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Division of Investment Management
Analytics Office
Private Funds Statistics
Third Calendar Quarter 2017
April 12, 2018
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 12, 2018
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 2015 through Third Calendar Quarter
2017 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 2017 Private
Funds Statistics, please contact:
Tim Dulaney, PhD, FRM or Tim Husson, PhD, FRM at FormPF@sec.gov with subject line “Third
Calendar Quarter 2017-Private Funds Statistics”.
1
Only SEC-registered advisers with at least $150 million in private fund assets under management must report to the
Commission on Form PF. SEC-registered investment advisers with less than $150 million in private fund assets under
management, SEC exempt reporting advisers, and state-registered investment advisers are not required to file Form PF,
but report general information about the private funds they manage on Form ADV.
2
The Commission began receiving Form PF filings from Large Hedge Fund Advisers in July 2012. A full data set was
not received until March 2013. This report relies upon the Form PF database constructed and maintained by the Office
of Research and Data Services in the Division of Economic and Risk Analysis.
1
April 12, 2018
Analytics Office
Contents
I
II
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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5
5
8
10
11
III
Fund Domiciles and Adviser Main Offices
13
IV
Beneficial Ownership
15
V
Derivatives
19
VI
High Frequency Trading
20
VII
Hedge Fund Industry Concentration
21
VIII Information Reported by Large Hedge Fund Advisers
A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
23
23
25
26
27
IX
Qualifying Hedge Fund Specific Information
A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
F Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
G Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
H Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
I Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
29
29
31
33
34
35
37
40
41
42
X
Section 3 Liquidity Fund Specific Information
A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
43
43
43
46
46
2
April 12, 2018
Analytics Office
E Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
47
Section 4 Private Equity Fund Specific Information
A CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . .
48
48
49
50
XII Appendices
A 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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
52
52
52
52
53
53
53
54
54
55
56
XI
3
April 12, 2018
I
Analytics Office
Number of Funds and Advisers3
Table 1: Number of Funds
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Private Equity Fund
Hedge Fund
Other Private Fund
Section 4 Private Equity Fund
Real Estate Fund
Qualifying Hedge Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2015Q4
9,644
8,784
4,132
2,733
2,065
1,640
1,406
636
65
41
26,732
2016Q1
9,706
8,912
4,105
2,739
2,102
1,597
1,421
635
64
36
26,945
2016Q2
9,717
8,920
4,131
2,741
2,100
1,606
1,418
646
66
37
26,998
2016Q3
9,744
8,979
4,123
2,746
2,117
1,617
1,417
651
67
36
27,098
2016Q4
10,341
8,910
4,435
3,001
2,445
1,650
1,451
761
69
44
28,412
2017Q1
10,359
9,064
4,454
3,005
2,442
1,671
1,463
759
70
45
28,611
2017Q2
10,339
9,105
4,477
3,008
2,440
1,717
1,475
769
69
47
28,674
2017Q3
10,249
9,136
4,435
2,988
2,431
1,715
1,477
755
69
46
28,552
Table 2: Number of Advisers Advising Each Fund Type
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Private Equity Fund
Hedge Fund
Other Private Fund
Section 4 Private Equity Fund
Real Estate Fund
Qualifying Hedge Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2015Q4
1,019
1,690
572
241
291
535
155
97
37
21
2,836
2016Q1
1,021
1,693
564
242
293
525
157
97
37
19
2,838
2016Q2
1,021
1,687
567
242
291
525
156
98
37
19
2,833
2016Q3
1,020
1,683
568
242
293
515
154
100
37
19
2,829
2016Q4
1,087
1,684
578
247
311
531
149
109
39
24
2,903
2017Q1
1,090
1,683
574
249
313
527
151
109
39
24
2,904
2017Q2
1,086
1,684
575
249
311
534
153
110
38
24
2,905
2017Q3
1,083
1,684
571
246
310
534
154
109
38
23
2,904
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
April 12, 2018
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
Securitized Asset Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2015Q4
6,078
4,999
2,058
1,471
978
416
398
286
283
55
10,268
2016Q1
6,159
4,991
2,059
1,472
974
420
406
273
247
55
10,345
2016Q2
6,326
5,101
2,061
1,472
979
420
406
287
258
56
10,535
2016Q3
6,461
5,243
2,063
1,472
983
420
407
292
249
55
10,682
2016Q4
6,403
5,217
2,315
1,644
1,066
448
436
293
274
64
11,025
2017Q1
6,699
5,493
2,323
1,648
1,076
449
436
282
267
64
11,329
2017Q2
6,890
5,714
2,320
1,648
1,087
454
433
276
273
64
11,525
2017Q3
7,212
5,888
2,307
1,641
1,060
453
432
282
279
63
11,808
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
Securitized Asset Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2015Q4
3,455
2,736
1,883
1,376
877
135
319
285
282
52
7,006
2016Q1
3,404
2,653
1,882
1,377
874
138
323
272
246
52
6,945
2016Q2
3,434
2,669
1,884
1,377
878
138
323
285
256
53
6,995
5
2016Q3
3,492
2,736
1,885
1,377
884
140
325
290
247
52
7,068
2016Q4
3,489
2,742
2,071
1,492
977
141
341
292
273
61
7,374
2017Q1
3,606
2,827
2,080
1,496
986
141
342
281
265
61
7,498
2017Q2
3,664
2,899
2,079
1,496
993
145
340
275
272
62
7,557
2017Q3
3,785
2,992
2,066
1,488
970
144
339
280
278
60
7,644
April 12, 2018
Analytics Office
Figure 1: GAV and NAV Distributions
See Appendix C for an explanation of boxplots.
20
20
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q3
NAV ($Billions)
Q4
8
7
6
5
4
3
2
1
0
15
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q3
16
20
20
15
Q4
GAV ($Billions)
As reported on Form PF, Questions 8 and 9.
8
7
6
5
4
3
2
1
0
1400
1200
1000
800
600
400
200
0
20
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q3
NAV ($Millions)
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q3
1400
1200
1000
800
600
400
200
0
(b) Qualifying Hedge Fund NAV
20
GAV ($Millions)
(a) Qualifying Hedge Fund GAV
(c) Section 4 Private Equity Fund GAV
(d) Section 4 Private Equity Fund NAV
6
April 12, 2018
Analytics Office
Figure 2: Ratio of GAV to NAV
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
2.0
1.5
1.0
0.5
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q3
0.0
3.0
2.5
2.0
1.5
1.0
0.5
0.0
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q3
Ratio of GAV to NAV
Winsorized (limits=[0%,98%])
2.5
20
20
15
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
April 12, 2018
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
2015Q4
50.7
38.1
35.6
13.3
4.8
3.4
2.3
0.4
0.0
0.0
2016Q1
48.9
39.1
36.8
13.3
4.8
3.4
2.2
0.4
0.0
0.0
2016Q2
48.7
38.2
36.3
13.4
4.9
3.4
2.2
0.4
0.0
0.0
2016Q3
48.4
39.9
38.1
13.3
4.9
3.4
2.1
0.4
0.0
0.0
2016Q4
50.7
39.7
37.3
13.9
5.1
4.0
2.8
0.4
0.0
0.0
2017Q1
49.5
41.0
38.4
12.9
5.0
4.0
2.7
0.4
0.0
0.0
2017Q2
48.8
42.0
39.2
12.7
5.0
4.0
2.7
0.5
0.0
0.0
2017Q3
48.4
41.6
39.5
12.8
5.0
4.1
2.7
0.5
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.
As reported on Form PF, Questions 12 and 43 (Third Month).
Total Borrowings ($Billions)
500
400
300
200
100
0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
20
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q3
Total Borrowings ($Millions)
600
20
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q3
B
Analytics Office
(a) All Private Funds
(b) Qualifying Hedge Funds
8
April 12, 2018
Analytics Office
Figure 4: Ratio of Borrowings to NAV
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q3
Ratio of Borrowings to NAV
Winsorized (limits=[0%,98%])
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q3
20
20
15
Q
Ratio of Borrowings to NAV
Winsorized (limits=[0%,98%])
As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month).
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
(a) All Private Funds
(b) Qualifying Hedge Funds
9
April 12, 2018
C
Analytics Office
Fair Value Hierarchy
Table 6: Assets According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2015Q4
2,746
2,451
2,339
1,749
2016Q1
2,479
2,141
2,267
1,580
2016Q2
2,463
2,071
2,260
1,539
2016Q3
2,483
2,064
2,258
1,537
2016Q4
2,876
2,544
2,592
1,972
2017Q1
2,583
2,202
2,510
1,691
2017Q2
2,576
2,186
2,510
1,722
2017Q3
2,560
2,232
2,504
1,731
Table 7: Liabilities According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2015Q4
628
335
110
492
2016Q1
668
476
111
672
2016Q2
680
424
107
693
2016Q3
677
428
106
695
10
2016Q4
520
417
142
464
2017Q1
665
462
136
659
2017Q2
663
451
140
654
2017Q3
667
455
137
660
April 12, 2018
D
Analytics Office
Parallel Managed Accounts4
Table 8: 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
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2015Q4
698
409
250
246
82
49
***
14
13
***
1,455
2016Q1
692
411
250
233
82
52
***
16
15
***
1,456
2016Q2
695
409
250
236
82
52
***
14
14
***
1,455
2016Q3
690
412
249
232
82
52
***
15
15
***
1,453
2016Q4
658
484
237
232
88
77
***
15
15
***
1,511
2017Q1
646
499
238
223
88
77
***
16
16
***
1,516
2017Q2
654
499
237
220
88
77
***
16
16
***
1,523
2017Q3
659
497
271
224
88
77
***
16
16
***
1,559
Table 9: 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
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2015Q4
654
1,329
96
478
19
10
***
250
245
***
2,495
2016Q1
612
1,325
96
437
19
11
***
321
316
***
2,521
2016Q2
598
1,307
96
417
19
11
***
305
305
***
2,472
2016Q3
598
1,361
96
436
19
11
***
312
312
***
2,533
2016Q4
576
1,491
29
411
22
6
***
309
309
***
2,593
2017Q1
597
1,529
29
425
22
6
***
333
333
***
2,675
2017Q2
603
1,580
28
427
22
6
***
330
330
***
2,728
2017Q3
630
1,600
28
467
22
6
***
345
345
***
2,790
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 12, 2018
Analytics Office
Figure 5: Parallel Managed Account Value Distributions
See Appendix C for an explanation of boxplots.
