Division of Investment Management

Division of Investment Management

Analytics Office

Private Funds Statistics

Second Calendar Quarter 2023

January 9, 2024

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.

January 9, 2024

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 Third Calendar Quarter 2021 through Second Calendar Quarter

2023 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 Second Calendar Quarter

2023 Private Funds Statistics, please contact:

Tim Dulaney, PhD, FRM, Tim Husson, PhD, FRM, or Trevor Tatum at FormPF@sec.gov with subject

line “Second Calendar Quarter 2023-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

47

48

2

January 9, 2024

J

K

Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Stress Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

49

50

A

B

C

D

E

Section 3 Liquidity Fund Specific Information

Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

52

52

52

55

55

56

A

B

C

Section 4 Private Equity Fund Specific Information

CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . .

57

57

58

59

Appendices

Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1

All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2

Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3

Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . .

4

Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . .

5

Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . .

B

Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . .

C

How to Read a Boxplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

D

Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

E

Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

61

61

61

61

62

62

62

63

63

64

65

IX

X

XI

Analytics Office

A

3

January 9, 2024

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

2021Q3

15,866

9,497

5,309

5,352

3,289

1,419

1,910

2,016

77

57

37,410

2021Q4

19,082

9,458

6,548

6,046

3,783

2,211

2,243

2,074

79

56

42,902

2022Q1

18,961

9,645

6,646

6,286

3,778

2,228

2,251

2,094

79

54

43,228

2022Q2

19,001

9,749

6,644

6,275

3,781

2,286

2,257

2,061

79

52

43,428

2022Q3

19,054

9,783

6,644

6,277

3,781

2,287

2,257

2,040

78

51

43,517

2022Q4

20,878

9,791

7,471

6,744

4,269

2,988

2,458

2,072

71

50

47,199

2023Q1

20,920

9,850

7,381

6,887

4,270

2,991

2,467

2,044

70

50

47,455

2023Q2

20,933

9,854

7,464

6,844

4,272

3,000

2,471

2,088

69

50

47,443

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

2021Q3

1,458

1,762

369

682

388

176

165

596

37

24

3,389

2021Q4

1,638

1,861

434

738

427

234

176

620

39

24

3,676

2022Q1

1,636

1,860

435

738

428

236

175

609

39

23

3,676

2022Q2

1,640

1,863

435

734

430

238

175

601

39

22

3,680

2022Q3

1,642

1,861

436

732

430

239

173

585

39

21

3,675

2022Q4

1,753

1,859

452

759

459

283

177

592

34

21

3,794

2023Q1

1,756

1,860

450

763

459

285

175

576

33

21

3,799

2023Q2

1,756

1,859

452

765

460

286

174

590

33

21

3,798

3

In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered

investment advisers that file a Form PF to report private funds. Please see Appendix E for definitions of other capitalized

terms used in this report.

4

January 9, 2024

Analytics Office

II

Gross and Net Assets

A

Aggregate Assets by Fund Type over Time

Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions)

As reported on Form PF, Question 8.

The “Total” row shows the total reported, and will not equal the sum of the preceding rows,

because the rows are not mutually exclusive.

Fund Type

Hedge Fund

Qualifying Hedge Fund

Private Equity Fund

Section 4 Private Equity Fund

Other Private Fund

Real Estate Fund

Securitized Asset Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

Total

2021Q3

9,784

8,309

4,826

3,674

1,438

812

729

222

310

308

18,120

2021Q4

9,763

8,333

6,409

4,962

1,748

972

869

330

318

316

20,407

2022Q1

9,777

8,267

6,384

4,949

1,766

967

869

333

318

314

20,414

2022Q2

9,435

7,922

6,397

4,949

1,740

969

868

334

335

331

20,076

2022Q3

9,275

7,694

6,402

4,949

1,716

975

869

334

335

331

19,904

2022Q4

9,362

7,827

6,705

5,272

1,643

1,138

921

375

321

319

20,466

2023Q1

9,505

8,000

6,641

5,215

1,602

1,137

924

374

320

319

20,502

2023Q2

9,904

8,438

6,652

5,228

1,574

1,136

922

374

332

330

20,893

Table 4: Aggregate Private Fund Net Asset Value (NAV) ($ Billions)

As reported on Form PF, Question 9.

The “Total” row shows the total reported, and will not equal the sum of the preceding rows,

because the rows are not mutually exclusive.

Fund Type

Hedge Fund

Qualifying Hedge Fund

Private Equity Fund

Section 4 Private Equity Fund

Other Private Fund

Real Estate Fund

Securitized Asset Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

Total

2021Q3

5,115

4,166

4,271

3,283

1,274

615

220

215

302

300

12,011

2021Q4

5,134

4,191

5,746

4,489

1,559

745

264

310

313

311

14,071

2022Q1

5,153

4,149

5,729

4,483

1,582

744

265

313

313

309

14,098

5

2022Q2

4,918

3,879

5,738

4,483

1,557

745

264

314

327

324

13,865

2022Q3

4,856

3,772

5,742

4,483

1,534

750

264

314

331

327

13,792

2022Q4

4,823

3,795

6,022

4,772

1,413

858

264

342

318

316

14,041

2023Q1

4,864

3,881

5,965

4,720

1,370

858

265

341

313

311

13,975

2023Q2

4,918

3,939

5,976

4,730

1,343

858

265

341

319

317

14,020

January 9, 2024

Analytics Office

Figure 1: GAV and NAV Distributions

See Appendix C for an explanation of boxplots.

8

6

6

NAV ($Billions)

4

2

(a) Qualifying Hedge Fund GAV

(b) Qualifying Hedge Fund NAV

1500

NAV ($Millions)

500

1000

500

0

Q

20 3

21

Q

20 4

22

Q

20 1

22

Q

20 2

22

Q

20 3

22

Q

20 4

23

Q

20 1

23

Q2

(d) Section 4 Private Equity Fund NAV

21

20

(c) Section 4 Private Equity Fund GAV

21

Q

20 3

21

Q

20 4

22

Q

20 1

22

Q

20 2

22

Q

20 3

22

Q

20 4

23

Q

20 1

23

Q2

0

20

GAV ($Millions)

1500

1000

1Q

20 4

22

Q

20 1

22

Q

20 2

22

Q

20 3

22

Q

20 4

23

Q

20 1

23

Q2

1Q

3

20

2

1Q

20 4

22

Q

20 1

22

Q

20 2

22

Q

20 3

22

Q

20 4

23

Q

20 1

23

Q2

20

2

20

2

2

0

1Q

3

0

4

20

2

GAV ($Billions)

As reported on Form PF, Questions 8 and 9.

8

6

January 9, 2024

Analytics Office

Figure 2: Ratio of GAV to NAV

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

2.0

1.5

1.0

0.5

20 3

21

Q

20 4

22

Q

20 1

22

Q

20 2

22

Q

20 3

22

Q

20 4

23

Q

20 1

23

Q2

0.0

2.5

2.0

1.5

1.0

0.5

0.0

20

20

3.0

21

Q

20 3

21

Q

20 4

22

Q

20 1

22

Q

20 2

22

Q

20 3

22

Q

20 4

23

Q

20 1

23

Q2

Ratio of GAV to NAV

Winsorized (limits=[0%,98%])

2.5

21

Q

Ratio of GAV to NAV

Winsorized (limits=[0%,98%])

As reported on Form PF, Questions 8, 9, and 10.

