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Division of Investment Management
Analytics Office
Private Funds Statistics
Third Calendar Quarter 2023
March 31, 2024
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.
March 31, 2024
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 Fourth Calendar Quarter 2021 through Third Calendar Quarter
2023 as reported by Form PF filers.2 Please see the Appendix for information on the categories of
Form PF filers, the definitions of capitalized terms, a description of the boxplots used in several
figures, as well as other technical descriptions.
The Staff continues to work with data reported on Form PF and with filers to identify
and correct filing errors. Staff updates reported statistics based on amended filings and
also may make certain adjustments to the statistics presented to correct what appear to
be clear filing errors. Further, the Staff has employed certain assumptions in aggregating
the data. Future adjustments to these methodologies and amended filings that change
the underlying data could lead to changes in previously reported statistics.
If you have any questions or comments about Third Calendar Quarter 2023 Private
Funds Statistics, please contact:
Tim Dulaney, PhD, FRM, Tim Husson, PhD, FRM, or Trevor Tatum at FormPF@sec.gov with subject
line “Third Calendar Quarter 2023-Private Funds Statistics”.
1
Only SEC-registered advisers with at least $150 million in private fund assets under management must report to the
Commission on Form PF. SEC-registered investment advisers with less than $150 million in private fund assets under
management, SEC exempt reporting advisers, and state-registered investment advisers are not required to file Form PF,
but report general information about the private funds they manage on Form ADV.
2
The Commission began receiving Form PF filings from Large Hedge Fund Advisers in July 2012. A full data set was
not received until March 2013.
1
Contents
I
II
III
IV
V
VI
Number of Funds and Advisers
4
Gross and Net Assets
A
Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . .
B
Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Fund Domiciles and Adviser Main Offices
Beneficial Ownership
A
All Private Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Qualifying Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Section 3 Liquidity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Section 4 Private Equity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E
Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Derivatives
5
5
8
10
11
13
15
15
16
17
18
19
20
Additional Hedge Fund Industry Information
A
High Frequency Trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Single-Strategy US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . .
D
Single-Strategy Non-US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . .
21
21
22
24
26
VII Information Reported by Large Hedge Fund Advisers
A
Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
28
28
30
31
32
VIII Qualifying Hedge Fund Specific Information
A
Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E
Number of Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
F
Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
G
Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
H
Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
I
Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
34
34
36
38
39
41
42
44
46
47
2
March 31, 2024
J
K
Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Stress Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
48
49
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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
51
51
51
53
53
54
A
B
C
Section 4 Private Equity Fund Specific Information
CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . .
55
55
56
57
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
Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
59
59
59
59
60
60
60
61
61
62
IX
X
XI
Analytics Office
A
3
March 31, 2024
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
2021Q4
19,082
9,461
6,548
6,046
3,783
2,212
2,243
2,075
79
56
42,906
2022Q1
18,961
9,648
6,646
6,286
3,778
2,229
2,251
2,095
79
54
43,232
2022Q2
19,001
9,752
6,644
6,275
3,781
2,287
2,257
2,062
79
52
43,432
2022Q3
19,054
9,786
6,644
6,277
3,781
2,288
2,257
2,042
78
51
43,521
2022Q4
20,895
9,798
7,488
6,744
4,269
2,990
2,461
2,074
71
50
47,228
2023Q1
20,937
9,857
7,398
6,887
4,270
2,993
2,470
2,046
70
50
47,484
2023Q2
20,950
9,857
7,481
6,844
4,272
3,002
2,474
2,091
69
50
47,468
2023Q3
20,956
9,958
7,480
6,816
4,261
2,998
2,479
2,102
68
50
47,536
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
2021Q4
1,638
1,862
434
738
427
235
176
620
39
24
3,677
2022Q1
1,636
1,861
435
738
428
237
175
609
39
23
3,677
2022Q2
1,640
1,864
435
734
430
239
175
601
39
22
3,681
2022Q3
1,642
1,862
436
732
430
240
173
585
39
21
3,676
2022Q4
1,754
1,860
453
759
459
284
178
593
34
21
3,796
2023Q1
1,757
1,861
451
763
459
286
176
576
33
21
3,801
2023Q2
1,757
1,860
453
765
460
287
175
591
33
21
3,800
2023Q3
1,758
1,861
452
765
460
285
174
590
33
21
3,799
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 D for definitions of other capitalized
terms used in this report.
4
March 31, 2024
Analytics Office
II
Gross and Net Assets
A
Aggregate Assets by Fund Type over Time
Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions)
As reported on Form PF, Question 8.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2021Q4
9,766
8,336
6,409
4,962
1,748
972
869
330
318
316
20,411
2022Q1
9,789
8,271
6,384
4,949
1,766
967
869
333
318
314
20,426
2022Q2
9,450
7,925
6,397
4,949
1,740
969
868
334
335
331
20,092
2022Q3
9,285
7,705
6,402
4,949
1,716
975
869
334
335
331
19,915
2022Q4
9,366
7,831
6,709
5,275
1,643
1,138
923
375
321
319
20,475
2023Q1
9,508
8,003
6,644
5,219
1,602
1,137
925
374
320
319
20,510
2023Q2
9,909
8,443
6,655
5,231
1,574
1,136
923
374
332
330
20,903
2023Q3
10,224
8,766
6,662
5,231
1,566
1,127
924
374
361
359
21,237
Table 4: Aggregate Private Fund Net Asset Value (NAV) ($ Billions)
As reported on Form PF, Question 9.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2021Q4
5,136
4,193
5,746
4,489
1,559
745
264
310
313
311
14,073
2022Q1
5,155
4,151
5,729
4,483
1,582
744
265
313
313
309
14,101
2022Q2
4,920
3,880
5,738
4,483
1,557
745
264
314
327
324
13,866
5
2022Q3
4,857
3,773
5,742
4,483
1,534
750
264
314
331
327
13,793
2022Q4
4,824
3,796
6,026
4,776
1,413
858
264
342
318
316
14,045
2023Q1