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q3
Parallel Managed Assets ($Billions)
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
20
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q3
20
15
Parallel Managed Assets ($Billions)
As reported on Form PF, Question 11.
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
(a) All Private Funds
(b) Qualifying Hedge Funds
12
April 12, 2018
III
Analytics Office
Fund Domiciles and Adviser Main Offices
Table 10: Fund Domicile (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
Cayman Islands
Ireland
Virgin Islands, British
Luxembourg
Bermuda
United Kingdom
Other
Country
Cayman Islands
United States
Virgin Islands, British
Ireland
Bermuda
Luxembourg
Other
Country
Ireland
United States
Cayman Islands
Other
Country
United States
Cayman Islands
United Kingdom
Bermuda
Canada
Other
All Private Funds
2015Q4 2016Q1 2016Q2 2016Q3 2016Q4
50.1
50.7
50.7
50.7
51.2
37.8
37.4
37.3
37.2
36.4
3.9
3.8
3.9
3.9
4.3
2.3
2.4
2.3
2.3
2.2
1.3
1.3
1.5
1.5
1.4
1.3
1.3
1.3
1.2
1.3
1.0
1.1
1.1
1.1
1.1
2.2
2.1
2.1
2.1
2.1
Qualifying Hedge Funds
2015Q4 2016Q1 2016Q2 2016Q3 2016Q4
55.7
54.7
54.5
53.8
52.9
32.0
32.7
33.0
33.7
34.2
5.4
5.7
5.7
5.5
5.5
2.5
2.6
2.5
2.6
2.7
1.5
1.4
1.4
1.4
1.8
1.2
1.2
1.2
1.3
1.3
1.9
1.8
1.7
1.7
1.7
Section 3 Liquidity Funds
2015Q4 2016Q1 2016Q2 2016Q3 2016Q4
***
***
***
***
***
35.0
36.5
34.2
34.1
33.1
***
***
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2015Q4 2016Q1 2016Q2 2016Q3 2016Q4
62.0
62.0
62.0
62.0
63.8
30.3
30.3
30.3
30.3
29.5
2.6
2.6
2.6
2.6
1.9
1.3
1.3
1.3
1.3
1.1
1.2
1.2
1.2
1.2
0.9
2.7
2.6
2.6
2.7
2.9
13
2017Q1
51.3
36.5
4.2
2.2
1.5
1.3
1.1
2.0
2017Q2
51.4
36.4
4.2
2.0
1.6
1.3
1.1
2.0
2017Q3
50.9
36.8
4.2
2.0
1.6
1.3
1.1
2.0
2017Q1
52.7
34.6
5.3
2.7
1.7
1.4
1.7
2017Q2
52.5
34.9
5.0
2.7
1.7
1.5
1.6
2017Q3
51.8
35.3
4.8
2.7
1.7
1.7
1.9
2017Q1
***
33.9
***
***
2017Q2
***
36.8
***
***
2017Q3
***
33.9
***
***
2017Q1
63.8
29.4
1.9
1.1
0.9
2.9
2017Q2
63.8
29.4
1.9
1.1
0.9
2.9
2017Q3
63.7
29.5
2.0
1.1
0.9
2.9
April 12, 2018
Analytics Office
Table 11: Adviser Main Office Location (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
United Kingdom
Other
2015Q4
89.8
6.4
3.8
Country
United States
United Kingdom
Australia
Hong Kong
Other
2015Q4
89.2
5.6
***
***
2.6
Country
United States
United Kingdom
France
2015Q4
57.4
***
***
Country
United States
Canada
Other
2015Q4
97.2
***
***
All Private Funds
2016Q1 2016Q2 2016Q3 2016Q4
89.5
89.5
89.7
90.1
6.6
6.6
6.6
6.2
3.9
3.9
3.7
3.7
Qualifying Hedge Funds
2016Q1 2016Q2 2016Q3 2016Q4
89.3
89.5
89.3
89.6
5.7
5.6
5.7
5.7
***
***
***
***
***
***
***
***
2.5
2.4
2.4
2.3
Section 3 Liquidity Funds
2016Q1 2016Q2 2016Q3 2016Q4
58.4
59.4
64.1
62.5
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2016Q1 2016Q2 2016Q3 2016Q4
97.2
97.2
97.2
95.1
***
***
***
***
***
***
***
***
14
2017Q1
89.3
6.5
4.1
2017Q2
89.0
6.8
4.2
2017Q3
89.1
6.8
4.1
2017Q1
89.4
5.9
***
***
2.3
2017Q2
89.3
6.3
***
***
2.3
2017Q3
89.0
6.4
***
***
2.2
2017Q1
64.2
***
***
2017Q2
64.1
***
***
2017Q3
62.5
***
***
2017Q1
95.1
***
***
2017Q2
95.1
***
***
2017Q3
95.1
***
***
April 12, 2018
IV
Analytics Office
Beneficial Ownership
Table 12: Beneficial Ownership for All Private Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
State/Muni. Govt. Pension Plans
Other
Pension Plans
U.S. Individuals
Non-Profits
Sov. Wealth Funds and For. Official Inst.
Insurance Companies
Unknown Non-U.S. Investors
Non-U.S. Individuals
Banking/Thrift Inst.
SEC-Registered Investment Companies
Broker-Dealers
State/Muni. Govt. Entities
2015Q4
1,360
896
897
891
759
710
383
278
169
201
147
106
112
99
2016Q1
1,328
909
882
881
767
705
382
274
163
196
144
123
107
87
2016Q2
1,324
918
895
893
770
704
386
276
171
199
149
120
104
89
2016Q3
1,323
933
920
908
777
724
386
275
170
200
145
119
97
90
2016Q4
1,340
1,008
976
947
771
748
429
305
186
197
137
125
102
99
2017Q1
1,356
1,028
995
956
783
768
438
310
186
198
141
127
104
104
2017Q2
1,372
1,032
1,010
966
787
777
443
312
185
185
143
129
107
107
2017Q3
1,371
1,046
1,037
972
796
788
444
314
189
182
147
137
111
108
2017Q2
18.2
13.7
13.4
12.8
10.4
10.3
5.9
4.1
2.5
2.5
1.9
1.7
1.4
1.4
2017Q3
17.9
13.7
13.6
12.7
10.4
10.3
5.8
4.1
2.5
2.4
1.9
1.8
1.5
1.4
Table 13: Beneficial Ownership for All Private Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
State/Muni. Govt. Pension Plans
Other
Pension Plans
U.S. Individuals
Non-Profits
Sov. Wealth Funds and For. Official Inst.
Insurance Companies
Unknown Non-U.S. Investors
Non-U.S. Individuals
Banking/Thrift Inst.
SEC-Registered Investment Companies
Broker-Dealers
State/Muni. Govt. Entities
2015Q4
19.4
12.8
12.8
12.7
10.8
10.1
5.5
4.0
2.4
2.9
2.1
1.5
1.6
1.4
2016Q1
19.1
13.1
12.7
12.7
11.0
10.2
5.5
3.9
2.3
2.8
2.1
1.8
1.5
1.2
15
2016Q2
18.9
13.1
12.8
12.8
11.0
10.1
5.5
4.0
2.4
2.8
2.1
1.7
1.5
1.3
2016Q3
18.7
13.2
13.0
12.9
11.0
10.2
5.5
3.9
2.4
2.8
2.1
1.7
1.4
1.3
2016Q4
18.2
13.7
13.2
12.8
10.5
10.1
5.8
4.1
2.5
2.7
1.9
1.7
1.4
1.3
2017Q1
18.1
13.7
13.3
12.8
10.4
10.2
5.8
4.1
2.5
2.6
1.9
1.7
1.4
1.4
April 12, 2018
Analytics Office
Table 14: Beneficial Ownership for Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Non-Profits
Other
Pension Plans
U.S. Individuals
State/Muni. Govt. Pension Plans
Sov. Wealth Funds and For. Official Inst.
Broker-Dealers
SEC-Registered Investment Companies
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
2015Q4
550
370
334
358
316
265
136
83
63
68
66
50
42
31
2016Q1
513
363
323
347
305
272
137
77
77
64
64
48
31
30
2016Q2
509
359
333
352
308
278
136
76
76
65
65
46
32
32
2016Q3
504
378
356
364
319
291
140
69
75
65
66
46
33
30
2016Q4
490
383
356
369
318
304
143
68
71
67
65
41
35
28
2017Q1
495
395
375
379
324
310
152
72
70
69
68
45
41
30
2017Q2
505
405
385
387
331
314
158
75
70
72
68
52
42
32
2017Q3
510
418
408
399
340
330
160
79
74
73
70
56
42
33
2017Q2
17.4
14.0
13.3
13.3
11.4
10.8
5.4
2.6
2.4
2.5
2.4
1.8
1.4
1.1
2017Q3
17.0
14.0
13.7
13.3
11.4
11.0
5.4
2.6
2.5
2.5
2.3
1.9
1.4
1.1
Table 15: Beneficial Ownership for Qualifying Hedge Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Non-Profits
Other
Pension Plans
U.S. Individuals
State/Muni. Govt. Pension Plans
Sov. Wealth Funds and For. Official Inst.