3.0

(a) All Private Funds

(b) Qualifying Hedge Funds

7

January 9, 2024

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

Other Private Fund

Section 4 Private Equity Fund

Private Equity Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

2021Q3

49.8

44.6

41.3

14.0

3.9

4.9

4.7

0.5

0.0

0.0

2021Q4

52.4

45.6

42.1

13.2

3.5

5.4

5.5

0.7

0.0

0.0

2022Q1

49.7

43.2

39.8

12.3

3.6

5.5

5.5

0.7

0.0

0.0

2022Q2

49.3

43.3

39.7

12.2

3.5

5.4

5.5

0.7

0.0

0.0

2022Q3

49.4

43.4

39.9

12.5

3.7

5.4

5.5

0.7

0.0

0.0

2022Q4

56.5

44.4

40.7

14.0

5.6

5.7

5.7

0.6

0.0

0.0

2023Q1

53.7

46.9

43.2

13.2

5.8

5.8

5.6

0.6

0.0

0.0

2023Q2

53.7

48.0

44.1

13.2

5.9

5.8

5.6

0.6

0.0

0.0

Figure 3: Distribution of Total Borrowings for All Private Funds

and Qualifying Hedge Funds

See Appendix C for an explanation of boxplots.

1

(a) All Private Funds

21

Q

20 4

22

Q

20 1

22

Q

20 2

22

Q

20 3

22

Q

20 4

23

Q

20 1

23

Q2

0

20

0

2

21

200

3

20

400

4

Q3

Total Borrowings ($Billions)

600

21

Q

20 3

21

Q

20 4

22

Q

20 1

22

Q

20 2

22

Q

20 3

22

Q

20 4

23

Q

20 1

23

Q2

Total Borrowings ($Millions)

As reported on Form PF, Questions 12 and 43 (Third Month).

20

B

Analytics Office

(b) Qualifying Hedge Funds

8

January 9, 2024

Analytics Office

Figure 4: Ratio of Borrowings to NAV

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month).

3

2

1

0

4

Ratio of Borrowings to NAV

Winsorized (limits=[0%,98%])

20

21

Q

20 3

21

Q

20 4

22

Q

20 1

22

Q

20 2

22

Q

20 3

22

Q

20 4

23

Q

20 1

23

Q2

Ratio of Borrowings to NAV

Winsorized (limits=[0%,98%])

20

21

Q

20 3

21

Q

20 4

22

Q

20 1

22

Q

20 2

22

Q

20 3

22

Q

20 4

23

Q

20 1

23

Q2

4

3

2

1

0

(a) All Private Funds

(b) Qualifying Hedge Funds

Table 6: Aggregate Borrowing by Creditor Entity Type (Percent)

As reported on Form PF, Questions 12 and 43 (Third Month).

Creditor Type

US Financial

Non-US Financial

US Non-Financial

Non-US Non-Financial

2021Q3

67.0

30.6

2.3

0.9

2021Q4

67.1

29.3

2.8

1.0

2022Q1

66.5

30.4

3.1

0.9

9

2022Q2

66.7

30.2

3.0

0.9

2022Q3

67.7

28.8

3.3

1.0

2022Q4

66.8

29.0

3.3

0.9

2023Q1

66.8

30.1

3.2

0.8

2023Q2

66.8

30.3

3.0

0.7

January 9, 2024

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

2021Q3

4,383

3,650

5,274

2,323

2021Q4

4,688

3,842

6,803

2,852

2022Q1

4,657

3,827

6,832

2,877

2022Q2

4,609

3,834

6,843

2,859

2022Q3

4,581

3,798

6,804

2,867

2022Q4

4,155

3,590

7,560

3,059

2023Q1

4,090

3,555

7,468

3,039

2023Q2

4,067

3,508

7,472

3,036

Table 8: Liabilities According to Fair Value Hierarchy ($ Billions)

As reported on Form PF, Question 14.

Level One

Level Two

Level Three

Cost-Based

2021Q3

1,341

1,197

338

2,071

2021Q4

1,702

1,362

377

2,273

2022Q1

1,702

1,349

377

2,270

2022Q2

1,695

1,369

340

2,270

10

2022Q3

1,701

1,327

342

2,277

2022Q4

1,583

1,488

377

2,559

2023Q1

1,589

1,466

377

2,554

2023Q2

1,590

1,433

391

2,555

January 9, 2024

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

2021Q3

560

485

312

208

115

73

17

***

***

***

1,460

2021Q4

571

504

303

210

137

89

30

***

***

***

1,509

2022Q1

580

503

303

211

137

89

30

***

***

***

1,517

2022Q2

578

502

315

202

137

89

30

***

***

***

1,526

2022Q3

576

498

314

208

137

89

30

***

***

***

1,519

2022Q4

566

478

331

214

146

67

39

***

***

***

1,491

2023Q1

562

481

407

207

146

68

39

***

***

***

1,567

2023Q2

559

458

413

203

152

68

39

***

***

***

1,547

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

2021Q3

840

2,641

98

551

68

7

1

***

***

***

3,992

2021Q4

881

2,674

119

566

102

16

2

***

***

***

4,111

2022Q1

840

2,671

120

538

102

16

2

***

***

***

4,025

2022Q2

765

3,451

152

483

110

16

2

***

***

***

4,781

2022Q3

729

3,416

152

438

110

16

2

***

***

***

4,705

2022Q4

725

2,369

114

435

114

14

2

***

***

***

3,606

2023Q1

695

2,367

126

385

114

15

2

***

***

***

3,592

2023Q2

693

1,535

119

405

108

15

2

***

***

***

2,743

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

January 9, 2024

Analytics Office

Figure 5: Parallel Managed Account Value Distributions

See Appendix C for an explanation of boxplots.

2

1

20 3

21

Q

20 4

22

Q

20 1

22

Q

20 2

22

Q

20 3

22

Q

20 4

23

Q

20 1

23

Q2

0

20

2

4

2

0

20 3

21

Q

20 4

22

Q

20 1

22

Q

20 2

22

Q

20 3

22

Q

20 4

23

Q

20 1

23

Q2

Parallel Managed Assets ($Billions)

3

1Q

4

6

20

2

5

1Q

Parallel Managed Assets ($Billions)

As reported on Form PF, Question 11.

