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Annual Staff Report Relating to the Use of Form PF Data

This is a report of the Staff of the U.S. Securities and Exchange Commission.

The Commission has expressed no view regarding

the analysis, findings, or conclusions contained herein.

December 14, 2018

Executive Summary

Since July 2012, the Commission has collected data about hedge funds, private equity funds, and other

private funds reported by certain registered investment advisers to private funds on Form PF. This

collection is pursuant to amendments to the Investment Advisers Act of 1940 (“Advisers Act”), enacted in

2010, that provide that the Commission require registered investment advisers to maintain records and file

reports regarding the private funds they advise, for use by the Commission and by the Financial Stability

Oversight Council (“FSOC”). The Commission is the primary regulator of advisers to private funds.

Private funds and their advisers play an important role in both private and public capital markets. These

funds, including hedge funds, private equity funds and liquidity funds (which operate, in certain respects,

similarly to money market funds), currently have more than $8 trillion in net assets. Although private

fund assets are still less than one half of the total assets of registered investment companies, they

represent a much higher proportion of total registered and unregistered investment fund assets than in past

decades. Private funds invest in large and small businesses and use strategies that range from long-term

investments in equity to rapid trading and investments in complex instruments. Their investors include

individuals, institutions, governmental and private pension funds, and non-profit organizations. The

economic activity of private funds is significant both to large portions of the capital markets and to many

individual American investors.

Before Form PF was adopted, the Commission and other regulators had limited visibility into this

economic activity. With the significant increase in private fund advisers registered with the Commission

in 2012, Form PF represented an improvement in available data about private funds compared with the

third party data on which the Commission would otherwise rely. Form PF data allows the Commission to

better monitor and identify trends that may affect private funds, advisers and investors.

Part III of this sixth Annual Report Relating to the Use of Form PF Data highlights the uses of the Form

PF Data by the Commission and Commission staff. These include:

•

Informing Commission Policy. Commission staff uses data from Form PF to identify trends and

develop analyses that deepen staff understanding of private funds, private fund advisers and the

markets in which they participate, subject to a framework designed to maintain the security and

confidentiality of the data. The data set resulting from Form PF has provided a better perspective

of the trading strategies and other activities of private funds, and of how private funds and their

advisers may be affected by market and geopolitical events. This enhances the Commission’s

ability to evaluate and frame regulatory policy, inform policy discussions of private fund activity

and test with evidence assertions about private fund activity.

Informing the Public. Staff’s quarterly public report, Private Funds Statistics, provides analyses

of aggregated Form PF data, including information about industry trends. Staff also uses Form PF

data to conduct and publish research intended to deepen public understanding of private funds

and their market activities and risks.

Prioritizing and Informing Examination and Enforcement Efforts. Staff reviews and analyzes

Form PF data to identify potential compliance risk areas and assist in prioritizing the use of exam

and enforcement resources. Reports summarizing key information, which can be rapidly and

automatically generated, expedite staff’s preparation and conduct of focused exams by helping to

identify areas of inquiry.

Facilitating Coordination with Other Regulators. The Commission adopted Form PF in part to

obtain data that FSOC can use for the assessment of systemic risk in the U.S. financial markets.

Accordingly, the Commission makes Form PF data available to FSOC through the Office of

Financial Research (“OFR”) and to the Federal Reserve Board, subject to agreements regarding

appropriate use of and confidentiality protections for Form PF data. Staff also uses Form PF data

when coordinating with other federal regulators and international organizations in areas of mutual

interest, subject to protections designed to maintain data security.

Introduction

Today’s U.S. private fund industry, including hedge funds, private equity and other private funds, with

more than $8 trillion in reported net assets as of the fourth quarter of 2017, 1 plays an active and important

role in the U.S. private and public capital markets. Important financial innovations, capital market trends,

and new investment strategies and structures have emerged first among private funds and private fund

advisers. As the primary U.S. regulator of advisers to private funds, 2 the Commission depends on robust

and reliable information to inform its understanding of private funds and private fund advisers, including

how private funds and advisers participate in financial markets, so that it can carry out its mission of

protecting investors, maintaining fair, orderly and efficient markets and facilitating capital formation.

Further, because of private funds’ important role in capital markets, the Commission can better identify

potential trends in the markets that it regulates by understanding new developments and trends in private

funds.

Form PF and Advisers Act rule 204(b)–1, adopted by the Commission in 2011, require certain registered

investment advisers to private funds (including hedge funds, private equity funds, private liquidity funds,

and other private funds) to file Form PF to report information about the private funds they manage. 3

Section 204(b) of the Advisers Act requires an annual report to Congress regarding how the Commission

has used the Form PF data to monitor markets for the protection of investors and the integrity of the

markets. 4 This report is being submitted to Congress to satisfy that requirement. 5

This is a report of the staff of the Commission, and the Commission has expressed no view regarding any

analysis, findings, or conclusions contained herein.

Private Fund Statistics, Table 4, at the Appendix.

Section 202(a)(29) defines a “private fund” as “an issuer that would be an investment company, as defined

by section 3 of the Investment Company Act, but for section 3(c)(1) or 3(c)(7) of that Act.” Some

investment advisers registered with the Commission are also registered with and regulated by the U.S.

Commodity Futures Trading Commission as commodity pool operators (“CPOs”) or commodity trading

advisers (“CTAs”). See Reporting by Investment Advisers to Private Funds and Certain Commodity Pool

Operators and Commodity Trading Advisors on Form PF, Investment Advisers Act Release No. 3308 (Oct.

31, 2011) at n. 10 and text accompanying n. 49 [76 Fed. Reg. 71128, 71132 (Nov. 16, 2011)],

https://www.gpo.gov/fdsys/pkg/FR-2011-11-16/pdf/2011-28549.pdf (the “Adopting Release”).

See Adopting Release, supra footnote 2; see also Money Market Fund Reform; Amendments to Form PF,

Investment Advisers Act Release No. 3879 (July 23, 2014) [79 Fed. Reg. 47736 (Aug. 14, 2014)],

https://www.gpo.gov/fdsys/pkg/FR-2014-08-14/pdf/2014-17747.pdf (amending certain reporting required

by private liquidity funds) (the “Money Market Fund Reform Release”). The Commission recently solicited

public comment on the collection of information requirements of Form PF, and the Office of Management

and Budget (“OMB”) approved the continuation of the collection without change pursuant to the

Paperwork Reduction Act of 1995 (44 U.S.C. 3501 et. seq.) (the “PRA”). See Proposed Collection of

Information, Comment Request, 83 Fed. Reg. 1278 (Jan. 10, 2018); OMB, Office of Information and

Regulatory

Affairs,

OMB

Control

Number

History,

https://www.reginfo.gov/public/do/PRAOMBHistory?ombControlNumber=3235-0679.

Advisers Act Section 204(b)(11), 15 U.S.C. § 80b-4(b)(11).

See Division of Investment Management, U.S. Securities and Exchange Commission, Annual Staff Report

Relating to the Use of Form PF Data, https://www.sec.gov/reports.

II.

Overview of Form PF and Form PF Data Management at the Commission

A. Overview of Form PF

Form PF provides the Commission information that it uses in carrying out its mission. 6 Before Form PF

was adopted, the Commission and other regulators had more limited visibility into the economic activity

of private funds. With the significant increase in private fund advisers registered with the Commission in

2012, Form PF represented an improvement in available data about private funds compared with the third

party data on which the Commission would otherwise rely. 7 The data set that is generated from

information reported by private fund advisers on Form PF is more reliable and complete when contrasted

with private vendor databases that cover only voluntarily-provided private fund data and are not

representative of the total population. The Commission adopted Form PF in part to obtain data that FSOC

can use for the assessment of systemic risk in the U.S. financial markets. 8 As required by statute, the

Commission designed Form PF in consultation with FSOC. 9

Generally, investment advisers registered (or required to be registered) with the Commission with at least

$150 million in private fund assets under management must file Form PF. Most private fund advisers file

annually to report general information such as the types of private funds advised (e.g., hedge funds,

private equity funds, or liquidity funds), fund size, use of borrowings and derivatives, strategy, and types

of investors. Certain larger advisers provide more information on a more frequent basis, including more

detailed information on particular hedge funds and liquidity funds.

B. How the Commission Secures and Manages Form PF Data

Advisers file Form PF using the Private Fund Reporting Depository (“PFRD”), an electronic filing system

maintained by the Financial Industry Regulatory Authority (“FINRA”). 10 Commission staff receives

Form PF data via a direct feed from FINRA and maintains the data on access-controlled internal data

systems.

