Division of Investment Management

Division of Investment Management

Analytics Office

Private Funds Statistics

First Calendar Quarter 2023

October 16, 2023

This is a report of the Staff of the Division of Investment Management’s Analytics Office of the U.S.

Securities and Exchange Commission. The Commission has expressed no view regarding the analysis,

findings, or conclusions contained herein.

October 16, 2023

Analytics Office

Introduction

This report provides a summary of recent private fund industry statistics and trends, reflecting

data collected through Form PF and Form ADV filings.1 Form PF information provided in this

report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary

information of individual Form PF filers.

This report reflects data from Second Calendar Quarter 2021 through First 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 First 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 “First 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

October 16, 2023

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

October 16, 2023

I

Analytics Office

Number of Funds and Advisers3

Table 1: Number of Funds

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

because the rows are not mutually exclusive.

Fund Type

Private Equity Fund

Hedge Fund

Section 4 Private Equity Fund

Other Private Fund

Real Estate Fund

Venture Capital Fund

Securitized Asset Fund

Qualifying Hedge Fund

Liquidity Fund

Section 3 Liquidity Fund

Total

2021Q2

15,892

9,622

5,308

5,385

3,295

1,424

1,915

1,966

76

56

37,609

2021Q3

15,866

9,496

5,309

5,352

3,289

1,419

1,910

2,015

77

57

37,409

2021Q4

19,082

9,458

6,548

6,046

3,783

2,211

2,243

2,073

79

56

42,902

2022Q1

18,961

9,645

6,646

6,286

3,778

2,228

2,251

2,093

79

54

43,228

2022Q2

19,001

9,749

6,644

6,275

3,781

2,286

2,257

2,059

79

52

43,428

2022Q3

19,054

9,783

6,644

6,277

3,781

2,287

2,257

2,039

78

51

43,517

2022Q4

20,875

9,789

7,471

6,721

4,252

2,988

2,481

2,071

71

50

47,177

2023Q1

20,917

9,846

7,381

6,864

4,253

2,991

2,490

2,034

70

50

47,431

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

2021Q2

1,460

1,764

369

691

389

176

166

589

37

24

3,396

2021Q3

1,458

1,760

369

682

388

176

165

594

37

24

3,387

2021Q4

1,638

1,859

434

738

427

234

176

618

39

24

3,674

2022Q1

1,636

1,858

435

738

428

236

175

607

39

23

3,674

2022Q2

1,640

1,862

435

734

430

238

175

598

39

22

3,679

2022Q3

1,642

1,860

436

732

430

239

173

582

39

21

3,674

2022Q4

1,752

1,856

452

758

454

283

177

589

34

21

3,786

2023Q1

1,755

1,856

450

762

454

285

175

570

33

21

3,791

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

October 16, 2023

Analytics Office

II

Gross and Net Assets

A

Aggregate Assets by Fund Type over Time

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

As reported on Form PF, Question 8.

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

because the rows are not mutually exclusive.

Fund Type

Hedge Fund

Qualifying Hedge Fund

Private Equity Fund

Section 4 Private Equity Fund

Other Private Fund

Real Estate Fund

Securitized Asset Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

Total

2021Q2

9,579

7,888

4,826

3,673

1,509

810

729

222

330

328

18,004

2021Q3

9,779

8,303

4,826

3,674

1,438

812

729

222

310

308

18,114

2021Q4

9,759

8,329

6,409

4,962

1,748

972

869

330

318

316

20,404

2022Q1

9,778

8,261

6,384

4,949

1,766

967

869

333

318

314

20,415

2022Q2

9,439

7,913

6,397

4,949

1,740

969

868

334

335

331

20,080

2022Q3

9,274

7,694

6,402

4,949

1,716

975

869

334

335

331

19,904

2022Q4

9,354

7,819

6,704

5,272

1,632

1,137

933

375

321

319

20,457

2023Q1

9,488

7,950

6,640

5,215

1,590

1,136

935

374

320

319

20,483

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

2021Q2

5,129

4,054

4,270

3,283

1,341

613

219

214

319

317

12,106

2021Q3

5,111

4,162

4,271

3,283

1,274

615

220

215

302

300

12,007

2021Q4

5,130

4,187

5,746

4,489

1,559

745

264

310

313

311

14,066

5

2022Q1

5,148

4,144

5,729

4,483

1,582

744

265

313

313

309

14,094

2022Q2

4,912

3,871

5,738

4,483

1,557

745

264

314

327

324

13,858

2022Q3

4,848

3,764

5,742

4,483

1,534

750

264

314

331

327

13,784

2022Q4

4,814

3,786

6,022

4,772

1,406

857

271

342

318

316

14,030

2023Q1

4,856

3,857

5,964

4,720

1,363

857

272

341

313

311

13,965

October 16, 2023

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 2

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

Q1

(d) Section 4 Private Equity Fund NAV

21

20

(c) Section 4 Private Equity Fund GAV

21

Q

20 2

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

Q1

0

20

GAV ($Millions)

1500

1000

1Q

20 3

21

Q

20 4

22

Q

20 1

22

Q

20 2

22

Q

20 3

22

Q

20 4

23

Q1

1Q

2

20

2

1Q

20 3

21

Q

20 4

22

Q

20 1

22

Q

20 2

22

Q

20 3

22

Q

20 4

23

Q1

20

2

20

2

2

0

1Q

2

0

4

20

2

GAV ($Billions)

As reported on Form PF, Questions 8 and 9.

8

6

October 16, 2023

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 2

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

Q1

0.0

2.5

2.0

1.5

1.0

0.5

0.0

20

20

3.0

21

Q

20 2

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

Q1

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

October 16, 2023

Borrowings

Table 5: Aggregate Borrowings (Percent of Aggregate GAV)

As reported on Form PF, Questions 8, 12, and 43 (Third Month).

Fund Type

Securitized Asset Fund

Qualifying Hedge Fund

Hedge Fund

Real Estate Fund

Section 4 Private Equity Fund

Other Private Fund

Private Equity Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

2021Q2

50.0

45.7

41.6

13.6

4.9

4.1

4.7

0.5

0.0

0.0

2021Q3

49.8

44.6

41.3

14.0

4.9

3.9

4.7

0.5

0.0

0.0

2021Q4

52.4

45.6

42.1

13.2

5.4

3.5

5.5

0.7

0.0

0.0

2022Q1

49.7

43.2

39.9

12.3

5.5

3.6

5.5

0.7

0.0

0.0

2022Q2

49.3

43.4

39.8

12.2

5.4

3.5

5.5

0.7

0.0

0.0

2022Q3

49.4

43.5

40.0

12.5

5.4

3.7

5.5

0.7

0.0

0.0

2022Q4

56.2

44.7

41.1

14.0

5.7

5.5

5.7

0.6

0.0

0.0

2023Q1

53.3

47.4

43.5

13.2

5.8

5.6

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 3

21

Q

20 4

22

Q

20 1

22

Q

20 2

22

Q

20 3

22

Q

20 4

23

Q1

0

20

0

2

21

200

3

20

400

4

Q2

Total Borrowings ($Billions)

600

21

Q

20 2

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

Q1

Total Borrowings ($Millions)

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

20

B

Analytics Office

(b) Qualifying Hedge Funds

8

October 16, 2023

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 2

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

Q1

Ratio of Borrowings to NAV

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

20

21

Q

20 2

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

Q1

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

2021Q2

67.7

29.9

2.2

0.9

2021Q3

67.0

30.5

2.3

0.9

2021Q4

67.1

29.3

2.8

1.0

9

2022Q1

66.4

30.5

3.1

0.9

2022Q2

66.6

30.3

3.0

0.9

2022Q3

67.7

28.8

3.3

1.0

2022Q4

68.8

27.1

3.3

0.9

2023Q1

68.2

28.7

3.2

0.8

October 16, 2023

C

Analytics Office

Fair Value Hierarchy

Table 7: Assets According to Fair Value Hierarchy ($ Billions)

As reported on Form PF, Question 14.