(a) All Private Funds

(b) Qualifying Hedge Funds

12

January 9, 2024

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

Luxembourg

Ireland

Virgin Islands, British

Bermuda

Other

Country

Ireland

United States

Cayman Islands

Other

Country

United States

Cayman Islands

Canada

United Kingdom

Bermuda

Other

All Private Funds

2021Q3 2021Q4 2022Q1 2022Q2 2022Q3

49.5

51.8

52.2

52.5

52.9

34.9

32.8

32.7

32.4

32.7

3.7

4.1

4.1

4.1

4.1

4.0

3.9

3.9

3.9

3.9

1.0

0.9

1.0

1.0

1.0

0.9

1.0

0.9

0.9

0.9

1.0

0.9

0.9

0.9

0.9

5.0

4.6

4.2

4.2

3.6

Qualifying Hedge Funds

2021Q3 2021Q4 2022Q1 2022Q2 2022Q3

51.8

51.8

51.1

52.4

53.2

33.9

34.2

34.9

35.7

34.9

2.5

2.4

2.4

2.4

2.3

3.2

3.2

3.1

3.0

2.8

2.7

2.6

2.8

3.1

3.1

1.5

1.5

1.7

1.7

1.9

4.4

4.2

4.1

1.8

1.7

Section 3 Liquidity Funds

2021Q3 2021Q4 2022Q1 2022Q2 2022Q3

***

***

***

***

***

26.6

27.6

28.5

27.3

25.5

***

***

***

***

***

***

***

***

***

***

Section 4 Private Equity Funds

2021Q3 2021Q4 2022Q1 2022Q2 2022Q3

55.2

56.1

56.9

56.9

56.9

28.9

29.3

29.6

29.6

29.6

2.2

2.0

1.9

1.9

1.9

1.5

1.4

1.4

1.4

1.4

1.1

1.2

1.2

1.2

1.2

11.1

9.9

9.0

9.0

9.0

13

2022Q4

52.7

32.2

5.0

3.6

1.0

0.9

0.8

3.7

2023Q1

52.5

32.6

5.0

3.6

1.0

0.9

0.8

3.6

2023Q2

52.4

32.7

4.9

3.6

1.0

0.9

0.8

3.6

2022Q4

52.6

35.5

2.7

3.0

2.8

1.9

1.4

2023Q1

53.0

35.5

2.9

2.7

2.6

1.7

1.6

2023Q2

53.3

35.3

3.0

2.7

2.5

1.6

1.6

2022Q4

***

23.4

***

***

2023Q1

***

23.9

***

***

2023Q2

***

23.5

***

***

2022Q4

56.2

28.0

2.0

1.4

1.0

11.3

2023Q1

56.4

28.1

2.1

1.4

1.0

11.0

2023Q2

56.4

28.1

2.1

1.4

1.0

11.0

January 9, 2024

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

2021Q3

89.6

4.6

5.8

Country

United States

United Kingdom

Australia

Hong Kong

Other

2021Q3

88.0

4.1

***

***

4.1

Country

United States

United Kingdom

2021Q3

***

***

Country

United States

Canada

Other

2021Q3

94.3

***

***

All Private Funds

2021Q4 2022Q1 2022Q2 2022Q3

91.2

90.9

91.8

91.9

3.9

4.0

3.9

3.9

4.9

5.1

4.3

4.2

Qualifying Hedge Funds

2021Q4 2022Q1 2022Q2 2022Q3

88.1

88.5

90.7

91.1

4.1

3.9

3.7

3.5

***

***

***

***

***

***

***

***

4.1

4.1

2.2

2.2

Section 3 Liquidity Funds

2021Q4 2022Q1 2022Q2 2022Q3

***

***

***

***

***

***

***

***

Section 4 Private Equity Funds

2021Q4 2022Q1 2022Q2 2022Q3

95.6

95.6

95.6

95.6

***

***

***

***

***

***

***

***

14

2022Q4

92.3

3.7

4.0

2023Q1

91.9

4.0

4.1

2023Q2

91.8

4.1

4.1

2022Q4

90.5

4.1

***

***

3.0

2023Q1

90.7

3.9

***

***

3.1

2023Q2

91.6

4.0

***

***

2.1

2022Q4

***

***

2023Q1

***

***

2023Q2

***

***

2022Q4

95.5

***

***

2023Q1

95.4

***

***

2023Q2

95.5

***

***

January 9, 2024

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

2021Q3

2,132

1,929

1,587

1,208

1,263

1,215

856

594

384

266

203

189

138

44

2021Q4

2,597

2,445

1,858

1,422

1,372

1,316

1,007

697

416

317

232

188

155

42

2022Q1

2,635

2,444

1,882

1,417

1,378

1,298

1,000

705

402

306

226

195

161

45

2022Q2

2,594

2,408

1,871

1,372

1,342

1,246

1,004

702

396

312

222

194

151

44

2022Q3

2,589

2,415

1,862

1,366

1,273

1,256

1,010

703

393

306

223

197

148

42

2022Q4

2,597

2,541

1,912

1,324

1,307

1,245

1,082

745

376

286

240

193

149

38

2023Q1

2,595

2,557

1,905

1,335

1,305

1,254

1,068

754

315

252

247

190

150

40

2023Q2

2,611

2,555

1,914

1,348

1,293

1,268

1,080

761

318

254

249

179

145

38

2023Q1

18.6

18.3

13.6

9.6

9.3

9.0

7.6

5.4

2.3

1.8

1.8

1.4

1.1

0.3

2023Q2

18.6

18.2

13.6

9.6

9.2

9.0

7.7

5.4

2.3

1.8

1.8

1.3

1.0

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

2021Q3

17.7

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

9.8

9.4

7.2

5.0

3.0

2.3

1.7

1.3

1.1

0.3

15

2022Q1

18.7

17.3

13.4

10.1

9.8

9.2

7.1

5.0

2.8

2.2

1.6

1.4

1.1

0.3

2022Q2

18.7

17.4

13.5

9.9

9.7

9.0

7.2

5.1

2.9

2.3

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

2022Q4

18.5

18.1

13.6

9.4

9.3

8.9

7.7

5.3

2.7

2.0

1.7

1.4

1.1

0.3

January 9, 2024

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

2021Q3

724

598

602

447

492

478

256

140

186

59

89

42

42

8

2021Q4

723

607

602

458

493

479

264

144

182

62

86

41

38

9

2022Q1

732

604

581

462

473

478

266

147

171

61

82

41

39

9

2022Q2

703

572

546

453

433

452

268

151

108

58

47

39

39

9

2022Q3

698

564

559

432

423

384

266

149

102

59

43

42

38

8

2022Q4

694

562

528

446

424

409

289

148

102

59

47

38

38

9

2023Q1

711

590

537

455

424

418

283

164

104

62

45

39

37

9

2023Q2

734

595

549

467

439

412

292

161

103

63

45

36

32

9

2023Q1

18.3

15.2

13.8

11.7

10.9

10.8

7.3

4.2

2.7

1.6

1.2

1.0

0.9

0.2

2023Q2

18.6

15.1

13.9

11.9

11.1

10.5

7.4

4.1

2.6

1.6

1.2

0.9

0.8

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

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

17.2

14.5

14.4

10.9

11.8

11.4

6.3

3.4

4.3

1.5

2.1

1.0

0.9

0.2

16

2022Q1

17.6

14.6

14.0

11.1

11.4

11.5

6.4

3.5

4.1

1.5

2.0

1.0

0.9

0.2

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

15.0

14.8

11.4

11.2

10.2

7.1

4.0

2.7

1.6

1.1

1.1

1.0

0.2

2022Q4

18.3

14.8

13.9

11.7

11.2

10.8

7.6

3.9

2.7

1.5

1.3

1.0

1.0

0.2

January 9, 2024

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.

Non-U.S. Individuals

Pension Plans

Non-Profits

State/Muni. Govt. Entities

U.S. Individuals

State/Muni. Govt. Pension Plans

2021Q3

101

50

50

***

***

27

9

***

3

7

3

***

***

1

2021Q4

96

60

57

***

***

23

9

***

***

7

4

3

***

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

***

***

***

2022Q4

108

65

56

***

***

14

10

***

***

***

2

***

***

1

2023Q1

106

63

50

***

***

17

12

***

***

***

3

***

***

***

2023Q2

114

64

49

***

***

16

11

***

***

5

3

***

***

***

2023Q1

34.1

20.2

15.9

***

***

5.4

3.9

***

***

***

0.9

***

***

***

2023Q2

35.8

20.1

15.5

***

***

5.0

3.6

***

***

1.5

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.

Non-U.S. Individuals

Pension Plans

Non-Profits

State/Muni. Govt. Entities

U.S. Individuals

State/Muni. Govt. Pension Plans

2021Q3

33.8

16.7

16.5

***

***

8.9

3.2

***

0.9

2.4

1.1

***

***

0.4

2021Q4

31.0

19.2

18.5

***

***

7.5

2.8

***

***

2.3

1.2

1.0

***

0.3

17

2022Q1

33.4

16.6

18.6

***

***

7.8

2.6

***

***

1.7

1.0

***

***

0.3

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

***

***

***

2022Q4

34.1

20.6

17.8

***

***

4.3

3.0

***

***

***

0.8

***

***

0.4

January 9, 2024

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

Other

State/Muni. Govt. Pension Plans

Sov. Wealth Funds And For. Official Inst.

Pension Plans

Insurance Companies

Non-Profits

U.S. Individuals

State/Muni. Govt. Entities

Non-U.S. Individuals

Sec-Registered Investment Companies

Banking/Thrift Inst.

Unknown Non-U.S. Investors

Broker-Dealers

2021Q3

662

544

655

388

247

190

180

187

63

71

27

38

25

3

2021Q4

957

819

836

501

324

252

237

265

82

83

49

45

33

3

2022Q1

974

802

850

477

325

255

238

265

82

77

50

49

34

3

2022Q2

973

802

851

477

326

256

238

265

82

77

50

49

34

3

2022Q3

973

802

851

477

326

256

238

265

82

77

50

49

34

3

2022Q4

1,031

887

887

525

361

283

259

245

94

68

49

47

33

3

2023Q1

1,018

875

874

515

361

282

259

246

94

67

48

44

33

3

2023Q2

1,020

876

876

515

362

284

259

246

95

67

48

45

33

3

Table 20: Beneficial Ownership for Section 4 Private Equity Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Other

State/Muni. Govt. Pension Plans

Sov. Wealth Funds And For. Official Inst.

