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Division of Investment Management
Analytics Office
Private Funds Statistics
Second Calendar Quarter 2022
January 3, 2023
This is a report of the Staff of the Division of Investment Management’s Analytics Office of the U.S.
Securities and Exchange Commission. The Commission has expressed no view regarding the analysis,
findings, or conclusions contained herein.
January 3, 2023
Analytics Office
Introduction
This report provides a summary of recent private fund industry statistics and trends, reflecting
data collected through Form PF and Form ADV filings.1 Form PF information provided in this
report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary
information of individual Form PF filers.
This report reflects data from Third Calendar Quarter 2020 through Second Calendar Quarter
2022 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
2022 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 2022-Private Funds Statistics”.
1
Only SEC-registered advisers with at least $150 million in private fund assets under management must report to the
Commission on Form PF. SEC-registered investment advisers with less than $150 million in private fund assets under
management, SEC exempt reporting advisers, and state-registered investment advisers are not required to file Form PF,
but report general information about the private funds they manage on Form ADV.
2
The Commission began receiving Form PF filings from Large Hedge Fund Advisers in July 2012. A full data set was
not received until March 2013.
1
Contents
I
II
III
IV
V
VI
Number of Funds and Advisers
4
Gross and Net Assets
A
Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . .
B
Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Fund Domiciles and Adviser Main Offices
Beneficial Ownership
A
All Private Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Qualifying Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Section 3 Liquidity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Section 4 Private Equity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E
Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Derivatives
5
5
8
10
11
13
15
15
16
17
18
19
20
Additional Hedge Fund Industry Information
A
High Frequency Trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Single-Strategy US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . .
D
Single-Strategy Non-US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . .
21
21
22
24
26
VII Information Reported by Large Hedge Fund Advisers
A
Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
28
28
30
31
32
VIII Qualifying Hedge Fund Specific Information
A
Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E
Number of Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
F
Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
G
Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
H
Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
I
Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
34
34
36
38
39
41
42
44
47
48
2
January 3, 2023
J
K
Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Stress Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
49
50
A
B
C
D
E
Section 3 Liquidity Fund Specific Information
Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
52
52
52
55
55
56
A
B
C
Section 4 Private Equity Fund Specific Information
CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . .
57
57
58
59
Appendices
Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3
Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . .
5
Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
How to Read a Boxplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E
Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
61
61
61
61
62
62
62
63
63
64
65
IX
X
XI
Analytics Office
A
3
January 3, 2023
I
Analytics Office
Number of Funds and Advisers3
Table 1: Number of Funds
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Private Equity Fund
Hedge Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Venture Capital Fund
Securitized Asset Fund
Qualifying Hedge Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2020Q3
14,498
9,476
4,408
4,962
3,116
1,150
1,726
1,780
69
47
34,997
2020Q4
15,765
9,379
5,267
5,390
3,289
1,422
1,862
1,793
72
53
37,179
2021Q1
15,854
9,484
5,292
5,406
3,292
1,422
1,867
1,860
73
54
37,398
2021Q2
15,892
9,622
5,308
5,385
3,295
1,424
1,915
1,967
76
56
37,609
2021Q3
15,866
9,496
5,309
5,352
3,289
1,419
1,910
2,015
77
57
37,409
2021Q4
19,052
9,444
6,529
6,034
3,761
2,200
2,243
2,072
79
56
42,813
2022Q1
18,947
9,629
6,646
6,275
3,769
2,217
2,251
2,094
79
54
43,167
2022Q2
18,987
9,733
6,644
6,263
3,772
2,275
2,257
2,059
80
52
43,367
Table 2: Number of Advisers Advising Each Fund Type
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Private Equity Fund
Hedge Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Venture Capital Fund
Securitized Asset Fund
Qualifying Hedge Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2020Q3
1,368
1,728
326
642
373
152
161
530
38
23
3,238
2020Q4
1,451
1,760
366
691
388
178
165
545
37
24
3,388
2021Q1
1,457
1,760
367
693
388
177
165
568
37
24
3,393
2021Q2
1,460
1,765
369
691
389
176
166
590
37
24
3,397
2021Q3
1,458
1,761
369
682
388
176
165
594
37
24
3,388
2021Q4
1,632
1,856
433
735
425
232
176
618
39
24
3,667
2022Q1
1,631
1,854
435
736
427
234
175
608
39
23
3,668
2022Q2
1,635
1,857
435
731
429
236
175
598
40
22
3,671
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 3, 2023
Analytics Office
II
Gross and Net Assets
A
Aggregate Assets by Fund Type over Time
Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions)
As reported on Form PF, Question 8.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Venture Capital Fund
Section 3 Liquidity Fund
Total
2020Q3
8,207
6,825
3,811
2,796
1,392
666
649
329
150
326
15,204
2020Q4
8,776
7,096
4,715
3,586
1,477
811
710
326
225
324
17,041
2021Q1
8,920
7,233
4,822
3,665
1,496
810
712
314
223
312
17,298
2021Q2
9,584
7,894
4,826
3,673
1,509
810
729
330
222
328
18,009
2021Q3
9,784
8,307
4,826
3,674
1,438
812
729
310
222
308
18,119
2021Q4
9,761
8,333
6,404
4,958
1,746
967
869
318
328
316
20,392
2022Q1
9,783
8,268
6,384
4,949
1,764
966
869
318
331
314
20,416
2022Q2
9,444
7,919
6,396
4,949
1,738
968
868
335
332
331
20,082
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
Venture Capital Fund
Section 3 Liquidity Fund
Total
2020Q3
4,300
3,401
3,375
2,493
1,229
507
204
323
144
320
10,082
2020Q4
4,664
3,574
4,163
3,203
1,300
615
218
322
218
320
11,499
2021Q1
4,813
3,740
4,266
3,276
1,318
613
216
304
215
302
11,745
5
2021Q2
5,133
4,057
4,270
3,283
1,341
613
219
319
214
317
12,110
2021Q3
5,116
4,166
4,271
3,283
1,274
615
220
302
215
300
12,012
2021Q4
5,132
4,191
5,742
4,485
1,558
742
264
313
308
311
14,059
2022Q1
5,151
4,150
5,728
4,483
1,581
744
265
313
311
309
14,093
2022Q2
4,916
3,877
5,737
4,483
1,556
745
264
328
312
324
13,859
January 3, 2023
Analytics Office
Figure 1: GAV and NAV Distributions
See Appendix C for an explanation of boxplots.
8
6
6
NAV ($Billions)
4
2
(a) Qualifying Hedge Fund GAV
(b) Qualifying Hedge Fund NAV
1500
NAV ($Millions)
500
1000
500
0
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q
20 3
21
Q
20 4
22
Q
20 1
22
Q2
(d) Section 4 Private Equity Fund NAV
20
20
(c) Section 4 Private Equity Fund GAV
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q
20 3
21
Q
20 4
22
Q
20 1
22
Q2
0
20
GAV ($Millions)
1500
1000
0Q
20 4
21
Q
20 1
21
Q
20 2
21
Q
20 3
21
Q
20 4
22
Q
20 1
22
Q2
0Q
3
20
2
0Q
20 4
21
Q
20 1
21
Q
20 2
21
Q
20 3
21
Q
20 4
22
Q
20 1
22
Q2
20
2
20
2
2
0
0Q
3
0
4
20
2
GAV ($Billions)
As reported on Form PF, Questions 8 and 9.
8
6
January 3, 2023
Analytics Office
Figure 2: Ratio of GAV to NAV
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
2.0
1.5
1.0
0.5
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q
20 3
21
Q
20 4
22
Q
20 1
22
Q2
0.0
2.5
2.0
1.5
1.0
0.5
0.0
20
20
3.0
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q
20 3
21
Q
20 4
22
Q
20 1
22
Q2
Ratio of GAV to NAV
Winsorized (limits=[0%,98%])
2.5
20
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 3, 2023
Borrowings
Table 5: Aggregate Borrowings (Percent of Aggregate GAV)
As reported on Form PF, Questions 8, 12, and 43 (Third Month).
Fund Type
Securitized Asset Fund
Qualifying Hedge Fund
Hedge Fund
Real Estate Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
2020Q3
47.5
47.0
43.0
14.6
6.4
7.3
4.8
0.8
0.0
0.0
2020Q4
53.4
45.6
41.0
13.8
5.0
5.1
5.0
0.5
0.0
0.0
2021Q1
50.1
45.2
40.9
13.9
4.7
4.9
4.9
0.5
0.0
0.0
2021Q2
50.0
45.7
41.6
13.6
4.7
4.9
4.1
0.5
0.0
0.0
2021Q3
49.8
44.6
41.3
14.0
4.7
4.9
3.9
0.5
0.0
0.0
2021Q4
52.4
45.6
42.1
13.2
5.5
5.4
3.5
0.7
0.0
0.0
2022Q1
49.7
43.2
39.8
12.2
5.5
5.5
3.6
0.7
0.0
0.0
2022Q2
49.3
43.3
39.7
12.2
5.5
5.4
3.5
0.7
0.0
0.0
Figure 3: Distribution of Total Borrowings for All Private Funds
and Qualifying Hedge Funds
See Appendix C for an explanation of boxplots.
1
(a) All Private Funds
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q
20 3
21
Q
20 4
22
Q
20 1
22
Q2
0
20
0
2
20
200
3
20
400
4
Q3
Total Borrowings ($Billions)
600
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q
20 3
21
Q
20 4
22
Q
20 1
22
Q2
Total Borrowings ($Millions)
As reported on Form PF, Questions 12 and 43 (Third Month).
20
B
Analytics Office
(b) Qualifying Hedge Funds
8
January 3, 2023
Analytics Office
Figure 4: Ratio of Borrowings to NAV
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month).
3
2
1
0
4
Ratio of Borrowings to NAV
Winsorized (limits=[0%,98%])
20
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q
20 3
21
Q
20 4
22
Q
20 1
22
Q2
Ratio of Borrowings to NAV
Winsorized (limits=[0%,98%])
20
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q
20 3
21
Q
20 4
22
Q
20 1
22
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
2020Q3
64.7
32.9
2.4
1.0
2020Q4
66.3
30.4
2.3
1.0
2021Q1
67.2
30.1
2.4
1.0
9
2021Q2
67.7
29.9
2.2
0.9
2021Q3
67.0
30.5
2.3
0.9
2021Q4
67.1
29.3
2.8
1.0
2022Q1
66.4
30.5
3.1
0.9
2022Q2
66.6
30.3
3.0
0.9
January 3, 2023
C
Analytics Office
Fair Value Hierarchy
Table 7: Assets According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2020Q3
3,836
3,519
4,129
2,342
2020Q4
4,249
3,657
5,072
2,333
2021Q1
4,279
3,639
5,173
2,340
2021Q2
4,315
3,648
5,204
2,333
2021Q3
4,384
3,650
5,274
2,323
2021Q4
4,686
3,841
6,796
2,852
2022Q1
4,655
3,827
6,831
2,877
2022Q2
4,607
3,833
6,842
2,859
Table 8: Liabilities According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2020Q3
1,299
1,066
267
2,228
2020Q4
1,344
1,197
294
2,067
2021Q1
1,336
1,175
296
2,081
2021Q2
1,340
1,179
303
2,075
10
2021Q3
1,342
1,197
338
2,071
2021Q4
1,701
1,362
376
2,273
2022Q1
1,701
1,350
377
2,270
2022Q2
1,695
1,369
340
2,271
January 3, 2023
D
Analytics Office
Parallel Managed Accounts4
Table 9: Number of Funds with Parallel Managed Accounts
As reported on Form PF, Question 11.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Other Private Fund
Private Equity Fund
Qualifying Hedge Fund
Section 4 Private Equity Fund
Real Estate Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Total
2020Q3
601
493
330
221
135
95
***
11
11
***
1,537
2020Q4
597
478
311
210
103
73
17
***
11
***
1,489
2021Q1
581
475
311
199
103
73
17
***
11
***
1,470
2021Q2
575
487
312
200
115
73
17
***
11
***
1,478
2021Q3
559
486
312
207
115
73
17
***
***
***
1,460
2021Q4
569
505
302
207
137
81
30
***
***
***
1,499
2022Q1
578
505
303
210
137
89
30
***
***
***
1,517
2022Q2
576
504
315
201
137
89
30
***
***
***
1,526
Table 10: Aggregate Value in Parallel Managed Accounts ($ Billions)
As reported on Form PF, Question 11.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Other Private Fund
Private Equity Fund
Qualifying Hedge Fund
Section 4 Private Equity Fund
Real Estate Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Total
2020Q3
634
2,028
58
414
38
10
***
383
383
***
3,113
2020Q4
764
2,583
98
473
44
7
1
***
391
***
3,845
2021Q1
768
2,620
98
470
44
7
1
***
411
***
3,905
2021Q2
808
2,647
98
512
68
7
1
***
396
***
3,970
2021Q3
840
2,642
98
551
68
7
1
***
***
***
3,993
2021Q4
880
2,675
119
565
102
15
2
***
***
***
4,110
2022Q1
839
2,672
120
538
102
16
2
***
***
***
4,026
2022Q2
765
3,452
152
483
110
16
2
***
***
***
4,782
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 3, 2023
Analytics Office
Figure 5: Parallel Managed Account Value Distributions
See Appendix C for an explanation of boxplots.
