# Division of Investment Management

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URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3A45992038fd2e5618

## Record

- **Collection:** Agency decision
- **Document type:** Agency decision

## Text

Division of Investment Management
Analytics Office

Private Funds Statistics
Second Calendar Quarter 2020

January 25, 2021

This is a report of the Staff of the Division of Investment Management’s Analytics Office of the U.S.
Securities and Exchange Commission. The Commission has expressed no view regarding the analysis,
findings, or conclusions contained herein.

January 25, 2021

Analytics Office

Introduction
This report provides a summary of recent private fund industry statistics and trends, reflecting
data collected through Form PF and Form ADV filings.1 Form PF information provided in this
report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary
information of individual Form PF filers.
This report reflects data from Third Calendar Quarter 2018 through Second Calendar Quarter
2020 as reported by Form PF filers.2 Please see the Appendix for information on the categories of
Form PF filers, the definitions of capitalized terms, a description of the boxplots used in several
figures, as well as other technical descriptions.
The Staff continues to work with data reported on Form PF and with filers to identify
and correct filing errors. Staff updates reported statistics based on amended filings and
also may make certain adjustments to the statistics presented to correct what appear to
be clear filing errors. Further, the Staff has employed certain assumptions in aggregating
the data. Future adjustments to these methodologies and amended filings that change
the underlying data could lead to changes in previously reported statistics.

If you have any questions or comments about Second Calendar Quarter
2020 Private Funds Statistics, please contact:
Tim Dulaney, PhD, FRM, Tim Husson, PhD, FRM, or Trevor Tatum at FormPF@sec.gov with subject
line “Second Calendar Quarter 2020-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

Contents
I
II

III
IV

V
VI

Number of Funds and Advisers

4

Gross and Net Assets
A
Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . .
B
Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Fund Domiciles and Adviser Main Offices
Beneficial Ownership
A
All Private Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Qualifying Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Section 3 Liquidity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Section 4 Private Equity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E
Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Derivatives

5
5
8
10
11
13
15
15
16
17
18
19
20

Additional Hedge Fund Industry Information
A
High Frequency Trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Single-Strategy US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . .
D
Single-Strategy Non-US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . .

21
21
22
24
26

VII Information Reported by Large Hedge Fund Advisers
A
Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

28
28
30
31
32

VIII Qualifying Hedge Fund Specific Information
A
Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E
Number of Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
F
Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
G
Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
H
Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
I
Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

34
34
36
38
39
41
42
44
47
48

2

January 25, 2021

J
K

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

49
50

A
B
C
D
E

Section 3 Liquidity Fund Specific Information
Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

52
52
52
55
55
56

A
B
C

Section 4 Private Equity Fund Specific Information
CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . .

57
57
58
59

Appendices
Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3
Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . .
5
Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
How to Read a Boxplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E
Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

61
61
61
61
62
62
62
63
63
64
65

IX

X

XI

Analytics Office

A

3

January 25, 2021

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

2018Q3
11,630
9,382
4,587
3,494
2,664
1,818
1,514
850
68
45
30,695

2018Q4
12,783
9,204
4,900
3,935
2,850
1,827
1,562
970
73
46
32,342

2019Q1
13,013
9,399
4,755
3,932
2,850
1,794
1,569
971
72
45
32,629

2019Q2
13,027
9,497
4,715
3,932
2,851
1,784
1,577
971
72
44
32,710

2019Q3
13,035
9,507
4,702
3,932
2,839
1,803
1,579
969
72
42
32,703

2019Q4
14,336
9,295
4,963
4,394
3,110
1,821
1,717
1,156
65
43
34,642

2020Q1
14,470
9,370
4,965
4,405
3,111
1,826
1,719
1,158
64
41
34,857

2020Q2
14,482
9,402
4,969
4,405
3,107
1,814
1,719
1,155
67
45
34,901

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

2018Q3
1,158
1,739
590
296
335
545
158
117
38
22
3,047

2018Q4
1,256
1,751
628
308
348
553
152
135
40
23
3,161

2019Q1
1,264
1,744
626
307
349
540
153
134
39
22
3,162

2019Q2
1,266
1,741
628
307
350
536
154
134
39
22
3,160

2019Q3
1,268
1,734
625
307
349
548
154
133
39
21
3,153

2019Q4
1,355
1,731
645
323
373
554
160
153
36
22
3,228

2020Q1
1,359
1,728
641
325
373
543
159
154
36
21
3,229

2020Q2
1,361
1,724
641
325
370
540
159
153
37
22
3,228

3
In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered
investment advisers that file a Form PF to report private funds. Please see Appendix E for definitions of other capitalized
terms used in this report.

4

January 25, 2021

Analytics Office

II

Gross and Net Assets

A

Aggregate Assets by Fund Type over Time
Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions)
As reported on Form PF, Question 8.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.

Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total

2018Q3
7,911
6,386
2,769
1,978
1,223
505
490
314
309
82
13,293

2018Q4
7,594
6,153
3,176
2,329
1,226
572
570
297
292
111
13,546

2019Q1
8,053
6,480
3,260
2,364
1,223
574
573
292
289
112
14,087

2019Q2
8,256
6,735
3,260
2,364
1,213
575
575
294
290
112
14,284

2019Q3
8,101
6,655
3,259
2,364
1,227
575
576
300
293
112
14,150

2019Q4
8,180
6,713
3,734
2,743
1,368
662
649
294
289
144
15,031

2020Q1
7,746
6,322
3,809
2,795
1,339
666
647
300
294
144
14,651

2020Q2
7,780
6,403
3,807
2,795
1,354
666
647
307
304
145
14,706

Table 4: Aggregate Private Fund Net Asset Value (NAV) ($ Billions)
As reported on Form PF, Question 9.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.

Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total

2018Q3
4,059
3,188
2,488
1,789
1,097
394
154
311
306
77
8,579

2018Q4
3,794
2,968
2,814
2,083
1,086
445
170
295
289
99
8,703

2019Q1
4,007
3,127
2,896
2,116
1,083
448
171
288
285
99
8,992

5

2019Q2
4,092
3,180
2,896
2,116
1,072
448
172
292
288
98
9,070

2019Q3
4,066
3,189
2,895
2,116
1,086
448
172
297
291
99
9,064

2019Q4
4,135
3,238
3,304
2,442
1,204
504
205
292
286
137
9,780

2020Q1
3,782
2,917
3,373
2,493
1,176
507
202
296
289
138
9,473

2020Q2
4,092
3,215
3,372
2,493
1,187
507
202
302
298
138
9,801

January 25, 2021

Analytics Office

Figure 1: GAV and NAV Distributions
See Appendix C for an explanation of boxplots.

8

6

6

NAV ($Billions)

4
2

8Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q2

8Q
3
20
1

8Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q2

20
1

20
1

2
0

8Q
3

0

4

20
1

GAV ($Billions)

As reported on Form PF, Questions 8 and 9.

8

(a) Qualifying Hedge Fund GAV

(b) Qualifying Hedge Fund NAV

500

NAV ($Millions)

1000

1000
750
500
250
0

Q
20 3
18
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q2

(d) Section 4 Private Equity Fund NAV

18
20

(c) Section 4 Private Equity Fund GAV

18

Q
20 3
18
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q2

0

20

GAV ($Millions)

1250

6

January 25, 2021

Analytics Office

Figure 2: Ratio of GAV to NAV
See Appendix C and Appendix D for an explanation of boxplots and winsorization.

2.0
1.5
1.0
0.5

20 3
18
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q2

0.0

2.5
2.0
1.5
1.0
0.5
0.0

20

20

3.0

18
Q
20 3
18
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q2

Ratio of GAV to NAV
Winsorized (limits=[0%,98%])

2.5

18
Q

Ratio of GAV to NAV
Winsorized (limits=[0%,98%])

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

3.0

(a) All Private Funds

(b) Qualifying Hedge Funds

7

January 25, 2021

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
Private Equity Fund
Other Private Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund

2018Q3
50.6
44.5
41.3
13.2
4.6
4.9
3.0
0.6
0.0
0.0

2018Q4
53.5
45.1
41.6
14.8
5.2
5.3
3.5
0.9
0.0
0.0

2019Q1
52.7
46.7
43.0
14.9
5.2
5.1
3.4
0.8
0.0
0.0

2019Q2
52.1
47.2
43.3
14.6
5.2
5.1
3.5
0.9
0.0
0.0

2019Q3
52.2
46.7
43.1
14.6
5.2
5.1
3.5
0.9
0.0
0.0

2019Q4
52.5
47.4
43.5
14.8
7.3
6.5
4.6
0.8
0.0
0.0

2020Q1
49.0
45.9
42.3
14.9
7.3
6.4
4.9
0.7
0.0
0.0

2020Q2
47.7
45.3
41.3
14.6
7.3
6.4
4.8
0.8
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
0

(a) All Private Funds

20

18

Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q2

Total Borrowings ($Billions)

0

2

Q3

200

3

18

400

4

20

600

18
Q
20 3
18
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q2

Total Borrowings ($Millions)

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

20

B

Analytics Office

(b) Qualifying Hedge Funds

8

January 25, 2021

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
18
Q
20 3
18
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q2

Ratio of Borrowings to NAV
Winsorized (limits=[0%,98%])
20
18
Q
20 3
18
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q2

4

3
2
1
0

(a) All Private Funds

(b) Qualifying Hedge Funds

Table 6: Aggregate Borrowing by Creditor Entity Type (Percent)
As reported on Form PF, Questions 12 and 43 (Third Month).

Creditor Type
US Financial
Non-US Financial
US Non-Financial
Non-US Non-Financial

2018Q3
65.1
32.2
2.5
0.6

2018Q4
64.9
32.1
2.4
0.9

2019Q1
65.6
31.8
2.1
0.8

9

2019Q2
65.9
31.6
2.2
0.9

2019Q3
66.2
31.3
2.3
0.8

2019Q4
65.6
31.1
2.4
1.0

2020Q1
64.9
32.4
2.6
1.0

2020Q2
66.7
30.8
2.5
1.0

January 25, 2021

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

2018Q3
3,351
2,775
2,974
2,304

2018Q4
3,228
2,959
3,405
2,511

2019Q1
3,252
2,979
3,476
2,551

2019Q2
3,272
3,044
3,475
2,557

2019Q3
3,233
3,046
3,470
2,551

2019Q4
3,826
3,482
4,059
2,367

2020Q1
3,793
3,506
4,111
2,353

2020Q2
3,802
3,496
4,115
2,343

Table 8: Liabilities According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.

Level One
Level Two
Level Three
Cost-Based

2018Q3
1,274
903
194
1,503

2018Q4
1,226
1,015
195
2,084

2019Q1
1,233
1,030
197
2,104

2019Q2
1,240
1,067
200
2,115

10

2019Q3
1,233
1,057
202
2,110

2019Q4
1,284
1,033
264
2,231

2020Q1
1,298
1,068
268
2,238

2020Q2
1,289
1,059
268
2,228

January 25, 2021

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
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Securitized Asset Fund
Total

2018Q3
686
505
279
236
98
71
16
16
***
***
1,571

2018Q4
663
510
315
231
112
78
18
16
***
***
1,593

2019Q1
659
509
314
223
112
78
15
13
***
***
1,584

2019Q2
648
504
315
221
112
78
14
12
***
***
1,568

2019Q3
652
503
294
227
112
78
15
12
***
***
1,551

2019Q4
614
504
332
222
136
95
12
11
***
***
1,564

2020Q1
628
500
331
232
136
95
12
11
***
***
1,573

2020Q2
610
499
330
227
135
95
11
11
***
***
1,552

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
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Securitized Asset Fund
Total

2018Q3
813
1,763
37
570
28
6
364
364
***
***
2,984

2018Q4
770
1,821
48
532
33
5
383
382
***
***
3,028

2019Q1
721
1,822
48
470
33
5
293
292
***
***
2,889

2019Q2
713
1,812
48
466
33
5
264
263
***
***
2,843

2019Q3
712
1,812
48
470
33
5
294
292
***
***
2,871

2019Q4
717
2,041
58
477
38
10
317
316
***
***
3,144

2020Q1
637
2,025
58
433
38
10
378
377
***
***
3,108

2020Q2
638
2,017
58
434
38
10
366
366
***
***
3,090

4
Certain data points in the tables in this section and other sections may be masked to avoid possible disclosure of
proprietary information of individual Form PF filers.