Pension Plans

Insurance Companies

Non-Profits

U.S. Individuals

State/Muni. Govt. Entities

Non-U.S. Individuals

Sec-Registered Investment Companies

Banking/Thrift Inst.

Unknown Non-U.S. Investors

Broker-Dealers

2021Q3

20.2

16.6

20.0

11.8

7.5

5.8

5.5

5.7

1.9

2.2

0.8

1.2

0.8

0.1

2021Q4

21.3

18.2

18.6

11.2

7.2

5.6

5.3

5.9

1.8

1.9

1.1

1.0

0.7

0.1

18

2022Q1

21.7

17.9

19.0

10.6

7.3

5.7

5.3

5.9

1.8

1.7

1.1

1.1

0.8

0.1

2022Q2

21.7

17.9

19.0

10.6

7.3

5.7

5.3

5.9

1.8

1.7

1.1

1.1

0.8

0.1

2022Q3

21.7

17.9

19.0

10.6

7.3

5.7

5.3

5.9

1.8

1.7

1.1

1.1

0.8

0.1

2022Q4

21.6

18.6

18.6

11.0

7.6

5.9

5.4

5.1

2.0

1.4

1.0

1.0

0.7

0.1

2023Q1

21.6

18.5

18.5

10.9

7.6

6.0

5.5

5.2

2.0

1.4

1.0

0.9

0.7

0.1

2023Q2

21.6

18.5

18.5

10.9

7.7

6.0

5.5

5.2

2.0

1.4

1.0

1.0

0.7

0.1

January 9, 2024

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

Other Private Fund

Real Estate Fund

Hedge Fund

Qualifying Hedge Fund

Venture Capital Fund

Private Equity Fund

Section 4 Private Equity Fund

Liquidity Fund

Section 3 Liquidity Fund

Securitized Asset Fund

Total

2021Q3

60.2

56.1

54.0

49.9

53.9

51.1

46.2

46.3

46.0

35.0

53.2

2021Q4

57.0

59.0

53.9

49.9

52.6

49.5

44.9

46.1

45.8

37.3

52.2

2022Q1

57.5

59.0

54.6

50.9

52.5

49.1

44.7

48.1

47.7

37.5

52.4

19

2022Q2

57.1

59.0

55.0

51.9

52.4

49.2

44.7

46.7

46.4

37.6

52.4

2022Q3

57.5

58.7

54.7

51.6

52.4

49.1

44.7

46.5

46.1

37.8

52.3

2022Q4

59.0

56.9

55.5

52.1

49.9

49.8

46.5

45.1

44.8

41.6

52.9

2023Q1

58.4

57.0

56.3

51.9

49.9

49.4

45.9

44.3

44.1

42.3

52.9

2023Q2

58.3

57.0

56.2

51.8

49.9

49.5

46.0

43.1

42.9

41.8

52.9

January 9, 2024

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

Private Equity Fund

Other Private Fund

Real Estate Fund

Section 4 Private Equity Fund

Securitized Asset Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

Total

2021Q3

15,878

14,471

66

133

18

34

3

***

***

***

16,084

2021Q4

15,521

14,163

70

118

41

52

5

***

***

***

15,783

2022Q1

15,633

14,282

69

110

41

54

5

***

***

***

15,817

2022Q2

14,545

13,289

69

110

41

54

5

***

***

0

14,777

2022Q3

14,016

12,454

71

112

41

54

5

***

***

0

14,257

2022Q4

14,759

12,890

158

105

72

73

***

0

***

0

15,139

2023Q1

15,271

13,005

159

103

76

72

6

0

0

0

15,618

2023Q2

14,986

13,594

159

104

78

72

4

0

0

0

15,344

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

Private Equity Fund

Other Private Fund

Real Estate Fund

Section 4 Private Equity Fund

Securitized Asset Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

Total

2021Q3

310.4

347.4

1.6

10.4

2.9

1.0

1.2

***

***

***

133.9

2021Q4

302.3

337.9

1.2

7.6

5.6

1.2

1.8

***

***

***

112.2

2022Q1

303.4

344.2

1.2

7.0

5.6

1.2

1.8

***

***

***

112.2

20

2022Q2

295.7

342.6

1.2

7.1

5.6

1.2

1.8

***

***

0.0

106.6

2022Q3

288.6

330.2

1.2

7.3

5.5

1.2

1.8

***

***

0.0

103.4

2022Q4

306.0

339.7

2.6

7.4

8.4

1.5

***

0.1

***

0.0

107.8

2023Q1

314.0

335.1

2.7

7.5

8.9

1.5

2.1

0.1

0.0

0.0

111.8

2023Q2

304.7

345.1

2.7

7.8

9.0

1.5

1.4

0.1

0.0

0.0

109.4

January 9, 2024

Analytics Office

Figure 6: Distribution of Derivative Values

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

1.00

0.75

0.50

0.25

0.00

10

8

6

4

2

0

Q

20 3

21

Q

20 4

22

Q

20 1

22

Q

20 2

22

Q

20 3

22

Q

20 4

23

Q

20 1

23

Q2

Total Derivative Value ($Billions)

Winsorized (limits=[1%,99%])

1.25

20

20

21

21

Q

20 3

21

Q

20 4

22

Q

20 1

22

Q

20 2

22

Q

20 3

22

Q

20 4

23

Q

20 1

23

Q2

Total Derivative Value ($Billions)

Winsorized (limits=[1%,99%])

As reported on Form PF, Questions 13 and 44 (Third Month).

(a) All Private Funds

VI

A

(b) Qualifying Hedge Funds

Additional Hedge Fund Industry Information

High Frequency Trading

Table 24: Number of Hedge Funds Using

High Frequency Trading (HFT) Strategies

As reported on Form PF, Question 21.

Fraction of NAV

0%

Less than 100%

100% or More

2021Q3

8,214

49

6

2021Q4

8,389

49

8

2022Q1

8,527

52

8

2022Q2

8,615

53

8

2022Q3

8,674

50

8

2022Q4

8,695

56

5

2023Q1

8,776

56

5

2023Q2

8,862

54

5

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

2021Q3

4,962

117

5

2021Q4

4,999

115

6

2022Q1

5,000

128

7

2022Q2

4,761

127

8

21

2022Q3

4,689

135

8

2022Q4

4,671

128

9

2023Q1

4,694

138

9

2023Q2

4,756

133

9

January 9, 2024

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

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

41.9

55.5

2022Q2

7.8

13.5

19.4

27.3

41.5

54.9

2022Q3

8.1

13.7

19.6

27.5

41.6

54.9

2022Q4

7.8

13.3

19.1

27.0

41.2

54.6

2023Q1

7.9

13.4

19.3

27.3

41.6

54.8

2023Q2

7.8

13.2

19.4

27.3

41.5

54.7

Table 27: Percent of Aggregate Hedge Fund Gross Asset Value

Reported by Top Hedge Funds Sorted by Gross Asset Value

As reported on Form PF, Questions 8 and 10.

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

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

33.6

42.0

54.5

66.1

2022Q2

16.7

26.1

34.1

42.4

54.6

66.0

2022Q3

16.9

25.7

33.8

42.4

54.7

65.9

2022Q4

17.7

26.3

34.5

43.0

55.1

66.3

2023Q1

17.7

26.7

34.8

43.3

55.5

66.6

2023Q2

18.9

28.0

36.2

44.6

56.5

67.3

Table 28: Percent of Aggregate Hedge Fund Borrowings

Reported by Top Hedge Funds Sorted by Borrowings

As reported on Form PF, Questions 12 and 43 (Month 3).