4,865
3,882
5,968
4,723
1,370
858
265
341
313
311
13,979
2023Q2
4,919
3,941
5,979
4,733
1,343
858
265
341
319
317
14,024
2023Q3
4,939
3,968
5,987
4,733
1,336
848
264
341
346
345
14,062
March 31, 2024
Analytics Office
Figure 1: GAV and NAV Distributions
As reported on Form PF, Questions 8 and 9.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Qualifying Hedge Fund GAV ($ Billions)
2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1
0.2
0.2
0.2
0.2
0.2
0.2
0.7
0.6
0.6
0.6
0.6
0.6
1.4
1.4
1.3
1.2
1.2
1.3
3.0
3.0
2.8
2.8
2.6
2.8
6.8
6.6
6.3
6.3
6.1
6.4
4.0
3.9
3.8
3.8
3.8
3.9
Qualifying Hedge Fund NAV ($ Billions)
2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1
0.2
0.2
0.2
0.1
0.1
0.1
0.5
0.5
0.5
0.5
0.5
0.5
1.0
1.0
0.9
0.9
0.9
0.9
2.0
2.0
1.8
1.8
1.8
1.9
4.5
4.4
4.0
3.9
3.9
4.0
2.0
2.0
1.9
1.8
1.8
1.9
Section 4 Private Equity Fund GAV ($ Billions)
2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.1
0.5
0.5
0.5
0.5
0.5
0.5
1.6
1.6
1.6
1.6
1.6
1.6
0.8
0.7
0.7
0.7
0.7
0.7
Section 4 Private Equity Fund NAV ($ Billions)
2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.1
0.5
0.5
0.5
0.5
0.5
0.5
1.4
1.4
1.4
1.4
1.4
1.4
0.7
0.7
0.7
0.7
0.6
0.6
6
2023Q2
0.2
0.6
1.3
2.8
6.5
4.0
2023Q3
0.2
0.6
1.2
2.8
6.5
4.2
2023Q2
0.2
0.5
0.9
1.9
4.0
1.9
2023Q3
0.2
0.5
0.9
1.9
4.0
1.9
2023Q2
0.0
0.0
0.1
0.5
1.6
0.7
2023Q3
0.0
0.0
0.1
0.5
1.6
0.7
2023Q2
0.0
0.0
0.1
0.5
1.4
0.6
2023Q3
0.0
0.0
0.1
0.5
1.4
0.6
March 31, 2024
Analytics Office
Figure 2: Ratio of GAV to NAV
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 8, 9, and 10.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q4
1.0
1.0
1.0
1.1
2.0
1.7
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q4
1.0
1.0
1.1
1.6
2.7
1.6
All Private Funds
2022Q1 2022Q2 2022Q3 2022Q4
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.1
1.1
1.1
1.1
2.0
2.0
2.0
2.0
1.7
1.7
1.7
1.9
Qualifying Hedge Funds
2022Q1 2022Q2 2022Q3 2022Q4
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.1
1.1
1.2
1.1
1.6
1.6
1.6
1.6
2.8
2.6
2.6
2.6
1.6
1.6
1.6
1.6
7
2023Q1
1.0
1.0
1.0
1.1
2.0
1.9
2023Q2
1.0
1.0
1.0
1.1
2.0
1.9
2023Q3
1.0
1.0
1.0
1.1
2.0
1.9
2023Q1
1.0
1.0
1.1
1.6
2.6
1.6
2023Q2
1.0
1.0
1.1
1.6
2.6
1.6
2023Q3
1.0
1.0
1.1
1.6
2.5
1.6
March 31, 2024
B
Analytics Office
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
Other Private Fund
Section 4 Private Equity Fund
Private Equity Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
2021Q4
52.4
45.6
42.1
13.2
3.5
5.4
5.5
0.7
0.0
0.0
2022Q1
49.7
43.2
39.8
12.3
3.6
5.5
5.5
0.7
0.0
0.0
2022Q2
49.3
43.3
39.7
12.2
3.5
5.4
5.5
0.7
0.0
0.0
2022Q3
49.4
43.5
40.0
12.5
3.7
5.4
5.5
0.7
0.0
0.0
2022Q4
56.5
44.7
41.1
14.0
5.6
5.7
5.7
0.6
0.0
0.0
2023Q1
53.6
47.3
43.5
13.2
5.8
5.8
5.6
0.6
0.0
0.0
2023Q2
53.6
48.5
44.5
13.2
5.9
5.8
5.6
0.6
0.0
0.0
2023Q3
53.3
48.3
44.5
13.6
5.9
5.8
5.5
0.6
0.0
0.0
Figure 3: Distribution of Total Borrowings
As reported on Form PF, Questions 12 and 43.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q4
0.0
0.0
0.0
0.3
0.6
0.5
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q4
0.0
0.1
0.4
1.3
3.8
2.9
All Private Funds ($ Billions)
2022Q1 2022Q2 2022Q3 2022Q4 2023Q1
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.3
0.3
0.3
0.3
0.3
0.6
0.6
0.6
0.6
0.6
0.5
0.5
0.5
0.5
0.5
Qualifying Hedge Funds ($ Billions)
2022Q1 2022Q2 2022Q3 2022Q4 2023Q1
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.3
0.3
0.3
0.3
0.3
1.2
1.1
1.0
1.0
1.1
3.7
3.3
3.4
3.3
3.5
2.8
2.7
2.6
2.7
3.0
8
2023Q2
0.0
0.0
0.0
0.3
0.6
0.6
2023Q3
0.0
0.0
0.0
0.3
0.6
0.6
2023Q2
0.0
0.1
0.3
1.1
3.8
3.2
2023Q3
0.0
0.1
0.3
1.2
3.7
3.3
March 31, 2024
Analytics Office
Figure 4: Ratio of Borrowings to NAV
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month).
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q4
0.0
0.0
0.2
0.9
9.5
2.3
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q4
0.0
0.1
0.3
0.9
2.3
0.9
All Private Funds
2022Q1 2022Q2 2022Q3 2022Q4
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.2
0.2
0.2
0.2
0.9
0.9
0.9
0.9
9.2
9.1
9.2
10.0
2.2
2.3
2.3
3.7
Qualifying Hedge Funds
2022Q1 2022Q2 2022Q3 2022Q4
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.3
0.3
0.3
0.3
0.9
0.8
0.8
0.8
2.4
2.2
2.0
2.1
0.8
0.8
0.8
0.8
2023Q1
0.0
0.0
0.2
0.9
9.9
3.7
2023Q2
0.0
0.0
0.2
1.0
9.8
3.6
2023Q3
0.0
0.0
0.2
0.9
9.9
3.6
2023Q1
0.0
0.1
0.3
0.9
2.2
0.8
2023Q2
0.0
0.1
0.3
0.9
2.3
0.9
2023Q3
0.0
0.1
0.3
0.8
2.2
0.8
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
2021Q4
67.1
29.3
2.8
1.0
2022Q1
66.4
30.6
3.1
0.9
2022Q2
66.6
30.3
3.0
0.9
9
2022Q3
67.7
28.9
3.3
1.0
2022Q4
66.5
29.4
3.3
0.9
2023Q1
66.4
30.5
3.1
0.8
2023Q2
66.3
30.9
2.9
0.7
2023Q3
65.3
32.0
2.8
0.7
March 31, 2024
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
2021Q4
4,690
3,842
6,803
2,854
2022Q1
4,659
3,828
6,832
2,878
2022Q2
4,610
3,835
6,843
2,860
2022Q3
4,582
3,798
6,804
2,869
2022Q4
4,156
3,601
7,562
3,078
2023Q1
4,091
3,567
7,470
3,057
2023Q2
4,069
3,519
7,474
3,054
2023Q3
4,064
3,522
7,462
3,062
Table 8: Liabilities According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2021Q4
1,702
1,362
377
2,274
2022Q1
1,702
1,350
377
2,271
2022Q2
1,695
1,369
340
2,271
2022Q3
1,701
1,328
342
2,278
10
2022Q4
1,584
1,494
377
2,583
2023Q1
1,590
1,473
377
2,577
2023Q2
1,591
1,439
391
2,578
2023Q3
1,594
1,447
381
2,572
March 31, 2024
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
2021Q4
571
504
303
210
137
89
30
***
***
***
1,509
2022Q1
580
503
303
211
137
89
30
***
***
***
1,517
2022Q2
578
502
315
202
137
89
30
***
***
***
1,526
2022Q3
576
498
314
208
137
89
30
***
***
***
1,519
2022Q4
566
478
339
214
154
67
39
***
***
***
1,499
2023Q1
562
481
415
207
154
68
39
***
***
***
1,575
2023Q2
559
458
421
203
160
68
39
***
***
***
1,555
2023Q3
570
445
421
218
160
68
39
***
***
***
1,553
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
2021Q4
881
2,674
119
566
102
16
2
***
***
***
4,111
2022Q1
840
2,671
120
538
102
16
2
***
***
***
4,025
2022Q2
765
3,451
152
483
110
16
2
***
***
***
4,781
2022Q3
729
3,416
152
438
110
16
2
***
***
***
4,705
2022Q4
725
2,369
117
435
118
14
2
***
***
***
3,609
2023Q1
695
2,367
129
385
118
15
2
***
***
***
3,595
2023Q2
693
1,535
123
405
112
15
2
***
***
***
2,746
2023Q3
706
1,495
123
426
112
15
2
***
***
***
2,749
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
March 31, 2024
Analytics Office
Figure 5: Parallel Managed Account Value Distributions
As reported on Form PF, Question 11.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q4
0.0
0.0
0.3
1.5
