0.2
1.3
1.0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2020Q1
0.0
0.0
0.3
1.6
8.5
5.7
All Private Funds ($ Billions)
2020Q2 2020Q3 2020Q4 2021Q1 2021Q2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.2
0.2
0.2
0.2
0.2
1.3
1.4
1.3
1.4
1.4
1.0
1.1
1.0
1.1
1.2
Qualifying Hedge Funds ($ Billions)
2020Q2 2020Q3 2020Q4 2021Q1 2021Q2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.0
0.0
0.3
0.4
0.4
0.3
0.3
1.9
2.0
2.0
2.0
1.8
9.5
10.9
11.3
11.2
10.7
5.1
5.6
5.6
5.9
6.2
2021Q3
0.0
0.0
0.0
0.2
1.3
1.1
2021Q4
0.0
0.0
0.0
0.2
1.4
1.1
2021Q3
0.0
0.0
0.3
1.6
10.2
6.1
2021Q4
0.0
0.0
0.3
1.7
10.5
5.5
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
2020Q1
8,056
50
9
2020Q2
8,069
51
8
2020Q3
8,132
49
7
2020Q4
8,150
46
6
2021Q1
8,200
45
6
2021Q2
8,310
49
6
2021Q3
8,210
49
6
2021Q4
8,370
49
8
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
2020Q1
3,666
84
2
2020Q2
3,959
95
2
2020Q3
4,166
99
2
2020Q4
4,522
99
3
21
2021Q1
4,663
103
4
2021Q2
4,978
112
4
2021Q3
4,952
117
5
2021Q4
4,982
115
6
July 19, 2022
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
2020Q1
7.6
14.0
20.0
28.0
42.2
55.4
2020Q2
7.5
14.0
20.2
28.1
42.6
56.0
2020Q3
7.5
14.1
20.4
28.7
43.3
56.7
2020Q4
7.1
13.5
19.9
28.2
42.9
56.3
2021Q1
7.1
13.3
19.5
27.8
42.6
56.1
2021Q2
7.0
13.0
19.1
27.5
42.1
55.8
2021Q3
7.3
13.3
19.4
27.8
42.6
56.2
2021Q4
7.3
13.3
19.4
27.6
42.2
55.7
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
2020Q1
17.0
25.9
34.6
43.6
56.5
67.4
2020Q2
14.9
23.8
32.5
41.6
55.1
66.5
2020Q3
15.3
24.6
33.3
42.5
56.0
67.2
2020Q4
14.9
23.7
32.5
41.5
55.3
66.5
2021Q1
14.1
22.8
31.6
40.4
54.1
65.8
2021Q2
14.9
23.7
32.2
40.8
54.1
65.7
2021Q3
16.2
25.2
33.6
42.4
55.4
66.8
2021Q4
16.2
25.3
33.4
41.9
54.9
66.3
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
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
34.6
51.0
62.7
73.9
84.9
91.8
2020Q4
33.4
48.8
61.0
72.2
84.1
91.3
22
2021Q1
32.4
47.1
59.7
71.0
83.1
90.7
2021Q2
31.7
47.5
60.2
70.7
83.0
90.8
2021Q3
32.2
48.0
60.5
71.1
83.2
90.9
2021Q4
34.7
49.3
61.4
72.1
83.3
90.9
July 19, 2022
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
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
2020Q4
40.7
55.1
66.8
77.0
89.1
94.8
2021Q1
41.4
56.3
67.6
77.9
89.2
94.9
2021Q2
39.4
54.9
67.1
78.1
89.3
95.0
2021Q3
40.7
56.8
69.2
79.5
90.4
95.5
2021Q4
41.0
55.4
67.5
78.4
89.8
95.2
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
2020Q1
33.2
50.9
62.1
72.5
84.7
92.3
2020Q2
31.9
48.1
59.3
70.2
83.1
91.4
2020Q3
35.7
50.7
61.4
71.8
84.1
92.0
2020Q4
35.6
49.2
60.3
70.8
83.5
91.7
23
2021Q1
36.6
50.1
60.6
71.2
83.4
91.3
2021Q2
34.8
48.4
59.5
70.0
82.8
90.9
2021Q3
35.0
49.6
60.7
70.9
83.4
91.2
2021Q4
35.3
48.4
59.7
70.3
82.8
90.8
July 19, 2022
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
Event Driven
Relative Value
Investment in other funds
Macro
Managed Futures/CTA
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
F.I. Asset Backed
F.I. Corp.
F.I. Conv. Arb.
Volatility Arb.
F.I. Sov.
Subtotal
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Quantitative
Fundamental
Total
2020Q1
485
207
235
40
2
441
96
48
48
43
31
8
4
40
27
7
3
***
***
36
11
9
2
***
***
5
***
***
1,002
2020Q2
547
239
269
38
2
481
98
52
46
47
32
11
4
43
27
8
5
1
1
30
11
8
2
***
***
5
***
***
1,095
24
2020Q3
567
251
282
33
1
490
103
56
47
47
31
11
5
48
29
9
7
1
1
31
12
9
2
***
***
5
***
***
1,140
2020Q4
615
266
318
30
1
537
119
63
56
51
34
12
5
48
28
11
7
1
2
29
11
8
***
***
***
6
***
***
1,251
2021Q1
642
288
329
25
1
561
122
67
55
56
37
12
6
49
29
9
8
1
1
31
13
10
***
***
***
6
***
***
1,314
2021Q2
666
309
327
28
1
589
126
68
57
61
41
14
6
48
28
9
8
1
1
32
13
9
***
***
***
6
***
***
1,369
2021Q3
653
306
319
27
1
595
134
72
62
66
47
13
6
49
30
9
7
1
1
32
13
10
3
***
***
6
***
***
1,383
2021Q4
681
326
324
***
***
628
140
71
69
75
44
20
11
55
32
11
9
2
1
34
13
9
3
***
***
6
***
***
1,441
July 19, 2022
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
Event Driven
Relative Value
Investment in other funds
Macro
Managed Futures/CTA
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
F.I. Asset Backed
F.I. Corp.
F.I. Conv. Arb.
Volatility Arb.
F.I. Sov.
Subtotal
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Quantitative
Fundamental
Total
2020Q1
1,007
438
511
47
18
931
303
159
147
220
159
45
23
149
69
47
17
***
***
215
45
24
14
***
***
27
***
***
2,721
2020Q2
993
433
504
45
18
943
313
165
151
227
165
45
24
160
81
49
16
12
11
213
44
22
13
***
***
27
***
***
2,746
25
2020Q3
1,017
443
522
45
17
957
318
168
153
220
156
46
23
172
88
53
17
12
16
219
44
21
13
***
***
28
***
***
2,775
2020Q4
1,013
437
525
48
11
950
354
173
184
217
151
50
21
174
93
53
18
14
16
238
44
24
***
***
***
26
***
***
2,788
2021Q1
1,024
441
534
46
11
979
357
175
185
230
161
52
21
177
95
50
18
13
17
239
46
24
***
***
***
27
***
***
2,852
2021Q2
1,031
450
528
47
11
1,003
366
176
193
239
165
56
22
173
95
44
19
12
16
233
46
24
***
***
***
27
***
***
2,907
2021Q3
1,035
457
527
46
11
1,018
373
178
198
236
166
52
21
173
96
47
18
11
15
238
43
22
13
***
***
24
***
***
2,930
2021Q4
1,137
475
610
***
***
1,046
384
190
197
248
168
60
21
194
102
54
20
19
21
243
47
19
15
***
***
24
***
***
3,103
July 19, 2022
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
Relative Value
Other
Credit
Macro
Managed Futures/CTA
Event Driven
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
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
Global Macro
Commodity
Active Trading
Currency
Subtotal
Quantitative
Fundamental
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Total
2020Q1
779
512
190
***
***
390
248
99
18
16
9
529
206
150
56
353
344
6
***
***
153
***
***
111
72
18
21
28
1,653
2020Q2
902
608
224
***
***
377
256
74
24
12
11
538
212
152
61
343
332
6
***
***
110
***
***
117
81
19
17
29
1,820
26
2020Q3
994
670
249
***
***
375
252
76
24
12
11
565
220
155
65
434
425
6
***
***
132
***
***
136
93
21
22
28
1,938
2020Q4
1,179
803
293
***
***
408
272
79
29
14
13
616
235
175
61
379
368
7
***
***
151
***
***
147
95
24
28
30
2,159
2021Q1
1,160
779
296
***
***
410
274
80
24
17
15
655
248
186
62
379
369
7
***
***
167
***
***
168
103
29
35
35
2,208
2021Q2
1,280
830
357
***
***
423
283
78
27
19
16
744
304
238
66
404
392
9
***
***
201
***
***
182
110
31
41
34
2,418
2021Q3
1,275
825
360
***
***
445
299
79
28
22
17
760
325
228
96
385
373
8
***
***
233
***
***
178
112
33
33
35
2,457
2021Q4
1,268
813
355
***
***
456
315
76
27
22
16
763
288
210
77
265
255
7
***
***
209
***
***
185
117
35
33
33
2,430
July 19, 2022
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
Relative Value
Other
Credit
Macro
Managed Futures/CTA
Event Driven
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
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
Global Macro
Commodity
Active Trading
Currency
Subtotal
Quantitative
Fundamental
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Total
2020Q1
1,059
632
317
***
***
303
56
129
97
34
27
828
333
237
99
216
163
44
***
***
132
***
***
295
206
78
47
127
3,078
2020Q2
1,029
620
312
***
***
300
58
134
97
28
27
811
340
244
99
209
158
40
***
***
124
***
***
300
215
74
44
130
3,047
27
2020Q3
1,030
618
315
***
***
297
57
138
94
26
26
808
345
246
101
213
163
41
***
***
121
***
***
306
223
72
43
126
3,066
2020Q4
1,075
636
342
***
***
306
60
151
94
26
24
839
343
244
102
213
163
38
***
***
115
***
***
305
214
77
43
113
3,119
2021Q1
1,050
609
342
***
***
305
57
149
92
26
27
823
343
243
103
213
163
40
***
***
118
***
***
313
218
82
43
130
3,101
2021Q2
1,084
612
375
***
***
307
55
151
98
25
25
878
359
255
107
212
162
38
***
***
120
***
***
318
220
80
48
104
3,179
2021Q3
1,072
607
379
***
***
304
54
147
98
25
27
854
356
249
111
207
160
34
***
***
123
***
***
321
223
79
47
102
3,129
2021Q4
1,080
625
383
***
***
295
57
141
91
27
24
836
353
248
108
203
161
37
***
***
108
***
***
305
210
73
48
100
3,065
July 19, 2022
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
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 3(a) and 26.
