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Division of Investment Management
Analytics Office
Private Funds Statistics
Third Calendar Quarter 2022
April 6, 2023
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.
April 6, 2023
Analytics Office
Introduction
This report provides a summary of recent private fund industry statistics and trends, reflecting
data collected through Form PF and Form ADV filings.1 Form PF information provided in this
report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary
information of individual Form PF filers.
This report reflects data from Fourth Calendar Quarter 2020 through Third Calendar Quarter
2022 as reported by Form PF filers.2 Please see the Appendix for information on the categories of
Form PF filers, the definitions of capitalized terms, a description of the boxplots used in several
figures, as well as other technical descriptions.
The Staff continues to work with data reported on Form PF and with filers to identify
and correct filing errors. Staff updates reported statistics based on amended filings and
also may make certain adjustments to the statistics presented to correct what appear to
be clear filing errors. Further, the Staff has employed certain assumptions in aggregating
the data. Future adjustments to these methodologies and amended filings that change
the underlying data could lead to changes in previously reported statistics.
If you have any questions or comments about Third Calendar Quarter 2022 Private
Funds Statistics, please contact:
Tim Dulaney, PhD, FRM, Tim Husson, PhD, FRM, or Trevor Tatum at FormPF@sec.gov with subject
line “Third Calendar Quarter 2022-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
April 6, 2023
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
April 6, 2023
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
Venture Capital Fund
Securitized Asset Fund
Qualifying Hedge Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2020Q4
15,765
9,379
5,267
5,390
3,289
1,422
1,862
1,793
72
53
37,179
2021Q1
15,854
9,484
5,292
5,406
3,292
1,422
1,867
1,860
73
54
37,398
2021Q2
15,892
9,622
5,308
5,385
3,295
1,424
1,915
1,967
76
56
37,609
2021Q3
15,866
9,496
5,309
5,352
3,289
1,419
1,910
2,016
77
57
37,409
2021Q4
19,076
9,445
6,548
6,035
3,775
2,207
2,243
2,073
79
56
42,860
2022Q1
18,955
9,632
6,646
6,275
3,770
2,224
2,251
2,094
79
54
43,186
2022Q2
18,995
9,736
6,644
6,263
3,773
2,282
2,257
2,060
80
52
43,386
2022Q3
19,048
9,770
6,644
6,265
3,773
2,283
2,257
2,040
79
51
43,475
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
Venture Capital Fund
Securitized Asset Fund
Qualifying Hedge Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2020Q4
1,451
1,760
366
691
388
178
165
545
37
24
3,388
2021Q1
1,457
1,760
367
693
388
177
165
568
37
24
3,393
2021Q2
1,460
1,765
369
691
389
176
166
590
37
24
3,397
2021Q3
1,458
1,761
369
682
388
176
165
595
37
24
3,388
2021Q4
1,636
1,857
434
736
426
233
176
618
39
24
3,671
2022Q1
1,634
1,856
435
736
427
235
175
608
39
23
3,671
2022Q2
1,638
1,859
435
731
429
237
175
599
40
22
3,674
2022Q3
1,640
1,857
436
729
429
238
173
583
40
21
3,669
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
April 6, 2023
Analytics Office
II
Gross and Net Assets
A
Aggregate Assets by Fund Type over Time
Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions)
As reported on Form PF, Question 8.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Venture Capital Fund
Section 3 Liquidity Fund
Total
2020Q4
8,776
7,096
4,715
3,586
1,477
811
710
326
225
324
17,041
2021Q1
8,920
7,233
4,822
3,665
1,496
810
712
314
223
312
17,298
2021Q2
9,584
7,894
4,826
3,673
1,509
810
729
330
222
328
18,009
2021Q3
9,784
8,309
4,826
3,674
1,438
812
729
310
222
308
18,119
2021Q4
9,761
8,334
6,409
4,962
1,746
971
869
318
329
316
20,404
2022Q1
9,783
8,268
6,384
4,949
1,765
966
869
318
333
314
20,418
2022Q2
9,444
7,922
6,396
4,949
1,738
968
868
335
333
331
20,084
2022Q3
9,279
7,701
6,402
4,949
1,714
974
869
336
334
331
19,908
Table 4: Aggregate Private Fund Net Asset Value (NAV) ($ Billions)
As reported on Form PF, Question 9.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Venture Capital Fund
Section 3 Liquidity Fund
Total
2020Q4
4,664
3,574
4,163
3,203
1,300
615
218
322
218
320
11,499
2021Q1
4,813
3,740
4,266
3,276
1,318
613
216
304
215
302
11,745
2021Q2
5,133
4,057
4,270
3,283
1,341
613
219
319
214
317
12,110
5
2021Q3
5,115
4,166
4,271
3,283
1,274
615
220
302
215
300
12,011
2021Q4
5,133
4,191
5,746
4,489
1,558
745
264
313
309
311
14,068
2022Q1
5,152
4,150
5,728
4,483
1,581
744
265
313
313
309
14,096
2022Q2
4,916
3,878
5,738
4,483
1,556
745
264
328
314
324
13,862
2022Q3
4,853
3,771
5,742
4,483
1,533
750
264
333
314
327
13,789
April 6, 2023
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)
2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1
0.2
0.2
0.2
0.3
0.2
0.2
0.6
0.6
0.7
0.7
0.7
0.6
1.3
1.4
1.4
1.4
1.4
1.4
3.0
3.0
3.1
3.1
3.0
3.0
7.0
6.7
7.0
7.0
6.8
6.6
4.0
3.9
4.0
4.1
4.0
3.9
Qualifying Hedge Fund NAV ($ Billions)
2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1
0.2
0.2
0.2
0.2
0.2
0.2
0.5
0.5
0.6
0.6
0.5
0.5
0.9
1.0
1.0
1.0
1.0
1.0
2.0
1.9
2.0
2.0
2.0
2.0
4.4
4.5
4.7
4.7
4.5
4.4
2.0
2.0
2.1
2.1
2.0
2.0
Section 4 Private Equity Fund GAV ($ Billions)
2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1
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
1.5
1.5
1.5
1.5
1.6
1.6
0.7
0.7
0.7
0.7
0.8
0.7
Section 4 Private Equity Fund NAV ($ Billions)
2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1
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
0.5
0.5
1.3
1.3
1.3
1.3
1.4
1.4
0.6
0.6
0.6
0.6
0.7
0.7
6
2022Q2
0.2
0.6
1.3
2.8
6.3
3.8
2022Q3
0.2
0.6
1.2
2.8
6.4
3.8
2022Q2
0.2
0.5
0.9
1.8
4.1
1.9
2022Q3
0.1
0.5
0.9
1.8
3.9
1.8
2022Q2
0.0
0.0
0.1
0.5
1.6
0.7
2022Q3
0.0
0.0
0.1
0.5
1.6
0.7
2022Q2
0.0
0.0
0.1
0.5
1.4
0.7
2022Q3
0.0
0.0
0.1
0.5
1.4
0.7
April 6, 2023
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
2020Q4
1.0
1.0
1.0
1.1
2.1
1.8
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2020Q4
1.0
1.0
1.2
1.6
2.6
1.6
All Private Funds
2021Q1 2021Q2 2021Q3 2021Q4
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
2.0
1.8
1.8
1.8
1.7
Qualifying Hedge Funds
2021Q1 2021Q2 2021Q3 2021Q4
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.2
1.1
1.1
1.1
1.6
1.6
1.6
1.6
2.7
2.7
2.7
2.7
1.6
1.6
1.6
1.6
7
2022Q1
1.0
1.0
1.0
1.1
2.0
1.7
2022Q2
1.0
1.0
1.0
1.1
2.0
1.7
2022Q3
1.0
1.0
1.0
1.1
2.0
1.7
2022Q1
1.0
1.0
1.1
1.6
2.8
1.6
2022Q2
1.0
1.0
1.1
1.6
2.7
1.6
2022Q3
1.0
1.0
1.2
1.6
2.6
1.6
April 6, 2023
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
2020Q4
53.4
45.6
41.0
13.8
5.0
5.1
5.0
0.5
0.0
0.0
2021Q1
50.1
45.2
40.9
13.9
4.7
4.9
4.9
0.5
0.0
0.0
2021Q2
50.0
45.7
41.6
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
45.6
42.1
13.2
5.5
5.4
3.5
0.7
0.0
0.0
2022Q1
49.7
43.2
39.8
12.2
5.5
5.5
3.6
0.7
0.0
0.0
2022Q2
49.3
43.3
39.7
12.2
5.5
5.4
3.5
0.7
0.0
0.0
2022Q3
49.4
43.5
40.0
12.4
5.5
5.4
3.7
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
2020Q4
0.0
0.0
0.0
0.2
0.6
0.5
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2020Q4
0.0
0.1
0.3
1.2
4.0
2.8
All Private Funds ($ Billions)
2021Q1 2021Q2 2021Q3 2021Q4 2022Q1
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
0.3
0.3
0.3
0.3
0.6
0.6
0.6
0.6
0.6
0.5
0.6
0.6
0.5
0.5
Qualifying Hedge Funds ($ Billions)
2021Q1 2021Q2 2021Q3 2021Q4 2022Q1
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.3
0.4
0.4
0.4
0.3
1.3
1.4
1.3
1.3
1.2
4.0
4.3
4.1
3.8
3.7
2.8
2.9
3.0
2.9
2.8
8
2022Q2
0.0
0.0
0.0
0.3
0.6
0.5
2022Q3
0.0
0.0
0.0
0.3
0.6
0.5
2022Q2
0.0
0.1
0.3
1.1
3.3
2.7
2022Q3
0.0
0.1
0.3
1.0
3.4
2.6
April 6, 2023
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
2020Q4
0.0
0.0
0.2
0.9
6.4
2.6
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2020Q4
0.0
0.1
0.3
0.8
2.3
0.9
All Private Funds
2021Q1 2021Q2 2021Q3 2021Q4
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.2
0.2
0.2
0.2
0.8
0.9
0.9
0.9
6.4
6.7
7.1
9.5
2.6
2.6
2.6
2.3
Qualifying Hedge Funds
2021Q1 2021Q2 2021Q3 2021Q4
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
0.9
0.9
0.9
2.3
2.4
2.5
2.3
0.9
0.9
0.9
0.9
2022Q1
0.0
0.0
0.2
0.9
9.1
2.2
2022Q2
0.0
0.0
0.2
0.9
9.1
2.3
2022Q3
0.0
0.0
0.2
0.9
9.2
2.3
2022Q1
0.0
0.1
0.3
0.9
2.4
0.8
2022Q2
0.0
0.1
0.3
0.8
2.2
0.8
2022Q3
0.0
0.1
0.3
0.8
2.1
0.8
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
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
9
2021Q3
67.0
30.5
2.3
0.9
2021Q4
67.1
29.3
2.8
1.0
2022Q1
66.4
30.5
3.1
0.9
2022Q2
66.6
30.3
3.0
0.9
2022Q3
67.7
28.8
3.3
1.0
April 6, 2023
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
2020Q4
4,249
3,657
5,072
2,333
2021Q1
4,279
3,639
5,173
2,340
2021Q2
4,315
3,648
5,204
2,333
2021Q3
4,384
3,650
5,274
2,323
2021Q4
4,687
3,841
6,802
2,852
2022Q1
4,656
3,827
6,832
2,877
2022Q2
4,608
3,833
6,842
2,859
2022Q3
4,580
3,798
6,804
2,867
Table 8: Liabilities According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2020Q4
1,344
1,197
294
2,067
2021Q1
1,336
1,175
296
2,081
2021Q2
1,340
1,179
303
2,075
2021Q3
1,342
1,197
338
2,071
10
2021Q4
1,701
1,362
376
2,273
2022Q1
1,701
1,350
377
2,270