11

January 25, 2021

Analytics Office

Figure 5: Parallel Managed Account Value Distributions
See Appendix C for an explanation of boxplots.

20 3
18
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q2

0

20
1

2
1
0

20 3
18
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q2

Parallel Managed Assets ($Billions)

1

3

8Q

2

4

20
1

3

8Q

Parallel Managed Assets ($Billions)

As reported on Form PF, Question 11.

(a) All Private Funds

(b) Qualifying Hedge Funds

12

January 25, 2021

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
Ireland
Luxembourg
Virgin Islands, British
Bermuda
United Kingdom
Other
Country
Cayman Islands
United States
Ireland
Virgin Islands, British
Luxembourg
Bermuda
Other
Country
Ireland
United States
Cayman Islands
Other
Country
United States
Cayman Islands
Canada
United Kingdom
Bermuda
Other

All Private Funds
2018Q3 2018Q4 2019Q1 2019Q2 2019Q3
50.9
51.7
50.7
50.5
50.6
35.1
34.0
34.7
34.9
34.7
4.6
4.6
4.5
4.5
4.7
2.2
2.9
3.0
3.0
2.9
1.7
1.5
1.5
1.5
1.5
1.2
1.1
1.1
1.1
1.2
1.3
1.3
1.2
1.2
1.2
3.0
3.0
3.3
3.3
3.2
Qualifying Hedge Funds
2018Q3 2018Q4 2019Q1 2019Q2 2019Q3
50.6
50.6
51.5
51.9
51.6
35.1
35.6
34.7
34.5
34.7
3.3
3.2
3.2
3.2
3.1
4.2
4.1
3.9
3.9
3.9
2.7
2.6
2.7
2.7
2.7
1.8
2.0
1.9
1.8
2.1
2.2
1.9
2.0
1.9
1.9
Section 3 Liquidity Funds
2018Q3 2018Q4 2019Q1 2019Q2 2019Q3
***
***
***
***
***
36.8
32.9
30.0
29.7
26.5
***
***
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2018Q3 2018Q4 2019Q1 2019Q2 2019Q3
59.5
56.8
56.0
56.0
56.0
29.8
30.6
30.1
30.1
30.1
1.0
1.1
1.1
1.1
1.1
2.9
2.3
2.3
2.3
2.3
1.1
1.0
0.9
0.9
0.9
5.7
8.2
9.6
9.6
9.6

13

2019Q4
51.3
34.6
4.7
3.2
1.3
1.1
1.0
2.9

2020Q1
51.5
34.2
4.5
3.2
1.1
1.1
1.0
3.4

2020Q2
51.0
34.7
4.6
3.1
1.1
1.1
1.0
3.4

2019Q4
51.5
35.0
3.2
3.6
2.7
2.1
1.9

2020Q1
52.5
34.9
2.9
3.2
2.6
2.2
1.7

2020Q2
52.5
35.1
3.1
3.0
2.5
2.0
1.8

2019Q4
***
22.2
***
***

2020Q1
***
25.3
***
***

2020Q2
***
24.2
***
***

2019Q4
56.2
32.0
1.7
1.9
1.0
7.2

2020Q1
55.0
31.4
1.8
1.7
1.0
9.2

2020Q2
55.1
31.3
1.8
1.7
1.0
9.2

January 25, 2021

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

2018Q3
88.8
6.9
4.3

Country
United States
United Kingdom
Hong Kong
Australia
Other

2018Q3
88.6
6.5
***
***
2.1

Country
United States
United Kingdom

2018Q3
***
***

Country
United States
Canada
Other

2018Q3
94.8
***
***

All Private Funds
2018Q4 2019Q1 2019Q2 2019Q3
89.6
89.5
89.5
89.5
6.2
6.3
6.2
6.3
4.2
4.2
4.2
4.2
Qualifying Hedge Funds
2018Q4 2019Q1 2019Q2 2019Q3
89.0
89.0
89.2
89.4
6.1
6.0
5.8
5.5
***
***
***
***
***
***
***
***
2.1
2.0
2.0
2.0
Section 3 Liquidity Funds
2018Q4 2019Q1 2019Q2 2019Q3
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2018Q4 2019Q1 2019Q2 2019Q3
94.0
94.1
94.1
94.1
***
***
***
***
***
***
***
***

14

2019Q4
90.0
5.5
4.5

2020Q1
90.4
5.4
4.2

2020Q2
90.4
5.3
4.3

2019Q4
88.8
5.5
***
***
2.1

2020Q1
89.4
5.0
***
***
2.1

2020Q2
89.8
4.5
***
***
2.0

2019Q4
***
***

2020Q1
***
***

2020Q2
***
***

2019Q4
93.8
***
***

2020Q1
93.8
***
***

2020Q2
93.8
***
***

January 25, 2021

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
Pension Plans
Non-Profits
U.S. Individuals
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
Banking/Thrift Inst.
State/Muni. Govt. Entities
Sec-Registered Investment Companies
Broker-Dealers

2018Q3
1,534
1,250
1,178
1,048
868
851
544
373
195
187
172
131
127
121

2018Q4
1,518
1,333
1,231
1,045
850
843
555
399
205
204
169
122
118
108

2019Q1
1,550
1,376
1,250
1,068
894
876
604
412
209
216
171
130
126
107

2019Q2
1,563
1,381
1,250
1,083
902
886
611
416
210
222
177
132
125
109

2019Q3
1,556
1,392
1,245
1,079
901
888
609
415
209
224
172
137
125
109

2019Q4
1,673
1,461
1,335
1,164
994
957
658
461
224
243
183
173
137
114

2020Q1
1,640
1,447
1,301
1,100
930
913
648
462
221
231
175
169
127
106

2020Q2
1,669
1,504
1,330
1,136
990
965
670
470
238
238
173
172
130
112

2020Q1
17.3
15.3
13.7
11.6
9.8
9.6
6.8
4.9
2.3
2.4
1.8
1.8
1.3
1.1

2020Q2
17.0
15.3
13.6
11.6
10.1
9.8
6.8
4.8
2.4
2.4
1.8
1.8
1.3
1.1

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
Pension Plans
Non-Profits
U.S. Individuals
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
Banking/Thrift Inst.
State/Muni. Govt. Entities
Sec-Registered Investment Companies
Broker-Dealers

2018Q3
17.9
14.6
13.7
12.2
10.1
9.9
6.3
4.3
2.3
2.2
2.0
1.5
1.5
1.4

2018Q4
17.4
15.3
14.1
12.0
9.8
9.7
6.4
4.6
2.4
2.3
1.9
1.4
1.4
1.2

15

2019Q1
17.2
15.3
13.9
11.9
9.9
9.7
6.7
4.6
2.3
2.4
1.9
1.4
1.4
1.2

2019Q2
17.2
15.2
13.8
11.9
9.9
9.8
6.7
4.6
2.3
2.4
1.9
1.5
1.4
1.2

2019Q3
17.2
15.4
13.7
11.9
9.9
9.8
6.7
4.6
2.3
2.5
1.9
1.5
1.4
1.2

2019Q4
17.1
14.9
13.7
11.9
10.2
9.8
6.7
4.7
2.3
2.5
1.9
1.8
1.4
1.2

January 25, 2021

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
Non-Profits
Other
Pension Plans
U.S. Individuals
State/Muni. Govt. Pension Plans
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Broker-Dealers
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Sec-Registered Investment Companies
Banking/Thrift Inst.

2018Q3
526
442
447
417
357
348
195
91
79
84
53
50
59
38

2018Q4
480
404
414
399
323
343
196
82
75
77
48
39
52
32

2019Q1
508
442
428
417
347
353
198
89
79
77
57
42
54
33

2019Q2
520
449
437
428
340
357
206
90
79
79
58
45
54
36

2019Q3
525
446
431
422
342
367
208
89
83
80
57
47
55
36

2019Q4
532
464
427
433
351
371
209
92
84
81
63
49
43
38

2020Q1
492
410
393
376
316
331
191
89
76
73
54
45
35
35

2020Q2
532
470
428
409
362
356
205
96
91
78
56
50
45
34

2020Q1
16.9
14.1
13.5
12.9
10.8
11.3
6.5
3.0
2.6
2.5
1.8
1.5
1.2
1.2

2020Q2
16.5
14.6
13.3
12.7
11.3
11.1
6.4
3.0
2.8
2.4
1.8
1.5
1.4
1.1

Table 16: 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.
Insurance Companies
Non-U.S. Individuals
Broker-Dealers
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Sec-Registered Investment Companies
Banking/Thrift Inst.

2018Q3
16.5
13.9
14.0
13.1
11.2
10.9
6.1
2.9
2.5
2.6
1.6
1.6
1.8
1.2

2018Q4
16.2
13.6
14.0
13.5
10.9
11.6
6.6
2.8
2.5
2.6
1.6
1.3
1.8
1.1

16

2019Q1
16.3
14.1
13.7
13.3
11.1
11.3
6.3
2.8
2.5
2.5
1.8
1.3
1.7
1.1

2019Q2
16.4
14.1
13.7
13.5
10.7
11.2
6.5
2.8
2.5
2.5
1.8
1.4
1.7
1.1

2019Q3
16.4
14.0
13.5
13.2
10.7
11.5
6.5
2.8
2.6
2.5
1.8
1.5
1.7
1.1

2019Q4
16.4
14.3
13.2
13.4
10.8
11.5
6.5
2.8
2.6
2.5
1.9
1.5
1.3
1.2

January 25, 2021

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
Broker-Dealers
Sec-Registered Investment Companies
Banking/Thrift Inst.
Insurance Companies
Sov. Wealth Funds And For. Official Inst.
Pension Plans
State/Muni. Govt. Entities
Non-U.S. Individuals
Non-Profits
U.S. Individuals
State/Muni. Govt. Pension Plans

2018Q3
57
51
105
***
23
17
12
***
4
***
4
1
***
2

2018Q4
55
54
97
***
18
***
9
***
3
***
5
1
***
2

2019Q1
57
60
84
***
19
***
10
***
***
***
4
1
***
***

2019Q2
58
60
84
***
19
***
10
***
***
***
3
***
***
***

2019Q3
75
64
69
***
19
16
8
***
***
***
4
1
***
***

2019Q4
74
63
62
***
14
***
8
***
4
***
4
2
***
***

2020Q1
76
61
72
***
12
***
10
***
***
***
4
2
***
***

2020Q2
92
59
57
***
17
***
11
***
***
***
3
2
***
***

2020Q1
26.2
21.0
24.9
***
4.3
***
3.5
***
***
***
1.5
0.6
***
***

2020Q2
30.7
19.9
19.0
***
5.7
***
3.7
***
***
***
0.9
0.6
***
***

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
Broker-Dealers
Sec-Registered Investment Companies
Banking/Thrift Inst.
Insurance Companies
Sov. Wealth Funds And For. Official Inst.
Pension Plans
State/Muni. Govt. Entities
Non-U.S. Individuals
Non-Profits
U.S. Individuals
State/Muni. Govt. Pension Plans

2018Q3
18.7
16.6
34.4
***
7.6
5.4
3.8
***
1.2
***
1.1
0.4
***
0.6

2018Q4
19.0
18.7
33.6
***
6.2
***
3.1
***
0.9
***
1.7
0.4
***
0.6

17

2019Q1
20.0
20.9
29.6
***
6.6
***
3.5
***
***
***
1.3
0.5
***
***

2019Q2
20.1
20.7
29.1
***
6.6
***
3.3
***
***
***
1.1
***
***
***

2019Q3
25.8
22.0
23.8
***
6.7
5.6
2.8
***
***
***
1.2
0.4
***
***

2019Q4
25.8
21.9
21.6
***
4.8
***
2.8
***
1.3
***
1.3
0.8
***
***

January 25, 2021

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
State/Muni. Govt. Pension Plans
Private Funds
Other
Sov. Wealth Funds And For. Official Inst.
Pension Plans
Insurance Companies
Non-Profits
U.S. Individuals
State/Muni. Govt. Entities
Non-U.S. Individuals
Banking/Thrift Inst.
Sec-Registered Investment Companies
Unknown Non-U.S. Investors
Broker-Dealers