1-1
1-1
202
202
202
1
1-1
1.0
1.2
1.9
3.5
8.9
4.1
2
1
1.0
1.2
1.9
3.6
8.9
4.1
202
202
1-1
1.0
1.1
1.9
3.5
8.3
4.0
202
1-0
202
1.0
1.1
1.9
3.6
8.4
4.0
202
1-1
0
0.9
1.2
1.9
3.5
8.1
3.9
9
1.0
1.1
1.9
3.4
8.2
3.9
1-0
1-0
202
0.9
1.1
1.9
3.6
8.1
3.9
202
1-0
1-0
0.9
1.1
1.9
3.4
7.9
3.8
202
4
202
1-0
3
1-0
1.0
1.1
1.8
3.4
7.8
3.9
1-0
0.9
1.2
1.9
3.5
8.4
4.0
202
2
1-0
1-0
202
202
0.9
1.1
1.8
3.3
8.1
3.8
-12
202
1-0
9
28
1.0
1.2
1.9
3.5
7.8
4.0
1
2
202
0-1
1
0-1
0.9
1.1
1.9
3.6
7.8
4.1
1
202
1-0
8
1.0
1.2
2.1
4.2
13.2
6.8
0
202
1-0
7
1.0
1.3
2.1
4.5
14.5
7.3
8
202
1-0
6
1.0
1.3
2.1
4.5
14.4
7.2
7
202
1-0
5
1.0
1.2
2.0
4.1
13.3
6.8
6
202
1.0
1.2
2.1
4.4
15.1
7.0
5
202
1-0
3
1.0
1.2
2.1
4.4
13.7
6.7
4
202
1-0
2
1.0
1.2
2.1
4.3
13.1
6.5
0.8
1.1
1.8
3.3
7.5
3.8
0-1
2
202
1-0
1
1.0
1.2
2.1
4.5
13.8
7.1
202
0.9
1.2
2.1
4.4
12.1
6.5
202
0-1
1
1.0
1.3
2.0
4.3
11.6
6.1
0-1
0
1.0
1.3
2.1
4.6
12.6
6.5
202
1.0
1.2
1.9
3.3
7.8
3.9
0.9
0.9
1.0
0.9
1.2
1.3
1.3
1.2
1.9
2.1
2.1
2.0
4.6
4.7
4.5
4.3
12.3 13.6 12.3 12.0
6.9
7.6
6.3
6.1
Excluding IRDs
202
9
1.0
1.2
1.9
3.5
8.3
4.2
202
202
0-0
0.9
1.2
1.9
3.4
7.7
3.9
0-0
8
0.9
1.1
1.9
3.4
7.1
4.1
202
0
0.9
1.2
1.9
3.4
7.7
4.2
0-0
6
0.9
1.2
1.8
3.4
7.8
4.2
202
-04
202
0-0
1.0
1.2
1.9
3.3
7.2
4.3
202
0
0-0
202
2
0-0
0-0
202
1.1
1.4
2.2
4.4
9.5
5.7
9
1.0
1.3
2.1
4.6
12.6
6.5
0-1
0
1.0
1.3
2.2
4.8
13.0
7.3
202
8
202
0-0
1.0
1.3
2.1
4.5
12.6
6.8
1.1
1.5
2.3
4.5
9.6
5.4
0-0
7
1.0
1.3
2.1
4.2
11.5
6.5
-07
202
0-0
6
202
5
1.0
1.3
2.2
4.5
14.8
7.1
0-0
202
0.9
1.3
2.1
4.4
14.7
6.9
5
202
0-0
3
1.0
1.3
2.1
4.3
14.1
7.0
202
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0-0
4
202
1.1
1.6
2.5
5.6
18.0
9.4
3
202
0-0
0-0
2
202
1.1
1.6
2.5
5.6
17.0
8.8
1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
0
-01
Including Interest Rate Derivatives (IRDs)
1.0
1.1
1.9
3.3
8.2
3.9
July 19, 2022
Analytics Office
Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and Short Notional
Exposure (SNE) to Net Asset Value
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 3(a) and 26.
29
1
2
1-1
202
1 -1
0.0
0.2
0.5
1.5
4.3
1.8
0.0
0.1
0.5
1.5
4.4
1.8
0.0
0.1
0.5
1.4
3.9
1.7
-12
-12
1
1
0.1
0.2
0.7
2.0
8.3
3.8
1.0
1.1
1.5
2.3
4.5
2.6
0.0
0.2
0.6
2.0
7.3
3.4
202
1-1
2
1
0.1
0.2
0.7
2.0
8.1
3.6
202
1
1-1
1-1
0.0
0.2
0.6
1.9
7.5
3.3
1.0
1.1
1.5
2.6
7.3
3.9
202
1
0
1-1
202
0
1-1
202
1-1
0
0.9
1.1
1.5
2.3
5.0
2.6
202
9
202
202
0.9
1.1
1.5
2.3
5.0
2.6
202
202
1-0
9
0.9
1.1
1.5
2.7
7.7
4.2
202
1-1
0.0
0.1
0.5
1.4
4.1
1.7
0.9
1.1
1.6
2.7
7.4
4.2
202
1-1
0
0.0
0.1
0.5
1.4
3.9
1.7
0.0
0.1
0.5
1.5
3.8
1.6
1-0
1-0
8
202
1-0
9
8
0.1
0.2
0.6
2.0
7.7
3.5
202
1-0
0.1
0.2
0.6
2.1
7.1
3.3
0.9
1.1
1.4
2.3
4.7
2.5
202
-07
202
1-0
8
7
1-0
0.9
1.1
1.4
2.3
5.3
2.6
202
202
0.9
1.1
1.4
2.3
5.0
2.5
202
1.0
1.1
1.5
2.7
6.6
4.0
1-0
7
1-0
6
0.9
1.1
1.5
2.7
8.0
4.1
202
6
1-0
202
5
0.9
1.1
1.5
2.7
7.4
4.0
0.0
0.2
0.6
2.1
7.2
3.2
202
5
0.0
0.1
0.5
1.5
3.8
1.7
202
1
202
6
1-0
202
5
1-0
0.9
1.1
1.5
2.3
4.9
2.4
1-0
0.1
0.2
0.7
2.2
6.7
3.4
1-0
4
1-0
5
202
1-0
4
202
1-0
4
0.9
1.1
1.5
2.7
7.0
3.9
202
1-0
-04
0.0
0.1
0.5
1.4
3.9
1.6
0.9
1.1
1.5
2.4
4.8
2.4
202
3
202
3
202
202
3
1-0
0.0
0.1
0.5
1.4
4.1
1.8
0.0
0.2
0.6
2.0
6.6
3.1
202
1
1-0
202
2
0.0
0.2
0.6
2.1
6.1
3.1
202
0.0
0.1
0.5
1.5
4.0
1.8
0.9
1.1
1.4
2.3
4.7
2.4
3
1-0
2
1-0
1-0
0.9
1.1
1.4
2.2
4.9
2.5
0.9
1.1
1.6
2.8
7.5
4.1
1-0
9
0.0
0.1
0.5
1.4
3.8
1.7
0.9
1.1
1.5
2.7
7.1
3.8
202
1-0
8
0.0
0.1
0.5
1.4
3.8
1.7
202
1-0
1
0-1
2
1
0
0-1
202
0.0
0.1
0.5
1.4
4.2
1.8
202
1-0
2
1-0
2
1-0
202
1-0
1
2
202
0-1
1
-10
0-1
202
202
202
0-1
0.0
0.1
0.5
1.3
3.4
1.6
202
1
1-0
202
202
0-1
2
1
-10
0-1
202
202
0-0
9
202
0
202
0
0-0
9
0.0
0.1
0.5
1.4
3.9
1.9
202
0-0
9
0.1
0.1
0.1
0.0
0.1
0.0
0.2
0.2
0.2
0.2
0.2
0.2
0.6
0.6
0.6
0.6
0.6
0.6
2.1
2.0
2.1
2.0
1.9
2.1
6.4
5.7
6.3
5.7
6.5
6.8
3.0
2.8
3.1
2.8
2.9
3.0
Short Exposure Excluding IRDs
0.9
1.1
1.5
2.7
6.7
3.7
202
1
1-0
202
202
2
1
0-1
0-1
202
-09
0-1
0
202
202
202
0
202
0.9
0.8
0.9
0.9
0.9
0.9
1.1
1.0
1.0
1.1
1.0
1.1
1.5
1.3
1.5
1.5
1.4
1.4
2.2
2.2
2.3
2.3
2.2
2.3
4.9
4.6
4.9
4.8
4.9
5.0
2.4
2.4
2.6
2.5
2.4
2.5
Short Exposure Including IRDs
202
-08
0.0
0.2
0.5
1.4
4.4
1.9
0.9
0.8
0.9
0.9
0.9
0.9
1.1
1.0
1.1
1.1
1.1
1.1
1.6
1.4
1.5
1.6
1.5
1.5
2.8
2.9
3.0
2.9
2.6
2.9
6.8
7.0
7.4
6.8
7.1
7.2
3.9
4.0
4.2
3.8
3.6
3.8
Long Exposure Excluding IRDs
202
0-0
8
0-0
8
0.1
0.2
0.7
2.1
6.9
3.4
0-0
8
0-0
7
-06
202
0
202
-07
0.0
0.2
0.5
1.3
4.1
1.7
0.9
1.1
1.5
2.2
5.0
2.5
202
-07
-07
0.1
0.2
0.6
2.0
6.6
3.2
0.9
1.1
1.6
3.0
7.4
4.2
202
202
202
0
202
0
0-0
6
0-0
6
0.0
0.2
0.5
1.3
3.6
1.8
0.9
1.0
1.4
2.2
4.9
2.4
202
0
202
202
0.1
0.2
0.7
1.8
6.0
3.0
0.9
1.1
1.5
2.9
7.2
3.9
202
1-0
7
0.0
0.2
0.5
1.3
4.2
1.8
0.9
1.1
1.5
2.2
4.5
2.5
202
0-0
5
0-0
5
0.1
0.2
0.7
2.0
7.5
3.3
0-0
6
202
0
-05
202
0
0-0
5
202
-04
0.0
0.2
0.5
1.3
3.9
1.8
0.9
1.0
1.5
2.3
4.9
2.6
202
-04
0-0
3
0.1
0.2
0.5
1.3
3.4
1.9
4
0.1
0.2
0.6
2.0
7.6
3.2
0.9
1.1
1.6
2.7
6.6
3.8
202
3
0-0
4
202
0-0
0-0
3
0-0
3
202
0
202
0.1
0.2
0.6
1.9
7.9
3.3
202
0-0
2
0-0
0.1
0.2
0.6
1.8
4.7
2.5
0.9
1.0
1.4
2.2
4.8
2.6
0.9
1.1
1.6
2.8
8.2
4.1
1-0
6
0.1
0.2
0.6
1.9
4.6
2.3
202
0-0
202
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.9
1.1
1.5
2.7
8.2
3.9
202
0
2
0.1
0.3
0.8
2.6
11.4
4.5
202
2
2
0-0
202
0-0
202
0.1
0.3
0.8
2.5
10.6
4.1
1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.9
1.1
1.4
2.3
4.5
2.6
202
1.0
1.2
1.7
2.8
6.0
3.4
1.0
1.1
1.5
2.7
8.2
3.9
202
0-0
0-0
0-0
0-0
202
1.0
1.3
1.7
2.8
5.9
3.3
1.0
1.3
1.8
3.4
9.7
5.2
1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
202
1.1
1.3
1.8
3.5
10.3
5.0
1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
1
Long Exposure Including IRDs
0.0
0.1
0.5
1.3
4.2
1.8
July 19, 2022
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
2020-01
2020-02
2020-03
2020-04
2020-05
2020-06
2020-07
2020-08
2020-09
2020-10
2020-11
2020-12
2021-01
2021-02
2021-03
2021-04
2021-05
2021-06
2021-07
2021-08
2021-09
2021-10
2021-11
2021-12
Top 10 Advisers (NAV)
19.1
19.1
19.1
18.3
18.3
18.3
18.4
18.4
18.5
16.8
16.8
16.8
16.2
16.2
16.2
16.3
16.3
16.3
16.3
17.0
17.0
17.1
17.1
17.1
Top 20 Advisers (NAV)
29.6
29.6
29.6
29.0
29.0
29.0
29.1
29.1
29.3
26.4
26.4
26.4
26.2
26.2
26.2
26.5
26.4
26.4
26.6
27.5
27.5
27.4
27.4
27.4
30
Top 10 Advisers (GNE)
37.9
38.6
40.9
40.6
40.4
39.7
42.0
40.5
40.2
39.8
39.1
39.2
40.2
42.1
41.3
40.6
40.4
40.0
40.6
39.2
38.8
38.3
38.4
38.1
Top 20 Advisers (GNE)
55.2
55.8
56.5
56.6
56.0
55.5
57.1
56.5
55.9
55.6
56.1
54.4
55.7
57.4
55.8
55.4
55.6
54.6
56.7
56.2
55.6
56.3
56.3
54.7
July 19, 2022
C
Analytics Office
Portfolio Turnover
Table 36: Aggregate Portfolio Turnover ($ Billions)
As reported on Form PF, Question 27.