Consistent with provisions under the Advisers Act that provide heightened confidentiality protections for

any proprietary information of private fund advisers submitted on Form PF, 11 Commission staff has

implemented systems and controls designed to limit access to Form PF data and protect its confidentiality

within and outside the agency. This includes limits on access to FINRA’s PFRD system and to internal

Section 204(b) of the Advisers Act requires the Commission to implement recordkeeping and reporting

requirements for private fund advisers as necessary and appropriate in the public interest and for the

protection of investors, or for the assessment of systemic risk by FSOC. Section 204(b) was enacted as part

of the Dodd- Frank Wall Street Reform and Consumer Protection Act, Public Law No. 111-203, § 404, 124

Stat. 1376 (the “Dodd-Frank Act”).

Adopting Release, supra footnote 2, at 71129 n. 11 (describing transition period for registration by private

fund advisers that previously relied on the repealed exemption under section 203(b)(3) of the Advisers Act)

and 71130 n.19 (citing FSOC 2011 Annual Report, http://www.treasury.gov/initiatives/fsoc/Pages/annualreport.aspx).

See note 6, supra.

See Advisers Act section 204(b)(3) (requires the Commission to consult with FSOC).

The Commission developed PFRD to implement reporting requirements on Form PF. PFRD is operated

under a contract between the Commission and FINRA as an extension of the Investment Adviser Reporting

Depository system used by advisers to register with the Commission on Form ADV. See Adopting Release,

supra footnote 2, at Section II.E

Advisers Act Section 204(b)(10), 15 U.S.C. § 80b-4(b)(10).

data systems that contain PF Data to staff experts across the Commission who have been authorized to

access the data, and processes under which any Form PF data released to the public is reviewed before

release so that the data is aggregated and/or masked to avoid public disclosure of proprietary information

of private fund advisers. Senior staff members from various Divisions and Offices within the

Commission are members of the Form PF Steering Committee tasked with overseeing these systems and

controls for access, use, and security of Form PF data. The Committee, on an ongoing basis, monitors

and updates these systems and controls and meets regularly to address any new matters arising from time

to time relating to the access, use and security of the Form PF data.

C. Efforts to Improve the Quality of Form PF Data

Commission staff works with filers to improve the quality of data filed on Form PF. For example:

•

Staff responds to specific, factual inquiries about how to complete and file Form PF on an

ongoing basis. Staff maintains a separate email address that advisers and others can use to obtain

answers to questions about how to complete and file Form PF. Staff also issued and periodically

updates a series of “Frequently Asked Questions” that address specific, factual questions received

from advisers and other members of the public related to Form PF. 12

•

Staff regularly contacts individual filers when staff members identify anomalous and possibly

erroneous data as well as possibly delinquent or missing filings. Staff works with these individual

filers to determine steps for improving timeliness and accuracy of filings.

•

When delinquencies persist, the staff has taken further steps to ensure that information is

appropriately filed. 13

D. Analytical Tools Using Form PF Data

Commission staff has developed various analytical tools to use Form PF data in support of its monitoring

of private funds and private fund advisers, consistent with the systems and controls discussed above in

Section II.B. These tools enhance staff’s ability to assess large volumes of data, streamline analysis of the

data by automating certain analytical processes, and evaluate Form PF data alongside other relevant

datasets. As examples, these analytical tools have enhanced the staff’s ability to:

•

identify “outliers” among private funds and private fund advisers using factors such as

performance, investment exposures, and liquidity;

The

Form

Frequently

Asked

Questions

(“PF

FAQs”),

https://www.sec.gov/divisions/investment/pfrd/pfrdfaq.shtml, represent the views of the staff of the

Division of Investment Management. The PF FAQs are not a rule, regulation or statement of the

Commission, and the Commission has neither approved nor disapproved the information therein. The

public Form PF inquiry email address as well as a phone number to reach staff with questions relating to

Form PF is published at https://www.sec.gov/divisions/investment/iard/iardhelp.shtml. See also Division

of Investment Management: Electronic Filing of Form PF for Investment Advisers on PFRD (PFRD Home

Page) at https://www.sec.gov/divisions/investment/pfrd.shtml.

The Commission announced settlement orders with 13 registered investment advisers who repeatedly failed

to file Form PF providing information about the private funds that they advise. See SEC Charges 13

Private Fund Advisers for Repeated Filing Failures, Press Release June 1, 2018, at

https://www.sec.gov/news/press-release/2018-100.

•

III.

identify private funds based on one or more areas of policy interest, such as type of strategy,

types of investments, use of derivatives, and extent of leverage;

monitor changes and other trends in industry exposures, asset composition, and trading activity;

empirically test claims made in the financial press or other public sources regarding private funds

and the private fund industry; and

facilitate assessment of the operations and investment activities of private funds and private fund

advisers.

How the Commission Uses Form PF Data

The Commission staff in the various Divisions and Offices use Form PF data in mission-focused

activities, including to inform policy by identifying and monitoring private fund trends, inform the public,

conduct focused exams, and pursue potential wrongdoing. Additionally, consistent with the Advisers Act,

the Commission makes the Form PF database available to FSOC through OFR. 14 Staff also makes the

Form PF database available to the Federal Reserve Board and uses Form PF data when coordinating with

other federal regulators and international organizations in areas of mutual interest involving private fund

advisers, subject to appropriate protections for data security. The following provides more detail on how

the Commission staff uses Form PF data.

A. Informing Commission Policy

The Commission staff analyzes Form PF data to identify trends and possible emerging risks among

private funds and private fund advisers and to develop analyses that deepen the Commission’s

understanding of private funds, private fund advisers, and the markets in which they participate. As

compared to third-party sources, Form PF provides the Commission with a broader perspective and more

complete view of the financial markets in general and the private fund industry in particular. Using data

collected on Form PF promotes the ability of the Commission staff to analyze information related to

private fund activity, evaluate existing regulatory policies and programs directed to private fund advisers,

evaluate the impact of policy choices on private funds’ activities, and consider whether activities of

private funds may involve any potential wrongdoing that indicates a need for regulatory action. The

Commission and its staff use this insight in support of the Commission’s mission to protect investors,

maintain fair, orderly and efficient markets, and facilitate capital formation.

Some examples of how the Commission and staff use PF Data to inform policy are as follows:

Assess Private Funds Activities and Trends. Staff uses Form PF data to identify and monitor the

activities of private funds, trends in the private funds industry and the possible effects on the broader

financial markets. Through this analysis, staff may consider persistent questions and test perceptions –

and in some cases, misconceptions – about the activities of private funds and the effects of these activities

in the markets the Commission regulates. For example, staff uses Form PF data to assess funds’ use of

borrowing and leverage based on multiple metrics, including gross notional exposure to net asset value

(economic leverage), long and short notional exposures, gross and net exposure by investment strategy,

aggregate borrowings and posted collateral. Staff also uses Form PF data to consider liquidity trends,

including funds’ portfolio, investor and financing liquidity, funds’ usage of derivatives and high

OFR was established under the Dodd-Frank Act to support FSOC in fulfilling FSOC’s purpose and duties.

See Section 152 of the Dodd-Frank Act, supra footnote 7.

frequency trading (among other strategies), and how private fund advisers use risk management tools

such as stress tests and value at risk (VaR) reporting in the management of private funds. 15

Assess Effects of Market and Geopolitical Events. Staff analyzes Form PF data to determine how

private funds and private fund advisers might be affected by market and geopolitical events. Staff has

assessed the exposure of private funds to various types of assets and financial markets, including their

exposure to certain international markets. This type of assessment, aggregated with other industry

information that may be available to staff, facilitates development of a broader understanding of the

potential effects of certain market or global events for private funds and the financial markets regulated

by the Commission in which private funds participate.

Identify New Developments in Broader Financial Markets. Form PF data has the potential to

capture new developments and trends among private funds and private fund advisers. This provides the

Commission and staff with a window into potential new developments and trends in the broader public

markets regulated by the Commission. For example, it is well-known that certain “alternative” investment

strategies first offered in hedge funds have more recently been developed and modified to be offered by

mutual funds. 16

Assess Effects of Rulemaking. The Commission and staff also are using information from Form

PF to assess the potential impact of rulemaking proposals and analyze impacts of its rulemaking on

markets and market participants. For example, staff has used data about private liquidity funds from Form

PF to consider the effects of money market reform implementation 17 and to monitor for potential effects

in short-term financing markets. Staff’s experience with Form PF informed the development of new

Form N-PORT, a portfolio holdings reporting form for registered investment companies, and recent

amendments to Form ADV filing requirements. 18

B. Informing the Public about the Private Fund Industry

The Commission seeks to provide the public with more transparency into and an understanding of the

private funds industry by publishing aggregated information and analysis from Form PF, subject to its

systems and controls designed to preserve the confidentiality of proprietary information of individual

advisers. Following are two examples.