5.3
2.7
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q4
0.1
0.2
0.6
2.0
6.0
2.7
All Private Funds ($ Billions)
2022Q1 2022Q2 2022Q3 2022Q4 2023Q1
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.3
0.3
0.3
0.2
0.2
1.4
1.5
1.4
1.1
1.0
5.3
5.4
5.3
3.9
3.7
2.7
3.1
3.1
2.4
2.3
Qualifying Hedge Funds ($ Billions)
2022Q1 2022Q2 2022Q3 2022Q4 2023Q1
0.1
0.1
0.1
0.1
0.1
0.3
0.2
0.2
0.2
0.2
0.6
0.6
0.6
0.6
0.6
2.0
1.9
1.8
1.6
1.7
5.8
5.5
4.8
4.9
4.6
2.6
2.4
2.1
2.0
1.9
12
2023Q2
0.0
0.0
0.2
1.0
3.4
1.8
2023Q3
0.0
0.0
0.2
0.9
3.4
1.8
2023Q2
0.1
0.2
0.7
1.8
4.9
2.0
2023Q3
0.1
0.2
0.6
1.7
4.3
2.0
March 31, 2024
III
Analytics Office
Fund Domiciles and Adviser Main Offices
Table 11: Fund Domicile (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
Cayman Islands
Luxembourg
Ireland
Bermuda
United Kingdom
Virgin Islands, British
Other
Country
Cayman Islands
United States
Luxembourg
Ireland
Virgin Islands, British
Bermuda
Other
Country
Ireland
United States
Cayman Islands
Other
Country
United States
Cayman Islands
Canada
United Kingdom
Bermuda
Other
All Private Funds
2021Q4 2022Q1 2022Q2 2022Q3 2022Q4
51.7
52.2
52.5
52.9
52.7
32.8
32.7
32.4
32.7
32.2
4.1
4.1
4.1
4.1
5.0
3.9
3.9
3.9
3.9
3.6
0.9
1.0
1.0
1.0
1.0
1.0
0.9
0.9
0.9
0.9
0.9
0.9
0.9
0.9
0.8
4.7
4.2
4.2
3.6
3.7
Qualifying Hedge Funds
2021Q4 2022Q1 2022Q2 2022Q3 2022Q4
51.8
51.0
52.4
53.2
52.5
34.2
34.9
35.7
34.9
35.5
2.4
2.4
2.4
2.3
2.7
3.2
3.1
3.0
2.8
3.0
2.6
2.8
3.1
3.1
2.8
1.5
1.7
1.7
1.9
1.9
4.2
4.2
1.8
1.7
1.4
Section 3 Liquidity Funds
2021Q4 2022Q1 2022Q2 2022Q3 2022Q4
***
***
***
***
***
27.6
28.5
27.3
25.5
23.4
***
***
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2021Q4 2022Q1 2022Q2 2022Q3 2022Q4
56.1
56.9
56.9
56.9
56.2
29.3
29.6
29.6
29.6
28.0
2.0
1.9
1.9
1.9
2.0
1.4
1.4
1.4
1.4
1.4
1.2
1.2
1.2
1.2
1.0
9.9
9.0
9.0
9.0
11.3
13
2023Q1
52.5
32.5
5.0
3.6
1.0
0.9
0.8
3.6
2023Q2
52.4
32.7
4.9
3.6
1.0
0.9
0.8
3.6
2023Q3
52.4
32.7
4.9
3.7
1.0
0.9
0.8
3.6
2023Q1
53.0
35.5
2.9
2.7
2.6
1.7
1.6
2023Q2
53.3
35.3
3.0
2.7
2.5
1.6
1.6
2023Q3
53.4
35.3
3.0
2.6
2.4
1.7
1.6
2023Q1
***
23.9
***
***
2023Q2
***
23.5
***
***
2023Q3
***
25.5
***
***
2023Q1
56.4
28.1
2.1
1.4
1.0
11.0
2023Q2
56.4
28.1
2.1
1.4
1.0
11.0
2023Q3
56.4
28.1
2.1
1.4
1.0
11.0
March 31, 2024
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
2021Q4
91.2
3.9
4.9
Country
United States
United Kingdom
Australia
Hong Kong
Other
2021Q4
88.1
4.1
***
***
4.1
Country
United States
United Kingdom
2021Q4
***
***
Country
United States
Canada
Other
2021Q4
95.6
***
***
All Private Funds
2022Q1 2022Q2 2022Q3 2022Q4
90.9
91.8
91.9
92.3
4.0
3.9
3.9
3.7
5.1
4.3
4.2
4.0
Qualifying Hedge Funds
2022Q1 2022Q2 2022Q3 2022Q4
88.5
90.7
91.1
90.5
3.9
3.7
3.5
4.1
***
***
***
***
***
***
***
***
4.1
2.2
2.1
3.0
Section 3 Liquidity Funds
2022Q1 2022Q2 2022Q3 2022Q4
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2022Q1 2022Q2 2022Q3 2022Q4
95.6
95.6
95.6
95.5
***
***
***
***
***
***
***
***
14
2023Q1
91.9
4.0
4.1
2023Q2
91.8
4.1
4.1
2023Q3
92.0
3.9
4.1
2023Q1
90.7
3.9
***
***
3.1
2023Q2
91.6
4.0
***
***
2.1
2023Q3
92.3
3.5
***
***
2.0
2023Q1
***
***
2023Q2
***
***
2023Q3
***
***
2023Q1
95.5
***
***
2023Q2
95.5
***
***
2023Q3
95.5
***
***
March 31, 2024
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
State/Muni. Govt. Entities
Unknown Non-U.S. Investors
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2021Q4
2,599
2,445
1,858
1,422
1,372
1,316
1,007
697
416
232
317
188
155
42
2022Q1
2,638
2,444
1,882
1,417
1,378
1,298
1,000
705
402
226
306
195
161
45
2022Q2
2,596
2,408
1,871
1,372
1,341
1,246
1,004
702
396
222
312
194
151
44
2022Q3
2,590
2,415
1,862
1,367
1,273
1,256
1,010
703
393
223
306
197
148
42
2022Q4
2,598
2,542
1,912
1,324
1,308
1,245
1,083
745
376
240
286
193
149
38
2023Q1
2,596
2,558
1,905
1,335
1,307
1,254
1,069
754
314
247
252
190
151
40
2023Q2
2,612
2,556
1,914
1,348
1,295
1,268
1,081
762
317
249
254
179
145
38
2023Q3
2,633
2,578
1,918
1,351
1,282
1,261
1,090
760
316
262
243
179
146
40
2023Q2
18.6
18.2
13.6
9.6
9.2
9.0
7.7
5.4
2.3
1.8
1.8
1.3
1.0
0.3
2023Q3
18.7
18.3
13.6
9.6
9.1
9.0
7.7
5.4
2.2
1.9
1.7
1.3
1.0
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
State/Muni. Govt. Entities
Unknown Non-U.S. Investors
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2021Q4
18.5
17.4
13.2
10.1
9.7
9.4
7.2
5.0
3.0
1.7
2.3
1.3
1.1
0.3
2022Q1
18.7
17.3
13.3
10.1
9.8
9.2
7.1
5.0
2.8
1.6
2.2
1.4
1.1
0.3
15
2022Q2
18.7
17.4
13.5
9.9
9.7
9.0
7.2
5.1
2.9
1.6
2.3
1.4
1.1
0.3
2022Q3
18.8
17.5
13.5
9.9
9.2
9.1
7.3
5.1
2.8
1.6
2.2
1.4
1.1
0.3
2022Q4
18.5
18.1
13.6
9.4
9.3
8.9
7.7
5.3
2.7
1.7
2.0
1.4
1.1
0.3
2023Q1
18.6
18.3
13.6
9.6
9.3
9.0
7.6
5.4
2.2
1.8
1.8
1.4
1.1
0.3
March 31, 2024
B
Analytics Office
Qualifying Hedge Funds
Table 15: Beneficial Ownership for Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
Non-Profits
State/Muni. Govt. Pension Plans
U.S. Individuals
Pension Plans
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
State/Muni. Govt. Entities
Unknown Non-U.S. Investors
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2021Q4
725
607
602
458
493
479
264
144
182
62
86
41
38
9
2022Q1
734
604
581
462
473
478
266
147
171
61
82
41
39
9
2022Q2
704
572
546
453
433
452
268
151
108
58
47
39
39
9
2022Q3
699
564
559
432
423
384
266
149
102
59
43
42
38
8
2022Q4
695
562
528
446
424
409
289
148
102
59
47
38
38
9
2023Q1
712
590
537
455
424
418
283
164
104
62
45
39
37
9
2023Q2
735
595
549
467
439
412
292
161
103
63
45
37
32
9
2023Q3
748
591
546
471
440
409
303
165
102
73
46
34
28
9
2023Q2
18.6
15.1
13.9
11.9
11.1
10.4
7.4
4.1
2.6
1.6
1.1
0.9
0.8
0.2
2023Q3
18.9
14.9
13.8
11.9
11.1
10.3
7.6
4.2
2.6
1.8
1.2
0.9
0.7
0.2
Table 16: Beneficial Ownership for Qualifying Hedge Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
Non-Profits
State/Muni. Govt. Pension Plans
U.S. Individuals
Pension Plans
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
State/Muni. Govt. Entities
Unknown Non-U.S. Investors
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2021Q4
17.3
14.5
14.3
10.9
11.8
11.4
6.3
3.4
4.3
1.5
2.1
1.0
0.9
0.2
2022Q1
17.7
14.5
14.0
11.1
11.4
11.5
6.4
3.5
4.1
1.5
2.0
1.0
0.9
0.2
16
2022Q2
18.1
14.7
14.1
11.7
11.1
11.6
6.9
3.9
2.8
1.5
1.2
1.0
1.0
0.2
2022Q3
18.5
15.0
14.8
11.4
11.2
10.2
7.1
4.0
2.7
1.6
1.1
1.1
1.0
0.2
2022Q4
18.3
14.8
13.9
11.7
11.2
10.8
7.6
3.9
2.7
1.5
1.3
1.0
1.0
0.2
2023Q1
18.3
15.2
13.8
11.7
10.9
10.8
7.3
4.2
2.7
1.6
1.2
1.0
0.9
0.2
March 31, 2024
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.