Month
2020-01
2020-02
2020-03
2020-04
2020-05
2020-06
2020-07
2020-08
2020-09
2020-10
2020-11
2020-12
2021-01
2021-02
2021-03
2021-04
2021-05
2021-06
2021-07
2021-08
2021-09
2021-10
2021-11
2021-12
Futures
13,069
19,150
25,073
9,351
12,203
12,862
7,968
10,052
11,043
9,346
12,519
17,703
10,690
17,637
18,604
9,445
13,934
16,641
12,043
13,973
16,020
19,432
17,055
14,329
Sov. and muni. bonds
3,799
4,625
6,465
4,464
4,189
4,038
3,345
3,829
3,738
4,159
4,665
4,408
4,430
5,568
5,505
4,030
4,419
5,182
5,110
5,438
5,485
5,666
6,210
4,672
Listed equities
2,719
2,916
4,071
2,658
2,677
3,201
2,928
2,552
2,866
2,756
3,227
2,993
3,454
3,460
4,131
3,211
3,376
3,678
3,158
3,101
3,437
3,408
3,778
3,842
Corporate bonds
176
167
230
226
211
220
164
165
207
189
171
125
176
176
189
173
157
151
142
140
168
183
164
121
Convertible bonds
36
31
36
39
44
51
40
39
38
44
55
56
58
63
63
51
44
48
29
39
54
38
53
38
Total
19,798
26,890
35,875
16,738
19,324
20,372
14,444
16,638
17,891
16,493
20,637
25,285
18,807
26,904
28,491
16,910
21,929
25,702
20,482
22,690
25,164
28,727
27,261
23,001
Figure 9: Distributions of Portfolio Turnover
(Winsorized, limits=[1%,99%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 3(a) and 27.
0.0
0.1
0.5
2.1
13.7
5.9
0.0
0.1
0.4
2.1
15.7
7.6
0.0
0.1
0.5
2.6
19.2
8.3
0.0
0.1
0.3
1.7
11.7
4.6
0.0
0.1
0.4
2.0
13.7
6.0
0.0
0.1
0.4
1.9
16.6
7.1
0.0
0.1
0.3
1.6
14.0
6.5
0.0
0.1
0.3
1.7
12.5
7.0
0.0
0.1
0.4
1.6
15.4
7.2
0.0
0.1
0.3
1.6
14.3
7.3
0.0
0.1
0.4
1.9
16.7
8.0
0.0
0.1
0.4
1.7
13.6
6.4
1-1
1-1
1-0
0-1
0-0
-12
0.0
0.1
0.4
2.1
15.6
7.2
1
202
1
1-1
2
1
202
0
1-1
0.0
0.1
0.4
1.9
14.6
7.0
0
202
1-1
202
9
202
202
1-0
202
202
1-0
9
-08
202
1
8
1-0
202
0.0
0.1
0.3
2.0
13.7
5.8
-06
202
0.0
0.1
0.4
2.2
16.5
6.2
31
1-0
7
1-0
6
202
1-0
7
5
202
1
202
202
1
0.0
0.1
0.4
1.8
13.7
6.2
-05
202
1-0
-04
202
1-0
3
0.0
0.1
0.4
1.8
13.3
4.9
4
202
1-0
2
202
3
1-0
1
202
0.0
0.1
0.6
2.3
19.8
7.3
0-1
2
0.0
0.1
0.4
2.2
14.5
6.9
-11
0.0
0.1
0.5
2.3
15.4
6.7
0
0.1
0.3
1.1
4.7
35.3
13.9
6
0.0
0.2
0.7
3.0
23.8
11.4
3
0.0
0.1
0.6
2.5
19.2
8.6
-02
202
202
1
2
0.1
0.2
1.0
5.9
44.8
32.0
202
0
1-0
0.1
0.3
1.1
6.7
46.5
38.7
202
1-0
0.0
0.2
0.9
5.3
48.7
40.0
202
0-0
9
202
0.1
0.2
1.0
5.7
48.5
37.0
-07
202
0.0
0.2
0.9
5.2
46.0
34.4
202
0-0
8
202
0.1
0.2
0.8
5.0
42.5
31.0
202
0
0.1
0.3
1.1
6.5
50.0
38.4
5
0.1
0.3
1.1
5.8
45.2
32.2
202
0-0
0.1
0.2
0.9
5.2
36.3
25.9
4
0.1
0.3
1.4
7.5
56.8
41.7
202
0-0
202
2
0.1
0.1
0.0
0.1
0.1
0.1
0.3
0.2
0.3
0.3
0.3
0.3
1.1
0.9
1.1
1.1
1.2
1.2
6.3
5.8
7.0
6.2
6.2
6.3
45.1 41.4 42.3 48.1 44.1 49.4
30.2 26.6 30.8 33.1 29.4 40.1
Total Turnover to NAV Ratio
0-1
0.1
0.3
1.0
5.6
43.3
27.6
0-0
202
1-0
1
202
0-0
9
0
202
0-0
8
0.1
0.3
0.9
5.5
40.3
22.3
0-1
-07
202
0
0.1
0.3
1.4
6.7
50.8
31.8
202
202
0-1
1
5
202
0-0
0.1
0.3
1.1
6.2
44.0
31.2
202
6
4
202
0-0
3
0-0
0.1
0.4
1.2
6.4
44.9
27.6
0-0
202
0.2
0.6
2.3
11.6
89.7
55.2
1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
-02
202
0.1
0.3
1.4
7.5
64.5
43.7
202
0
1
202
0
0.1
0.3
1.1
6.6
49.5
31.4
202
0-0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
0-0
Total Turnover ($ Billions)
July 19, 2022
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
Supranational
Middle East
Africa
2020Q1
4,940
1,443
658
93
87
42
40
30
2020Q2
4,943
1,419
674
94
86
54
28
37
2020Q3
5,422
1,639
815
126
98
35
35
40
2020Q4
5,096
1,533
803
107
93
33
29
40
2021Q1
5,275
1,353
782
291
85
45
29
34
2021Q2
5,587
1,491
816
313
91
47
55
38
2021Q3
5,847
1,595
800
314
87
51
31
33
2021Q4
5,942
1,482
768
306
86
48
30
27
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
Supranational
Middle East
Africa
2020Q1
151.8
44.4
20.2
2.8
2.7
1.3
1.2
0.9
2020Q2
138.8
39.9
18.9
2.6
2.4
1.5
0.8
1.0
2020Q3
143.4
43.3
21.6
3.3
2.6
0.9
0.9
1.1
2020Q4
129.8
39.0
20.5
2.7
2.4
0.8
0.7
1.0
32
2021Q1
127.9
32.8
19.0
7.1
2.1
1.1
0.7
0.8
2021Q2
127.7
34.1
18.7
7.2
2.1
1.1
1.3
0.9
2021Q3
128.5
35.1
17.6
6.9
1.9
1.1
0.7
0.7
2021Q4
131.0
32.7
16.9
6.7
1.9
1.1
0.7
0.6
July 19, 2022
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
India
Brazil
Russia
2020Q1
4,716
181
221
29
32
15
2020Q2
4,721
221
191
30
33
17
2020Q3
5,159
271
214
32
36
17
2020Q4
4,858
285
215
36
38
18
2021Q1
5,018
280
209
46
33
16
2021Q2
5,287
284
219
52
43
18
2021Q3
5,477
251
233
53
33
16
2021Q4
5,546
239
217
51
33
16
2021Q3
120.4
5.5
5.1
1.2
0.7
0.3
2021Q4
122.3
5.3
4.8
1.1
0.7
0.3
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
India
Brazil
Russia
2020Q1
144.9
5.6
6.8
0.9
1.0
0.5
2020Q2
132.6
6.2
5.4
0.8
0.9
0.5
2020Q3
136.4
7.2
5.7
0.9
1.0
0.4
33
2020Q4
123.7
7.3
5.5
0.9
1.0
0.5
2021Q1
121.6
6.8
5.1
1.1
0.8
0.4
2021Q2
120.8
6.5
5.0
1.2
1.0
0.4
July 19, 2022
VIII
A
Analytics Office
Qualifying Hedge Fund Specific Information
Economic Leverage
Figure 10: Ratio of Qualifying Hedge Fund Gross Notional Exposure to Net Asset Value
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 9, 10, 26, and 30.
-1 2
202
1
1-1
202
1.0
1.2
1.7
3.3
7.6
3.5
202
1
1-1
202
1.0
1.1
1.7
3.2
7.9
3.5
-12
1-1
202
1
1-1
202
1.0
1.1
1.6
3.1
7.1
3.3
1
202
1 -0
9
202
8
1-0
1.0
1.1
1.6
3.1
7.4
3.4
0
202
1 -0
8
1.0
1.1
1.7
3.2
7.1
3.4
202
1-0
1-0
202
1.0
1.1
1.6
3.1
7.2
3.4
202
1-0
202
1.0
1.1
1.7
3.3
7.5
3.6
0
202
1-0
7
1.0
1.2
1.7
3.2
7.4
3.5
5
4
202
1-0
3
1-0
1.0
1.1
1.7
3.0
6.8
3.3
1-0
9
202
1-0
6
1.0
1.1
1.7
3.3
7.2
3.4
202
1-0
0-1
202
1-0
1.0
1.2
1.7
3.1
7.2
3.4
202
2
1
0-1
202
34
1.0
1.1
1.7
3.0
6.7
3.3
7
202
1-0
5
1.0
1.2
1.9
3.6
11.0
5.2
6
202
1.1
1.3
2.0
4.2
12.3
6.4
1.0
1.2
1.8
3.4
7.3
3.6
4
202
1 -0
3
1.1
1.3
1.9
4.1
11.9
6.2
1-0
202
1 -0
2
1.0
1.3
1.9
3.7
10.9
5.4
2
1.1
1.2
1.9
3.8
11.7
5.7
1
1.1
1.3
1.9
3.9
11.6
5.6
202
0 -1
2
202
1-0
1
1.0
1.3
1.9
3.8
11.9
5.6
202
1.1
1.3
2.0
4.3
13.0
6.3
1.0
1.2
1.8
3.3
7.6
3.6
202
0-1
1
1.1
1.3
2.0
4.2
12.5
6.1
0-1
0
1.0
1.2
1.9
3.8
10.8
5.4
202
9
9
1.0
1.1
1.7
2.9
6.5
3.2
1.1
1.3
2.0
4.2
11.3
5.8
0-1
0
202
0-0
1.0
1.2
1.7
3.1
6.7
3.3
1.0
1.2
1.8
3.1
6.6
3.3
1.1
1.1
1.1
1.1
1.4
1.4
1.3
1.3
2.1
2.1
2.0
2.0
4.4
4.3
3.9
4.1
12.5 11.8 10.9 11.3
6.1
6.3
5.3
5.7
Excluding IRDs
202
8
202
0-0
0-0
8
0-0
7
1.1
1.3
2.0
3.8
9.7
5.2
-07
1.1
1.4
2.0
4.3
10.4
5.7
202
6
1.0
1.1
1.7
2.9
6.0
3.1
1.1
1.4
2.1
4.3
10.8
5.8
202
0
5
0-0
202
0-0
6
1.0
1.2
1.8
3.1
6.2
3.4
202
1.0
1.2
1.8
3.2
6.2
3.4
202
0-0
1.0
1.1
1.7
3.0
5.8
3.2
202
3
0-0
202
0-0
202
1.1
1.3
1.9
3.8
8.6
4.2
1.0
1.3
2.0
3.8
9.6
5.1
202
1.1
1.3
2.0
3.8
8.5
4.1
5
1.1
1.4
2.2
4.3
10.9
5.9
202
0-0
202
0-0
3
202
1.1
1.4
2.1
4.3
10.4
5.7
0-0
4
202
0-0
1.1
1.3
2.0
3.9
8.9
5.4
2
1.2
1.5
2.3
4.8
13.0
7.2
202
0-0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0-0
4
1
202
0-0
202
1.2
1.5
2.3
4.9
12.8
6.9
1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0-0
2
Including Interest Rate Derivatives (IRDs)
1.0
1.1
1.7
2.9
6.8
3.2
July 19, 2022
Analytics Office
Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and
Short Notional Exposure (SNE) to Net Asset Value
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 9, 10, 26, and 30.