Broker-Dealers
SEC-Registered Investment Companies
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
2015Q4
20.1
13.5
12.2
13.1
11.6
9.7
5.0
3.0
2.3
2.5
2.4
1.8
1.5
1.1
2016Q1
19.3
13.7
12.2
13.1
11.5
10.2
5.1
2.9
2.9
2.4
2.4
1.8
1.2
1.1
16
2016Q2
19.1
13.4
12.5
13.2
11.5
10.4
5.1
2.8
2.9
2.4
2.4
1.7
1.2
1.2
2016Q3
18.4
13.8
13.0
13.3
11.7
10.6
5.1
2.5
2.7
2.4
2.4
1.7
1.2
1.1
2016Q4
17.9
13.9
13.0
13.5
11.6
11.1
5.2
2.5
2.6
2.4
2.4
1.5
1.3
1.0
2017Q1
17.5
14.0
13.3
13.4
11.5
11.0
5.4
2.5
2.5
2.4
2.4
1.6
1.4
1.1
April 12, 2018
Analytics Office
Table 16: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Unknown Non-U.S. Investors
Other
SEC-Registered Investment Companies
Broker-Dealers
Banking/Thrift Inst.
Insurance Companies
Pension Plans
Sov. Wealth Funds and For. Official Inst.
Non-U.S. Individuals
Non-Profits
State/Muni. Govt. Entities
State/Muni. Govt. Pension Plans
U.S. Individuals
2015Q4
82
45
51
16
***
***
8
5
***
28
***
***
***
***
2016Q1
79
***
38
17
***
***
7
5
***
17
***
***
***
***
2016Q2
79
***
38
17
***
***
8
5
***
17
***
***
***
***
2016Q3
80
60
40
18
***
***
8
***
***
4
***
***
***
***
2016Q4
81
65
52
16
***
10
9
5
***
4
1
***
1
***
2017Q1
75
60
51
18
***
***
9
5
***
4
2
***
1
***
2017Q2
89
52
51
21
***
12
9
5
***
4
2
***
1
***
2017Q3
83
55
51
24
***
***
10
5
***
4
2
***
1
***
2017Q2
32.6
19.2
18.7
7.6
***
4.3
3.3
1.8
***
1.5
0.6
***
0.4
***
2017Q3
30.0
19.9
18.5
8.6
***
***
3.7
1.9
***
1.4
0.6
***
0.4
***
Table 17: Beneficial Ownership for Section 3 Liquidity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Unknown Non-U.S. Investors
Other
SEC-Registered Investment Companies
Broker-Dealers
Banking/Thrift Inst.
Insurance Companies
Pension Plans
Sov. Wealth Funds and For. Official Inst.
Non-U.S. Individuals
Non-Profits
State/Muni. Govt. Entities
State/Muni. Govt. Pension Plans
U.S. Individuals
2015Q4
29.0
15.8
17.9
5.8
***
***
2.9
1.9
***
10.0
***
***
***
***
2016Q1
32.2
***
15.5
7.1
***
***
2.9
1.9
***
6.9
***
***
***
***
17
2016Q2
30.9
***
14.7
6.5
***
***
3.3
1.8
***
6.8
***
***
***
***
2016Q3
32.3
24.2
16.2
7.1
***
***
3.2
***
***
1.6
***
***
***
***
2016Q4
29.6
23.7
19.2
5.9
***
3.6
3.3
1.7
***
1.4
0.5
***
0.4
***
2017Q1
28.3
22.7
19.3
6.9
***
***
3.4
1.8
***
1.5
0.6
***
0.6
***
April 12, 2018
Analytics Office
Table 18: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
State/Muni. Govt. Pension Plans
Private Funds
Other
Sov. Wealth Funds and For. Official Inst.
Pension Plans
Insurance Companies
Non-Profits
U.S. Individuals
Non-U.S. Individuals
Banking/Thrift Inst.
State/Muni. Govt. Entities
Unknown Non-U.S. Investors
SEC-Registered Investment Companies
Broker-Dealers
2015Q4
325
270
140
132
137
84
87
95
35
32
19
15
5
1
2016Q1
326
270
140
132
138
84
87
95
35
32
19
15
5
1
2016Q2
326
270
140
132
137
84
87
95
35
32
19
15
5
1
2016Q3
326
270
140
131
138
84
86
95
35
32
19
15
5
1
2016Q4
366
283
162
153
141
94
92
88
34
31
22
14
12
1
2017Q1
366
285
162
154
142
94
92
88
34
31
22
14
12
1
2017Q2
366
284
161
154
142
94
92
88
34
31
22
14
12
1
2017Q3
366
284
161
153
139
94
90
88
34
31
22
13
12
1
Table 19: Beneficial Ownership for Section 4 Private Equity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
State/Muni. Govt. Pension Plans
Private Funds
Other
Sov. Wealth Funds and For. Official Inst.
Pension Plans
Insurance Companies
Non-Profits
U.S. Individuals
Non-U.S. Individuals
Banking/Thrift Inst.
State/Muni. Govt. Entities
Unknown Non-U.S. Investors
SEC-Registered Investment Companies
Broker-Dealers
2015Q4
23.7
19.6
10.2
9.6
10.0
6.1
6.3
6.9
2.6
2.3
1.4
1.1
0.4
0.0
2016Q1
23.7
19.6
10.2
9.6
10.0
6.1
6.3
6.9
2.6
2.3
1.4
1.1
0.4
0.0
18
2016Q2
23.7
19.6
10.2
9.6
10.0
6.1
6.3
6.9
2.6
2.3
1.4
1.1
0.4
0.0
2016Q3
23.6
19.6
10.2
9.6
10.0
6.1
6.3
6.9
2.6
2.3
1.4
1.1
0.4
0.0
2016Q4
24.5
19.0
10.8
10.3
9.5
6.3
6.1
5.9
2.3
2.0
1.5
0.9
0.8
0.1
2017Q1
24.5
19.0
10.8
10.3
9.5
6.3
6.1
5.9
2.3
2.0
1.5
0.9
0.8
0.1
2017Q2
24.5
19.0
10.8
10.3
9.5
6.3
6.2
5.9
2.3
2.0
1.5
0.9
0.8
0.1
2017Q3
24.6
19.1
10.8
10.3
9.4
6.3
6.1
5.9
2.3
2.1
1.5
0.9
0.8
0.1
April 12, 2018
V
Analytics Office
Derivatives
Table 20: 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
Liquidity Fund
Section 3 Liquidity Fund
Real Estate Fund
Securitized Asset Fund
Venture Capital Fund
Total
2015Q4
8,455
7,368
100
54
42
***
***
21
11
***
8,634
2016Q1
9,181
8,027
99
54
42
***
***
21
11
***
9,368
2016Q2
9,363
8,073
97
54
42
***
***
21
11
***
9,500
2016Q3
9,397
8,207
98
53
42
***
***
21
10
***
9,544
2016Q4
9,189
7,919
113
38
35
***
***
16
14
***
9,391
2017Q1
10,245
8,833
109
38
35
***
***
16
14
***
10,395
2017Q2
10,260
8,929
109
38
34
***
***
16
14
***
10,491
2017Q3
11,443
9,659
110
38
34
***
***
16
13
***
11,647
Table 21: 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
Liquidity Fund
Section 3 Liquidity Fund
Real Estate Fund
Securitized Asset Fund
Venture Capital Fund
Total
2015Q4
244.7
269.3
11.4
2.9
3.1
***
***
6.7
8.3
***
123.2
2016Q1
269.7
302.5
11.3
2.8
3.1
***
***
6.6
7.9
***
134.9
2016Q2
272.7
302.5
11.0
2.8
3.1
***
***
6.6
7.7
***
135.8
19
2016Q3
269.1
299.9
11.1
2.8
3.1
***
***
6.6
7.4
***
135.0
2016Q4
263.3
288.8
11.5
1.8
2.3
***
***
4.8
9.8
***
127.4
2017Q1
284.1
312.4
11.0
1.8
2.3
***
***
4.8
9.8
***
138.6
2017Q2
280.0
308.0
11.0
1.8
2.3
***
***
4.7
9.4
***
138.8
2017Q3
302.3
322.9
11.3
1.8
2.3
***
***
4.8
9.2
***
152.4
April 12, 2018
Analytics Office
Figure 6: Distribution of Derivative Values
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
12
10
8
6
4
2
0
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q3
Total Derivative Value ($Billions)
Winsorized (limits=[1%,99%])
1600
1400
1200
1000
800
600
400
200
0
20
20
15
Q
20 4
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q3
Total Derivative Value ($Millions)
Winsorized (limits=[1%,99%])
As reported on Form PF, Questions 13 and 44 (Third Month).