2022Q2
1,695
1,369
340
2,271
2022Q3
1,700
1,328
342
2,278
April 6, 2023
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
2020Q4
597
478
311
210
103
73
17
***
11
***
1,489
2021Q1
581
475
311
199
103
73
17
***
11
***
1,470
2021Q2
575
487
312
200
115
73
17
***
11
***
1,478
2021Q3
559
485
312
207
115
73
17
***
***
***
1,459
2021Q4
569
504
303
208
137
89
30
***
***
***
1,507
2022Q1
578
503
303
210
137
89
30
***
***
***
1,515
2022Q2
576
502
315
201
137
89
30
***
***
***
1,524
2022Q3
574
498
314
207
137
89
30
***
***
***
1,517
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
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
2,641
98
551
68
7
1
***
***
***
3,992
2021Q4
880
2,674
119
566
102
16
2
***
***
***
4,111
2022Q1
839
2,671
120
538
102
16
2
***
***
***
4,024
2022Q2
765
3,451
152
483
110
16
2
***
***
***
4,781
2022Q3
729
3,416
152
438
110
16
2
***
***
***
4,704
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
April 6, 2023
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
2020Q4
0.0
0.0
0.3
1.3
4.9
2.6
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2020Q4
0.1
0.2
0.5
1.9
5.1
2.3
All Private Funds ($ Billions)
2021Q1 2021Q2 2021Q3 2021Q4 2022Q1
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.3
0.3
0.3
0.3
0.3
1.3
1.5
1.5
1.5
1.4
5.0
5.0
5.0
5.3
5.3
2.7
2.7
2.7
2.7
2.7
Qualifying Hedge Funds ($ Billions)
2021Q1 2021Q2 2021Q3 2021Q4 2022Q1
0.1
0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.2
0.3
0.6
0.6
0.6
0.6
0.6
1.9
2.1
2.1
2.1
2.0
6.0
6.3
6.2
6.0
5.8
2.4
2.6
2.7
2.7
2.6
12
2022Q2
0.0
0.0
0.3
1.5
5.4
3.1
2022Q3
0.0
0.0
0.3
1.4
5.3
3.1
2022Q2
0.1
0.2
0.6
1.9
5.5
2.4
2022Q3
0.1
0.2
0.6
1.9
4.8
2.1
April 6, 2023
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
Bermuda
United Kingdom
Virgin Islands, British
Other
Country
Cayman Islands
United States
Virgin Islands, British
Ireland
Luxembourg
Bermuda
Other
Country
Ireland
United States
Cayman Islands
Other
Country
United States
Cayman Islands
Canada
United Kingdom
Bermuda
Other
All Private Funds
2020Q4 2021Q1 2021Q2 2021Q3 2021Q4
51.0
50.9
50.0
49.5
51.8
34.4
34.3
34.3
34.8
32.8
3.7
3.6
3.7
3.7
4.1
4.3
4.1
4.1
4.0
3.9
1.0
1.0
1.0
1.0
0.9
1.0
1.0
0.9
0.9
1.0
1.0
1.0
1.0
1.0
0.9
3.6
4.1
5.0
5.0
4.7
Qualifying Hedge Funds
2020Q4 2021Q1 2021Q2 2021Q3 2021Q4
53.4
52.7
51.6
51.8
51.8
34.1
35.0
34.1
33.9
34.2
2.8
2.8
2.7
2.7
2.6
3.2
3.1
3.2
3.2
3.2
2.7
2.6
2.5
2.5
2.4
1.8
1.7
1.6
1.5
1.5
2.0
2.1
4.3
4.5
4.2
Section 3 Liquidity Funds
2020Q4 2021Q1 2021Q2 2021Q3 2021Q4
***
***
***
***
***
25.5
28.0
27.8
26.6
27.6
***
***
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2020Q4 2021Q1 2021Q2 2021Q3 2021Q4
56.3
55.2
55.2
55.2
56.1
29.6
29.0
28.9
28.9
29.3
2.2
2.2
2.2
2.2
2.0
1.5
1.5
1.5
1.5
1.4
1.1
1.1
1.1
1.1
1.2
9.3
11.0
11.1
11.1
9.9
13
2022Q1
52.2
32.7
4.1
3.9
1.0
0.9
0.9
4.2
2022Q2
52.5
32.4
4.1
3.9
1.0
0.9
0.9
4.2
2022Q3
52.9
32.7
4.1
3.9
1.0
0.9
0.9
3.6
2022Q1
51.0
34.9
2.8
3.1
2.4
1.7
4.2
2022Q2
52.3
35.7
3.1
3.0
2.4
1.7
1.8
2022Q3
53.2
34.9
3.1
2.8
2.3
1.9
1.7
2022Q1
***
28.5
***
***
2022Q2
***
27.3
***
***
2022Q3
***
25.5
***
***
2022Q1
56.9
29.6
1.9
1.4
1.2
9.0
2022Q2
56.9
29.6
1.9
1.4
1.2
9.0
2022Q3
56.9
29.6
1.9
1.4
1.2
9.0
April 6, 2023
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
2020Q4
90.4
4.6
4.9
Country
United States
United Kingdom
Australia
Hong Kong
Other
2020Q4
88.9
4.7
***
***
2.0
Country
United States
United Kingdom
2020Q4
***
***
Country
United States
Canada
Other
2020Q4
94.2
***
***
All Private Funds
2021Q1 2021Q2 2021Q3 2021Q4
90.3
89.4
89.6
91.2
4.8
4.8
4.6
3.9
4.9
5.9
5.8
4.9
Qualifying Hedge Funds
2021Q1 2021Q2 2021Q3 2021Q4
89.6
87.6
88.0
88.1
4.4
4.3
4.1
4.1
***
***
***
***
***
***
***
***
1.8
4.0
4.1
4.1
Section 3 Liquidity Funds
2021Q1 2021Q2 2021Q3 2021Q4
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2021Q1 2021Q2 2021Q3 2021Q4
94.3
94.3
94.3
95.6
***
***
***
***
***
***
***
***
14
2022Q1
90.9
4.0
5.1
2022Q2
91.8
3.9
4.3
2022Q3
91.9
3.9
4.2
2022Q1
88.5
3.9
***
***
4.1
2022Q2
90.7
3.7
***
***
2.2
2022Q3
91.1
3.5
***
***
2.2
2022Q1
***
***
2022Q2
***
***
2022Q3
***
***
2022Q1
95.6
***
***
2022Q2
95.6
***
***
2022Q3
95.6
***
***
April 6, 2023
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
2020Q4
2,042
1,828
1,534
1,165
1,248
1,142
803
554
296
277
192
169
134
111
2021Q1
2,073
1,861
1,557
1,196
1,266
1,170
844
567
309
269
199
176
143
110
2021Q2
2,129
1,949
1,576
1,226
1,279
1,208
855
584
387
263
205
190
144
110
2021Q3
2,133
1,929
1,587
1,208
1,262
1,215
856
594
384
266
203
189
138
44
2021Q4
2,599
2,445
1,858
1,421
1,371
1,315
1,007
697
416
317
232
188
154
42
2022Q1
2,637
2,444
1,882
1,416
1,377
1,297
1,000
705
402
306
226
195
160
45
2022Q2
2,595
2,407
1,871
1,371
1,341
1,246
1,004
702
396
312
222
194
149
44
2022Q3
2,590
2,415
1,862
1,366
1,273
1,255
1,010
703
393
305
224
197
147
42
2022Q2
18.7
17.4
13.5
9.9
9.7
9.0
7.2
5.1
2.9
2.2
1.6
1.4
1.1
0.3
2022Q3
18.8
17.5
13.5
9.9
9.2
9.1
7.3
5.1
2.8
2.2
1.6
1.4
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
2020Q4
17.8
15.9
13.3
10.1
10.9
9.9
7.0
4.8
2.6
2.4
1.7
1.5
1.2
1.0
2021Q1
17.7
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
15
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
2021Q3
17.8
16.1
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
9.7
9.3
7.2
5.0
3.0
2.3
1.7
1.3
1.1
0.3
2022Q1
18.7
17.3
13.4
10.0
9.8
9.2
7.1
5.0
2.8
2.2
1.6
1.4
1.1
0.3
April 6, 2023
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
State/Muni. Govt. Pension Plans
U.S. Individuals
Pension Plans
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
State/Muni. Govt. Entities
Unknown Non-U.S. Investors
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2020Q4
607
493
539
399
415
458
227
113
111
53
67
38
38
17
2021Q1
643
523
561
411
454
468
237
122
113
56
63
40
41
5
2021Q2
696
573
594
430
486
479
244
131
186
62
80
43
42
6
2021Q3
725
598
601
447
492
478
256
140
186
59
89
42
42
8
2021Q4
724
607
602
458
492
479
264
144
182
62
86
41
38
9
2022Q1
733
603
581
462
473
478
266
147
171
61
82
41
39
9
2022Q2
703
571
546
453
433
452
267
151
108
58
47
39
39
9
2022Q3
699
564
559
431
423
384
266
149
102
59
42
42
38
8
2022Q2
18.1
14.7
14.1
11.7
11.2
11.6
6.9
3.9
2.8
1.5
1.2
1.0
1.0
0.2
2022Q3
18.5
14.9
14.8
11.4
11.2
10.2
7.1
4.0
2.7
1.6
1.1
1.1
1.0
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
State/Muni. Govt. Pension Plans
U.S. Individuals
Pension Plans
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
State/Muni. Govt. Entities
Unknown Non-U.S. Investors
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2020Q4
17.0
13.8
15.1
11.2
11.6
12.8
6.3
3.2
3.1
1.5
1.9
1.1
1.1
0.5
2021Q1
17.2
14.0
15.0
11.0
12.1
12.5
6.3
3.3
3.0
1.5
1.7
1.1
1.1
0.1
16
2021Q2
17.2
14.1
14.7
10.6
12.0
11.8
6.0
3.2
4.6
1.5
2.0
1.1
1.0
0.2
2021Q3
17.4
14.4
14.4
10.7
11.8
11.5
6.1
3.4
4.5
1.4
2.1
1.0
1.0
0.2
2021Q4
17.3
14.5
14.4
10.9
11.7
11.4
6.3
3.4
4.3
1.5
2.1
1.0
0.9
0.2
2022Q1
17.7
14.5
14.0
11.1
11.4
11.5
6.4
3.5
4.1
1.5
2.0
1.0
0.9
0.2
April 6, 2023
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.
Broker-Dealers
Sec-Registered Investment Companies
Insurance Companies
Sov. Wealth Funds And For. Official Inst.
Pension Plans
Non-U.S. Individuals
State/Muni. Govt. Entities
Non-Profits
U.S. Individuals
State/Muni. Govt. Pension Plans
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
4
***
3
***
1
2021Q3
101
50
50
***
***
27
9
***
7
3
***
3
***
1
2021Q4
96
60
57
***
***
23
9
***
7
***
3
4
***
1
2022Q1
103
51
58
***
***
24
8
***
5
***
***
3
***
1
2022Q2
100
64
65
***
***
16
9
***
5
***
***
3
***
***
2022Q3
106
68
64
***
***
15
8
***
***
***
***
3
***
***
2022Q2
30.8
19.9
19.9
***
***
4.9
2.8
***
1.5
***
***
0.9
***
***
2022Q3
32.4
20.7
19.6
***
***
4.6
2.5
***
***
***
***
0.8
***
***
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.
Broker-Dealers
Sec-Registered Investment Companies
Insurance Companies
Sov. Wealth Funds And For. Official Inst.
Pension Plans
Non-U.S. Individuals
State/Muni. Govt. Entities
Non-Profits
U.S. Individuals
State/Muni. Govt. Pension Plans
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
17
2021Q2
33.1
18.0
16.5
7.4
***
7.8
3.5
***
2.4
1.1
***
1.0
***
0.3
2021Q3
33.8
16.7
16.5
***
***
8.9
3.2
***
2.4
0.9
***
1.1
***
0.4
2021Q4
31.0
19.2
18.5
***
***
7.5
2.8
***
2.3
***
1.0
1.2
***
0.3
2022Q1
33.4
16.6
18.6
***
***
7.8
2.6
***
1.7
***
***
1.0
***
0.3
April 6, 2023
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
State/Muni. Govt. Entities
Non-U.S. Individuals
Sec-Registered Investment Companies
Banking/Thrift Inst.
Unknown Non-U.S. Investors
Broker-Dealers
2020Q4
656
652
513
361
246
186
189
180
63
65
27
38
25
3
2021Q1
659
654
544
387
246
187
190
180
63
71
27
38
25
3
2021Q2
662
655
544
388
247
187
190
180
63
71
27
38
25
3
2021Q3
662
655
544
388
247
187
190
180
63
71
27
38
25
3
2021Q4
957
836
819
501
324
265
252
237
82
83
49
45
33
3
2022Q1
974
850
802
477
325
265
255
238
82
77
50
49
34
3
2022Q2
973
851
802
477
326
265
256
238
82
77
50
49
34
3
2022Q3
973
851
802
477
326
265
256
238
82
77
50
49
34
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
State/Muni. Govt. Entities
Non-U.S. Individuals
Sec-Registered Investment Companies
Banking/Thrift Inst.