Staff makes some of this analysis publicly available in Private Funds Statistics, its quarterly report. See

Appendix and Section III.B, infra.

See,

e.g.,

FINRA,

Alternative

Funds

Are

Not

Your

Typical

Mutual

Funds,

http://www.finra.org/investors/alerts/alternative-funds-are-not-your-typical-mutual-funds

(describing

“alternative mutual funds” as funds that seek to accomplish the fund’s objectives through non-traditional

investments and trading strategies that “may bring to mind” the strategies and investments of hedge funds).

Money Market Fund Reform Release, supra footnote 3. The compliance date for money market reform was

October 14, 2016.

See Investment Company Reporting Modernization, Investment Company Act Release No. 32314 (Oct. 13,

2016) [81 Fed. Reg. 81870 (Nov. 18, 2016)], https://www.gpo.gov/fdsys/pkg/FR-2016-11-18/pdf/201625349.pdf; Form ADV and Investment Advisers Act Rules, Investment Advisers Act Release No. 4509

(Aug. 25, 2016) [81 Fed. Reg. 60417 (Sept. 1, 2016)], https://www.gpo.gov/fdsys/pkg/FR-2016-0901/pdf/2016-20832.pdf. See also Investment Company Reporting Modernization Frequently Asked

Questions, updated April 27, 2018, https://www.sec.gov/investment/investment-company-reportingmodernization-faq#n-port;

Frequently

Asked

Questions

Form

ADV

and

IARD,

https://www.sec.gov/divisions/investment/iard/iardfaq.shtml.

Private Funds Statistics. Since October 2015, Commission staff has published a quarterly report,

Private Funds Statistics, which contains aggregated private fund industry statistics derived from Form PF

data. 19 As supplemented with new data and analysis in May 2017, the report includes 90 separate tables

and figures that offer analyses of hedge fund industry practices. 20 To avoid public disclosure of

proprietary information of private fund advisers, the Form PF data provided in these reports is aggregated,

rounded and/or masked under processes that are reviewed periodically for effectiveness. Information

included in the reports is typically at least six months old when published. The Appendix contains the

most recent report. 21

Private Funds Statistics is designed to enhance public understanding of the private fund industry

and facilitate Commission and staff participation in meetings and discussions with industry professionals,

investors, and other regulators. Statistics that are published quarterly in Private Funds Statistics, include,

for example, statistics describing numbers and assets of private funds; the extent of private funds’

borrowing and derivatives holdings; comparisons of investor, portfolio and financing liquidity; use of

financial and economic leverage by certain hedge funds; and categories of investment exposures. The

report also includes information about the characteristics of private liquidity funds that may facilitate

comparisons with data published by staff relating to registered money market funds. 22 Staff understands

that the financial industry press monitors the release of these quarterly reports and industry participants

may use the report to assist investors with investment decisions. 23

Staff Research Publications. Commission staff uses Form PF data to contribute to the

Commission’s and investors’ understanding of the economic forces and dynamics underlying the private

funds market by conducting and publishing research on various topics, such as characteristics of leverage

used by hedge funds and consideration of self-reporting bias in commercial hedge fund databases. This

research is aggregated and/or masked under processes that are reviewed periodically for effectiveness to

avoid public disclosure of proprietary information of private fund advisers before any publication.

Recently published staff research and white papers use Form PF data to describe liquidity and other

See SEC Staff Publishes Private Funds Statistics Report, Press Release (Oct. 16, 2015),

https://www.sec.gov/news/pressrelease/2015-240.html.

See SEC Staff Supplements Quarterly Private Funds Statistics, Press Release (May 3, 2017),

https://www.sec.gov/news/press-release/2017-92.

Historical reports can be found at: https://www.sec.gov/divisions/investment/private-funds-statistics.shtml.

See

Division

Investment

Management,

Money

https://www.sec.gov/divisions/investment/mmf-statistics.shtml.

See, e.g., Marc Gorfinkle, SS&C Technologies, SEC releases expanded private fund statistics (Dec. 11,

2017), https://www.ssctech.com/blog/sec-releases-expanded-private-fund-statistics; Sheeraz Raza, SEC

Data From Form PF Reveals Interesting Hedge Fund Trends (Oct. 16, 2015),

https://www.valuewalk.com/2015/10/sec-data-from-form-pf-reveals-interesting-hedge-fund-trends/; Crane

Data, Prime Streak Ends; Still UP 20% YTD; SEC: Private Funds Drop in Q’17 (Oct. 27, 2017),

https://cranedata.com/archives/all-articles/6890/; Lance Pan, Capital Advisors Group, Demystifying Private

Liquidity Funds: Reaffirming Advantages of Separately Management Accounts (Mar. 14, 2017),

https://www.capitaladvisors.com/research/demystifying-private-liquidity-funds/; Judy Gross, SEC Releases

Data on Private Funds: Big Picture of US Private Fund Industry Emerges, Forbes (Oct. 26, 2015),

https://www.forbes.com/sites/judygross/2015/10/26/sec-releases-data-on-private-funds-big-picture-of-usprivate-fund-industry-emerges/#6b77bbb393e5.

Market

Fund

Statistics,

characteristics of certain hedge funds. 24 Another staff white paper used Form PF data to characterize

private liquidity funds and compare them to registered money market funds. 25

C. Assisting the Examinations and Enforcement Programs 26

Form PF data allows the Commission to more efficiently prioritize its examinations and enforcement

activities. Commission staff’s analyses of Form PF data include risk-based analysis and monitoring

initiatives that facilitate the identification of potential compliance risks and assist in prioritizing the use of

exam and enforcement resources. For example, Commission staff uses Form PF data to identify as

potential examination candidates those private fund advisers whose activities involve areas of specific

examination focus or that may present heightened compliance risks.

Before beginning an examination of an investment adviser, staff reviews applicable regulatory filings,

such as Form ADV. For advisers that manage private funds, Form PF filings may also be reviewed as

part of a routine pre-examination evaluation for risk identification and scoping. This review, in

conjunction with other data sources, provides staff with an understanding of an adviser’s current business,

operations, and investment strategy as well as an analysis of how this strategy has evolved or changed

over different reporting periods.

Commission staff has developed automated analyses and risk metrics that summarize and combine Form

PF data with Form ADV data about an adviser’s private funds and advisory business. These reports

expedite staff preparation for examinations of a private fund adviser and its private funds and are

designed to make exams more efficient by helping to focus areas of inquiry. These reports also assist

staff in identifying potential reporting errors, compliance issues, or other issues of interest for the

examination team to consider in their examination scope. Developed based on examiner insight and

experiences, these reports distribute knowledge gained from exams and analysis to relevant staff on a

need-to-know basis, which in turn informs monitoring programs. Generated from analytical tools that use

custom code developed by staff to automate report production, these reports deliver intuitive and timely

output to examiners, using the most recently filed Form PF and Form ADV data.

Commission staff also obtains and reviews Form PF information to focus its enforcement investigations,

including investigations of private fund advisers. For example, Commission staff used Form PF data

together with other information to identify hedge fund advisers whose reported data ― such as returns,

See George O. Aragon, A. Tolga Ergun, Mila Getmansky, and Giulio Girardi, Division of Economic Risk

and Analysis, Hedge Fund Liquidity Management (May 17, 2017), https://www.sec.gov/dera/staffpapers/working-papers/aragon-ergun-getmansky-girardi_HF-Liquidity-Management; George O. Aragon,

A. Tolga Ergun, Mila Getmansky, and Giulio Girardi, Division of Economic Risk and Analysis, Hedge

Funds: Portfolio, Investor and Financing Liquidity (May 17, 2017), https://www.sec.gov/dera/staffpapers/white-papers/aragon-ergun-getmansky-girardi_HF-Liquidity. These papers report analyses using

data reported on Form PF in quarterly filings from 2013 to 2105.

See Daniel Hiltgen, Division of Economic Risk and Analysis, Private Liquidity Funds: Characteristics and

Risk

Indicators

(Jan.

27,

2017),

https://www.sec.gov/dera/staff-papers/whitepapers/27jan17_hiltgen_private-liquidity-funds.html. The observations of the white paper indicate that,

while most private liquidity funds and their parallel accounts did not formally commit to comply with the

rule 2a-7 risk limits that apply to registered money market funds, the vast majority held portfolios that were

consistent with those limits during the period studied.