Non-U.S. Individuals
State/Muni. Govt. Entities
Pension Plans
Non-Profits
State/Muni. Govt. Pension Plans
U.S. Individuals
2021Q4
96
57
60
***
***
23
9
***
***
3
7
4
1
***
2022Q1
103
58
51
***
***
24
8
***
***
***
5
3
1
***
2022Q2
100
65
64
***
***
16
9
***
***
***
5
3
***
***
2022Q3
106
64
68
***
***
15
8
***
***
***
***
3
***
***
2022Q4
108
56
65
***
***
14
10
***
***
***
***
2
1
***
2023Q1
106
50
63
***
***
17
12
***
***
***
***
3
***
***
2023Q2
114
49
64
***
***
16
11
***
***
***
5
3
***
***
2023Q3
135
64
52
***
***
16
10
***
***
***
***
3
***
***
2023Q2
35.8
15.5
20.1
***
***
5.0
3.6
***
***
***
1.5
0.8
***
***
2023Q3
39.1
18.5
15.0
***
***
4.6
2.9
***
***
***
***
0.8
***
***
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.
Non-U.S. Individuals
State/Muni. Govt. Entities
Pension Plans
Non-Profits
State/Muni. Govt. Pension Plans
U.S. Individuals
2021Q4
31.0
18.5
19.2
***
***
7.5
2.8
***
***
1.0
2.3
1.2
0.3
***
2022Q1
33.4
18.6
16.6
***
***
7.8
2.6
***
***
***
1.7
1.0
0.3
***
17
2022Q2
30.8
19.9
19.9
***
***
4.9
2.8
***
***
***
1.5
0.9
***
***
2022Q3
32.4
19.6
20.7
***
***
4.6
2.5
***
***
***
***
0.8
***
***
2022Q4
34.1
17.8
20.6
***
***
4.3
3.0
***
***
***
***
0.8
0.4
***
2023Q1
34.1
15.9
20.2
***
***
5.4
3.9
***
***
***
***
0.9
***
***
March 31, 2024
D
Analytics Office
Section 4 Private Equity Funds
Table 19: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
State/Muni. Govt. Pension Plans
Sov. Wealth Funds And For. Official Inst.
Pension Plans
Insurance Companies
Non-Profits
U.S. Individuals
State/Muni. Govt. Entities
Non-U.S. Individuals
Sec-Registered Investment Companies
Banking/Thrift Inst.
Unknown Non-U.S. Investors
Broker-Dealers
2021Q4
957
819
836
501
324
252
237
265
82
83
49
45
33
3
2022Q1
974
802
850
477
325
255
238
265
82
77
50
49
34
3
2022Q2
973
802
851
477
326
256
238
265
82
77
50
49
34
3
2022Q3
973
802
851
477
326
256
238
265
82
77
50
49
34
3
2022Q4
1,031
887
887
525
362
283
259
245
94
68
49
47
33
3
2023Q1
1,018
876
874
515
362
282
259
246
94
67
48
44
33
3
2023Q2
1,020
877
876
515
364
284
259
246
95
67
48
45
33
3
2023Q3
1,020
877
876
515
364
284
259
246
95
67
48
45
33
3
Table 20: Beneficial Ownership for Section 4 Private Equity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
State/Muni. Govt. Pension Plans
Sov. Wealth Funds And For. Official Inst.
Pension Plans
Insurance Companies
Non-Profits
U.S. Individuals
State/Muni. Govt. Entities
Non-U.S. Individuals
Sec-Registered Investment Companies
Banking/Thrift Inst.
Unknown Non-U.S. Investors
Broker-Dealers
2021Q4
21.3
18.2
18.6
11.2
7.2
5.6
5.3
5.9
1.8
1.9
1.1
1.0
0.7
0.1
2022Q1
21.7
17.9
19.0
10.6
7.3
5.7
5.3
5.9
1.8
1.7
1.1
1.1
0.8
0.1
18
2022Q2
21.7
17.9
19.0
10.6
7.3
5.7
5.3
5.9
1.8
1.7
1.1
1.1
0.8
0.1
2022Q3
21.7
17.9
19.0
10.6
7.3
5.7
5.3
5.9
1.8
1.7
1.1
1.1
0.8
0.1
2022Q4
21.6
18.6
18.6
11.0
7.6
5.9
5.4
5.1
2.0
1.4
1.0
1.0
0.7
0.1
2023Q1
21.5
18.5
18.5
10.9
7.7
6.0
5.5
5.2
2.0
1.4
1.0
0.9
0.7
0.1
2023Q2
21.6
18.5
18.5
10.9
7.7
6.0
5.5
5.2
2.0
1.4
1.0
0.9
0.7
0.1
2023Q3
21.6
18.5
18.5
10.9
7.7
6.0
5.5
5.2
2.0
1.4
1.0
0.9
0.7
0.1
March 31, 2024
E
Analytics Office
Concentration
Table 21: Weighted-Average Beneficial Ownership of Top 5 Owners (Percent)
As reported on Form PF, Questions 9 and 15.
Type
Other Private Fund
Real Estate Fund
Hedge Fund
Qualifying Hedge Fund
Venture Capital Fund
Private Equity Fund
Section 4 Private Equity Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Total
2021Q4
57.0
59.0
53.9
49.9
52.6
49.5
44.9
46.1
45.8
37.3
52.2
2022Q1
57.5
59.0
54.6
50.9
52.5
49.1
44.7
48.1
47.7
37.5
52.4
2022Q2
57.1
59.0
55.0
51.9
52.3
49.2
44.7
46.7
46.4
37.6
52.5
19
2022Q3
57.5
58.7
54.7
51.6
52.4
49.1
44.7
46.5
46.1
37.8
52.3
2022Q4
59.0
56.9
55.5
52.1
49.9
49.8
46.5
45.1
44.8
41.6
52.9
2023Q1
58.4
57.0
56.3
52.0
49.9
49.4
45.9
44.3
44.1
42.3
52.9
2023Q2
58.3
57.0
56.2
51.8
49.9
49.5
46.0
43.1
42.9
41.8
52.9
2023Q3
57.9
57.4
56.6
52.0
49.9
49.5
46.0
44.5
44.4
41.9
53.0
March 31, 2024
V
Analytics Office
Derivatives
Table 22: Aggregate Derivative Value ($ Billions)
As reported on Form PF, Questions 13 and 44 (Third Month).
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Other Private Fund
Section 4 Private Equity Fund
Real Estate Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2021Q4
15,525
14,167
70
118
52
41
5
***
***
***
15,787
2022Q1
15,884
14,287
69
110
54
41
5
***
***
***
16,068
2022Q2
14,976
13,294
69
110
54
41
5
***
***
0
15,208
2022Q3
14,302
12,739
71
112
54
41
5
***
***
0
14,543
2022Q4
14,930
13,061
158
105
73
72
***
0
***
0
15,311
2023Q1
15,298
13,032
159
103
72
76
6
0
0
0
15,645
2023Q2
15,252
13,861
159
104
72
78
4
0
0
0
15,611
2023Q3
15,527
14,009
159
101
72
65
4
0
0
0
15,923
Table 23: Aggregate Derivative Value (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 13, and 44 (Third Month).
Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Other Private Fund
Section 4 Private Equity Fund
Real Estate Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2021Q4
302.3
337.9
1.2
7.6
1.2
5.6
1.8
***
***
***
112.2
2022Q1
308.1
344.2
1.2
7.0
1.2
5.6
1.8
***
***
***
114.0
2022Q2
304.4
342.6
1.2
7.1
1.2
5.6
1.8
***
***
0.0
109.7
20
2022Q3
294.5
337.6
1.2
7.3
1.2
5.5
1.8
***
***
0.0
105.4
2022Q4
309.5
344.1
2.6
7.4
1.5
8.4
***
0.1
***
0.0
109.0
2023Q1
314.5
335.7
2.7
7.5
1.5
8.9
2.1
0.1
0.0
0.0
111.9
2023Q2
310.1
351.7
2.7
7.8
1.5
9.0
1.4
0.1
0.0
0.0
111.3
2023Q3
314.4
353.0
2.7
7.6
1.5
7.6
1.4
0.1
0.0
0.0
113.2
March 31, 2024
Analytics Office
Figure 6: Distribution of Derivative Values
As reported on Form PF, Questions 13 and 44 (Third Month).
VI
A
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q4
0.0
0.0
0.0
0.2
1.4
1.1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q4
0.0
0.0
0.3
1.7
10.4
5.5
All Private Funds ($ Billions)
2022Q1 2022Q2 2022Q3 2022Q4 2023Q1
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.2
0.2
0.2
0.2
0.2
1.3
1.2
1.1
1.2
1.1
1.1
1.1
1.0
1.0
1.0
Qualifying Hedge Funds ($ Billions)
2022Q1 2022Q2 2022Q3 2022Q4 2023Q1
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.3
0.3
0.3
0.3
0.3
1.6
1.7
1.6
1.6
1.6
9.4
9.5
8.6
8.2
8.6
5.8
5.4
5.0
5.6
4.9
2023Q2
0.0
0.0
0.0
0.2
1.2
1.1
2023Q3
0.0
0.0
0.0
0.2
1.2
1.1
2023Q2
0.0
0.0
0.3
1.6
9.0
5.4
2023Q3
0.0
0.0
0.3
1.5
9.1
5.6
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
2021Q4
8,392
49
8
2022Q1
8,530
52
8
2022Q2
8,618
53
8
2022Q3
8,677
50
8
2022Q4
8,702
56
5
2023Q1
8,783
56
5
2023Q2
8,865
54
5
2023Q3
8,909
56
5
Table 25: Hedge Fund Assets Managed Using HFT Strategies ($ Billions)
As reported on Form PF, Questions 9 and 21.
Fraction of NAV
0%
Less than 100%
100% or More
2021Q4
5,001
115
6
2022Q1
5,002
128
7
2022Q2
4,763
127
8
2022Q3
4,690
135
8
21
2022Q4
4,672
128
9
2023Q1
4,695
138
9
2023Q2
4,757
133
9
2023Q3
4,753
137
10
March 31, 2024
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
2021Q4
7.3
13.3
19.3
27.6
42.2
55.7
2022Q1
7.6
13.5
19.5
27.5
41.9
55.4
2022Q2
7.8
13.5
19.4
27.3
41.5
54.8
2022Q3
8.1
13.7
19.6
27.5
41.6
54.9
2022Q4
7.8
13.3
19.1
27.0
41.2
54.6
2023Q1
7.9
13.4
19.3
27.3
41.6
54.8
2023Q2
7.8
13.2
19.3
27.3
41.5
54.7
2023Q3
8.0
13.6
19.5
27.5
41.7
54.7
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
2021Q4
16.2
25.2
33.4
41.9
54.8
66.3
2022Q1
15.7
25.6
33.5
41.9
54.5
66.0
2022Q2
16.7
26.0
34.1
42.4
54.6
66.0
2022Q3
16.8
25.7
33.7
42.4
54.7
65.9
2022Q4
17.6
26.3
34.4
43.0
55.1
66.2
2023Q1
17.7
26.7
34.7
43.3
55.4
66.6
2023Q2
18.9
28.0
36.2
44.6
56.5
67.3
2023Q3
19.7
29.1
37.6
46.0
57.8
68.3
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
2021Q4
34.7
49.3
61.3
72.1
83.3
90.8
2022Q1
34.1
48.5
60.9
71.4
83.3
90.7
2022Q2
34.6
50.0
61.7
72.0
83.1
90.5
2022Q3
34.1
50.2
62.0
72.3
83.4
90.5
22
2022Q4
36.5
51.0
63.3
73.6
84.2
91.0
2023Q1
35.8
51.2
64.1
74.5
85.0
91.5
2023Q2
37.0
52.2
64.7
74.8
85.4
91.9
2023Q3
37.4
53.0
65.8
75.6
86.0
92.3
March 31, 2024
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
2021Q4
41.0
55.4
67.5
78.4
89.8
95.2
2022Q1
38.3
55.3
67.8
79.1
90.3
95.4
2022Q2
39.2
55.4
67.3
78.8
90.0
95.2
2022Q3
41.2
56.1
68.1
79.3
90.1
95.2
2022Q4
38.3
55.6
68.8
80.1
90.5
95.5
2023Q1
41.3
56.7
68.5
80.1
90.7
95.6
2023Q2
40.9
55.2
67.6
79.4
90.6
95.5
2023Q3
39.8
54.8
67.5
79.3
90.8
95.6
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
2021Q4
35.3
48.5
59.7
70.2
82.7
90.7
2022Q1
34.7
48.7
60.0
70.8
82.9
90.8
2022Q2
34.5
49.1
60.4
70.8
82.8
90.5
2022Q3
34.9
49.9
60.8
71.5
83.1
90.6
23
2022Q4
34.2
50.1
61.6
72.6
83.9
91.1
2023Q1
36.8
51.4
62.2
73.1
84.2
91.4
2023Q2
36.9
50.5
61.5
72.8
84.2
91.2
2023Q3
36.8
51.6
63.3
74.0
85.1
91.7
March 31, 2024
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
Asset Based Lending
Long/Short
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
2021Q4
680
326
324
***
***
625
141
70
71
74
43
20
11
55
31
11
9
2
1
33
13
9
3
***
***
6
***
***
1,437
2022Q1
637
311
298
26
1
649
144
73
72
76
46
19
10
55
32
11
9
2
1
34
15
10
4
***
***
7
***
***
1,433
24
2022Q2
589
280
273
***
***
648
144
72
72
75
47
18
10
56
32
11
9
3
2
33
15
10
4
***
***
6
***
***
1,385
2022Q3
555
273
251
29
2
656
150
77
73
76
48
19
9
55
32
11
8
3
1
32
16
11
4
***
***
6
***
***
1,368
2022Q4
551
271
251
28
1
658
163
86
77
83
50
26
7
59
37
11
7
3
2
32
14
9
4
***
***
6
***
***
1,383
2023Q1
549
262
258
27
1
666
179
87
93
80
49
26
5
63
38
11
7
5
2
39
13
8
4
***
***
6
***
***
1,418
2023Q2
584
294
262
27
1
673
170
94
77
82
51
27
4
64
37
12
7
7
2
39
14
9
4
1
0
6
***
***
1,442
2023Q3
561
280
254
26
1
674
174
96
79
76
50
21
5
64
37
12
7
6
2
39
18
12
5
1
0
6
***
***
1,437
March 31, 2024
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
Asset Based Lending
Long/Short
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
2021Q4
1,128
471
605
***
***
1,034
383
197
189
243
164
59
21
186
94
55
20
19
18
241
45
18
15
***
***
24
***
***
3,079
2022Q1
1,150
480
616
51
8
1,070
395
200
198
259
179
60
21
189
93
54
22
19
14
260
48
19
17
***
***
24
***
***
3,175
25
2022Q2
1,152
475
624
***
***
1,093
404
197
210
270
189
60
21
198
99
59
23
20
19
261
48
19
17
***
***
23
***
***
3,215
2022Q3
1,155
474
627
50
9
1,114
422
207
218
276
195
61
21
201
100
58
26
20
19
257
45
19
16
***
***
22
***
***
3,264
2022Q4
1,129
493
582
47
13
1,165
429
212
220
298
212
68
19
212
107
58
26
18
18
302
44
18
15
***
***
23
***
***
3,338
2023Q1
1,132
496
583
47
12
1,189
441
212
232
297
211
68
19
219
119
59
24
18
18
326
44
18
15
***
***
23
***
***
3,408
2023Q2
1,135
512
576
45
12
1,216
455
220
238
305
218
69
19
221
123
57
24
18
18
329
46
21
15
10
0
24
***
***
3,463
2023Q3
1,160
526
585
46
13
1,229
464
226
241
303
219
66
19
230
130
66
24
19
19
334
48
21
16
11
0
24
***
***
3,520
March 31, 2024
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
Macro
Other
Relative Value
Credit
Managed Futures/CTA
Event Driven
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Subtotal
F.I. Sov.