35
1
2
1-1
202
1 -1
0.0
0.1
0.5
1.6
4.1
1.6
0.0
0.1
0.5
1.5
4.0
1.5
0.0
0.1
0.4
1.4
3.8
1.4
-12
-12
1
1
0.0
0.2
0.6
1.9
7.3
3.2
1.0
1.0
1.3
2.1
4.0
2.1
0.0
0.2
0.5
1.7
6.5
2.7
202
1-1
2
1
0.0
0.2
0.6
1.9
7.2
3.1
202
1
1-1
1-1
0.0
0.1
0.5
1.7
6.0
2.5
1.0
1.1
1.5
2.5
5.9
3.2
202
1
0
1-1
202
0
1-1
202
1-1
0
1.0
1.1
1.4
2.2
4.3
2.3
202
9
202
202
1.0
1.1
1.4
2.2
4.5
2.3
202
202
1-0
9
1.0
1.1
1.5
2.7
6.3
3.7
202
1-1
0.0
0.1
0.4
1.4
3.9
1.5
1.0
1.1
1.5
2.7
6.7
3.7
202
1-1
0
0.0
0.1
0.4
1.3
3.9
1.5
0.0
0.1
0.4
1.4
3.8
1.4
1-0
1-0
8
202
1-0
9
8
0.0
0.2
0.5
1.7
6.3
2.6
202
1-0
0.0
0.2
0.6
1.7
6.8
2.5
1.0
1.0
1.3
2.2
4.3
2.2
202
-07
202
1-0
8
7
1-0
1.0
1.1
1.3
2.1
4.4
2.3
202
202
1.0
1.1
1.4
2.2
4.4
2.3
202
1.0
1.1
1.5
2.5
5.8
3.3
1-0
7
1-0
6
1.0
1.1
1.5
2.5
6.6
3.5
202
6
1-0
202
5
1.0
1.1
1.5
2.7
6.5
3.5
0.0
0.2
0.5
1.7
5.9
2.5
202
5
0.0
0.1
0.5
1.4
3.7
1.5
202
1
202
6
1-0
202
5
1-0
1.0
1.0
1.4
2.2
4.3
2.2
1-0
0.0
0.2
0.6
1.8
6.7
2.8
1-0
4
1-0
5
202
1-0
4
202
1-0
4
1.0
1.1
1.5
2.5
6.1
3.5
202
1-0
-04
0.0
0.1
0.4
1.4
3.7
1.4
1.0
1.1
1.4
2.2
4.4
2.3
202
3
202
3
202
202
3
1-0
0.0
0.1
0.4
1.3
3.5
1.4
0.0
0.2
0.6
1.8
6.2
2.8
202
1
1-0
202
2
0.0
0.2
0.6
1.7
5.4
2.5
202
0.0
0.1
0.5
1.4
3.5
1.5
1.0
1.1
1.4
2.2
4.4
2.3
3
1-0
2
1-0
1-0
1.0
1.0
1.3
2.1
3.9
2.1
1.0
1.1
1.5
2.7
6.8
3.8
1-0
9
0.0
0.1
0.5
1.3
3.4
1.5
1.0
1.1
1.5
2.7
6.7
3.6
202
1-0
8
0.0
0.1
0.4
1.3
3.4
1.4
202
1-0
1
0-1
2
1
0
0-1
202
0.0
0.2
0.5
1.4
3.6
1.5
202
1-0
2
1-0
2
1-0
202
1-0
1
2
202
0-1
1
-10
0-1
202
202
202
0-1
0.0
0.2
0.5
1.3
3.4
1.5
202
1
1-0
202
202
0-1
2
1
-10
0-1
202
202
0-0
9
202
0
202
0
0-0
9
0.0
0.1
0.4
1.2
3.1
1.3
202
0-0
9
0.0
0.1
0.1
0.0
0.0
0.0
0.2
0.2
0.2
0.2
0.2
0.2
0.6
0.6
0.6
0.6
0.6
0.6
1.5
1.7
1.8
1.6
1.7
1.8
4.8
5.5
5.7
5.2
5.4
5.7
2.2
2.6
2.8
2.3
2.5
2.7
Short Exposure Excluding IRDs
1.0
1.1
1.5
2.5
6.1
3.3
202
1
1-0
202
202
2
1
0-1
0-1
202
-09
0-1
0
202
202
202
0
202
1.0
1.0
1.0
1.0
1.0
1.0
1.1
1.1
1.1
1.1
1.1
1.1
1.4
1.4
1.4
1.4
1.4
1.4
2.1
2.3
2.3
2.1
2.2
2.2
4.0
4.4
4.4
4.2
4.3
4.2
2.1
2.4
2.3
2.2
2.2
2.3
Short Exposure Including IRDs
202
-08
0.0
0.2
0.5
1.3
3.4
1.4
1.0
1.0
1.0
1.0
1.0
1.0
1.1
1.1
1.2
1.1
1.1
1.1
1.5
1.5
1.6
1.5
1.5
1.5
2.6
2.7
2.7
2.5
2.7
2.6
5.9
7.3
7.0
6.2
6.7
6.4
3.3
3.7
3.8
3.3
3.5
3.6
Long Exposure Excluding IRDs
202
0-0
8
0-0
8
0.0
0.2
0.6
1.7
5.2
2.4
0-0
8
0-0
7
-06
202
0
202
-07
0.0
0.2
0.5
1.2
3.2
1.4
1.0
1.1
1.4
2.2
4.1
2.2
202
-07
-07
0.0
0.2
0.6
1.7
5.1
2.4
1.0
1.2
1.6
2.8
6.2
3.6
202
202
202
0
202
0
0-0
6
0-0
6
0.0
0.1
0.4
1.2
3.0
1.3
1.0
1.1
1.4
2.2
4.2
2.2
202
0
202
202
0.0
0.2
0.6
1.6
4.7
2.1
1.0
1.2
1.6
2.8
6.5
3.5
202
1-0
7
0.0
0.2
0.5
1.2
3.0
1.4
1.0
1.1
1.4
2.1
3.8
2.1
202
0-0
5
0-0
5
0.0
0.2
0.6
1.7
5.2
2.6
0-0
6
202
0
-05
202
0
0-0
5
202
-04
0.0
0.2
0.5
1.2
2.9
1.4
1.0
1.1
1.4
2.2
3.8
2.2
202
-04
0-0
3
0.0
0.1
0.5
1.2
2.7
1.4
4
0.1
0.2
0.6
1.7
5.1
2.5
1.0
1.1
1.6
2.5
5.5
3.2
202
3
0-0
4
202
0-0
0-0
3
0-0
3
202
0
202
0.0
0.2
0.6
1.6
4.3
2.4
202
0-0
2
0-0
0.0
0.2
0.5
1.7
4.6
1.9
1.0
1.1
1.4
2.2
3.8
2.2
1.0
1.2
1.6
2.7
6.4
3.5
1-0
6
0.0
0.1
0.5
1.6
4.2
1.8
202
0-0
202
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1.0
1.2
1.6
2.6
6.3
3.4
202
0
2
0.0
0.2
0.7
2.1
7.5
3.3
202
2
2
202
0-0
0-0
202
0.0
0.2
0.7
2.1
7.0
3.0
1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1.0
1.1
1.4
2.1
3.6
2.1
202
1.1
1.2
1.6
2.5
5.3
2.7
1.0
1.1
1.6
2.5
5.2
3.3
202
0-0
0-0
0-0
0-0
202
1.1
1.2
1.6
2.6
5.1
2.7
1.1
1.3
1.7
3.0
7.4
4.3
1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
202
1.1
1.3
1.7
3.0
7.3
4.2
1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
1
Long Exposure Including IRDs
0.0
0.1
0.4
1.3
3.8
1.4
July 19, 2022
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. Conv. Arb.
F.I. Asset Backed
Volatility Arb.
F.I. Corp.
Subtotal
Global Macro
Commodity
Currency
Active Trading
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Quantitative
Fundamental
Subtotal
Total
2020Q1
1,369
713
364
***
***
1,106
1,106
836
55
129
32
53
644
577
28
***
***
326
239
87
271
140
65
65
159
158
1
50
5,031
2020Q2
1,632
867
435
329
1
1,126
983
700
80
116
26
62
641
572
25
***
***
357
264
93
281
159
64
59
126
***
***
42
5,188
2020Q3
1,748
957
477
***
***
1,128
1,023
689
101
135
26
72
797
725
28
***
***
370
272
98
307
162
71
74
149
145
4
43
5,565
2020Q4
1,965
1,090
537
***
***
1,189
997
676
121
112
32
56
746
681
31
***
***
392
294
98
366
169
96
101
165
***
***
43
5,862
2021Q1
2,026
1,114
564
***
***
1,247
981
647
129
103
43
58
741
670
34
***
***
414
316
98
408
180
116
111
169
***
***
51
6,037
2021Q2
2,233
1,204
640
390
0
1,365
1,031
692
133
95
48
63
818
740
44
***
***
447
345
102
452
186
138
129
215
***
***
54
6,616
2021Q3
2,228
1,200
649
***
***
1,427
1,035
691
126
100
57
61
893
790
66
***
***
452
347
105
449
202
141
107
246
***
***
57
6,788
2021Q4
2,241
1,211
634
396
0
1,456
1,063
709
123
102
65
63
794
704
54
***
***
478
359
119
458
205
145
108
222
***
***
65
6,777
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
July 19, 2022
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. Conv. Arb.
F.I. Asset Backed
Volatility Arb.
F.I. Corp.