Unknown Non-U.S. Investors
Broker-Dealers
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
1.9
2.2
0.8
1.2
0.8
0.1
18
2021Q2
20.2
20.0
16.6
11.8
7.5
5.7
5.8
5.5
1.9
2.2
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
1.9
2.2
0.8
1.2
0.8
0.1
2021Q4
21.3
18.6
18.2
11.2
7.2
5.9
5.6
5.3
1.8
1.9
1.1
1.0
0.7
0.1
2022Q1
21.7
19.0
17.9
10.6
7.3
5.9
5.7
5.3
1.8
1.7
1.1
1.1
0.8
0.1
2022Q2
21.7
19.0
17.9
10.6
7.3
5.9
5.7
5.3
1.8
1.7
1.1
1.1
0.8
0.1
2022Q3
21.7
19.0
17.9
10.6
7.3
5.9
5.7
5.3
1.8
1.7
1.1
1.1
0.8
0.1
April 6, 2023
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
2020Q4
56.2
59.6
55.4
53.8
50.7
50.2
43.8
43.6
45.2
36.6
53.3
2021Q1
56.2
59.4
55.2
53.7
50.5
51.1
45.4
45.2
46.1
35.3
53.6
2021Q2
56.1
59.4
54.2
53.9
49.7
51.1
47.4
47.1
46.2
35.0
53.3
19
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
52.6
49.9
49.5
46.1
45.8
44.9
37.3
52.2
2022Q1
59.0
57.5
54.6
52.5
50.9
49.1
48.1
47.7
44.7
37.5
52.4
2022Q2
59.0
57.1
55.0
52.3
51.9
49.2
46.8
46.4
44.7
37.6
52.4
2022Q3
58.7
57.5
54.7
52.4
51.6
49.1
46.0
45.5
44.7
37.8
52.3
April 6, 2023
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
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2020Q4
14,161
11,893
134
66
34
19
3
***
***
***
14,476
2021Q1
15,235
13,460
138
66
34
18
3
***
***
***
15,504
2021Q2
16,304
14,415
134
66
34
18
3
***
***
***
16,552
2021Q3
15,881
14,474
133
66
34
18
3
***
***
***
16,087
2021Q4
15,523
14,166
118
70
52
41
5
***
***
***
15,785
2022Q1
15,943
14,347
110
69
54
41
5
***
***
***
16,127
2022Q2
15,345
13,662
110
69
54
41
5
***
***
0
15,576
2022Q3
15,029
13,464
111
71
54
41
5
***
***
0
15,270
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
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2020Q4
303.6
332.8
10.3
1.6
1.1
3.1
1.2
***
***
***
125.9
2021Q1
316.5
359.9
10.5
1.5
1.0
2.9
1.3
***
***
***
132.0
2021Q2
317.6
355.3
10.0
1.6
1.0
2.9
1.2
***
***
***
136.7
20
2021Q3
310.5
347.4
10.4
1.6
1.0
2.9
1.2
***
***
***
133.9
2021Q4
302.4
338.0
7.6
1.2
1.2
5.6
1.8
***
***
***
112.2
2022Q1
309.5
345.7
7.0
1.2
1.2
5.6
1.8
***
***
***
114.4
2022Q2
312.1
352.3
7.0
1.2
1.2
5.6
1.8
***
***
0.0
112.4
2022Q3
309.7
357.0
7.3
1.2
1.2
5.5
1.8
***
***
0.0
110.7
April 6, 2023
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
2020Q4
0.0
0.0
0.0
0.2
1.3
1.0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2020Q4
0.0
0.1
0.4
2.0
11.3
5.6
All Private Funds ($ Billions)
2021Q1 2021Q2 2021Q3 2021Q4 2022Q1
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
1.4
1.4
1.3
1.4
1.3
1.1
1.2
1.1
1.1
1.1
Qualifying Hedge Funds ($ Billions)
2021Q1 2021Q2 2021Q3 2021Q4 2022Q1
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.3
0.3
0.3
0.3
0.3
2.0
1.8
1.6
1.7
1.7
11.2
10.7
10.2
10.4
9.4
5.9
6.2
6.1
5.5
5.9
2022Q2
0.0
0.0
0.0
0.2
1.2
1.1
2022Q3
0.0
0.0
0.0
0.2
1.2
1.0
2022Q2
0.0
0.0
0.3
1.7
9.5
5.7
2022Q3
0.0
0.0
0.3
1.6
8.6
5.2
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
2020Q4
8,150
46
6
2021Q1
8,200
45
6
2021Q2
8,313
49
6
2021Q3
8,213
49
6
2021Q4
8,378
49
8
2022Q1
8,516
52
8
2022Q2
8,604
53
8
2022Q3
8,663
50
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
2020Q4
4,533
99
3
2021Q1
4,675
103
4
2021Q2
4,990
112
4
2021Q3
4,962
117
5
21
2021Q4
4,998
115
6
2022Q1
4,999
128
7
2022Q2
4,760
127
8
2022Q3
4,687
135
8
April 6, 2023
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
2020Q4
7.1
13.5
19.9
28.3
43.0
56.4
2021Q1
7.1
13.3
19.5
27.8
42.6
56.1
2021Q2
7.0
13.0
19.1
27.5
42.2
55.9
2021Q3
7.3
13.3
19.4
27.8
42.7
56.2
2021Q4
7.3
13.3
19.3
27.6
42.2
55.7
2022Q1
7.6
13.5
19.5
27.6
42.0
55.5
2022Q2
7.8
13.5
19.4
27.3
41.5
54.9
2022Q3
8.1
13.7
19.6
27.5
41.7
54.9
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
2020Q4
14.9
23.7
32.5
41.5
55.3
66.5
2021Q1
14.1
22.8
31.5
40.4
54.1
65.8
2021Q2
14.8
23.7
32.2
40.7
54.1
65.7
2021Q3
16.2
25.2
33.5
42.3
55.4
66.8
2021Q4
16.2
25.3
33.4
41.9
54.9
66.3
2022Q1
15.8
25.6
33.5
41.9
54.5
66.1
2022Q2
16.7
26.0
34.1
42.4
54.6
66.1
2022Q3
16.9
25.7
33.8
42.4
54.7
65.9
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
2020Q4
33.4
48.8
61.0
72.2
84.1
91.3
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
22
2021Q4
34.7
49.3
61.4
72.1
83.3
90.9
2022Q1
34.1
48.6
61.0
71.5
83.4
90.8
2022Q2
34.6
50.1
61.7
72.0
83.1
90.5
2022Q3
34.2
50.2
62.0
72.4
83.4
90.6
April 6, 2023
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
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
95.1
2021Q3
40.7
56.8
69.2
79.6
90.4
95.5
2021Q4
41.0
55.4
67.6
78.4
89.8
95.2
2022Q1
38.2
55.1
67.7
79.2
90.4
95.4
2022Q2
39.2
56.0
68.0
79.3
90.3
95.4
2022Q3
41.1
56.9
69.0
80.3
90.6
95.5
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
2020Q4
35.6
49.2
60.2
70.8
83.4
91.7
2021Q1
36.6
50.1
60.5
71.2
83.4
91.3
2021Q2
34.8
48.4
59.4
70.0
82.8
90.9
2021Q3
35.0
49.6
60.6
70.9
83.4
91.1
23
2021Q4
35.3
48.5
59.7
70.2
82.7
90.7
2022Q1
34.6
48.6
59.9
70.8
83.0
90.8
2022Q2
34.2
49.3
60.9
71.2
83.0
90.6
2022Q3
34.4
50.3
61.5
72.2
83.6
90.9
April 6, 2023
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
Asset Based Lending
Long/Short
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
2020Q4
615
266
318
30
1
537
119
56
63
51
34
12
5
48
28
11
7
1
2
29
11
8
***
***
***
6
***
***
1,251
2021Q1
642
288
329
25
1
561
122
55
67
56
37
12
6
49
29
9
8
1
1
31
13
10
***
***
***
6
***
***
1,314
24
2021Q2
666
310
327
28
1
589
126
57
68
61
41
14
6
48
28
9
8
1
1
32
13
9
***
***
***
6
***
***
1,369
2021Q3
654
307
319
27
1
595
134
62
72
66
47
13
6
49
30
9
7
1
1
32
13
10
3
***
***
6
***
***
1,383
2021Q4
680
326
324
***
***
624
141
70
71
74
43
20
11
55
32
11
9
2
1
33
13
9
3
***
***
6
***
***
1,436
2022Q1
637
311
298
26
1
648
144
73
72
76
46
19
10
56
32
11
9
2
1
34
15
10
4
***
***
7
***
***
1,433
2022Q2
589
280
273
***
***
647
144
72
72
75
47
18
10
56
33
11
9
3
2
33
15
10
4
***
***
6
***
***
1,385
2022Q3
555
273
251
29
2
656
150
77
73
76
48
19
9
56
33
11
8
3
1
32
16
11
4
***
***
6
***
***
1,368
April 6, 2023
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
Asset Based Lending
Long/Short
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
2020Q4
1,013
437
525
48
11
950
354
184
173
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
185
175
230
161
52
21
177
95
50
18
13
17
239
46
24
***
***
***
27
***
***
2,852
25
2021Q2
1,031
451
528
46
11
1,003
366
193
176
239
165
56
22
173
95
44
19
12
16
233
46
24
***
***
***
27
***
***
2,907
2021Q3
1,035
458
527
45
11
1,017
373
198
178
236
166
52
21
173
96
47
18
11
15
238
43
22
13
***
***
24
***
***
2,930
2021Q4
1,128
471
605
***
***
1,033
383
197
189
243
164
59
21
186
95
54
20
19
18
241
45
18
15
***
***
24
***
***
3,078
2022Q1
1,150
480
616
51
8
1,069
394
200
197
259
179
60
21
189
94
53
22
19
14
260
48
19
17
***
***
24
***
***
3,174
2022Q2
1,153
475
624
***
***
1,092
404
197
210
270
189
60
21
198
100
58
23
20
19
261
48
19
17
***
***
23
***
***
3,215
2022Q3
1,156
474
627
51
9
1,113
422
207
218
276
195
61
21
201
101
57
26
20
19
257
45
19
16
***
***
22
***
***
3,264
April 6, 2023
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
Macro
Credit
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
Volatility Arb.
F.I. Corp.
F.I. Conv. Arb.
Subtotal
Subtotal
Global Macro
Currency
Commodity
Active Trading
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Distressed/Restruct.
Risk Arb./Merger Arb.
Equity
Subtotal
Total
2020Q4
1,179
803
293
***
***
408
272
79
14
29
13
617
379
368
***
7
***
235
175
61
151
***
***
147
95
28
24
30
2,159
2021Q1
1,160
779
296
***
***
410
274
80
17
24
15
656
379
369
***
7
***
247
185
62
167
***
***
168
103
35
29
35
2,208
26
2021Q2
1,280
830
357
***
***
423
283
78
19
27
16
745
404
392
***
9
***
303
238
66
201
***
***
182
110
41
31
34
2,419
2021Q3
1,275
825
360
***
***
445
299
79
22
28
17
761
385
373
***
8
***
325
229
96
233
***
***
178
112
33
33
35
2,468
2021Q4
1,270
813
356
***
***
456
315
76
22
27
16
767
265
255
***
7
***
287
210
77
209
***
***
185
117
33
35
33
2,435
2022Q1
1,143
728
321
***
***
434
284
75
24
28
22
776
285
275
***
7
***
297
217
81
231
***
***
185
120
30
34
33
2,394
2022Q2
1,015
647
280
***
***
442
309
75
27
18
13
736
305
295
***
7
***
290
207
83
206
***
***
180
120
30
30
30
2,220
2022Q3
962
617
258
***
***
409
283
73
23
17
12
715
328
313
***
5
***
309
219
89
240
***
***
173
119
29
25
30
2,146
April 6, 2023
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
Macro
Credit
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
Volatility Arb.
F.I. Corp.
F.I. Conv. Arb.
Subtotal
Subtotal
Global Macro
Currency
Commodity
Active Trading
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Distressed/Restruct.
Risk Arb./Merger Arb.
Equity
Subtotal
Total
2020Q4
1,075
636
342
***
***
306
60
151
26
94
24
842
213
163
***
38
***
342
243
102
115
***
***
305
214
43
77
113
3,118
2021Q1
1,050
609
342
***
***
305
57
149
26
92
27
826
213
163
***
40
***
342
242
103
118
***
***
313
218
43
82
130
3,100
27
2021Q2
1,084
612
375
***
***
307
55
151
25
98
25
881
212
162
***
38
***
358
254
107
120
***
***
318
220
48
80
104
3,181
2021Q3
1,072
607
379
***
***
304
54
147
25
98
27
857
207
160
***
34
***
356
249
111
123
***
***
321
223
47
79
102
3,132
2021Q4
1,090
630
388
***
***
303
60
148
27
91
24
853
205
162
***
37
***
353
248
108
108
***
***
310
214
48
74
102
3,094
2022Q1
1,094
631
391
***
***
301
59
145
26
92
25
875
209
168
***
35
***
368
260
111
113
***
***
316
221
50
70
100
3,149
2022Q2
1,093
631
385
***
***
300
59
147
25
88
26
892
208
172
***
33
***
370
260
113
120
***
***
318
223
49
70
103
3,176
2022Q3
1,090
629
382
***
***
304
61
149
24
90
24
881
210
170
***
34
***
381
267
117
121
***
***
314
223
47
69
107
3,177
April 6, 2023
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.