Level One

Level Two

Level Three

Cost-Based

2021Q2

4,315

3,646

5,204

2,333

2021Q3

4,384

3,648

5,274

2,323

2021Q4

4,669

3,842

6,803

2,853

2022Q1

4,638

3,828

6,832

2,878

2022Q2

4,590

3,834

6,843

2,859

2022Q3

4,562

3,798

6,804

2,868

2022Q4

4,151

3,595

7,558

3,075

2023Q1

4,086

3,569

7,466

3,064

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

As reported on Form PF, Question 14.

Level One

Level Two

Level Three

Cost-Based

2021Q2

1,340

1,178

303

2,075

2021Q3

1,342

1,196

338

2,071

2021Q4

1,691

1,362

377

2,274

2022Q1

1,691

1,350

377

2,270

10

2022Q2

1,684

1,369

340

2,271

2022Q3

1,690

1,328

342

2,278

2022Q4

1,582

1,493

377

2,579

2023Q1

1,588

1,477

377

2,574

October 16, 2023

D

Analytics Office

Parallel Managed Accounts4

Table 9: Number of Funds with Parallel Managed Accounts

As reported on Form PF, Question 11.

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

because the rows are not mutually exclusive.

Type

Hedge Fund

Other Private Fund

Private Equity Fund

Qualifying Hedge Fund

Section 4 Private Equity Fund

Real Estate Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

Securitized Asset Fund

Total

2021Q2

575

487

312

200

115

73

17

***

11

***

1,478

2021Q3

559

485

312

207

115

73

17

***

***

***

1,459

2021Q4

570

504

303

209

137

89

30

***

***

***

1,508

2022Q1

579

503

303

210

137

89

30

***

***

***

1,516

2022Q2

577

502

315

201

137

89

30

***

***

***

1,525

2022Q3

575

498

314

207

137

89

30

***

***

***

1,518

2022Q4

565

478

331

213

146

67

39

***

***

***

1,490

2023Q1

562

481

407

205

146

68

39

***

***

***

1,567

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

2021Q2

808

2,647

98

512

68

7

1

***

396

***

3,970

2021Q3

840

2,641

98

551

68

7

1

***

***

***

3,992

2021Q4

880

2,674

119

566

102

16

2

***

***

***

4,111

2022Q1

839

2,671

120

538

102

16

2

***

***

***

4,024

2022Q2

765

3,451

152

483

110

16

2

***

***

***

4,781

2022Q3

729

3,416

152

438

110

16

2

***

***

***

4,704

2022Q4

725

2,369

114

435

114

14

2

***

***

***

3,605

2023Q1

696

2,367

126

383

114

15

2

***

***

***

3,592

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

October 16, 2023

Analytics Office

Figure 5: Parallel Managed Account Value Distributions

See Appendix C for an explanation of boxplots.

2

1

20 2

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

Q1

0

20

2

4

2

0

20 2

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

Q1

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

October 16, 2023

III

Analytics Office

Fund Domiciles and Adviser Main Offices

Table 11: Fund Domicile (Percent of NAV)

As reported on Form PF, Question 9 and Form ADV.

Country

United States

Cayman Islands

Luxembourg

Ireland

Bermuda

United Kingdom

Virgin Islands, British

Other

Country

Cayman Islands

United States

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

2021Q2 2021Q3 2021Q4 2022Q1 2022Q2

50.0

49.5

51.8

52.3

52.6

34.3

34.8

32.8

32.7

32.4

3.7

3.7

4.1

4.1

4.1

4.1

4.0

3.9

3.9

3.9

1.0

1.0

0.9

1.0

1.0

0.9

0.9

1.0

0.9

0.9

1.0

1.0

0.9

0.9

0.9

5.0

5.0

4.7

4.2

4.2

Qualifying Hedge Funds

2021Q2 2021Q3 2021Q4 2022Q1 2022Q2

51.6

51.7

51.7

51.0

52.3

34.1

33.9

34.2

34.9

35.7

2.5

2.6

2.4

2.4

2.4

3.2

3.2

3.2

3.1

3.0

2.7

2.7

2.6

2.8

3.1

1.6

1.5

1.5

1.7

1.7

4.3

4.5

4.2

4.2

1.8

Section 3 Liquidity Funds

2021Q2 2021Q3 2021Q4 2022Q1 2022Q2

***

***

***

***

***

27.8

26.6

27.6

28.5

27.3

***

***

***

***

***

***

***

***

***

***

Section 4 Private Equity Funds

2021Q2 2021Q3 2021Q4 2022Q1 2022Q2

55.2

55.2

56.1

56.9

56.9

28.9

28.9

29.3

29.6

29.6

2.2

2.2

2.0

1.9

1.9

1.5

1.5

1.4

1.4

1.4

1.1

1.1

1.2

1.2

1.2

11.1

11.1

9.9

9.0

9.0

13

2022Q3

52.9

32.7

4.1

3.9

1.0

0.9

0.9

3.6

2022Q4

52.7

32.1

5.0

3.6

1.0

0.9

0.8

3.7

2023Q1

52.5

32.5

5.0

3.6

1.0

0.9

0.8

3.6

2022Q3

53.1

35.0

2.3

2.8

3.1

1.9

1.7

2022Q4

52.5

35.6

2.7

3.0

2.9

1.9

1.4

2023Q1

52.7

35.7

2.9

2.8

2.6

1.7

1.6

2022Q3

***

25.5

***

***

2022Q4

***

23.4

***

***

2023Q1

***

23.9

***

***

2022Q3

56.9

29.6

1.9

1.4

1.2

9.0

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

October 16, 2023

Analytics Office

Table 12: Adviser Main Office Location (Percent of NAV)

As reported on Form PF, Question 9 and Form ADV.

Country

United States

United Kingdom

Other

2021Q2

89.4

4.8

5.9

Country

United States

United Kingdom

Australia

Hong Kong

Other

2021Q2

87.6

4.3

***

***

4.0

Country

United States

United Kingdom

2021Q2

***

***

Country

United States

Canada

Other

2021Q2

94.3

***

***

All Private Funds

2021Q3 2021Q4 2022Q1 2022Q2

89.6

91.2

90.9

91.7

4.6

3.9

4.0

3.9

5.8

4.9

5.1

4.3

Qualifying Hedge Funds

2021Q3 2021Q4 2022Q1 2022Q2

88.0

88.1

88.5

90.7

4.1

4.1

3.9

3.7

***

***

***

***

***

***

***

***

4.1

4.1

4.1

2.2

Section 3 Liquidity Funds

2021Q3 2021Q4 2022Q1 2022Q2

***

***

***

***

***

***

***

***

Section 4 Private Equity Funds

2021Q3 2021Q4 2022Q1 2022Q2

94.3

95.6

95.6

95.6

***

***

***

***

***

***

***

***

14

2022Q3

91.9

3.9

4.2

2022Q4

92.3

3.7

4.0

2023Q1

91.8

4.0

4.1

2022Q3

91.1

3.5

***

***

2.2

2022Q4

90.4

4.1

***

***

3.0

2023Q1

90.9

4.0

***

***

2.8

2022Q3

***

***

2022Q4

***

***

2023Q1

***

***

2022Q3

95.6

***

***

2022Q4

95.5

***

***

2023Q1

95.4

***

***

October 16, 2023

IV

A

Analytics Office

Beneficial Ownership

All Private Funds

Table 13: Beneficial Ownership for All Private Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Other

State/Muni. Govt. Pension Plans

U.S. Individuals

Pension Plans

Non-Profits

Sov. Wealth Funds And For. Official Inst.