2018Q3
416
356
225
203
159
109
104
94
28
36
29
16
14
1

2018Q4
454
398
322
225
175
127
116
117
36
48
31
17
17
1

2019Q1
454
397
336
244
175
127
116
117
36
48
31
17
17
1

2019Q2
454
397
336
244
175
127
116
117
36
48
31
17
17
1

2019Q3
454
397
336
244
175
127
116
117
36
48
31
17
17
1

2019Q4
514
467
369
278
199
152
139
132
56
51
36
28
19
1

2020Q1
526
468
392
286
201
154
140
132
56
54
37
28
19
1

2020Q2
526
468
392
285
201
154
140
132
56
54
37
28
19
1

Table 20: 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
State/Muni. Govt. Entities
Non-U.S. Individuals
Banking/Thrift Inst.
Sec-Registered Investment Companies
Unknown Non-U.S. Investors
Broker-Dealers

2018Q3
23.3
19.9
12.6
11.3
8.9
6.1
5.8
5.2
1.5
2.0
1.6
0.9
0.8
0.1

2018Q4
21.8
19.1
15.4
10.8
8.4
6.1
5.6
5.6
1.7
2.3
1.5
0.8
0.8
0.1

18

2019Q1
21.4
18.8
15.9
11.5
8.3
6.0
5.5
5.5
1.7
2.3
1.5
0.8
0.8
0.1

2019Q2
21.4
18.8
15.9
11.5
8.3
6.0
5.5
5.5
1.7
2.3
1.5
0.8
0.8
0.1

2019Q3
21.4
18.8
15.9
11.5
8.3
6.0
5.5
5.5
1.7
2.3
1.5
0.8
0.8
0.1

2019Q4
21.1
19.1
15.1
11.4
8.2
6.2
5.7
5.4
2.3
2.1
1.5
1.1
0.8
0.1

2020Q1
21.1
18.8
15.7
11.5
8.1
6.2
5.6
5.3
2.3
2.2
1.5
1.1
0.7
0.1

2020Q2
21.1
18.8
15.7
11.4
8.1
6.2
5.6
5.3
2.3
2.2
1.5
1.1
0.7
0.1

January 25, 2021

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
Venture Capital Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Total

2018Q3
59.5
61.1
55.4
59.6
50.9
50.2
44.4
57.5
57.2
42.0
54.5

2018Q4
58.7
57.8
55.6
59.1
50.9
49.5
43.7
56.6
56.0
34.2
53.8

2019Q1
58.8
57.7
55.2
59.1
50.6
50.8
44.5
55.4
54.9
34.5
54.0

19

2019Q2
58.4
57.7
55.6
59.2
50.8
50.8
44.5
52.1
51.6
34.6
54.0

2019Q3
58.9
57.7
55.7
59.1
51.1
50.8
44.5
49.1
48.1
34.8
54.1

2019Q4
59.0
56.7
55.9
54.7
51.2
50.5
45.0
45.7
44.8
39.4
53.8

2020Q1
59.4
56.6
55.5
54.7
50.5
50.5
45.0
49.4
48.4
39.4
53.7

2020Q2
59.5
56.6
55.3
54.8
50.4
50.5
44.9
46.5
46.0
39.5
53.6

January 25, 2021

V

Analytics Office

Derivatives
Table 22: Aggregate Derivative Value ($ Billions)
As reported on Form PF, Questions 13 and 44 (Third Month).
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.

Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Section 4 Private Equity Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Venture Capital Fund
Total

2018Q3
13,573
10,331
134
40
34
17
***
***
2
***
13,789

2018Q4
12,652
9,870
132
38
31
17
***
***
3
***
12,890

2019Q1
14,163
11,298
131
37
31
17
***
***
3
***
14,384

2019Q2
13,082
11,447
134
37
31
17
***
***
3
***
13,306

2019Q3
13,568
11,493
135
37
31
17
***
***
3
***
13,589

2019Q4
12,765
11,162
111
95
37
18
***
***
3
***
12,912

2020Q1
11,977
10,540
108
96
37
18
***
***
3
***
12,221

2020Q2
11,057
9,544
108
96
37
18
***
***
3
***
11,318

Table 23: Aggregate Derivative Value (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 13, and 44 (Third Month).

Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Section 4 Private Equity Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Venture Capital Fund
Total

2018Q3
334.4
324.0
12.3
1.6
1.9
4.4
***
***
1.5
***
160.7

2018Q4
333.4
332.6
12.2
1.3
1.5
3.7
***
***
1.6
***
148.1

2019Q1
353.4
361.3
12.1
1.3
1.5
3.7
***
***
1.6
***
160.0

20

2019Q2
319.7
360.0
12.5
1.3
1.5
3.7
***
***
1.6
***
146.7

2019Q3
333.7
360.4
12.5
1.3
1.5
3.7
***
***
1.6
***
149.9

2019Q4
308.7
344.7
9.2
2.9
1.5
3.6
***
***
1.5
***
132.0

2020Q1
316.7
361.3
9.2
2.9
1.5
3.6
***
***
1.5
***
129.0

2020Q2
270.2
296.9
9.1
2.9
1.5
3.6
***
***
1.5
***
115.5

January 25, 2021

Analytics Office

Figure 6: Distribution of Derivative Values
See Appendix C and Appendix D for an explanation of boxplots and winsorization.

Total Derivative Value ($Billions)
Winsorized (limits=[1%,99%])

1.5
1.0
0.5

7.5
5.0
2.5
0.0

20

20

10.0

18
Q
20 3
18
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q2

20 3
18
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q2

0.0

18
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

2018Q3
8,057
58
11

2018Q4
7,926
64
8

2019Q1
7,995
67
8

2019Q2
8,065
64
8

2019Q3
8,072
65
8

2019Q4
7,973
51
10

2020Q1
8,057
50
9

2020Q2
8,070
51
8

Table 25: Hedge Fund Assets Managed Using HFT Strategies ($ Billions)
As reported on Form PF, Questions 9 and 21.

Fraction of NAV
0%
Less than 100%
100% or More

2018Q3
3,955
43
39

2018Q4
3,722
43
35

2019Q1
3,923
84
2

2019Q2
3,991
85
2

21

2019Q3
3,956
87
2

2019Q4
4,038
81
3

2020Q1
3,678
84
2

2020Q2
3,969
95
2

January 25, 2021

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

2018Q3
7.2
13.5
20.1
28.4
42.5
55.9

2018Q4
7.4
13.5
19.7
27.9
42.1
55.6

2019Q1
7.2
13.4
19.7
28.0
42.4
56.1

2019Q2
7.3
13.5
19.8
28.1
42.6
56.1

2019Q3
7.4
13.6
19.9
28.1
42.5
56.0

2019Q4
7.4
13.6
19.6
27.7
42.1
55.5

2020Q1
7.5
14.0
20.1
28.1
42.3
55.5

2020Q2
7.5
14.0
20.1
28.2
42.7
56.1

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

2018Q3
15.4
24.4
32.9
42.4
56.0
67.2

2018Q4
16.7
26.0
34.2
43.4
56.6
67.6

2019Q1
16.5
25.7
34.2
43.4
57.1
68.1

2019Q2
16.2
25.4
33.7
43.1
56.7
67.9

2019Q3
15.3
24.9
33.4
42.7
56.3
67.5

2019Q4
15.3
24.5
33.2
42.3
55.7
67.0

2020Q1
17.0
25.9
34.5
43.5
56.5
67.5

2020Q2
14.8
23.8
32.4
41.6
55.1
66.5

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

2018Q3
34.7
48.4
60.0
71.0
82.9
90.6

2018Q4
36.3
51.3
62.9
73.3
84.7
91.6

2019Q1
36.1
50.9
63.0
73.3
85.0
91.9

2019Q2
35.2
50.0
62.0
72.8
84.9
91.7

22

2019Q3
34.1
50.0
61.8
73.0
84.8
91.7

2019Q4
35.5
50.5
62.2
72.9
84.5
91.6

2020Q1
38.5
52.5
63.5
73.5
84.3
91.0

2020Q2
35.0
50.3
62.5
73.5
84.4
91.4

January 25, 2021

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

2018Q3
30.4
48.5
61.4
73.2
86.3
93.2

2018Q4
32.7
49.1
62.1
73.7
86.7
93.3

2019Q1
31.7
50.0
63.0
74.9
87.8
94.0

2019Q2
29.2
47.1
59.8
72.4
86.2
93.2

2019Q3
30.5
48.4
61.3
73.5
87.0
93.9

2019Q4
28.9
47.3
60.1
72.1
86.5
93.7

2020Q1
34.0
52.3
65.0
76.2
88.1
94.3

2020Q2
32.6
48.8
61.5
73.3
87.2
93.9

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

2018Q3
27.6
44.1
57.8
69.4
82.7
91.1

2018Q4
29.7
47.2
60.2
71.2
83.9
91.8

2019Q1
30.0
47.1
59.7
71.2
84.3
92.0

2019Q2
28.3
44.9
57.8
69.3
82.9
91.4

23

2019Q3
28.7
46.0
58.2
69.6
83.0
91.4

2019Q4
29.1
46.3
58.5
70.1
83.3
91.6

2020Q1
33.2
50.8
62.1
72.5
84.6
92.2

2020Q2
31.9
48.1
59.3
70.2
83.0
91.3

January 25, 2021

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 Bias
Long/Short
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

2018Q3
520
236
255
26
3
471
85
50
35
48
30
10
8
46
22
7
***
9
***
19
22
19
3
***
***
7
***
***
1,060

2018Q4
443
205
207
27
4
458
90
50
40
43
29
8
6
38
22
8
5
2
1
17
22
19
3
***
***
6
***
***
973

24

2019Q1
493
223
236
31
2
464
90
50
41
46
31
9
7
41
24
9
5
1
1
15
20
17
3
***
***
6
***
***
1,022

2019Q2
512
239
236
34
2
472
91
48
42
47
30
10
8
43
25
9
6
1
1
22
22
19
3
***
***
6
***
***
1,054

2019Q3
524
252
234
36
2
474
94
50
44
47
30
10
7
45
27
9
6
2
1
25
18
15
3
***
***
6
***
***
1,057

2019Q4
562
276
245
40
2
473
97
50
47
45
30
10
5
42
26
8
5
***
***
31
15
12
1
***
***
5
***
***
1,087

2020Q1
485
235
207
40
2
441
95
47
48
43
31
8
4
39
26
7
3
***
***
36
11
9
2
***
***
5
***
***
1,000

2020Q2
547
269
239
38
2
481
98
52
46
47
32
11
4
42
26
8
5
1
1
30
11
8
2
***
***
5
***
***
1,094

January 25, 2021

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 Bias
Long/Short
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

2018Q3
1,061
517
487
48
15
938
255
151
109
233
162
44
40
153
71
49
***
18
***
191
61
41
15
***
***
37
***
***
2,757

2018Q4
1,026
510
455
50
17
907
272
147
130
207
145
39
32
154
73
48
16
16
12
170
61
37
16
***
***
34
***
***
2,663

25

2019Q1
1,045
511
468
56
16
910
274
143
133
203
141
36
34
153
72
49
16
14
10
174
58
37
15
***
***
34
***
***
2,696

2019Q2
1,053
519
468
56
16
894
285
153
134
206
145
37
33
153
72
48
16
14
10
193
60
38
15
***
***
34
***
***
2,711

2019Q3
1,055
524
467
54
16
924
289
155
136
221
157
44
30
159
74
51
15
16
15
203
57
35
15
***
***
32
***
***
2,734

2019Q4
1,014
522
434
48
17
925
296
154
146
215
153
47
23
150
71
48
16
***
***
211
44
24
9
***
***
26
***
***
2,687

2020Q1
1,008
512
438
47
18
932
302
158
147
220
159
45
23
148
68
47
17
***
***
215
45
24
14
***
***
27
***
***
2,721

2020Q2
994
505
433
45
18
944
312
164
151
227
165
45
24
159
80
49
16
12
11
213
44
22
13
***
***
27
***
***
2,746

January 25, 2021

D

Analytics Office

Single-Strategy Non-US-Domiciled Hedge Funds
Table 33: Exposures of Single-Strategy Non-US-Domiciled Hedge Funds ($ Billions)
As reported on Form PF, Questions 9, 19, and 20.
Category