2-0
2-0
202
202
202
2
2-0
1.0
1.2
1.9
3.3
8.2
3.8
9
8
1.0
1.2
1.9
3.2
8.6
3.8
202
202
2-0
1.0
1.1
1.7
3.1
7.7
3.6
202
2-0
202
1.0
1.2
1.9
3.4
8.6
4.0
202
2-0
7
1.0
1.2
1.9
3.5
8.3
4.0
6
1.0
1.1
1.8
3.3
7.8
3.8
2-0
2-0
202
1.0
1.2
1.9
3.6
8.5
3.9
202
2-0
2-0
1.0
1.2
1.9
3.5
8.2
4.0
202
1
202
2-0
2
1-1
1.0
1.2
1.9
3.3
8.2
3.9
2-0
1.0
1.2
1.9
3.5
8.9
4.1
202
1
1-1
1-1
202
202
1.0
1.2
1.9
3.6
8.9
4.1
-09
202
2-0
6
28
1.0
1.1
1.9
3.5
8.3
4.0
0
9
202
1-0
8
1-0
1.0
1.1
1.9
3.6
8.4
4.0
8
202
2-0
5
1.0
1.2
2.0
3.9
11.4
5.7
7
202
2-0
4
1.0
1.3
2.1
4.2
13.4
6.2
5
202
2-0
3
1.0
1.3
2.1
4.3
12.6
6.0
4
202
2-0
2
1.0
1.2
2.0
4.1
11.4
5.7
3
202
1.0
1.3
2.1
4.4
13.2
6.5
2
202
1-1
2
1.0
1.3
2.1
4.4
12.1
6.2
1
202
1-1
1
1.0
1.2
2.1
4.1
12.4
6.3
1.0
1.2
1.9
3.5
8.1
3.9
1-0
9
202
1-1
0
1.0
1.3
2.1
4.5
14.5
6.7
202
1.0
1.2
2.1
4.4
14.9
6.4
202
1-0
8
1.0
1.2
2.1
4.1
13.2
6.7
1-0
7
1.0
1.3
2.1
4.5
14.3
7.3
202
1.0
1.1
1.9
3.4
8.2
3.9
1.0
1.0
1.0
1.0
1.2
1.2
1.2
1.3
2.1
2.1
2.0
2.1
4.4
4.4
4.1
4.5
13.7 14.5 13.3 14.3
6.7
7.0
6.8
7.2
Excluding IRDs
202
6
0.9
1.1
1.9
3.6
8.1
3.9
202
202
1-0
0.9
1.1
1.9
3.3
7.9
3.8
1-0
5
1.0
1.1
1.8
3.4
7.8
3.9
202
1
0.9
1.2
1.9
3.5
8.4
4.0
1-0
3
0.9
1.1
1.8
3.3
8.1
3.8
202
-01
202
1-0
1.0
1.2
1.9
3.5
7.8
4.0
202
1
0-1
202
1
0-1
0-1
202
0.9
1.1
1.9
3.6
7.8
4.1
6
1.0
1.2
2.1
4.3
13.1
6.5
1-0
7
1.0
1.2
2.1
4.4
13.8
7.1
202
5
202
1-0
0.9
1.2
2.1
4.4
12.1
6.5
0.8
1.1
1.8
3.3
7.5
3.8
1-0
4
1.0
1.3
2.0
4.3
11.6
6.1
-04
202
1-0
3
202
2
1.0
1.3
2.1
4.6
12.6
6.5
1-0
202
0.9
1.2
2.0
4.3
12.0
6.1
2
202
1-0
2
1.0
1.3
2.1
4.5
12.3
6.3
202
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1-0
1
202
0.9
1.3
2.1
4.7
13.6
7.6
2
202
0-1
0-1
1
202
0.9
1.2
1.9
4.6
12.3
6.9
0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
0
-10
Including Interest Rate Derivatives (IRDs)
1.0
1.1
1.8
3.1
7.8
3.6
April 6, 2023
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
8
9
2-0
202
2 -0
0.0
0.2
0.5
1.4
4.1
1.5
0.0
0.2
0.5
1.4
3.8
1.6
0.0
0.2
0.5
1.4
4.0
1.5
-09
-09
8
8
0.1
0.2
0.6
2.0
7.9
2.7
0.9
1.0
1.4
2.1
4.5
2.3
0.1
0.2
0.6
2.0
6.7
2.6
202
2-0
9
8
0.1
0.2
0.7
2.0
7.4
2.7
202
2
2-0
2-0
0.1
0.2
0.6
2.0
6.4
2.8
0.9
1.1
1.5
2.4
7.1
3.4
202
2
7
2-0
202
7
2-0
202
2-0
7
0.9
1.1
1.5
2.2
4.8
2.4
202
6
202
202
0.9
1.1
1.5
2.2
4.7
2.4
202
202
2-0
6
0.9
1.1
1.6
2.5
7.6
3.7
202
2-0
0.0
0.2
0.5
1.4
4.2
1.7
0.9
1.2
1.6
2.6
7.5
3.6
202
2-0
7
0.0
0.2
0.5
1.4
4.2
1.7
0.0
0.2
0.5
1.4
3.7
1.6
2-0
2-0
5
202
2-0
6
5
0.1
0.2
0.6
2.1
7.4
3.0
202
2-0
0.1
0.2
0.6
2.0
6.7
3.0
0.9
1.0
1.4
2.1
4.4
2.3
202
-04
202
2-0
5
4
2-0
0.9
1.1
1.5
2.2
5.0
2.5
202
202
0.9
1.1
1.5
2.3
5.1
2.5
202
0.9
1.1
1.5
2.5
6.4
3.4
2-0
4
2-0
3
0.9
1.1
1.6
2.6
7.4
3.8
202
3
2-0
202
2
0.9
1.1
1.6
2.6
7.2
3.8
0.1
0.2
0.6
2.0
6.7
2.9
202
2
0.0
0.2
0.5
1.5
4.1
1.7
202
2
202
3
2-0
202
2
2-0
0.9
1.1
1.4
2.2
4.8
2.5
2-0
0.1
0.2
0.6
2.1
7.2
3.2
2-0
1
2-0
2
202
2-0
1
202
2-0
1
1.0
1.1
1.5
2.6
6.9
3.8
202
2-0
-01
0.0
0.2
0.5
1.5
4.2
1.8
0.9
1.1
1.5
2.3
4.7
2.5
202
2
202
2
202
202
2
1-1
0.0
0.1
0.5
1.3
4.2
1.8
0.1
0.2
0.6
1.9
8.1
3.1
202
2
1-1
202
1
0.0
0.2
0.6
2.0
7.3
3.4
202
0.0
0.1
0.5
1.5
4.4
1.8
0.9
1.1
1.5
2.3
4.6
2.5
2
1-1
1
1-1
1-1
1.0
1.1
1.5
2.2
4.5
2.6
0.9
1.1
1.6
2.7
7.8
3.9
2-0
6
0.0
0.2
0.5
1.5
4.3
1.8
0.9
1.1
1.6
2.6
7.5
3.7
202
2-0
5
0.0
0.1
0.5
1.4
3.9
1.7
202
1-1
0
1-0
9
8
7
1-0
202
0.0
0.1
0.5
1.4
4.1
1.7
202
1-1
1
1-1
1
1-1
202
1-1
0
9
202
1-0
8
-07
1-0
202
202
202
1-0
0.0
0.1
0.5
1.4
3.9
1.7
202
0
1-1
202
202
1-0
9
8
-07
1-0
202
202
1-0
6
202
1
202
1
1-0
6
0.0
0.1
0.5
1.5
3.8
1.6
202
1-0
6
0.0
0.1
0.1
0.0
0.1
0.1
0.2
0.2
0.2
0.2
0.2
0.2
0.6
0.6
0.7
0.6
0.7
0.7
2.1
2.1
2.0
1.9
2.0
2.0
7.2
7.1
7.7
7.5
8.1
8.3
3.2
3.3
3.5
3.3
3.6
3.8
Short Exposure Excluding IRDs
1.0
1.1
1.6
2.6
7.3
3.9
202
0
1-1
202
202
9
8
1-0
1-0
202
-06
1-0
7
202
202
202
1
202
0.9
0.9
0.9
0.9
0.9
0.9
1.1
1.1
1.1
1.1
1.1
1.1
1.5
1.4
1.4
1.4
1.5
1.5
2.3
2.3
2.3
2.3
2.3
2.3
4.9
5.0
5.3
4.7
5.0
5.0
2.4
2.5
2.6
2.5
2.6
2.6
Short Exposure Including IRDs
202
-05
0.0
0.1
0.5
1.5
3.8
1.7
0.9
0.9
0.9
1.0
0.9
0.9
1.1
1.1
1.1
1.1
1.1
1.1
1.5
1.5
1.5
1.5
1.6
1.5
2.7
2.7
2.7
2.7
2.7
2.7
7.0
7.4
7.9
6.6
7.3
7.6
3.9
4.0
4.1
4.0
4.2
4.2
Long Exposure Excluding IRDs
202
1-0
5
1-0
5
0.1
0.2
0.7
2.2
6.7
3.3
1-0
5
1-0
4
-03
202
1
202
-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
-04
-04
0.0
0.2
0.6
2.0
6.6
3.1
0.9
1.1
1.6
2.8
7.5
4.1
202
202
202
1
202
1
1-0
3
1-0
3
0.0
0.1
0.5
1.4
4.1
1.8
0.9
1.1
1.4
2.3
4.7
2.4
202
1
202
202
0.0
0.2
0.6
2.1
6.1
3.1
0.9
1.1
1.5
2.7
7.1
3.8
202
2-0
4
0.0
0.1
0.5
1.5
4.0
1.8
0.9
1.1
1.4
2.2
4.9
2.5
202
1-0
2
1-0
2
0.0
0.2
0.6
2.1
6.8
3.0
1-0
3
202
1
-02
202
1
1-0
2
202
-01
0.0
0.1
0.5
1.4
3.8
1.7
0.9
1.1
1.4
2.3
5.0
2.5
202
-01
0-1
2
0.0
0.1
0.5
1.4
3.8
1.7
1
0.1
0.2
0.6
1.9
6.5
2.9
0.9
1.1
1.5
2.7
6.7
3.7
202
2
1-0
1
202
0-1
0-1
2
0-1
2
202
1
202
0.0
0.2
0.6
2.0
5.7
2.8
202
1-0
1
0-1
0.0
0.1
0.5
1.4
4.2
1.8
0.9
1.0
1.4
2.2
4.9
2.4
0.9
1.1
1.5
2.9
7.2
3.8
2-0
3
0.0
0.1
0.5
1.3
3.4
1.6
202
0-1
202
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.9
1.1
1.5
2.6
7.1
3.6
202
1
1
0.1
0.2
0.6
2.1
6.3
3.1
202
1
1
202
0-1
0-1
202
0.1
0.2
0.6
2.0
5.7
2.8
0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.9
1.1
1.5
2.3
4.8
2.5
202
0.9
1.0
1.5
2.3
4.9
2.6
0.9
1.1
1.6
2.9
6.8
3.8
202
0-1
0-1
0-1
0-1
202
0.8
1.0
1.3
2.2
4.6
2.4
0.9
1.1
1.5
3.0
7.4
4.2
0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
202
0.8
1.0
1.4
2.9
7.0
4.0
0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
0
Long Exposure Including IRDs
0.0
0.2
0.5
1.3
3.7
1.5
April 6, 2023
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
2020-10
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
2022-01
2022-02
2022-03
2022-04
2022-05
2022-06
2022-07
2022-08
2022-09
Top 10 Advisers (NAV)
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
17.5
16.8
16.8
17.1
17.2
17.2
17.5
17.5
17.5
Top 20 Advisers (NAV)
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
28.2
27.2
27.2
28.0
28.1
28.1
28.3
28.3
28.3
30
Top 10 Advisers (GNE)
39.8
39.1
39.2
40.2
42.1
41.3
40.6
40.4
40.0
40.6
39.2
38.7
38.3
38.4
38.1
38.8
38.3
38.2
42.8
42.5
38.4
39.4
39.3
39.1
Top 20 Advisers (GNE)
55.6
56.1
54.4
55.7
57.4
55.8
55.4
55.6
54.6
56.7
56.1
55.6
56.3
56.3
54.7
55.2
55.5
55.0
57.6
58.4
55.2
57.5
57.9
56.9
April 6, 2023
C
Analytics Office
Portfolio Turnover
Table 36: Aggregate Portfolio Turnover ($ Billions)
As reported on Form PF, Question 27.
Month
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
2022-01
2022-02
2022-03
2022-04
2022-05
2022-06
2022-07
2022-08
2022-09
Futures
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
16,735
21,395
23,132
16,025
19,479
22,129
19,117
23,968
29,032
Sov. and muni. bonds
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
5,340
6,355
6,016
4,574
5,143
4,903
4,389
5,152
4,931
Listed equities
2,756
3,227
2,993
3,454
3,460
4,131
3,211
3,376
3,679
3,158
3,101
3,437
3,408
3,779
3,842
3,950
3,793
4,526
3,676
4,252
3,892
3,022
3,433
3,531
Corporate bonds
189
171
125
176
176
189
173
157
151
142
140
168
183
164
121
188
292
255
223
339
312
318
236
205
Convertible bonds
44
55
56
58
63
63
51
44
48
29
39
54
38
53
38
40
35
36
27
30
24
17
29
25
Total
16,493
20,637
25,285
18,807
26,904
28,491
16,911
21,930
25,702
20,482
22,691
25,165
28,728
27,261
23,001
26,253
31,870
33,966
24,525
29,242
31,261
26,862
32,819
37,724
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
0.3
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
0.0
0.1
0.4
2.0
14.1
7.0
0.0
0.1
0.5
2.3
14.6
8.4
0.0
0.1
0.5
2.5
16.2
8.9
0.0
0.1
0.4
2.0
13.0
7.0
0.0
0.1
0.5
2.2
15.0
7.6
0.0
0.1
0.4
2.1
14.4
10.5
0.0
0.1
0.3
1.6
11.6
5.7
0.0
0.1
0.4
1.9
13.7
7.0
0.0
0.1
0.4
2.0
14.5
8.0
2-0
2-0
2-0
1-0
0-1
-09
0.0
0.1
0.4
1.6
15.4
7.2
8
202
2
2-0
9
8
202
7
2-0
0.0
0.1
0.3
1.7
12.5
7.0
7
202
2-0
202
6
202
202
2-0
202
202
2-0
6
-05
202
2
5
2-0
202
0.0
0.1
0.3
1.6
13.7
6.5
-03
202
0.0
0.1
0.4
1.9
16.6
7.1
31
2-0
4
2-0
3
202
2-0
4
2
202
2
202
202
2
0.0
0.1
0.4
2.0
13.7
6.0
-02
202
2-0
-01
202
1-1
2
0.0
0.1
0.3
1.7
11.7
4.6
1
202
1-1
1
202
2
1-1
0
202
0.0
0.1
0.5
2.6
19.2
8.3
1-0
9
0.0
0.1
0.4
2.1
15.7
7.6
-08
0.0
0.1
0.5
2.1
13.7
5.9
7
0.0
0.1
0.4
2.1
15.6
7.2
3
0.0
0.1
0.4
1.9
14.6
7.0
2
0.0
0.1
0.3
2.0
13.7
5.8
-11
202
202
2
1
0.0
0.2
0.9
5.5
63.4
52.6
202
1
1-1
0.0
0.2
1.1
5.3
50.1
46.7
202
1-1
0.0
0.2
0.9
4.6
38.7
38.8
202
1-0
6
202
0.0
0.2
1.0
5.5
52.4
45.3
-04
202
0.1
0.3
1.2
6.6
45.2
42.6
202
1-0
5
202
0.0
0.2
1.0
5.6
38.9
36.0
202
1
0.1
0.3
1.5
7.1
56.8
49.0
2
0.1
0.3
1.2
6.7
53.8
49.2
202
1-0
0.1
0.2
1.1
6.2
46.5
38.8
1
0.1
0.2
1.0
5.9
44.8
31.9
202
1-0
202
9
0.1
0.1
0.0
0.1
0.0
0.1
0.3
0.2
0.2
0.2
0.2
0.3
1.1
0.8
0.9
1.0
0.9
1.1
6.5
5.0
5.2
5.6
5.3
6.7
50.0 42.5 46.0 48.5 48.7 46.5
38.3 31.0 34.3 37.0 39.9 38.6
Total Turnover to NAV Ratio
1-0
0.1
0.3
1.1
5.8
45.2
32.1
1-0
202
1-1
0
202
1-0
6
7
202
1-0
5
0.1
0.2
0.9
5.2
36.3
25.8
1-0
-04
202
1
0.1
0.3
1.4
7.5
56.8
41.7
202
202
1-0
8
2
202
1-0
0.1
0.3
1.2
6.3
49.4
40.1
202
3
1
202
1-0
2
1-0
0.1
0.3
1.2
6.2
44.1
29.4
0-1
202
0.1
0.3
1.1
6.2
48.1
33.1
0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
-11
202
0.0
0.3
1.1
7.0
42.3
30.8
202
0
0
202
0
0.1
0.2
0.9
5.8
41.4
26.6
202
0-1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
0-1
Total Turnover ($ Billions)
April 6, 2023
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
Middle East
Supranational
Africa
2020Q4
5,096
1,533
803
107
93
29
33
40
2021Q1
5,276
1,353
782
291
85
29
45
34
2021Q2
5,587
1,491
816
313
91
55
47
38
2021Q3
5,848
1,595
800
314
87
31
51
33
2021Q4
5,943
1,482
768
306
86
30
48
27
2022Q1
5,865
1,637
718
417
93
27
42
29
2022Q2
5,581
1,480
713
324
81
26
38
22
2022Q3
5,424
1,433
737
336
81
46
32
21
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
Middle East
Supranational
Africa
2020Q4
129.8
39.0
20.5
2.7
2.4
0.7
0.8
1.0
2021Q1
127.8
32.8
19.0
7.1
2.1
0.7
1.1
0.8
2021Q2
127.7
34.1
18.7
7.2
2.1
1.3
1.1
0.9
2021Q3
128.5
35.1
17.6
6.9
1.9
0.7
1.1
0.7
32
2021Q4
131.0
32.7
16.9
6.7
1.9
0.7
1.1
0.6
2022Q1
132.2
36.9
16.2
9.4
2.1
0.6
0.9
0.7
2022Q2
132.0
35.0
16.9
7.7
1.9
0.6
0.9
0.5
2022Q3
131.4
34.7
17.9
8.1
2.0
1.1
0.8
0.5
April 6, 2023
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
Japan
China (Inc. Hong Kong)
India
Brazil
Russia
2020Q4
4,858
215
285
36
38
18
2021Q1
5,018
209
280
46
33
16
2021Q2
5,288
219
284
52
43
18
2021Q3
5,478
233
251
53
33
16
2021Q4
5,547
217
239
51
33
16
2022Q1
5,549
213
204
48
39
5
2022Q2
5,286
240
198
47
34
5
2022Q3
5,146
266
174
49
34
5
2022Q2
125.0
5.7
4.7
1.1
0.8
0.1
2022Q3
124.7
6.4
4.2
1.2
0.8
0.1
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
Japan
China (Inc. Hong Kong)
India
Brazil
Russia
2020Q4
123.7
5.5
7.3
0.9
1.0
0.5
2021Q1
121.6
5.1
6.8
1.1
0.8
0.4
2021Q2
120.9
5.0
6.5
1.2
1.0
0.4
33
2021Q3
120.4
5.1
5.5
1.2
0.7
0.3
2021Q4
122.3
4.8
5.3
1.1
0.7
0.3
2022Q1
125.1
4.8
4.6
1.1
0.9
0.1
April 6, 2023
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.