Insurance Companies

Non-U.S. Individuals

Unknown Non-U.S. Investors

State/Muni. Govt. Entities

Banking/Thrift Inst.

Sec-Registered Investment Companies

Broker-Dealers

2021Q2

2,128

1,948

1,576

1,226

1,277

1,208

855

583

386

263

205

189

144

110

2021Q3

2,131

1,929

1,587

1,208

1,261

1,215

856

593

384

266

203

188

138

44

2021Q4

2,598

2,445

1,858

1,422

1,370

1,316

1,007

697

416

317

232

188

155

42

2022Q1

2,635

2,444

1,882

1,417

1,375

1,298

1,000

704

401

305

226

194

161

45

2022Q2

2,593

2,407

1,871

1,372

1,339

1,246

1,004

702

396

312

222

193

151

44

2022Q3

2,588

2,414

1,862

1,366

1,270

1,256

1,010

703

393

305

223

196

148

42

2022Q4

2,592

2,540

1,912

1,323

1,306

1,245

1,082

744

376

285

241

193

149

38

2023Q1

2,593

2,557

1,905

1,334

1,302

1,253

1,068

754

314

251

247

190

150

40

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

2023Q1

18.6

18.3

13.6

9.6

9.3

9.0

7.7

5.4

2.2

1.8

1.8

1.4

1.1

0.3

Table 14: Beneficial Ownership for All Private Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Other

State/Muni. Govt. Pension Plans

U.S. Individuals

Pension Plans

Non-Profits

Sov. Wealth Funds And For. Official Inst.

Insurance Companies

Non-U.S. Individuals

Unknown Non-U.S. Investors

State/Muni. Govt. Entities

Banking/Thrift Inst.

Sec-Registered Investment Companies

Broker-Dealers

2021Q2

17.6

16.1

13.0

10.1

10.5

10.0

7.1

4.8

3.2

2.2

1.7

1.6

1.2

0.9

2021Q3

17.8

16.1

13.2

10.1

10.5

10.1

7.1

4.9

3.2

2.2

1.7

1.6

1.2

0.4

15

2021Q4

18.5

17.4

13.2

10.1

9.7

9.4

7.2

5.0

3.0

2.3

1.7

1.3

1.1

0.3

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

2.2

1.6

1.4

1.1

0.3

2022Q3

18.8

17.5

13.5

9.9

9.2

9.1

7.3

5.1

2.8

2.2

1.6

1.4

1.1

0.3

October 16, 2023

B

Analytics Office

Qualifying Hedge Funds

Table 15: Beneficial Ownership for Qualifying Hedge Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Other

Non-Profits

State/Muni. Govt. Pension Plans

U.S. Individuals

Pension Plans

Sov. Wealth Funds And For. Official Inst.

Insurance Companies

Non-U.S. Individuals

State/Muni. Govt. Entities

Unknown Non-U.S. Investors

Banking/Thrift Inst.

Sec-Registered Investment Companies

Broker-Dealers

2021Q2

695

573

594

430

486

477

244

131

186

62

80

43

42

6

2021Q3

724

598

601

447

492

476

256

140

185

59

89

42

42

8

2021Q4

723

607

602

458

493

477

264

144

181

62

86

41

38

9

2022Q1

732

603

581

462

473

476

266

147

171

61

82

40

39

9

2022Q2

701

571

546

453

432

449

267

150

107

58

46

38

39

9

2022Q3

696

563

559

431

423

381

266

149

102

59

42

41

38

8

2022Q4

689

561

528

445

424

408

289

148

102

59

46

38

38

9

2023Q1

701

586

537

454

423

415

282

164

103

62

44

38

37

9

2022Q4

18.2

14.8

13.9

11.8

11.2

10.8

7.6

3.9

2.7

1.5

1.2

1.0

1.0

0.2

2023Q1

18.2

15.2

13.9

11.8

11.0

10.8

7.3

4.2

2.7

1.6

1.2

1.0

0.9

0.2

Table 16: Beneficial Ownership for Qualifying Hedge Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Other

Non-Profits

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

2021Q2

17.1

14.1

14.7

10.6

12.0

11.8

6.0

3.2

4.6

1.5

2.0

1.0

1.0

0.2

2021Q3

17.4

14.4

14.5

10.7

11.8

11.4

6.1

3.4

4.5

1.4

2.1

1.0

1.0

0.2

16

2021Q4

17.3

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

2022Q1

17.7

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

11.5

11.2

10.1

7.1

4.0

2.7

1.6

1.1

1.1

1.0

0.2

October 16, 2023

C

Analytics Office

Section 3 Liquidity Funds

Table 17: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type

Other

Unknown Non-U.S. Investors

Private Funds

Banking/Thrift Inst.

Broker-Dealers

Sec-Registered Investment Companies

Insurance Companies

Sov. Wealth Funds And For. Official Inst.

Pension Plans

Non-U.S. Individuals

Non-Profits

State/Muni. Govt. Entities

U.S. Individuals

State/Muni. Govt. Pension Plans

2021Q2

105

57

52

24

***

25

11

***

8

4

3

***

***

1

2021Q3

101

50

50

***

***

27

9

***

7

3

3

***

***

1

2021Q4

96

60

57

***

***

23

9

***

7

***

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

***

***

***

2022Q4

34.1

20.6

17.8

***

***

4.3

3.0

***

***

***

0.8

***

***

0.4

2023Q1

34.1

20.2

15.9

***

***

5.4

3.9

***

***

***

0.9

***

***

***

Table 18: Beneficial Ownership for Section 3 Liquidity Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type

Other

Unknown Non-U.S. Investors

Private Funds

Banking/Thrift Inst.

Broker-Dealers

Sec-Registered Investment Companies

Insurance Companies

Sov. Wealth Funds And For. Official Inst.

Pension Plans

Non-U.S. Individuals

Non-Profits

State/Muni. Govt. Entities

U.S. Individuals

State/Muni. Govt. Pension Plans

2021Q2

33.1

18.0

16.5

7.4

***

7.8

3.5

***

2.4

1.1

1.0

***

***

0.3

2021Q3

33.8

16.7

16.5

***

***

8.9

3.2

***

2.4

0.9

1.1

***

***

0.4

17

2021Q4

31.0

19.2

18.5

***

***

7.5

2.8

***

2.3

***

1.2

1.0

***

0.3

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

***

***

***

October 16, 2023

D

Analytics Office

Section 4 Private Equity Funds

Table 19: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

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

2021Q2

662

544

655

388

247

190

180

187

63

71

27

38

25

3

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

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

2021Q2

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

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

18

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

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

October 16, 2023

E

Analytics Office

Concentration

Table 21: Weighted-Average Beneficial Ownership of Top 5 Owners (Percent)

As reported on Form PF, Questions 9 and 15.

Type

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

2021Q2

59.4

56.1

54.3

49.7

53.9

51.1

46.2

47.4

47.1

35.0

53.3

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

50.0

52.6

49.5

44.9

46.1

45.8

37.3

52.2

19

2022Q1

57.5

59.0

54.6

51.0

52.5

49.1

44.7

48.1

47.7

37.5

52.4

2022Q2

57.1

59.0

55.1

51.9

52.4

49.2

44.7

46.7

46.4

37.6

52.5

2022Q3

57.5

58.7

54.8

51.6

52.4

49.1

44.7

46.5

46.1

37.8

52.4

2022Q4

58.9

56.9

55.4

52.1

49.9

49.8

46.5

45.1

44.8

42.6

52.8

2023Q1

58.2

57.0

56.4

52.0

49.9

49.4

45.9

44.3

44.1

43.3

52.9

October 16, 2023

V

Analytics Office

Derivatives

Table 22: Aggregate Derivative Value ($ Billions)

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

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

because the rows are not mutually exclusive.