2
1
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q
20 3
21
Q
20 4
22
Q
20 1
22
Q2
0
20
2
4
2
0
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q
20 3
21
Q
20 4
22
Q
20 1
22
Q2
Parallel Managed Assets ($Billions)
3
0Q
4
6
20
2
5
0Q
Parallel Managed Assets ($Billions)
As reported on Form PF, Question 11.
(a) All Private Funds
(b) Qualifying Hedge Funds
12
January 3, 2023
III
Analytics Office
Fund Domiciles and Adviser Main Offices
Table 11: Fund Domicile (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
Cayman Islands
Luxembourg
Ireland
Bermuda
Virgin Islands, British
United Kingdom
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
Canada
United Kingdom
Bermuda
Other
All Private Funds
2020Q3 2020Q4 2021Q1 2021Q2 2021Q3
50.4
51.0
50.9
50.0
49.5
34.9
34.4
34.3
34.3
34.8
3.2
3.7
3.6
3.7
3.7
4.8
4.3
4.1
4.1
4.0
1.0
1.0
1.0
1.0
1.0
1.1
1.0
1.0
1.0
1.0
1.0
1.0
1.0
0.9
0.9
3.6
3.6
4.1
5.0
5.0
Qualifying Hedge Funds
2020Q3 2020Q4 2021Q1 2021Q2 2021Q3
53.2
53.4
52.7
51.6
51.8
34.6
34.1
35.0
34.1
33.9
2.9
2.8
2.8
2.7
2.7
3.1
3.2
3.1
3.2
3.2
2.6
2.7
2.6
2.5
2.5
1.9
1.8
1.7
1.6
1.5
1.8
2.0
2.1
4.3
4.5
Section 3 Liquidity Funds
2020Q3 2020Q4 2021Q1 2021Q2 2021Q3
***
***
***
***
***
22.9
25.5
28.0
27.8
26.6
***
***
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2020Q3 2020Q4 2021Q1 2021Q2 2021Q3
55.1
56.3
55.2
55.2
55.2
31.3
29.6
29.0
28.9
28.9
1.8
2.2
2.2
2.2
2.2
1.7
1.5
1.5
1.5
1.5
1.0
1.1
1.1
1.1
1.1
9.1
9.3
11.0
11.1
11.1
13
2021Q4
51.8
32.8
4.1
3.9
0.9
0.9
1.0
4.7
2022Q1
52.2
32.7
4.1
3.9
1.0
0.9
0.9
4.2
2022Q2
52.5
32.4
4.1
3.9
1.0
0.9
0.9
4.2
2021Q4
51.7
34.2
2.6
3.2
2.4
1.5
4.2
2022Q1
51.0
34.9
2.8
3.1
2.4
1.7
4.2
2022Q2
52.3
35.7
3.0
3.0
2.4
1.7
1.8
2021Q4
***
27.6
***
***
2022Q1
***
28.5
***
***
2022Q2
***
27.3
***
***
2021Q4
56.2
29.3
2.0
1.4
1.2
9.9
2022Q1
56.9
29.6
1.9
1.4
1.2
9.0
2022Q2
56.9
29.6
1.9
1.4
1.2
9.0
January 3, 2023
Analytics Office
Table 12: Adviser Main Office Location (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
United Kingdom
Other
2020Q3
90.0
5.3
4.6
Country
United States
United Kingdom
Australia
Hong Kong
Other
2020Q3
89.8
4.4
***
***
1.9
Country
United States
United Kingdom
2020Q3
***
***
Country
United States
Canada
Other
2020Q3
93.8
***
***
All Private Funds
2020Q4 2021Q1 2021Q2 2021Q3
90.4
90.3
89.4
89.6
4.6
4.8
4.8
4.6
4.9
4.9
5.9
5.8
Qualifying Hedge Funds
2020Q4 2021Q1 2021Q2 2021Q3
88.9
89.6
87.6
88.0
4.7
4.4
4.3
4.1
***
***
***
***
***
***
***
***
2.0
1.8
4.0
4.1
Section 3 Liquidity Funds
2020Q4 2021Q1 2021Q2 2021Q3
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2020Q4 2021Q1 2021Q2 2021Q3
94.2
94.3
94.3
94.3
***
***
***
***
***
***
***
***
14
2021Q4
91.2
3.9
4.9
2022Q1
90.9
4.0
5.1
2022Q2
91.8
3.9
4.3
2021Q4
88.1
4.1
***
***
4.1
2022Q1
88.5
3.9
***
***
4.1
2022Q2
90.7
3.7
***
***
2.2
2021Q4
***
***
2022Q1
***
***
2022Q2
***
***
2021Q4
95.6
***
***
2022Q1
95.6
***
***
2022Q2
95.6
***
***
January 3, 2023
IV
A
Analytics Office
Beneficial Ownership
All Private Funds
Table 13: Beneficial Ownership for All Private Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
State/Muni. Govt. Pension Plans
U.S. Individuals
Pension Plans
Non-Profits
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2020Q3
1,713
1,563
1,343
999
1,164
1,018
690
476
258
260
175
172
129
115
2020Q4
2,042
1,828
1,534
1,165
1,248
1,142
803
554
296
277
192
169
134
111
2021Q1
2,073
1,861
1,557
1,196
1,266
1,170
844
567
309
269
199
176
143
110
2021Q2
2,129
1,949
1,576
1,226
1,279
1,208
855
584
387
263
205
190
144
110
2021Q3
2,133
1,929
1,587
1,208
1,262
1,215
856
594
384
266
203
189
138
44
2021Q4
2,596
2,443
1,858
1,421
1,371
1,314
1,006
697
416
317
232
188
154
42
2022Q1
2,636
2,443
1,882
1,416
1,377
1,296
1,000
705
401
306
226
195
160
45
2022Q2
2,595
2,407
1,871
1,371
1,341
1,245
1,004
702
396
312
222
194
149
44
2022Q1
18.7
17.3
13.4
10.0
9.8
9.2
7.1
5.0
2.8
2.2
1.6
1.4
1.1
0.3
2022Q2
18.7
17.4
13.5
9.9
9.7
9.0
7.2
5.1
2.9
2.2
1.6
1.4
1.1
0.3
Table 14: Beneficial Ownership for All Private Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
State/Muni. Govt. Pension Plans
U.S. Individuals
Pension Plans
Non-Profits
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2020Q3
17.0
15.5
13.3
9.9
11.5
10.1
6.8
4.7
2.6
2.6
1.7
1.7
1.3
1.1
2020Q4
17.8
15.9
13.3
10.1
10.9
9.9
7.0
4.8
2.6
2.4
1.7
1.5
1.2
1.0
15
2021Q1
17.7
15.8
13.3
10.2
10.8
10.0
7.2
4.8
2.6
2.3
1.7
1.5
1.2
0.9
2021Q2
17.6
16.1
13.0
10.1
10.6
10.0
7.1
4.8
3.2
2.2
1.7
1.6
1.2
0.9
2021Q3
17.8
16.1
13.2
10.1
10.5
10.1
7.1
4.9
3.2
2.2
1.7
1.6
1.2
0.4
2021Q4
18.5
17.4
13.2
10.1
9.7
9.3
7.2
5.0
3.0
2.3
1.7
1.3
1.1
0.3
January 3, 2023
B
Analytics Office
Qualifying Hedge Funds
Table 15: Beneficial Ownership for Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
Non-Profits
State/Muni. Govt. Pension Plans
Pension Plans
U.S. Individuals
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
State/Muni. Govt. Entities
Unknown Non-U.S. Investors
Sec-Registered Investment Companies
Banking/Thrift Inst.
Broker-Dealers
2020Q3
564
466
494
368
429
384
220
101
99
50
60
46
37
80
2020Q4
607
493
539
399
458
415
227
113
111
53
67
38
38
17
2021Q1
643
523
561
411
468
454
237
122
113
56
63
41
40
5
2021Q2
696
573
594
430
479
486
244
131
186
62
80
42
43
6
2021Q3
725
598
601
447
478
492
256
140
186
59
89
42
42
8
2021Q4
724
607
602
458
479
492
264
144
182
62
86
38
41
9
2022Q1
733
603
581
462
478
473
266
147
171
61
82
39
41
9
2022Q2
703
571
546
453
452
432
267
151
108
58
47
39
39
9
2022Q1
17.7
14.5
14.0
11.1
11.5
11.4
6.4
3.5
4.1
1.5
2.0
0.9
1.0
0.2
2022Q2
18.1
14.7
14.1
11.7
11.7
11.1
6.9
3.9
2.8
1.5
1.2
1.0
1.0
0.2
Table 16: Beneficial Ownership for Qualifying Hedge Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
Non-Profits
State/Muni. Govt. Pension Plans
Pension Plans
U.S. Individuals
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
State/Muni. Govt. Entities
Unknown Non-U.S. Investors
Sec-Registered Investment Companies
Banking/Thrift Inst.
Broker-Dealers
2020Q3
16.6
13.7
14.5
10.8
12.6
11.3
6.5
3.0
2.9
1.5
1.8
1.3
1.1
2.3
2020Q4
17.0
13.8
15.1
11.2
12.8
11.6
6.3
3.2
3.1
1.5
1.9
1.1
1.1
0.5
16
2021Q1
17.2
14.0
15.0
11.0
12.5
12.1
6.3
3.3
3.0
1.5
1.7
1.1
1.1
0.1
2021Q2
17.2
14.1
14.7
10.6
11.8
12.0
6.0
3.2
4.6
1.5
2.0
1.0
1.1
0.2
2021Q3
17.4
14.4
14.4
10.7
11.5
11.8
6.1
3.4
4.5
1.4
2.1
1.0
1.0
0.2
2021Q4
17.3
14.5
14.4
10.9
11.4
11.7
6.3
3.4
4.3
1.5
2.1
0.9
1.0
0.2
January 3, 2023
C
Analytics Office
Section 3 Liquidity Funds
Table 17: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Other
Private Funds
Unknown Non-U.S. Investors
Banking/Thrift Inst.
Broker-Dealers
Sec-Registered Investment Companies
Insurance Companies
Sov. Wealth Funds And For. Official Inst.