-0 9
202
2
2-0
202
1.0
1.1
1.7
2.8
6.7
3.2
202
2
2-0
202
1.0
1.2
1.7
2.8
7.0
3.2
-09
2-0
202
8
2-0
202
1.0
1.1
1.6
2.6
6.7
3.1
8
202
2 -0
6
202
5
2-0
1.0
1.1
1.7
2.9
6.9
3.3
7
202
2 -0
5
1.0
1.1
1.7
2.9
6.8
3.1
202
2-0
2-0
202
1.0
1.1
1.6
2.9
6.9
3.2
202
2-0
202
1.0
1.1
1.7
3.2
7.7
3.4
7
202
2-0
4
1.0
1.1
1.8
3.2
7.5
3.5
2
1
202
2-0
2
1-1
1.0
1.1
1.7
2.9
6.8
3.2
2-0
6
202
2-0
3
1.0
1.2
1.7
3.3
7.6
3.5
202
1-1
1-0
202
1-1
1.0
1.1
1.7
3.2
7.9
3.5
202
9
8
1-0
202
34
1.0
1.1
1.6
3.1
7.1
3.3
4
202
2-0
2
1.0
1.2
1.9
3.6
9.4
4.9
3
202
1.1
1.3
1.9
3.9
10.9
5.4
1.0
1.1
1.6
3.1
7.4
3.3
1
202
1 -1
2
1.1
1.3
2.0
4.0
11.0
5.2
2-0
202
1 -1
1
1.0
1.2
1.9
3.7
10.3
5.2
1
1.1
1.3
2.0
3.9
10.8
5.4
0
1.1
1.3
2.0
3.8
10.0
5.2
202
1 -0
9
202
1-1
0
1.0
1.2
1.9
3.6
9.7
5.2
202
1.1
1.3
2.0
4.1
12.0
5.8
1.0
1.1
1.7
3.3
7.1
3.4
202
1-0
8
1.1
1.3
2.0
4.1
11.6
5.7
1-0
7
1.0
1.2
1.9
3.5
10.9
5.2
202
6
6
1.0
1.1
1.6
3.1
7.2
3.4
1.1
1.3
2.0
4.2
12.2
6.4
1-0
7
202
1-0
1.0
1.1
1.7
3.3
7.5
3.6
1.1
1.1
1.0
1.1
1.3
1.2
1.3
1.3
1.9
1.9
1.9
1.9
3.9
3.8
3.7
4.0
11.6 11.7 10.9 11.8
5.6
5.7
5.4
6.2
Excluding IRDs
202
5
202
1-0
1-0
5
1.0
1.2
1.7
3.2
7.4
3.5
202
1-0
4
202
1-0
1.0
1.1
1.7
3.0
6.8
3.3
202
1
1-0
3
202
1-0
1.0
1.1
1.7
3.3
7.2
3.4
202
1-0
1
1.0
1.2
1.7
3.1
7.2
3.4
202
2
0-1
0-1
202
202
1.0
1.1
1.7
3.0
6.7
3.3
-04
1.0
1.3
1.9
3.8
11.9
5.6
1.0
1.2
1.8
3.4
7.3
3.6
3
202
1.1
1.3
2.0
4.3
13.0
6.3
1.0
1.2
1.7
3.3
7.6
3.6
2
202
1.1
1.3
2.0
4.2
12.5
6.1
1-0
202
1-0
1.0
1.2
1.9
3.8
10.8
5.4
2
1.1
1.3
2.0
4.2
11.3
5.8
202
0-1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2
1.1
1.3
2.0
4.1
11.3
5.7
1-0
1
202
1.1
1.3
2.0
3.9
10.9
5.3
1
202
0-1
0
202
1.1
1.4
2.1
4.3
11.8
6.3
0-1
202
1.1
1.4
2.1
4.4
12.5
6.1
0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0-1
1
Including Interest Rate Derivatives (IRDs)
1.0
1.1
1.6
2.7
6.2
3.1
April 6, 2023
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
8
9
2-0
202
2 -0
0.0
0.1
0.4
1.3
3.7
1.3
0.0
0.1
0.4
1.3
3.5
1.4
0.0
0.1
0.4
1.3
3.6
1.3
-09
-09
8
8
0.0
0.2
0.6
1.9
6.3
2.6
1.0
1.0
1.3
2.0
3.8
2.1
0.0
0.2
0.6
1.7
5.5
2.3
202
2-0
9
8
0.0
0.2
0.6
1.9
6.0
2.4
202
2
2-0
2-0
0.0
0.2
0.5
1.8
5.9
2.4
1.0
1.1
1.5
2.4
5.4
3.0
202
2
7
2-0
202
7
2-0
202
2-0
7
1.0
1.1
1.4
2.1
4.0
2.2
202
6
202
202
1.0
1.1
1.4
2.1
4.0
2.2
202
202
2-0
6
1.0
1.1
1.5
2.5
5.9
3.3
202
2-0
0.0
0.1
0.4
1.4
3.9
1.4
1.0
1.2
1.5
2.6
6.0
3.2
202
2-0
7
0.0
0.1
0.4
1.4
3.6
1.3
0.0
0.1
0.4
1.4
3.6
1.4
2-0
2-0
5
202
2-0
6
5
0.0
0.2
0.5
1.9
6.2
2.5
202
2-0
0.0
0.2
0.6
1.8
6.1
2.4
1.0
1.0
1.3
2.0
3.8
2.1
202
-04
202
2-0
5
4
2-0
1.0
1.1
1.4
2.1
4.0
2.2
202
202
1.0
1.1
1.4
2.1
4.0
2.2
202
1.0
1.1
1.5
2.4
5.4
3.1
2-0
4
2-0
3
1.0
1.1
1.5
2.5
6.4
3.2
202
3
2-0
202
2
1.0
1.1
1.5
2.5
5.9
3.2
0.0
0.2
0.5
1.7
6.4
2.6
202
2
0.0
0.1
0.5
1.5
3.8
1.5
202
2
202
3
2-0
202
2
2-0
1.0
1.0
1.3
2.1
3.9
2.1
2-0
0.0
0.2
0.6
1.9
7.1
2.8
2-0
1
2-0
2
202
2-0
1
202
2-0
1
1.0
1.1
1.4
2.4
5.6
3.1
202
2-0
-01
0.0
0.1
0.5
1.5
3.9
1.6
1.0
1.1
1.4
2.2
4.4
2.2
202
2
202
2
202
202
2
1-1
0.0
0.1
0.4
1.3
3.8
1.4
0.0
0.2
0.6
1.8
7.3
2.7
202
2
1-1
202
1
0.0
0.2
0.5
1.7
6.4
2.7
202
0.0
0.1
0.5
1.5
4.0
1.5
1.0
1.1
1.4
2.2
4.3
2.3
2
1-1
1
1-1
1-1
1.0
1.1
1.3
2.1
4.0
2.1
1.0
1.1
1.5
2.6
6.4
3.4
2-0
6
0.0
0.1
0.5
1.6
4.1
1.6
1.0
1.1
1.5
2.7
6.2
3.4
202
2-0
5
0.0
0.1
0.4
1.3
3.8
1.4
202
1-1
0
1-0
9
8
7
1-0
202
0.0
0.1
0.4
1.4
3.9
1.4
202
1-1
1
1-1
1
1-1
202
1-1
0
9
202
1-0
8
-07
1-0
202
202
202
1-0
0.0
0.1
0.4
1.3
3.9
1.5
202
0
1-1
202
202
1-0
9
8
-07
1-0
202
202
1-0
6
202
1
202
1
1-0
6
0.0
0.1
0.4
1.4
3.8
1.4
202
1-0
6
0.0
0.0
0.0
0.0
0.0
0.0
0.2
0.2
0.2
0.1
0.2
0.2
0.5
0.6
0.5
0.5
0.6
0.6
1.7
1.7
1.7
1.7
1.9
1.9
5.9
6.8
6.3
6.0
7.1
7.1
2.5
2.5
2.6
2.5
3.1
3.1
Short Exposure Excluding IRDs
1.0
1.1
1.5
2.5
5.9
3.2
202
0
1-1
202
202
9
8
1-0
1-0
202
-06
1-0
7
202
202
202
1
202
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.1
1.1
1.0
1.1
1.1
1.4
1.4
1.3
1.3
1.4
1.4
2.2
2.2
2.1
2.2
2.2
2.2
4.3
4.4
4.4
4.3
4.5
4.3
2.2
2.3
2.3
2.2
2.3
2.3
Short Exposure Including IRDs
202
-05
0.0
0.1
0.5
1.4
3.7
1.5
1.0
1.0
1.0
1.0
1.0
1.0
1.1
1.1
1.1
1.1
1.1
1.1
1.5
1.5
1.5
1.5
1.5
1.5
2.5
2.7
2.5
2.5
2.6
2.7
6.1
6.5
6.3
5.8
6.6
6.2
3.5
3.5
3.5
3.3
3.7
3.7
Long Exposure Excluding IRDs
202
1-0
5
1-0
5
0.0
0.2
0.6
1.8
6.7
2.8
1-0
5
1-0
4
-03
202
1
202
-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
-04
-04
0.0
0.2
0.6
1.8
6.2
2.8
1.0
1.1
1.5
2.7
6.8
3.8
202
202
202
1
202
1
1-0
3
1-0
3
0.0
0.1
0.4
1.3
3.5
1.4
1.0
1.1
1.4
2.2
4.4
2.3
202
1
202
202
0.0
0.2
0.6
1.7
5.4
2.5
1.0
1.1
1.5
2.7
6.7
3.6
202
2-0
4
0.0
0.1
0.5
1.4
3.5
1.5
1.0
1.0
1.3
2.1
3.9
2.1
202
1-0
2
1-0
2
0.0
0.2
0.6
1.8
5.7
2.7
1-0
3
202
1
-02
202
1
1-0
2
202
-01
0.0
0.1
0.5
1.3
3.4
1.5
1.0
1.1
1.4
2.2
4.2
2.3
202
-01
0-1
2
0.0
0.1
0.4
1.3
3.4
1.4
1
0.0
0.2
0.6
1.7
5.4
2.5
1.0
1.1
1.5
2.5
6.1
3.3
202
2
1-0
1
202
0-1
0-1
2
0-1
2
202
1
202
0.0
0.2
0.6
1.6
5.2
2.3
202
1-0
1
0-1
0.0
0.2
0.5
1.4
3.6
1.5
1.0
1.1
1.4
2.2
4.3
2.2
1.0
1.1
1.5
2.6
6.4
3.6
2-0
3
0.0
0.2
0.5
1.3
3.4
1.5
202
0-1
202
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1.0
1.1
1.5
2.7
6.7
3.5
202
1
1
0.1
0.2
0.6
1.8
5.7
2.8
202
1
1
202
0-1
0-1
202
0.1
0.2
0.6
1.7
5.5
2.6
0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1.0
1.1
1.4
2.1
4.2
2.2
202
1.0
1.1
1.4
2.3
4.4
2.3
1.0
1.1
1.5
2.5
6.2
3.3
202
0-1
0-1
0-1
0-1
202
1.0
1.1
1.4
2.3
4.4
2.3
1.0
1.2
1.6
2.7
7.0
3.8
0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
202
1.0
1.1
1.5
2.7
7.3
3.7
0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
0
Long Exposure Including IRDs
0.0
0.1
0.4
1.3
3.4
1.3
April 6, 2023
B
Analytics Office
Gross Exposure by Strategy5
Table 41: Exposures of Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Other
Relative Value
Macro
Credit
Event Driven
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Conv. Arb.
