# Division of Investment Management > Briefs, arguments, decisions, and more. URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3A4d3e8e1debb741e7 ## Record - **Collection:** Agency decision - **Document type:** Agency decision ## Text 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: ˆ (Q1): February 15 to May 14 ˆ (Q2): May 15 to August 14 ˆ (Q3): August 15 to November 14 ˆ (Q4): November 15 to February 14 Then, responses for funds that have no information are ‘filled forward’ — essentially, copied from last reported values — up to a maximum of three quarters. Any fund that has no data four quarters after its most recent date is no longer counted or included in any calculations.10 C How to Read a Boxplot In these figures, the boxes extend from the twenty-fifth percentile to the seventy-fifth percentile, while the levels (the dashed vertical lines) extend from the tenth to the twenty-fifth percentile as well as the seventy-fifth to the ninetieth percentile. Also shown as a red line within the box is the median (the fiftieth percentile) and the horizontal dashed line is mean of the distribution. See Figure 25 for an explanation of each feature. Figure 25: How to Read a Boxplot 10 Form PF has no requirement to inform the SEC if a fund liquidates or otherwise terminates operations. Therefore, liquidations or terminations may not be reflected on this report for up to one year after ceasing operations. 63 January 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. 64 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 --- Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3A4d3e8e1debb741e7. Public record. Not legal advice.