Equity

Relative Value

Macro

Other
Credit

Event Driven

Managed Futures/CTA
Investment in other funds
Total

Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Corp.
Volatility Arb.
F.I. Conv. Arb.
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Quantitative
Fundamental
Subtotal
Total

2018Q3
858
601
183
***
***
232
108
83
15
16
10
424
411
9
***
***
457
157
122
34
137
81
31
25
124
124
0
19
1,678

2018Q4
751
507
159
***
***
233
104
86
15
19
8
328
318
7
***
***
449
172
133
39
172
81
23
68
124
***
***
24
1,597

26

2019Q1
855
586
178
91
1
284
150
89
16
21
9
390
378
8
***
***
488
180
137
43
124
82
23
19
142
***
***
23
1,712

2019Q2
890
613
185
91
1
355
220
90
17
20
8
384
373
8
***
***
515
180
137
43
133
83
23
27
168
***
***
27
1,765

2019Q3
868
595
178
95
1
358
222
91
18
19
8
392
380
8
***
***
538
183
137
46
122
80
22
20
173
***
***
31
1,750

2019Q4
907
601
211
***
***
360
224
89
19
17
10
357
346
8
***
***
559
202
153
49
121
81
21
18
172
***
***
30
1,807

2020Q1
779
512
190
***
***
391
248
100
18
16
9
353
344
6
***
***
529
206
151
56
111
72
18
21
153
***
***
28
1,654

2020Q2
902
608
224
***
***
379
256
76
24
12
11
343
332
6
***
***
538
213
152
61
117
81
19
17
110
***
***
29
1,822

January 25, 2021

Analytics Office

Table 34: Number of Single-Strategy Non-US-Domiciled Hedge Funds
As reported on Form PF, Questions 9, 19, and 20.
Category

Equity

Relative Value

Macro

Other
Credit

Event Driven

Managed Futures/CTA
Investment in other funds
Total

Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Corp.
Volatility Arb.
F.I. Conv. Arb.
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Quantitative
Fundamental
Subtotal
Total

2018Q3
1,111
681
315
***
***
312
59
133
88
46
32
269
214
41
***
***
713
314
240
78
306
201
80
58
138
131
8
108
3,052

2018Q4
1,115
656
331
***
***
308
55
133
91
43
29
263
210
40
***
***
761
335
248
95
299
198
73
58
138
***
***
95
3,082

27

2019Q1
1,104
651
324
125
7
304
56
128
88
41
30
265
211
41
***
***
763
336
248
96
297
198
69
59
132
***
***
94
3,079

2019Q2
1,099
644
327
124
7
297
54
131
88
37
29
256
197
46
***
***
781
344
254
98
311
209
71
60
131
***
***
107
3,108

2019Q3
1,078
633
317
124
7
291
55
123
85
35
29
246
187
46
***
***
797
337
246
94
314
216
72
57
129
***
***
107
3,092

2019Q4
1,054
623
316
***
***
297
57
131
91
34
28
216
161
44
***
***
789
335
242
95
285
195
75
52
122
***
***
130
3,029

2020Q1
1,058
632
316
***
***
304
56
130
97
34
27
216
163
44
***
***
827
334
238
99
295
206
78
47
132
***
***
127
3,078

2020Q2
1,028
620
311
***
***
301
58
135
97
28
27
209
158
40
***
***
810
341
245
99
300
215
74
44
124
***
***
130
3,047

January 25, 2021

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

18

18

15.0

-0
20 9
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-06

Ratio of GNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])

15.0

-0
20 9
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-06

Ratio of GNE to NAV
Winsorized (limits=[0%,98%])

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

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

28

(b) Gross Exposure without IRDs

10

8

6

4

2

0
Ratio of SNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])

2

0

(a) Long Exposure with IRDs

(c) Short Exposure with IRDs

29

20 9
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-06

4

18
-0

6

Ratio of LNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])

8

20

-0
20 9
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-06

18

20

Ratio of LNE to NAV
Winsorized (limits=[0%,98%])
10

20
18
-0
20 9
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-06

-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-06

18

20

-09

18

20

Ratio of SNE to NAV
Winsorized (limits=[0%,98%])

January 25, 2021
Analytics Office

Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and
Short Notional Exposure (SNE) to Net Asset Value Distribution

See Appendix C and Appendix D for an explanation of boxplots and winsorization.
As reported on Form PF, Questions 3(a) and 26.

10
8

6

4

2

0

(b) Long Exposure without IRDs

10

8

6

4

2

0

(d) Short Exposure without IRDs

January 25, 2021

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
2018-07
2018-08
2018-09
2018-10
2018-11
2018-12
2019-01
2019-02
2019-03
2019-04
2019-05
2019-06
2019-07
2019-08
2019-09
2019-10
2019-11
2019-12
2020-01
2020-02
2020-03
2020-04
2020-05
2020-06

Top 10 Advisers (NAV)
18.2
18.3
18.3
19.2
19.2
19.2
19.0
18.9
18.9
18.9
18.9
18.9
19.3
19.3
19.4
19.5
19.5
19.5
19.1
19.1
19.1
18.3
18.3
18.3

Top 20 Advisers (NAV)
27.4
27.6
27.6
28.7
28.7
28.7
28.5
28.5
28.5
28.5
28.5
28.5
28.8
28.8
28.9
29.3
29.3
29.3
29.6
29.6
29.6
29.0
29.0
29.0

30

Top 10 Advisers (GNE)
35.4
34.1
34.4
35.4
36.4
36.9
37.4
36.9
36.8
37.7
37.4
36.3
36.7
36.7
37.3
37.6
37.3
36.9
37.9
38.6
40.9
40.6
40.4
39.7

Top 20 Advisers (GNE)
51.2
49.9
49.6
51.9
52.4
52.1
53.2
53.0
53.0
54.1
54.1
52.6
53.7
53.9
54.0
54.0
54.0
53.5
55.2
55.8
56.5
56.6
56.0
55.5

January 25, 2021

Portfolio Turnover
Table 36: Aggregate Portfolio Turnover ($ Billions)
As reported on Form PF, Question 27.

Month
2018-07
2018-08
2018-09
2018-10
2018-11
2018-12
2019-01
2019-02
2019-03
2019-04
2019-05
2019-06
2019-07
2019-08
2019-09
2019-10
2019-11
2019-12
2020-01
2020-02
2020-03
2020-04
2020-05
2020-06

Futures
8,108
11,643
12,915
11,765
13,470
12,715
9,675
11,269
14,103
9,917
18,308
16,336
10,905
15,848
15,763
12,752
14,105
13,352
13,069
19,150
25,073
9,351
12,203
12,862

Sov. and muni. bonds
3,178
3,280
2,953
3,180
3,214
2,911
3,783
4,095
3,779
3,425
3,834
3,866
3,490
4,384
3,941
3,679
3,877
3,367
3,799
4,625
6,465
4,464
4,189
4,038

Listed equities
2,272
2,417
2,110
3,018
2,576
2,189
2,353
2,048
2,295
2,263
2,528
2,188
2,278
2,400
2,226
2,566
2,280
2,302
2,719
2,916
4,071
2,658
2,677
3,201

Corporate bonds
92
96
114
129
112
72
159
135
143
127
134
134
136
116
144
152
134
95
176
167
230
226
211
220

Convertible bonds
17
20
32
23
20
13
23
22
27
18
22
25
21
26
34
19
27
21
36
31
36
39
44
51

Total
13,668
17,455
18,124
18,115
19,393
17,901
15,993
17,569
20,347
15,749
24,826
22,549
16,830
22,774
22,108
19,168
20,422
19,137
19,798
26,890
35,875
16,738
19,324
20,372

Figure 9: Distributions of Portfolio Turnover
See Appendix C and Appendix D for an explanation of boxplots and winsorization.

80
60
40
20

20
10
0

20

20

18

18
-0
20 9
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-06

0

30

-0
20 9
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-06

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

January 25, 2021

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
Africa
Middle East

2018Q3
5,112
1,751
678
72
101
60
31
26

2018Q4
5,007
1,822
787
70
111
66
29
27

2019Q1
5,323
1,804
844
78
115
48
31
25

2019Q2
5,522
1,765
840
82
119
38
33
28

2019Q3
5,367
1,734
734
82
101
69
29
26

2019Q4
5,410
1,619
770
85
122
54
33
29

2020Q1
4,940
1,443
658
93
87
42
30
40

2020Q2
4,943
1,419
674
94
86
54
37
28

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
Africa
Middle East

2018Q3
147.2
50.4
19.5
2.1
2.9
1.7
0.9
0.7

2018Q4
153.0
55.7
24.0
2.1
3.4
2.0
0.9
0.8

2019Q1
154.2
52.3
24.5
2.3
3.3
1.4
0.9
0.7

2019Q2
156.4
50.0
23.8
2.3
3.4
1.1
0.9
0.8

32

2019Q3
154.9
50.1
21.2
2.4
2.9
2.0
0.8
0.8

2019Q4
151.8
45.5
21.6
2.4
3.4
1.5
0.9
0.8

2020Q1
151.8
44.4
20.2
2.8
2.7
1.3
0.9
1.2

2020Q2
138.8
39.9
18.9
2.6
2.4
1.5
1.0
0.8

January 25, 2021

Analytics Office

Table 39: Large Hedge Fund Adviser Hedge Fund
Country Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.

Country
United States
China (Inc. Hong Kong)
Japan
Brazil
India
Russia

2018Q3
4,869
165
251
42
36
11

2018Q4
4,783
147
274
40
35
9

2019Q1
5,201
187
265
43
36
9

2019Q2
5,233
186
239
46
32
11

2019Q3
5,165
176
287
40
34
11

2019Q4
5,074
199
264
50
37
15

2020Q1
4,716
181
221
32
29
15

2020Q2
4,721
221
191
33
30
17

2020Q1
144.9
5.6
6.8
1.0
0.9
0.5

2020Q2
132.6
6.2
5.4
0.9
0.8
0.5

Table 40: Large Hedge Fund Adviser Hedge Fund
Country Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.

Country
United States
China (Inc. Hong Kong)
Japan
Brazil
India
Russia

2018Q3
140.2
4.7
7.2
1.2
1.0
0.3

2018Q4
146.2
4.5
8.4
1.2
1.1
0.3

2019Q1
150.7
5.4
7.7
1.2
1.0
0.3

33

2019Q2
148.3
5.3
6.8
1.3
0.9
0.3

2019Q3
149.1
5.1
8.3
1.2
1.0
0.3

2019Q4
142.4
5.6
7.4
1.4
1.0
0.4

January 25, 2021

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

18
-0
20 9
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-06

0.0

10.0

20 9
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-06

10.0

12.5

18
-0

12.5

Ratio of GNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])

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

Ratio of GNE to NAV
Winsorized (limits=[0%,98%])

A

Analytics Office

(a) Including IRDs

(b) Excluding IRDs

34

-09
(a) LNE Including IRDs

(c) SNE Including IRDs

35

-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-06

0

18

2

20

4
-0
20 9
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-06

18

20

0

-09

2

Ratio of LNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])

4

18

6

Ratio of SNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])

18
-0
20 9
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-06

20

Ratio of LNE to NAV
Winsorized (limits=[0%,98%])
6

20

-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-06

18

20

18

20

Ratio of SNE to NAV
Winsorized (limits=[0%,98%])

January 25, 2021
Analytics Office

Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and
Short Notional Exposure (SNE) to Net Asset Value
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
As reported on Form PF, Questions 9, 10, 26, and 30.