F.I. Asset Backed
Volatility Arb.
F.I. Corp.
F.I. Conv. Arb.
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Distressed/Restruct.
Risk Arb./Merger Arb.
Equity
Subtotal
Total
2021Q4
1,272
815
356
***
***
267
255
8
***
***
767
456
315
77
22
27
16
287
210
77
209
***
***
185
117
33
35
34
2,438
2022Q1
1,145
731
321
***
***
286
275
8
***
***
776
434
284
75
24
28
22
297
216
81
231
***
***
185
120
30
34
33
2,397
26
2022Q2
1,018
649
280
***
***
306
295
8
***
***
736
442
309
75
27
18
13
290
207
83
206
***
***
180
120
30
30
30
2,223
2022Q3
965
620
259
***
***
329
314
6
***
***
715
409
283
74
23
17
12
309
219
89
240
***
***
173
119
29
25
30
2,149
2022Q4
1,019
669
261
***
***
329
316
7
***
***
760
369
248
71
20
17
12
314
221
93
190
***
***
166
117
21
28
27
2,159
2023Q1
1,028
696
230
***
***
326
316
7
***
***
756
377
256
68
20
19
14
321
227
94
226
***
***
420
371
21
28
32
2,151
2023Q2
996
667
226
***
***
408
399
7
***
***
762
352
229
68
23
18
14
333
232
101
285
***
***
182
132
22
27
38
2,175
2023Q3
966
651
217
***
***
433
422
7
***
***
762
355
228
74
20
19
14
333
231
102
273
***
***
179
131
25
24
35
2,172
March 31, 2024
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
Macro
Other
Relative Value
Credit
Managed Futures/CTA
Event Driven
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Subtotal
F.I. Sov.
F.I. Asset Backed
Volatility Arb.
F.I. Corp.
F.I. Conv. Arb.
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Distressed/Restruct.
Risk Arb./Merger Arb.
Equity
Subtotal
Total
2021Q4
1,094
631
391
***
***
210
162
42
***
***
854
304
60
149
27
91
24
353
248
108
108
***
***
310
214
48
74
104
3,106
2022Q1
1,097
632
394
***
***
214
168
40
***
***
876
302
59
146
26
92
25
367
259
111
113
***
***
316
221
50
70
103
3,161
27
2022Q2
1,096
632
388
***
***
213
172
38
***
***
893
301
59
148
25
88
26
369
259
113
120
***
***
318
223
49
70
106
3,188
2022Q3
1,093
630
385
***
***
216
171
39
***
***
882
305
61
150
24
90
24
380
266
117
121
***
***
314
223
47
69
110
3,190
2022Q4
1,084
604
392
***
***
217
165
45
***
***
924
294
60
139
29
87
24
378
269
112
125
***
***
313
219
43
75
113
3,222
2023Q1
1,040
601
351
***
***
213
163
40
***
***
941
300
59
143
29
91
24
389
279
113
129
***
***
313
223
44
70
114
3,204
2023Q2
1,022
592
347
***
***
213
164
40
***
***
943
303
59
147
30
90
25
405
285
123
126
***
***
317
227
44
70
118
3,218
2023Q3
1,020
592
344
***
***
217
165
46
***
***
955
301
60
145
30
91
24
406
284
125
126
***
***
318
229
43
70
111
3,219
March 31, 2024
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
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 3(a) and 26.
3-0
3-0
202
202
202
3
3-0
1.0
1.2
1.9
3.5
9.2
4.3
9
8
1.0
1.2
1.9
3.6
9.0
4.4
202
202
3-0
1.0
1.1
1.8
3.3
8.6
3.9
202
3-0
202
0.9
1.1
1.8
3.5
9.2
4.0
202
3-0
7
0.9
1.2
1.8
3.5
8.5
3.8
6
1.0
1.1
1.8
3.2
8.1
3.6
3-0
3-0
202
1.0
1.1
1.8
3.5
8.6
3.8
202
3-0
3-0
1.0
1.2
1.8
3.6
8.9
3.8
202
1
202
3-0
2
2-1
1.0
1.1
1.8
3.3
7.6
3.7
3-0
1.0
1.2
1.8
3.5
8.6
4.1
202
1
2-1
2-1
202
202
0.9
1.1
1.8
3.4
8.7
3.8
-09
202
3-0
6
28
1.0
1.1
1.8
3.1
7.7
3.5
0
9
202
2-0
8
2-0
1.0
1.2
1.9
3.3
7.7
3.7
8
202
3-0
5
1.0
1.2
2.1
4.0
13.9
6.6
7
202
3-0
4
1.0
1.2
2.1
4.2
14.5
6.8
5
202
3-0
3
1.0
1.3
2.1
4.2
13.6
6.8
4
202
3-0
2
1.0
1.2
2.1
4.1
12.6
6.3
3
202
0.9
1.2
2.1
4.1
14.2
6.6
2
202
2-1
2
1.0
1.2
2.0
4.2
12.7
6.1
1
202
2-1
1
1.0
1.2
2.0
3.8
11.5
5.8
1.0
1.2
1.9
3.2
8.4
3.7
2-0
9
202
2-1
0
1.0
1.3
2.1
4.4
14.5
6.7
202
1.0
1.2
2.1
4.7
14.3
6.2
202
2-0
8
1.0
1.2
2.0
4.1
12.6
5.7
2-0
7
1.0
1.3
2.1
4.4
14.6
6.7
202
1.0
1.1
1.7
3.1
7.5
3.6
1.0
1.0
1.0
1.0
1.3
1.3
1.2
1.3
2.1
2.1
2.0
2.0
4.4
4.2
3.9
4.4
12.3 13.3 11.4 13.7
5.8
5.9
5.6
6.4
Excluding IRDs
202
6
1.0
1.2
1.9
3.4
8.6
4.0
202
202
2-0
1.0
1.2
1.9
3.6
8.3
4.0
2-0
5
1.0
1.1
1.9
3.4
7.8
3.8
202
2
1.0
1.2
1.9
3.6
8.5
3.9
2-0
3
1.0
1.2
1.9
3.5
8.2
4.0
202
-01
202
2-0
1.0
1.2
1.9
3.3
8.2
3.9
202
2
1-1
202
1
1-1
1-1
202
1.0
1.2
1.9
3.5
8.7
4.1
6
1.0
1.2
2.0
4.1
11.3
5.6
2-0
7
1.0
1.3
2.1
4.5
12.7
6.4
202
5
202
2-0
1.0
1.3
2.1
4.5
12.0
6.2
1.0
1.2
1.9
3.6
8.9
4.1
2-0
4
1.0
1.2
2.1
4.1
12.3
6.2
-04
202
2-0
3
202
2
1.0
1.3
2.1
4.5
13.9
6.6
2-0
202
1.0
1.2
2.1
4.4
14.5
6.4
2
202
2-0
2
1.0
1.2
2.1
4.1
13.2
6.7
202
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2-0
1
202
1.0
1.3
2.1
4.5
14.3
7.3
2
202
1-1
1-1
1
202
1.0
1.3
2.1
4.5
14.3
7.2
0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
1
-10
Including Interest Rate Derivatives (IRDs)
1.0
1.1
1.8
3.4
8.6
4.0
March 31, 2024
Analytics Office
Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and Short Notional
Exposure (SNE) to Net Asset Value
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 3(a) and 26.