Pension Plans
Non-U.S. Individuals
Non-Profits
State/Muni. Govt. Entities
U.S. Individuals
State/Muni. Govt. Pension Plans
2020Q3
93
55
77
11
***
18
10
***
5
3
2
***
***
1
2020Q4
89
59
81
***
***
20
10
***
9
***
3
***
***
1
2021Q1
83
55
73
***
***
24
11
***
7
***
3
***
***
1
2021Q2
105
52
57
24
***
25
11
***
8
4
3
***
***
1
2021Q3
101
50
50
***
***
27
9
***
7
3
3
***
***
1
2021Q4
96
57
60
***
***
23
9
***
7
***
4
3
***
1
2022Q1
103
58
51
***
***
24
8
***
5
***
3
***
***
1
2022Q2
100
65
64
***
***
16
9
***
5
***
3
***
***
***
2022Q1
33.4
18.6
16.6
***
***
7.8
2.6
***
1.7
***
1.0
***
***
0.3
2022Q2
30.8
19.9
19.9
***
***
4.9
2.8
***
1.5
***
0.9
***
***
***
Table 18: Beneficial Ownership for Section 3 Liquidity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Other
Private Funds
Unknown Non-U.S. Investors
Banking/Thrift Inst.
Broker-Dealers
Sec-Registered Investment Companies
Insurance Companies
Sov. Wealth Funds And For. Official Inst.
Pension Plans
Non-U.S. Individuals
Non-Profits
State/Muni. Govt. Entities
U.S. Individuals
State/Muni. Govt. Pension Plans
2020Q3
29.1
17.2
24.0
3.5
***
5.6
3.2
***
1.5
0.8
0.8
***
***
0.3
2020Q4
27.8
18.4
25.2
***
***
6.3
3.1
***
2.7
***
0.8
***
***
0.4
17
2021Q1
27.4
18.1
24.1
***
***
7.9
3.6
***
2.3
***
1.0
***
***
0.3
2021Q2
33.1
16.5
18.0
7.4
***
7.8
3.5
***
2.4
1.1
1.0
***
***
0.3
2021Q3
33.8
16.5
16.7
***
***
8.9
3.2
***
2.4
0.9
1.1
***
***
0.4
2021Q4
31.0
18.5
19.2
***
***
7.5
2.8
***
2.3
***
1.2
1.0
***
0.3
January 3, 2023
D
Analytics Office
Section 4 Private Equity Funds
Table 19: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
State/Muni. Govt. Pension Plans
Other
Sov. Wealth Funds And For. Official Inst.
Pension Plans
U.S. Individuals
Insurance Companies
Non-Profits
State/Muni. Govt. Entities
Non-U.S. Individuals
Sec-Registered Investment Companies
Banking/Thrift Inst.
Unknown Non-U.S. Investors
Broker-Dealers
2020Q3
468
526
392
285
201
132
154
140
56
54
28
37
19
1
2020Q4
656
652
513
361
246
186
189
180
63
65
27
38
25
3
2021Q1
659
654
544
387
246
187
190
180
63
71
27
38
25
3
2021Q2
662
655
544
388
247
187
190
180
63
71
27
38
25
3
2021Q3
662
655
544
388
247
187
190
180
63
71
27
38
25
3
2021Q4
956
836
818
501
324
264
252
237
82
83
49
45
33
3
2022Q1
974
850
802
477
325
265
255
238
82
77
50
49
34
3
2022Q2
973
851
802
477
326
265
256
238
82
77
50
49
34
3
Table 20: Beneficial Ownership for Section 4 Private Equity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
State/Muni. Govt. Pension Plans
Other
Sov. Wealth Funds And For. Official Inst.
Pension Plans
U.S. Individuals
Insurance Companies
Non-Profits
State/Muni. Govt. Entities
Non-U.S. Individuals
Sec-Registered Investment Companies
Banking/Thrift Inst.
Unknown Non-U.S. Investors
Broker-Dealers
2020Q3
18.8
21.1
15.7
11.4
8.1
5.3
6.2
5.6
2.3
2.2
1.1
1.5
0.7
0.1
2020Q4
20.5
20.3
16.0
11.3
7.7
5.8
5.9
5.6
2.0
2.0
0.8
1.2
0.8
0.1
18
2021Q1
20.1
20.0
16.6
11.8
7.5
5.7
5.8
5.5
1.9
2.2
0.8
1.2
0.8
0.1
2021Q2
20.2
20.0
16.6
11.8
7.5
5.7
5.8
5.5
1.9
2.2
0.8
1.2
0.8
0.1
2021Q3
20.2
20.0
16.6
11.8
7.5
5.7
5.8
5.5
1.9
2.2
0.8
1.2
0.8
0.1
2021Q4
21.3
18.6
18.2
11.2
7.2
5.9
5.6
5.3
1.8
1.9
1.1
1.0
0.7
0.1
2022Q1
21.7
19.0
17.9
10.6
7.3
5.9
5.7
5.3
1.8
1.7
1.1
1.1
0.8
0.1
2022Q2
21.7
19.0
17.9
10.6
7.3
5.9
5.7
5.3
1.8
1.7
1.1
1.1
0.8
0.1
January 3, 2023
E
Analytics Office
Concentration
Table 21: Weighted-Average Beneficial Ownership of Top 5 Owners (Percent)
As reported on Form PF, Questions 9 and 15.
Type
Real Estate Fund
Other Private Fund
Hedge Fund
Venture Capital Fund
Qualifying Hedge Fund
Private Equity Fund
Liquidity Fund
Section 3 Liquidity Fund
Section 4 Private Equity Fund
Securitized Asset Fund
Total
2020Q3
56.6
58.5
55.4
54.7
50.5
50.5
44.2
43.8
44.9
39.1
53.5
2020Q4
56.2
59.6
55.4
53.8
50.7
50.2
43.8
43.6
45.2
36.6
53.3
2021Q1
56.2
59.4
55.2
53.7
50.5
51.1
45.4
45.2
46.1
35.3
53.6
19
2021Q2
56.1
59.4
54.2
53.9
49.7
51.1
47.4
47.1
46.2
35.0
53.3
2021Q3
56.1
60.2
54.0
53.9
49.9
51.1
46.3
46.0
46.2
35.0
53.2
2021Q4
58.9
57.0
53.9
52.6
49.9
49.5
46.1
45.8
44.8
37.3
52.2
2022Q1
59.0
57.5
54.6
52.5
50.9
49.1
48.1
47.7
44.7
37.5
52.4
2022Q2
59.0
57.1
55.0
52.4
51.9
49.2
46.8
46.4
44.7
37.6
52.4
January 3, 2023
V
Analytics Office
Derivatives
Table 22: Aggregate Derivative Value ($ Billions)
As reported on Form PF, Questions 13 and 44 (Third Month).
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Section 4 Private Equity Fund
Real Estate Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2020Q3
13,752
11,771
1,611
97
37
18
3
***
***
***
15,508
2020Q4
14,161
11,893
134
66
34
19
3
***
***
***
14,476
2021Q1
15,235
13,460
138
66
34
18
3
***
***
***
15,504
2021Q2
16,304
14,415
134
66
34
18
3
***
***
***
16,552
2021Q3
15,881
14,474
133
66
34
18
3
***
***
***
16,087
2021Q4
15,523
14,166
118
70
52
41
5
***
***
***
15,785
2022Q1
15,943
14,347
110
69
54
41
5
***
***
***
16,127
2022Q2
15,345
13,661
110
69
54
41
5
***
***
0
15,576
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
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2020Q3
319.8
346.1
131.0
2.9
1.5
3.6
1.5
***
***
***
153.8
2020Q4
303.6
332.8
10.3
1.6
1.1
3.1
1.2
***
***
***
125.9
2021Q1
316.5
359.9
10.5
1.5
1.0
2.9
1.3
***
***
***
132.0
20
2021Q2
317.6
355.3
10.0
1.6
1.0
2.9
1.2
***
***
***
136.7
2021Q3
310.4
347.4
10.4
1.6
1.0
2.9
1.2
***
***
***
133.9
2021Q4
302.5
338.0
7.6
1.2
1.2
5.6
1.8
***
***
***
112.3
2022Q1
309.5
345.7
7.0
1.2
1.2
5.6
1.8
***
***
***
114.4
2022Q2
312.2
352.4
7.0
1.2
1.2
5.6
1.8
***
***
0.0
112.4
January 3, 2023
Analytics Office
Figure 6: Distribution of Derivative Values
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
Total Derivative Value ($Billions)
Winsorized (limits=[1%,99%])
1.0
0.5
7.5
5.0
2.5
0.0
20
20
10.0
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q
20 3
21
Q
20 4
22
Q
20 1
22
Q2
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q
20 3
21
Q
20 4
22
Q
20 1
22
Q2
0.0
20
Q
Total Derivative Value ($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
2020Q3
8,132
49
7
2020Q4
8,150
46
6
2021Q1
8,200
45
6
2021Q2
8,313
49
6
2021Q3
8,213
49
6
2021Q4
8,377
49
8
2022Q1
8,513
52
8
2022Q2
8,601
53
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
2020Q3
4,175
99
2
2020Q4
4,533
99
3
2021Q1
4,675
103
4
2021Q2
4,990
112
4
21
2021Q3
4,963
117
5
2021Q4
4,998
115
6
2022Q1
4,999
128
7
2022Q2
4,759
127
8
January 3, 2023
B
Analytics Office
Industry Concentration
Table 26: Percent of Aggregate Hedge Fund Net Asset Value
Reported by Top Hedge Funds Sorted by Net Asset Value
As reported on Form PF, Questions 9 and 10.
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2020Q3
7.5
14.0
20.4
28.7
43.4
56.7
2020Q4
7.1
13.5
19.9
28.3
43.0
56.4
2021Q1
7.1
13.3
19.5
27.8
42.6
56.1
2021Q2
7.0
13.0
19.1
27.5
42.2
55.9
2021Q3
7.3
13.3
19.4
27.8
42.7
56.2
2021Q4
7.3
13.3
19.3
27.6
42.2
55.7
2022Q1
7.6
13.5
19.5
27.6
42.0
55.5
2022Q2
7.8
13.5
19.4
27.3
41.5
54.9
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
2020Q3
15.3
24.6
33.3
42.4
56.0
67.2
2020Q4
14.9
23.7
32.5
41.5
55.3
66.5
2021Q1
14.1
22.8
31.5
40.4
54.1
65.8
2021Q2
14.8
23.7
32.2
40.7
54.1
65.7
2021Q3
16.2
25.2
33.5
42.3
55.4
66.8
2021Q4
16.2
25.3
33.4
41.9
54.9
66.3
2022Q1
15.8
25.6
33.5
41.9
54.5
66.1
2022Q2
16.7
26.1
34.1
42.4
54.7
66.1
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
2020Q3
34.6
51.0
62.7
73.9
84.9
91.8
2020Q4
33.4
48.8
61.0
72.2
84.1
91.3
2021Q1
32.4
47.1
59.7
71.0
83.1
90.7
2021Q2
31.7
47.5
60.2
70.7
83.0
90.8
22
2021Q3
32.2
48.0
60.5
71.1
83.2
90.9
2021Q4
34.7
49.3
61.4
72.1
83.3
90.9
2022Q1
34.1
48.6
61.0
71.5
83.4
90.8
2022Q2
34.6
50.1
61.7
72.0
83.1
90.5
January 3, 2023
Analytics Office
Table 29: Percent of Aggregate Hedge Fund Derivative Value
Reported by Top Hedge Funds Sorted by Derivative Value
As reported on Form PF, Questions 13 and 44 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2020Q3
39.2
53.8
66.1
76.6
89.0
94.9
2020Q4
40.7
55.1
66.8
77.0
89.1
94.8
2021Q1
41.4
56.3
67.6
77.9
89.2
94.9
2021Q2
39.4
54.9
67.1
78.1
89.3
95.1
2021Q3
40.7
56.8
69.2
79.6
90.4
95.5
2021Q4
41.0
55.4
67.6
78.4
89.8
95.2
2022Q1
38.2
55.1
67.7
79.2
90.4
95.4
2022Q2
39.2
56.0
68.0
79.3
90.3
95.4
Table 30: Percent of Aggregate Hedge Fund Gross Notional Exposure
Reported by Top Hedge Funds Sorted by Gross Notional Exposure
As reported on Form PF, Questions 26 and 30 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2020Q3
35.7
50.6
61.4
71.7
84.1
92.0
2020Q4
35.6
49.2
60.2
70.8
83.4
91.7
2021Q1
36.6
50.1
60.5
71.2
83.4
91.3
2021Q2
34.8
48.4
59.4
70.0
82.8
90.9
23
2021Q3
35.0
49.6
60.6
70.9
83.4
91.1
2021Q4
35.3
48.5
59.7
70.2
82.7
90.7
2022Q1
34.6
48.5
59.9
70.8
83.0
90.8
2022Q2
34.2
49.3
60.9
71.2
83.0
90.6
January 3, 2023
C
Analytics Office
Single-Strategy US-Domiciled Hedge Funds
Table 31: Exposures of Single-Strategy US-Domiciled Hedge Funds ($ Billions)
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Other
Credit
Event Driven
Relative Value
Investment in other funds
Macro
Managed Futures/CTA
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
F.I. Asset Backed
F.I. Corp.