(a) All Private Funds
VI
(b) Qualifying Hedge Funds
High Frequency Trading
Table 22: 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
2015Q4
7,382
40
11
2016Q1
7,459
63
9
2016Q2
7,482
64
10
2016Q3
7,521
70
9
2016Q4
7,483
62
11
2017Q1
7,610
62
12
2017Q2
7,655
66
11
2017Q3
7,678
63
12
Table 23: 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
2015Q4
3,338
77
2
2016Q1
3,285
84
2
2016Q2
3,321
83
2
2016Q3
3,377
84
2
20
2016Q4
3,377
78
2
2017Q1
3,494
79
3
2017Q2
3,558
78
3
2017Q3
3,658
43
37
April 12, 2018
VII
Analytics Office
Hedge Fund Industry Concentration
Table 24: 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
2015Q4
7.9
14.1
20.8
29.5
44.8
58.5
2016Q1
7.9
13.7
20.5
29.2
44.4
57.9
2016Q2
7.8
13.6
20.4
29.1
44.1
57.6
2016Q3
7.9
13.8
20.6
29.2
44.3
57.7
2016Q4
7.9
13.8
20.5
29.0
44.2
57.6
2017Q1
7.7
13.3
20.2
28.7
43.7
57.0
2017Q2
7.7
13.5
20.2
28.6
43.5
57.0
2017Q3
7.5
13.2
20.0
28.5
43.5
56.9
Table 25: 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
2015Q4
13.4
21.3
28.7
38.8
53.8
66.1
2016Q1
15.1
23.3
30.5
40.1
54.4
66.5
2016Q2
15.0
23.6
31.2
40.8
54.9
66.8
2016Q3
14.4
22.9
31.2
41.0
55.2
67.0
2016Q4
14.7
23.2
31.4
41.0
55.0
66.8
2017Q1
14.7
23.5
32.0
41.6
55.2
66.8
2017Q2
14.9
23.2
31.5
41.4
55.2
66.9
2017Q3
15.4
24.1
32.6
42.2
56.1
67.6
Table 26: 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
2015Q4
30.6
41.1
52.4
65.0
79.8
89.2
2016Q1
32.7
43.9
54.5
66.3
80.6
89.5
2016Q2
32.7
45.3
56.0
67.5
80.6
89.5
2016Q3
32.8
45.5
56.5
68.6
81.8
90.2
21
2016Q4
31.5
44.5
56.1
68.5
81.6
90.0
2017Q1
31.9
45.1
56.7
68.8
81.5
89.9
2017Q2
33.3
46.2
57.4
69.2
81.8
90.1
2017Q3
35.0
47.6
58.7
70.2
82.7
90.5
April 12, 2018
Analytics Office
Table 27: 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
2015Q4
30.0
45.8
58.8
71.0
84.9
92.5
2016Q1
31.5
47.2
60.0
71.8
85.5
92.8
2016Q2
34.5
48.7
60.7
72.2
85.7
92.9
2016Q3
36.9
50.5
61.4
73.2
86.2
93.2
2016Q4
34.7
48.5
60.1
73.0
86.1
93.3
2017Q1
34.1
48.1
60.5
73.2
86.3
93.3
2017Q2
31.9
46.5
59.4
72.1
85.9
92.8
2017Q3
32.4
49.1
61.3
73.4
86.5
93.3
Table 28: 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
2015Q4
27.0
40.4
52.5
64.8
80.4
90.6
2016Q1
28.6
42.6
54.7
66.5
81.2
91.1
2016Q2
31.5
44.0
55.1
66.9
81.3
90.9
2016Q3
32.6
45.3
56.3
67.5
81.6
90.8
22
2016Q4
31.6
45.4
56.8
68.6
82.2
91.2
2017Q1
30.9
44.5
56.6
68.8
82.5
91.4
2017Q2
30.1
43.5
55.6
67.7
82.0
90.8
2017Q3
30.2
44.9
56.9
68.6
82.6
91.2
April 12, 2018
VIII
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.
14
12
10
8
6
4
2
0
20
20
1
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-09
Ratio of GNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
14
12
10
8
6
4
2
0
5-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-09
Ratio of GNE to NAV
Winsorized (limits=[0%,98%])
As reported on Form PF, Questions 3(a) and 26.
(a) Gross Exposure with Interest Rate Derivatives (IRDs)
23
(b) Gross Exposure without IRDs
(a) Long Exposure with IRDs
8
6
4
2
0
(c) Short Exposure with IRDs
24
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-09
0
15
-1
2
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-09
4
20
6
Ratio of LNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
8
15
-1
10
Ratio of SNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
5-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-09
20
1
Ratio of LNE to NAV
Winsorized (limits=[0%,98%])
10
20
-0
20 3
16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-09
16
20
-12
15
20
Ratio of SNE to NAV
Winsorized (limits=[0%,98%])
April 12, 2018
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
April 12, 2018
B
Analytics Office
Industry Concentration
Table 29: Large Hedge Fund Adviser Asset and Exposure Concentration
(Percent of Total Reported)
As reported on Form PF, Questions 3(a) and 26.
Month
2015-10
2015-11
2015-12
2016-01
2016-02
2016-03
2016-04
2016-05
2016-06
2016-07
2016-08
2016-09
2016-10
2016-11
2016-12
2017-01
2017-02
2017-03
2017-04
2017-05
2017-06
2017-07
2017-08
2017-09
Top 10 Advisers (NAV)
17.1
17.1
17.2
17.6
17.4
17.4
17.9
18.1
18.0
18.0
18.0
18.0
18.1
18.1
18.1
18.6
18.6
18.6
18.5
18.5
18.5
18.6
18.6
18.7
Top 20 Advisers (NAV)
26.8
26.9
26.9
27.5
27.3
27.3
27.8
28.0
28.0
27.9
27.9
27.9
27.9
27.9
27.9
28.2
28.2
28.2
28.2
28.2
28.2
28.2
28.1
28.2
25
Top 10 Advisers (GNE)
39.5
40.1
35.7
35.8
38.2
35.9
37.4
38.2
37.1
38.1
38.9
38.7
39.6
40.0
36.8
38.4
39.0
37.3
36.1
36.5
36.3
36.6
37.4
36.3
Top 20 Advisers (GNE)
53.4
54.1
49.8
50.0
51.4
49.1
51.2
51.7
51.0
52.4
52.8
52.8
53.2
53.4
50.8
52.2
52.8
51.1
50.1
50.5
50.5
51.1
52.5
50.9
April 12, 2018
Portfolio Turnover
Table 30: Aggregate Portfolio Turnover ($ Billions)
As reported on Form PF, Question 27.
Month
2015-10
2015-11
2015-12
2016-01
2016-02
2016-03
2016-04
2016-05
2016-06
2016-07
2016-08
2016-09
2016-10
2016-11
2016-12
2017-01
2017-02
2017-03
2017-04
2017-05
2017-06
2017-07
2017-08
2017-09
Futures
7,499
8,896
9,844
8,762
10,272
11,639
8,476
9,577
12,915
7,647
9,563
11,717
8,569
13,406
11,117
11,430
12,332
14,741
11,035
12,042
17,107
11,208
10,895
13,555
Sov. and muni. bonds
2,200
2,136
2,046
2,266
2,441
2,105
2,074
2,590
2,795
2,346
2,514
3,111
2,433
3,481
2,265
2,595
2,749
2,733
1,993
3,002
2,965
2,673
2,932
2,996
Listed equities
7,583
6,658
7,098
2,190
2,239
2,036
1,972
1,969
2,108
1,823
1,874
1,937
1,880
2,230
1,785
1,855
1,870
2,043
1,846
2,189
2,187
2,099
2,385
2,260
Corporate bonds
100
85
70
110
101
119
111
110
99
89
90
104
97
95
70
123
105
125
85
131
115
101
92
108
Convertible bonds
20
16
19
15
15
18
22
17
21
14
19
20
24
19
17
20
21
25
16
25
23
17
21
24
Total
17,403
17,792
19,077
13,343
15,066
15,917
12,655
14,263
17,938
11,919
14,060
16,889
13,003
19,230
15,254
16,023
17,077
19,667
14,976
17,388
22,396
16,098
16,325
18,942
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.
Ratio of Turnover to NAV
Winsorized (limits=[1%,99%])
60
50
40
30
20
10
20
15
10
5
0
20
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-09
0
25
20
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-09
Total Turnover ($Billions)
Winsorized (limits=[1%,99%])
C
Analytics Office
(a) Total Turnover
(b) Total Turnover to NAV Ratio
26
April 12, 2018
D
Analytics Office
Region and Country Exposure
Table 31: Large Hedge Fund Adviser Hedge Fund
Region Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.
Region
North America
Europe EEA
Asia
South America
Europe Other
Supranational
Africa
Middle East
2015Q4
3,767
1,094
578
90
66
33
21
23
2016Q1
3,878
1,216
619
101
61
30
21
22
2016Q2
3,942
1,198
601
91
62
30
21
22
2016Q3
4,101
1,219
611
91
67
33
19
20
2016Q4
4,074
1,221
530
87
64
46
18
18
2017Q1
4,402
1,707
595
95
80
60
19
20
2017Q2
4,498
1,669
599
102
78
68
22
23
2017Q3
5,088
1,710
713
108
77
67
24
23
Table 32: 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
South America
Europe Other
Supranational
Africa
Middle East
2015Q4
129.0
37.5
19.8
3.1
2.3
1.1
0.7
0.8
2016Q1
134.2
42.1
21.4
3.5
2.1
1.0
0.7
0.8
2016Q2
136.4
41.5
20.8
3.2
2.1
1.0
0.7
0.8
2016Q3
138.4
41.1
20.6
3.1
2.3
1.1
0.6
0.7
27
2016Q4
136.4
40.9
17.8
2.9
2.1
1.5
0.6
0.6
2017Q1
141.8
55.0
19.2
3.1
2.6
1.9
0.6
0.6
2017Q2
143.0
53.1
19.1
3.2
2.5
2.2
0.7
0.7
2017Q3
156.1
52.5
21.9
3.3
2.4
2.1
0.7
0.7
April 12, 2018
Analytics Office
Table 33: 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)
Brazil
India
Russia
2015Q4
3,597
259
145
41
30
8
2016Q1
3,637
290
139
42
28
11
2016Q2
3,658
264
129
35
30
13
2016Q3
3,915
263
136
36
35
15
2016Q4
3,863
218
129
37
30
14
2017Q1
4,179
230
130
40
32
17
2017Q2
4,244
229
144
42
35
13
2017Q3
4,823
232
152
45
37
16
2017Q2
135.0
7.3
4.6
1.3
1.1
0.4
2017Q3
148.0
7.1
4.7
1.4
1.1
0.5
Table 34: 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)
Brazil
India
Russia
2015Q4
123.2
8.9
5.0
1.4
1.0
0.3
2016Q1
125.8
10.0
4.8
1.4
1.0
0.4
2016Q2
126.6
9.1
4.4
1.2
1.0
0.4
28
2016Q3
132.1
8.9
4.6
1.2
1.2
0.5
2016Q4
129.3
7.3
4.3
1.2
1.0
0.5
2017Q1
134.6
7.4
4.2
1.3
1.0
0.5
April 12, 2018
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.
14
12
10
8
6
4
2
0
20
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-09
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-09
14
12
10
8
6
4
2
0
Ratio of GNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
As reported on Form PF, Questions 9, 10, 26, and 30.
20
A
Qualifying Hedge Fund Specific Information
Ratio of GNE to NAV
Winsorized (limits=[0%,98%])
IX
Analytics Office
(a) Including IRDs
(b) Excluding IRDs
29
-12
15
(c) SNE Including IRDs
30
(a) LNE Including IRDs
-0
20 3
16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-09
16
20
-12
15
7
6
5
4
3
2
1
0
Ratio of SNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-09
15
20
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-09
20
Ratio of LNE to NAV
Winsorized (limits=[0%,98%])
Ratio of LNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
7
6
5
4
3
2
1
0
20
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-09
20
20
Ratio of SNE to NAV
Winsorized (limits=[0%,98%])
April 12, 2018
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.