Subtotal
Global Macro
Commodity
Currency
Active Trading
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Quantitative
Fundamental
Subtotal
Total
2020Q1
47.1
24.6
12.5
***
***
38.1
38.1
28.8
1.9
4.5
1.1
1.8
22.2
19.9
1.0
***
***
11.2
8.2
3.0
9.3
4.8
2.2
2.2
5.5
5.4
0.1
1.7
173.2
2020Q2
50.9
27.1
13.6
10.3
0.0
35.1
30.7
21.8
2.5
3.6
0.8
1.9
20.0
17.9
0.8
***
***
11.1
8.2
2.9
8.8
5.0
2.0
1.8
3.9
***
***
1.3
161.9
37
2020Q3
51.5
28.2
14.1
***
***
33.3
30.2
20.3
3.0
4.0
0.8
2.1
23.5
21.4
0.8
***
***
10.9
8.0
2.9
9.1
4.8
2.1
2.2
4.4
4.3
0.1
1.3
164.1
2020Q4
55.2
30.6
15.1
***
***
33.4
28.0
19.0
3.4
3.2
0.9
1.6
20.9
19.1
0.9
***
***
11.0
8.3
2.7
10.3
4.7
2.7
2.8
4.6
***
***
1.2
164.6
2021Q1
54.4
29.9
15.1
***
***
33.5
26.3
17.4
3.5
2.8
1.2
1.6
19.9
18.0
0.9
***
***
11.1
8.5
2.6
10.9
4.8
3.1
3.0
4.5
***
***
1.4
161.9
2021Q2
55.2
29.8
15.8
9.6
0.0
33.7
25.5
17.1
3.3
2.3
1.2
1.6
20.2
18.3
1.1
***
***
11.0
8.5
2.5
11.2
4.6
3.4
3.2
5.3
***
***
1.3
163.5
2021Q3
53.6
28.9
15.6
***
***
34.3
24.9
16.6
3.0
2.4
1.4
1.5
21.5
19.0
1.6
***
***
10.9
8.4
2.5
10.8
4.9
3.4
2.6
5.9
***
***
1.4
163.4
2021Q4
53.6
29.0
15.2
9.5
0.0
34.8
25.4
17.0
3.0
2.4
1.6
1.5
19.0
16.9
1.3
***
***
11.4
8.6
2.9
11.0
4.9
3.5
2.6
5.3
***
***
1.6
162.1
July 19, 2022
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
Credit
Equity
Other
Managed Futures/CTA
Event Driven
Investment in other funds
2020Q1
6.3
4.4
2.3
1.7
1.5
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
1.5
1.6
1.5
1.5
1.3
1.3
2020Q4
5.7
4.5
3.0
1.5
1.6
1.5
1.5
1.3
1.2
2021Q1
5.6
4.5
3.1
1.5
1.6
1.4
1.5
1.4
1.2
2021Q2
5.7
4.8
3.2
1.6
1.5
1.4
1.5
1.4
1.3
2021Q3
7.0
4.8
3.3
1.5
1.5
1.5
1.5
1.4
1.3
2021Q4
7.0
4.2
3.4
1.6
1.6
1.5
1.4
1.4
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
Relative Value
Managed Futures/CTA
Multi-Strategy
Investment in other funds
Other
Credit
Equity
Event Driven
2020Q1
26.7
25.5
14.6
10.3
1.8
4.6
3.1
2.7
1.9
2020Q2
20.2
22.5
17.4
9.4
2.0
4.1
2.8
3.0
1.8
2020Q3
32.5
19.6
20.9
10.3
2.0
3.4
2.8
3.0
1.8
2020Q4
33.1
23.6
19.7
12.4
2.1
3.2
2.8
2.9
1.9
2021Q1
37.3
24.9
19.2
14.7
1.9
3.1
3.0
3.0
2.0
2021Q2
36.9
23.3
21.4
16.1
2.9
3.2
3.2
3.0
2.1
2021Q3
34.6
26.4
22.9
16.2
3.3
3.2
3.0
2.9
2.0
2021Q4
32.9
27.1
16.9
16.0
3.3
3.1
3.1
3.1
1.9
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
Credit
Investment in other funds
Event Driven
2020Q1
58.6
43.2
25.0
26.3
16.2
15.2
8.3
4.7
12.3
2020Q2
46.1
40.1
28.5
24.0
16.2
10.5
7.4
5.1
10.0
2020Q3
47.7
38.2
30.1
26.2
13.4
8.3
7.9
6.0
8.0
38
2020Q4
40.4
40.2
26.4
25.7
12.4
7.9
9.7
7.2
8.5
2021Q1
38.7
41.9
24.9
21.9
12.5
8.0
9.4
1.1
7.5
2021Q2
34.0
42.9
25.4
20.9
12.2
7.5
8.9
3.0
7.2
2021Q3
42.7
42.3
25.4
21.1
11.6
8.1
8.8
1.6
7.7
2021Q4
48.2
42.8
26.1
21.8
11.8
8.5
8.3
8.2
8.1
July 19, 2022
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
Non-Financial Unlisted Equities
Commodity Derivatives
Financial Listed Equities
Sovereign Bonds - Other
Non-Financial Corporate Bonds
Leveraged Loans
Cash/Cash Equivalents - Deposits
Non-U.S. Currency Holdings
MBS
Other Derivatives
Cash/Cash Equivalents - MMFs
Other Private Funds
Non-Financial Convertible Bonds
Physical Real Estate
Other Loans (Excluding Repo)
Other
Financial Equity Derivatives
Financial Corporate Bonds
Other ABS/Structured Products
U.S. Agency and GSE Securities
CDO/CLO
Financial Unlisted Equities
U.S. State and Local Bonds
Registered Investment Companies
Financial Convertible Bonds
Physical Commodities
2020Q1
5,625
3,187
1,551
2,010
1,957
1,137
928
536
491
229
227
196
235
203
168
210
172
219
236
209
113
86
102
100
103
83
64
45
36
31
20
20
12
8
3
2020Q2
5,287
2,836
1,945
1,800
1,768
1,132
962
488
409
247
266
237
275
246
181
189
215
246
204
186
115
117
99
109
100
90
67
48
35
35
21
20
23
9
4
2020Q3
6,390
3,164
2,142
2,069
1,740
1,168
1,155
534
389
280
309
244
348
246
198
189
180
254
235
170
123
140
100
117
85
88
69
51
39
35
23
19
20
8
5
39
2020Q4
6,282
3,216
2,495
1,908
1,595
1,273
1,272
586
425
308
341
272
327
221
202
184
188
216
226
168
134
174
112
115
89
93
68
50
42
33
23
19
17
8
8
2021Q1
6,781
3,756
2,551
1,895
1,672
1,622
1,302
736
506
376
367
314
278
240
223
196
208
184
213
173
145
182
120
118
95
99
67
52
39
35
25
19
18
9
5
2021Q2
7,509
4,076
2,836
2,073
1,727
1,558
1,416
715
576
425
417
347
321
273
230
205
223
203
218
171
157
200
130
123
88
110
71
62
43
37
27
19
17
10
5
2021Q3
7,640
4,077
2,711
2,270
1,735
1,598
1,472
783
535
409
455
360
332
272
247
240
255
212
188
181
175
178
146
133
98
105
73
60
52
38
25
21
16
9
7
2021Q4
7,491
3,975
2,750
2,225
1,760
1,579
1,412
763
579
460
393
375
308
282
261
218
218
216
207
205
183
173
166
142
112
106
72
60
46
39
27
22
17
9
6
July 19, 2022
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
Non-Financial Unlisted Equities
Commodity Derivatives
Financial Listed Equities
Sovereign Bonds - Other
Non-Financial Corporate Bonds
Leveraged Loans
Cash/Cash Equivalents - Deposits
Non-U.S. Currency Holdings
MBS
Other Derivatives
Cash/Cash Equivalents - MMFs
Other Private Funds
Non-Financial Convertible Bonds
Physical Real Estate
Other Loans (Excluding Repo)
Other
Financial Equity Derivatives
Financial Corporate Bonds
Other ABS/Structured Products
U.S. Agency and GSE Securities
CDO/CLO
Financial Unlisted Equities
U.S. State and Local Bonds
Registered Investment Companies
Financial Convertible Bonds
Physical Commodities
2020Q1
48.0
57.7
69.8
37.2
61.1
50.9
54.4
43.5
77.5
99.9
60.8
69.7
77.3
86.8
99.5
73.6
56.2
85.9
42.3
***
99.8
93.5
***
88.2
94.3
54.6
92.7
94.7
87.8
***
99.8
99.1
96.6
96.7
99.1
2020Q2
44.5
60.3
69.0
38.3
61.4
50.6
52.3
41.9
79.4
99.8
63.3
69.4
77.9
86.3
98.2
70.8
51.5
84.1
49.8
***
99.7
99.2
***
90.9
94.4
54.9
91.5
94.6
86.7
***
99.8
***
92.8
96.8
99.1
2020Q3
52.4
58.4
69.7
38.1
62.2
51.2
51.9
42.5
78.4
99.1
67.1
70.2
75.5
85.2
99.4
72.3
49.0
82.4
65.5
***
99.7
98.7
***
91.0
95.0
55.1
91.5
92.4
85.0
***
99.8
***
97.3
97.1
99.3
40
2020Q4
51.5
58.5
70.7
38.4
60.9
50.8
49.8
45.3
74.9
99.8
68.8
73.3
75.9
84.4
99.5
73.9
54.9
80.8
42.6
***
***
98.4
***
88.8
94.9
57.7
90.0
92.7
78.5
***
99.8
***
***
97.4
99.4
2021Q1
49.7
58.5
70.9
44.9
55.3
57.0
48.6
46.8
71.4
99.7
67.1
72.4
75.6
81.9
98.3
72.8
53.3
82.2
44.1
***
***
97.9
***
93.5
94.6
59.8
89.5
86.7
72.5
***
99.7
98.3
***
97.3
99.6
2021Q2
48.5
57.7
70.2
46.5
56.7
53.7
50.0
46.6
75.1
99.7
67.0
72.4
69.5
81.0
99.4
75.4
53.3
73.6
48.9
***
99.5
97.8
***
93.1
95.3
60.6
88.3
84.5
59.3
***
99.8
***
96.2
95.8
***
2021Q3
48.5
57.0
71.4
46.8
57.2
51.4
48.5
47.0
73.2
99.8
63.8
73.5
70.2
79.1
98.0
72.8
56.8
71.9
61.9
***
99.9
97.7
***
91.7
96.0
60.1
87.1
85.3
65.0
***
99.7
***
97.9
95.0
98.4
2021Q4
47.9
55.2
71.8
48.5
56.9
51.9
48.5
44.3
71.6
99.8
65.2
73.1
64.2
74.4
98.0
74.9
62.5
68.5
51.5
***
99.9
97.9
***
90.5
94.8
55.5
86.4
84.2
62.8
***
99.7
***
97.8
96.2
***
July 19, 2022
E
Analytics Office
Number of Positions
Figure 12: Number of Positions Reported by Qualifying Hedge Funds
202
1-0
8
202
202
1 -1
202
202
1-1
2
1-1
1
202
1 -0
7
0
202
1 -0
9
202
6
202
1 -0
4
15
53
166
573
1,905
2,242
15
53
167
593
1,967
2,263
14
51
160
583
1,867
2,172
13
54
170
621
2,040
2,393
13
54
167
587
2,010
2,442
13
49
156
581
1,920
2,309
14
52
169
594
1,955
2,381
14
52
168
615
2,011
2,397
13
48
160
590
1,894
2,319
14
51
173
619
2,035
2,402
14
51
172
638
2,054
2,446
14
48
162
578
1,927
2,296
1-0
202
15
53
169
582
1,847
2,230
0-1
1 -0
5
1-0
202
16
58
180
633
2,023
2,358
0-0
3
202
1-0
1
16
56
184
624
2,004
2,341
41
2
202
202
0-1
2
1-0
202
16
54
179
643
1,963
2,273
0-0
1
202
16
57
190
688
2,120
2,346
0-1
202
16
56
193
684
2,044
2,325
0-0
9
202
17
54
180
620
1,873
2,202
0-0
8
202
0-0
17
58
190
679
2,000
2,294
0-0
7
-05
202
0
17
59
191
670
2,024
2,282
6
202
0-0
16
57
181
615
1,886
2,206
4
3
0-0
202
14
60
186
668
2,161
2,333
2
202
15
60
186
658
2,151
2,259
1
202
Month
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0
As reported on Form PF, Question 34.