F.I. Conv. Arb.
Volatility Arb.
F.I. Sov.
Subtotal
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Quantitative
Fundamental
Total
2020Q3
567
251
282
33
1
490
103
56
47
47
31
11
5
48
29
9
7
1
1
31
12
9
2
***
***
5
***
***
1,140
2020Q4
615
266
318
30
1
537
119
63
56
51
34
12
5
48
28
11
7
1
2
29
11
8
***
***
***
6
***
***
1,251
24
2021Q1
642
288
329
25
1
561
122
67
55
56
37
12
6
49
29
9
8
1
1
31
13
10
***
***
***
6
***
***
1,314
2021Q2
666
310
327
28
1
589
126
68
57
61
41
14
6
48
28
9
8
1
1
32
13
9
***
***
***
6
***
***
1,369
2021Q3
654
307
319
27
1
595
134
72
62
66
47
13
6
49
30
9
7
1
1
32
13
10
3
***
***
6
***
***
1,384
2021Q4
680
327
324
***
***
627
141
71
70
74
43
20
11
55
32
11
9
2
1
34
13
9
3
***
***
6
***
***
1,439
2022Q1
637
312
298
26
1
652
144
72
73
76
46
19
10
56
33
11
9
2
1
34
15
10
4
***
***
7
***
***
1,435
2022Q2
588
281
273
***
***
650
144
72
72
75
47
18
10
57
33
11
9
3
2
34
15
10
4
***
***
6
***
***
1,388
January 3, 2023
Analytics Office
Table 32: Number of Single-Strategy US-Domiciled Hedge Funds
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Other
Credit
Event Driven
Relative Value
Investment in other funds
Macro
Managed Futures/CTA
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
F.I. Asset Backed
F.I. Corp.
F.I. Conv. Arb.
Volatility Arb.
F.I. Sov.
Subtotal
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Quantitative
Fundamental
Total
2020Q3
1,017
443
522
45
17
957
318
168
153
220
156
46
23
172
88
53
17
12
16
219
44
21
13
***
***
28
***
***
2,775
2020Q4
1,013
437
525
48
11
950
354
173
184
217
151
50
21
174
93
53
18
14
16
238
44
24
***
***
***
26
***
***
2,788
25
2021Q1
1,024
441
534
46
11
979
357
175
185
230
161
52
21
177
95
50
18
13
17
239
46
24
***
***
***
27
***
***
2,852
2021Q2
1,031
451
528
46
11
1,003
366
176
193
239
165
56
22
173
95
44
19
12
16
233
46
24
***
***
***
27
***
***
2,907
2021Q3
1,035
458
527
45
11
1,018
373
178
198
236
166
52
21
173
96
47
18
11
15
238
43
22
13
***
***
24
***
***
2,930
2021Q4
1,132
473
607
***
***
1,036
383
189
197
245
165
60
21
188
96
53
20
19
20
242
45
18
15
***
***
24
***
***
3,085
2022Q1
1,151
482
615
51
8
1,072
394
197
200
261
180
61
21
189
95
52
22
19
14
261
48
19
17
***
***
24
***
***
3,178
2022Q2
1,156
479
623
***
***
1,095
404
210
197
272
190
61
21
199
102
57
23
20
20
262
48
19
17
***
***
23
***
***
3,221
January 3, 2023
D
Analytics Office
Single-Strategy Non-US-Domiciled Hedge Funds
Table 33: Exposures of Single-Strategy Non-US-Domiciled Hedge Funds ($ Billions)
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Relative Value
Other
Macro
Credit
Managed Futures/CTA
Event Driven
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
F.I. Sov.
F.I. Asset Backed
Volatility Arb.
F.I. Corp.
F.I. Conv. Arb.
Subtotal
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Total
2020Q3
994
670
249
***
***
375
252
76
12
24
11
565
434
425
6
***
***
220
155
65
132
***
***
136
93
21
22
28
1,938
2020Q4
1,179
803
293
***
***
408
272
79
14
29
13
617
379
368
7
***
***
235
175
61
151
***
***
147
95
24
28
30
2,159
26
2021Q1
1,160
779
296
***
***
410
274
80
17
24
15
656
379
369
7
***
***
247
185
62
167
***
***
168
103
29
35
35
2,208
2021Q2
1,280
830
357
***
***
423
283
78
19
27
16
745
404
392
9
***
***
303
238
66
201
***
***
182
110
31
41
34
2,419
2021Q3
1,275
825
360
***
***
445
299
79
22
28
17
761
385
373
8
***
***
325
229
96
233
***
***
178
112
33
33
35
2,468
2021Q4
1,269
813
355
***
***
456
315
76
22
27
16
764
265
255
7
***
***
287
210
77
209
***
***
185
117
35
33
33
2,432
2022Q1
1,142
728
321
***
***
434
284
75
24
28
22
772
285
275
7
***
***
297
217
81
231
***
***
185
120
34
30
32
2,391
2022Q2
1,014
646
280
***
***
442
309
75
27
18
13
732
305
295
7
***
***
290
207
83
206
***
***
180
120
30
30
29
2,217
January 3, 2023
Analytics Office
Table 34: Number of Single-Strategy Non-US-Domiciled Hedge Funds
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Relative Value
Other
Macro
Credit
Managed Futures/CTA
Event Driven
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
F.I. Sov.
F.I. Asset Backed
Volatility Arb.
F.I. Corp.
F.I. Conv. Arb.
Subtotal
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Total
2020Q3
1,030
618
315
***
***
297
57
138
26
94
26
811
213
163
41
***
***
344
245
101
121
***
***
306
223
72
43
126
3,065
2020Q4
1,075
636
342
***
***
306
60
151
26
94
24
842
213
163
38
***
***
342
243
102
115
***
***
305
214
77
43
113
3,118
27
2021Q1
1,050
609
342
***
***
305
57
149
26
92
27
826
213
163
40
***
***
342
242
103
118
***
***
313
218
82
43
130
3,100
2021Q2
1,084
612
375
***
***
307
55
151
25
98
25
881
212
162
38
***
***
358
254
107
120
***
***
318
220
80
48
104
3,181
2021Q3
1,072
607
379
***
***
304
54
147
25
98
27
857
207
160
34
***
***
356
249
111
123
***
***
321
223
79
47
102
3,132
2021Q4
1,086
628
386
***
***
301
58
147
27
92
24
849
205
162
37
***
***
353
248
108
108
***
***
308
213
73
48
101
3,086
2022Q1
1,091
629
390
***
***
301
59
144
26
93
25
871
209
168
35
***
***
368
260
111
113
***
***
314
220
69
50
99
3,142
2022Q2
1,088
627
384
***
***
299
58
145
25
89
26
888
208
172
33
***
***
370
260
113
120
***
***
316
222
69
49
102
3,167
January 3, 2023
VII
A
Analytics Office
Information Reported by Large Hedge
Fund Advisers
Economic Leverage
Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
12.5
10.0
7.5
5.0
2.5
0.0
12.5
10.0
7.5
5.0
2.5
0.0
20
20
20
20
15.0
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-0
20 9
21
-1
20 2
22
-0
20 3
22
-06
Ratio of GNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
15.0
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-0
20 9
21
-1
20 2
22
-0
20 3
22
-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
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-0
20 9
21
-1
20 2
22
-0
20 3
22
-06
4
20
-0
6
Ratio of LNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
8
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-0
20 9
21
-1
20 2
22
-0
20 3
22
-06
20
20
Ratio of LNE to NAV
Winsorized (limits=[0%,98%])
10
20
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-0
20 9
21
-1
20 2
22
-0
20 3
22
-06
-1
20 2
21
-0
20 3
21
-0
20 6
21
-0
20 9
21
-1
20 2
22
-0
20 3
22
-06
20
20
-09
20
20
Ratio of SNE to NAV
Winsorized (limits=[0%,98%])
January 3, 2023
Analytics Office
Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and
Short Notional Exposure (SNE) to Net Asset Value Distribution
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
As reported on Form PF, Questions 3(a) and 26.
10
8
6
4
2
0
(b) Long Exposure without IRDs
10
8
6
4
2
0
(d) Short Exposure without IRDs
January 3, 2023
B
Analytics Office
Industry Concentration
Table 35: Large Hedge Fund Adviser Asset and Exposure Concentration
(Percent of Total Reported)
As reported on Form PF, Questions 3(a) and 26.
Month
2020-07
2020-08
2020-09
2020-10
2020-11
2020-12
2021-01
2021-02
2021-03
2021-04
2021-05
2021-06
2021-07
2021-08
2021-09
2021-10
2021-11
2021-12
2022-01
2022-02
2022-03
2022-04
2022-05
2022-06
Top 10 Advisers (NAV)
18.4
18.4
18.5
16.8
16.8
16.8
16.2
16.2
16.2
16.3
16.3
16.3
16.3
17.0
17.0
17.1
17.1
17.1
17.5
16.8
16.8
17.1
17.2
17.2
Top 20 Advisers (NAV)
29.1
29.1
29.3
26.4
26.4
26.4
26.2
26.2
26.2
26.5
26.4
26.4
26.6
27.5
27.5
27.4
27.4
27.4
28.2
27.2
27.2
28.0
28.1
28.1
30
Top 10 Advisers (GNE)
42.0
40.5
40.2
39.8
39.1
39.2
40.2
42.1
41.3
40.6
40.4
40.0
40.6
39.2
38.7
38.3
38.4
38.1
38.8
38.3
38.2
42.8
42.5
38.4
Top 20 Advisers (GNE)
57.1
56.5
55.9
55.6
56.1
54.4
55.7
57.4
55.8
55.4
55.6
54.6
56.7
56.1
55.6
56.3
56.3
54.7
55.2
55.5
55.0
57.6
58.4
55.2
January 3, 2023
Portfolio Turnover
Table 36: Aggregate Portfolio Turnover ($ Billions)
As reported on Form PF, Question 27.