7
6
5
4
3
2
1
0
(b) LNE Excluding IRDs
7
6
5
4
3
2
1
0
(d) SNE Excluding IRDs
April 12, 2018
B
Analytics Office
Gross Exposure by Strategy5
Table 35: Exposures of Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Other
Relative Value
Macro
Event Driven
Credit
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. Corp.
F.I. Conv. Arb.
Volatility Arb.
Subtotal
Global Macro
Currency
Commodity
Active Trading
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Total
2015Q4
1,459
925
278
250
6
736
721
490
129
41
38
23
541
474
31
33
2
373
172
111
90
277
249
29
90
***
***
45
4,242
2016Q1
1,360
865
268
221
5
811
784
547
127
45
38
28
555
486
***
33
***
358
170
97
92
356
316
40
98
***
***
40
4,362
2016Q2
1,367
850
274
237
6
826
781
541
128
42
35
34
595
523
***
35
***
325
166
85
75
363
328
35
115
109
6
42
4,415
2016Q3
1,431
878
284
265
5
835
763
517
129
43
38
36
668
599
***
34
***
335
172
91
72
267
227
40
123
***
***
41
4,464
2016Q4
1,408
841
288
273
6
850
701
469
123
41
39
28
697
614
***
38
***
324
173
80
71
274
231
43
124
***
***
43
4,419
2017Q1
1,495
880
310
***
***
883
717
488
115
41
44
30
702
621
44
35
3
342
172
94
77
283
240
43
140
131
9
42
4,604
2017Q2
1,560
906
330
***
***
938
784
541
120
48
47
29
661
579
***
35
***
353
167
100
86
285
240
45
147
144
3
48
4,775
2017Q3
1,646
926
368
***
***
971
851
601
119
50
49
31
709
626
***
38
***
359
170
100
89
289
240
49
145
143
2
49
5,019
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.
31
April 12, 2018
Analytics Office
Table 36: Exposures of Hedge Funds (Percent of NAV)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Other
Relative Value
Macro
Event Driven
Credit
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. Corp.
F.I. Conv. Arb.
Volatility Arb.
Subtotal
Global Macro
Currency
Commodity
Active Trading
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Total
2015Q4
53.3
33.8
10.2
9.1
0.2
26.9
26.4
17.9
4.7
1.5
1.4
0.8
19.8
17.3
1.1
1.2
0.1
13.6
6.3
4.0
3.3
10.1
9.1
1.0
3.3
***
***
1.6
155.0
2016Q1
51.2
32.6
10.1
8.3
0.2
30.6
29.6
20.6
4.8
1.7
1.4
1.1
20.9
18.3
***
1.2
***
13.5
6.4
3.6
3.4
13.4
11.9
1.5
3.7
***
***
1.5
164.4
32
2016Q2
51.2
31.9
10.3
8.9
0.2
31.0
29.3
20.3
4.8
1.6
1.3
1.3
22.3
19.6
***
1.3
***
12.2
6.2
3.2
2.8
13.6
12.3
1.3
4.3
4.1
0.2
1.6
165.4
2016Q3
52.3
32.1
10.4
9.7
0.2
30.5
27.9
18.9
4.7
1.6
1.4
1.3
24.4
21.9
***
1.3
***
12.2
6.3
3.3
2.6
9.7
8.3
1.5
4.5
***
***
1.5
163.1
2016Q4
51.3
30.7
10.5
10.0
0.2
31.0
25.6
17.1
4.5
1.5
1.4
1.0
25.4
22.4
***
1.4
***
11.8
6.3
2.9
2.6
10.0
8.4
1.6
4.5
***
***
1.6
161.2
2017Q1
52.9
31.1
11.0
***
***
31.2
25.4
17.2
4.1
1.4
1.6
1.1
24.8
22.0
1.6
1.2
0.1
12.1
6.1
3.3
2.7
10.0
8.5
1.5
4.9
4.6
0.3
1.5
162.8
2017Q2
53.8
31.3
11.4
***
***
32.4
27.1
18.6
4.1
1.6
1.6
1.0
22.8
20.0
***
1.2
***
12.2
5.8
3.4
3.0
9.8
8.3
1.6
5.1
5.0
0.1
1.6
164.7
2017Q3
55.0
31.0
12.3
***
***
32.5
28.4
20.1
4.0
1.7
1.7
1.1
23.7
20.9
***
1.3
***
12.0
5.7
3.3
3.0
9.7
8.0
1.6
4.9
4.8
0.1
1.6
167.8
April 12, 2018
C
Analytics Office
Leverage by Strategy
Table 37: 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
Other
Equity
Credit
Event Driven
Managed Futures/CTA
Investment in other funds
2015Q4
4.3
2.5
1.7
1.5
1.6
1.6
1.4
1.2
1.1
2016Q1
4.5
2.8
1.9
1.6
1.6
1.5
1.4
1.2
1.1
2016Q2
4.7
3.1
1.8
1.6
1.6
1.5
1.4
1.2
1.1
2016Q3
4.2
3.1
2.4
1.6
1.6
1.6
1.3
1.2
1.1
2016Q4
4.1
3.2
2.4
1.6
1.6
1.5
1.3
1.2
1.1
2017Q1
4.6
3.6
2.3
1.6
1.6
1.6
1.3
1.2
1.1
2017Q2
5.1
3.5
2.2
1.6
1.6
1.6
1.3
1.9
1.0
2017Q3
5.3
3.8
2.1
1.6
1.6
1.5
1.3
1.2
***
Table 38: 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
Relative Value
Macro
Managed Futures/CTA
Multi-Strategy
Other
Equity
Credit
Event Driven
Investment in other funds
2015Q4
15.0
13.5
10.9
6.1
3.8
3.2
4.1
2.1
1.5
2016Q1
16.1
14.7
9.8
7.0
4.1
3.4
4.1
2.1
1.9
2016Q2
16.9
14.6
7.3
7.1
4.5
3.2
4.0
2.1
1.4
2016Q3
16.9
11.2
8.2
11.0
4.6
3.1
2.9
2.0
1.5
2016Q4
16.4
13.3
7.3
10.1
4.7
3.1
2.7
2.0
1.4
2017Q1
19.1
16.4
8.0
8.0
5.0
3.2
3.3
2.2
1.7
2017Q2
18.3
17.5
9.5
7.9
5.3
3.2
3.0
2.0
1.6
2017Q3
20.9
19.9
8.4
7.7
5.4
3.2
3.1
2.0
***
Table 39: 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
Other
Relative Value
Event Driven
Credit
Equity
Investment in other funds
2015Q4
68.8
44.7
26.3
24.9
27.2
10.9
14.0
13.0
12.1
2016Q1
57.7
44.0
25.5
24.6
27.8
10.0
12.0
13.0
10.3
2016Q2
68.3
42.8
26.4
26.6
27.2
12.0
14.1
13.9
8.4
33
2016Q3
68.8
40.9
26.9
26.8
21.6
11.6
10.9
11.2
6.2
2016Q4
67.7
40.0
28.1
25.7
22.5
11.5
11.7
12.3
5.5
2017Q1
65.5
36.6
25.5
21.6
22.7
8.0
9.8
10.6
3.4
2017Q2
61.2
39.0
22.4
20.6
20.4
11.1
10.9
11.5
6.2
2017Q3
59.0
38.6
25.1
21.5
21.2
10.0
9.9
9.7
***
April 12, 2018
D
Analytics Office
Investment Exposures
Table 40: Aggregate Qualifying Hedge Fund Gross Notional Exposure
by Asset Type ($ Billions)
As reported on Form PF, Questions 26 and 30.
Cash/Cash Equivalents
Securities - Equities
Securities - G10 (non-US)
Securities - Treasuries
Securities - Other Bonds
Securities - Corp. Bonds
Securities - MBS
Securities - Conv. Bonds
Securities - ABS (non-MBS)
Derivatives - IR
Derivatives - FX
Derivatives - Equity
Derivatives - Credit
Derivatives - Commodity
Derivatives - Other
Repurchase Agreements
Other
2015Q4
705
2,168
699
944
207
239
250
65
82
3,292
2,372
891
705
220
124
970
611
2016Q1
723
2,049
744
1,002
209
250
237
67
79
3,566
2,640
953
732
246
133
1,045
642
2016Q2
734
2,000
723
1,058
233
245
250
63
73
3,645
2,581
1,005
608
290
120
1,060
648
2016Q3
694
2,138
797
1,116
213
251
258
71
76
3,759
2,478
1,081
630
307
138
1,113
668
2016Q4
675
2,116
972
1,139
196
251
227
69
76
3,546
2,442
1,115
598
325
137
1,156
679
2017Q1
681
2,302
1,033
1,144
209
267
245
82
75
4,170
2,649
1,195
640
330
144
1,314
701
2017Q2
684
2,396
1,056
1,108
240
268
240
89
77
3,943
2,724
1,228
687
332
287
1,398
731
2017Q3
690
2,522
1,159
1,156
270
258
253
82
75
4,147
3,069
1,297
805
369
280
1,373
780
Table 41: Percent of Qualifying Hedge Fund Gross Notional Exposure
Representing Long Notional Exposure
As reported on Form PF, Questions 26 and 30.