29
8
9
3-0
202
3 -0
0.0
0.2
0.6
1.5
4.9
1.9
0.0
0.2
0.6
1.4
4.6
1.9
0.0
0.2
0.6
1.4
4.5
1.8
-09
-09
8
8
0.1
0.2
0.7
2.1
8.8
3.3
0.9
1.1
1.4
2.2
4.9
2.5
0.0
0.2
0.7
2.0
8.2
3.3
202
3-0
9
8
0.1
0.2
0.7
2.1
8.7
3.2
202
3
3-0
3-0
0.1
0.2
0.7
2.0
8.5
3.2
0.9
1.1
1.6
2.6
7.2
3.8
202
3
7
3-0
202
7
3-0
202
3-0
7
0.9
1.1
1.5
2.2
4.9
2.6
202
6
202
202
0.9
1.1
1.5
2.3
5.0
2.7
202
202
3-0
6
0.9
1.1
1.6
2.7
7.6
4.0
202
3-0
0.0
0.2
0.5
1.5
4.4
1.8
0.9
1.1
1.6
2.7
7.1
3.9
202
3-0
7
0.0
0.2
0.5
1.4
4.1
1.7
0.0
0.1
0.5
1.3
4.0
1.6
3-0
3-0
5
202
3-0
6
5
0.1
0.2
0.7
2.2
8.6
3.2
202
3-0
0.1
0.2
0.7
2.1
7.7
3.0
0.9
1.1
1.5
2.2
4.8
2.5
202
-04
202
3-0
5
4
3-0
0.9
1.0
1.4
2.3
5.0
2.5
202
202
0.9
1.1
1.4
2.3
4.6
2.4
202
0.9
1.1
1.6
2.5
6.3
3.6
3-0
4
3-0
3
0.9
1.1
1.5
2.6
7.1
3.7
202
3
3-0
202
2
0.9
1.1
1.5
2.6
6.8
3.5
0.0
0.2
0.7
1.9
7.1
2.8
202
2
0.0
0.2
0.5
1.4
4.6
1.7
202
3
202
3
3-0
202
2
3-0
0.9
1.1
1.4
2.2
4.7
2.3
3-0
0.1
0.2
0.7
2.1
8.5
3.2
3-0
1
3-0
2
202
3-0
1
202
3-0
1
0.9
1.1
1.5
2.5
6.4
3.4
202
3-0
-01
0.0
0.2
0.5
1.5
4.4
1.7
0.9
1.1
1.4
2.3
4.9
2.4
202
2
202
2
202
202
2
2-1
0.0
0.1
0.5
1.4
4.2
1.6
0.1
0.2
0.7
2.1
8.0
3.0
202
3
2-1
202
1
0.0
0.2
0.6
2.0
7.5
2.7
202
0.0
0.2
0.5
1.4
4.7
1.8
0.9
1.1
1.5
2.4
5.0
2.4
2
2-1
1
2-1
2-1
0.9
1.1
1.4
2.2
4.6
2.3
0.9
1.1
1.5
2.7
7.0
3.8
3-0
6
0.0
0.2
0.5
1.5
4.1
1.7
0.9
1.1
1.5
2.8
7.4
3.6
202
3-0
5
0.0
0.2
0.5
1.3
3.7
1.5
202
2-1
0
2-0
9
8
7
2-0
202
0.0
0.2
0.5
1.4
3.8
1.6
202
2-1
1
2-1
1
2-1
202
2-1
0
9
202
2-0
8
-07
2-0
202
202
202
2-0
0.0
0.2
0.5
1.4
4.1
1.5
202
0
2-1
202
202
2-0
9
8
-07
2-0
202
202
2-0
6
202
2
202
2
2-0
6
0.0
0.2
0.5
1.4
4.0
1.5
202
2-0
6
0.1
0.1
0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.2
0.2
0.2
0.6
0.7
0.7
0.6
0.6
0.7
2.0
2.0
2.0
2.0
2.1
2.1
6.4
7.4
7.9
6.7
7.5
8.0
2.7
2.6
2.7
2.6
3.1
3.5
Short Exposure Excluding IRDs
0.9
1.1
1.5
2.5
7.0
3.4
202
0
2-1
202
202
9
8
2-0
2-0
202
-06
2-0
7
202
202
202
2
202
0.9
0.9
0.9
0.9
0.9
0.9
1.0
1.1
1.1
1.0
1.1
1.1
1.4
1.5
1.5
1.4
1.4
1.5
2.1
2.2
2.2
2.0
2.2
2.3
4.4
4.6
4.6
4.3
4.8
4.8
2.3
2.4
2.4
2.3
2.4
2.6
Short Exposure Including IRDs
202
-05
0.0
0.2
0.5
1.5
4.2
1.7
0.9
0.9
0.9
0.9
0.9
0.9
1.1
1.2
1.1
1.1
1.1
1.1
1.5
1.6
1.6
1.5
1.5
1.5
2.5
2.6
2.5
2.4
2.6
2.7
6.3
7.3
7.0
7.1
7.4
8.1
3.4
3.5
3.6
3.3
3.7
3.9
Long Exposure Excluding IRDs
202
2-0
5
2-0
5
0.1
0.2
0.6
2.1
7.4
3.0
2-0
5
2-0
4
-03
202
2
202
-04
0.0
0.2
0.5
1.4
4.2
1.7
0.9
1.1
1.5
2.2
5.0
2.5
202
-04
-04
0.1
0.2
0.6
2.0
6.7
3.0
0.9
1.1
1.6
2.6
7.3
3.8
202
202
202
2
202
2
2-0
3
2-0
3
0.0
0.2
0.5
1.4
3.7
1.6
0.9
1.1
1.5
2.3
5.1
2.5
202
2
202
202
0.1
0.2
0.6
2.0
6.7
2.9
0.9
1.1
1.6
2.6
7.1
3.7
202
3-0
4
0.0
0.2
0.5
1.5
4.1
1.7
0.9
1.1
1.4
2.2
4.8
2.5
202
2-0
2
2-0
2
0.1
0.2
0.7
2.1
7.2
3.2
2-0
3
202
2
-02
202
2
2-0
2
202
-01
0.0
0.2
0.5
1.6
4.2
1.8
0.9
1.1
1.5
2.3
4.7
2.5
202
-01
1-1
2
0.0
0.1
0.5
1.3
4.2
1.7
1
0.1
0.2
0.6
2.0
8.1
3.1
1.0
1.1
1.5
2.6
6.8
3.8
202
2
2-0
1
202
1-1
1-1
2
1-1
2
202
2
202
0.0
0.2
0.6
2.0
7.3
3.4
202
2-0
1
1-1
0.0
0.1
0.5
1.5
4.4
1.8
0.9
1.1
1.5
2.3
4.6
2.5
0.9
1.1
1.6
2.7
7.4
3.9
3-0
3
0.0
0.2
0.5
1.5
4.3
1.8
202
1-1
202
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.9
1.1
1.6
2.6
7.4
3.7
202
2
1
0.1
0.2
0.7
2.0
8.3
3.8
202
1
1
202
1-1
1-1
202
0.1
0.2
0.7
2.0
8.1
3.6
0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1.0
1.1
1.5
2.2
4.5
2.6
202
0.9
1.1
1.5
2.3
4.9
2.6
1.0
1.1
1.6
2.6
7.3
3.9
202
1-1
1-1
1-1
1-1
202
0.9
1.1
1.5
2.3
5.0
2.6
0.9
1.1
1.5
2.7
7.6
4.2
0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
202
0.9
1.1
1.6
2.7
7.3
4.2
0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
0
Long Exposure Including IRDs
0.0
0.2
0.6
1.4
4.6
1.8
March 31, 2024
B
Analytics Office
Industry Concentration
Table 35: Large Hedge Fund Adviser Asset and Exposure Concentration
(Percent of Total Reported)
As reported on Form PF, Questions 3(a) and 26.
Month
2021-10
2021-11
2021-12
2022-01
2022-02
2022-03
2022-04
2022-05
2022-06
2022-07
2022-08
2022-09
2022-10
2022-11
2022-12
2023-01
2023-02
2023-03
2023-04
2023-05
2023-06
2023-07
2023-08
2023-09
Top 10 Advisers (NAV)
17.1
17.1
17.1
17.5
16.8
16.8
17.1
17.2
17.2
17.5
17.5
17.5
17.4
17.4
17.4
17.5
17.5
17.5
17.7
17.7
17.7
18.1
18.1
18.1
Top 20 Advisers (NAV)
27.4
27.4
27.4
28.1
27.2
27.2
28.0
28.1
28.1
28.3
28.3
28.3
28.2
28.2
28.2
28.5
28.5
28.5
28.7
28.7
28.7
28.9
28.9
28.9
30
Top 10 Advisers (GNE)
38.3
38.4
38.1
38.9
38.4
38.3
42.8
42.8
39.0
40.6
40.7
40.3
39.7
40.2
39.4
40.5
40.6
41.0
41.6
41.7
40.8
40.9
41.5
40.7
Top 20 Advisers (GNE)
56.2
56.3
54.7
55.3
55.7
55.1
57.7
58.7
55.5
57.4
57.9
57.0
57.2
57.8
55.9
58.1
58.5
57.6
58.3
58.9
58.0
58.9
59.8
58.2
March 31, 2024
C
Analytics Office
Portfolio Turnover
Table 36: Aggregate Portfolio Turnover ($ Billions)
As reported on Form PF, Question 27.