July 19, 2022
F
Analytics Office
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
2020Q1
7.8
13.0
25.9
44.7
55.6
67.8
2020Q2
7.7
13.2
24.8
43.1
53.6
67.1
2020Q3
7.7
13.2
24.7
42.9
54.9
66.3
2020Q4
6.8
10.1
22.7
43.9
51.9
64.9
2021Q1
6.2
9.5
22.5
40.0
51.2
64.0
2021Q2
7.8
11.8
23.7
40.5
51.5
64.8
2021Q3
7.5
11.2
23.1
40.3
52.4
63.6
2021Q4
7.5
11.0
23.1
43.0
50.4
63.0
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
2020Q1
39.6
59.8
70.8
76.1
79.8
84.1
2020Q2
38.0
59.2
70.6
76.6
80.8
85.0
2020Q3
35.6
57.0
69.9
76.1
80.3
84.9
2020Q4
32.7
55.3
68.7
75.3
79.6
84.5
2021Q1
33.5
55.0
67.9
74.4
78.5
83.8
2021Q2
33.9
55.0
67.8
74.3
78.4
83.4
2021Q3
33.4
53.6
66.3
73.2
77.5
82.4
2021Q4
33.7
53.1
65.9
72.6
77.2
82.0
Figure 13: Asset Weighted-Average Qualifying Hedge Fund
Investor and Portfolio Liquidity
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of Fourth Calendar Quarter 2021
Statistic
Port. Liquidity
Inv. Liquidity
At most 1 day
33.7
7.5
At most 7 days
53.1
11.0
At most 30 days
65.9
23.1
At most 90 days
72.6
43.0
At most 180 days
77.2
50.4
At most 365 days
82.0
63.0
Table 50: Restrictions on Qualifying Hedge Fund Assets ($ Billions)
As reported on Form PF, Questions 48 and 49.
Type
May Suspend
May Have Gates
Side-Pocketed
Gated
Suspended
2020Q1
2,150
1,386
47
35
9
2020Q2
2,366
1,521
54
46
8
2020Q3
2,491
1,608
61
40
5
2020Q4
2,610
1,732
73
52
8
42
2021Q1
2,708
1,809
89
64
7
2021Q2
2,944
1,908
100
67
6
2021Q3
2,968
1,925
110
73
7
2021Q4
2,911
1,885
114
73
8
July 19, 2022
Analytics Office
Figure 14: Percentage of Qualifying Hedge Fund NAV
Subject to a Side-Pocket Arrangement
As reported on Form PF, Questions 9 and 48.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2020Q1
1.0
4.0
9.0
22.5
38.0
17.2
2020Q2
2.0
4.0
9.0
24.0
41.0
17.7
2020Q3
2.0
4.0
11.5
27.0
45.0
19.6
2020Q4
2.0
5.0
11.0
25.0
43.0
19.2
43
2021Q1
2.0
6.0
11.5
24.0
46.0
20.0
2021Q2
2.0
5.8
11.5
26.0
49.0
20.3
2021Q3
2.0
4.0
12.0
25.2
48.0
19.6
2021Q4
2.0
5.0
13.5
28.3
50.0
20.6
July 19, 2022
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
2020Q1
2,879
1,067
1,371
440
20
2,899
2020Q2
2,885
1,302
1,169
415
14
2,899
2020Q3
3,192
1,415
1,330
447
13
3,205
2020Q4
3,220
1,616
1,201
403
14
3,234
2021Q1
3,255
1,709
1,066
480
16
3,271
2021Q2
3,586
1,930
1,113
542
17
3,603
2021Q3
3,669
1,918
1,205
547
32
3,701
2021Q4
3,746
1,963
1,151
633
49
3,795
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
2020Q1
61.2
38.1
0.6
0.1
2020Q2
63.4
36.0
***
***
2020Q3
61.0
38.3
0.6
0.1
2020Q4
64.5
34.8
***
***
2021Q1
65.2
34.1
0.6
0.1
2021Q2
65.8
33.6
0.5
0.1
2021Q3
64.5
34.8
0.6
0.1
2021Q4
65.3
33.9
0.7
0.2
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
2020Q1
1,411
956
455
1,475
877
599
512
353
159
3,398
2020Q2
1,716
1,183
533
1,203
773
431
486
344
142
3,405
2020Q3
1,861
1,293
568
1,362
912
451
513
379
134
3,736
44
2020Q4
2,134
1,508
626
1,273
866
407
497
389
108
3,904
2021Q1
2,230
1,556
673
1,090
742
348
594
435
159
3,913
2021Q2
2,453
1,658
795
1,166
811
355
658
476
182
4,277
2021Q3
2,433
1,581
851
1,271
908
363
707
521
186
4,410
2021Q4
2,408
1,587
821
1,204
826
378
755
520
235
4,367
July 19, 2022
Analytics Office
Figure 15: Ratio of Collateral Posted to Secured Borrowing
for Qualifying Hedge Funds (Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Question 43 (Third Month).
1.0
1.0
1.1
1.4
1.7
1.2
1.0
1.0
1.1
1.4
1.5
1.2
1.0
1.0
1.2
1.5
1.9
1.3
1.0
1.0
1.2
1.5
1.9
1.3
45
1.0
1.0
1.2
1.6
2.0
1.3
1.0
1.0
1.2
1.5
2.0
1.3
1.0
1.0
1.2
1.5
2.1
1.3
1.0
1.0
1.1
1.5
2.0
1.3
1.0
1.0
1.1
1.4
2.0
1.3
1.0
1.0
1.1
1.5
1.9
1.3
1.0
1.0
1.1
1.4
1.9
1.3
1.0
1.0
1.1
1.4
1.9
1.2
-1 2
202
1
-1 2
1.0
1.0
1.3
2.4
5.8
4.4
-12
1
1
1
1-1
202
1.0
1.0
1.1
1.4
1.9
1.3
202
1
1-1
1-1
0
1.0
1.0
1.3
2.5
5.8
3.9
0.9
1.0
1.3
2.3
5.3
3.4
202
1
1-1
0
1-1
202
202
0.9
1.0
1.3
2.4
5.1
4.3
202
1-0
202
8
1-0
202
1-0
1-0
202
5
1-0
202
1.0
1.0
1.1
1.4
2.0
1.3
202
202
1-0
1-0
202
1.0
1.0
1.1
1.4
2.0
1.3
202
202
1 -0
9
0.9
1.0
1.3
2.5
5.6
8.3
0
202
1 -0
8
0.9
1.0
1.3
2.5
5.6
7.3
1-1
202
1 -0
9
202
1-0
7
0.9
1.0
1.3
2.4
5.5
3.9
0.9
1.0
1.3
2.3
4.7
3.2
202
202
1 -0
8
202
1-0
6
0.9
1.0
1.3
2.4
5.5
3.9
0.9
1.0
1.3
2.3
5.0
3.5
9
202
1-0
7
202
1-0
5
0.8
1.0
1.3
2.4
5.7
5.2
0.9
1.0
1.3
2.4
5.3
4.5
7
202
1-0
6
0.8
1.0
1.3
2.4
5.3
4.4
6
0.8
1.0
1.3
2.5
5.8
5.0
4
4
0.8
1.0
1.3
2.5
5.5
4.3
1-0
202
1-0
5
0.8
1.0
1.4
2.5
5.8
3.8
3
1-0
202
2
1-0
1
1-0
1.0
1.0
1.1
1.5
2.0
1.3
202
202
202
0-1
2
1
0-1
202
-10
202
0
0-0
9
1.0
1.0
1.2
1.5
1.8
1.3
0.8
1.0
1.3
2.3
5.1
3.6
202
202
1 -0
3
202
1 -0
2
202
1-0
1
0 -1
2
202
202
0-1
1
9
0-1
0
202
202
0-0
8
1.0
1.0
1.2
1.5
1.8
1.3
202
0-0
8
0.9
0.9
1.0
0.9
0.9
0.9
0.9
0.9
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.3
1.3
1.4
1.3
1.3
1.3
1.3
1.4
2.7
2.7
2.7
2.6
2.7
2.7
2.6
2.6
7.1
7.3
7.7
8.7
8.9
8.1
6.3
7.7
4.2
6.7
5.4
8.6
6.6
7.9
5.6
6.0
Ratio of Collateral/Reverse Repo Borrowing
0.8
1.0
1.3
2.3
5.2
3.9
4
202
1 -0
3
202
1 -0
2
0 -1
2
202
1-0
1
202
202
0-1
1
9
0-1
0
202
8
202
0-0
202
0-0
6
0-0
7
1.0
1.0
1.2
1.6
1.8
1.3
202
0-0
0-0
7
-07
0.9
1.0
1.3
2.8
6.0
4.1
0.9
0.9
0.9
0.8
0.9
0.8
0.9
0.9
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.3
1.3
1.4
1.4
1.4
1.4
1.4
1.4
2.4
2.3
2.4
2.3
2.4
2.5
2.4
2.5
5.7
6.5
6.9
6.6
6.6
6.3
5.5
6.0
3.3
3.7
3.9
4.7
4.2
5.0
4.4
4.6
Ratio of Collateral/Prime Broker Borrowing
202
202
202
6
1.0
1.0
1.2
1.6
1.9
1.3
0.9
1.0
1.4
2.4
5.6
3.6
202
0
0-0
202
0-0
202
1.0
1.0
1.4
2.7
6.2
4.2
0-0
6
5
1.0
1.0
1.1
1.5
1.8
1.3
0.9
1.0
1.4
2.5
5.7
4.2
202
0-0
5
-04
1.0
1.0
1.2
1.5
1.7
1.3
***
***
***
***
***
***
202
1.0
1.0
1.4
2.5
7.3
4.0
5
202
0-0
202
0-0
0-0
4
0-0
4
202
0.9
1.0
1.3
2.2
5.4
3.3
202
3
0-0
3
202
2
1.0
1.0
1.1
1.3
1.6
1.2
1.0
1.0
1.3
2.2
5.5
3.0
202
0
***
***
***
***
***
***
3
202
0-0
202
0-0
0-0
2
2
0-0
202
0.9
1.0
1.4
2.7
6.7
5.1
0-0
0-0
202
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.9
1.0
1.3
2.2
5.2
2.9
202
202
0
1.0
1.0
1.4
2.7
7.2
7.8
1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.9
1.0
1.3
2.3
5.6
4.0
202
0.9
1.0
1.3
2.3
5.8
4.4
-01
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
0
-01
Ratio of Total Collateral/Total Secured Borrowing
1.0
1.0
1.1
1.4
1.8
1.2
July 19, 2022
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
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
2020Q3
39.0
51.1
67.5
80.9
94.7
96.0
2020Q4
27.8
44.5
65.4
79.3
94.9
96.1
2021Q1
37.4
45.0
65.3
78.7
94.4
95.5
2021Q2
36.5
46.9
64.9
76.9
94.5
95.8
2021Q3
36.5
47.8
64.9
76.6
94.5
95.5
2021Q4
26.4
42.7
63.0
77.3
93.9
95.5
Figure 16: Weighted-Average Qualifying Hedge Fund
Financing Liquidity (Percent of Available Financing)
As reported on Form PF, Question 46 as of Fourth Calendar Quarter 2021.
Statistic
Financing Liquidity
H
At most 1 day
26.4
At most 7 days
42.7
At most 30 days
63.0
At most 90 days
77.3
At most 180 days
93.9
At most 365 days
95.5
Central Clearing
Figure 17: Qualifying Hedge Funds Using Central Clearing
As reported on Form PF, Question 39.