Because examination and enforcement matters are generally non-public, this report only summarizes

generally how Form PF data has been integrated into exam and enforcement matters. See Advisers Act

Section 210(b).

exposures, liquidity ― appear inconsistent with the funds’ investment strategies or other benchmarks.

These reviews have, in certain cases, led to examinations and enforcement investigations

D. Coordination and Consultation with Other Financial Regulators

As required by statute, and as described above, the Commission adopted Form PF in part to obtain

information about the operations and investment activities of private funds for FSOC to use in the

assessment of systemic risk in the U.S. financial markets. The Commission has made the Form PF data

available to FSOC through OFR since 2013, subject to agreements regarding appropriate use of and

confidentiality protections for Form PF data. More recently, beginning in July 2018, the Commission also

makes Form PF data available to the Federal Reserve Board under agreements regarding appropriate use

of and confidentiality protections for the Form PF data, which are similar to those provided under

applicable agreements with OFR.

The Commission staff also uses Form PF data in its collaborations with other federal regulators on areas

of mutual interest, such as on matters affecting the integrity of the financial markets and in

communications with international organizations on areas of mutual interest regarding private funds and

their investment advisers. For example, the staff regularly consults with OFR to share information and

analysis of Form PF data. As a result of this information sharing, OFR has generated publications

regarding its monitoring of systemic risks in the U.S. financial markets. The staff has also used reports of

data from Form PF in connection with its participation in FSOC’s review of asset management products

and activities, 27 and staff has provided the Financial Stability Board (“FSB”) with certain aggregated and

anonymized Form PF data related to an FSB work stream. Commission staff from time to time also may

provide certain Form PF data to other federal regulators in connection with compliance and enforcement

matters. In every instance where staff shares information with an external regulatory entity, staff seeks to

limit the type and amount of data that may be shared consistent with the purpose for sharing, and the

information is either subject to assurances of confidentiality or aggregated to prevent disclosure of any

proprietary information of private fund advisers.

IV.

Conclusion

During the past year, the Commission staff has continued to use Form PF data to enhance the

Commission’s efforts to protect investors and the integrity of our markets, including through our work

with other federal regulators and international organizations.

See, e.g., Financial Stability Oversight Council 2017 Annual Report (Dec. 14, 2017),

https://www.treasury.gov/initiatives/fsoc/studies-reports/Documents/FSOC_2017_Annual_Report.pdf.

Section 4.13.5 of this report includes certain aggregated data from Form PF in describing recent

developments relating to alternative funds.

Appendix

(Private Funds Statistics, Fourth Calendar Quarter 2017)

A-1

Division of Investment Management

Analytics Oﬃce

Private Funds Statistics

Fourth Calendar Quarter 2017

August 2, 2018

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

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

ﬁndings, or conclusions contained herein.

August 2, 2018

Analytics Oﬃce

Introduction

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

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

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

information of individual Form PF ﬁlers.

This report reﬂects data from First Calendar Quarter 2016 through Fourth Calendar Quarter

2017 as reported by Form PF ﬁlers.2 Please see the Appendix for information on the categories of

Form PF ﬁlers, the deﬁnitions of capitalized terms, a description of the boxplots used in several

ﬁgures, as well as other technical descriptions.

The Staﬀ continues to work with data reported on Form PF and with ﬁlers to identify

and correct ﬁling errors. Staﬀ updates reported statistics based on amended ﬁlings and

also may make certain adjustments to the statistics presented to correct what appear to

be clear ﬁling errors. Further, the Staﬀ has employed certain assumptions in aggregating

the data. Future adjustments to these methodologies and amended ﬁlings that change

the underlying data could lead to changes in previously reported statistics.

If you have any questions or comments about Fourth Calendar Quarter

2017 Private Funds Statistics, please contact:

Tim Dulaney, PhD, FRM or Tim Husson, PhD, FRM at FormPF@sec.gov with subject line “Fourth

Calendar Quarter 2017-Private Funds Statistics”.

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.

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.

August 2, 2018

Analytics Oﬃce

Contents

Number of Funds and Advisers

Gross and Net Assets

A Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . . . .

B Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

C Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

D Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

III

Fund Domiciles and Adviser Main Oﬃces

Beneﬁcial Ownership

Derivatives

High Frequency Trading

VII

Hedge Fund Industry Concentration

VIII Information Reported by Large Hedge Fund Advisers

A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Qualifying Hedge Fund Speciﬁc Information

A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

B Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

C Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

D Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

E Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

F Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

G Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

H Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

Section 3 Liquidity Fund Speciﬁc Information

A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

B Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

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

August 2, 2018

Analytics Oﬃce

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

Section 4 Private Equity Fund Speciﬁc Information

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

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

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

XII Appendices

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

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

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

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

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

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

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

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

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

E Deﬁnitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

August 2, 2018

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

2016Q1

9,714

8,920

4,099

2,740

2,102

1,599

1,421

635

26,955

2016Q2

9,725

8,928

4,125

2,742

2,100

1,608

1,418

646

27,008

2016Q3

9,752

8,994

4,116

2,747

2,117

1,620

1,417

651

27,114

2016Q4

10,364

8,927

4,438

3,002

2,447

1,652

1,451

761

28,457

2017Q1

10,382

9,082

4,462

3,006

2,445

1,674

1,463

759

28,663

2017Q2

10,362

9,123

4,484

3,009

2,443

1,720

1,475

769

28,725

2017Q3

10,272

9,156

4,442

2,989

2,434

1,722

1,477

755

28,605

2017Q4

11,460

9,007

4,512

3,480

2,632

1,803

1,504

846

30,031

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

2016Q1

1,025

1,694

564

243

294

525

157

2,844

2016Q2

1,025

1,688

567

243

292

525

156

2,839

2016Q3

1,024

1,685

568

243

294

516

154

100

2,836

2016Q4

1,092

1,687

580

248

312

531

149

109

2,914

2017Q1

1,095

1,686

578

250

314

527

151

109

2,916

2017Q2

1,091

1,687

578

250

312

534

153

110

2,917

2017Q3

1,088

1,687

574

247

311

535

154

109

2,916

2017Q4

1,132

1,722

579

292

322

551

155

113

2,997

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.

August 2, 2018

Analytics Oﬃce

Gross and Net Assets

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

2016Q1

6,162

4,992

2,060

1,472

973

410

420

273

247

10,352

2016Q2

6,329

5,102

2,063

1,472

978

410

420

287

258

10,542

2016Q3

6,464

5,246

2,064

1,472

981

411

420

292

249

10,688

2016Q4

6,408

5,218

2,318

1,645

1,066

436

448

293

274

11,032

2017Q1

6,704

5,494

2,326

1,648

1,077

436

449

282

267

11,338

2017Q2

6,895

5,716

2,323

1,648

1,088

433

454

276

273

11,533

2017Q3

7,219

5,892

2,310

1,641

1,060

432

453

282

279

11,818

2017Q4

7,274

5,903

2,722

1,941

1,186

499

485

291

289

12,537

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

2016Q1

3,407

2,655

1,884

1,377

872

326

138

272

246

6,951

2016Q2

3,436

2,670

1,886

1,377

877

326

138

285

256

7,000

2016Q3

3,496

2,740

1,887

1,377

882

327

140

290

247

7,074

2016Q4

3,493

2,744

2,075

1,492

977

341

141

292

273

7,380

2017Q1

3,611

2,829

2,084

1,496

987

342

141

281

265

7,506

2017Q2

3,669

2,901

2,082

1,496

994

340

145

275

272

7,566

2017Q3

3,791

2,995

2,069

1,489

970

339

144

280

278

7,653

2017Q4

3,891

3,060

2,438

1,754

1,072

391

152

291

288

8,310

August 2, 2018

Analytics Oﬃce

Figure 1: GAV and NAV Distributions

See Appendix C for an explanation of boxplots.

NAV ($Billions)

20 1

20 2

20 3

20 4

20 1

20 2

20 3

20 1

20 2

20 3

20 4

20 1

20 2

20 3

GAV ($Billions)

As reported on Form PF, Questions 8 and 9.