Type

Hedge Fund

Qualifying Hedge Fund

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

2021Q2

16,252

14,363

66

134

18

34

3

***

***

***

16,500

2021Q3

15,822

14,416

66

133

18

34

3

***

***

***

16,028

2021Q4

15,430

14,072

70

118

41

52

5

***

***

***

15,692

2022Q1

15,866

14,268

69

110

41

54

5

***

***

***

16,050

2022Q2

14,941

13,256

69

110

41

54

5

***

***

0

15,173

2022Q3

14,489

12,922

71

112

41

54

5

***

***

0

14,730

2022Q4

15,178

13,306

158

105

72

73

***

0

***

0

15,558

2023Q1

15,825

13,200

159

103

76

72

6

0

0

0

16,174

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

2021Q2

316.8

354.3

1.6

10.0

2.9

1.0

1.2

***

***

***

136.3

2021Q3

309.6

346.4

1.6

10.4

2.9

1.0

1.2

***

***

***

133.5

2021Q4

300.8

336.1

1.2

7.6

5.6

1.2

1.8

***

***

***

111.6

20

2022Q1

308.2

344.3

1.2

7.0

5.6

1.2

1.8

***

***

***

113.9

2022Q2

304.2

342.4

1.2

7.1

5.6

1.2

1.8

***

***

0.0

109.5

2022Q3

298.8

343.3

1.2

7.3

5.5

1.2

1.8

***

***

0.0

106.9

2022Q4

315.3

351.5

2.6

7.5

8.4

1.5

***

0.1

***

0.0

110.9

2023Q1

325.9

342.2

2.7

7.6

8.9

1.5

2.1

0.1

0.0

0.0

115.8

October 16, 2023

Analytics Office

Figure 6: Distribution of Derivative Values

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

0.5

20 2

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

Q1

0.0

8

6

4

2

0

21

20

20

10

Q

20 2

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

Q1

Total Derivative Value ($Billions)

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

1.0

21

Q

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

2021Q2

8,313

49

6

2021Q3

8,213

49

6

2021Q4

8,389

49

8

2022Q1

8,527

52

8

2022Q2

8,615

53

8

2022Q3

8,674

50

8

2022Q4

8,693

56

5

2023Q1

8,773

56

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

2021Q2

4,986

112

4

2021Q3

4,958

117

5

2021Q4

4,995

115

6

2022Q1

4,995

128

7

21

2022Q2

4,755

127

8

2022Q3

4,681

135

8

2022Q4

4,662

128

9

2023Q1

4,686

138

9

October 16, 2023

B

Analytics Office

Industry Concentration

Table 26: Percent of Aggregate Hedge Fund Net Asset Value

Reported by Top Hedge Funds Sorted by Net Asset Value

As reported on Form PF, Questions 9 and 10.

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2021Q2

7.0

13.0

19.1

27.5

42.2

55.9

2021Q3

7.3

13.3

19.4

27.9

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

19.5

27.3

41.5

54.8

2022Q3

8.1

13.7

19.6

27.6

41.6

54.9

2022Q4

7.8

13.3

19.1

27.0

41.2

54.6

2023Q1

7.9

13.4

19.3

27.4

41.6

54.8

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

2021Q2

14.8

23.7

32.2

40.8

54.2

65.7

2021Q3

16.2

25.2

33.5

42.3

55.4

66.8

2021Q4

16.2

25.3

33.5

41.9

54.9

66.3

2022Q1

15.8

25.6

33.6

41.9

54.5

66.1

2022Q2

16.7

26.1

34.1

42.4

54.7

66.0

2022Q3

16.9

25.7

33.8

42.4

54.7

65.9

2022Q4

17.7

26.4

34.5

43.1

55.2

66.3

2023Q1

17.7

26.8

34.8

43.4

55.6

66.6

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

2021Q2

31.7

47.5

60.2

70.7

83.0

90.8

2021Q3

32.2

48.0

60.5

71.1

83.2

90.9

2021Q4

34.7

49.3

61.4

72.1

83.3

90.9

2022Q1

34.1

48.6

61.0

71.5

83.4

90.8

22

2022Q2

34.6

50.1

61.7

72.0

83.1

90.5

2022Q3

34.1

50.2

62.0

72.4

83.4

90.6

2022Q4

36.5

51.0

63.4

73.7

84.2

91.0

2023Q1

35.7

51.2

64.1

74.5

85.0

91.5

October 16, 2023

Analytics Office

Table 29: Percent of Aggregate Hedge Fund Derivative Value

Reported by Top Hedge Funds Sorted by Derivative Value

As reported on Form PF, Questions 13 and 44 (Month 3).

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2021Q2

39.5

55.0

67.3

78.2

89.3

95.0

2021Q3

40.9

57.0

69.4

79.6

90.4

95.5

2021Q4

41.3

55.8

67.7

78.4

89.7

95.2

2022Q1

38.3

55.3

67.9

79.2

90.3

95.4

2022Q2

39.3

55.6

67.4

78.9

90.0

95.2

2022Q3

40.7

56.0

68.2

79.7

90.2

95.3

2022Q4

37.7

55.5

68.9

80.5

90.7

95.5

2023Q1

40.4

56.8

69.1

80.8

91.1

95.8

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

2021Q2

34.8

48.5

59.6

70.0

82.8

90.9

2021Q3

35.1

49.8

60.8

71.0

83.4

91.1

2021Q4

35.5

48.7

59.9

70.2

82.6

90.7

2022Q1

34.7

48.7

60.1

70.9

82.9

90.8

23

2022Q2

34.6

49.2

60.6

70.9

82.8

90.5

2022Q3

34.6

49.8

60.9

71.7

83.3

90.8

2022Q4

33.9

49.9

61.6

72.8

84.1

91.2

2023Q1

36.0

51.4

62.5

73.8

84.7

91.6

October 16, 2023

C

Analytics Office

Single-Strategy US-Domiciled Hedge Funds

Table 31: Exposures of Single-Strategy US-Domiciled Hedge Funds ($ Billions)

As reported on Form PF, Questions 9, 19, and 20.

Category

Equity

Other

Credit

Event Driven

Relative Value

Investment in other funds

Macro

Managed Futures/CTA

Total

Strategy

Subtotal

Long/Short

Long Bias

Market Neutral

Short Bias

Subtotal

Subtotal

Long/Short

Asset Based Lending

Subtotal

Distressed/Restruct.

Equity

Risk Arb./Merger Arb.

Subtotal

F.I. Asset Backed

F.I. Corp.

F.I. Conv. Arb.

Volatility Arb.

F.I. Sov.

Subtotal

Subtotal

Global Macro

Commodity

Active Trading

Currency

Subtotal

Quantitative

Fundamental

Total

2021Q2

666

310

327

28

1

589

126

68

57

61

41

14

6

48

28

9

8

1

1

32

13

9

***

***

***

6

***

***

1,369

2021Q3

654

307

319

27

1

595

134

72

62

66

47

13

6

49

30

9

7

1

1

32

13

10

3

***

***

6

***

***

1,383

24

2021Q4

680

326

324

***

***

625

141

71

70

74

43

20

11

55

31

11

9

2

1

33

13

9

3

***

***

6

***

***

1,437

2022Q1

637

311

298

26

1

649

144

72

73

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

73

77

76

48

19

9

55

32

11

8

3

1

32

16

11

4

***

***

6

***

***

1,368

2022Q4

552

272

252

28

1

655

163

77

86

83

50

26

7

59

37

11

7

3

2

32

14

9

4

***

***

6

***

***

1,385

2023Q1

550

262

259

27

1

666

180

93

87

80

49

26

5

63

38

11

7

5

2

39

13

8

4

***

***

6

***

***

1,420

October 16, 2023

Analytics Office

Table 32: Number of Single-Strategy US-Domiciled Hedge Funds

As reported on Form PF, Questions 9, 19, and 20.