6

4

2

0

(b) LNE Excluding IRDs

6

4

2

0

(d) SNE Excluding IRDs

January 25, 2021

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.
F.I. Corp.
Volatility Arb.
Subtotal
Global Macro
Currency
Commodity
Active Trading
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Quantitative
Fundamental
Subtotal
Total

2018Q3
1,761
956
414
383
8
1,005
774
506
137
53
56
22
819
729
45
41
4
307
247
60
350
165
98
88
157
***
***
48
5,220

2018Q4
1,477
762
348
360
7
1,013
879
599
145
55
59
21
716
627
47
37
4
321
256
65
304
164
76
64
150
***
***
44
4,904

2019Q1
1,616
841
384
386
5
1,038
963
686
130
60
67
19
782
695
46
37
4
325
258
66
313
169
80
64
172
***
***
43
5,251

2019Q2
1,644
867
392
380
5
1,088
1,054
774
134
59
69
18
753
666
***
38
***
314
246
68
337
165
86
86
191
***
***
41
5,422

2019Q3
1,622
833
404
381
4
1,098
1,021
723
159
57
64
19
708
629
***
34
***
305
234
71
308
160
78
71
191
***
***
48
5,301

2019Q4
1,723
880
443
397
3
1,134
1,030
714
177
60
61
18
666
579
44
39
5
315
233
82
311
163
79
69
193
***
***
48
5,420

2020Q1
1,379
713
373
***
***
1,106
1,106
836
129
55
53
32
644
577
36
28
4
327
240
87
271
140
65
65
159
158
1
50
5,042

2020Q2
1,641
867
443
329
1
1,126
983
700
116
80
62
26
641
572
***
25
***
358
265
93
281
159
64
59
126
***
***
42
5,198

5
Form PF Question 20 requires advisers to indicate which strategies best describe the reporting fund’s strategies
including a good faith estimate of the reporting fund’s allocation among strategies, and provides a list of investment
strategies for this purpose. Form PF does not define the investment strategies listed by Question 20.

36

January 25, 2021

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.
F.I. Corp.
Volatility Arb.
Subtotal
Global Macro
Currency
Commodity
Active Trading
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Quantitative
Fundamental
Subtotal
Total

2018Q3
55.2
30.0
13.0
12.0
0.2
31.5
24.3
15.9
4.3
1.7
1.8
0.7
25.7
22.9
1.4
1.3
0.1
9.6
7.7
1.9
11.0
5.2
3.1
2.8
4.9
***
***
1.5
163.7

2018Q4
49.8
25.7
11.7
12.1
0.2
34.1
29.6
20.2
4.9
1.9
2.0
0.7
24.1
21.1
1.6
1.3
0.1
10.8
8.6
2.2
10.2
5.5
2.6
2.1
5.0
***
***
1.5
165.2

37

2019Q1
51.7
26.9
12.3
12.4
0.2
33.2
30.8
22.0
4.2
1.9
2.2
0.6
25.0
22.2
1.5
1.2
0.1
10.4
8.3
2.1
10.0
5.4
2.6
2.0
5.5
***
***
1.4
167.9

2019Q2
51.7
27.3
12.3
12.0
0.1
34.2
33.1
24.3
4.2
1.9
2.2
0.6
23.7
20.9
***
1.2
***
9.9
7.7
2.1
10.6
5.2
2.7
2.7
6.0
***
***
1.3
170.5

2019Q3
50.9
26.1
12.7
11.9
0.1
34.4
32.0
22.7
5.0
1.8
2.0
0.6
22.2
19.7
***
1.1
***
9.6
7.3
2.2
9.7
5.0
2.5
2.2
6.0
***
***
1.5
166.2

2019Q4
53.2
27.2
13.7
12.3
0.1
35.0
31.8
22.0
5.5
1.8
1.9
0.6
20.6
17.9
1.3
1.2
0.2
9.7
7.2
2.5
9.6
5.0
2.5
2.1
5.9
***
***
1.5
167.4

2020Q1
47.3
24.5
12.8
***
***
37.9
37.9
28.6
4.4
1.9
1.8
1.1
22.1
19.8
1.2
1.0
0.1
11.2
8.2
3.0
9.3
4.8
2.2
2.2
5.5
5.4
0.1
1.7
172.8

2020Q2
51.0
27.0
13.8
10.2
0.0
35.0
30.6
21.8
3.6
2.5
1.9
0.8
19.9
17.8
***
0.8
***
11.1
8.2
2.9
8.7
4.9
2.0
1.8
3.9
***
***
1.3
161.7

January 25, 2021

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
Other
Equity
Credit
Managed Futures/CTA
Event Driven
Investment in other funds

2018Q3
4.7
4.4
2.3
1.7
1.7
1.5
1.3
1.3
1.1

2018Q4
5.4
3.9
2.3
1.7
1.7
1.6
1.3
1.3
4.8

2019Q1
5.4
4.2
2.3
1.7
1.7
1.6
1.4
1.3
4.5

2019Q2
6.0
4.5
2.5
1.8
1.6
1.5
1.4
1.3
1.2

2019Q3
5.7
4.2
1.9
1.6
1.6
1.5
1.5
1.3
3.9

2019Q4
5.6
4.3
2.3
1.7
1.6
1.6
1.4
1.3
1.2

2020Q1
6.3
4.4
2.3
1.7
1.5
1.7
1.4
1.4
1.2

2020Q2
5.0
3.7
2.0
1.6
1.6
1.6
1.4
1.4
1.3

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
Relative Value
Macro
Managed Futures/CTA
Multi-Strategy
Other
Equity
Credit
Investment in other funds
Event Driven

2018Q3
19.0
23.8
14.0
8.4
4.7
3.6
2.8
3.6
1.9

2018Q4
21.4
24.6
9.7
8.7
4.5
3.5
3.3
14.8
1.8

2019Q1
22.4
28.0
17.9
9.1
4.4
3.6
3.2
12.0
1.8

2019Q2
24.0
29.1
19.9
9.8
4.7
3.3
2.6
2.4
2.0

2019Q3
23.0
25.7
19.8
10.1
4.3
3.3
2.4
10.3
1.9

2019Q4
24.2
27.6
18.5
11.5
4.3
3.1
2.8
1.9
1.9

2020Q1
25.5
26.7
14.6
10.3
4.6
2.7
3.1
1.8
1.9

2020Q2
22.5
20.2
17.4
9.4
4.1
3.0
2.8
2.0
1.8

Table 45: Asset Weighted-Average Percent of Unencumbered Cash
by Strategy
As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month).

Strategy
Managed Futures/CTA
Macro
Multi-Strategy
Relative Value
Other
Equity
Event Driven
Credit
Investment in other funds

2018Q3
47.5
36.8
30.6
18.5
19.2
11.4
9.6
7.3
3.6

2018Q4
57.4
38.3
29.7
20.1
18.1
13.5
12.2
8.3
12.8

2019Q1
49.9
36.5
23.0
19.8
18.2
10.6
9.9
7.3
14.5

38

2019Q2
48.5
38.8
25.7
18.6
18.6
9.6
7.2
6.8
5.8

2019Q3
45.2
37.6
22.3
22.5
16.9
10.7
10.0
7.1
13.0

2019Q4
43.4
39.7
22.7
22.6
14.9
9.3
10.4
7.7
6.6

2020Q1
58.6
43.2
25.0
26.3
16.2
15.2
12.3
8.3
4.7

2020Q2
46.1
40.1
28.5
24.0
16.2
10.5
10.0
7.4
5.1

January 25, 2021

D

Analytics Office

Investment Exposures
Table 46: Aggregate Qualifying Hedge Fund Gross Notional Exposure
by Asset Type ($ Billions)
As reported on Form PF, Questions 26 and 30.

Interest Rate Derivatives
Foreign Exchange Derivatives
Non-Financial Listed Equities
Repurchase Agreements
U.S. Treasury Securities
Non-Financial Equity Derivatives
Sovereign Bonds - Non-U.S. G10
Credit Derivatives
Cash/Cash Equivalents - Other
Sovereign Bonds - Other
Commodity Derivatives
Non-Financial Unlisted Equities
Non-Financial Corporate Bonds
MBS
Financial Listed Equities
Non-U.S. Currency Holdings
Other Derivatives
Cash/Cash Equivalents - Deposits
Cash/Cash Equivalents - MMFs
Leveraged Loans
Non-Financial Convertible Bonds
Other Private Funds
Other Loans (Excluding Repo)
Other
Physical Real Estate
Financial Equity Derivatives
Financial Corporate Bonds
Other ABS/Structured Products
CDO/CLO
U.S. Agency and GSE Securities
Registered Investment Companies
Financial Unlisted Equities
U.S. State and Local Bonds
Financial Convertible Bonds
Physical Commodities

2018Q3
5,512
2,470
2,213
1,553
1,477
1,218
1,241
669
401
213
380
217
220
276
293
163
339
183
163
130
83
112
95
159
91
99
59
47
40
63
31
17
23
10
3

2018Q4
5,355
2,278
1,813
1,771
1,793
998
1,270
730
396
224
286
215
211
358
254
146
319
179
187
133
76
110
98
124
99
112
55
50
38
65
29
19
24
9
3

2019Q1
6,600
2,413
2,049
1,995
1,931
1,110
1,312
770
448
255
316
233
238
309
277
180
263
182
155
144
77
119
106
122
90
98
63
51
42
48
31
21
22
10
3

39

2019Q2
6,755
2,501
2,115
1,939
2,189
1,178
1,276
721
457
280
309
232
238
234
282
182
274
195
154
152
79
125
107
120
97
94
64
52
44
42
29
21
21
11
10

2019Q3
6,088
3,127
2,010
1,891
2,124
1,324
1,130
687
460
275
312
236
226
276
275
188
220
202
161
157
86
121
99
111
107
99
70
51
43
45
27
26
20
10
3

2019Q4
5,736
2,941
2,141
1,922
2,192
1,452
1,194
659
464
291
345
269
223
308
295
202
411
205
171
166
90
123
107
96
106
107
67
56
42
43
14
24
20
10
3

2020Q1
5,625
3,187
1,551
2,010
1,957
1,137
928
536
491
235
227
238
203
219
196
172
236
212
209
168
86
113
100
103
102
83
64
45
31
36
12
22
20
8
3

2020Q2
5,287
2,836
1,945
1,800
1,768
1,132
962
488
409
275
266
255
246
246
237
215
204
190
186
181
117
115
109
100
99
90
67
48
35
35
23
22
20
9
4

January 25, 2021

Analytics Office

Table 47: Percent of Qualifying Hedge Fund Gross Notional Exposure
Representing Long Notional Exposure
As reported on Form PF, Questions 26 and 30.