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2021Q3

32.2

48.0

60.5

71.1

83.2

90.9

2021Q4

34.7

49.3

61.4

72.1

83.3

90.9

2022Q1

34.2

48.7

61.1

71.5

83.4

90.8

2022Q2

34.7

50.2

61.9

72.0

83.1

90.5

22

2022Q3

34.2

50.3

62.1

72.4

83.4

90.6

2022Q4

36.7

51.4

63.4

73.6

84.1

90.9

2023Q1

36.0

51.5

64.1

74.5

84.9

91.5

2023Q2

37.4

52.5

64.7

74.7

85.3

91.9

January 9, 2024

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

2021Q3

40.7

56.8

69.2

79.6

90.5

95.5

2021Q4

41.0

55.4

67.6

78.5

89.8

95.2

2022Q1

38.9

55.3

67.6

79.0

90.2

95.4

2022Q2

39.0

54.9

66.7

78.3

89.8

95.1

2022Q3

40.3

55.0

67.3

79.0

90.0

95.2

2022Q4

37.4

54.6

68.2

80.0

90.5

95.4

2023Q1

40.3

56.0

68.3

80.3

90.8

95.6

2023Q2

41.5

55.1

67.4

79.3

90.5

95.4

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

2021Q3

35.0

49.6

60.7

70.9

83.4

91.1

2021Q4

35.4

48.5

59.7

70.2

82.7

90.7

2022Q1

34.7

48.7

60.0

70.8

82.9

90.8

2022Q2

34.6

49.1

60.5

70.8

82.8

90.5

23

2022Q3

34.8

49.2

60.3

71.2

83.0

90.6

2022Q4

34.0

49.5

61.0

72.3

83.8

91.0

2023Q1

36.2

50.8

61.9

73.3

84.3

91.4

2023Q2

37.5

50.5

61.4

72.7

84.1

91.2

January 9, 2024

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

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

***

***

625

141

70

71

74

43

20

11

55

31

11

9

2

1

33

13

9

3

***

***

6

***

***

1,437

24

2022Q1

637

311

298

26

1

649

144

73

72

76

46

19

10

55

32

11

9

2

1

34

15

10

4

***

***

7

***

***

1,433

2022Q2

589

280

273

***

***

648

144

72

72

75

47

18

10

56

32

11

9

3

2

33

15

10

4

***

***

6

***

***

1,386

2022Q3

555

273

251

29

2

656

150

77

73

76

48

19

9

55

32

11

8

3

1

32

16

11

4

***

***

6

***

***

1,368

2022Q4

552

272

251

28

1

655

163

86

77

83

50

26

7

59

37

11

7

3

2

32

14

9

4

***

***

6

***

***

1,385

2023Q1

549

262

259

27

1

666

179

87

93

80

49

26

5

63

38

11

7

5

2

40

13

8

4

***

***

6

***

***

1,419

2023Q2

584

293

263

27

1

673

170

94

77

82

51

27

4

64

37

12

7

7

2

40

14

9

4

1

0

6

***

***

1,443

January 9, 2024

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

2021Q3

1,035

458

527

45

11

1,017

373

198

178

236

166

52

21

174

96

48

18

11

15

238

43

22

13

***

***

24

***

***

2,931

2021Q4

1,128

471

605

***

***

1,034

383

197

189

243

164

59

21

186

94

55

20

19

18

241

45

18

15

***

***

24

***

***

3,079

25

2022Q1

1,150

480

616

51

8

1,070

394

200

197

259

179

60

21

189

93

54

22

19

14

260

48

19

17

***

***

24

***

***

3,175

2022Q2

1,153

475

624

***

***

1,093

404

197

210

270

189

60

21

198

99

59

23

20

19

261

48

19

17

***

***

23

***

***

3,216

2022Q3

1,156

474

627

51

9

1,114

422

207

218

276

195

61

21

201

100

58

26

20

19

257

45

19

16

***

***

22

***

***

3,265

2022Q4

1,136

494

588

47

13

1,169

429

212

220

298

212

68

19

212

107

58

26

18

18

306

44

18

15

***

***

23

***

***

3,348

2023Q1

1,141

497

591

47

12

1,197

441

212

232

297

211

68

19

219

119

59

24

18

18

331

44

18

15

***

***

23

***

***

3,421

2023Q2

1,142

511

583

46

12

1,223

455

220

238

305

218

69

19

221

123

57

24

18

18

334

46

21

15

10

0

24

***

***

3,474

January 9, 2024

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

Other

Relative Value

Macro

Credit

Managed Futures/CTA

Event Driven

Investment in other funds

Total

Strategy

Subtotal

Long/Short

Long Bias

Market Neutral

Short Bias

Subtotal

Subtotal

F.I. Sov.

F.I. Asset Backed

Volatility Arb.

F.I. Corp.

F.I. Conv. Arb.

Subtotal

Global Macro

Commodity

Active Trading

Currency

Subtotal

Long/Short

Asset Based Lending

Subtotal

Quantitative

Fundamental

Subtotal

Distressed/Restruct.

Equity

Risk Arb./Merger Arb.

Subtotal

Total

2021Q3

1,275

825

360

***

***

761

445

299

79

22

28

17

385

373

8

***

***

325

229

96

233

***

***

178

112

33

33

35

2,468

2021Q4

1,269

812

356

***

***

767

456

315

77

22

27

16

267

255

8

***

***

287

210

77

209

***

***

185

117

35

33

33

2,436

26

2022Q1

1,141

726

321

***

***

776

434

284

75

24

28

22

286

275

8

***

***

297

217

81

231

***

***

185

120

34

30

33

2,394

2022Q2

1,010

641

280

***

***

736

442

309

75

27

18

13

306

295

8

***

***

290

207

83

206

***

***

180

120

30

30

30

2,222

2022Q3

954

609

259

***

***

715

409

283

74

23

17

12

329

314

6

***

***

309

219

89

240

***

***

173

119

25

29

30

2,148

2022Q4

977

629

261

***

***

760

369

248

71

20

17

12

329

316

7

***

***

314

221

93

190

***

***

166

117

28

21

27

2,156

2023Q1

969

638

229

***

***

756

377

256

68

20

19

14

326

316

7

***

***

321

227

94

226

***

***

420

371

28

21

31

2,148

2023Q2

996

667

225

***

***

762

352

229

68

23

18

14

337

328

7

***

***

333

232

101

285

***

***

182

132

27

22

37

2,172

January 9, 2024

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

Other

Relative Value

Macro

Credit

Managed Futures/CTA

Event Driven

Investment in other funds

Total

Strategy

Subtotal

Long/Short

Long Bias

Market Neutral

Short Bias

Subtotal

Subtotal

F.I. Sov.

F.I. Asset Backed

Volatility Arb.

F.I. Corp.

F.I. Conv. Arb.

Subtotal

Global Macro

Commodity

Active Trading

Currency

Subtotal

Long/Short

Asset Based Lending

Subtotal

Quantitative

Fundamental

Subtotal

Distressed/Restruct.

Equity

Risk Arb./Merger Arb.

Subtotal

Total

2021Q3

1,072

607

379

***

***

857

304

54

147

25

98

27

207

160

34

***

***

356

249

111

123

***

***

321

223

79

47

102

3,132

2021Q4

1,092

629

391

***

***

853

304

60

149

27

91

24

210

162

42

***

***

353

248

108

108

***

***

310

214

74

48

103

3,103

27

2022Q1

1,096

630

394

***

***

875

302

59

146

26

92

25

214

168

40

***

***

368

260

111

113

***

***

316

221

70

50

101

3,158

2022Q2

1,095

630

388

***

***

892

301

59

148

25

88

26

213

172

38

***

***

370

260

113

120

***

***

318

223

70

49

104

3,185

2022Q3

1,092

628

385

***

***

881

305

61

150

24

90

24

216

171

39

***

***

381

267

117

121

***

***

314

223

69

47

108

3,187

2022Q4

1,074

602

386

***

***

919

294

60

139

29

87

24

217

165

45

***

***

376

267

112

125

***

***

313

219

75

43

107

3,207

2023Q1

1,028

599

343

***

***

932

300

59

143

29

91

24

213

163

40

***

***

387

277

113

129

***

***

313

223

70

44

107

3,186

2023Q2

1,015

592

340

***

***

935

303

59

147

30

90

25

212

163

40

***

***

405

285

123

126

***

***

317

227

70

44

112

3,205

January 9, 2024

VII

A

Analytics Office

Information Reported by Large Hedge

Fund Advisers

Economic Leverage

Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

12.5

10.0

7.5

5.0

2.5

0.0

12.5

10.0

7.5

5.0

2.5

0.0

20

20

21

21

15.0

-0

20 9

21

-1

20 2

22

-0

20 3

22

-0

20 6

22

-0

20 9

22

-1

20 2

23

-0

20 3

23

-06

Ratio of GNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

15.0

-0

20 9

21

-1

20 2

22

-0

20 3

22

-0

20 6

22

-0

20 9

22

-1

20 2

23

-0

20 3

23

-06

Ratio of GNE to NAV

Winsorized (limits=[0%,98%])

As reported on Form PF, Questions 3(a) and 26.