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
2020Q4
1,975
1,090
548
***
***
1,189
997
676
112
121
32
56
746
681
31
30
4
393
295
98
366
169
96
101
165
***
***
43
5,873
2021Q1
2,036
1,114
574
***
***
1,247
981
647
103
129
43
58
741
670
34
***
***
415
317
98
408
180
116
111
169
***
***
51
6,048
2021Q2
2,244
1,205
649
390
0
1,365
1,031
692
95
133
48
63
818
740
44
***
***
448
346
102
452
186
138
129
215
***
***
54
6,627
2021Q3
2,229
1,201
649
***
***
1,427
1,035
691
100
126
57
61
893
790
66
34
4
453
348
105
449
202
141
107
246
***
***
57
6,790
2021Q4
2,252
1,212
643
396
0
1,456
1,063
709
102
123
65
63
794
704
54
***
***
479
359
119
458
205
145
108
222
***
***
65
6,788
2022Q1
2,031
1,100
577
***
***
1,483
1,043
676
110
112
74
70
856
745
73
***
***
485
359
127
429
202
136
91
238
***
***
75
6,638
2022Q2
1,773
970
467
***
***
1,440
1,028
684
113
89
79
62
874
744
88
39
2
482
350
132
403
201
112
90
215
***
***
69
6,284
2022Q3
1,684
938
414
***
***
1,427
968
638
115
84
72
60
886
748
92
44
2
507
367
140
394
201
101
93
258
***
***
68
6,193
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
April 6, 2023
Analytics Office
Table 42: Exposures of Hedge Funds (Percent of NAV)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Other
Relative Value
Macro
Credit
Event Driven
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Conv. Arb.
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
2020Q4
55.3
30.5
15.3
***
***
33.3
27.9
18.9
3.1
3.4
0.9
1.6
20.9
19.1
0.9
0.8
0.1
11.0
8.3
2.7
10.2
4.7
2.7
2.8
4.6
***
***
1.2
164.3
2021Q1
54.4
29.8
15.3
***
***
33.4
26.2
17.3
2.8
3.5
1.2
1.6
19.8
17.9
0.9
***
***
11.1
8.5
2.6
10.9
4.8
3.1
3.0
4.5
***
***
1.4
161.7
37
2021Q2
55.3
29.7
16.0
9.6
0.0
33.6
25.4
17.1
2.3
3.3
1.2
1.6
20.2
18.2
1.1
***
***
11.0
8.5
2.5
11.2
4.6
3.4
3.2
5.3
***
***
1.3
163.3
2021Q3
53.5
28.8
15.6
***
***
34.2
24.8
16.6
2.4
3.0
1.4
1.5
21.4
19.0
1.6
0.8
0.1
10.9
8.4
2.5
10.8
4.8
3.4
2.6
5.9
***
***
1.4
163.0
2021Q4
53.7
28.9
15.4
9.4
0.0
34.7
25.4
16.9
2.4
2.9
1.5
1.5
18.9
16.8
1.3
***
***
11.4
8.6
2.9
10.9
4.9
3.5
2.6
5.3
***
***
1.6
162.0
2022Q1
48.9
26.5
13.9
***
***
35.7
25.1
16.3
2.7
2.7
1.8
1.7
20.6
18.0
1.8
***
***
11.7
8.7
3.0
10.3
4.9
3.3
2.2
5.7
***
***
1.8
160.0
2022Q2
45.7
25.0
12.1
***
***
37.1
26.5
17.6
2.9
2.3
2.0
1.6
22.5
19.2
2.3
1.0
0.1
12.4
9.0
3.4
10.4
5.2
2.9
2.3
5.5
***
***
1.8
162.0
2022Q3
44.6
24.9
11.0
***
***
37.8
25.7
16.9
3.0
2.2
1.9
1.6
23.5
19.8
2.4
1.2
0.1
13.5
9.7
3.7
10.4
5.3
2.7
2.5
6.8
***
***
1.8
164.2
April 6, 2023
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
Managed Futures/CTA
Equity
Other
Investment in other funds
Event Driven
2020Q4
5.7
4.5
3.0
1.5
1.5
1.6
1.5
1.2
1.3
2021Q1
5.6
4.5
3.1
1.5
1.5
1.6
1.4
1.2
1.4
2021Q2
5.7
4.8
3.2
1.6
1.5
1.5
1.4
1.3
1.4
2021Q3
7.0
4.8
3.3
1.5
1.5
1.5
1.5
1.3
1.4
2021Q4
7.0
4.2
3.4
1.6
1.4
1.5
1.5
1.3
1.4
2022Q1
6.0
4.5
3.1
1.6
1.5
1.6
1.4
1.2
1.4
2022Q2
6.5
4.3
3.0
1.6
1.9
1.6
1.4
1.6
1.4
2022Q3
6.2
4.5
2.9
1.7
1.6
1.6
1.5
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
Equity
Credit
Other
Event Driven
2020Q4
33.1
23.6
19.7
12.4
2.1
2.9
2.8
3.2
1.9
2021Q1
37.3
24.9
19.2
14.7
1.9
3.0
3.0
3.1
2.0
2021Q2
36.9
23.3
21.4
16.1
2.9
3.0
3.2
3.2
2.1
2021Q3
34.6
26.4
22.9
16.2
3.3
2.9
3.0
3.2
2.0
2021Q4
32.9
27.1
16.9
16.0
3.3
3.1
3.1
3.1
1.9
2022Q1
33.3
25.4
15.0
14.9
2.8
2.9
3.2
3.1
1.9
2022Q2
31.0
24.8
16.5
13.2
4.3
2.9
3.1
2.9
2.0
2022Q3
32.0
23.8
14.0
11.0
3.9
3.4
3.2
2.9
1.8
Table 45: Asset Weighted-Average Percent of Unencumbered Cash
by Strategy
As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month).
Strategy
Managed Futures/CTA
Macro
Multi-Strategy
Relative Value
Equity
Other
Event Driven
Credit
Investment in other funds
2020Q4
40.4
40.2
26.4
25.7
7.9
12.4
8.5
9.7
7.2
2021Q1
38.7
41.9
24.9
21.9
8.0
12.5
7.5
9.4
1.1
2021Q2
34.0
42.9
25.4
20.9
7.5
12.2
7.2
8.9
3.0
38
2021Q3
42.7
42.3
25.4
21.1
8.1
11.6
7.7
8.8
1.6
2021Q4
48.2
42.8
26.1
21.8
8.5
11.8
8.1
8.3
8.2
2022Q1
51.0
44.1
23.9
23.3
10.3
11.3
10.7
6.8
4.9
2022Q2
56.0
44.1
27.7
23.8
12.7
11.4
9.6
8.3
7.3
2022Q3
54.2
42.2
27.9
25.0
13.7
12.3
9.8
7.3
5.5
April 6, 2023
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
Repurchase Agreements
Non-Financial Listed Equities
U.S. Treasury Securities
Non-Financial Equity Derivatives
Sovereign Bonds - Non-U.S. G10
Credit Derivatives
Other Derivatives
Cash/Cash Equivalents - Other
Non-Financial Unlisted Equities
Commodity Derivatives
Financial Listed Equities
Leveraged Loans
Non-Financial Corporate Bonds
Non-U.S. Currency Holdings
Cash/Cash Equivalents - Deposits
Cash/Cash Equivalents - MMFs
Other Private Funds
MBS
Sovereign Bonds - Other
Physical Real Estate
Other Loans (Excluding Repo)
Non-Financial Convertible Bonds
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
2020Q4
6,282
3,216
1,908
2,495
1,595
1,273
1,272
586
226
425
317
341
272
202
221
188
184
168
134
216
327
112
115
174
89
93
68
50
42
33
26
19
17
8
8
2021Q1
6,781
3,756
1,895
2,551
1,672
1,622
1,302
736
213
506
385
367
314
223
240
208
196
173
145
184
278
120
118
182
95
99
67
52
39
35
27
19
18
9
5
2021Q2
7,509
4,076
2,073
2,836
1,727
1,558
1,416
715
218
576
433
417
348
230
273
223
205
172
157
203
321
130
123
200
88
110
71
62
43
37
30
19
17
10
5
39
2021Q3
7,640
4,077
2,270
2,711
1,735
1,598
1,472
783
188
535
417
455
361
247
272
255
240
181
175
212
332
146
133
178
98
105
73
60
52
38
27
21
16
9
7
2021Q4
7,477
3,974
2,221
2,751
1,760
1,580
1,412
759
207
578
467
393
376
261
280
218
218
207
183
205
308
166
141
173
112
106
71
59
46
39
29
22
16
9
6
2022Q1
7,831
3,823
2,199
2,486
1,692
1,778
1,373
746
216
857
480
424
349
274
272
232
216
199
185
170
267
176
144
154
110
102
76
63
47
39
30
19
17
8
9
2022Q2
7,526
3,424
2,168
2,119
1,524
1,484
1,377
808
220
530
479
399
307
277
248
262
224
227
186
189
209
186
149
125
118
93
71
55
56
36
27
17
15
7
9
2022Q3
7,040
3,519
2,089
2,018
1,495
1,462
1,312
737
671
514
479
376
285
281
246
222
222
217
185
183
181
171
151
119
112
85
68
57
46
36
26
18
14
6
3
April 6, 2023
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
Repurchase Agreements
Non-Financial Listed Equities
U.S. Treasury Securities
Non-Financial Equity Derivatives
Sovereign Bonds - Non-U.S. G10
Credit Derivatives
Other Derivatives
Cash/Cash Equivalents - Other
Non-Financial Unlisted Equities
Commodity Derivatives
Financial Listed Equities
Leveraged Loans
Non-Financial Corporate Bonds
Non-U.S. Currency Holdings
Cash/Cash Equivalents - Deposits
Cash/Cash Equivalents - MMFs
Other Private Funds
MBS
Sovereign Bonds - Other
Physical Real Estate
Other Loans (Excluding Repo)
Non-Financial Convertible Bonds
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
2020Q4
51.5
58.5
38.4
70.7
60.9
50.8
49.8
45.3
42.6
74.9
99.8
68.8
73.3
99.5
84.4
54.9
73.9
***
***
80.8
75.9
***
88.8
98.4
94.9
57.7
90.0
92.7
78.5
***
99.8
***
***
97.4
99.4
2021Q1
49.7
58.5
44.9
70.9
55.3
57.0
48.6
46.8
44.1
71.4
99.7
67.1
72.4
98.3
81.9
53.3
72.9
***
***
82.2
75.6
***
93.5
97.9
94.6
59.8
89.5
86.7
72.5
***
99.7
***
***
97.3
***
2021Q2
48.5
57.7
46.5
70.2
56.7
53.7
50.0
46.6
48.9
75.1
99.7
67.0
72.3
99.4
81.0
53.3
75.4
***
99.5
73.6
69.5
***
93.1
97.8
95.3
60.6
88.3
84.5
59.3
***
99.8
***
96.2
95.8
***
40
2021Q3
48.5
57.0
46.8
71.4
57.2
51.4
48.5
47.0
61.9
73.2
99.8
63.8
73.5
98.0
79.1
56.8
72.8
***
99.9
71.9
70.2
***
91.7
97.7
96.0
60.1
87.1
85.3
65.0
***
99.7
***
97.9
95.0
98.4
2021Q4
47.8
55.2
48.5
71.8
56.9
51.9
48.5
44.5
51.6
71.6
99.8
65.2
73.1
98.0
74.5
62.5
74.9
***
99.9
70.0
64.2
***
90.7
97.9
94.8
55.5
86.4
84.2
62.8
***
99.7
***
97.8
96.2
***
2022Q1
48.5
56.0
48.9
70.3
59.2
56.9
47.9
43.1
50.6
67.1
99.6
64.3
71.4
98.2
77.2
61.7
71.9
***
99.9
78.4
63.4
***
91.4
97.3
93.4
54.3
86.4
80.7
55.3
***
99.7
***
98.1
96.7
99.8
2022Q2
50.0
55.1
48.3
68.3
62.9
50.7
48.2
40.3
45.0
77.0
99.8
59.9
69.5
98.7
75.4
60.8
67.3
99.9
99.9
81.7
58.6
***
91.6
97.2
90.7
55.6
87.0
83.5
52.8
86.3
99.9
***
98.8
96.3
99.4
2022Q3
49.8
54.4
47.0
67.9
60.0
48.4
49.7
41.3
81.8
78.1
99.8
55.4
68.6
97.6
76.4
62.1
63.6
***
99.9
83.6
60.5
***
89.4
97.5
90.0
55.5
86.3
82.3
61.7
86.7
99.9
***
98.3
96.3
***
April 6, 2023
E
Analytics Office
Number of Positions
Figure 12: Number of Positions Reported by Qualifying Hedge Funds
202
2-0
5
202
202
2 -0
202
202
2-0
9
2-0
8
202
2 -0
4
7
202
2 -0
6
202
3
202
2 -0
1
14
51
173
618
2,035
2,399
14
51
171
638
2,054
2,443
14
48
162
576
1,927
2,293
13
50
178
625
2,012
2,404
13
50
176
628
2,071
2,492
13
47
164
577
2,036
2,367
12
49
169
606
2,178
2,678
12
49
165
624
2,337
2,795
12
47
158
565
2,015
2,691
13
50
173
623
2,216
2,853
12
50
173
628
2,233
2,930
12
49
164
596
2,048
2,829
2-0
202
13
48
159
589
1,894
2,317
1-0
2 -0
2
1-1
202
14
51
168
614
2,011
2,395
0-1
2
202
1-1
0
14
51
169
594
1,955
2,379
41
1
202
202
1-0
9
1-1
202
13
50
155
576
1,903
2,306
0-1
8
202
13
54
166
584
2,010
2,439
1-0
202
13
54
169
619
2,040
2,390
1-0
6
202
14
51
160
583
1,867
2,171
1-0
5
202
1-0
15
53
167
592
1,967
2,262
1-0
4
-02
202
1
15
53
166
572
1,905
2,240
3
202
1-0
15
53
169
581
1,847
2,229
1
2
0-1
202
16
57
180
632
2,014
2,357
1
202
16
56
184
624
2,004
2,340
0
202
Month
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
7
As reported on Form PF, Question 34.