Month
2020-07
2020-08
2020-09
2020-10
2020-11
2020-12
2021-01
2021-02
2021-03
2021-04
2021-05
2021-06
2021-07
2021-08
2021-09
2021-10
2021-11
2021-12
2022-01
2022-02
2022-03
2022-04
2022-05
2022-06
Futures
7,968
10,052
11,043
9,346
12,519
17,703
10,690
17,637
18,604
9,445
13,934
16,641
12,043
13,973
16,020
19,432
17,055
14,329
16,735
21,395
23,132
16,023
19,475
22,128
Sov. and muni. bonds
3,345
3,829
3,738
4,159
4,665
4,408
4,430
5,568
5,505
4,030
4,419
5,182
5,110
5,438
5,485
5,666
6,210
4,672
5,340
6,355
6,016
4,574
5,143
4,903
Listed equities
2,928
2,552
2,866
2,756
3,227
2,993
3,454
3,460
4,131
3,211
3,376
3,679
3,158
3,101
3,437
3,408
3,779
3,842
3,950
3,793
4,526
3,633
4,205
3,847
Corporate bonds
164
165
207
189
171
125
176
176
189
173
157
151
142
140
168
183
164
121
188
292
255
223
339
312
Convertible bonds
40
39
38
44
55
56
58
63
63
51
44
48
29
39
54
38
53
38
40
35
36
27
30
24
Total
14,444
16,638
17,891
16,493
20,637
25,285
18,807
26,904
28,491
16,911
21,930
25,702
20,482
22,691
25,165
28,728
27,261
23,001
26,253
31,870
33,966
24,480
29,192
31,214
Figure 9: Distributions of Portfolio Turnover
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
40
20
15
10
5
0
20
20
20
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-0
20 9
21
-1
20 2
22
-0
20 3
22
-06
0
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-0
20 9
21
-1
20 2
22
-0
20 3
22
-06
Ratio of Turnover to NAV
Winsorized (limits=[1%,99%])
As reported on Form PF, Questions 3(a) and 27.
Total Turnover ($Billions)
Winsorized (limits=[1%,99%])
C
Analytics Office
(a) Total Turnover
(b) Total Turnover to NAV Ratio
31
January 3, 2023
D
Analytics Office
Region and Country Exposure
Table 37: Large Hedge Fund Adviser Hedge Fund
Region Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.
Region
North America
Europe EEA
Asia
Europe Other
South America
Supranational
Middle East
Africa
2020Q3
5,422
1,639
815
126
98
35
35
40
2020Q4
5,096
1,533
803
107
93
33
29
40
2021Q1
5,276
1,353
782
291
85
45
29
34
2021Q2
5,587
1,491
816
313
91
47
55
38
2021Q3
5,847
1,595
800
314
87
51
31
33
2021Q4
5,943
1,482
768
306
86
48
30
27
2022Q1
5,865
1,637
718
417
93
42
27
29
2022Q2
5,578
1,480
713
324
81
38
26
22
Table 38: Large Hedge Fund Adviser Hedge Fund
Region Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.
Region
North America
Europe EEA
Asia
Europe Other
South America
Supranational
Middle East
Africa
2020Q3
143.4
43.3
21.6
3.3
2.6
0.9
0.9
1.1
2020Q4
129.8
39.0
20.5
2.7
2.4
0.8
0.7
1.0
2021Q1
127.8
32.8
19.0
7.1
2.1
1.1
0.7
0.8
2021Q2
127.7
34.1
18.7
7.2
2.1
1.1
1.3
0.9
32
2021Q3
128.5
35.1
17.6
6.9
1.9
1.1
0.7
0.7
2021Q4
131.0
32.7
16.9
6.7
1.9
1.1
0.7
0.6
2022Q1
132.2
36.9
16.2
9.4
2.1
0.9
0.6
0.7
2022Q2
132.0
35.0
16.9
7.7
1.9
0.9
0.6
0.5
January 3, 2023
Analytics Office
Table 39: Large Hedge Fund Adviser Hedge Fund
Country Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.
Country
United States
Japan
China (Inc. Hong Kong)
India
Brazil
Russia
2020Q3
5,160
214
271
32
36
17
2020Q4
4,858
215
285
36
38
18
2021Q1
5,018
209
280
46
33
16
2021Q2
5,288
219
284
52
43
18
2021Q3
5,477
233
251
53
33
16
2021Q4
5,547
217
239
51
33
16
2022Q1
5,549
213
204
48
39
5
2022Q2
5,284
240
198
47
34
5
2022Q1
125.1
4.8
4.6
1.1
0.9
0.1
2022Q2
125.0
5.7
4.7
1.1
0.8
0.1
Table 40: Large Hedge Fund Adviser Hedge Fund
Country Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.
Country
United States
Japan
China (Inc. Hong Kong)
India
Brazil
Russia
2020Q3
136.4
5.7
7.2
0.9
1.0
0.4
2020Q4
123.7
5.5
7.3
0.9
1.0
0.5
2021Q1
121.6
5.1
6.8
1.1
0.8
0.4
33
2021Q2
120.9
5.0
6.5
1.2
1.0
0.4
2021Q3
120.4
5.1
5.5
1.2
0.7
0.3
2021Q4
122.3
4.8
5.3
1.1
0.7
0.3
January 3, 2023
VIII
Qualifying Hedge Fund Specific Information
Economic Leverage
Figure 10: Ratio of Qualifying Hedge Fund Gross Notional Exposure to Net Asset Value
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
7.5
5.0
2.5
7.5
5.0
2.5
0.0
20
20
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-0
20 9
21
-1
20 2
22
-0
20 3
22
-06
0.0
10.0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-0
20 9
21
-1
20 2
22
-0
20 3
22
-06
10.0
12.5
20
-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
21
-0
20 3
21
-0
20 6
21
-0
20 9
21
-1
20 2
22
-0
20 3
22
-06
0
20
2
20
4
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-0
20 9
21
-1
20 2
22
-0
20 3
22
-06
20
20
0
-09
2
Ratio of LNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
4
20
6
Ratio of SNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-0
20 9
21
-1
20 2
22
-0
20 3
22
-06
20
Ratio of LNE to NAV
Winsorized (limits=[0%,98%])
6
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-0
20 9
21
-1
20 2
22
-0
20 3
22
-06
20
20
20
20
Ratio of SNE to NAV
Winsorized (limits=[0%,98%])
January 3, 2023
Analytics Office
Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and
Short Notional Exposure (SNE) to Net Asset Value
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
As reported on Form PF, Questions 9, 10, 26, and 30.
6
4
2
0
(b) LNE Excluding IRDs
6
4
2
0
(d) SNE Excluding IRDs
January 3, 2023
B
Analytics Office
Gross Exposure by Strategy5
Table 41: Exposures of Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Other
Relative Value
Macro
Credit
Event Driven
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Conv. Arb.
Volatility Arb.
F.I. Corp.
Subtotal
Global Macro
Commodity
Currency
Active Trading
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Quantitative
Fundamental
Subtotal
Total
2020Q3
1,757
957
485
***
***
1,128
1,023
689
135
101
26
72
797
725
28
***
***
370
272
98
307
162
71
74
149
145
4
43
5,574
2020Q4
1,975
1,090
548
***
***
1,189
997
676
112
121
32
56
746
681
31
***
***
393
295
98
366
169
96
101
165
***
***
43
5,873
2021Q1
2,036
1,114
574
***
***
1,247
981
647
103
129
43
58
741
670
34
***
***
415
317
98
408
180
116
111
169
***
***
51
6,048
2021Q2
2,244
1,205
649
390
0
1,365
1,031
692
95
133
48
63
818
740
44
***
***
448
346
102
452
186
138
129
215
***
***
54
6,627
2021Q3
2,229
1,201
649
***
***
1,427
1,035
691
100
126
57
61
893
790
66
***
***
453
348
105
449
202
141
107
246
***
***
57
6,789
2021Q4
2,251
1,212
643
396
0
1,456
1,063
709
102
123
65
63
794
704
54
***
***
479
359
119
458
205
145
108
222
***
***
65
6,788
2022Q1
2,031
1,100
577
***
***
1,483
1,043
676
110
112
74
70
856
745
73
***
***
485
359
127
429
202
136
91
238
***
***
75
6,638
2022Q2
1,771
967
467
***
***
1,440
1,028
684
113
89
79
62
874
744
88
***
***
482
350
132
403
201
112
90
215
***
***
69
6,281
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 3, 2023
Analytics Office
Table 42: Exposures of Hedge Funds (Percent of NAV)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Other
Relative Value
Macro
Credit
Event Driven
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Conv. Arb.
Volatility Arb.
F.I. Corp.
Subtotal
Global Macro
Commodity
Currency
Active Trading
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Quantitative
Fundamental
Subtotal
Total
2020Q3
51.7
28.1
14.3
***
***
33.2
30.1
20.3
4.0
3.0
0.8
2.1
23.4
21.3
0.8
***
***
10.9
8.0
2.9
9.0
4.8
2.1
2.2
4.4
4.3
0.1
1.3
163.9
2020Q4
55.3
30.5
15.3
***
***
33.3
27.9
18.9
3.1
3.4
0.9
1.6
20.9
19.1
0.9
***
***
11.0
8.3
2.7
10.2
4.7
2.7
2.8
4.6
***
***
1.2
164.3
37
2021Q1
54.4
29.8
15.3
***
***
33.4
26.2
17.3
2.8
3.5
1.2
1.6
19.8
17.9
0.9
***
***
11.1
8.5
2.6
10.9
4.8
3.1
3.0
4.5
***
***
1.4
161.7
2021Q2
55.3
29.7
16.0
9.6
0.0
33.6
25.4
17.1
2.3
3.3
1.2
1.6
20.2
18.2
1.1
***
***
11.0
8.5
2.5
11.2
4.6
3.4
3.2
5.3
***
***
1.3
163.3
2021Q3
53.5
28.8
15.6
***
***
34.2
24.8
16.6
2.4
3.0
1.4
1.5
21.4
19.0
1.6
***
***
10.9
8.4
2.5
10.8
4.8
3.4
2.6
5.9
***
***
1.4
163.0
2021Q4
53.7
28.9
15.4
9.4
0.0
34.7
25.4
16.9
2.4
2.9
1.5
1.5
18.9
16.8
1.3
***
***
11.4
8.6
2.9
10.9
4.9
3.5
2.6
5.3
***
***
1.6
162.0
2022Q1
48.9
26.5
13.9
***
***
35.7
25.1
16.3
2.7
2.7
1.8
1.7
20.6
18.0
1.8
***
***
11.7
8.7
3.0
10.3
4.9
3.3
2.2
5.7
***
***
1.8
160.0
2022Q2
45.7
24.9
12.1
***
***
37.2
26.5
17.6
2.9
2.3
2.0
1.6
22.5
19.2
2.3
***
***
12.4
9.0
3.4
10.4
5.2
2.9
2.3
5.5
***
***
1.8
162.0
January 3, 2023
C
Analytics Office
Leverage by Strategy
Table 43: Asset Weighted-Average Ratio of GAV to NAV
by Strategy
As reported on Form PF, Questions 8, 9, 10, and 20.
Strategy
Relative Value
Macro
Multi-Strategy
Managed Futures/CTA
Credit
Equity
Investment in other funds
Other
Event Driven
2020Q3
4.8
4.6
2.5
1.5
1.5
1.6
1.3
1.5
1.3
2020Q4
5.7
4.5
3.0
1.5
1.5
1.6
1.2
1.5
1.3
2021Q1
5.6
4.5
3.1
1.5
1.5
1.6
1.2
1.4
1.4
2021Q2
5.7
4.8
3.2
1.5
1.6
1.5
1.3
1.4
1.4
2021Q3
7.0
4.8
3.3
1.5
1.5
1.5
1.3
1.5
1.4
2021Q4
7.0
4.2
3.4
1.4
1.6
1.5
1.3
1.5
1.4
2022Q1
6.0
4.5
3.1
1.5
1.6
1.6
1.2
1.4
1.4
2022Q2
6.5
4.3
3.0
1.9
1.6
1.6
1.6
1.4
1.4
Table 44: Asset Weighted-Average Ratio of GNE to NAV
by Strategy
As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month).