1400

1200

1000

800

600

400

200

20 1

20 2

20 3

20 4

20 1

20 2

20 3

NAV ($Millions)

20 1

20 2

20 3

20 4

20 1

20 2

20 3

1400

1200

1000

800

600

400

200

(b) Qualifying Hedge Fund NAV

GAV ($Millions)

(a) Qualifying Hedge Fund GAV

(d) Section 4 Private Equity Fund NAV

August 2, 2018

Analytics Oﬃce

Figure 2: Ratio of GAV to NAV

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

2.0

1.5

1.0

0.5

20 1

20 2

20 3

20 4

20 1

20 2

20 3

0.0

3.0

2.5

2.0

1.5

1.0

0.5

0.0

20 1

20 2

20 3

20 4

20 1

20 2

20 3

Ratio of GAV to NAV

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

2.5

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

August 2, 2018

Borrowings

Table 5: Aggregate Borrowings (Percent of Aggregate GAV)

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

Fund Type

Securitized Asset Fund

Qualifying Hedge Fund

Hedge Fund

Real Estate Fund

Private Equity Fund

Section 4 Private Equity Fund

Other Private Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

2016Q1

48.9

39.1

36.8

13.2

4.8

3.4

2.2

0.4

0.0

2016Q2

48.7

38.2

36.3

13.2

4.9

3.4

2.2

0.4

0.0

2016Q3

48.4

39.9

38.1

13.2

4.9

3.4

2.1

0.4

0.0

2016Q4

50.7

39.7

37.3

13.9

5.1

4.0

2.8

0.4

0.0

2017Q1

49.5

41.0

38.4

12.9

5.0

4.0

2.7

0.4

0.0

2017Q2

48.8

42.0

39.1

12.7

5.0

4.0

2.7

0.5

0.0

2017Q3

48.4

41.6

39.4

12.8

5.0

4.1

2.7

0.5

0.0

2017Q4

51.9

41.3

39.1

13.2

5.2

4.6

2.1

0.6

0.0

Figure 3: Distribution of Total Borrowings for All Private Funds

and Qualifying Hedge Funds

See Appendix C for an explanation of boxplots.

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

Total Borrowings ($Billions)

500

400

300

200

100

20 1

20 2

20 3

20 4

20 1

20 2

20 3

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0

20 1

20 2

20 3

20 4

20 1

20 2

20 3

Total Borrowings ($Millions)

600

(a) All Private Funds

(b) Qualifying Hedge Funds

Analytics Oﬃce

August 2, 2018

Analytics Oﬃce

Figure 4: Ratio of Borrowings to NAV

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

4.0

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0

20 1

20 2

20 3

20 4

20 1

20 2

20 3

Ratio of Borrowings to NAV

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

20 1

20 2

20 3

20 4

20 1

20 2

20 3

Ratio of Borrowings to NAV

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

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

4.0

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0

(a) All Private Funds

(b) Qualifying Hedge Funds

August 2, 2018

Analytics Oﬃce

Fair Value Hierarchy

Table 6: Assets According to Fair Value Hierarchy ($ Billions)

As reported on Form PF, Question 14.

Level One

Level Two

Level Three

Cost-Based

2016Q1

2,481

2,140

2,271

1,581

2016Q2

2,464

2,070

2,265

1,539

2016Q3

2,485

2,063

2,263

1,537

2016Q4

2,877

2,544

2,594

1,972

2017Q1

2,585

2,201

2,512

1,691

2017Q2

2,578

2,186

2,512

1,723

2017Q3

2,562

2,231

2,506

1,731

2017Q4

3,274

2,764

2,887

2,240

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

As reported on Form PF, Question 14.

Level One

Level Two

Level Three

Cost-Based

2016Q1

668

476

111

673

2016Q2

680

424

108

694

2016Q3

677

427

107

695

2016Q4

519

417

142

464

2017Q1

664

462

136

659

2017Q2

661

451

140

654

2017Q3

665

455

137

660

2017Q4

662

608

172

487

August 2, 2018

Analytics Oﬃce

Parallel Managed Accounts4

Table 8: Number of Funds with Parallel Managed Accounts

As reported on Form PF, Question 11.

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

because the rows are not mutually exclusive.

Type

Hedge Fund

Other Private Fund

Private Equity Fund

Qualifying Hedge Fund

Section 4 Private Equity Fund

Real Estate Fund

Liquidity Fund

Section 3 Liquidity Fund

Venture Capital Fund

Securitized Asset Fund

Total

2016Q1

696

408

252

234

***

1,459

2016Q2

699

406

252

237

***

1,458

2016Q3

696

409

251

233

***

1,458

2016Q4

664

482

239

233

***

1,517

2017Q1

654

498

240

224

***

1,525

2017Q2

661

497

239

220

***

1,530

2017Q3

668

495

273

227

***

1,568

2017Q4

664

508

293

238

***

1,567

Table 9: Aggregate Value in Parallel Managed Accounts ($ Billions)

As reported on Form PF, Question 11.

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

because the rows are not mutually exclusive.

Type

Hedge Fund

Other Private Fund

Private Equity Fund

Qualifying Hedge Fund

Section 4 Private Equity Fund

Real Estate Fund

Liquidity Fund

Section 3 Liquidity Fund

Venture Capital Fund

Securitized Asset Fund

Total

2016Q1

633

1,296

449

321

316

***

2,513

2016Q2

619

1,278

428

305

***

2,465

2016Q3

651

1,332

448

312

***

2,557

2016Q4

629

1,400

422

309

***

2,555

2017Q1

666

1,438

438

333

***

2,653

2017Q2

680

1,489

440

330

***

2,714

2017Q3

714

1,508

525

345

***

2,782

2017Q4

827

1,863

594

359

***

3,094

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.

August 2, 2018

Analytics Oﬃce

Figure 5: Parallel Managed Account Value Distributions

See Appendix C for an explanation of boxplots.

20 1

20 2

20 3

20 4

20 1

20 2

20 3

Parallel Managed Assets ($Billions)

4.0

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0

20 1

20 2

20 3

20 4

20 1

20 2

20 3

Parallel Managed Assets ($Billions)

As reported on Form PF, Question 11.

4.0

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0

(a) All Private Funds

(b) Qualifying Hedge Funds

August 2, 2018

III

Analytics Oﬃce

Fund Domiciles and Adviser Main Oﬃces

Table 10: Fund Domicile (Percent of NAV)

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

Country

United States

Cayman Islands

Ireland

Luxembourg

Virgin Islands, British

United Kingdom

Bermuda

Other

Country

Cayman Islands

United States

Virgin Islands, British

Ireland

Luxembourg

Bermuda

Other

Country

Ireland

United States

Cayman Islands

Other

Country

United States

Cayman Islands

United Kingdom

Bermuda

Canada

Other

All Private Funds

2016Q1 2016Q2 2016Q3 2016Q4 2017Q1

50.8

50.7

50.8

51.3

51.4

37.3

37.2

37.1

36.4

3.8

3.9

4.3

4.2

1.3

1.5

1.4

1.5

2.4

2.3

2.2

1.1

1.3

1.2

1.3

2.1

2.0

Qualifying Hedge Funds

2016Q1 2016Q2 2016Q3 2016Q4 2017Q1

54.6

54.4

53.7

52.9

52.7

32.7

33.1

33.8

34.3

34.6

5.7

5.5

5.3

2.6

2.5

2.6

2.7

1.2

1.3

1.2

1.4

1.8

1.7

1.8

1.7

Section 3 Liquidity Funds

2016Q1 2016Q2 2016Q3 2016Q4 2017Q1

***

36.5

34.2

34.1

33.1

33.9

***

Section 4 Private Equity Funds

2016Q1 2016Q2 2016Q3 2016Q4 2017Q1

62.0

63.8

30.3

29.5

29.4

2.6

1.9

1.3

1.1

1.2

0.9

2.6

2.7

2.9

2017Q2

51.4

36.4

4.2

1.6

2.0

1.1

1.3

2.0

2017Q3

51.0

36.7

4.3

1.6

2.0

1.1

1.3

2.0

2017Q4

51.3

35.5

4.5

1.9

1.8

1.3

1.2

2.6

2017Q2

52.5

35.0

5.0

2.7

1.5

1.7

1.6

2017Q3

51.8

35.3

4.8

2.8

1.7

1.9

2017Q4

51.3

35.7

4.5

2.9

1.9

1.6

2.0

2017Q2

***

36.8

***

2017Q3

***

34.7

***

2017Q4

***

35.1

***

2017Q2

63.8

29.4

1.9

1.1

0.9

2.9

2017Q3

63.7

29.5

2.0

1.1

0.9

2.9

2017Q4

60.7

30.4

2.7

1.0

4.1

August 2, 2018

Analytics Oﬃce

Table 11: Adviser Main Oﬃce Location (Percent of NAV)