Interest Rate Derivatives
Foreign Exchange Derivatives
Non-Financial Listed Equities
Repurchase Agreements
U.S. Treasury Securities
Non-Financial Equity Derivatives
Sovereign Bonds - Non-U.S. G10
Credit Derivatives
Cash/Cash Equivalents - Other
Sovereign Bonds - Other
Commodity Derivatives
Non-Financial Unlisted Equities
Non-Financial Corporate Bonds
MBS
Financial Listed Equities
Non-U.S. Currency Holdings
Other Derivatives
Cash/Cash Equivalents - Deposits
Cash/Cash Equivalents - MMFs
Leveraged Loans
Non-Financial Convertible Bonds
Other Private Funds
Other Loans (Excluding Repo)
Other
Physical Real Estate
Financial Equity Derivatives
Financial Corporate Bonds
Other ABS/Structured Products
CDO/CLO
U.S. Agency and GSE Securities
Registered Investment Companies
Financial Unlisted Equities
U.S. State and Local Bonds
Financial Convertible Bonds
Physical Commodities

2018Q3
49.3
55.6
68.0
47.3
63.1
51.4
49.4
45.2
79.1
69.8
59.6
99.8
80.9
71.0
68.9
52.2
34.4
74.1
***
99.1
86.7
***
89.8
97.0
***
61.1
89.9
92.6
***
64.8
95.5
99.8
***
97.3
96.5

2018Q4
50.9
54.6
67.8
42.2
64.2
49.5
51.4
41.4
78.7
73.5
56.5
99.8
80.2
67.6
68.9
60.6
60.9
76.0
***
99.3
85.2
99.9
89.9
94.6
***
65.2
90.7
96.0
***
66.6
96.5
99.8
***
96.4
***

2019Q1
52.2
55.1
67.3
39.6
63.2
53.0
51.9
43.1
78.9
73.8
58.3
99.8
80.8
70.2
69.1
55.2
67.8
75.6
***
99.3
94.0
100.0
90.7
94.5
***
51.8
91.2
96.3
***
74.1
96.6
99.8
99.4
96.1
97.8

40

2019Q2
51.6
54.7
67.6
37.1
60.0
54.3
52.3
42.1
78.9
77.1
59.4
99.8
81.0
82.4
69.8
56.2
63.5
69.4
***
99.2
93.7
99.8
89.7
92.2
***
57.3
90.5
95.9
***
82.5
97.9
99.8
99.3
95.7
99.0

2019Q3
49.8
59.4
67.7
35.2
61.2
54.4
55.1
45.0
80.7
78.1
59.0
99.8
81.1
82.6
68.8
58.1
56.1
64.1
***
99.5
92.6
99.5
89.5
96.1
***
55.4
91.6
97.5
***
79.9
98.2
99.6
***
96.0
97.7

2019Q4
47.8
58.3
68.7
36.1
60.6
57.7
54.3
49.6
80.4
75.7
64.2
99.9
82.1
81.5
68.5
52.6
42.1
61.0
98.9
99.5
94.5
99.8
90.4
96.3
***
55.3
92.0
93.9
***
75.4
97.5
99.4
99.5
95.8
***

2020Q1
48.0
57.7
69.8
37.2
61.1
50.9
54.4
43.5
77.5
77.3
60.8
99.9
86.8
85.9
69.7
56.2
42.3
73.9
***
99.4
93.5
99.8
88.2
94.3
***
54.6
92.7
94.7
***
87.8
96.6
99.8
99.1
96.7
99.1

2020Q2
44.5
60.3
69.0
38.3
61.4
50.6
52.3
41.9
79.4
77.9
63.3
99.8
86.3
84.1
69.4
51.5
49.8
70.9
***
98.2
99.2
99.7
90.9
94.4
***
54.9
91.5
94.6
***
86.7
92.8
99.8
***
96.8
***

January 25, 2021

Number of Positions
Figure 12: Number of Positions Reported by Qualifying Hedge Funds
As reported on Form PF, Question 34.

2000
1500
1000
500

41

0-0
6

20
2

0-0
3

20
2

9-1
2

20
1

9-0
9

20
1

9-0
6

20
1

9-0
3

20
1

8-1
2

20
1

8-0
9

0

20
1

Number of Positions

E

Analytics Office

January 25, 2021

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

2018Q3
8.8
14.9
27.8
47.9
61.2
73.7

2018Q4
8.4
14.8
27.8
50.2
58.4
71.8

2019Q1
8.5
14.5
29.2
47.9
58.5
70.8

2019Q2
8.1
14.0
27.3
46.4
57.4
70.2

2019Q3
7.6
13.8
27.0
47.0
58.5
69.7

2019Q4
7.7
13.1
26.5
46.3
56.9
68.9

2020Q1
7.8
12.9
25.8
44.5
55.4
67.6

2020Q2
7.6
13.1
24.7
42.9
53.5
66.9

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

2018Q3
38.7
61.9
74.9
80.8
84.2
88.2

2018Q4
39.3
61.2
73.7
79.4
83.0
86.8

2019Q1
37.0
60.2
73.0
79.0
82.7
86.7

2019Q2
36.3
59.9
72.5
78.6
82.3
86.5

2019Q3
35.9
58.7
71.4
77.8
81.7
86.0

2019Q4
34.8
57.0
70.1
76.4
80.3
85.2

2020Q1
39.5
59.6
70.6
75.9
79.5
83.8

Figure 13: Asset Weighted-Average Qualifying Hedge Fund
Investor and Portfolio Liquidity
As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of Second Calendar Quarter 2020.

60
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

80

day

Percent of Fund Net Assets (%)

Portfolio Liquidity

At

F

Analytics Office

2020Q2
37.9
59.0
70.4
76.4
80.5
84.7

January 25, 2021

Analytics Office

Table 50: Restrictions on Qualifying Hedge Fund Assets ($ Billions)
As reported on Form PF, Questions 48 and 49.

2018Q3
2,470
1,512
39
34
12

2018Q4
2,266
1,402
42
40
19

2019Q1
2,396
1,488
42
39
17

2019Q2
2,441
1,519
42
40
16

2019Q3
2,427
1,494
45
42
18

2019Q4
2,430
1,553
47
42
15

2020Q1
2,162
1,387
47
48
22

Figure 14: Percentage of Qualifying Hedge Fund NAV
Subject to a Side-Pocket Arrangement
See Appendix C for an explanation of boxplots.

NAV in Side-Pocket (%)

As reported on Form PF, Questions 9 and 48.

40
30
20
10

18

Q
20 3
18
Q
20 4
19
Q
20 1
19
Q
20 2
19
Q
20 3
19
Q
20 4
20
Q
20 1
20
Q2

0

20

Type
May Suspend
May Have Gates
Side-Pocketed
Gated
Suspended

43

2020Q2
2,375
1,521
54
56
18

January 25, 2021

G

Analytics Office

Borrowings
Table 51: Borrowings of Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Question 43 (Third Month).

Type
Secured
Unsecured
Total

Subtype
Subtotal
Prime Broker
Reverse Repo
Other Secured
Subtotal
Total

2018Q3
2,830
1,591
862
377
12
2,842

2018Q4
2,757
1,289
1,081
387
12
2,769

2019Q1
3,016
1,412
1,202
401
13
3,028

2019Q2
3,158
1,438
1,291
429
15
3,173

2019Q3
3,089
1,358
1,330
401
16
3,104

2019Q4
3,163
1,410
1,302
450
18
3,180

2020Q1
2,881
1,067
1,375
438
19
2,899

2020Q2
2,886
1,302
1,169
415
13
2,899

Table 52: Aggregate Borrowing by Creditor Entity Type (Percent)
As reported on Form PF, Question 43 (Third Month).

Creditor Type
US Financial
Non-US Financial
US Non-Financial
Non-US Non-Financial

2018Q3
63.6
36.1
***
***

2018Q4
63.0
36.5
***
***

2019Q1
63.1
36.5
***
***

2019Q2
63.5
35.9
***
***

2019Q3
63.6
35.9
***
***

2019Q4
63.0
36.4
***
***

2020Q1
61.2
38.1
0.6
0.1

2020Q2
63.4
36.0
***
***

Table 53: Aggregate Collateral for Secured Borrowings
of Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Question 43 (Third Month).

Borrowing Type
Prime Broker

Reverse Repo

Other Secured
Total

Collateral Type
Subtotal
Other
Cash
Subtotal
Other
Cash
Subtotal
Other
Cash
Total

2018Q3
2,148
1,557
591
885
573
312
436
298
138
3,468

2018Q4
1,597
1,067
530
1,121
702
420
443
278
165
3,162

2019Q1
1,723
1,158
565
1,250
766
484
456
297
160
3,429

44

2019Q2
1,806
1,222
584
1,355
804
550
494
324
169
3,654

2019Q3
1,706
1,157
549
1,371
836
535
482
339
143
3,559

2019Q4
1,771
1,222
549
1,305
800
506
498
344
154
3,574

2020Q1
1,411
956
455
1,465
875
590
510
351
159
3,386

2020Q2
1,716
1,183
533
1,193
771
422
486
344
142
3,395

4

2

0

(b) Prime Broker Borrowing

45

-0
20 9
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-06

18

6

20

8

Collateral/Reverse Repo Borrowing
Winsorized (limits=[0%,98%])

-0
20 9
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-06

18

20

Collateral/Prime Broker Borrowing
Winsorized (limits=[0%,98%])

-0
20 9
18
-1
20 2
19
-0
20 3
19
-0
20 6
19
-0
20 9
19
-1
20 2
20
-0
20 3
20
-06

18

20

Collateral/Total Secured Borrowing
Winsorized (limits=[0%,98%])

January 25, 2021
Analytics Office

Figure 15: 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

6

4

2

0

(a) Total Secured Borrowing

8

6

4

2

0

(c) Reverse Repo Borrowing

January 25, 2021

Analytics Office

Table 54: Financing Liquidity for Qualifying Hedge Funds
(Percent of Available Financing)
As reported on Form PF, Question 46.

Financing Available
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days

2018Q3
35.8
51.8
66.0
79.9
96.0
97.2

2018Q4
30.0
50.2
68.6
82.8
95.7
96.8

2019Q1
34.7
51.4
68.6
82.7
95.7
96.7

2019Q2
34.5
51.0
68.0
83.5
95.4
96.5

2019Q3
39.7
54.1
68.9
82.7
95.1
96.2

2019Q4
29.1
47.9
67.4
82.8
94.9
96.0

2020Q1
37.1
50.5
70.0
83.9
94.3
95.3

Figure 16: Weighted-Average Qualifying Hedge Fund
Financing Liquidity (Percent of Available Financing)

Financing Liquidity

100
80
60
40
20

ays
36

At
m

ost

18
ost

At
m

mo
At
46

5d

ays
0d

ays
0d

0d
st 3
mo

At

st 9

s
day
st 7
mo

At

st 1
mo
At

ays

0

day

Percent of Available Financing (%)

As reported on Form PF, Question 46 as of Second Calendar Quarter 2020.

2020Q2
39.2
50.7
66.7
81.2
94.5
95.9

January 25, 2021

Central Clearing
Figure 17: Qualifying Hedge Funds Using Central Clearing
As reported on Form PF, Question 39.

Percent of Funds

20

Percent of NAV

15
10
5

47

Q2
20
20

Q1
20
20

Q4
19
20

Q3
19
20

Q2
19
20

Q1
19
20

Q4
18
20

18

Q3

0

20

H

Analytics Office

January 25, 2021

I

Analytics Office

Value-at-Risk (“VaR”) Reporting
Table 55: Number of Qualifying Hedge Funds Using VaR
As reported on Form PF, Question 40.

VaR Method
VaR (Any Method)
Historical Simulation
Parametric
Monte Carlo Simulation
Other
VaR Not Used

2018Q3
682
298
194
182
52
1,136

2018Q4
684
303
189
186
49
1,143

2019Q1
676
297
191
183
45
1,118

2019Q2
665
305
189
165
46
1,119

2019Q3
668
314
183
167
45
1,135

2019Q4
673
317
182
174
43
1,148

2020Q1
669
311
178
176
48
1,157

2020Q2
665
311
181
169
46
1,149

Table 56: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions)
As reported on Form PF, Questions 8 and 40.

VaR Method
VaR (Any Method)
Historical Simulation
Parametric
Monte Carlo Simulation
Other
VaR Not Used

2018Q3
3,841
2,017
842
670
759
2,546

2018Q4
3,652
1,954
801
617
742
2,502

2019Q1
3,887
2,104
817
683
833
2,592

2019Q2
4,021
2,212
831
700
851
2,714

2019Q3
3,914
2,071
829
709
868
2,741

2019Q4
3,938
2,062
797
736
913
2,775

2020Q1
3,784
1,955
739
704
868
2,538

2020Q2
3,685
1,838
742
804
807
2,719

Table 57: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions)
As reported on Form PF, Questions 9 and 40.

VaR Method
VaR (Any Method)
Historical Simulation
Parametric
Monte Carlo Simulation
Other
VaR Not Used

2018Q3
1,434
575
496
353
130
1,754

2018Q4
1,324
524
460
337
114
1,643

2019Q1
1,385
547
475
345
128
1,742

48

2019Q2
1,393
561
482
332
131
1,787

2019Q3
1,382
563
461
334
135
1,807

2019Q4
1,378
560
452
351
121
1,861

2020Q1
1,232
507
382
318
131
1,685

2020Q2
1,334
548
422
341
140
1,881

January 25, 2021

J

Analytics Office

Stress Testing and VaR
Table 58: Number of Qualifying Hedge Funds Managed Using
VaR or Market Factor Change Testing (“Stress Testing”)
As reported on Form PF, Questions 40 and 42.

Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither

2018Q3
613
496
69
640

2018Q4
606
486
78
657

2019Q1
588
453
88
665

2019Q2
587
463
78
656

2019Q3
599
459
69
676

2019Q4
596
448
77
700

2020Q1
600
428
69
729

2020Q2
599
433
66
716

Table 59: Aggregate Qualifying Hedge Fund GAV Managed
Using VaR or Stress Testing ($ Billions)
As reported on Form PF, Questions 8, 40, and 42.

Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither

2018Q3
3,675
1,300
165
1,246

2018Q4
3,496
1,322
155
1,180

2019Q1
3,684
1,322
203
1,270

2019Q2
3,798
1,380
223
1,334

2019Q3
3,733
1,330
181
1,412

2019Q4
3,750
1,299
188
1,476

2020Q1
3,594
1,148
190
1,391

2020Q2
3,440
1,237
245
1,482

Table 60: Aggregate Qualifying Hedge Fund NAV Managed
Using VaR or Stress Testing ($ Billions)
As reported on Form PF, Questions 9, 40, and 42.

Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither

2018Q3
1,320
757
114
998

2018Q4
1,222
704
103
939

2019Q1
1,255
728
129
1,014

2019Q2
1,254
740
139
1,048

49

2019Q3
1,268
740
114
1,068

2019Q4
1,254
741
124
1,120

2020Q1
1,122
651
111
1,034

2020Q2
1,206
732
128
1,149

January 25, 2021

K

Analytics Office

Stress Testing
Table 61: Number of Qualifying Hedge Funds Stressing Each Market Factor
As reported on Form PF, Question 42.

Market Factor
Equity Prices
Currency Rates
Risk Free Rates
Credit Spreads
Implied Volatilities
Commodity Prices
Bond Default Rates
ABS Default Rates

2018Q3
943
785
779
673
550
504
298
247

2018Q4
933
789
779
700
575
523
295
243

2019Q1
888
753
756
667
557
506
273
236

2019Q2
888
761
764
674
565
499
286
237

2019Q3
899
782
769
682
582
507
285
243

2019Q4
881
776
753
664
555
484
266
225

2020Q1
866
765
741
653
535
461
256
205

2020Q2
863
763
750
653
536
477
266
218

Table 62: Aggregate GAV of Qualifying Hedge Funds
Stressing Each Market Factor ($ Billions)
As reported on Form PF, Questions 8 and 42.

Market Factor
Equity Prices
Currency Rates
Risk Free Rates
Credit Spreads
Implied Volatilities
Commodity Prices
Bond Default Rates
ABS Default Rates

2018Q3
4,388
3,992
4,258
3,461
3,314
3,378
1,035
852

2018Q4
4,164
3,850
4,180
3,497
3,394
3,266
1,006
840

2019Q1
4,332
4,012
4,361
3,608
3,540
3,368
1,063
898

2019Q2
4,457
4,121
4,508
3,712
3,690
3,429
1,144
997

2019Q3
4,373
4,010
4,386
3,643
3,608
3,324
1,043
897

2019Q4
4,393
4,016
4,335
3,666
3,550
3,311
984
871

2020Q1
4,137
3,822
4,130
3,527
3,320
3,204
937
832

2020Q2
3,985
3,728
3,981
3,241
3,186
2,959
876
762

Table 63: Aggregate NAV of Qualifying Hedge Funds
Stressing Each Market Factor ($ Billions)
As reported on Form PF, Questions 9 and 42.

Market Factor
Equity Prices
Currency Rates
Risk Free Rates
Credit Spreads
Implied Volatilities
Commodity Prices
Bond Default Rates
ABS Default Rates

2018Q3
1,866
1,605
1,574
1,351
1,128
1,186
462
377

2018Q4
1,714
1,515
1,485
1,324
1,106
1,136
431
351

2019Q1
1,766
1,553
1,527
1,343
1,143
1,155
428
367

50

2019Q2
1,771
1,550
1,528
1,347
1,136
1,134
424
369

2019Q3
1,792
1,568
1,542
1,362
1,159
1,137
426
376

2019Q4
1,773
1,551
1,507
1,338
1,128
1,098
392
347

2020Q1
1,563
1,387
1,345
1,180
1,001
982
339
294

2020Q2
1,716
1,507
1,457
1,281
1,086
1,069
396
348

January 25, 2021

Analytics Office

Table 64: Number of Qualifying Hedge Funds Stressing Market Factors
As reported on Form PF, Question 42.

Factors Tested
0
1
2
3
4
5
6
7
8

2018Q3
709
198
136
136
95
134
181
67
162

2018Q4
735
185
129
118
93
123
211
77
156

2019Q1
753
170
119
122
86
119
202
73
150

2019Q2
734
179
115
115
90
122
207
68
154

2019Q3
745
179
117
100
101
121
208
77
155

2019Q4
777
181
118
95
105
131
206
73
135

2020Q1
798
182
115
94
107
124
217
74
115

2020Q2
782
183
112
107
100
119
205
75
131

Table 65: Aggregate GAV of Qualifying Hedge Funds
Stressing Market Factors ($ Billions)
As reported on Form PF, Questions 8 and 42.

Factors Tested
0
1
2
3
4
5
6
7
8

2018Q3
1,411
380
536
368
324
899
1,589
236
643

2018Q4
1,335
340
562
331
248
749
1,732
236
620

2019Q1
1,473
354
564
367
258
785
1,777
235
667

2019Q2
1,557
386
590
364
271
788
1,836
184
759

2019Q3
1,592
397
570
338
291
746
1,848
222
649

2019Q4
1,665
416
544
339
277
776
1,860
243
595

2020Q1
1,581
365
475
290
276
763
1,784
203
584

2020Q2
1,727
414
493
431
270
740
1,568
250
511

Table 66: Aggregate NAV of Qualifying Hedge Funds
Stressing Market Factors ($ Billions)
As reported on Form PF, Questions 9 and 42.

Factors Tested
0
1
2
3
4
5
6
7
8

2018Q3
1,111
258
230
221
186
288
519
128
247

2018Q4
1,042
231
212
175
147
256
544
139
222

2019Q1
1,143
241
211
207
143
268
545
134
234

2019Q2
1,186
259
206
196
152
274
562
109
235

51

2019Q3
1,181
260
205
187
167
265
561
127
235

2019Q4
1,244
269
212
189
162
271
567
122
202

2020Q1
1,145
240
191
170
145
237
503
119
168

2020Q2
1,277
267
214
199
142
254
521
123
218

January 25, 2021

IX
A

Analytics Office

Section 3 Liquidity Fund Specific Information
Liquidity
Table 67: Investor Liquidity For Section 3 Liquidity Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 64.

Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days

2018Q3
78.8
96.0
99.5
99.8
99.9
100.0

2018Q4
77.9
95.9
99.4
99.8
99.9
99.9

2019Q1
77.9
95.9
99.5
99.9
100.0
100.0

2019Q2
76.2
96.1
99.6
99.9
100.0
100.0

2019Q3
75.5
95.9
99.7
99.8
99.9
100.0

2019Q4
73.6
95.7
99.7
99.8
99.9
99.9

2020Q1
75.5
95.9
99.7
99.9
99.9
100.0

2020Q2
73.2
95.1
99.1
99.6
99.9
100.0

Table 68: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Question 63.

Type
May Suspend
May Have Gates
Suspended
Gated

2018Q4
278
243
0
0

2019Q1
273
237
0
0

2019Q2
276
241
0
0

2019Q3
277
245
0
0

2019Q4
273
241
0
0

2020Q1
274
239
0
0

2020Q2
280
251
0
0

Portfolio Characteristics
Figure 18: 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

52

-06
20
20

-03
20
20

-12
19
20

-09
20

19

-06
19
20

-03
19
20

-12
18
20

18

-09

0

20

Weighted Average Maturity (WAM) in Days

B

2018Q3
291
255
0
0

January 25, 2021

Analytics Office

Figure 19: Weighted-Average Life Reported by Section 3 Liquidity Funds
As reported on Form PF, Question 55.

Asset-Weighted WAL

80
60
40
20

-06
20
20

-03
20
20

-12
20

19

-09
20

19

-06
20

19

-03
19
20

18
20

18
20

-12

0

-09

Weighted Average Life (WAL) in Days

Average WAL

Figure 20: Seven-Day Gross Yield Reported by Section 3 Liquidity Funds
As reported on Form PF, Question 55.

Average Yield

Asset-Weighted Yield

2.5
2.0
1.5
1.0
0.5

53

0-0
6
20
2

0-0
3
20
2

9-1
2
20
1

9-0
9
20
1

9-0
6
20
1

9-0
3
20
1

8-1
2
20
1

8-0
9

0.0

20
1

Seven-Day Gross Yield (%)

3.0

January 25, 2021

Analytics Office

Figure 21: Ratio of Daily Liquid Assets to Net Asset Value of Section 3 Liquidity Funds

Average DLA

100

Asset-Weighted DLA

80
60
40
20

-06
20

20

-03
20

20

-12
19

20

-09
19

20

-06
19

20

-03
19

20

18
20

18
20

-12

0

-09

Ratio of Daily Liquid Assets (DLA)
to Net Asset Value (%)

As reported on Form PF, Question 55.

Figure 22: Ratio of Weekly Liquid Assets to Net Asset Value of Section 3 Liquidity Funds

Average WLA

100

Asset-Weighted WLA

80
60
40
20

54

20
-06

20

20
-03

20

19
-12

20

19
-09

20

19
-06

20

19
-03

20

18
-12

20

18
-09

0

20

Ratio of Weekly Liquid Assets (WLA)
to Net Asset Value (%)

As reported on Form PF, Question 55.

January 25, 2021

C

Analytics Office

Rule 2a-7 Compliance
Table 69: Rule 2a-7 Compliance (Percent of Funds)
As reported on Form PF, Questions 9 and 54.

Compliance Type
Credit Quality
Diversification
Maturity
Liquidity
Fully
None

2018Q3
60.0
55.6
55.6
51.1
46.7
40.0

2018Q4
60.9
56.5
56.5
52.2
47.8
39.1

2019Q1
60.0
55.6
55.6
51.1
46.7
40.0

2019Q2
61.4
56.8
56.8
52.3
47.7
38.6

2019Q3
61.9
57.1
57.1
52.4
47.6
38.1

2019Q4
62.8
58.1
58.1
53.5
48.8
37.2

2020Q1
61.0
56.1
56.1
51.2
46.3
39.0

2020Q2
62.2
57.8
57.8
53.3
48.9
37.8

Table 70: Rule 2a-7 Compliance (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 54.

Compliance Type
Credit Quality
Diversification
Maturity
Liquidity
Fully
None

D

2018Q3
14.5
13.5
13.5
13.3
11.5
85.5

2018Q4
13.4
12.4
12.4
12.2
10.3
86.6

2019Q1
13.8
12.7
12.7
12.5
10.5
86.2

2019Q2
13.6
12.8
12.8
12.6
10.8
86.4

2019Q3
13.6
13.0
13.0
12.8
10.9
86.4

2019Q4
12.9
12.3
12.3
12.1
10.1
87.1

2020Q1
13.2
12.4
12.4
12.2
10.2
86.8

2020Q2
13.8
12.9
12.9
12.6
10.6
86.2

Methods of Calculating NAV
Table 71: NAV Calculation Method (Percent of Funds)
As reported on Form PF, Questions 9, 52, and 53.

Type
Stable
Floating

2018Q3
77.8
22.2

2018Q4
78.3
21.7

2019Q1
80.0
20.0

2019Q2
75.0
25.0

2019Q3
76.2
23.8

2019Q4
74.4
25.6

2020Q1
75.6
24.4

2020Q2
73.3
26.7

Table 72: NAV Calculation Method (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 52, and 53.