Category

Equity

Other

Credit

Event Driven

Relative Value

Investment in other funds

Macro

Managed Futures/CTA

Total

Strategy

Subtotal

Long/Short

Long Bias

Market Neutral

Short Bias

Subtotal

Subtotal

Long/Short

Asset Based Lending

Subtotal

Distressed/Restruct.

Equity

Risk Arb./Merger Arb.

Subtotal

F.I. Asset Backed

F.I. Corp.

F.I. Conv. Arb.

Volatility Arb.

F.I. Sov.

Subtotal

Subtotal

Global Macro

Commodity

Active Trading

Currency

Subtotal

Quantitative

Fundamental

Total

2021Q2

1,031

451

528

46

11

1,003

366

176

193

239

165

56

22

174

95

45

19

12

16

233

46

24

***

***

***

27

***

***

2,908

2021Q3

1,035

458

527

45

11

1,017

373

178

198

236

166

52

21

174

96

48

18

11

15

238

43

22

13

***

***

24

***

***

2,931

25

2021Q4

1,128

471

605

***

***

1,034

383

189

197

243

164

59

21

186

94

55

20

19

18

241

45

18

15

***

***

24

***

***

3,079

2022Q1

1,150

480

616

51

8

1,070

394

197

200

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

210

197

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

218

207

276

195

61

21

201

100

58

26

20

19

257

45

19

16

***

***

22

***

***

3,265

2022Q4

1,139

496

589

47

13

1,169

430

220

213

298

212

68

19

212

107

58

26

18

18

306

44

18

15

***

***

23

***

***

3,352

2023Q1

1,144

499

592

47

12

1,197

442

232

213

297

211

68

19

219

119

59

24

18

18

331

44

18

15

***

***

23

***

***

3,425

October 16, 2023

D

Analytics Office

Single-Strategy Non-US-Domiciled Hedge Funds

Table 33: Exposures of Single-Strategy Non-US-Domiciled Hedge Funds ($ Billions)

As reported on Form PF, Questions 9, 19, and 20.

Category

Equity

Event Driven

Other

Relative Value

Credit

Macro

Managed Futures/CTA

Investment in other funds

Total

Strategy

Subtotal

Long/Short

Long Bias

Market Neutral

Short Bias

Subtotal

Distressed/Restruct.

Equity

Risk Arb./Merger Arb.

Subtotal

Subtotal

F.I. Sov.

F.I. Asset Backed

Volatility Arb.

F.I. Corp.

F.I. Conv. Arb.

Subtotal

Long/Short

Asset Based Lending

Subtotal

Global Macro

Commodity

Active Trading

Currency

Subtotal

Quantitative

Fundamental

Subtotal

Total

2021Q2

1,280

830

357

***

***

182

110

31

41

745

423

283

78

19

27

16

303

238

66

401

389

9

***

***

201

***

***

34

2,415

2021Q3

1,275

825

360

***

***

178

112

33

33

761

445

299

79

22

28

17

325

229

96

381

369

8

***

***

233

***

***

35

2,464

26

2021Q4

1,270

813

356

***

***

185

117

35

33

767

456

315

77

22

27

16

287

210

77

261

250

8

***

***

209

***

***

33

2,432

2022Q1

1,143

728

321

***

***

185

120

34

30

776

434

284

75

24

28

22

297

217

81

280

269

8

***

***

231

***

***

33

2,390

2022Q2

1,015

647

280

***

***

180

120

30

30

736

442

309

75

27

18

13

290

207

83

299

288

8

***

***

206

***

***

30

2,215

2022Q3

962

617

259

***

***

173

119

25

29

715

409

283

74

23

17

12

309

219

89

322

307

6

***

***

240

***

***

30

2,141

2022Q4

1,013

665

261

***

***

166

117

28

21

760

369

248

71

20

17

12

314

221

92

321

309

7

***

***

190

***

***

27

2,147

2023Q1

1,023

692

229

***

***

420

371

28

21

756

377

256

68

20

19

14

320

227

94

319

309

7

***

***

228

***

***

31

2,140

October 16, 2023

Analytics Office

Table 34: Number of Single-Strategy Non-US-Domiciled Hedge Funds

As reported on Form PF, Questions 9, 19, and 20.

Category

Equity

Event Driven

Other

Relative Value

Credit

Macro

Managed Futures/CTA

Investment in other funds

Total

Strategy

Subtotal

Long/Short

Long Bias

Market Neutral

Short Bias

Subtotal

Distressed/Restruct.

Equity

Risk Arb./Merger Arb.

Subtotal

Subtotal

F.I. Sov.

F.I. Asset Backed

Volatility Arb.

F.I. Corp.

F.I. Conv. Arb.

Subtotal

Long/Short

Asset Based Lending

Subtotal

Global Macro

Commodity

Active Trading

Currency

Subtotal

Quantitative

Fundamental

Subtotal

Total

2021Q2

1,084

612

375

***

***

318

220

80

48

881

307

55

151

25

98

25

358

254

107

211

161

38

***

***

120

***

***

104

3,180

2021Q3

1,072

607

379

***

***

321

223

79

47

857

304

54

147

25

98

27

356

249

111

206

159

34

***

***

123

***

***

102

3,131

27

2021Q4

1,093

630

391

***

***

310

214

74

48

853

304

60

149

27

91

24

353

248

108

209

161

42

***

***

108

***

***

103

3,103

2022Q1

1,097

631

394

***

***

316

221

70

50

875

302

59

146

26

92

25

368

260

111

213

167

40

***

***

113

***

***

101

3,158

2022Q2

1,096

631

388

***

***

318

223

70

49

892

301

59

148

25

88

26

370

260

113

212

171

38

***

***

120

***

***

104

3,185

2022Q3

1,093

629

385

***

***

314

223

69

47

881

305

61

150

24

90

24

381

267

117

215

170

39

***

***

121

***

***

108

3,187

2022Q4

1,069

599

385

***

***

313

219

75

43

919

294

60

139

29

87

24

375

267

111

216

164

45

***

***

125

***

***

107

3,200

2023Q1

1,024

596

342

***

***

313

223

70

44

931

300

59

143

29

91

24

386

277

112

212

162

40

***

***

129

***

***

106

3,179

October 16, 2023

VII

A

Analytics Office

Information Reported by Large Hedge

Fund Advisers

Economic Leverage

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

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 6

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

-03

Ratio of GNE (w/o IRDs) to NAV

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

15.0

-0

20 6

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

-03

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 6

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

-03

4

21

-0

6

Ratio of LNE (w/o IRDs) to NAV

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

8

20

-0

20 6

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

-03

21

20

Ratio of LNE to NAV

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

10

20

21

-0

20 6

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

-03

-0

20 9

21

-1

20 2

22

-0

20 3

22

-0

20 6

22

-0

20 9

22

-1

20 2

23

-03

21

20

-06

21

20

Ratio of SNE to NAV

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

October 16, 2023

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

October 16, 2023

B

Analytics Office

Industry Concentration

Table 35: Large Hedge Fund Adviser Asset and Exposure Concentration

(Percent of Total Reported)

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

Month

2021-04

2021-05

2021-06

2021-07

2021-08

2021-09

2021-10

2021-11

2021-12

2022-01

2022-02

2022-03

2022-04

2022-05

2022-06

2022-07

2022-08

2022-09

2022-10

2022-11

2022-12

2023-01

2023-02

2023-03

Top 10 Advisers (NAV)

16.3

16.3

16.3

16.3

17.0

17.0

17.1

17.1

17.1

17.5

16.8

16.8

17.1

17.2

17.2

17.5

17.5

17.5

17.4

17.4

17.4

17.6

17.6

17.6

Top 20 Advisers (NAV)

26.5

26.5

26.5

26.6

27.5

27.5

27.4

27.4

27.4

28.2

27.3

27.3

28.0

28.1

28.1

28.3

28.3

28.3

28.2

28.2

28.2

28.6

28.6

28.6

30

Top 10 Advisers (GNE)

40.7

40.4

40.0

40.7

39.3

38.8

38.4

38.5

38.2

39.0

38.5

38.3

42.8

42.8

39.0

40.2

40.1

39.9

39.2

39.6

38.9

40.8

40.6

41.4

Top 20 Advisers (GNE)

55.5

55.7

54.8

56.9

56.3

55.7

56.4

56.5

54.9

55.4

55.8

55.2

57.7

58.7

55.5

57.3

57.9

57.0

57.0

57.9

55.9

58.6

59.3

58.9

October 16, 2023

Portfolio Turnover

Table 36: Aggregate Portfolio Turnover ($ Billions)

As reported on Form PF, Question 27.