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

Country

United States

United Kingdom

Other

2016Q1

89.5

6.6

3.9

Country

United States

United Kingdom

Australia

Hong Kong

Other

2016Q1

89.3

5.7

***

2.5

Country

United States

United Kingdom

France

2016Q1

58.4

***

Country

United States

Canada

Other

2016Q1

97.2

***

All Private Funds

2016Q2 2016Q3 2016Q4 2017Q1

89.6

90.1

89.3

6.6

6.2

6.5

3.9

3.7

3.8

4.1

Qualifying Hedge Funds

2016Q2 2016Q3 2016Q4 2017Q1

89.5

89.4

89.6

89.4

5.6

5.7

5.9

***

2.4

2.3

Section 3 Liquidity Funds

2016Q2 2016Q3 2016Q4 2017Q1

59.4

64.1

62.5

64.2

***

Section 4 Private Equity Funds

2016Q2 2016Q3 2016Q4 2017Q1

97.2

95.1

***

2017Q2

89.0

6.8

4.2

2017Q3

88.8

6.9

4.3

2017Q4

89.4

6.5

4.1

2017Q2

89.3

6.3

***

2.3

2017Q3

88.9

6.4

***

2.3

2017Q4

88.5

6.7

***

2.2

2017Q2

64.1

***

2017Q3

63.0

***

2017Q4

62.8

***

2017Q2

95.1

***

2017Q3

95.1

***

2017Q4

94.8

***

August 2, 2018

Analytics Oﬃce

Beneﬁcial Ownership

Table 12: Beneﬁcial Ownership for All Private Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Other

State/Muni. Govt. Pension Plans

Pension Plans

Non-Proﬁts

U.S. Individuals

Sov. Wealth Funds and For. Oﬃcial Inst.

Insurance Companies

Unknown Non-U.S. Investors

Non-U.S. Individuals

Banking/Thrift Inst.

SEC-Registered Investment Companies

State/Muni. Govt. Entities

Broker-Dealers

2016Q1

1,328

883

912

882

705

768

382

274

163

196

144

123

107

2016Q2

1,324

895

920

894

704

771

386

276

171

199

149

121

104

2016Q3

1,324

920

935

909

724

778

387

275

170

199

145

119

2016Q4

1,342

976

1,009

948

749

773

429

305

187

198

136

125

100

102

2017Q1

1,356

997

1,029

958

770

786

438

310

187

198

140

127

105

104

2017Q2

1,372

1,011

1,033

967

778

789

443

312

186

185

142

129

107

2017Q3

1,372

1,039

1,048

973

790

798

444

314

189

183

146

137

108

111

2017Q4

1,491

1,188

1,153

1,037

848

816

514

348

194

187

159

138

122

112

2017Q3

17.9

13.6

13.7

12.7

10.3

10.4

5.8

4.1

2.5

2.4

1.9

1.8

1.4

1.5

2017Q4

17.9

14.3

13.9

12.5

10.2

9.8

6.2

4.2

2.3

1.9

1.7

1.5

1.3

Table 13: 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

Unknown Non-U.S. Investors

Non-U.S. Individuals

Banking/Thrift Inst.

SEC-Registered Investment Companies

State/Muni. Govt. Entities

Broker-Dealers

2016Q1

19.1

12.7

13.1

12.7

10.1

11.0

5.5

3.9

2.3

2.8

2.1

1.8

1.2

1.5

2016Q2

18.9

12.8

13.1

12.8

10.1

11.0

5.5

3.9

2.4

2.8

2.1

1.7

1.3

1.5

2016Q3

18.7

13.0

13.2

12.9

10.2

11.0

5.5

3.9

2.4

2.8

2.1

1.7

1.3

1.4

2016Q4

18.2

13.2

13.7

12.8

10.2

10.5

5.8

4.1

2.5

2.7

1.8

1.7

1.3

1.4

2017Q1

18.1

13.3

13.7

12.8

10.3

10.5

5.8

4.1

2.5

2.6

1.9

1.7

1.4

2017Q2

18.1

13.4

13.7

12.8

10.3

10.4

5.9

4.1

2.5

1.9

1.7

1.4

August 2, 2018

Analytics Oﬃce

Table 14: Beneﬁcial Ownership for Qualifying Hedge Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Non-Proﬁts

Pension Plans

Other

State/Muni. Govt. Pension Plans

U.S. Individuals

Sov. Wealth Funds and For. Oﬃcial Inst.

Broker-Dealers

Insurance Companies

SEC-Registered Investment Companies

Non-U.S. Individuals

Unknown Non-U.S. Investors

State/Muni. Govt. Entities

Banking/Thrift Inst.

2016Q1

513

363

347

323

272

305

137

2016Q2

509

359

352

333

278

308

136

2016Q3

504

380

364

356

291

319

140

2016Q4

490

383

369

356

304

318

143

2017Q1

495

395

379

375

310

324

152

2017Q2

505

405

387

386

314

331

158

2017Q3

510

418

399

410

331

340

160

2017Q4

505

428

414

409

352

345

166

2017Q3

17.0

13.9

13.3

13.7

11.0

11.3

5.3

2.6

2.5

2.3

1.9

1.4

1.1

2017Q4

16.5

14.0

13.5

13.4

11.5

11.3

5.4

2.6

2.5

2.4

1.9

1.4

1.1

Table 15: Beneﬁcial Ownership for Qualifying Hedge Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Non-Proﬁts

Pension Plans

Other

State/Muni. Govt. Pension Plans

U.S. Individuals

Sov. Wealth Funds and For. Oﬃcial Inst.

Broker-Dealers

Insurance Companies

SEC-Registered Investment Companies

Non-U.S. Individuals

Unknown Non-U.S. Investors

State/Muni. Govt. Entities

Banking/Thrift Inst.

2016Q1

19.3

13.7

13.1

12.2

10.2

11.5

5.1

2.9

2.4

2.9

2.4

1.8

1.2

1.1

2016Q2

19.1

13.4

13.2

12.5

10.4

11.5

5.1

2.8

2.4

2.9

2.4

1.7

1.2

2016Q3

18.4

13.9

13.3

13.0

10.6

11.7

5.1

2.5

2.4

2.7

2.4

1.7

1.2

1.1

2016Q4

17.9

13.9

13.5

13.0

11.1

11.6

5.2

2.5

2.4

2.6

2.4

1.5

1.3

1.1

2017Q1

17.5

14.0

13.4

13.3

11.0

11.5

5.4

2.5

2.4

1.6

1.4

1.1

2017Q2

17.4

13.9

13.3

10.8

11.4

5.4

2.6

2.5

2.4

1.8

1.4

1.1

August 2, 2018

Analytics Oﬃce

Table 16: Beneﬁcial Ownership for Section 3 Liquidity Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Other

Unknown Non-U.S. Investors

SEC-Registered Investment Companies

Broker-Dealers

Banking/Thrift Inst.

Insurance Companies

Pension Plans

Sov. Wealth Funds and For. Oﬃcial Inst.

Non-U.S. Individuals

State/Muni. Govt. Entities

Non-Proﬁts

State/Muni. Govt. Pension Plans

U.S. Individuals

2016Q1

***

2016Q2

***

2016Q3

***

2016Q4

***

2017Q1

***

2017Q2

***

2017Q3

***

2017Q4

***

2017Q3

30.0

18.5

19.9

8.6

***

3.7

1.9

***

1.4

***

0.6

0.4

***

2017Q4

33.3

19.1

18.4

7.8

***

3.0

1.8

***

1.3

***

0.5

0.4

***

Table 17: Beneﬁcial Ownership for Section 3 Liquidity Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Other

Unknown Non-U.S. Investors

SEC-Registered Investment Companies

Broker-Dealers

Banking/Thrift Inst.

Insurance Companies

Pension Plans

Sov. Wealth Funds and For. Oﬃcial Inst.

Non-U.S. Individuals

State/Muni. Govt. Entities

Non-Proﬁts

State/Muni. Govt. Pension Plans

U.S. Individuals

2016Q1

32.2

15.5

***

7.1

***

2.9

1.9

***

6.9

***

2016Q2

30.9

14.7

***

6.5

***

3.3

1.8

***

6.8

***

2016Q3

32.3

16.2

24.2

7.1

***

3.2

***

1.6

***

2016Q4

29.6

19.2

23.7

5.9

***

3.6

3.3

1.7

***

1.4

***

0.5

0.4

***

2017Q1

28.3

19.3

22.7

6.9

***

3.4

1.8

***

1.5

***

0.6

***

2017Q2

32.6

18.7

19.2

7.6

***

4.3

3.3

1.8

***

1.5

***

0.6

0.4

***

August 2, 2018

Analytics Oﬃce

Table 18: Beneﬁcial Ownership for Section 4 Private Equity Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type

State/Muni. Govt. Pension Plans

Private Funds

Other

Sov. Wealth Funds and For. Oﬃcial Inst.