April 6, 2023
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
2020Q4
6.8
10.1
22.7
43.7
51.7
64.7
2021Q1
6.2
9.5
22.4
39.8
51.1
63.8
2021Q2
7.8
11.7
23.6
40.4
51.3
64.6
2021Q3
7.5
11.1
23.1
40.2
52.2
63.5
2021Q4
7.5
11.0
23.1
42.9
50.3
62.8
2022Q1
7.5
10.9
23.4
39.8
50.1
62.2
2022Q2
5.8
8.6
20.0
36.8
47.0
60.4
2022Q3
5.5
8.2
19.0
35.6
47.4
59.1
Table 49: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 26, 30, and 32.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2020Q4
32.6
55.1
68.5
75.1
79.4
84.2
2021Q1
33.4
54.6
67.6
74.2
78.3
83.5
2021Q2
33.8
54.7
67.5
74.1
78.2
83.2
2021Q3
33.3
53.3
66.1
73.0
77.3
82.2
2021Q4
33.7
52.9
65.7
72.5
77.0
81.9
2022Q1
35.4
53.5
64.9
71.1
75.5
80.5
2022Q2
33.6
51.5
62.3
68.4
73.5
79.3
2022Q3
33.6
50.4
61.2
67.6
72.8
78.6
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 Third Calendar Quarter 2022
Statistic
Port. Liquidity
Inv. Liquidity
At most 1 day
33.6
5.5
At most 7 days
50.4
8.2
At most 30 days
61.2
19.0
At most 90 days
67.6
35.6
At most 180 days
72.8
47.4
At most 365 days
78.6
59.1
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
2020Q4
2,622
1,732
73
64
20
2021Q1
2,720
1,809
89
76
19
2021Q2
2,956
1,909
100
78
18
2021Q3
2,980
1,926
110
84
18
42
2021Q4
2,923
1,885
114
84
18
2022Q1
2,883
1,878
104
74
17
2022Q2
2,658
1,847
97
74
14
2022Q3
2,533
1,754
96
75
13
April 6, 2023
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
2020Q4
2.0
5.0
11.0
25.0
43.0
19.2
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
43
2021Q4
2.0
5.0
13.5
28.3
50.0
20.6
2022Q1
2.0
5.0
14.0
30.0
55.0
21.9
2022Q2
2.0
5.5
13.0
31.0
55.0
21.5
2022Q3
2.0
6.0
13.0
31.0
59.0
21.6
April 6, 2023
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
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
1,931
1,113
542
17
3,603
2021Q3
3,670
1,918
1,205
547
32
3,703
2021Q4
3,747
1,964
1,151
633
49
3,796
2022Q1
3,530
1,842
1,090
599
39
3,570
2022Q2
3,397
1,658
1,150
588
34
3,430
2022Q3
3,307
1,591
1,150
567
36
3,344
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
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
2022Q1
63.7
35.4
0.9
0.0
2022Q2
63.9
35.3
0.7
0.0
2022Q3
65.1
33.8
1.1
0.0
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
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
2,454
1,659
795
1,166
811
355
658
476
182
4,278
44
2021Q3
2,433
1,582
851
1,271
908
363
709
522
186
4,412
2021Q4
2,409
1,588
821
1,204
826
378
755
520
235
4,369
2022Q1
2,236
1,471
764
1,141
766
375
727
528
199
4,103
2022Q2
1,972
1,322
650
1,196
815
381
734
561
173
3,903
2022Q3
1,922
1,278
644
1,192
793
399
723
562
161
3,837
April 6, 2023
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
1.2
1.5
1.9
1.3
1.0
1.0
1.2
1.6
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
45
1.0
1.0
1.1
1.4
1.9
1.3
1.0
1.0
1.1
1.4
1.9
1.2
1.0
1.0
1.1
1.4
1.8
1.2
1.0
1.0
1.1
1.4
1.8
1.3
1.0
1.0
1.1
1.4
1.9
1.3
1.0
1.0
1.1
1.4
1.8
1.2
***
***
***
***
***
***
1.0
1.0
1.1
1.5
1.9
1.2
-0 9
202
2
-0 9
0.9
1.0
1.3
2.3
7.1
6.8
-09
8
8
8
2-0
202
1.0
1.0
1.1
1.5
1.9
1.3
202
2
2-0
2-0
7
0.9
1.0
1.3
2.2
6.0
8.1
0.9
1.0
1.4
2.2
5.8
4.5
202
2
2-0
7
2-0
202
202
0.9
1.0
1.3
2.1
5.5
4.6
202
2-0
202
5
2-0
202
2-0
2-0
202
2
2-0
202
1.0
1.0
1.1
1.4
1.8
1.2
202
202
2-0
2-0
202
1.0
1.0
1.1
1.4
1.9
1.2
202
202
2 -0
6
0.9
1.0
1.3
2.3
6.9
6.2
7
202
2 -0
5
0.9
1.0
1.3
2.3
8.0
9.9
2-0
202
2 -0
6
202
2-0
4
0.9
1.0
1.3
2.4
7.2
9.3
0.8
1.0
1.3
2.1
5.5
4.3
202
202
2 -0
5
202
2-0
3
0.9
1.0
1.3
2.4
6.2
5.8
0.8
1.0
1.3
2.2
5.5
4.0
6
202
2-0
4
202
2-0
2
0.9
1.0
1.4
2.4
6.0
6.4
1.0
1.0
1.4
2.5
6.7
6.5
4
202
2-0
3
0.9
1.0
1.3
2.2
5.6
3.3
3
0.9
1.0
1.3
2.2
5.7
3.7
1
1
0.9
1.0
1.4
2.4
6.3
4.1
2-0
202
2-0
2
0.9
1.0
1.4
2.3
5.6
3.7
2
1-1
202
1
1-1
0
1-1
1.0
1.0
1.1
1.4
1.9
1.3
202
202
202
1-0
9
8
1-0
202
-07
202
1
1-0
6
1.0
1.0
1.1
1.5
2.0
1.3
0.9
1.0
1.3
2.3
5.5
3.5
202
202
1 -1
2
202
1 -1
1
202
1-1
0
1 -0
9
202
202
1-0
8
6
1-0
7
202
202
1-0
5
1.0
1.0
1.1
1.4
2.0
1.3
202
1-0
5
0.8
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
1.0
1.0
1.3
1.3
1.3
1.3
1.3
1.3
1.3
1.3
2.4
2.4
2.4
2.5
2.5
2.4
2.5
2.4
5.7
5.5
5.5
5.6
5.6
5.1
5.8
5.8
5.2
3.9
3.9
7.3
8.2
4.3
3.9
4.4
Ratio of Collateral/Reverse Repo Borrowing
0.9
1.0
1.4
2.4
5.2
4.1
1
202
1 -1
2
202
1 -1
1
1 -0
9
202
1-1
0
202
202
1-0
8
6
1-0
7
202
5
202
1-0
202
1-0
3
1-0
4
1.0
1.0
1.1
1.4
2.0
1.3
202
1-0
1-0
4
-04
0.9
1.0
1.3
2.4
5.3
4.5
0.8
0.8
0.8
0.8
0.8
0.9
0.9
0.9
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.3
1.4
1.3
1.3
1.3
1.3
1.3
1.3
2.3
2.5
2.5
2.5
2.4
2.3
2.3
2.3
5.1
5.8
5.5
5.8
5.3
5.0
4.7
5.3
3.6
3.8
4.3
5.0
4.4
3.5
3.2
3.4
Ratio of Collateral/Prime Broker Borrowing
202
202
202
3
1.0
1.0
1.2
1.5
2.1
1.3
0.8
1.0
1.3
2.3
5.2
3.9
202
1
1-0
202
1-0
202
0.9
1.0
1.4
2.6
7.7
6.0
1-0
3
2
1.0
1.0
1.2
1.5
2.0
1.3
0.9
1.0
1.4
2.5
6.0
4.6
202
1-0
2
-01
1.0
1.0
1.1
1.5
2.0
1.3
0.9
1.0
1.3
2.6
6.3
5.5
202
0.9
1.0
1.3
2.7
8.1
7.9
2
202
1-0
202
1-0
1-0
1
1-0
1
202
0.9
1.0
1.4
2.4
5.5
4.4
202
2
0-1
2
202
1
1.0
1.0
1.2
1.5
1.9
1.3
0.8
1.0
1.4
2.5
6.3
5.0
202
1
0.9
1.0
1.3
2.7
8.9
6.5
2
202
0-1
202
0-1
0-1
1
1
0-1
202
0.9
1.0
1.3
2.6
8.7
8.6
0-1
0-1
202
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.8
1.0
1.4
2.4
6.6
4.2
202
202
0
1.0
1.0
1.4
2.7
7.7
5.4
0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.8
1.0
1.4
2.3
6.6
4.7
202
0.9
1.0
1.4
2.4
6.9
3.9
-10
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
0
-10
Ratio of Total Collateral/Total Secured Borrowing
1.0
1.0
1.1
1.4
1.8
1.2
April 6, 2023
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
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
26.5
42.8
63.0
77.3
93.9
95.5
2022Q1
35.6
46.3
63.7
76.6
93.9
95.2
2022Q2
36.8
47.2
64.8
76.3
93.0
94.3
2022Q3
27.3
47.2
62.4
75.7
92.8
94.2
Figure 16: Weighted-Average Qualifying Hedge Fund
Financing Liquidity (Percent of Available Financing)
As reported on Form PF, Question 46 as of Third Calendar Quarter 2022.
Statistic
Financing Liquidity
H
At most 1 day
27.3
At most 7 days
47.2
At most 30 days
62.4
At most 90 days
75.7
At most 180 days
92.8
At most 365 days
94.2
Central Clearing
Figure 17: Qualifying Hedge Funds Using Central Clearing
As reported on Form PF, Question 39.