Statistic
Percent of Funds
Percent of NAV
2020Q1
16.3
17.1
2020Q2
15.3
16.8
2020Q3
14.8
16.1
2020Q4
14.3
14.5
46
2021Q1
13.8
13.6
2021Q2
15.9
15.7
2021Q3
15.4
15.1
2021Q4
15.7
14.1
July 19, 2022
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
2020Q1
669
311
178
176
48
1,155
2020Q2
665
311
181
169
46
1,148
2020Q3
628
285
175
167
43
1,151
2020Q4
613
278
162
168
43
1,179
2021Q1
597
269
158
171
45
1,262
2021Q2
657
272
186
194
50
1,308
2021Q3
663
266
193
199
53
1,350
2021Q4
678
268
201
201
55
1,392
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
2020Q1
3,784
1,955
739
704
868
2,526
2020Q2
3,685
1,838
742
804
807
2,709
2020Q3
3,918
1,979
769
836
845
2,897
2020Q4
3,886
2,009
633
883
898
3,198
2021Q1
3,808
1,992
632
871
846
3,412
2021Q2
4,267
2,247
698
988
905
3,614
2021Q3
4,590
2,322
735
984
1,127
3,705
2021Q4
4,481
2,198
734
1,014
1,119
3,854
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
2020Q1
1,232
507
382
318
131
1,673
2020Q2
1,334
548
422
341
140
1,871
2020Q3
1,374
564
434
351
147
2,018
47
2020Q4
1,345
578
376
361
145
2,217
2021Q1
1,355
586
373
368
156
2,373
2021Q2
1,518
619
432
432
170
2,528
2021Q3
1,542
619
437
443
185
2,613
2021Q4
1,549
608
441
448
182
2,631
July 19, 2022
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
2020Q1
600
428
69
727
2020Q2
598
432
67
716
2020Q3
568
429
60
722
2020Q4
555
400
58
779
2021Q1
535
435
62
827
2021Q2
565
450
92
858
2021Q3
556
472
107
878
2021Q4
562
478
116
914
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
2020Q1
3,594
1,148
190
1,378
2020Q2
3,332
1,227
353
1,482
2020Q3
3,692
1,293
226
1,604
2020Q4
3,524
1,383
362
1,815
2021Q1
3,545
1,435
263
1,977
2021Q2
3,955
1,496
312
2,118
2021Q3
4,226
1,538
364
2,168
2021Q4
4,089
1,555
391
2,300
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
2020Q1
1,122
651
111
1,022
2020Q2
1,194
722
140
1,149
2020Q3
1,243
772
130
1,246
2020Q4
1,189
819
156
1,399
48
2021Q1
1,206
846
150
1,526
2021Q2
1,314
887
204
1,641
2021Q3
1,288
936
254
1,677
2021Q4
1,287
922
261
1,709
July 19, 2022
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
2020Q1
866
765
741
653
535
461
256
205
2020Q2
861
761
748
651
534
475
265
217
2020Q3
835
729
716
629
517
458
257
213
2020Q4
796
690
666
584
473
413
229
188
2021Q1
789
710
669
575
463
399
241
202
2021Q2
826
741
700
616
485
419
253
225
2021Q3
844
748
708
610
501
428
268
228
2021Q4
860
746
708
622
499
425
270
227
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
2020Q1
4,137
3,822
4,130
3,527
3,320
3,204
937
832
2020Q2
3,867
3,611
3,863
3,123
3,069
2,841
866
752
2020Q3
4,397
4,012
4,220
3,572
3,461
3,361
904
780
2020Q4
4,395
3,917
4,062
3,486
3,196
3,186
872
738
2021Q1
4,461
3,972
4,210
3,512
3,250
3,254
882
752
2021Q2
4,880
4,375
4,628
3,912
3,624
3,605
1,001
852
2021Q3
5,194
4,646
4,927
4,228
3,909
3,883
1,136
882
2021Q4
5,055
4,527
4,772
4,235
3,727
3,742
1,134
899
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
2020Q1
1,563
1,387
1,345
1,180
1,001
982
339
294
2020Q2
1,694
1,486
1,436
1,259
1,064
1,047
386
338
2020Q3
1,790
1,561
1,487
1,323
1,135
1,105
394
348
49
2020Q4
1,779
1,520
1,415
1,247
1,043
1,019
376
329
2021Q1
1,826
1,553
1,508
1,266
1,071
1,037
387
340
2021Q2
1,948
1,679
1,620
1,388
1,152
1,114
424
380
2021Q3
1,989
1,675
1,623
1,377
1,167
1,123
482
379
2021Q4
1,972
1,655
1,599
1,385
1,128
1,108
467
374
July 19, 2022
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
2020Q1
796
182
115
94
107
124
217
74
115
2020Q2
783
183
112
107
100
119
204
75
130
2020Q3
782
183
110
98
100
108
196
75
127
2020Q4
837
178
118
98
103
113
169
68
108
2021Q1
889
202
117
90
105
117
157
61
121
2021Q2
950
210
121
96
107
127
155
60
139
2021Q3
985
214
130
83
101
137
155
71
137
2021Q4
1,030
223
130
84
103
127
165
79
129
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
2020Q1
1,568
365
475
290
276
763
1,784
203
584
2020Q2
1,834
414
493
431
270
740
1,461
250
501
2020Q3
1,830
424
510
336
266
841
1,810
260
538
2020Q4
2,177
466
528
315
313
849
1,665
275
497
2021Q1
2,241
414
596
302
341
831
1,722
263
511
2021Q2
2,430
425
638
342
346
926
1,890
279
605
2021Q3
2,532
444
629
324
363
929
2,101
360
613
2021Q4
2,691
485
618
327
353
747
2,159
348
606
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
2020Q1
1,132
240
191
170
145
237
503
119
168
2020Q2
1,288
267
214
199
142
254
509
123
208
2020Q3
1,376
278
230
208
148
266
546
126
212
2020Q4
1,554
308
264
229
146
273
463
127
198
50
2021Q1
1,676
272
307
217
166
282
480
120
207
2021Q2
1,845
284
328
247
163
318
491
124
246
2021Q3
1,931
300
322
231
176
321
477
170
227
2021Q4
1,971
319
312
215
189
291
502
169
212
July 19, 2022
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
2020Q1
75.6
95.9
99.7
99.9
99.9
100.0
2020Q2
73.4
95.2
99.1
99.6
99.9
100.0
2020Q3
72.9
95.4
99.1
99.5
99.9
99.9
2020Q4
72.9
94.8
98.6
99.3
99.7
100.0
2021Q1
72.2
93.6
98.1
98.9
99.4
99.9
2021Q2
70.3
92.8
97.2
98.2
99.0
99.7
2021Q3
68.6
92.6
97.3
97.8
98.8
99.8
2021Q4
68.9
92.4
96.6
97.8
99.0
99.8
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
2020Q2
282
251
0
0
2020Q3
303
273
0
0
2020Q4
303
270
0
0
2021Q1
280
247
0
0
2021Q2
296
263
0
0
2021Q3
278
245
0
0
2021Q4
291
260
0
0
Portfolio Characteristics
Figure 18: Weighted-Average Maturity of Section 3 Liquidity Funds (Days)
1
1-1
2
0
202
202
202
202
202
202
1-1
202
1-0
202
1-1
8
9
7
1-0
202
1-0
202
1-0
6
5
4
1-0
202
1-0
202
1-0
3
2
1
1-0
2
202
0-1
202
1-0
1
0
0-1
9
202
0-1
8
202
0-0
7
202
0-0
202
0-0
5
6
202
0-0
4
202
0-0
3
202
0-0
202
0-0
0-0
202
Statistic
Average WAM
Asset-Weighted WAM
202
0-0
1
2
As reported on Form PF, Questions 55.
30.5
38.5
31.2
42.3
28.2
41.9
30.6
41.4
31.9
39.6
32.5
41.1
32.2
42.9
31.4
41.4
32.0
42.7
31.1
42.9
30.9
44.1
31.9
44.0
32.4
47.1
33.1
47.1
31.2
45.3
34.8
42.4
35.6
40.8
37.1
46.4
36.8
48.7
36.7
47.7
43.0
49.2
48.1
50.9
46.3
49.8
41.7
45.4
Figure 19: Weighted-Average Life of Section 3 Liquidity Funds (Days)
2
1
202
202
1-1
202
1-1
0
202
1-0
202
1-1
9
8
7
202
1-0
6
202
1-0
202
1-0
202
1-0
5
4
202
1-0
3
2
202
1-0
1
202
1-0
2
202
1-0
202
0-1
0-1
202
0-1
1
9
0
8
0-0
202
0-0
202
62.6
81.6
56.0
73.2
51.5
67.8
51.7
62.2
53.0
59.5
53.2
58.7
51.7
56.4
51.8
61.3
47.5
54.9
47.8
56.1
48.2
55.4
48.5
58.1
51.6
59.9
48.3
58.7
50.5
55.5
49.8
53.7
51.4
59.3
51.7
63.4
52.0
63.3
58.3
65.5
62.0
66.2
59.8
64.0
54.7
59.0
0-0
202
7
6
0-0
202
5
4
0-0
202
0-0
202
3
2
61.7
79.0
0-0
202
0-0
0-0
202
Statistic
Average WAL
Asset-Weighted WAL
202
1
As reported on Form PF, Questions 55.
Figure 20: Seven-Day Gross Yield Section 3 Liquidity Funds (Percent)
0
7
2
0.16
0.06
1-1
0.16
0.06
202
0.17
0.07
1
0.19
0.08
1-1
0.18
0.10
202
0.20
0.11
9
0.24
0.12
1-1
0.25
0.13
1-0
0.26
0.14
202
0.19
0.22
8
0.20
0.20
1-0
0.23
0.24
202
0.28
0.30
1-0
0.30
0.32
202
0.46
0.44
202
6
1-0
202
5
1-0
202
4
1-0
3
202
1-0
202
1-0
202
2
1
1-0
202
2
202
0.77
0.56
51
0-1
1
0-1
202
0-1
0
9
202
0-0
202
8
0-0
202
7
6
1.53
1.58
0-0
202
0-0
5
0-0
202
4
202
0-0
202
3
0-0
2
1.54
1.61
0-0
202
Statistic
Average Gross Yield
Asset-Weighted Gross Yield
202
0-0
1
As reported on Form PF, Questions 55.
202
B
2020Q1
275
239
0
0
0.14
0.06
0.14
0.05
0.17
0.05
0.17
0.05
0.19
0.06
0.20
0.06
July 19, 2022
Analytics Office
Figure 21: Ratio of Daily Liquid Assets to Net Asset Value
for Section 3 Liquidity Funds (Percent)
1
202
1-1
2
0
48.68
44.94
46.82
43.22
46.54
43.76
46.02
43.88
45.68
39.95
43.95
40.67
49.46
43.52
48.36
40.69
52.42
43.97
51.53
44.78
49.72
45.16
48.17
44.29
49.13
43.06
50.42
41.71
1-1
202
9
202
1-1
8
48.82
48.38
1-0
202
7
202
55.72
53.84
1-0
202
1-0
6
1-0
202
5
4
1-0
202
3
1-0
202
2
202
1-0
202
1-0
1
2
1-0
202
0-1
1
0-1
202
0-1
202
0
9
202
8
0-0
202
7
52.17
43.82
0-0
202
6
51.34
41.74
0-0
202
51.52
41.02
0-0
52.42
46.64
0-0
202
5
4
50.29
45.32
0-0
202
3
202
53.33
52.84
0-0
202
48.00
39.63
0-0
202
49.34
40.79
0-0
202
Statistic
Average DLA
Asset-Weighted DLA
2
1
As reported on Form PF, Questions 55.
Figure 22: Ratio of Weekly Liquid Assets to Net Asset Value
for Section 3 Liquidity Funds (Percent)
-12
1
202
1
0
202
1-1
9
202
1-1
8
59.98
59.28
61.14
60.54
60.27
59.96
62.05
58.49
61.81
58.10
60.76
60.48
59.45
59.17
59.67
56.56
62.00
57.18
1-0
202
1-0
7
59.47
56.63
1-0
202
60.88
58.49
1-0
202
61.44
56.34
1-0
202
58.09
58.82
1-0
202
6
5
4
3
202
2
202
1-0
1
57.67
56.17
1-0
202
57.89
59.08
52
1-0
2
0-1
202
1
0-1
202
0
64.39
62.82
0-1
202
9
0-0
202
8
202
61.81
57.11
0-0
202
7
6
60.58
54.63
0-0
60.72
54.34
0-0
202
5
61.47
57.42
0-0
202
4
61.46
58.14
0-0
202
3
202
65.39
64.27
0-0
202
60.75
52.15
0-0
202
62.08
52.10
0-0
202
Statistic
Average WLA
Asset-Weighted WLA
2
1
As reported on Form PF, Questions 55.