Pension Plans

Insurance Companies

Non-Proﬁts

U.S. Individuals

Non-U.S. Individuals

Banking/Thrift Inst.

State/Muni. Govt. Entities

SEC-Registered Investment Companies

Unknown Non-U.S. Investors

Broker-Dealers

2016Q1

326

270

140

132

138

2016Q2

326

270

140

132

137

2016Q3

326

270

140

131

138

2016Q4

366

283

162

153

142

2017Q1

366

285

162

154

142

2017Q2

366

284

161

154

142

2017Q3

366

284

161

153

139

2017Q4

415

353

212

186

159

109

104

Table 19: Beneﬁcial Ownership for Section 4 Private Equity Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type

State/Muni. Govt. Pension Plans

Private Funds

Other

Sov. Wealth Funds and For. Oﬃcial Inst.

Pension Plans

Insurance Companies

Non-Proﬁts

U.S. Individuals

Non-U.S. Individuals

Banking/Thrift Inst.

State/Muni. Govt. Entities

SEC-Registered Investment Companies

Unknown Non-U.S. Investors

Broker-Dealers

2016Q1

23.7

19.6

10.2

9.6

10.0

6.1

6.3

6.9

2.5

2.3

1.4

0.4

1.1

0.0

2016Q2

23.7

19.6

10.2

9.6

10.0

6.1

6.3

6.9

2.6

2.3

1.4

0.4

1.1

0.0

2016Q3

23.6

19.6

10.2

9.5

10.0

6.1

6.3

6.9

2.5

2.3

1.4

0.4

1.1

0.0

2016Q4

24.5

19.0

10.8

10.3

9.5

6.3

6.1

5.9

2.3

2.0

1.5

0.8

0.9

0.1

2017Q1

24.5

19.0

10.8

10.3

9.5

6.3

6.1

5.9

2.3

2.0

1.5

0.8

0.9

0.1

2017Q2

24.5

19.0

10.8

10.3

9.5

6.3

6.2

5.9

2.3

2.0

1.5

0.8

0.9

0.1

2017Q3

24.6

19.1

10.8

10.3

9.4

6.3

6.1

5.9

2.3

2.1

1.5

0.8

0.9

0.1

2017Q4

23.6

20.1

12.1

10.6

9.1

6.2

5.9

5.3

2.1

1.7

1.6

0.9

0.8

0.1

August 2, 2018

Analytics Oﬃce

Derivatives

Table 20: Aggregate Derivative Value ($ Billions)

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

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

because the rows are not mutually exclusive.

Type

Hedge Fund

Qualifying Hedge Fund

Other Private Fund

Private Equity Fund

Section 4 Private Equity Fund

Liquidity Fund

Section 3 Liquidity Fund

Real Estate Fund

Securitized Asset Fund

Venture Capital Fund

Total

2016Q1

9,181

8,028

***

9,367

2016Q2

9,363

8,073

***

9,499

2016Q3

9,400

8,207

***

9,546

2016Q4

9,192

7,919

112

***

9,393

2017Q1

10,249

8,833

108

***

10,397

2017Q2

10,166

8,832

108

***

10,395

2017Q3

11,447

9,661

108

***

11,649

2017Q4

12,472

10,468

146

***

12,666

Table 21: Aggregate Derivative Value (Percent of Aggregate NAV)

As reported on Form PF, Questions 9, 13, and 44 (Third Month).

Type

Hedge Fund

Qualifying Hedge Fund

Other Private Fund

Private Equity Fund

Section 4 Private Equity Fund

Liquidity Fund

Section 3 Liquidity Fund

Real Estate Fund

Securitized Asset Fund

Venture Capital Fund

Total

2016Q1

269.5

302.4

11.2

2.8

3.1

***

6.6

7.9

***

134.8

2016Q2

272.5

302.3

10.9

2.8

3.1

***

6.6

7.7

***

135.7

2016Q3

268.9

299.5

11.0

2.8

3.1

***

6.6

7.4

***

134.9

2016Q4

263.1

288.6

11.4

1.8

2.3

***

4.8

9.8

***

127.3

2017Q1

283.8

312.3

10.9

1.8

2.3

***

4.8

9.8

***

138.5

2017Q2

277.1

304.4

10.8

1.8

2.3

***

4.7

9.4

***

137.4

2017Q3

301.9

322.5

11.2

1.8

2.3

***

4.8

9.2

***

152.2

2017Q4

320.5

342.1

13.6

1.6

1.9

***

4.4

1.7

***

152.4

August 2, 2018

Analytics Oﬃce

Figure 6: Distribution of Derivative Values

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

20 1

20 2

20 3

20 4

20 1

20 2

20 3

20 1

20 2

20 3

20 4

20 1

20 2

20 3

Total Derivative Value ($Billions)

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

(b) Qualifying Hedge Funds

(a) All Private Funds

Total Derivative Value ($Billions)

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

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

1.8

1.6

1.4

1.2

1.0

0.8

0.6

0.4

0.2

0.0

High Frequency Trading

Table 22: Number of Hedge Funds Using

High Frequency Trading (HFT) Strategies

As reported on Form PF, Question 21.

Fraction of NAV

Less than 100%

100% or More

2016Q1

7,466

2016Q2

7,489

2016Q3

7,534

2016Q4

7,495

2017Q1

7,624

2017Q2

7,669

2017Q3

7,697

2017Q4

7,745

Table 23: Hedge Fund Assets Managed Using HFT Strategies ($ Billions)

As reported on Form PF, Questions 9 and 21.

Fraction of NAV

Less than 100%

100% or More

2016Q1

3,287

2016Q2

3,323

2016Q3

3,379

2016Q4

3,379

2017Q1

3,497

2017Q2

3,562

2017Q3

3,663

2017Q4

3,780

August 2, 2018

VII

Analytics Oﬃce

Hedge Fund Industry Concentration

Table 24: Percent of Aggregate Hedge Fund Net Asset Value

Reported by Top Hedge Funds Sorted by Net Asset Value

As reported on Form PF, Questions 9 and 10.

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2016Q1

7.9

13.7

20.5

29.2

44.3

57.9

2016Q2

7.8

13.6

20.4

29.1

44.1

57.6

2016Q3

7.9

13.8

20.6

29.2

44.2

57.7

2016Q4

7.9

13.7

20.5

29.0

44.1

57.5

2017Q1

7.7

13.3

20.2

28.6

43.7

57.0

2017Q2

7.7

13.5

20.2

28.5

43.4

56.9

2017Q3

7.5

13.2

20.0

28.4

43.4

56.8

2017Q4

7.4

13.2

20.0

28.5

43.1

56.4

Table 25: Percent of Aggregate Hedge Fund Gross Asset Value

Reported by Top Hedge Funds Sorted by Gross Asset Value

As reported on Form PF, Questions 8 and 10.

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2016Q1

15.0

23.3

30.5

40.0

54.4

66.4

2016Q2

15.0

23.6

31.2

40.8

54.9

66.7

2016Q3

14.4

22.9

31.2

41.0

55.2

66.9

2016Q4

14.7

23.2

31.4

41.0

55.0

66.8

2017Q1

14.6

23.5

32.0

41.5

55.2

66.8

2017Q2

14.9

23.1

31.5

41.3

55.2

66.9

2017Q3

15.4

24.1

32.5

42.2

56.0

67.5

2017Q4

15.1

23.7

31.9

41.4

55.4

66.7

Table 26: Percent of Aggregate Hedge Fund Borrowings

Reported by Top Hedge Funds Sorted by Borrowings

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

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2016Q1

32.7

43.9

54.5

66.3

80.6

89.5

2016Q2

32.7

45.3

56.0

67.5

80.6

89.5

2016Q3

32.8

45.5

56.5

68.6

81.7

90.2

2016Q4

31.5

44.4

56.1

68.5

81.6

90.0

2017Q1

31.9

45.1

56.7

68.8

81.5

89.9

2017Q2

33.3

46.2

57.4

69.2

81.8

90.1

2017Q3

35.0

47.5

58.7

70.2

82.6

90.5

2017Q4

34.5

47.5

59.0

70.9

82.6

90.3

August 2, 2018

Analytics Oﬃce

Table 27: Percent of Aggregate Hedge Fund Derivative Value

Reported by Top Hedge Funds Sorted by Derivative Value

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

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2016Q1

31.5

47.2

60.0

71.8

85.5

92.8

2016Q2

34.5

48.7

60.7

72.2

85.7

92.9

2016Q3

36.9

50.5

61.3

73.1

86.1

93.2

2016Q4

34.7

48.5

60.1

73.0

86.1

93.3

2017Q1

34.1

48.0

60.5

73.2

86.3

93.2

2017Q2

32.2

46.4

59.1

71.8

85.8

92.7

2017Q3

32.4

49.1

61.3

73.4

86.4

93.3

2017Q4

31.8

47.6

60.4

73.0

86.2

93.2

Table 28: Percent of Aggregate Hedge Fund Gross Notional Exposure

Reported by Top Hedge Funds Sorted by Gross Notional Exposure

As reported on Form PF, Questions 26 and 30 (Month 3).