Cash/Cash Equivalents
Securities - Equities
Securities - G10 (non-US)
Securities - Treasuries
Securities - Other Bonds
Securities - Corp. Bonds
Securities - MBS
Securities - Conv. Bonds
Securities - ABS (non-MBS)
Derivatives - IR
Derivatives - FX
Derivatives - Equity
Derivatives - Credit
Derivatives - Commodity
Derivatives - Other
Repurchase Agreements
Other
2015Q4
88.7
69.9
55.8
71.4
70.7
81.0
79.3
94.6
99.1
51.7
48.5
53.1
44.2
51.2
53.3
44.3
90.0
2016Q1
87.0
69.3
56.6
69.6
74.8
80.2
78.7
93.3
99.1
49.6
50.4
53.4
46.0
59.3
57.0
43.3
90.5
2016Q2
88.1
69.2
55.5
66.8
71.6
80.8
76.5
95.2
99.4
50.8
52.5
55.0
44.4
62.2
58.2
43.4
90.5
34
2016Q3
87.2
69.7
53.4
66.6
78.0
82.8
74.7
95.5
99.0
52.8
51.7
55.3
47.3
63.4
60.2
45.3
89.6
2016Q4
86.9
70.1
49.6
68.1
75.4
81.7
76.0
95.2
98.7
51.0
48.5
55.1
48.2
63.4
58.6
48.7
89.0
2017Q1
85.0
70.2
49.2
65.2
78.1
80.9
74.1
95.2
98.0
48.3
50.8
56.2
47.1
64.2
62.6
50.0
87.8
2017Q2
86.9
70.0
50.0
63.2
78.3
79.8
73.5
95.6
98.0
46.8
50.1
55.5
47.6
58.8
55.2
49.4
90.4
2017Q3
88.1
70.3
50.0
62.3
71.4
81.1
71.8
94.1
96.7
47.7
49.7
56.8
47.2
64.0
53.2
51.6
86.7
April 12, 2018
Liquidity
Table 42: 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
2015Q4
7.1
13.3
25.4
45.4
58.4
72.9
2016Q1
7.7
14.0
27.4
47.0
60.4
75.3
2016Q2
7.9
14.0
27.3
46.7
60.1
75.5
2016Q3
8.3
14.3
26.4
47.3
61.8
74.6
2016Q4
8.1
14.1
26.5
49.7
58.9
74.2
2017Q1
8.4
14.4
28.6
47.6
59.8
74.2
2017Q2
8.3
14.6
27.2
46.8
59.5
74.0
2017Q3
8.4
14.8
27.6
48.3
61.7
73.6
Table 43: 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
2015Q4
41.0
64.7
78.3
85.1
89.0
92.0
2016Q1
41.6
65.7
78.5
84.6
88.0
91.4
2016Q2
41.6
65.1
78.0
84.1
87.8
91.2
2016Q3
40.1
63.9
77.3
83.8
87.3
90.7
2016Q4
40.1
63.4
76.7
83.1
86.4
89.8
2017Q1
38.3
61.6
76.1
82.2
85.8
89.6
2017Q2
38.6
62.4
76.5
82.6
86.2
89.8
Figure 12: Asset Weighted-Average Qualifying Hedge Fund
Investor and Portfolio Liquidity
s
65
mo
At
st 3
80
mo
st 1
day
s
day
ays
35
At
mo
st 9
At
0d
mo
st 3
At
0d
ays
7d
ost
At
m
mo
st 1
Investor Liquidity
ays
Portfolio Liquidity
90
80
70
60
50
40
30
20
10
0
day
Percent of Fund Net Assets (%)
As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of Third Calendar Quarter 2017.
At
E
Analytics Office
2017Q3
38.0
61.9
76.1
82.4
85.9
89.3
April 12, 2018
Analytics Office
Table 44: Restrictions on Qualifying Hedge Fund Assets ($ Billions)
As reported on Form PF, Questions 48 and 49.
2015Q4
2,200
1,370
37
33
14
2016Q1
2,122
1,289
38
29
14
2016Q2
2,141
1,307
37
27
16
2016Q3
2,178
1,330
38
30
16
2016Q4
2,154
1,290
38
27
19
2017Q1
2,222
1,338
39
27
27
2017Q2
2,275
1,362
38
28
27
Figure 13: Percentage of Qualifying Hedge Fund NAV
Subject to a Side-Pocket Arrangement
See Appendix C for an explanation of boxplots.
NAV in Side-Pocket (%)
50
As reported on Form PF, Questions 9 and 48.
40
30
20
10
6Q
20 1
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q3
20
1
5Q
4
0
20
1
Type
May Suspend
May Have Gates
Side-Pocketed
Gated
Suspended
36
2017Q3
2,337
1,394
39
30
22
April 12, 2018
F
Analytics Office
Borrowings
Table 45: 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
2015Q4
1,894
1,025
603
266
10
1,904
2016Q1
1,942
977
696
269
10
1,952
2016Q2
1,939
980
692
267
9
1,948
2016Q3
2,079
1,084
729
267
11
2,090
2016Q4
2,057
1,087
675
295
12
2,069
2017Q1
2,239
1,186
739
313
14
2,253
2017Q2
2,391
1,265
795
331
11
2,402
2017Q3
2,437
1,371
721
345
12
2,448
Table 46: 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
2015Q4
63.7
35.8
***
***
2016Q1
62.8
36.7
0.4
0.1
2016Q2
62.3
37.3
0.3
0.1
2016Q3
64.7
34.8
0.3
0.2
2016Q4
63.2
36.3
0.3
0.1
2017Q1
61.2
38.4
***
***
2017Q2
61.1
38.5
0.3
0.1
2017Q3
61.4
38.3
***
***
Table 47: 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
2015Q4
1,314
837
476
633
475
157
314
240
75
2,261
2016Q1
1,253
801
452
718
547
171
320
240
79
2,291
2016Q2
1,229
776
454
711
518
194
308
230
78
2,249
37
2016Q3
1,339
861
478
774
574
200
312
236
77
2,426
2016Q4
1,334
857
477
691
451
241
349
210
139
2,375
2017Q1
1,467
949
518
783
517
266
384
254
130
2,634
2017Q2
1,545
1,022
522
786
506
281
407
251
156
2,738
2017Q3
1,674
1,151
523
734
478
256
423
265
158
2,831
(b) Prime Broker Borrowing
38
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-09
15
20
8
7
6
5
4
3
2
1
0
Collateral/Reverse Repo Borrowing
Winsorized (limits=[0%,98%])
15
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-09
20
Collateral/Prime Broker Borrowing
Winsorized (limits=[0%,98%])
-1
20 2
16
-0
20 3
16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-09
15
20
Collateral/Total Secured Borrowing
Winsorized (limits=[0%,98%])
April 12, 2018
Analytics Office
Figure 14: Ratio of Collateral Posted to Secured Borrowing
for Qualifying Hedge Funds
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
As reported on Form PF, Question 43.
8
7
6
5
4
3
2
1
0
(a) Total Secured Borrowing
8
7
6
5
4
3
2
1
0
(c) Reverse Repo Borrowing
April 12, 2018
Analytics Office
Table 48: 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
2015Q4
31.0
38.8
66.2
77.7
89.0
98.3
2016Q1
43.3
52.7
66.5
81.8
96.1
97.6
2016Q2
43.5
52.8
65.8
81.7
95.9
97.4
2016Q3
37.1
53.6
65.2
80.8
96.0
97.5
2016Q4
35.8
48.1
64.0
81.0
95.9
97.3
2017Q1
36.3
52.9
65.0
80.2
95.9
97.3
2017Q2
34.6
53.3
65.3
80.8
96.1
97.4
Figure 15: Weighted-Average Qualifying Hedge Fund
Financing Liquidity (Percent of Available Financing)
As reported on Form PF, Question 46 as of Third Calendar Quarter 2017.
Financing Liquidity
st 1 Percent of Available Financing (%)
day
100
80
60
40
20
s
mo
st 3
At
65
day
s
mo
st 1
80
day
ays
39
At
mo
At
st 9
0d
mo
At
st 3
0d
ays
s
day
st 7
mo
At
At
mo
0
2017Q3
35.3
51.7
64.0
79.2
95.9
97.3
April 12, 2018
Central Clearing
Figure 16: Qualifying Hedge Funds Using Central Clearing
As reported on Form PF, Question 39.
Percent of Funds
20
Percent of NAV
15
10
5
40
3
17
Q
20
2
17
Q
20
1
17
Q
20
4
16
Q
20
3
16
Q
20
2
16
Q
20
1
16
Q
20
15
Q
4
0
20
G
Analytics Office
April 12, 2018
H
Analytics Office
Value-at-Risk (“VaR”) Reporting
Table 49: Number of Qualifying Hedge Funds Using VaR
As reported on Form PF, Question 40.
VaR Method
VaR (Any Method)
Historical Simulation
Monte Carlo Simulation
Parametric
Other
VaR Not Used
2015Q4
623
233
203
194
38
1,017
2016Q1
622
240
196
192
38
975
2016Q2
626
237
188
190
41
980
2016Q3
622
239
185
193
46
995
2016Q4
631
234
196
196
42
1,019
2017Q1
640
238
202
190
44
1,031
2017Q2
652
249
207
190
45
1,065
2017Q3
651
270
190
186
43
1,064
Table 50: 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
Monte Carlo Simulation
Parametric
Other
VaR Not Used
2015Q4
3,020
1,554
633
729
333
1,979
2016Q1
3,079
1,602
648
729
317
1,912
2016Q2
3,205
1,688
628
756
321
1,896
2016Q3
3,267
1,762
640
746
344
1,976
2016Q4
3,225
1,700
645
731
373
1,992
2017Q1
3,428
1,829
862
737
425
2,064
2017Q2
3,516
1,798
947
760
457
2,199
2017Q3
3,624
1,900
940
767
489
2,264
Table 51: 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
Monte Carlo Simulation
Parametric
Other
VaR Not Used
2015Q4
1,305
482
356
468
91
1,431
2016Q1
1,270
463
346
457
88
1,384
2016Q2
1,293
483
336
449
90
1,376
41
2016Q3
1,308
501
340
462
94
1,428
2016Q4
1,303
479
352
459
94
1,439
2017Q1
1,345
491
403
465
95
1,482
2017Q2
1,377
504
424
474
94
1,522
2017Q3
1,405
561
394
477
94
1,586
April 12, 2018
I
Analytics Office
Stress Testing and VaR
Table 52: 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
2015Q4
541
456
82
561
2016Q1
538
444
84
531
2016Q2
545
454
81
526
2016Q3
547
447
75
548
2016Q4
555
453
76
566
2017Q1
548
451
92
580
2017Q2
558
457
94
608
2017Q3
557
467
94
597
Table 53: 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
2015Q4
2,799
1,041
221
938
2016Q1
2,861
1,011
218
901
2016Q2
3,001
1,008
204
888
2016Q3
3,088
1,030
179
946
2016Q4
3,045
1,001
179
992
2017Q1
3,189
1,076
240
989
2017Q2
3,244
1,114
271
1,084
2017Q3
3,388
1,178
236
1,086
Table 54: 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
2015Q4
1,165
694
140
736
2016Q1
1,144
669
125
715
2016Q2
1,162
666
131
710
2016Q3
1,191
666
117
762
42
2016Q4
1,185
661
117
779
2017Q1
1,199
683
146
799
2017Q2
1,230
673
147
849
2017Q3
1,248
712
158
874
April 12, 2018
Analytics Office
X
Section 3 Liquidity Fund Specific Information
A
Liquidity
Table 55: 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
2015Q4
74.4
92.2
99.4
100.0
100.0
100.0
2016Q1
81.2
96.0
99.7
100.0
100.0
100.0
2016Q2
77.4
96.0
99.7
100.0
100.0
100.0
2016Q3
80.1
98.3
99.9
100.0
100.0
100.0
2016Q4
80.9
97.3
99.6
99.8
99.9
100.0
2017Q1
78.0
95.5
99.7
100.0
100.0
100.0
2017Q2
79.6
95.2
99.5
99.8
99.9
99.9
2017Q3
79.1
95.5
99.5
99.7
99.8
99.9
Table 56: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Question 63.