July 19, 2022
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
None
Credit Quality
Diversification
Maturity
Liquidity
Fully
2020Q1
39.0
61.0
56.1
56.1
51.2
46.3
2020Q2
37.8
62.2
57.8
57.8
53.3
48.9
2020Q3
38.3
61.7
57.4
57.4
53.2
48.9
2020Q4
45.3
54.7
50.9
50.9
47.2
43.4
2021Q1
46.3
53.7
50.0
50.0
46.3
42.6
2021Q2
48.2
51.8
48.2
48.2
44.6
39.3
2021Q3
50.9
49.1
45.6
45.6
42.1
38.6
2021Q4
51.8
48.2
44.6
44.6
41.1
37.5
Table 70: Rule 2a-7 Compliance (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 54.
Compliance Type
None
Credit Quality
Diversification
Maturity
Liquidity
Fully
D
2020Q1
86.9
13.1
12.4
12.4
12.1
10.2
2020Q2
86.3
13.7
12.9
12.9
12.6
10.6
2020Q3
86.9
13.1
12.1
12.1
11.8
9.9
2020Q4
86.4
13.6
12.3
12.3
12.1
10.1
2021Q1
83.7
16.3
14.9
14.9
14.7
12.7
2021Q2
81.6
18.4
17.1
17.1
16.9
14.3
2021Q3
80.9
19.1
17.4
17.4
17.2
15.0
2021Q4
82.1
17.9
16.5
16.5
16.3
14.2
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
2020Q1
75.6
24.4
2020Q2
73.3
26.7
2020Q3
74.5
25.5
2020Q4
73.6
26.4
2021Q1
75.9
24.1
2021Q2
75.0
25.0
2021Q3
77.2
22.8
2021Q4
75.0
25.0
Table 72: NAV Calculation Method (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2020Q1
68.4
31.6
2020Q2
68.2
31.8
2020Q3
70.1
29.9
2020Q4
66.6
33.4
53
2021Q1
69.0
31.0
2021Q2
66.1
33.9
2021Q3
66.7
33.3
2021Q4
64.4
35.6
July 19, 2022
Aggregate Portfolio Holdings
Table 73: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2
101.2
55.4
43.6
44.4
32.2
21.0
15.8
1.9
1.4
108.5
54.2
40.8
42.3
30.7
19.6
16.5
2.2
1.3
107.3
58.3
34.7
33.0
32.5
17.3
17.0
1.7
0.9
103.1
61.8
36.9
31.7
36.6
19.6
19.9
1.9
0.8
104.1
52.8
37.7
39.0
38.7
20.9
18.0
1.8
0.9
0-1
202
2
1
102.1
62.1
38.7
35.0
39.9
21.4
15.5
2.3
1.5
0-1
202
0
108.4
55.0
37.7
30.7
37.0
20.3
14.4
2.4
1.3
0-1
202
9
107.0
59.2
34.8
28.1
30.8
21.3
12.0
2.3
1.1
0-0
202
8
101.2
65.4
38.6
25.2
28.3
20.1
9.9
2.9
1.0
0-0
202
7
86.1
59.9
32.2
46.1
31.0
14.2
9.1
2.3
0.9
0-0
202
6
202
41.1
78.8
49.3
44.7
32.9
17.8
8.7
2.0
0.7
0-0
202
0-0
5
0-0
4
202
Product Type
U.S. Treasuries
Deposits
Commercial Paper
Repo - Govt. Collateral
Other
Asset-Backed Securities
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
-03
202
0
0-0
2
202
42.4
81.7
44.6
43.7
37.0
18.4
8.7
1.8
0.7
0-0
202
1
As reported on Form PF, Question 63.
Table 74: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2
88.7
83.1
53.1
31.3
18.9
23.9
7.7
1.3
1.1
88.8
82.0
50.5
31.6
21.0
24.5
10.6
1.6
1.0
88.7
60.8
48.2
47.2
26.0
24.4
10.1
1.5
1.1
1-1
202
2
1
202
73.1
69.7
51.4
40.2
26.0
23.0
12.1
1.4
1.1
1-1
202
0
202
80.2
75.5
51.7
35.2
21.0
21.0
11.6
1.2
0.9
1-1
202
1-0
9
1-0
7
202
86.4
83.1
52.3
26.0
24.0
20.9
12.4
1.3
0.9
1-0
202
1-0
94.8
69.9
51.2
32.1
27.9
21.7
15.1
1.4
1.1
54
8
1-0
5
202
86.1
80.0
53.4
26.1
29.1
22.3
12.4
1.3
1.2
-04
202
1
82.7
76.0
50.0
23.8
33.4
21.8
13.2
1.5
1.2
-03
202
1
91.9
59.5
48.8
23.9
36.9
22.8
13.3
1.4
1.1
1-0
2
202
89.5
69.1
45.3
25.8
36.2
20.3
17.9
1.6
0.9
1
97.2
63.7
45.2
27.7
34.6
20.0
18.3
1.9
0.9
1-0
Product Type
U.S. Treasuries
Deposits
Commercial Paper
Repo - Govt. Collateral
Other
Asset-Backed Securities
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
6
As reported on Form PF, Question 63.
202
E
Analytics Office
July 19, 2022
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, &...
Telecommunications Data Processing...
Other Financial Investment...
Custom Computer Programming...
Other Information Services
Other Financial Vehicles
Pharmaceutical & Medicine Mfg
Oil & Gas Extraction
Insurance Agencies & Brokerages
Computer Systems Design Services
Other Computer Related Services
Medical Equipment & Supplies Mfg
All Other Professional,...
Pipeline Transportation
Activities Related to Credit...
Management, Scientific, &...
Scientific Research & Development...
Educational Services
Electronic Shopping & Mail-Order...
2014Q4
3.8
3.8
2.3
2.5
1.8
1.0
2.1
0.4
1.3
7.8
1.0
0.8
0.4
1.3
0.6
2.6
1.2
1.2
0.9
1.3
1.5
2015Q4
4.9
3.7
1.8
2.7
1.8
1.5
1.9
0.6
1.5
5.8
1.0
0.6
0.5
0.9
0.6
2.4
1.4
1.1
1.0
1.3
1.2
2016Q4
6.1
4.1
2.0
2.3
1.7
1.5
1.8
1.8
1.4
6.7
1.2
1.0
0.9
0.6
0.9
2.2
1.0
1.3
0.7
1.2
0.8
55
2017Q4
6.0
4.2
2.3
2.2
1.4
1.5
2.0
1.6
1.5
6.2
1.1
0.8
0.9
0.7
0.8
1.9
1.2
1.6
1.0
1.4
0.8
2018Q4
8.0
4.5
3.5
2.4
2.1
1.8
1.7
1.3
2.4
4.9
1.0
0.6
1.0
2.0
1.4
1.8
1.3
1.4
1.0
1.2
0.8
2019Q4
10.6
4.3
4.2
2.6
2.1
2.1
1.9
1.2
2.0
3.6
1.1
0.6
0.8
0.9
1.4
1.7
1.4
1.6
1.7
1.1
0.8
2020Q4
9.7
4.8
3.6
3.7
2.8
1.9
2.5
1.8
2.1
1.9
1.5
1.0
1.2
0.9
1.9
1.3
1.2
1.4
1.3
1.3
1.0
2021Q4
11.8
3.7
3.5
3.3
2.8
2.5
2.4
2.2
2.2
2.0
1.6
1.6
1.5
1.4
1.4
1.3
1.3
1.2
1.2
1.0
1.0
July 19, 2022
B
Analytics Office
CPC Financial Leverage
Figure 23: Ratio of Portfolio Company Current to Total Liabilities (Percent)
As reported on Form PF, Questions 71 and 72.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2014Q4
0.6
1.4
5.3
17.9
50.0
16.2
2015Q4
0.7
1.7
6.0
20.0
49.9
16.7
2016Q4
0.8
1.9
6.9
20.7
54.3
17.5
2017Q4
0.8
2.1
7.3
21.5
51.8
17.7
2018Q4
0.7
1.5
6.0
17.8
49.3
15.4
2019Q4
0.7
1.3
5.2
16.8
48.7
15.5
2020Q4
0.7
1.4
5.9
18.2
46.8
16.0
2021Q4
0.6
1.1
4.6
16.5
40.7
14.5
Figure 24: CPC Payment-in-Kind Borrowings to Total Borrowings (Percent)
As reported on Form PF, Questions 73.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2014Q4
1.0
3.0
8.0
22.0
40.0
16.8
2015Q4
2.0
4.0
9.0
22.0
48.0
18.3
2016Q4
2.0
4.0
9.0
22.0
48.0
18.6
2017Q4
1.0
3.0
8.0
17.0
42.0
16.5
56
2018Q4
1.0
3.0
9.0
22.2
56.0
19.5
2019Q4
2.0
4.0
11.0
27.0
61.0
21.8
2020Q4
2.0
4.0
11.0
32.0
65.0
23.1
2021Q4
1.0
4.0
10.0
31.0
88.0
24.3
July 19, 2022
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
Europe Other
South America
Middle East
Supranational
Africa
2014Q4
4,506
1,259
462
9
85
12
67
12
2015Q4
4,132
941
447
21
58
9
23
12
2016Q4
3,942
848
406
22
111
15
37
18
2017Q4
3,961
963
379
40
184
23
49
14
2018Q4
4,211
1,256
435
46
140
16
55
10
2019Q4
5,163
1,547
561
69
149
18
60
15
2020Q4
6,633
2,155
1,028
158
141
44
78
9
2021Q4
9,556
3,574
880
409
171
124
82
12
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
Europe Other
South America
Middle East
Supranational
Africa
2014Q4
70.2
19.6
7.2
0.1
1.3
0.2
1.0
0.2
2015Q4
73.2
16.7
7.9
0.4
1.0
0.2
0.4
0.2
2016Q4
73.0
15.7
7.5
0.4
2.0
0.3
0.7
0.3
2017Q4
70.5
17.1
6.8
0.7
3.3
0.4
0.9
0.3
57
2018Q4
68.2
20.3
7.0
0.7
2.3
0.3
0.9
0.2
2019Q4
68.0
20.4
7.4
0.9
2.0
0.2
0.8
0.2
2020Q4
64.7
21.0
10.0
1.5
1.4
0.4
0.8
0.1
2021Q4
64.6
24.2
5.9
2.8
1.2
0.8
0.6
0.1
July 19, 2022
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
India
China and Hong Kong
Japan
Brazil
Russia
2014Q4
4,305
83
186
98
58
2
2015Q4
3,943
89
173
85
41
5
2016Q4
3,776
92
114
79
88
4
2017Q4
3,794
73
147
52
131
4
2018Q4
4,015
104
154
52
96
2
2019Q4
4,803
128
149
78
93
1
2020Q4
6,243
229
235
283
78
1
2021Q4
8,361
276
210
128
55
6
2020Q4
60.9
2.2
2.3
2.8
0.8
0.0
2021Q4
56.5
1.9
1.4
0.9
0.4
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
India
China and Hong Kong
Japan
Brazil
Russia
2014Q4
67.1
1.3
2.9
1.5
0.9
0.0
2015Q4
69.9
1.6
3.1
1.5
0.7
0.1
2016Q4
69.9
1.7
2.1
1.5
1.6
0.1
58
2017Q4
67.6
1.3
2.6
0.9
2.3
0.1
2018Q4
65.1
1.7
2.5
0.8
1.6
0.0
2019Q4
63.3
1.7
2.0
1.0
1.2
0.0
July 19, 2022
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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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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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
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.
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.
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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D
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.
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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.
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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.