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2016Q1

28.6

42.6

54.7

66.5

81.2

91.1

2016Q2

31.5

44.0

55.0

66.9

81.3

90.8

2016Q3

32.6

45.3

56.3

67.4

81.5

90.8

2016Q4

31.6

45.4

56.8

68.6

82.2

91.2

2017Q1

30.9

44.5

56.6

68.8

82.5

91.3

2017Q2

30.2

43.2

55.4

67.6

81.9

90.7

2017Q3

30.2

44.9

56.9

68.6

82.5

91.1

2017Q4

29.8

44.4

56.5

68.7

82.8

91.3

August 2, 2018

VIII

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.

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

Ratio of GNE (w/o IRDs) to NAV

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

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

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)

(b) Gross Exposure without IRDs

-03

(a) Long Exposure with IRDs

6-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

Ratio of LNE (w/o IRDs) to NAV

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

6-0

Ratio of SNE (w/o IRDs) to NAV

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

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

Ratio of LNE to NAV

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

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

Ratio of SNE to NAV

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

August 2, 2018

Analytics Oﬃce

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

Short Notional Exposure (SNE) to Net Asset Value Distribution

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

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

(b) Long Exposure without IRDs

(d) Short Exposure without IRDs

August 2, 2018

Analytics Oﬃce

Industry Concentration

Table 29: Large Hedge Fund Adviser Asset and Exposure Concentration

(Percent of Total Reported)

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

Month

2016-01

2016-02

2016-03

2016-04

2016-05

2016-06

2016-07

2016-08

2016-09

2016-10

2016-11

2016-12

2017-01

2017-02

2017-03

2017-04

2017-05

2017-06

2017-07

2017-08

2017-09

2017-10

2017-11

2017-12

Top 10 Advisers (NAV)

17.6

17.4

17.9

18.0

18.1

18.6

18.5

18.6

18.4

18.5

Top 20 Advisers (NAV)

27.5

27.3

27.8

28.0

27.9

28.2

28.1

27.8

27.7

27.8

Top 10 Advisers (GNE)

35.8

38.2

35.9

37.4

38.2

37.1

38.1

38.9

38.7

39.6

40.0

36.8

38.4

39.0

37.3

36.1

36.5

36.3

36.6

37.4

36.2

36.0

36.3

36.6

Top 20 Advisers (GNE)

50.0

51.4

49.1

51.2

51.7

51.0

52.4

52.8

53.2

53.4

50.8

52.2

52.8

51.1

50.1

50.5

51.1

52.5

50.8

51.3

52.0

51.9

August 2, 2018

Portfolio Turnover

Table 30: Aggregate Portfolio Turnover ($ Billions)

As reported on Form PF, Question 27.

Month

2016-01

2016-02

2016-03

2016-04

2016-05

2016-06

2016-07

2016-08

2016-09

2016-10

2016-11

2016-12

2017-01

2017-02

2017-03

2017-04

2017-05

2017-06

2017-07

2017-08

2017-09

2017-10

2017-11

2017-12

Futures

8,762

10,272

11,639

8,476

9,577

12,915

7,649

9,564

11,718

8,570

13,406

11,117

11,430

12,332

14,741

11,035

12,042

17,107

11,207

10,895

13,554

8,837

10,447

13,442

Sov. and muni. bonds

2,265

2,439

2,104

2,073

2,588

2,793

2,346

2,515

3,114

2,434

3,481

2,265

2,596

2,750

2,735

1,992

3,001

2,963

2,673

2,932

2,997

2,646

2,857

2,459

Listed equities

2,190

2,239

2,036

1,972

1,969

2,108

1,824

1,874

1,937

1,887

2,235

1,785

1,855

1,869

2,043

1,846

2,189

2,187

2,099

2,385

2,260

2,222

2,400

2,082

Corporate bonds

110

101

119

111

110

104

123

105

125

131

115

101

109

107

210

Convertible bonds

Total

13,342

15,065

15,916

12,653

14,261

17,936

11,921

14,062

16,894

13,013

19,236

15,255

16,025

17,078

19,669

14,975

17,387

22,395

16,098

16,325

18,944

13,840

15,941

18,068

Figure 9: Distributions of Portfolio Turnover

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

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

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

Ratio of Turnover to NAV

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

Total Turnover ($Billions)

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

Analytics Oﬃce

(a) Total Turnover

(b) Total Turnover to NAV Ratio

August 2, 2018

Analytics Oﬃce

Region and Country Exposure

Table 31: Large Hedge Fund Adviser Hedge Fund

Region Exposure ($ Billions)

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

Region

North America

Europe EEA

Asia

South America

Europe Other

Supranational

Africa

Middle East

2016Q1

3,879

1,216

619

101

2016Q2

3,943

1,198

601

2016Q3

4,106

1,219

611

2016Q4

4,077

1,223

531

2017Q1

4,406

1,709

596

2017Q2

4,500

1,669

600

102

2017Q3

5,089

1,708

713

108

2017Q4

4,526

1,660

673

133

Table 32: Large Hedge Fund Adviser Hedge Fund

Region Exposure (Percent of Aggregate NAV)

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

Region

North America

Europe EEA

Asia

South America

Europe Other

Supranational

Africa

Middle East

2016Q1

134.1

42.1

21.4

3.5

2.1

1.0

0.7

0.8

2016Q2

136.4

41.4

20.8

3.2

2.1

1.0

0.7

0.8

2016Q3

138.4

41.1

20.6

3.1

2.3

1.1

0.6

0.7

2016Q4

136.3

40.9

17.7

2.9

2.1

1.5

0.6

2017Q1

141.7

55.0

19.2

3.1

2.6

1.9

0.6

2017Q2

142.9

53.0

19.0

3.2

2.5

2.2

0.7

2017Q3

155.9

52.3

21.8

3.3

2.4

2.0

0.7

2017Q4

135.6

49.7

20.2

4.0

2.7

2.2

0.9

0.8

August 2, 2018

Analytics Oﬃce

Table 33: Large Hedge Fund Adviser Hedge Fund

Country Exposure ($ Billions)

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

Country

United States

Japan

China (Inc. Hong Kong)

Brazil

India

Russia

2016Q1

3,638

290

139

2016Q2

3,659

264

129

2016Q3

3,920

263

136

2016Q4

3,866

219

129

2017Q1

4,182

231

130

2017Q2

4,246

229

144

2017Q3

4,824

233

152

2017Q4

4,312

245

164

2017Q3

147.8

7.1

4.7

1.4

1.1

0.5

2017Q4

129.1

7.3

4.9

1.8

1.4

0.5

Table 34: Large Hedge Fund Adviser Hedge Fund

Country Exposure (Percent of Aggregate NAV)

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

Country

United States

Japan

China (Inc. Hong Kong)

Brazil

India

Russia

2016Q1

125.8

10.0

4.8

1.4

1.0

0.4

2016Q2

126.5

9.1

4.4

1.2

1.0

0.4

2016Q3

132.1

8.9

4.6

1.2

0.5

2016Q4

129.3

7.3

4.3

1.2

1.0

0.5

2017Q1

134.5

7.4

4.2

1.3

1.0

0.5

2017Q2

134.9

7.3

4.6

1.3

1.1

0.4

August 2, 2018

Economic Leverage

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

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

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

Ratio of GNE (w/o IRDs) to NAV

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

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

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

Qualifying Hedge Fund Speciﬁc Information

Ratio of GNE to NAV

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

Analytics Oﬃce

(a) Including IRDs

(b) Excluding IRDs

(a) LNE Including IRDs

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

-03

Ratio of SNE (w/o IRDs) to NAV

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

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

Ratio of LNE to NAV

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

Ratio of LNE (w/o IRDs) to NAV

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

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-12

-03

Ratio of SNE to NAV

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

August 2, 2018

Analytics Oﬃce

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

Short Notional Exposure (SNE) to Net Asset Value

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

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

(b) LNE Excluding IRDs

(d) SNE Excluding IRDs

August 2, 2018

Analytics Oﬃce

Gross Exposure by Strategy5

Table 35: Exposures of Hedge Funds ($ Billions)

As reported on Form PF, Questions 9 and 20.