Statistic
Percent of Funds
Percent of NAV
2020Q4
14.3
14.5
2021Q1
13.8
13.6
2021Q2
16.0
15.7
2021Q3
15.4
15.1
46
2021Q4
15.7
14.1
2022Q1
15.9
14.7
2022Q2
14.1
13.6
2022Q3
13.5
13.2
April 6, 2023
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
2020Q4
613
278
162
168
43
1,180
2021Q1
597
269
158
171
45
1,263
2021Q2
657
272
186
194
50
1,310
2021Q3
663
266
193
199
53
1,353
2021Q4
678
268
201
201
55
1,395
2022Q1
685
268
202
210
52
1,409
2022Q2
652
275
181
192
52
1,408
2022Q3
694
284
220
186
50
1,346
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
2020Q4
3,886
2,009
633
883
898
3,210
2021Q1
3,808
1,992
632
871
846
3,424
2021Q2
4,267
2,247
698
988
905
3,627
2021Q3
4,590
2,322
735
984
1,127
3,719
2021Q4
4,467
2,198
721
1,014
1,119
3,867
2022Q1
4,449
2,154
695
1,029
1,124
3,819
2022Q2
4,316
2,146
625
965
1,114
3,605
2022Q3
4,266
2,146
641
916
1,095
3,435
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
2020Q4
1,345
578
376
361
145
2,229
2021Q1
1,355
586
373
368
156
2,384
2021Q2
1,518
619
432
432
170
2,540
47
2021Q3
1,542
619
437
443
185
2,624
2021Q4
1,549
608
441
448
182
2,643
2022Q1
1,550
613
422
460
191
2,600
2022Q2
1,418
604
368
390
192
2,460
2022Q3
1,425
620
373
372
200
2,346
April 6, 2023
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
2020Q4
555
400
58
780
2021Q1
535
435
62
828
2021Q2
565
450
92
860
2021Q3
556
472
107
881
2021Q4
562
478
116
917
2022Q1
571
479
114
930
2022Q2
581
465
71
943
2022Q3
589
458
105
888
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
2020Q4
3,524
1,383
362
1,827
2021Q1
3,545
1,435
263
1,989
2021Q2
3,955
1,496
312
2,131
2021Q3
4,226
1,538
364
2,181
2021Q4
4,076
1,555
391
2,312
2022Q1
4,108
1,548
341
2,271
2022Q2
4,084
1,450
233
2,155
2022Q3
4,001
1,384
264
2,052
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
2020Q4
1,189
819
156
1,411
2021Q1
1,206
846
150
1,538
2021Q2
1,314
887
204
1,653
2021Q3
1,288
936
254
1,688
48
2021Q4
1,287
922
261
1,721
2022Q1
1,302
904
248
1,696
2022Q2
1,274
850
144
1,611
2022Q3
1,266
821
159
1,525
April 6, 2023
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
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
2022Q1
876
766
722
650
530
443
291
252
2022Q2
864
771
736
657
526
455
287
252
2022Q3
859
778
735
656
523
451
286
247
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
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
5,042
4,527
4,758
4,235
3,713
3,742
1,134
899
2022Q1
5,087
4,562
4,870
4,359
3,796
3,846
1,184
970
2022Q2
5,086
4,489
4,808
4,341
3,787
3,975
1,123
936
2022Q3
4,940
4,392
4,707
4,225
3,707
3,867
1,139
901
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
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
49
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
2022Q1
1,967
1,691
1,654
1,459
1,192
1,151
504
422
2022Q2
1,894
1,639
1,629
1,448
1,176
1,169
484
409
2022Q3
1,858
1,634
1,625
1,443
1,166
1,159
471
382
April 6, 2023
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
2020Q4
838
178
118
98
103
113
169
68
108
2021Q1
890
202
117
90
105
117
157
61
121
2021Q2
952
210
121
96
107
127
155
60
139
2021Q3
988
214
130
83
101
137
155
71
137
2021Q4
1,033
223
130
84
103
127
165
79
129
2022Q1
1,044
212
129
83
101
126
167
81
151
2022Q2
1,014
208
126
80
100
131
168
79
154
2022Q3
993
208
128
78
108
127
166
82
150
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
2020Q4
2,189
466
528
315
313
849
1,665
275
497
2021Q1
2,253
414
596
302
341
831
1,722
263
511
2021Q2
2,442
425
638
342
346
926
1,890
279
605
2021Q3
2,545
444
629
324
363
929
2,101
360
613
2021Q4
2,703
485
618
314
353
747
2,159
348
606
2022Q1
2,612
432
568
306
352
871
2,123
341
662
2022Q2
2,388
412
431
279
425
811
2,193
335
647
2022Q3
2,316
385
407
267
471
738
2,127
373
616
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
2020Q4
1,566
308
264
229
146
273
463
127
198
2021Q1
1,688
272
307
217
166
282
480
120
207
2021Q2
1,857
284
328
247
163
318
491
124
246
2021Q3
1,942
300
322
231
176
321
477
170
227
50
2021Q4
1,982
319
312
215
189
291
502
169
212
2022Q1
1,945
276
294
212
187
302
509
174
252
2022Q2
1,754
255
269
190
176
281
543
160
249
2022Q3
1,684
234
259
183
198
267
544
169
233
April 6, 2023
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
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
2022Q1
69.5
91.6
96.0
97.9
99.5
99.8
2022Q2
66.4
91.8
96.5
98.5
99.6
99.8
2022Q3
68.1
92.7
97.2
98.5
99.5
99.6
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
2021Q1
280
247
0
0
2021Q2
296
263
0
0
2021Q3
278
245
0
0
2021Q4
291
260
0
0
2022Q1
290
261
0
0
2022Q2
310
281
0
0
2022Q3
313
281
0
0
Portfolio Characteristics
Figure 18: Weighted-Average Maturity of Section 3 Liquidity Funds (Days)
8
2-0
9
7
202
202
202
202
202
202
2-0
202
2-0
202
2-0
5
6
4
2-0
202
2-0
202
2-0
3
2
1
2-0
202
1-1
202
2-0
2
1
0
1-1
9
202
1-0
202
1-1
8
7
1-0
6
202
1-0
5
202
1-0
4
202
1-0
202
1-0
2
3
202
1-0
1
202
1-0
2
202
1-0
202
0-1
0-1
202
Statistic
Average WAM
Asset-Weighted WAM
202
0-1
0
1
As reported on Form PF, Questions 55.
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
40.6
35.8
38.8
37.5
37.1
42.2
39.0
39.7
35.0
30.5
31.2
30.6
30.7
30.3
25.0
25.7
25.0
29.4
Figure 19: Weighted-Average Life of Section 3 Liquidity Funds (Days)
9
8
202
202
2-0
202
2-0
7
202
2-0
202
2-0
6
5
4
202
2-0
3
202
2-0
202
2-0
202
2-0
2
1
202
2-0
2
1
202
1-1
0
202
1-1
9
202
1-1
202
1-0
1-0
202
1-0
8
6
7
5
1-0
202
1-0
202
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
52.7
51.9
52.3
55.8
51.4
61.1
54.2
59.3
51.6
50.4
47.8
52.2
47.6
50.5
41.9
45.5
42.2
48.0
1-0
202
4
3
1-0
202
2
1
1-0
202
1-0
202
2
1
47.5
54.9
0-1
202
0-1
0-1
202
Statistic
Average WAL
Asset-Weighted WAL
202
0
As reported on Form PF, Questions 55.
Figure 20: Seven-Day Gross Yield Section 3 Liquidity Funds (Percent)
7
4
9
0.47
0.36
2-0
0.29
0.14
202
0.25
0.09
8
0.20
0.06
2-0
0.19
0.06
202
0.17
0.05
6
0.17
0.05
2-0
0.14
0.05
2-0
0.14
0.06
202
0.16
0.06
5
0.16
0.06
2-0
0.17
0.07
202
0.19
0.08
2-0
0.18
0.10
202
0.20
0.11
202
3
2-0
202
2
2-0
202
1
2-0
2
202
1-1
202
1-1
202
1
0
1-1
202
9
202
0.24
0.12
51
1-0
8
1-0
202
1-0
7
6
202
1-0
202
5
1-0
202
4
3
0.25
0.13
1-0
202
1-0
2
1-0
202
1
202
1-0
202
2
0-1
1
0.26
0.14
0-1
202
Statistic
Average Gross Yield
Asset-Weighted Gross Yield
202
0-1
0
As reported on Form PF, Questions 55.
202
B
2020Q4
303
270
0
0
0.52
0.45
0.87
0.78
1.33
1.30
1.88
1.67
2.21
2.13
2.71
2.72
April 6, 2023
Analytics Office
Figure 21: Ratio of Daily Liquid Assets to Net Asset Value
for Section 3 Liquidity Funds (Percent)
8
202
2-0
9
7
51.53
44.78
49.72
45.16
48.17
44.29
49.13
43.06
50.42
41.71
49.49
46.66
49.76
48.49
49.29
47.89
49.47
51.29
48.85
54.85
48.90
52.03
52.36
57.88
53.66
58.09
52.66
52.04
2-0
202
6
202
2-0
5
52.42
43.97
2-0
202
4
202
48.36
40.69
2-0
202
2-0
3
2-0
202
2
1
2-0
202
2
2-0
202
1
202
1-1
202
1-1
0
9
1-1
202
1-0
8
1-0
202
1-0
202
7
6
202
5
1-0
202
4
49.46
43.52
1-0
202
3
43.95
40.67
1-0
202
45.68
39.95
1-0
46.02
43.88
1-0
202
2
1
46.54
43.76
1-0
202
2
202
46.82
43.22
0-1
202
48.68
44.94
0-1
202
48.82
48.38
0-1
202
Statistic
Average DLA
Asset-Weighted DLA
1
0
As reported on Form PF, Questions 55.
Figure 22: Ratio of Weekly Liquid Assets to Net Asset Value
for Section 3 Liquidity Funds (Percent)
-09
8
202
2
7
202
2-0
6
202
2-0
5
60.23
59.46
60.03
58.19
60.89
60.09
62.38
64.01
59.72
66.04
60.24
64.11
62.88
69.17
63.10
70.37
63.43
66.25
2-0
202
2-0
4
62.00
57.18
2-0
202
59.67
56.56
2-0
202
59.45
59.17
2-0
202
60.76
60.48
2-0
202
3
2
1
2
202
1
202
1-1
0
61.81
58.10
1-1
202
62.05
58.49
52
1-1
9
1-0
202
8
1-0
202
7
60.27
59.96
1-0
202
6
1-0
202
5
202
61.14
60.54
1-0
202
4
3
59.98
59.28
1-0
59.47
56.63
1-0
202
2
60.88
58.49
1-0
202
1
61.44
56.34
1-0
202
2
202
58.09
58.82
0-1
202
57.67
56.17
0-1
202
57.89
59.08
0-1
202
Statistic
Average WLA
Asset-Weighted WLA
1
0
As reported on Form PF, Questions 55.
April 6, 2023
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
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
2022Q1
51.9
48.1
44.4
44.4
40.7
37.0
2022Q2
53.8
46.2
42.3
42.3
36.5
34.6
2022Q3
52.9
47.1
43.1
39.2
37.3
35.3
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
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
2022Q1
81.3
18.7
17.2
17.2
17.0
15.0
2022Q2
83.9
16.1
14.6
14.6
13.4
12.5
2022Q3
84.3
15.7
14.4
14.3
13.2
12.3
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
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
2022Q1
74.1
25.9
2022Q2
71.2
28.8
2022Q3
72.5
27.5
Table 72: NAV Calculation Method (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2020Q4
66.6
33.4
2021Q1
69.0
31.0
2021Q2
66.1
33.9
2021Q3
66.7
33.3
53
2021Q4
64.4
35.6
2022Q1
67.2
32.8
2022Q2
61.2
38.8
2022Q3
63.2
36.8
April 6, 2023
Aggregate Portfolio Holdings
Table 73: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2
202
9
202
26.1
80.0
86.1
53.4
22.3
29.1
12.4
1.3
1.2
32.1
69.9
94.8
51.2
21.7
27.9
15.1
1.4
1.1
26.0
83.1
86.4
52.3
20.9
24.0
12.4
1.3
0.9
35.2
75.5
80.2
51.7
21.0
21.0
11.6
1.2
0.9
40.2
69.7
73.1
51.4
23.0
26.0
12.1
1.4
1.1
1-0
202
23.8
76.0
82.7
50.0
21.8
33.4
13.2
1.5
1.2
1-0
8
202
23.9
59.5
91.9
48.8
22.8
36.9
13.3
1.4
1.1
1-0
202
7
202
1-0
25.8
69.1
89.5
45.3
20.3
36.2
17.9
1.6
0.9
1-0
1-0
3
202
6
202
1-0
27.7
63.7
97.2
45.2
20.0
34.6
18.3
1.9
0.9
1-0
1
202
1-0
39.0
52.8
104.1
37.7
20.9
38.7
18.0
1.8
0.9
5
0-1
2
202
31.7
61.8
103.1
36.9
19.6
36.6
19.9
1.9
0.8
4
202
0-1
1
33.0
58.3
107.3
34.7
17.3
32.5
17.0
1.7
0.9
2
0
0-1
Product Type
Repo - Govt. Collateral
Deposits
U.S. Treasuries
Commercial Paper
Asset-Backed Securities
Other
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
202
As reported on Form PF, Question 63.
Table 74: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2
80.9
85.0
57.2
46.5
20.4
11.3
10.4
3.3
0.9
86.3
88.8
59.9
44.8
20.2
10.0
9.1
5.2
1.0
78.8
73.9
69.2
48.2
20.6
16.6
8.7
5.2
1.0
2-0
202
9
8
202
67.1
72.0
78.4
53.6
20.8
15.7
9.3
1.9
1.0
2-0
202
7
202
69.2
78.9
63.4
46.4
18.9
13.4
10.5
2.5
1.0
2-0
202
2-0
6
2-0
4
202
52.2
73.4
84.3
44.2
24.1
11.7
10.7
2.1
1.1
2-0
202
2-0
48.0
62.8
91.4
46.6
26.0
16.4
9.9
2.3
1.0
54
5
2-0
2
202
38.1
80.5
81.5
48.2
24.7
13.5
9.1
1.7
1.0
-01
202
2
44.1
73.5
69.9
51.9
25.2
18.4
8.0
1.6
1.1
-12
202
1
47.2
60.8
88.7
48.2
24.4
26.0
10.1
1.5
1.1
1-1
1
202
31.6
82.0
88.8
50.5
24.5
21.0
10.6
1.6
1.0
0
31.3
83.1
88.7
53.1
23.9
18.9
7.7
1.3
1.1
1-1
Product Type
Repo - Govt. Collateral
Deposits
U.S. Treasuries
Commercial Paper
Asset-Backed Securities
Other
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
3
As reported on Form PF, Question 63.
202
E
Analytics Office
April 6, 2023
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,...
Computing Infrastructure...
Telecommunications Data Processing...
Other Financial Investment...
Custom Computer Programming...
Other Information Services
Other Financial Vehicles
Pharmaceutical & Medicine Mfg
Oil & Gas Extraction
Insurance Agencies and 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
11.7
3.7
3.4
3.3
2.8
2.5
2.4
2.2
2.2
2.0
1.7
1.6
1.5
1.4
1.4
1.3
1.3
1.2
1.2
1.0
1.0
April 6, 2023
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
16.4
40.5
14.4
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
9.0
31.0
88.0
24.2
April 6, 2023
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
9,558
3,576
881
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
6.0
2.8
1.2
0.8
0.6
0.1
April 6, 2023
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
8,364
277
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
April 6, 2023
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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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.