Type
May Suspend
May Have Gates
Suspended
Gated
2016Q1
232
200
0
0
2016Q2
241
207
0
0
2016Q3
232
199
0
0
2016Q4
253
220
0
0
2017Q1
246
215
0
0
2017Q2
255
224
0
0
2017Q3
261
227
0
0
Portfolio Characteristics
Figure 17: Weighted-Average Maturity Reported by Section 3 Liquidity Funds
As reported on Form PF, Question 55.
Average WAM
50
Asset-Weighted WAM
40
30
20
10
43
7-0
9
20
1
7-0
6
20
1
7-0
3
20
1
6-1
2
20
1
6-0
9
20
1
6-0
6
20
1
6-0
3
20
1
5-1
2
0
20
1
Weighted Average Maturity (WAM) in Days
B
2015Q4
268
235
0
0
April 12, 2018
Analytics Office
Figure 18: Weighted-Average Life Reported by Section 3 Liquidity Funds
-09
17
20
17
20
-06
17
20
-03
16
20
-12
16
20
-09
16
20
16
20
-03
15
20
Asset-Weighted WAL
-06
Average WAL
90
80
70
60
50
40
30
20
10
0
-12
Weighted Average Life (WAL) in Days
As reported on Form PF, Question 55.
Figure 19: Seven-Day Gross Yield Reported by Section 3 Liquidity Funds
As reported on Form PF, Question 55.
Average Yield
Asset-Weighted Yield
1.5
1.0
0.5
44
-09
17
20
-06
17
20
-03
17
20
-12
20
16
-09
16
20
-06
16
20
-03
16
20
15
-12
0.0
20
Seven-Day Gross Yield (%)
2.0
April 12, 2018
Analytics Office
Figure 20: Ratio of Daily Liquid Assets to Net Asset Value of Section 3 Liquidity Funds
As reported on Form PF, Question 55.
Average DLA
Asset-Weighted DLA
80
60
40
20
-09
17
20
-06
17
20
-03
17
20
-12
16
20
-09
16
20
-06
16
20
16
20
15
20
-03
0
-12
Ratio of Daily Liquid Assets (DLA)
to Net Asset Value (%)
100
Figure 21: Ratio of Weekly Liquid Assets to Net Asset Value of Section 3 Liquidity Funds
Average WLA
100
Asset-Weighted WLA
80
60
40
20
45
-09
17
20
-06
17
20
-03
17
20
-12
16
20
-09
16
20
-06
16
20
-03
16
20
15
-12
0
20
Ratio of Weekly Liquid Assets (WLA)
to Net Asset Value (%)
As reported on Form PF, Question 55.
April 12, 2018
C
Analytics Office
Rule 2a-7 Compliance
Table 57: Rule 2a-7 Compliance (Percent of Funds)
As reported on Form PF, Questions 9 and 54.
Compliance Type
Credit Quality
Diversification
Liquidity
Maturity
Fully
None
2015Q4
63.4
61.0
61.0
61.0
56.1
34.1
2016Q1
61.1
58.3
52.8
58.3
47.2
36.1
2016Q2
64.9
62.2
54.1
62.2
48.6
32.4
2016Q3
61.1
58.3
55.6
58.3
50.0
36.1
2016Q4
59.1
56.8
56.8
56.8
50.0
38.6
2017Q1
57.8
55.6
55.6
55.6
48.9
40.0
2017Q2
59.6
55.3
55.3
55.3
48.9
38.3
2017Q3
56.5
52.2
52.2
52.2
45.7
41.3
Table 58: Rule 2a-7 Compliance (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 54.
Compliance Type
Credit Quality
Diversification
Liquidity
Maturity
Fully
None
D
2015Q4
22.4
22.4
22.3
22.3
21.5
77.4
2016Q1
16.2
16.2
10.8
16.0
10.0
83.6
2016Q2
17.9
17.9
11.3
17.7
10.4
82.0
2016Q3
13.5
13.5
12.2
13.5
11.0
86.1
2016Q4
14.4
13.8
13.6
13.6
11.8
85.5
2017Q1
15.5
14.9
14.8
14.8
12.8
84.3
2017Q2
15.9
14.9
14.7
14.7
12.8
84.0
2017Q3
15.9
14.9
15.0
15.0
12.8
83.9
Methods of Calculating NAV
Table 59: NAV Calculation Method (Percent of Funds)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2015Q4
***
***
2016Q1
***
***
2016Q2
***
***
2016Q3
***
***
2016Q4
81.8
18.2
2017Q1
80.0
20.0
2017Q2
78.7
21.3
2017Q3
78.3
21.7
Table 60: NAV Calculation Method (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2015Q4
***
***
2016Q1
***
***
2016Q2
***
***
2016Q3
***
***
46
2016Q4
69.9
30.1
2017Q1
71.4
28.6
2017Q2
68.3
31.7
2017Q3
70.2
29.8
April 12, 2018
Aggregate Portfolio Holdings
Table 61: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2
As reported on Form PF, Question 56.
Product Type
U.S. Treasuries
Other
Deposits
Repo - Govt. Collateral
Commercial Paper
Asset-Backed Securities
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
2015Q4
80.5
51.3
42.7
33.1
34.1
13.9
7.4
8.7
0.5
2016Q1
79.7
39.2
32.6
30.9
22.8
12.8
***
5.5
***
Table 62: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 3
3
67.5
30.7
71.5
14.9
35.6
47.3
24.3
4.2
4.7
73.3
42.4
73.4
15.5
38.8
37.2
24.0
4.2
3.0
77.6
63.8
65.8
33.1
40.4
31.2
25.9
4.1
2.5
76.5
61.9
69.1
30.4
43.1
26.3
23.8
3.9
2.1
75.0
53.7
64.2
30.3
45.5
24.2
23.6
4.9
0.8
7-0
62.8
31.1
66.2
11.4
36.3
52.4
24.5
5.3
6.1
7-0
201
2
1
201
55.3
33.7
64.8
6.4
26.9
35.9
22.8
5.9
1.1
7-0
201
-12
201
6
1
55.5
31.6
67.2
***
26.0
41.7
20.2
5.0
***
6-1
201
0
58.6
29.3
70.3
***
27.1
36.6
19.0
5.9
***
6-1
9
201
55.3
30.4
69.9
***
25.5
35.6
16.8
5.2
***
6-0
201
8
201
57.5
28.0
67.1
***
26.6
40.8
14.0
4.2
***
6-0
201
6-0
7
6-0
6
5
201
Product Type
Deposits
Other
U.S. Treasuries
Repo - Other Collateral
Commercial Paper
Repo - Govt. Collateral
Asset-Backed Securities
U.S. Govt. Debt
Municipal Debt
6-0
51.1
24.0
66.8
***
28.0
42.8
12.8
4.4
***
6-0
201
4
As reported on Form PF, Question 63.
201
Table 63: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 3 of 3
9
201
7-0
8
201
7-0
7
7-0
201
6
201
7-0
Product Type
Deposits
Other
U.S. Treasuries
Repo - Other Collateral
Commercial Paper
Repo - Govt. Collateral
Asset-Backed Securities
U.S. Govt. Debt
Municipal Debt
5
7-0
82.0
55.2
66.1
41.1
40.5
26.4
26.7
5.0
1.5
81.4
66.4
62.8
46.4
44.8
34.9
25.2
5.3
1.6
77.3
67.2
57.5
35.4
41.3
34.8
21.3
6.0
1.1
83.5
62.8
61.5
38.6
45.9
32.7
22.0
4.5
1.3
83.2
60.6
56.6
46.6
45.1
30.9
21.8
4.0
1.1
79.7
62.1
55.3
48.8
45.2
32.5
23.9
5.8
1.1
7-0
201
4
As reported on Form PF, Question 63.
201
E
Analytics Office
47
April 12, 2018
XI
A
Analytics Office
Section 4 Private Equity Fund Specific Information
CPC Industry Concentration
Table 64: Gross Assets in CPC Industries (Percent of Total)
As reported on Form PF, Questions 8 and 77.