Month

2021-04

2021-05

2021-06

2021-07

2021-08

2021-09

2021-10

2021-11

2021-12

2022-01

2022-02

2022-03

2022-04

2022-05

2022-06

2022-07

2022-08

2022-09

2022-10

2022-11

2022-12

2023-01

2023-02

2023-03

Futures

9,445

13,934

16,641

11,986

13,952

15,988

19,432

17,055

14,329

16,568

21,266

23,015

16,025

19,479

22,129

19,117

23,968

29,032

20,479

25,693

25,184

16,082

21,793

27,929

Sov. and muni. bonds

4,022

4,403

5,152

5,097

5,423

5,468

5,646

6,181

4,656

5,313

6,327

5,986

4,574

5,143

4,903

4,389

5,152

4,931

4,372

5,199

4,522

5,301

6,460

7,294

Listed equities

3,210

3,375

3,678

3,158

3,100

3,436

3,403

3,775

3,842

3,948

3,792

4,526

3,676

4,252

3,892

3,022

3,433

3,531

4,302

4,376

4,028

4,126

4,084

4,937

Corporate bonds

173

157

151

142

140

167

182

164

120

188

292

255

223

339

312

318

236

205

185

201

149

224

234

245

Convertible bonds

51

44

48

29

39

54

38

53

38

40

35

36

27

30

24

17

29

25

32

29

19

32

49

39

Total

16,902

21,912

25,671

20,411

22,654

25,112

28,701

27,228

22,986

26,056

31,712

33,818

24,525

29,242

31,261

26,862

32,819

37,724

29,371

35,498

33,903

25,766

32,620

40,443

Figure 9: Distributions of Portfolio Turnover

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

60

40

20

15

10

5

0

20

20

21

21

-0

20 6

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

-03

0

20

-0

20 6

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

-03

Ratio of Turnover to NAV

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

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

Total Turnover ($Billions)

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

C

Analytics Office

(a) Total Turnover

(b) Total Turnover to NAV Ratio

31

October 16, 2023

D

Analytics Office

Region and Country Exposure

Table 37: Large Hedge Fund Adviser Hedge Fund

Region Exposure ($ Billions)

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

Region

North America

Europe EEA

Asia

Europe Other

South America

Supranational

Middle East

Africa

2021Q2

5,579

1,487

816

313

91

47

54

38

2021Q3

5,837

1,594

800

313

86

51

31

32

2021Q4

5,931

1,478

767

305

86

48

30

26

2022Q1

5,851

1,633

716

416

92

42

27

28

2022Q2

5,581

1,480

713

324

81

38

26

22

2022Q3

5,424

1,433

737

336

81

32

46

21

2022Q4

5,546

1,657

750

356

86

27

26

24

2023Q1

5,840

1,526

730

372

83

34

26

21

Table 38: Large Hedge Fund Adviser Hedge Fund

Region Exposure (Percent of Aggregate NAV)

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

Region

North America

Europe EEA

Asia

Europe Other

South America

Supranational

Middle East

Africa

2021Q2

127.6

34.0

18.7

7.2

2.1

1.1

1.2

0.9

2021Q3

128.4

35.1

17.6

6.9

1.9

1.1

0.7

0.7

2021Q4

130.9

32.6

16.9

6.7

1.9

1.1

0.7

0.6

2022Q1

132.1

36.9

16.2

9.4

2.1

0.9

0.6

0.6

32

2022Q2

132.0

35.0

16.9

7.7

1.9

0.9

0.6

0.5

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

137.0

35.8

17.1

8.7

1.9

0.8

0.6

0.5

October 16, 2023

Analytics Office

Table 39: Large Hedge Fund Adviser Hedge Fund

Country Exposure ($ Billions)

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

Country

United States

Japan

China (Inc. Hong Kong)

India

Brazil

Russia

2021Q2

5,284

219

284

52

43

18

2021Q3

5,472

233

251

53

33

16

2021Q4

5,540

217

239

51

33

16

2022Q1

5,541

213

204

48

39

5

2022Q2

5,286

240

198

47

34

5

2022Q3

5,146

266

174

49

34

5

2022Q4

5,275

337

171

44

34

3

2023Q1

5,542

332

171

44

31

3

2022Q4

127.4

8.1

4.1

1.1

0.8

0.1

2023Q1

130.0

7.8

4.0

1.0

0.7

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

2021Q2

120.9

5.0

6.5

1.2

1.0

0.4

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

33

2022Q1

125.1

4.8

4.6

1.1

0.9

0.1

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

October 16, 2023

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 6

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

-03

0.0

10.0

20 6

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

-03

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

-06

(a) LNE Including IRDs

(c) SNE Including IRDs

35

-0

20 9

21

-1

20 2

22

-0

20 3

22

-0

20 6

22

-0

20 9

22

-1

20 2

23

-03

0

21

2

20

4

-0

20 6

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

-03

21

20

0

-06

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 6

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

-03

20

Ratio of LNE to NAV

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

6

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

-03

21

20

21

20

Ratio of SNE to NAV

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

October 16, 2023

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

October 16, 2023

B

Analytics Office

Gross Exposure by Strategy5

Table 41: Exposures of Hedge Funds ($ Billions)

As reported on Form PF, Questions 9 and 20.

Category

Equity

Other

Relative Value

Macro

Credit

Event Driven

Managed Futures/CTA

Investment in other funds

Total

Strategy

Subtotal

Long/Short

Long Bias

Market Neutral

Short Bias

Subtotal

Subtotal

F.I. Sov.

F.I. Asset Backed

F.I. Conv. Arb.

Volatility Arb.

F.I. Corp.

Subtotal

Global Macro

Commodity

Currency

Active Trading

Subtotal

Long/Short

Asset Based Lending

Subtotal

Distressed/Restruct.

Equity

Risk Arb./Merger Arb.

Subtotal

Quantitative

Fundamental

Subtotal

Total

2021Q2

2,244

1,205

649

390

0

1,365

1,031

692

95

133

48

63

814

736

44

***

***

448

346

102

452

186

138

129

215

***

***

54

6,623

2021Q3

2,229

1,201

649

***

***

1,427

1,035

691

100

126

57

61

888

785

66

34

4

453

348

105

449

202

141

107

246

***

***

57

6,785

2021Q4

2,252

1,212

643

396

0

1,456

1,063

709

102

123

65

63

789

699

54

***

***

479

359

119

458

205

145

108

222

***

***

65

6,783

2022Q1

2,031

1,100

577

***

***

1,483

1,043

676

110

112

74

70

850

740

73

***

***

485

359

127

429

202

136

91

238

***

***

75

6,633

2022Q2

1,773

970

467

***

***

1,440

1,028

684

113

89

79

62

867

737

88

39

2

482

350

132

403

201

112

90

215

***

***

69

6,277

2022Q3

1,684

938

414

***

***

1,427

968

638

115

84

72

60

879

740

92

44

2

507

367

140

394

201

101

93

258

***

***

68

6,185

2022Q4

1,793

1,016

438

***

***

1,458

950

627

121

82

54

66

992

895

58

37

2

527

378

149

371

203

96

72

196

***

***

71

6,359

2023Q1

1,842

1,048

448

***

***

1,486

1,034

706

103

88

76

61

890

813

44

***

***

543

389

154

382

201

106

75

186

***

***

84

6,447

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

October 16, 2023

Analytics Office

Table 42: Exposures of Hedge Funds (Percent of NAV)

As reported on Form PF, Questions 9 and 20.