Type
Stable
Floating

2018Q3
68.0
32.0

2018Q4
70.9
29.1

2019Q1
74.4
25.6

2019Q2
56.5
43.5

55

2019Q3
62.9
37.1

2019Q4
64.6
35.4

2020Q1
68.2
31.8

2020Q2
68.1
31.9

January 25, 2021

Aggregate Portfolio Holdings
Table 73: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2
6

46.2
58.5
40.4
45.4
57.6
21.9
13.4
3.5
0.9

48.9
57.6
37.8
45.4
48.4
20.8
12.9
4.4
0.9

40.9
61.7
40.2
41.2
58.0
20.3
12.7
3.2
0.8

37.5
62.3
42.0
39.2
59.0
21.4
10.6
4.2
0.8

39.5
65.8
39.6
44.4
62.4
18.6
11.9
3.4
0.7

9-0

45.1
55.0
43.9
48.5
58.0
24.4
16.8
2.9
1.0

9-0

201

5

4
201

60.3
54.2
41.1
46.4
48.3
22.4
14.3
3.2
0.9

9-0
201

-03
201
9

2

57.2
60.7
46.5
42.7
49.9
22.7
14.1
3.1
0.9

9-0
201

1

51.4
59.5
46.8
47.2
49.3
21.8
15.6
3.5
0.9

9-0

2
201

53.6
64.1
45.7
47.9
44.8
20.2
17.8
4.8
1.2

8-1
201

1
201

54.5
59.0
47.0
49.9
45.3
22.0
17.2
4.5
1.0

8-1

201
8-1

0

8-0
9

8

201

Product Type
U.S. Treasuries
Deposits
Commercial Paper
Other
Repo - Govt. Collateral
Asset-Backed Securities
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt

8-0
201

53.3
61.5
50.5
47.3
43.9
21.9
17.6
5.1
1.0

8-0
201

7

As reported on Form PF, Question 63.

Table 74: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2
6
202

0-0

0-0
202

5

4
0-0
202

3

50.2
66.1
40.8
41.9
52.0
18.3
9.6
2.2
0.6

49.8
64.7
43.6
41.7
51.7
17.9
10.0
1.9
0.7

55.3
70.6
42.6
39.9
46.8
17.3
9.6
1.9
0.7

60.0
65.6
41.8
40.1
45.9
16.5
8.2
1.8
0.7

42.4
80.9
44.4
36.8
43.7
18.1
8.7
1.8
0.7

41.1
78.0
49.1
32.7
44.7
17.5
8.7
2.0
0.7

86.1
59.3
32.1
30.8
46.1
13.9
9.1
2.3
0.9

101.2
64.7
38.4
28.0
25.2
19.8
9.9
2.9
0.9

107.0
58.7
34.6
30.5
28.1
21.0
12.0
2.3
1.1

108.4
54.4
37.3
36.7
30.7
20.0
14.4
2.4
1.3

56

0-0
202

0-0
2
202

1

41.3
70.1
43.2
43.6
60.6
18.1
8.0
2.4
0.6

0-0
202

9-1
2
201

-11
201
9

0

36.6
67.5
40.0
47.4
69.8
18.3
11.4
2.3
0.7

9-1
201

9-0
9

-08

201

Product Type
U.S. Treasuries
Deposits
Commercial Paper
Other
Repo - Govt. Collateral
Asset-Backed Securities
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt

201
9

9-0
7

As reported on Form PF, Question 63.

201

E

Analytics Office

January 25, 2021

Analytics Office

X

Section 4 Private Equity Fund Specific Information

A

CPC Industry Concentration
Table 75: Gross Assets in CPC Industries (Percent of Total)
As reported on Form PF, Questions 8 and 77.

Type
Software Publishers
Electric Power Generation,...
Data Processing, Hosting, &...
Oil & Gas Extraction
Telecommunications Data Processing...
Custom Computer Programming...
Other Financial Investment...
Pharmaceutical & Medicine Mfg
Other Information Services
Pipeline Transportation
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2013Q4
2.8
3.8
2.9
7.9
2.6
0.9
2.0
1.0
2.0
2.4
0.9
1.0
1.2
0.4
0.4
0.9
0.8
1.4

2014Q4
3.8
3.8
2.3
7.8
2.5
1.0
1.8
1.3
2.1
2.6
0.9
1.2
1.2
0.6
0.4
1.0
0.8
1.3

57

2015Q4
4.9
3.7
1.8
5.8
2.7
1.5
1.8
1.5
1.9
2.4
1.0
1.1
1.4
0.6
0.6
1.0
0.8
1.3

2016Q4
6.1
4.1
2.0
6.7
2.3
1.5
1.7
1.4
1.8
2.2
0.7
1.3
1.0
0.9
1.8
1.2
0.7
1.2

2017Q4
6.0
4.2
2.3
6.2
2.2
1.5
1.4
1.5
2.0
1.9
1.0
1.6
1.2
0.8
1.6
1.1
0.7
1.4

2018Q4
8.0
4.5
3.5
4.9
2.4
1.8
2.1
2.4
1.7
1.8
1.0
1.4
1.3
1.4
1.3
1.0
0.6
1.2

2019Q4
10.6
4.3
4.2
3.6
2.6
2.1
2.1
2.0
1.9
1.7
1.7
1.6
1.4
1.4
1.2
1.1
1.1
1.1

January 25, 2021

CPC Financial Leverage
Figure 23: 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.

50
40
30
20
10

Q4
19

20

Q4
18

20

Q4
17

20

Q4
16

20

Q4
15

20

Q4
14

20

20

Q4

0

13

Ratio of Portfolio Company Current
Liabilities to Total Liabilities (%)

As reported on Form PF, Questions 71 and 72.

Figure 24: 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.

60
40
20

58

Q4
19

20

Q4
18

20

Q4
17

20

Q4
16

20

Q4
15

20

Q4
14

20

20

Q4

0

13

CPC Payment-in-Kind Borrowings
to Total Borrowings Ratio (%)

B

Analytics Office

January 25, 2021

C

Analytics Office

CPC Investments by Region and Country
Table 76: Aggregate Gross Value of Private Equity
Investments by Region ($ Billions)
As reported on Form PF, Questions 70 and 78.

Region
North America
Europe EEA
Asia
South America
Europe Other
Supranational
Middle East
Africa

2013Q4
5,249
1,432
445
75
25
65
8
21

2014Q4
4,506
1,259
462
85
9
67
12
12

2015Q4
4,132
941
447
58
21
23
9
12

2016Q4
3,942
848
406
111
22
37
15
18

2017Q4
3,961
963
379
184
40
49
23
14

2018Q4
4,211
1,256
435
140
46
55
16
10

2019Q4
5,163
1,547
561
149
69
60
18
15

Table 77: Private Equity CPC Investments by Region
(Percent of Aggregate CPC Gross Asset Value)
As reported on Form PF, Questions 70 and 78.

Region
North America
Europe EEA
Asia
South America
Europe Other
Supranational
Middle East
Africa

2013Q4
71.7
19.6
6.1
1.0
0.3
0.9
0.1
0.3

2014Q4
70.2
19.6
7.2
1.3
0.1
1.0
0.2
0.2

2015Q4
73.2
16.7
7.9
1.0
0.4
0.4
0.2
0.2

59

2016Q4
73.0
15.7
7.5
2.0
0.4
0.7
0.3
0.3

2017Q4
70.5
17.1
6.8
3.3
0.7
0.9
0.4
0.3

2018Q4
68.2
20.3
7.0
2.3
0.7
0.9
0.3
0.2

2019Q4
68.0
20.4
7.4
2.0
0.9
0.8
0.2
0.2

January 25, 2021

Analytics Office

Table 78: Aggregate Gross Asset Value of Private Equity
CPC Investments by Country ($ Billions)
As reported on Form PF, Questions 70 and 78.

Country
United States
China and Hong Kong
India
Brazil
Japan
Russia

2013Q4
5,002
171
63
45
108
3

2014Q4
4,305
186
83
58
98
2

2015Q4
3,943
173
89
41
85
5

2016Q4
3,776
114
92
88
79
4

2017Q4
3,794
147
73
131
52
4

2018Q4
4,015
154
104
96
52
2

2019Q4
4,803
149
128
93
78
1

2018Q4
65.1
2.5
1.7
1.6
0.8
0.0

2019Q4
63.3
2.0
1.7
1.2
1.0
0.0

Table 79: Private Equity CPC Investments by Country
(Percent of Aggregate CPC Gross Asset Value)
As reported on Form PF, Questions 70 and 78.

Country
United States
China and Hong Kong
India
Brazil
Japan
Russia

2013Q4
68.3
2.3
0.9
0.6
1.5
0.0

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

60

2016Q4
69.9
2.1
1.7
1.6
1.5
0.1

2017Q4
67.6
2.6
1.3
2.3
0.9
0.1

January 25, 2021

XI
A

Analytics Office

Appendices
Form PF Filer Categories

The amount of information an adviser must report and the frequency with which it must report
on Form PF depends on the amount of the adviser’s private fund assets and the types of private
funds managed. Reporting advisers must identify the types of private funds they manage on Form
PF.
1

All Private Fund Advisers

SEC-registered investment advisers with at least $150 million in private fund assets under
management are required to file Form PF. Registered investment advisers with less than $150 million
in private funds assets under management, exempt reporting advisers, and state-registered advisers
report general private fund data on Form ADV, but do not file Form PF.6 Not all Form PF filers
report on a quarterly basis. Smaller private fund advisers and all private equity fund advisers file
Form PF on an annual basis, while larger hedge fund advisers and larger liquidity fund advisers file
the form quarterly.7 As a result of the difference in reporting frequency, information in this report
related to funds that are reported annually may be dated by several months.8
2

Large Hedge Fund Advisers

Large Hedge Fund Advisers have at least $1.5 billion in hedge fund assets under management.
A Large Hedge Fund Adviser is required to file Form PF quarterly and provide data about each
hedge fund it managed during the reporting period (irrespective of the size of the fund).
Large Hedge Fund Advisers must report more information on Form PF about Qualifying Hedge
Funds than other hedge funds they manage during the reporting period. A Qualifying Hedge Fund is
any hedge fund advised by a Large Hedge Fund Adviser that had a NAV (individually or in
combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of
at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the
adviser’s most recently completed fiscal quarter. This report provides information about all hedge
funds reported by Large Hedge Fund Advisers, including Qualifying Hedge Funds and smaller hedge
funds. This report also provides an overview of certain data reported solely for Qualifying Hedge
Funds.
6

Note that these thresholds are on a gross basis. Exempt reporting advisers are advisers that rely on the exemptions
from SEC registration in Advisers Act section 203(l) for venture capital fund advisers and section 203(m) for advisers
managing less than $150 million in private fund assets in the U.S.
7
An adviser may be a large hedge fund adviser that must file quarterly to report data about the hedge funds it manages
as well as a private equity fund adviser that must file only annually to report data about the private equity funds it
manages.
8
In addition, because some Form PF filers have fiscal year ends that are not December 31, not all Form PF data is filed
as of a single date.

61

January 25, 2021

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.

62

January 25, 2021

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:
ˆ (Q1): February 15 to May 14
ˆ (Q2): May 15 to August 14
ˆ (Q3): August 15 to November 14
ˆ (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 25 for
an explanation of each feature.
Figure 25: 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.

63

January 25, 2021

D

Analytics Office

Mitigating the Effects of Outliers

Form PF data occasionally contains spurious outliers. While Analytics Office staff actively
engages in outreach to identify and correct such values, not all aberrant values have been corrected
as of this writing. To reduce the effect of these outliers on the aggregate measures reported here, we
have chosen to winsorize or trim some data sets.
Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest
and smallest values in a distribution.11 For example, to calculate a 95%/5% winsorized data set, all
the values above the ninety-fifth percentile are set to the value of the ninety-fifth percentile, and all
the values below the fifth percentile are set to the value of the fifth percentile. Effectively, this
procedure makes the very largest values smaller (but still large), and all the smallest values larger
(but still small). This approach can be more effective than trimming (simply removing the largest
and/or smallest values) because it does not change the number of data points and does not change
the median or other percentile values within the 95%/5% range. All instances of winsorization or
trimming have been noted and include the affected percentiles.

11
Such techniques are known as ‘robust statistics’, reviewed for example in Wilcox (2012), Introduction to Robust
Estimation & Hypothesis Testing, 3rd Edition.

64

January 25, 2021

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.

65

January 25, 2021

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.

66

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Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3A45992038fd2e5618. Public record. Not legal advice.