Strategy
Macro
Relative Value
Managed Futures/CTA
Multi-Strategy
Investment in other funds
Credit
Equity
Other
Event Driven
2020Q3
32.5
19.6
20.9
10.3
2.0
2.8
3.0
3.4
1.8
2020Q4
33.1
23.6
19.7
12.4
2.1
2.8
2.9
3.2
1.9
2021Q1
37.3
24.9
19.2
14.7
1.9
3.0
3.0
3.1
2.0
2021Q2
36.9
23.3
21.4
16.1
2.9
3.2
3.0
3.2
2.1
2021Q3
34.6
26.4
22.9
16.2
3.3
3.0
2.9
3.2
2.0
2021Q4
32.9
27.1
16.9
16.0
3.3
3.1
3.1
3.1
1.9
2022Q1
33.3
25.4
15.0
14.9
2.8
3.2
2.9
3.1
1.9
2022Q2
31.0
24.8
16.5
13.2
4.3
3.1
2.9
2.9
2.0
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
Equity
Other
Event Driven
Credit
Investment in other funds
2020Q3
47.7
38.2
30.1
26.2
8.3
13.4
8.0
7.9
6.0
2020Q4
40.4
40.2
26.4
25.7
7.9
12.4
8.5
9.7
7.2
2021Q1
38.7
41.9
24.9
21.9
8.0
12.5
7.5
9.4
1.1
38
2021Q2
34.0
42.9
25.4
20.9
7.5
12.2
7.2
8.9
3.0
2021Q3
42.7
42.3
25.4
21.1
8.1
11.6
7.7
8.8
1.6
2021Q4
48.2
42.8
26.1
21.8
8.5
11.8
8.1
8.3
8.2
2022Q1
51.0
44.1
23.9
23.3
10.2
11.3
10.7
6.8
4.9
2022Q2
56.0
44.1
27.7
23.8
12.6
11.4
9.6
8.3
7.3
January 3, 2023
D
Analytics Office
Investment Exposures
Table 46: Aggregate Qualifying Hedge Fund Gross Notional Exposure
by Asset Type ($ Billions)
As reported on Form PF, Questions 26 and 30.
Interest Rate Derivatives
Foreign Exchange Derivatives
Repurchase Agreements
Non-Financial Listed Equities
U.S. Treasury Securities
Non-Financial Equity Derivatives
Sovereign Bonds - Non-U.S. G10
Credit Derivatives
Cash/Cash Equivalents - Other
Non-Financial Unlisted Equities
Commodity Derivatives
Financial Listed Equities
Leveraged Loans
Non-U.S. Currency Holdings
Non-Financial Corporate Bonds
Cash/Cash Equivalents - MMFs
Cash/Cash Equivalents - Deposits
Other Derivatives
Sovereign Bonds - Other
MBS
Physical Real Estate
Other Private Funds
Other Loans (Excluding Repo)
Non-Financial Convertible Bonds
Other
Financial Equity Derivatives
Financial Corporate Bonds
U.S. Agency and GSE Securities
Other ABS/Structured Products
CDO/CLO
Financial Unlisted Equities
U.S. State and Local Bonds
Registered Investment Companies
Physical Commodities
Financial Convertible Bonds
2020Q3
6,390
3,164
2,069
2,142
1,740
1,168
1,155
534
389
288
309
244
198
180
246
170
190
235
348
254
100
123
117
140
85
88
69
39
51
35
24
19
20
5
8
2020Q4
6,282
3,216
1,908
2,495
1,595
1,273
1,272
586
425
317
341
272
202
188
221
168
184
226
327
216
112
134
115
174
89
93
68
42
50
33
26
19
17
8
8
2021Q1
6,781
3,756
1,895
2,551
1,672
1,622
1,302
736
506
385
367
314
223
208
240
173
196
213
278
184
120
145
118
182
95
99
67
39
52
35
27
19
18
5
9
39
2021Q2
7,509
4,076
2,073
2,836
1,727
1,558
1,416
715
576
433
417
348
230
223
273
172
205
218
321
203
130
157
123
200
88
110
71
43
62
37
30
19
17
5
10
2021Q3
7,640
4,077
2,270
2,711
1,735
1,598
1,472
783
535
417
455
361
247
255
272
181
240
188
332
212
146
175
133
178
98
105
73
52
60
38
27
21
16
7
9
2021Q4
7,477
3,974
2,221
2,750
1,760
1,580
1,412
759
578
467
393
376
261
217
280
207
218
207
308
205
166
183
141
173
112
106
71
46
59
39
29
22
16
6
9
2022Q1
7,831
3,823
2,199
2,493
1,692
1,778
1,373
746
857
480
424
349
274
232
272
199
216
216
267
170
176
185
144
154
110
102
76
47
63
39
30
19
17
9
8
2022Q2
7,526
3,424
2,168
2,122
1,524
1,484
1,377
808
529
479
399
307
277
262
248
226
224
220
209
189
186
186
149
125
118
93
71
56
55
36
27
17
15
9
7
January 3, 2023
Analytics Office
Table 47: Percent of Qualifying Hedge Fund Gross Notional Exposure
Representing Long Notional Exposure
As reported on Form PF, Questions 26 and 30.
Interest Rate Derivatives
Foreign Exchange Derivatives
Repurchase Agreements
Non-Financial Listed Equities
U.S. Treasury Securities
Non-Financial Equity Derivatives
Sovereign Bonds - Non-U.S. G10
Credit Derivatives
Cash/Cash Equivalents - Other
Non-Financial Unlisted Equities
Commodity Derivatives
Financial Listed Equities
Leveraged Loans
Non-U.S. Currency Holdings
Non-Financial Corporate Bonds
Cash/Cash Equivalents - MMFs
Cash/Cash Equivalents - Deposits
Other Derivatives
Sovereign Bonds - Other
MBS
Physical Real Estate
Other Private Funds
Other Loans (Excluding Repo)
Non-Financial Convertible Bonds
Other
Financial Equity Derivatives
Financial Corporate Bonds
U.S. Agency and GSE Securities
Other ABS/Structured Products
CDO/CLO
Financial Unlisted Equities
U.S. State and Local Bonds
Registered Investment Companies
Physical Commodities
Financial Convertible Bonds
2020Q3
52.4
58.4
38.1
69.7
62.2
51.2
51.9
42.5
78.4
99.1
67.1
70.2
99.4
49.0
85.2
***
72.3
65.5
75.5
82.4
***
99.7
91.0
98.7
95.0
55.1
91.5
85.0
92.4
***
99.9
***
97.3
99.3
97.1
2020Q4
51.5
58.5
38.4
70.7
60.9
50.8
49.8
45.3
74.9
99.8
68.8
73.3
99.5
54.9
84.4
***
73.9
42.6
75.9
80.8
***
***
88.8
98.4
94.9
57.7
90.0
78.5
92.7
***
99.8
***
***
99.4
97.4
2021Q1
49.7
58.5
44.9
70.9
55.3
57.0
48.6
46.8
71.4
99.7
67.1
72.4
98.3
53.3
81.9
***
72.9
44.1
75.6
82.2
***
***
93.5
97.9
94.6
59.8
89.5
72.5
86.7
***
99.7
98.3
***
99.6
97.3
40
2021Q2
48.5
57.7
46.5
70.2
56.7
53.7
50.0
46.6
75.1
99.7
67.0
72.3
99.4
53.3
81.0
***
75.4
48.9
69.5
73.6
***
99.5
93.1
97.8
95.3
60.6
88.3
59.3
84.5
***
99.8
***
96.2
***
95.8
2021Q3
48.5
57.0
46.8
71.4
57.2
51.4
48.5
47.0
73.2
99.8
63.8
73.5
98.0
56.8
79.1
***
72.8
61.9
70.2
71.9
***
99.9
91.7
97.7
96.0
60.1
87.1
65.0
85.3
***
99.7
***
97.9
98.4
95.0
2021Q4
47.8
55.2
48.5
71.8
56.9
51.9
48.5
44.5
71.6
99.8
65.2
73.1
98.0
62.5
74.5
***
74.9
51.6
64.2
70.0
***
99.9
90.7
97.9
94.8
55.5
86.4
62.8
84.2
***
99.7
***
97.8
***
96.2
2022Q1
48.5
56.0
48.9
70.4
59.2
56.9
47.9
43.1
67.1
99.6
64.3
71.4
98.2
61.7
77.2
***
71.9
50.6
63.4
78.4
***
99.9
91.4
97.3
93.4
54.3
86.4
55.3
80.7
***
99.7
***
98.1
99.8
96.7
2022Q2
50.0
55.1
48.3
68.3
62.9
50.7
48.2
40.3
77.0
99.8
59.9
69.5
98.7
60.8
75.4
99.9
67.3
45.0
58.6
81.7
***
99.9
91.6
97.2
90.7
55.6
87.0
52.8
83.5
86.3
99.9
***
98.8
99.4
96.3
January 3, 2023
Number of Positions
Figure 12: Number of Positions Reported by Qualifying Hedge Funds
As reported on Form PF, Question 34.
2000
1000
41
2-0
6
20
2
2-0
3
20
2
1-1
2
20
2
1-0
9
20
2
1-0
6
20
2
1-0
3
20
2
0-1
2
20
2
0-0
9
0
20
2
Number of Positions
E
Analytics Office
January 3, 2023
Liquidity
Table 48: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 50.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2020Q3
7.7
13.2
24.6
42.8
54.7
66.1
2020Q4
6.8
10.1
22.7
43.7
51.7
64.7
2021Q1
6.2
9.5
22.4
39.8
51.1
63.8
2021Q2
7.8
11.7
23.6
40.4
51.3
64.6
2021Q3
7.5
11.1
23.1
40.2
52.2
63.5
2021Q4
7.5
11.0
23.1
42.9
50.3
62.8
2022Q1
7.5
10.9
23.4
39.8
50.1
62.2
2022Q2
5.8
8.6
20.0
36.8
47.0
60.4
Table 49: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 26, 30, and 32.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2020Q3
35.5
56.9
69.7
75.9
80.1
84.6
2020Q4
32.6
55.1
68.5
75.1
79.4
84.2
2021Q1
33.4
54.6
67.6
74.2
78.3
83.5
2021Q2
33.8
54.7
67.5
74.1
78.2
83.2
2021Q3
33.3
53.3
66.1
73.0
77.3
82.2
2021Q4
33.7
52.9
65.7
72.5
77.0
81.9
2022Q1
35.4
53.5
64.9
71.1
75.5
80.5
Figure 13: Asset Weighted-Average Qualifying Hedge Fund
Investor and Portfolio Liquidity
Portfolio Liquidity
80
40
20
s
65
mo
At
st 3
mo
st 1
80
day
s
day
ays
42
At
mo
At
st 9
mo
At
st 3
0d
day
st 7
mo
0d
s
ays
0
At
st 1
mo
Investor Liquidity
60
day
Percent of Fund Net Assets (%)
As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of Second Calendar Quarter 2022.
At
F
Analytics Office
2022Q2
33.6
51.4
62.3
68.3
73.5
79.3
January 3, 2023
Analytics Office
Table 50: Restrictions on Qualifying Hedge Fund Assets ($ Billions)
As reported on Form PF, Questions 48 and 49.
2020Q3
2,500
1,608
61
50
15
2020Q4
2,622
1,732
73
64
20
2021Q1
2,720
1,809
89
76
19
2021Q2
2,956
1,909
100
78
18
2021Q3
2,979
1,926
110
84
18
2021Q4
2,922
1,885
114
84
18
2022Q1
2,883
1,878
104
74
17
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.