(a) Gross Exposure with Interest Rate Derivatives (IRDs)

28

(b) Gross Exposure without IRDs

10

8

6

4

2

0

Ratio of SNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

2

0

(a) Long Exposure with IRDs

(c) Short Exposure with IRDs

29

20 9

21

-1

20 2

22

-0

20 3

22

-0

20 6

22

-0

20 9

22

-1

20 2

23

-0

20 3

23

-06

4

21

-0

6

Ratio of LNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

8

20

-0

20 9

21

-1

20 2

22

-0

20 3

22

-0

20 6

22

-0

20 9

22

-1

20 2

23

-0

20 3

23

-06

21

20

Ratio of LNE to NAV

Winsorized (limits=[0%,98%])

10

20

21

-0

20 9

21

-1

20 2

22

-0

20 3

22

-0

20 6

22

-0

20 9

22

-1

20 2

23

-0

20 3

23

-06

-1

20 2

22

-0

20 3

22

-0

20 6

22

-0

20 9

22

-1

20 2

23

-0

20 3

23

-06

21

20

-09

21

20

Ratio of SNE to NAV

Winsorized (limits=[0%,98%])

January 9, 2024

Analytics Office

Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and

Short Notional Exposure (SNE) to Net Asset Value Distribution

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

As reported on Form PF, Questions 3(a) and 26.

10

8

6

4

2

0

(b) Long Exposure without IRDs

10

8

6

4

2

0

(d) Short Exposure without IRDs

January 9, 2024

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

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

2022-10

2022-11

2022-12

2023-01

2023-02

2023-03

2023-04

2023-05

2023-06

Top 10 Advisers (NAV)

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

17.4

17.4

17.4

17.5

17.5

17.5

17.7

17.7

17.7

Top 20 Advisers (NAV)

26.6

27.5

27.5

27.4

27.4

27.4

28.1

27.2

27.2

28.0

28.1

28.1

28.3

28.3

28.3

28.2

28.2

28.2

28.5

28.5

28.5

28.7

28.7

28.7

30

Top 10 Advisers (GNE)

40.6

39.2

38.7

38.3

38.4

38.1

38.9

38.4

38.3

42.8

42.8

39.0

40.1

40.1

39.8

39.2

39.6

38.9

39.7

39.8

40.9

42.0

42.2

41.9

Top 20 Advisers (GNE)

56.7

56.1

55.6

56.2

56.3

54.7

55.4

55.7

55.1

57.7

58.7

55.5

57.3

57.9

57.0

57.0

57.9

55.9

58.5

59.0

58.2

59.1

59.6

59.0

January 9, 2024

Portfolio Turnover

Table 36: Aggregate Portfolio Turnover ($ Billions)

As reported on Form PF, Question 27.

Month

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

2022-10

2022-11

2022-12

2023-01

2023-02

2023-03

2023-04

2023-05

2023-06

Futures

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

20,479

25,693

25,184

19,016

30,530

35,960

18,521

26,490

23,309

Sov. and muni. bonds

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

4,372

5,199

4,522

5,313

6,510

7,330

5,689

7,479

7,088

Listed equities

3,159

3,101

3,438

3,409

3,779

3,843

3,951

3,793

4,527

3,677

4,253

3,893

3,024

3,436

3,534

4,303

4,376

4,028

4,127

4,085

4,937

3,841

4,700

4,717

Corporate bonds

142

140

168

183

164

121

188

292

255

223

339

312

318

236

205

185

201

149

231

239

253

164

244

215

Convertible bonds

29

39

54

38

53

38

40

35

36

27

30

24

17

29

25

32

29

19

33

50

39

30

43

41

Total

20,483

22,691

25,165

28,729

27,262

23,002

26,254

31,871

33,966

24,526

29,243

31,262

26,865

32,821

37,726

29,372

35,498

33,903

28,719

41,415

48,518

28,244

38,957

35,370

Figure 9: Distributions of Portfolio Turnover

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

As reported on Form PF, Questions 3(a) and 27.

60

40

20

15

10

5

0

20

21

21

-0

20 9

21

-1

20 2

22

-0

20 3

22

-0

20 6

22

-0

20 9

22

-1

20 2

23

-0

20 3

23

-06

0

20

-0

20 9

21

-1

20 2

22

-0

20 3

22

-0

20 6

22

-0

20 9

22

-1

20 2

23

-0

20 3

23

-06

Ratio of Turnover to NAV

Winsorized (limits=[1%,99%])

80

20

Total Turnover ($Billions)

Winsorized (limits=[1%,99%])

C

Analytics Office

(a) Total Turnover

(b) Total Turnover to NAV Ratio

31

January 9, 2024

D

Analytics Office

Region and Country Exposure

Table 37: Large Hedge Fund Adviser Hedge Fund

Region Exposure ($ Billions)

As reported on Form PF, Questions 3(a) and 28.

Region

North America

Europe EEA

Asia

Europe Other

South America

Supranational

Middle East

Africa

2021Q3

5,849

1,595

800

314

87

51

31

33

2021Q4

5,944

1,482

768

306

86

48

30

27

2022Q1

5,865

1,637

718

418

93

42

27

29

2022Q2

5,581

1,480

713

324

81

38

26

22

2022Q3

5,426

1,433

737

336

81

32

46

21

2022Q4

5,547

1,658

750

356

86

27

26

24

2023Q1

5,855

1,530

732

372

83

34

26

21

2023Q2

6,179

1,455

753

393

90

36

31

23

Table 38: Large Hedge Fund Adviser Hedge Fund

Region Exposure (Percent of Aggregate NAV)

As reported on Form PF, Questions 3(a) and 28.

Region

North America

Europe EEA

Asia

Europe Other

South America

Supranational

Middle East

Africa

2021Q3

128.5

35.1

17.6

6.9

1.9

1.1

0.7

0.7

2021Q4

131.0

32.7

16.9

6.7

1.9

1.1

0.7

0.6

2022Q1

132.2

36.9

16.2

9.4

2.1

0.9

0.6

0.7

2022Q2

132.0

35.0

16.9

7.7

1.9

0.9

0.6

0.5

32

2022Q3

131.4

34.7

17.9

8.1

2.0

0.8

1.1

0.5

2022Q4

133.9

40.0

18.1

8.6

2.1

0.7

0.6

0.6

2023Q1

136.7

35.7

17.1

8.7

1.9

0.8

0.6

0.5

2023Q2

143.0

33.7

17.4

9.1

2.1

0.8

0.7

0.5

January 9, 2024

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

2021Q3

5,479

233

251

53

33

16

2021Q4

5,548

217

239

51

33

16

2022Q1

5,549

213

204

48

39

5

2022Q2

5,287

240

198

47

34

5

2022Q3

5,148

266

174

49

34

5

2022Q4

5,276

337

171

44

34

3

2023Q1

5,556

332

171

44

31

3

2023Q2

5,887

354

138

50

40

3

2023Q1

129.8

7.8

4.0

1.0

0.7

0.1

2023Q2

136.2

8.2

3.2

1.2

0.9

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

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

33

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

2022Q4

127.3

8.1

4.1

1.1

0.8

0.1

January 9, 2024

VIII

Qualifying Hedge Fund Specific Information

Economic Leverage

Figure 10: Ratio of Qualifying Hedge Fund Gross Notional Exposure to Net Asset Value

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

7.5

5.0

2.5

7.5

5.0

2.5

0.0

20

20

21

-0

20 9

21

-1

20 2

22

-0

20 3

22

-0

20 6

22

-0

20 9

22

-1

20 2

23

-0

20 3

23

-06

0.0

10.0

20 9

21

-1

20 2

22

-0

20 3

22

-0

20 6

22

-0

20 9

22

-1

20 2

23

-0

20 3

23

-06

10.0

12.5

21

-0

12.5

Ratio of GNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

As reported on Form PF, Questions 9, 10, 26, and 30.