Category

Equity

Other

Relative Value

Macro

Credit

Event Driven

Managed Futures/CTA

Investment in other funds

Total

Strategy

Subtotal

Long/Short

Long Bias

Market Neutral

Short Bias

Subtotal

Subtotal

F.I. Sov.

F.I. Asset Backed

F.I. Conv. Arb.

Volatility Arb.

F.I. Corp.

Subtotal

Global Macro

Commodity

Currency

Active Trading

Subtotal

Long/Short

Asset Based Lending

Subtotal

Distressed/Restruct.

Equity

Risk Arb./Merger Arb.

Subtotal

Quantitative

Fundamental

Subtotal

Total

2021Q2

55.4

29.7

16.0

9.6

0.0

33.7

25.4

17.1

2.3

3.3

1.2

1.6

20.1

18.2

1.1

***

***

11.0

8.5

2.5

11.2

4.6

3.4

3.2

5.3

***

***

1.3

163.4

2021Q3

53.6

28.8

15.6

***

***

34.3

24.9

16.6

2.4

3.0

1.4

1.5

21.3

18.9

1.6

0.8

0.1

10.9

8.4

2.5

10.8

4.9

3.4

2.6

5.9

***

***

1.4

163.0

37

2021Q4

53.8

29.0

15.4

9.5

0.0

34.8

25.4

16.9

2.4

2.9

1.5

1.5

18.8

16.7

1.3

***

***

11.4

8.6

2.9

10.9

4.9

3.5

2.6

5.3

***

***

1.6

162.0

2022Q1

49.0

26.5

13.9

***

***

35.8

25.2

16.3

2.7

2.7

1.8

1.7

20.5

17.8

1.8

***

***

11.7

8.7

3.1

10.3

4.9

3.3

2.2

5.7

***

***

1.8

160.1

2022Q2

45.8

25.0

12.1

***

***

37.2

26.6

17.7

2.9

2.3

2.0

1.6

22.4

19.0

2.3

1.0

0.1

12.4

9.0

3.4

10.4

5.2

2.9

2.3

5.6

***

***

1.8

162.1

2022Q3

44.7

24.9

11.0

***

***

37.9

25.7

16.9

3.1

2.2

1.9

1.6

23.3

19.7

2.4

1.2

0.1

13.5

9.8

3.7

10.5

5.3

2.7

2.5

6.8

***

***

1.8

164.3

2022Q4

47.4

26.9

11.6

***

***

38.5

25.1

16.6

3.2

2.2

1.4

1.7

26.2

23.6

1.5

1.0

0.1

13.9

10.0

3.9

9.8

5.4

2.5

1.9

5.2

***

***

1.9

168.0

2023Q1

47.8

27.2

11.6

***

***

38.5

26.8

18.3

2.7

2.3

2.0

1.6

23.1

21.1

1.1

***

***

14.1

10.1

4.0

9.9

5.2

2.7

1.9

4.8

***

***

2.2

167.1

October 16, 2023

C

Analytics Office

Leverage by Strategy

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

by Strategy

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

Strategy

Relative Value

Macro

Multi-Strategy

Credit

Equity

Other

Managed Futures/CTA

Investment in other funds

Event Driven

2021Q2

5.7

4.8

3.2

1.6

1.5

1.4

1.5

1.3

1.4

2021Q3

7.0

4.8

3.3

1.5

1.5

1.5

1.5

1.3

1.4

2021Q4

7.0

4.3

3.4

1.6

1.5

1.5

1.4

1.3

1.4

2022Q1

6.0

4.6

3.1

1.6

1.6

1.4

1.5

1.2

1.4

2022Q2

6.5

4.5

3.0

1.6

1.6

1.4

1.9

1.5

1.4

2022Q3

6.2

4.6

2.9

1.7

1.6

1.5

1.6

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

5.1

3.6

1.7

1.6

1.5

1.4

1.3

1.3

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

by Strategy

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

Strategy

Macro

Relative Value

Multi-Strategy

Managed Futures/CTA

Investment in other funds

Equity

Credit

Other

Event Driven

2021Q2

37.4

23.3

16.1

21.4

2.9

3.0

3.2

3.2

2.1

2021Q3

35.1

26.4

16.2

22.9

3.3

2.9

3.0

3.2

2.0

2021Q4

33.2

27.1

16.0

16.9

3.3

3.1

3.1

3.1

1.9

2022Q1

33.8

25.4

14.9

15.0

2.8

2.9

3.2

3.1

1.9

2022Q2

30.1

24.8

13.2

16.5

4.1

2.9

3.1

2.9

2.0

2022Q3

30.4

23.8

11.0

14.0

3.9

3.4

3.2

2.9

1.8

2022Q4

34.9

21.3

14.5

14.3

3.0

3.5

3.2

2.9

1.8

2023Q1

38.4

23.1

14.1

10.2

5.8

3.6

3.3

2.8

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

Multi-Strategy

Relative Value

Equity

Other

Credit

Event Driven

Investment in other funds

2021Q2

43.7

34.0

25.4

20.9

7.5

12.2

8.9

7.2

3.0

2021Q3

42.6

42.7

25.4

21.1

8.1

11.6

8.8

7.7

1.6

2021Q4

44.1

48.2

26.1

21.8

8.5

11.8

8.3

8.1

8.2

38

2022Q1

45.4

51.0

23.9

23.3

10.3

11.3

6.8

10.7

4.9

2022Q2

45.8

56.0

27.7

23.8

12.7

11.4

8.3

9.6

6.8

2022Q3

43.6

54.2

27.9

25.0

13.7

12.3

7.3

9.8

5.5

2022Q4

45.7

49.3

30.5

23.5

13.9

11.5

8.9

9.8

6.1

2023Q1

43.3

35.4

27.2

25.9

12.3

9.6

8.4

8.1

7.5

October 16, 2023

D

Analytics Office

Investment Exposures

Table 46: Aggregate Qualifying Hedge Fund Gross Notional Exposure

by Asset Type ($ Billions)

As reported on Form PF, Questions 26 and 30.