50
40
30
20
10
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q
20 3
21
Q
20 4
22
Q
20 1
22
Q2
0
20
Type
May Suspend
May Have Gates
Side-Pocketed
Gated
Suspended
43
2022Q2
2,656
1,845
97
74
14
January 3, 2023
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
2020Q3
3,192
1,415
1,330
447
13
3,205
2020Q4
3,220
1,616
1,201
403
14
3,234
2021Q1
3,255
1,709
1,066
480
16
3,271
2021Q2
3,586
1,931
1,113
542
17
3,603
2021Q3
3,670
1,918
1,205
547
32
3,702
2021Q4
3,747
1,963
1,151
633
49
3,795
2022Q1
3,530
1,842
1,090
599
39
3,570
2022Q2
3,396
1,657
1,150
588
34
3,429
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
2020Q3
61.0
38.3
0.6
0.1
2020Q4
64.5
34.8
***
***
2021Q1
65.2
34.1
0.6
0.1
2021Q2
65.8
33.6
0.5
0.1
2021Q3
64.5
34.8
0.6
0.1
2021Q4
65.3
33.9
0.7
0.2
2022Q1
63.7
35.4
0.9
0.0
2022Q2
63.9
35.3
0.7
0.0
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
2020Q3
1,861
1,293
568
1,362
912
451
513
379
134
3,736
2020Q4
2,134
1,508
626
1,273
866
407
497
389
108
3,904
2021Q1
2,230
1,556
673
1,090
742
348
594
435
159
3,913
44
2021Q2
2,454
1,659
795
1,166
811
355
658
476
182
4,278
2021Q3
2,433
1,582
851
1,271
908
363
707
521
186
4,411
2021Q4
2,408
1,587
821
1,204
826
378
755
520
235
4,368
2022Q1
2,236
1,471
764
1,141
766
375
727
528
199
4,103
2022Q2
1,971
1,322
649
1,196
815
381
734
561
173
3,901
4
2
0
(b) Prime Broker Borrowing
45
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-0
20 9
21
-1
20 2
22
-0
20 3
22
-06
20
6
20
8
Collateral/Reverse Repo Borrowing
Winsorized (limits=[0%,98%])
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-0
20 9
21
-1
20 2
22
-0
20 3
22
-06
20
20
Collateral/Prime Broker Borrowing
Winsorized (limits=[0%,98%])
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-0
20 9
21
-1
20 2
22
-0
20 3
22
-06
20
20
Collateral/Total Secured Borrowing
Winsorized (limits=[0%,98%])
January 3, 2023
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 3, 2023
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
2020Q3
39.0
51.1
67.5
80.9
94.7
96.0
2020Q4
27.8
44.5
65.4
79.3
94.9
96.1
2021Q1
37.4
45.0
65.3
78.7
94.4
95.5
2021Q2
36.5
46.9
64.9
76.9
94.5
95.8
2021Q3
36.5
47.9
64.9
76.6
94.5
95.5
2021Q4
26.4
42.7
63.0
77.3
93.9
95.5
2022Q1
35.6
46.3
63.7
76.6
93.9
95.2
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 2022.
2022Q2
36.8
47.2
64.8
76.3
93.0
94.3
January 3, 2023
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
22
20
Q1
22
20
Q4
21
20
Q3
21
20
Q2
21
20
Q1
21
20
Q4
20
20
20
Q3
0
20
H
Analytics Office
January 3, 2023
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
Monte Carlo Simulation
Parametric
Other
VaR Not Used
2020Q3
628
285
167
175
43
1,152
2020Q4
613
278
168
162
43
1,180
2021Q1
597
269
171
158
45
1,263
2021Q2
657
272
194
186
50
1,310
2021Q3
663
266
199
193
53
1,352
2021Q4
678
268
201
201
55
1,394
2022Q1
685
268
210
202
52
1,409
2022Q2
652
275
192
181
52
1,407
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
Monte Carlo Simulation
Parametric
Other
VaR Not Used
2020Q3
3,918
1,979
836
769
845
2,906
2020Q4
3,886
2,009
883
633
898
3,210
2021Q1
3,808
1,992
871
632
846
3,424
2021Q2
4,267
2,247
988
698
905
3,627
2021Q3
4,590
2,322
984
735
1,127
3,717
2021Q4
4,467
2,198
1,014
721
1,119
3,866
2022Q1
4,449
2,154
1,029
695
1,124
3,819
2022Q2
4,316
2,146
965
625
1,114
3,603
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
Monte Carlo Simulation
Parametric
Other
VaR Not Used
2020Q3
1,374
564
350
434
147
2,027
2020Q4
1,345
578
361
376
145
2,229
2021Q1
1,355
586
368
373
156
2,384
48
2021Q2
1,518
619
432
432
170
2,540
2021Q3
1,542
619
443
437
185
2,624
2021Q4
1,549
608
448
441
182
2,643
2022Q1
1,550
613
460
422
191
2,600
2022Q2
1,418
604
390
368
192
2,459
January 3, 2023
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
2020Q3
568
430
60
722
2020Q4
555
400
58
780
2021Q1
535
435
62
828
2021Q2
565
450
92
860
2021Q3
556
472
107
880
2021Q4
562
478
116
916
2022Q1
571
479
114
930
2022Q2
581
464
71
943
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
2020Q3
3,692
1,302
226
1,604
2020Q4
3,524
1,383
362
1,827
2021Q1
3,545
1,435
263
1,989
2021Q2
3,955
1,496
312
2,131
2021Q3
4,226
1,538
364
2,179
2021Q4
4,076
1,555
391
2,311
2022Q1
4,108
1,548
341
2,271
2022Q2
4,084
1,447
233
2,155
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
2020Q3
1,243
781
130
1,246
2020Q4
1,189
819
156
1,411
2021Q1
1,206
846
150
1,538
2021Q2
1,314
887
204
1,653
49
2021Q3
1,288
936
254
1,688
2021Q4
1,287
922
261
1,720
2022Q1
1,302
904
248
1,696
2022Q2
1,274
848
144
1,611
January 3, 2023
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
2020Q3
836
730
717
630
518
459
258
214
2020Q4
796
690
666
584
473
413
229
188
2021Q1
789
710
669
575
463
399
241
202
2021Q2
826
741
700
616
485
419
253
225
2021Q3
844
748
708
610
501
428
268
228
2021Q4
860
746
708
622
499
425
270
227
2022Q1
876
766
722
650
530
443
291
252
2022Q2
863
770
735
657
525
454
287
252
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
2020Q3
4,407
4,021
4,229
3,582
3,471
3,371
914
789
2020Q4
4,395
3,917
4,062
3,486
3,196
3,186
872
738
2021Q1
4,461
3,972
4,210
3,512
3,250
3,254
882
752
2021Q2
4,880
4,375
4,628
3,912
3,624
3,605
1,001
852
2021Q3
5,194
4,646
4,927
4,228
3,909
3,883
1,136
882
2021Q4
5,042
4,527
4,758
4,235
3,713
3,742
1,134
899
2022Q1
5,087
4,562
4,870
4,359
3,796
3,846
1,184
970
2022Q2
5,083
4,487
4,805
4,341
3,784
3,973
1,123
936
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
2020Q3
1,799
1,571
1,496
1,333
1,144
1,115
403
358
2020Q4
1,779
1,520
1,415
1,247
1,043
1,019
376
329
2021Q1
1,826
1,553
1,508
1,266
1,071
1,037
387
340
50
2021Q2
1,948
1,679
1,620
1,388
1,152
1,114
424
380
2021Q3
1,989
1,675
1,623
1,377
1,167
1,123
482
379
2021Q4
1,972
1,655
1,599
1,385
1,128
1,108
467
374
2022Q1
1,967
1,691
1,654
1,459
1,192
1,151
504
422
2022Q2
1,892
1,637
1,628
1,448
1,174
1,167
484
409
January 3, 2023
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
2020Q3
782
183
110
98
100
108
196
75
128
2020Q4
838
178
118
98
103
113
169
68
108
2021Q1
890
202
117
90
105
117
157
61
121
2021Q2
952
210
121
96
107
127
155
60
139
2021Q3
987
214
130
83
101
137
155
71
137
2021Q4
1,032
223
130
84
103
127
165
79
129
2022Q1
1,044
212
129
83
101
126
167
81
151
2022Q2
1,014
208
126
80
100
130
168
79
154
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
2020Q3
1,830
424
510
336
266
841
1,810
260
547
2020Q4
2,189
466
528
315
313
849
1,665
275
497
2021Q1
2,253
414
596
302
341
831
1,722
263
511
2021Q2
2,442
425
638
342
346
926
1,890
279
605
2021Q3
2,544
444
629
324
363
929
2,101
360
613
2021Q4
2,703
485
618
314
353
747
2,159
348
606
2022Q1
2,612
432
568
306
352
871
2,123
341
662
2022Q2
2,388
412
431
279
425
808
2,193
335
647
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
2020Q3
1,376
278
230
208
148
266
546
126
222
2020Q4
1,566
308
264
229
146
273
463
127
198
2021Q1
1,688
272
307
217
166
282
480
120
207
2021Q2
1,857
284
328
247
163
318
491
124
246
51
2021Q3
1,942
300
322
231
176
321
477
170
227
2021Q4
1,982
319
312
215
189
291
502
169
212
2022Q1
1,945
276
294
212
187
302
509
174
252
2022Q2
1,754
255
269
190
176
279
543
160
249
January 3, 2023
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
2020Q3
72.9
95.4
99.1
99.5
99.9
99.9
2020Q4
72.9
94.8
98.6
99.3
99.7
100.0
2021Q1
72.2
93.6
98.1
98.9
99.4
99.9
2021Q2
70.3
92.8
97.2
98.2
99.0
99.7
2021Q3
68.6
92.6
97.3
97.8
98.8
99.8
2021Q4
68.9
92.4
96.6
97.8
99.0
99.8
2022Q1
69.5
91.6
96.0
97.9
99.5
99.8
2022Q2
66.4
91.8
96.5
98.5
99.6
99.8
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
2020Q4
303
270
0
0
2021Q1
280
247
0
0
2021Q2
296
263
0
0
2021Q3
278
245
0
0
2021Q4
291
260
0
0
2022Q1
290
261
0
0
2022Q2
310
281
0
0
Portfolio Characteristics
Figure 18: Weighted-Average Maturity Reported by Section 3 Liquidity Funds
As reported on Form PF, Question 55.
Average WAM
60
Asset-Weighted WAM
50
40
30
20
10
52
-06
22
20
-03
22
20
-12
21
20
-09
20
21
-06
21
20
-03
21
20
-12
20
20
20
-09
0
20
Weighted Average Maturity (WAM) in Days
B
2020Q3
303
273
0
0
January 3, 2023
Analytics Office
Figure 19: Weighted-Average Life Reported by Section 3 Liquidity Funds
Average WAL
70
Asset-Weighted WAL
60
50
40
30
20
10
-06
22
20
-03
22
20
-12
21
20
-09
20
21
-06
21
20
-03
21
20
20
20
20
20
-12
0
-09
Weighted Average Life (WAL) in Days
As reported on Form PF, Question 55.
Figure 20: Seven-Day Gross Yield Reported by Section 3 Liquidity Funds
As reported on Form PF, Question 55.
Average Yield
Asset-Weighted Yield
1.5
1.0
0.5
0.0
20
20
-09
20
20
-12
20
21
-03
20
21
-06
20
21
-09
20
21
-12
20
22
-03
20
22
-06
Seven-Day Gross Yield (%)
2.0
53
January 3, 2023
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
22
20
-03
22
20
-12
21
20
-09
21
20
-06
21
20
-03
21
20
20
20
20
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
22
-06
20
22
-03
20
21
-12
20
21
-09
20
21
-06
20
21
-03
20
20
-12
20
20
-09
0
20
Ratio of Weekly Liquid Assets (WLA)
to Net Asset Value (%)
As reported on Form PF, Question 55.