Type
Oil & Gas Extraction
Software Publishers
Electric Power Generation, Transmission & Distribution
Telecommunications Data Processing Services
Pipeline Transportation
Other Insurance Related Activities
Data Processing, Hosting, & Related Services
Other Information Services
Other Financial Vehicles
Other Financial Investment Activities
Custom Computer Programming Services
Pharmaceutical & Medicine Mfg
Management, Scientific, & Technical Consulting Services
Investigation & Security Services
Educational Services
Insurance Agencies & Brokerages
Activities Related to Credit Intermediation
Computer Systems Design Services
48
2013Q4
7.9
2.9
3.8
2.6
2.5
0.9
2.9
2.0
0.4
2.0
0.9
1.0
1.0
0.5
1.1
0.9
1.2
0.5
2014Q4
7.8
3.8
3.9
2.5
2.6
1.0
2.3
2.1
0.4
1.8
1.0
1.3
1.2
0.5
1.1
1.0
1.2
0.8
2015Q4
5.8
4.9
3.7
2.7
2.4
1.0
1.8
1.9
0.6
1.8
1.5
1.5
1.1
0.7
1.3
1.0
1.4
0.6
2016Q4
6.7
6.1
4.1
2.3
2.2
2.0
2.0
1.8
1.8
1.7
1.5
1.4
1.3
1.2
1.2
1.2
1.0
1.0
April 12, 2018
CPC Financial Leverage
Figure 22: Distribution of Ratio of Aggregate CPC Current Liabilities
to Total Liabilities of Section 4 Private Equity Funds
See Appendix C for an explanation of boxplots.
60
50
40
30
20
10
Q4
16
20
Q4
15
20
14
20
Q4
13
Q4
0
20
Ratio of Portfolio Company Current
Liabilities to Total Liabilities (%)
As reported on Form PF, Questions 71 and 72.
Figure 23: Distribution of CPC Payment-in-Kind or
Zero Coupon Borrowings to Total Borrowings Ratio
See Appendix C for an explanation of boxplots.
As reported on Form PF, Question 73.
50
40
30
20
10
49
Q4
16
20
Q4
20
15
Q4
14
20
13
Q4
0
20
CPC Payment-in-Kind Borrowings
to Total Borrowings Ratio (%)
B
Analytics Office
April 12, 2018
C
Analytics Office
CPC Investments by Region and Country
Table 65: Aggregate Gross Value of Private Equity
Investments by Region ($ Billions)
As reported on Form PF, Questions 70 and 78.
Region
North America
Europe EEA
Asia
South America
Supranational
Europe Other
Africa
Middle East
2013Q4
5,274
1,423
571
75
65
25
20
8
2014Q4
4,501
1,259
462
85
67
9
12
12
2015Q4
4,132
941
447
58
23
21
12
9
2016Q4
3,942
848
406
111
37
22
18
15
Table 66: Private Equity CPC Investments by Region
(Percent of Aggregate CPC Gross Asset Value)
As reported on Form PF, Questions 70 and 78.
Region
North America
Europe EEA
Asia
South America
Supranational
Europe Other
Africa
Middle East
2013Q4
70.7
19.1
7.6
1.0
0.9
0.3
0.3
0.1
2014Q4
70.2
19.6
7.2
1.3
1.0
0.1
0.2
0.2
50
2015Q4
73.2
16.7
7.9
1.0
0.4
0.4
0.2
0.2
2016Q4
73.0
15.7
7.5
2.0
0.7
0.4
0.3
0.3
April 12, 2018
Analytics Office
Table 67: Aggregate Gross Asset Value of Private Equity
CPC Investments by Country ($ Billions)
As reported on Form PF, Questions 70 and 78.
Country
United States
China and Hong Kong
India
Brazil
Japan
Russia
2013Q4
5,035
171
63
45
233
3
2014Q4
4,300
186
83
58
98
2
2015Q4
3,943
173
89
41
85
5
2016Q4
3,775
114
92
88
79
4
Table 68: Private Equity CPC Investments by Country
(Percent of Aggregate CPC Gross Asset Value)
As reported on Form PF, Questions 70 and 78.
Country
United States
China and Hong Kong
India
Brazil
Japan
Russia
2013Q4
67.5
2.3
0.8
0.6
3.1
0.0
51
2014Q4
67.1
2.9
1.3
0.9
1.5
0.0
2015Q4
69.9
3.1
1.6
0.7
1.5
0.1
2016Q4
69.9
2.1
1.7
1.6
1.5
0.1
April 12, 2018
XII
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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April 12, 2018
3
Analytics Office
Large Liquidity Fund Advisers
Large Liquidity Fund Advisers have at least $1 billion in combined liquidity fund and money
market fund assets under management. On a quarterly basis, such advisers report on Form PF data
about the liquidity funds they managed during the reporting period (irrespective of the size of the
fund). This report contains information about all liquidity funds reported by Large Liquidity Fund
Advisers (referred to in this report as “Section 3 Liquidity Funds”).
4
Large Private Equity Fund Advisers
Large Private Equity Fund Advisers have at least a $2 billion in private equity fund assets
under management. These advisers are required to file Form PF annually in connection with the
private equity funds they managed during the reporting period. Smaller Private Equity Fund
Advisers must file annually as well, but provide less detail regarding the private equity funds they
manage. This report provides information about private equity funds managed by Large Private
Equity Fund Advisers (referred to in this report as “Section 4 Private Equity Funds”).
5
Other Private Fund Advisers
All advisers required to file Form PF that are not Large Hedge Fund Advisers or Large
Liquidity Fund Advisers must file Form PF annually to report data about each private fund
managed by the adviser.9 These “annual filing advisers” include smaller fund advisers, Large Private
Equity Fund advisers, and venture capital fund advisers. Annual filers must provide specific
information about each of the private funds they manage on an annual basis.
9
This includes “other private funds,” which are private funds that do not meet the Form PF definition of hedge fund,
liquidity fund, private equity fund, real estate fund, securitized asset fund, or venture capital fund.
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April 12, 2018
B
Analytics Office
Handling Annual and Quarterly Data
Only a subset of filers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are
required to file Form PF quarterly; all other filings are made annually. Annual filings are typically,
but not always, made at the end of the calendar year, as Form PF allows filings to be made at the
end of an adviser’s fiscal year. In order to present the most complete and recent data possible, while
accounting for differences in filing dates, we use the following procedure for determining which data
to consider in any given quarter:
First, filings are grouped by their report date within their reported year:
• (Q1): February 15 to May 14
• (Q2): May 15 to August 14
• (Q3): August 15 to November 14
• (Q4): November 15 to February 14
Then, responses for funds that have no information are ‘filled forward’ — essentially, copied
from last reported values — up to a maximum of three quarters. Any fund that has no data four
quarters after its most recent date is no longer counted or included in any calculations.10
C
How to Read a Boxplot
In these figures, the boxes extend from the twenty-fifth percentile to the seventy-fifth percentile,
while the levels (the dashed vertical lines) extend from the tenth to the twenty-fifth percentile as well
as the seventy-fifth to the ninetieth percentile. Also shown as a red line within the box is the median
(the fiftieth percentile) and the horizontal dashed line is mean of the distribution. See Figure 24 for
an explanation of each feature.
Figure 24: How to Read a Boxplot
10
Form PF has no requirement to inform the SEC if a fund liquidates or otherwise terminates operations. Therefore,
liquidations or terminations may not be reflected on this report for up to one year after ceasing operations.
54
April 12, 2018
D
Analytics Office
Mitigating the Effects of Outliers
Form PF data occasionally contains spurious outliers. While REO staff actively engages in
outreach to identify and correct such values, not all aberrant values have been corrected as of this
writing. To reduce the effect of these outliers on the aggregate measures reported here, we have
chosen to winsorize or trim some data sets.
Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest
and smallest values in a distribution.11 For example, to calculate a 95%/5% winsorized data set, all
the values above the ninety-fifth percentile are set to the value of the ninety-fifth percentile, and all
the values below the fifth percentile are set to the value of the fifth percentile. Effectively, this
procedure makes the very largest values smaller (but still large), and all the smallest values larger
(but still small). This approach can be more effective than trimming (simply removing the largest
and/or smallest values) because it does not change the number of data points and does not change
the median or other percentile values within the 95%/5% range. All instances of winsorization or
trimming have been noted and include the affected percentiles.
11
Such techniques are known as ‘robust statistics’, reviewed for example in Wilcox (2012), Introduction to Robust
Estimation & Hypothesis Testing, 3rd Edition.
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April 12, 2018
E
Analytics Office
Definitions
Included by reference are all definitions included in the glossary of Form PF.
Aggregate Exposure
A dollar value for long and short positions as of the last day in each
month of the reporting period, by sub-asset class, including all exposure
whether held physically, synthetically or through derivatives. Includes
closed out and OTC forward positions that have not expired, as well as
positions in side-pockets.
Borrowing
In Form PF, borrowings include secured borrowings, unsecured borrowings, as well as synthetic borrowings (e.g., total return swaps that meet
the failed sale accounting requirements).
CPC
Controlled portfolio company, as defined in Form PF.
Gross Notional Exposure (GNE)
The gross nominal or notional value of all transactions that have been
entered into but not yet settled as of the data reporting date. For
contracts with variable nominal or notional principal amounts, the basis
for reporting is the nominal or notional principal amounts as of the data
reporting date.
Hedge Fund
Any private fund (other than a securitized asset fund): (a) with respect
to which one or more investment advisers (or related persons of investment advisers) may be paid a performance fee or allocation calculated
by taking into account unrealized gains (other than a fee or allocation
the calculation of which may take into account unrealized gains solely
for the purpose of reducing such fee or allocation to reflect net unrealized losses); (b) that may borrow an amount in excess of one-half of
its net asset value (including any committed capital) or may have gross
notional exposure in excess of twice its net asset value (including any
committed capital); or (c) that may sell securities or other assets short
or enter into similar transactions (other than for the purpose of hedging currency exposure or managing duration). The definition of a hedge
fund for Form PF purposes also includes any commodity pool an adviser
reports on Form PF.
IRDs
Interest rate derivatives, including foreign exchange derivatives used for
either investment or hedging.
Large Hedge Fund Adviser
An adviser that has at least $1.5 billion in hedge fund assets under
management.
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April 12, 2018
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.
57
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.