Interest Rate Derivatives

Foreign Exchange Derivatives

Repurchase Agreements

Non-Financial Listed Equities

U.S. Treasury Securities

Non-Financial Equity Derivatives

Sovereign Bonds - Non-U.S. G10

Credit Derivatives

Non-Financial Unlisted Equities

Cash/Cash Equivalents - Other

Commodity Derivatives

Financial Listed Equities

Leveraged Loans

Cash/Cash Equivalents - Deposits

Non-Financial Corporate Bonds

Non-U.S. Currency Holdings

Other Derivatives

Sovereign Bonds - Other

Physical Real Estate

Cash/Cash Equivalents - MMFs

MBS

Other Private Funds

Other Loans (Excluding Repo)

Non-Financial Convertible Bonds

Other

Financial Equity Derivatives

Financial Corporate Bonds

Other ABS/Structured Products

U.S. Agency and GSE Securities

CDO/CLO

Financial Unlisted Equities

U.S. State and Local Bonds

Registered Investment Companies

Financial Convertible Bonds

Physical Commodities

2021Q2

7,465

4,071

2,071

2,836

1,726

1,558

1,416

714

433

572

417

348

230

205

272

221

215

320

130

172

203

157

123

200

88

110

71

62

43

37

30

19

17

10

5

2021Q3

7,593

4,073

2,270

2,711

1,733

1,593

1,472

783

417

529

455

361

247

240

271

254

185

332

146

181

212

171

133

178

98

105

73

60

52

38

27

21

16

9

7

2021Q4

7,398

3,963

2,220

2,751

1,757

1,580

1,412

759

467

573

393

376

261

218

280

216

202

308

166

207

205

177

141

173

112

106

71

59

46

39

29

22

16

9

6

39

2022Q1

7,765

3,811

2,196

2,486

1,690

1,778

1,373

746

480

850

424

349

274

216

272

230

215

267

176

198

170

184

144

154

110

102

76

63

47

39

30

19

17

8

9

2022Q2

7,156

3,390

2,164

2,118

1,523

1,483

1,377

808

479

521

399

307

277

224

248

259

219

209

186

226

189

186

149

125

118

93

71

55

56

36

27

17

15

7

9

2022Q3

7,002

3,479

2,085

2,018

1,493

1,460

1,312

736

479

504

376

285

281

222

246

220

210

181

171

216

183

185

151

119

112

85

68

57

46

36

26

18

14

6

3

2022Q4

7,605

3,075

2,133

2,090

1,698

1,526

1,479

680

483

521

362

307

295

240

254

224

242

198

186

215

180

175

155

118

113

88

81

57

60

40

37

16

15

6

6

2023Q1

7,499

3,277

2,345

2,196

1,860

1,519

1,399

732

498

463

385

312

310

301

261

230

219

206

191

184

179

175

153

122

114

91

75

56

41

41

39

16

16

8

4

October 16, 2023

Analytics Office

Table 47: Percent of Qualifying Hedge Fund Gross Notional Exposure

Representing Long Notional Exposure

As reported on Form PF, Questions 26 and 30.

Interest Rate Derivatives

Foreign Exchange Derivatives

Repurchase Agreements

Non-Financial Listed Equities

U.S. Treasury Securities

Non-Financial Equity Derivatives

Sovereign Bonds - Non-U.S. G10

Credit Derivatives

Non-Financial Unlisted Equities

Cash/Cash Equivalents - Other

Commodity Derivatives

Financial Listed Equities

Leveraged Loans

Cash/Cash Equivalents - Deposits

Non-Financial Corporate Bonds

Non-U.S. Currency Holdings

Other Derivatives

Sovereign Bonds - Other

Physical Real Estate

Cash/Cash Equivalents - MMFs

MBS

Other Private Funds

Other Loans (Excluding Repo)

Non-Financial Convertible Bonds

Other

Financial Equity Derivatives

Financial Corporate Bonds

Other ABS/Structured Products

U.S. Agency and GSE Securities

CDO/CLO

Financial Unlisted Equities

U.S. State and Local Bonds

Registered Investment Companies

Financial Convertible Bonds

Physical Commodities

2021Q2

48.2

57.7

46.5

70.1

56.7

53.7

50.0

46.5

99.7

75.1

67.0

72.3

99.4

75.4

81.0

53.5

48.2

69.7

***

***

73.6

99.5

93.1

97.8

95.3

60.6

88.3

84.5

59.3

***

99.8

97.9

96.2

95.8

99.1

2021Q3

48.2

57.0

46.8

71.4

57.2

51.3

48.5

46.9

99.8

73.3

63.8

73.5

98.0

72.8

79.0

57.0

61.3

70.3

***

***

71.9

***

91.7

97.7

96.0

60.1

87.1

85.3

65.0

***

99.7

***

97.9

95.0

98.4

2021Q4

47.3

55.2

48.5

71.8

56.8

51.9

48.5

44.5

99.8

71.8

65.2

73.1

98.0

74.9

74.5

62.6

50.3

64.2

***

***

70.0

99.9

90.7

97.9

94.8

55.5

86.4

84.2

62.8

***

99.7

98.6

97.8

96.2

***

40

2022Q1

48.1

56.0

49.0

70.3

59.2

56.9

47.9

43.1

99.6

67.3

64.3

71.4

98.2

71.9

77.2

61.8

50.5

63.4

***

***

78.4

99.9

91.4

97.3

93.4

54.3

86.5

80.7

55.3

***

99.7

98.9

98.1

96.7

99.8

2022Q2

47.4

55.2

48.4

68.3

62.8

50.6

48.2

40.3

99.8

77.6

59.9

69.5

98.7

67.3

75.4

60.7

44.8

58.5

***

99.9

81.7

99.9

91.6

97.2

90.7

55.6

87.0

83.5

52.8

86.3

99.9

***

98.8

96.3

99.4

2022Q3

49.5

54.5

47.1

67.9

60.0

48.3

49.7

41.3

99.8

78.6

55.4

68.6

97.6

63.6

76.4

62.2

41.9

60.4

***

***

83.6

99.9

89.4

97.5

90.0

55.5

86.3

82.3

61.7

86.7

99.9

99.2

98.3

96.3

***

2022Q4

50.7

53.1

46.4

67.5

59.1

51.3

48.2

47.8

99.6

77.4

59.1

68.1

97.5

64.5

76.8

65.8

40.7

63.2

***

99.9

83.6

100.0

91.3

97.7

86.4

59.0

86.5

86.2

58.8

88.1

99.9

***

98.5

98.1

93.9

2023Q1

48.5

53.9

43.2

66.8

60.7

50.3

48.9

45.3

99.8

81.9

57.4

67.5

97.8

65.0

76.7

58.8

58.6

68.5

***

***

84.3

***

90.2

98.4

85.7

57.0

81.3

86.2

70.6

87.5

99.9

***

99.0

98.5

96.9

October 16, 2023

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

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

20

2

1-0

6

0

20

2

Number of Positions

E

Analytics Office

October 16, 2023

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

2021Q2

7.8

11.7

23.6

40.3

51.3

64.6

2021Q3

7.5

11.2

23.1

40.2

52.2

63.4

2021Q4

7.5

11.0

23.1

42.8

50.2

62.8

2022Q1

7.5

10.9

23.5

39.7

50.1

62.2

2022Q2

5.8

8.6

20.0

36.6

46.9

60.3

2022Q3

5.5

8.2

19.0

35.5

47.3

59.0

2022Q4

5.6

8.2

18.6

37.7

45.5

58.4

2023Q1

5.4

7.6

18.6

34.2

45.1

56.4

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

2021Q2

33.8

54.6

67.5

74.0

78.2

83.2

2021Q3

33.2

53.2

66.1

72.9

77.3

82.2

2021Q4

33.6

52.9

65.7

72.4

77.0

81.8

2022Q1

35.3

53.4

64.8

71.1

75.5

80.5

2022Q2

33.5

51.4

62.2

68.3

73.5

79.2

2022Q3

33.5

50.3

61.2

67.5

72.7

78.6

2022Q4

32.1

49.3

60.2

66.4

71.8

77.8

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 First Calendar Quarter 2023.

At

F

Analytics Office

2023Q1

31.2

48.7

58.9

65.0

70.6

76.4

October 16, 2023

Analytics Office

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

As reported on Form PF, Questions 48 and 49.

2021Q2

2,956

1,909

100

78

18

2021Q3

2,980

1,926

110

84

18

2021Q4

2,923

1,885

114

84

18

2022Q1

2,883

1,878

104

74

17

2022Q2

2,658

1,847

97

74

14

2022Q3

2,532

1,754

96

75

13

2022Q4

2,497

1,728

90

81

20

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 2

21

Q

20 3

21

Q

20 4