January 3, 2023
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
None
Credit Quality
Diversification
Maturity
Liquidity
Fully
2020Q3
38.3
61.7
57.4
57.4
53.2
48.9
2020Q4
45.3
54.7
50.9
50.9
47.2
43.4
2021Q1
46.3
53.7
50.0
50.0
46.3
42.6
2021Q2
48.2
51.8
48.2
48.2
44.6
39.3
2021Q3
50.9
49.1
45.6
45.6
42.1
38.6
2021Q4
51.8
48.2
44.6
44.6
41.1
37.5
2022Q1
51.9
48.1
44.4
44.4
40.7
37.0
2022Q2
53.8
46.2
42.3
42.3
36.5
34.6
Table 70: Rule 2a-7 Compliance (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 54.
Compliance Type
None
Credit Quality
Diversification
Maturity
Liquidity
Fully
D
2020Q3
86.9
13.1
12.1
12.1
11.8
9.9
2020Q4
86.4
13.6
12.3
12.3
12.1
10.1
2021Q1
83.7
16.3
14.9
14.9
14.7
12.7
2021Q2
81.6
18.4
17.1
17.1
16.9
14.3
2021Q3
80.9
19.1
17.4
17.4
17.2
15.0
2021Q4
82.1
17.9
16.5
16.5
16.3
14.2
2022Q1
81.3
18.7
17.2
17.2
17.0
15.0
2022Q2
83.9
16.1
14.6
14.6
13.4
12.5
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
2020Q3
74.5
25.5
2020Q4
73.6
26.4
2021Q1
75.9
24.1
2021Q2
75.0
25.0
2021Q3
77.2
22.8
2021Q4
75.0
25.0
2022Q1
74.1
25.9
2022Q2
71.2
28.8
Table 72: NAV Calculation Method (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2020Q3
70.1
29.9
2020Q4
66.6
33.4
2021Q1
69.0
31.0
2021Q2
66.1
33.9
55
2021Q3
66.7
33.3
2021Q4
64.4
35.6
2022Q1
67.2
32.8
2022Q2
61.2
38.8
January 3, 2023
Aggregate Portfolio Holdings
Table 73: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2
6
202
202
1-0
202
1-0
5
4
1-0
3
202
1-0
2
202
1-0
1
202
1-0
2
202
0-1
1
0-1
202
0-1
0
202
-09
202
0
-08
202
0
Product Type
U.S. Treasuries
Deposits
Repo - Govt. Collateral
Commercial Paper
Asset-Backed Securities
Other
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
202
0-0
7
As reported on Form PF, Question 63.
102.1
62.1
35.0
38.7
21.4
39.9
15.5
2.3
1.5
101.2
55.4
44.4
43.6
21.0
32.2
15.8
1.9
1.4
108.5
54.2
42.3
40.8
19.6
30.7
16.5
2.2
1.3
107.3
58.3
33.0
34.7
17.3
32.5
17.0
1.7
0.9
103.1
61.8
31.7
36.9
19.6
36.6
19.9
1.9
0.8
104.1
52.8
39.0
37.7
20.9
38.7
18.0
1.8
0.9
97.2
63.7
27.7
45.2
20.0
34.6
18.3
1.9
0.9
89.5
69.1
25.8
45.3
20.3
36.2
17.9
1.6
0.9
91.9
59.5
23.9
48.8
22.8
36.9
13.3
1.4
1.1
82.7
76.0
23.8
50.0
21.8
33.4
13.2
1.5
1.2
86.1
80.0
26.1
53.4
22.3
29.1
12.4
1.3
1.2
94.8
69.9
32.1
51.2
21.7
27.9
15.1
1.4
1.1
Table 74: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2
84.3
73.4
52.2
44.2
24.1
11.7
10.7
2.1
1.1
63.4
78.9
69.2
46.4
18.9
13.4
10.5
2.5
1.0
78.4
72.0
67.1
53.6
20.8
15.7
9.3
1.9
1.0
2-0
202
6
5
202
91.4
62.8
48.0
46.6
26.0
16.4
9.9
2.3
1.0
2-0
202
4
202
81.5
80.5
38.1
48.2
24.7
13.5
9.1
1.7
1.0
2-0
202
2-0
3
2-0
1
202
69.9
73.5
44.1
51.9
25.2
18.4
8.0
1.6
1.1
2-0
202
1-1
88.7
60.8
47.2
48.2
24.4
26.0
10.1
1.5
1.1
56
2
1-1
1
202
88.8
82.0
31.6
50.5
24.5
21.0
10.6
1.6
1.0
-10
202
1
88.7
83.1
31.3
53.1
23.9
18.9
7.7
1.3
1.1
-09
202
1
73.1
69.7
40.2
51.4
23.0
26.0
12.1
1.4
1.1
1-0
8
202
80.2
75.5
35.2
51.7
21.0
21.0
11.6
1.2
0.9
7
86.4
83.1
26.0
52.3
20.9
24.0
12.4
1.3
0.9
1-0
Product Type
U.S. Treasuries
Deposits
Repo - Govt. Collateral
Commercial Paper
Asset-Backed Securities
Other
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
2
As reported on Form PF, Question 63.
202
E
Analytics Office
January 3, 2023
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, &...
Telecommunications Data Processing...
Other Financial Investment...
Custom Computer Programming...
Other Information Services
Other Financial Vehicles
Pharmaceutical & Medicine Mfg
Oil & Gas Extraction
Insurance Agencies & Brokerages
Computer Systems Design Services
Other Computer Related Services
Medical Equipment & Supplies Mfg
All Other Professional,...
Pipeline Transportation
Activities Related to Credit...
Management, Scientific, &...
Scientific Research & Development...
Educational Services
Electronic Shopping & Mail-Order...
2014Q4
3.8
3.8
2.3
2.5
1.8
1.0
2.1
0.4
1.3
7.8
1.0
0.8
0.4
1.3
0.6
2.6
1.2
1.2
0.9
1.3
1.5
2015Q4
4.9
3.7
1.8
2.7
1.8
1.5
1.9
0.6
1.5
5.8
1.0
0.6
0.5
0.9
0.6
2.4
1.4
1.1
1.0
1.3
1.2
2016Q4
6.1
4.1
2.0
2.3
1.7
1.5
1.8
1.8
1.4
6.7
1.2
1.0
0.9
0.6
0.9
2.2
1.0
1.3
0.7
1.2
0.8
57
2017Q4
6.0
4.2
2.3
2.2
1.4
1.5
2.0
1.6
1.5
6.2
1.1
0.8
0.9
0.7
0.8
1.9
1.2
1.6
1.0
1.4
0.8
2018Q4
8.0
4.5
3.5
2.4
2.1
1.8
1.7
1.3
2.4
4.9
1.0
0.6
1.0
2.0
1.4
1.8
1.3
1.4
1.0
1.2
0.8
2019Q4
10.6
4.3
4.2
2.6
2.1
2.1
1.9
1.2
2.0
3.6
1.1
0.6
0.8
0.9
1.4
1.7
1.4
1.6
1.7
1.1
0.8
2020Q4
9.7
4.8
3.6
3.7
2.8
1.9
2.5
1.8
2.1
1.9
1.5
1.0
1.2
0.9
1.9
1.3
1.2
1.4
1.3
1.3
1.0
2021Q4
11.7
3.7
3.4
3.3
2.8
2.5
2.4
2.2
2.2
2.0
1.6
1.6
1.5
1.4
1.3
1.3
1.3
1.2
1.2
1.0
1.0
January 3, 2023
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.
Ratio of Portfolio Company Current
Liabilities to Total Liabilities (%)
20
14
Q
20 4
15
Q
20 4
16
Q
20 4
17
Q
20 4
18
Q
20 4
19
Q
20 4
20
Q
20 4
21
Q4
As reported on Form PF, Questions 71 and 72.
50
40
30
20
10
0
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.
80
60
40
20
Q
20 4
15
Q
20 4
16
Q
20 4
17
Q
20 4
18
Q
20 4
19
Q
20 4
20
Q
20 4
21
Q4
0
20
14
CPC Payment-in-Kind Borrowings
to Total Borrowings Ratio (%)
B
Analytics Office
58
January 3, 2023
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
Europe Other
South America
Middle East
Supranational
Africa
2014Q4
4,506
1,259
462
9
85
12
67
12
2015Q4
4,132
941
447
21
58
9
23
12
2016Q4
3,942
848
406
22
111
15
37
18
2017Q4
3,961
963
379
40
184
23
49
14
2018Q4
4,211
1,256
435
46
140
16
55
10
2019Q4
5,163
1,547
561
69
149
18
60
15
2020Q4
6,633
2,155
1,028
158
141
44
78
9
2021Q4
9,556
3,574
881
409
171
124
82
12
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
Europe Other
South America
Middle East
Supranational
Africa
2014Q4
70.2
19.6
7.2
0.1
1.3
0.2
1.0
0.2
2015Q4
73.2
16.7
7.9
0.4
1.0
0.2
0.4
0.2
2016Q4
73.0
15.7
7.5
0.4
2.0
0.3
0.7
0.3
2017Q4
70.5
17.1
6.8
0.7
3.3
0.4
0.9
0.3
59
2018Q4
68.2
20.3
7.0
0.7
2.3
0.3
0.9
0.2
2019Q4
68.0
20.4
7.4
0.9
2.0
0.2
0.8
0.2
2020Q4
64.7
21.0
10.0
1.5
1.4
0.4
0.8
0.1
2021Q4
64.6
24.2
6.0
2.8
1.2
0.8
0.6
0.1
January 3, 2023
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
India
China and Hong Kong
Japan
Brazil
Russia
2014Q4
4,305
83
186
98
58
2
2015Q4
3,943
89
173
85
41
5
2016Q4
3,776
92
114
79
88
4
2017Q4
3,794
73
147
52
131
4
2018Q4
4,015
104
154
52
96
2
2019Q4
4,803
128
149
78
93
1
2020Q4
6,243
229
235
283
78
1
2021Q4
8,361
277
210
128
55
6
2020Q4
60.9
2.2
2.3
2.8
0.8
0.0
2021Q4
56.5
1.9
1.4
0.9
0.4
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
India
China and Hong Kong
Japan
Brazil
Russia
2014Q4
67.1
1.3
2.9
1.5
0.9
0.0
2015Q4
69.9
1.6
3.1
1.5
0.7
0.1
2016Q4
69.9
1.7
2.1
1.5
1.6
0.1
60
2017Q4
67.6
1.3
2.6
0.9
2.3
0.1
2018Q4
65.1
1.7
2.5
0.8
1.6
0.0
2019Q4
63.3
1.7
2.0
1.0
1.2
0.0
January 3, 2023
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 3, 2023
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 3, 2023
B
Analytics Office
Handling Annual and Quarterly Data
Only a subset of filers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are
required to file Form PF quarterly; all other filings are made annually. Annual filings are typically,
but not always, made at the end of the calendar year, as Form PF allows filings to be made at the
end of an adviser’s fiscal year. In order to present the most complete and recent data possible, while
accounting for differences in filing dates, we use the following procedure for determining which data
to consider in any given quarter:
First, filings are grouped by their report date within their reported year:
(Q1): February 15 to May 14
(Q2): May 15 to August 14
(Q3): August 15 to November 14
(Q4): November 15 to February 14
Then, responses for funds that have no information are ‘filled forward’ — essentially, copied
from last reported values — up to a maximum of three quarters. Any fund that has no data four
quarters after its most recent date is no longer counted or included in any calculations.10
C
How to Read a Boxplot
In these figures, the boxes extend from the twenty-fifth percentile to the seventy-fifth percentile,
while the levels (the dashed vertical lines) extend from the tenth to the twenty-fifth percentile as well
as the seventy-fifth to the ninetieth percentile. Also shown as a red line within the box is the median
(the fiftieth percentile) and the horizontal dashed line is mean of the distribution. See Figure 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 3, 2023
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.
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January 3, 2023
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 3, 2023
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
This is a copy of a public record, reproduced as it was published. It is not legal advice, and it may not be the version a court would rely on. Check the official source before you cite it.