Ratio of GNE to NAV

Winsorized (limits=[0%,98%])

A

Analytics Office

(a) Including IRDs

(b) Excluding IRDs

34

-09

(a) LNE Including IRDs

(c) SNE Including IRDs

35

-1

20 2

22

-0

20 3

22

-0

20 6

22

-0

20 9

22

-1

20 2

23

-0

20 3

23

-06

0

21

2

20

4

-0

20 9

21

-1

20 2

22

-0

20 3

22

-0

20 6

22

-0

20 9

22

-1

20 2

23

-0

20 3

23

-06

21

20

0

-09

2

Ratio of LNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

4

21

6

Ratio of SNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

21

-0

20 9

21

-1

20 2

22

-0

20 3

22

-0

20 6

22

-0

20 9

22

-1

20 2

23

-0

20 3

23

-06

20

Ratio of LNE to NAV

Winsorized (limits=[0%,98%])

6

20

-1

20 2

22

-0

20 3

22

-0

20 6

22

-0

20 9

22

-1

20 2

23

-0

20 3

23

-06

21

20

21

20

Ratio of SNE to NAV

Winsorized (limits=[0%,98%])

January 9, 2024

Analytics Office

Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and

Short Notional Exposure (SNE) to Net Asset Value

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

As reported on Form PF, Questions 9, 10, 26, and 30.

6

4

2

0

(b) LNE Excluding IRDs

6

4

2

0

(d) SNE Excluding IRDs

January 9, 2024

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

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

6,789

2021Q4

2,250

1,211

643

396

0

1,456

1,063

709

102

123

65

63

794

704

54

***

***

479

359

119

458

205

145

108

222

***

***

65

6,787

2022Q1

2,029

1,098

577

***

***

1,483

1,043

676

110

112

74

70

856

745

73

***

***

485

359

127

429

202

136

91

238

***

***

75

6,637

2022Q2

1,773

969

467

***

***

1,441

1,028

684

113

89

79

62

874

744

88

39

2

482

350

132

403

201

112

90

215

***

***

69

6,284

2022Q3

1,676

930

414

***

***

1,427

969

638

115

84

72

60

886

748

92

44

2

507

367

140

394

201

101

93

258

***

***

68

6,185

2022Q4

1,757

980

438

***

***

1,458

950

627

121

82

54

66

999

902

58

37

2

527

378

149

371

203

96

72

196

***

***

71

6,330

2023Q1

1,793

995

448

***

***

1,487

1,035

706

103

88

76

61

897

820

44

***

***

543

390

154

382

201

106

75

195

***

***

84

6,416

2023Q2

1,887

1,064

453

***

***

1,512

1,091

722

129

94

85

61

995

924

40

***

***

538

369

168

397

210

102

85

287

***

***

86

6,793

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

January 9, 2024

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

2021Q3

53.5

28.8

15.6

***

***

34.2

24.9

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

34.8

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

37

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

12.0

***

***

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

44.4

24.7

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

10.5

5.3

2.7

2.5

6.8

***

***

1.8

164.0

2022Q4

46.3

25.8

11.6

***

***

38.5

25.1

16.5

3.2

2.2

1.4

1.7

26.3

23.8

1.5

1.0

0.1

13.9

10.0

3.9

9.8

5.4

2.5

1.9

5.2

***

***

1.9

166.9

2023Q1

46.2

25.6

11.6

***

***

38.3

26.7

18.2

2.7

2.3

2.0

1.6

23.1

21.1

1.1

***

***

14.0

10.0

4.0

9.8

5.2

2.7

1.9

5.0

***

***

2.2

165.3

2023Q2

47.9

27.0

11.5

***

***

38.4

27.7

18.3

3.3

2.4

2.2

1.6

25.3

23.4

1.0

***

***

13.7

9.4

4.3

10.1

5.3

2.6

2.2

7.3

***

***

2.2

172.4

January 9, 2024

C

Analytics Office

Leverage by Strategy

Table 43: Asset Weighted-Average Ratio of GAV to NAV

by Strategy

As reported on Form PF, Questions 8, 9, 10, and 20.

Strategy

Relative Value

Macro

Multi-Strategy

Credit

Equity

Managed Futures/CTA

Other

Investment in other funds

Event Driven

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

1.5

1.4

1.5

1.3

1.4

2022Q1

6.0

4.5

3.1

1.6

1.6

1.5

1.4

1.2

1.4

2022Q2

6.5

4.3

3.0

1.6

1.6

1.9

1.4

1.5

1.4

2022Q3

6.2

4.5

2.9

1.7

1.6

1.6

1.5

1.4

1.3

2022Q4

5.9

4.9

3.5

1.7

1.6

1.5

1.5

1.3

1.3

2023Q1

5.8

5.0

3.6

1.7

1.6

1.6

1.5

1.3

1.3

2023Q2

6.2

5.6

3.9

1.8

1.7

1.5

1.4

1.4

1.3

Table 44: Asset Weighted-Average Ratio of GNE to NAV

by Strategy

As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month).

Strategy

Macro

Relative Value

Managed Futures/CTA

Multi-Strategy

Investment in other funds

Credit

Equity

Other

Event Driven

2021Q3

34.6

26.4

22.9

16.2

3.3

3.0

2.9

3.2

2.0

2021Q4

32.9

27.1

16.9

16.0

3.3

3.1

3.1

3.1

1.9

2022Q1

33.0

25.4

15.0

14.9

2.8

3.2

2.9

3.1

1.9

2022Q2

29.2

24.8

16.5

13.2

4.1

3.1

2.9

2.9

2.0

2022Q3

29.6

23.8

14.0

11.0

3.9

3.2

2.9

2.9

1.8

2022Q4

34.9

21.3

14.3

14.5

3.0

3.2

2.9

2.9

1.8

2023Q1

37.3

23.1

12.1

14.1

5.8

3.4

3.0

2.8

2.1

2023Q2

36.8

25.5

17.1

14.8

3.6

3.5

3.1

2.7

2.1

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

Macro

Managed Futures/CTA

Relative Value

Multi-Strategy

Investment in other funds

Equity

Other

Event Driven

Credit

2021Q3

42.3

42.7

21.1

25.4

1.6

8.1

11.6

7.7

8.8

2021Q4

42.8

48.2

21.8

26.1

8.2

8.5

11.8

8.1

8.3

2022Q1

44.1

51.0

23.3

23.9

4.9

10.3

11.3

10.7

6.8

38

2022Q2

44.1

56.0

23.8

27.7

6.8

12.7

11.5

9.6

8.3

2022Q3

42.2

54.2

25.0

27.9

5.5

13.6

12.3

10.0

7.3

2022Q4

45.7

49.3

23.5

30.5

6.1

13.8

11.5

9.8

8.9

2023Q1

43.1

39.9

25.9

27.3

7.5

12.4

9.6

8.1

8.5

2023Q2

41.3

38.8

26.6

25.7

11.3

11.1

9.0

8.4

7.4

January 9, 2024

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

Non-Financial Unlisted Equities

Cash/Cash Equivalents - Other

Commodity Derivatives

Financial Listed Equities

Leveraged Loans

Non-Financial Corporate Bonds

Non-U.S. Currency Holdings

Cash/Cash Equivalents - Deposits

Sovereign Bonds - Other

Other Derivatives

MBS

Physical Real Estate

Other Private Funds

Cash/Cash Equivalents - MMFs

Other ABS/Structured Products

Other Loans (Excluding Repo)

Non-Financial Convertible Bonds

Other

Financial Equity Derivatives

Financial Corporate Bonds

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

2021Q3

7,640

4,077

2,270

2,712

1,735

1,595

1,472

783

416

534

455

361

247

272

254

240

332

188

212

146

175

181

60

133

178

98

105

73

52

38

27

21

16

9

7

2021Q4

7,476

3,973

2,221

2,751

1,760

1,578

1,412

759

465

573

393

376

261

280

216

218

308

207

205

166

183

208

59

141

173

112

105

71

46

39

29

22

16

9

6

2022Q1

7,770

3,819

2,197

2,488

1,690

1,775

1,373

750

477

854

424

348

274

272

231

216

267

215

170

176

184

199

63

144

154

110

101

76

47

39

30

19

17

8

9

39

2022Q2

7,165

3,415

2,167

2,120

1,523

1,482

1,377

809

478

527

399

307

277

248

261

224

209

219

189

186

186

228

55

149

125

118

93

71

56

36

27

17

15

7

9

2022Q3

6,606

3,407

2,074

2,020

1,493

1,459

1,311

740

478

509

374

285

281

246

220

221

181

210

183

171

184

218

57

151

119

112

84

68

46

36

26

18

14

6

3

2022Q4

7,256

3,068

2,136

2,092

1,671

1,465

1,471

683

483

519

360

307

295

254

220

240

197

242

180

186

175

215

56

155

118

113

87

79

60

40

37

16

15

6

6

2023Q1

7,238

3,354

2,349

2,200

1,814

1,496

1,386

739

498

469

387

312

310

265

225

301

208

220

179

191

175

187

56

153

123

114

93

75

41

41

39

16

16

8

4

2023Q2

7,159

3,676

2,513

2,321

2,176

1,587

1,399

848

509

493

374

338

323

281

257

248

221

218

208

203

177

174

161

160

128

120

107

80

69

41

35

18

16

7

4

January 9, 2024

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

Non-Financial Unlisted Equities

Cash/Cash Equivalents - Other

Commodity Derivatives

Financial Listed Equities

Leveraged Loans

Non-Financial Corporate Bonds

Non-U.S. Currency Holdings

Cash/Cash Equivalents - Deposits

Sovereign Bonds - Other

Other Derivatives

MBS

Physical Real Estate

Other Private Funds

Cash/Cash Equivalents - MMFs

Other ABS/Structured Products

Other Loans (Excluding Repo)

Non-Financial Convertible Bonds

Other

Financial Equity Derivatives

Financial Corporate Bonds

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

2021Q3

48.5

57.0

46.8

71.4

57.2

51.4

48.5

47.0

99.8

73.3

63.8

73.5

98.0

79.1

56.8

72.8

70.2

61.9

71.9

***

99.9

***

85.3

91.7

97.7

96.0

60.1

87.1

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

99.9

71.9

65.2

73.1

98.0

74.5

62.5

74.9

64.2

51.6

70.0

***

99.9

***

84.2

90.7

97.9

94.8

55.5

86.4

62.8

***

99.7

98.6

97.8

96.2

***

2022Q1

48.1

56.0

49.0

70.3

59.2

56.9

47.9

43.0

99.7

67.2

64.3

71.4

98.2

77.2

61.7

71.9

63.4

50.5

78.4

***

99.9

***

80.7

91.4

97.3

93.4

54.2

86.5

55.3

***

99.7

98.9

98.1

96.7

99.8

40

2022Q2

47.4

55.2

48.5

68.2

62.8

50.6

48.2

40.2

99.8

77.3

59.9

69.5

98.7

75.4

60.8

67.3

58.6

44.8

81.7

***

99.9

99.9

83.5

91.6

97.2

90.7

55.6

87.0

52.8

86.3

99.9

***

98.8

96.3

99.4

2022Q3

47.0

54.6

47.2

67.8

60.0

48.3

49.7

41.1

99.9

78.5

55.4

68.6

97.6

76.4

62.1

63.6

60.7

41.9

83.6

***

99.9

***

82.3

89.4

97.5

90.0

55.5

86.3

61.7

86.7

99.9

99.2

98.3

96.3

***

2022Q4

50.6

53.0

46.5

67.4

59.2

51.5

48.2

47.7

99.6

77.4

59.1

68.1

97.5

76.8

66.1

64.5

63.5

40.8

83.6

***

100.0

99.9

86.5

91.3

97.7

86.4

59.0

88.6

58.8

88.1

99.9

98.8

98.5

98.1

93.9

2023Q1

48.3

53.8

43.2

66.8

61.5

50.4

48.9

45.9

99.8

81.7

57.5

67.5

97.8

76.2

59.1

65.0

69.0

58.7

84.3

***

***

***

86.2

90.3

98.4

85.7

56.9

82.2

70.5

87.5

99.9

99.3

99.0

98.5

96.9

2023Q2

46.8

55.6

40.0

66.7

56.2

51.4

46.6

47.3

99.8

80.2

55.9

66.7

97.6

75.9

60.7

69.6

69.2

51.5

84.0

***

100.0

***

91.1

90.1

98.5

83.4

58.3

80.7

59.7

87.6

99.9

***

98.8

97.8

98.2

January 9, 2024

Number of Positions

Figure 12: Number of Positions Reported by Qualifying Hedge Funds

As reported on Form PF, Question 34.

3000

2000

1000

41

3-0

6

20

2

3-0

3

20

2

2-1

2

20

2

2-0

9

20

2

2-0

6

20

2

2-0

3

20

2

1-1

2

20

2

1-0

9

0

20

2

Number of Positions

E

Analytics Office

January 9, 2024

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

2021Q3

7.5

11.1

23.1

40.2

52.3

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

19.9

36.7

47.0

60.4

2022Q3

5.5

8.2

18.9

35.6

47.4

59.1

2022Q4

5.6

8.2

18.5

37.8

45.6

58.5

2023Q1

5.4

7.5

18.6

34.5

45.4

56.7

2023Q2

5.6

7.8

17.9

34.1

44.3

56.5

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

2021Q3

33.3

53.2

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

61.3

67.6

72.8

78.6

2022Q4

32.3

49.4

60.3

66.4

71.8

77.9

2023Q1

31.5

49.0

59.1

65.2

70.8

76.5

Figure 13: Asset Weighted-Average Qualifying Hedge Fund

Investor and Portfolio Liquidity

Portfolio Liquidity

80

40

20

s

65

mo

At

st 3

mo

st 1

80

day

s

day

ays

42

At

mo

At

st 9

mo

At

st 3

0d

day

st 7

mo

0d

s

ays

0

At

st 1

mo

Investor Liquidity

60

day

Percent of Fund Net Assets (%)

As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of Second Calendar Quarter 2023.

At

F

Analytics Office

2023Q2

31.3

49.1

59.6

65.7

70.7

76.7

January 9, 2024

Analytics Office

Table 50: Restrictions on Qualifying Hedge Fund Assets ($ Billions)

As reported on Form PF, Questions 48 and 49.

2021Q3

2,981

1,926

110

84

18

2021Q4

2,924

1,885

114

84

18

2022Q1

2,884

1,878

104

74

17

2022Q2

2,660

1,847

97

74

14

2022Q3

2,534

1,754

96

75

13

2022Q4

2,499

1,728

90

81

20

2023Q1

2,562

1,757

87

80

22

Figure 14: Percentage of Qualifying Hedge Fund NAV

Subject to a Side-Pocket Arrangement

See Appendix C for an explanation of boxplots.

NAV in Side-Pocket (%)

60

As reported on Form PF, Questions 9 and 48.

40

20

21

Q

20 3

21

Q