Month
2021-10
2021-11
2021-12
2022-01
2022-02
2022-03
2022-04
2022-05
2022-06
2022-07
2022-08
2022-09
2022-10
2022-11
2022-12
2023-01
2023-02
2023-03
2023-04
2023-05
2023-06
2023-07
2023-08
2023-09
Futures
19,432
17,055
14,329
16,735
21,395
23,132
16,025
19,479
22,129
17,470
20,561
23,845
17,728
19,964
20,051
16,309
22,084
32,291
16,689
21,107
17,995
19,497
24,576
20,516
Sov. and muni. bonds
5,666
6,210
4,672
5,340
6,355
6,016
4,574
5,143
4,903
4,388
5,151
4,929
4,372
5,198
4,522
5,310
6,512
7,334
5,691
7,484
7,088
7,105
8,724
7,606
Listed equities
3,409
3,779
3,843
3,951
3,794
4,528
3,678
4,255
3,897
3,023
3,434
3,532
4,301
4,375
4,027
4,126
4,084
4,935
3,844
4,704
4,719
4,471
5,416
4,668
Corporate bonds
183
164
121
188
292
255
223
339
313
318
236
204
185
200
149
230
238
252
164
244
215
198
195
221
Convertible bonds
38
53
38
40
35
36
27
30
24
17
29
25
32
29
19
33
50
39
30
43
41
60
85
75
Total
28,729
27,262
23,002
26,255
31,872
33,968
24,527
29,245
31,266
25,215
29,410
32,536
26,619
29,767
28,768
26,008
32,968
44,851
26,418
33,582
30,058
31,332
38,997
33,086
Figure 9: Distributions of Portfolio Turnover
(Winsorized, limits=[1%,99%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 3(a) and 27.
0.0
0.1
0.4
2.0
12.3
6.3
0.0
0.1
0.4
2.1
16.3
8.0
0.0
0.1
0.3
1.7
13.6
8.2
0.0
0.1
0.4
2.0
12.6
6.4
0.0
0.1
0.4
2.1
16.0
8.9
0.0
0.1
0.5
2.9
22.6
11.9
0.0
0.1
0.3
1.6
11.0
6.0
0.0
0.1
0.4
2.2
15.5
7.5
0.0
0.1
0.4
2.0
15.5
7.0
0.0
0.1
0.3
1.6
15.0
9.6
0.0
0.1
0.4
2.0
16.7
11.6
0.0
0.1
0.4
1.8
15.3
9.5
3-0
3-0
3-0
2-0
1-1
-09
0.0
0.1
0.4
2.1
12.9
6.4
8
202
3
3-0
9
8
202
7
3-0
0.0
0.1
0.4
2.0
12.8
6.2
7
202
3-0
202
6
202
202
3-0
202
202
3-0
6
-05
202
3
5
3-0
202
0.0
0.1
0.3
1.6
11.4
5.4
-03
202
0.0
0.1
0.4
2.1
14.4
10.5
31
3-0
4
3-0
3
202
3-0
4
2
202
3
202
202
3
0.0
0.1
0.5
2.2
14.8
7.6
-02
202
3-0
-01
202
2-1
2
0.0
0.1
0.4
2.0
13.0
7.0
1
202
2-1
1
202
2
2-1
0
202
0.0
0.1
0.5
2.5
16.2
8.9
2-0
9
0.0
0.1
0.5
2.3
14.1
8.3
-08
0.0
0.1
0.4
2.0
14.1
7.0
7
0.0
0.1
0.4
1.7
13.6
6.4
3
0.0
0.1
0.4
1.9
16.7
7.9
2
0.0
0.1
0.3
1.6
14.3
7.3
-11
202
202
3
1
0.0
0.2
0.9
5.0
43.9
52.2
202
2
2-1
0.0
0.2
1.0
5.4
48.8
61.2
202
2-1
0.0
0.2
0.9
4.6
41.9
46.6
202
2-0
6
202
0.1
0.2
0.9
5.0
45.9
45.7
-04
202
0.0
0.3
1.0
5.5
42.3
50.8
202
2-0
5
202
0.0
0.2
0.8
4.0
36.9
40.4
202
2
0.1
0.3
1.3
7.6
80.9
66.8
2
0.0
0.2
1.0
6.0
44.0
51.4
202
2-0
0.0
0.3
1.0
5.6
48.6
38.2
1
0.0
0.2
0.8
5.1
40.5
40.9
202
2-0
202
9
0.0
0.0
0.0
0.0
0.0
0.0
0.2
0.2
0.2
0.2
0.2
0.2
1.0
0.9
1.1
0.9
0.9
1.0
5.5
4.6
5.3
5.5
5.1
6.1
52.4 37.9 45.4 51.9 47.3 46.7
45.1 35.0 41.5 44.0 36.6 40.9
Total Turnover to NAV Ratio
2-0
0.1
0.3
1.2
6.6
45.2
42.5
2-0
202
2-1
0
202
2-0
6
7
202
2-0
5
0.0
0.2
1.0
5.6
38.9
35.8
2-0
-04
202
2
0.1
0.3
1.5
7.1
56.8
48.8
202
202
2-0
8
2
202
2-0
0.1
0.3
1.1
6.6
53.8
49.1
202
3
1
202
2-0
2
2-0
0.1
0.2
1.1
6.2
46.4
38.7
1-1
202
0.1
0.2
1.0
5.9
44.8
31.8
0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
-11
202
0.1
0.3
1.1
6.7
46.5
38.5
202
1
0
202
1
0.0
0.2
0.9
5.2
48.7
39.9
202
1-1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
1-1
Total Turnover ($ Billions)
March 31, 2024
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
2021Q4
5,944
1,482
768
306
86
48
30
27
2022Q1
5,867
1,637
718
418
93
42
27
29
2022Q2
5,583
1,480
713
324
81
38
26
22
2022Q3
5,426
1,433
737
336
81
32
46
21
2022Q4
5,547
1,658
750
356
86
27
26
24
2023Q1
5,855
1,530
732
372
83
34
26
21
2023Q2
6,181
1,456
754
393
90
36
31
23
2023Q3
6,201
1,433
755
406
89
37
29
23
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
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
2022Q3
131.4
34.7
17.9
8.1
2.0
0.8
1.1
0.5
32
2022Q4
133.9
40.0
18.1
8.6
2.1
0.7
0.6
0.6
2023Q1
136.7
35.7
17.1
8.7
1.9
0.8
0.6
0.5
2023Q2
143.0
33.7
17.4
9.1
2.1
0.8
0.7
0.5
2023Q3
144.9
33.5
17.6
9.5
2.1
0.9
0.7
0.5
March 31, 2024
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)
Russia
India
Brazil
2021Q4
5,548
217
239
16
51
33
2022Q1
5,551
213
204
5
48
39
2022Q2
5,288
240
198
5
47
34
2022Q3
5,148
266
174
5
49
34
2022Q4
5,276
337
171
3
44
34
2023Q1
5,556
332
171
3
44
31
2023Q2
5,888
354
138
3
50
40
2023Q3
5,823
360
130
98
47
39
2023Q2
136.2
8.2
3.2
0.1
1.2
0.9
2023Q3
136.1
8.4
3.0
2.3
1.1
0.9
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)
Russia
India
Brazil
2021Q4
122.3
4.8
5.3
0.3
1.1
0.7
2022Q1
125.1
4.8
4.6
0.1
1.1
0.9
2022Q2
125.0
5.7
4.7
0.1
1.1
0.8
33
2022Q3
124.7
6.4
4.2
0.1
1.2
0.8
2022Q4
127.3
8.1
4.1
0.1
1.1
0.8
2023Q1
129.8
7.8
4.0
0.1
1.0
0.7
March 31, 2024
VIII
A
Analytics Office
Qualifying Hedge Fund Specific Information
Economic Leverage
Figure 10: Ratio of Qualifying Hedge Fund Gross Notional Exposure to Net Asset Value
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 9, 10, 26, and 30.
-0 9
202
3
3-0
202
1.0
1.1
1.6
3.0
8.3
3.5
202
3
3-0
202
1.0
1.1
1.6
3.0
8.3
3.7
-09
3-0
202
8
3-0
202
1.0
1.1
1.6
2.9
7.8
3.4
8
202
3 -0
6
202
5
3-0
1.0
1.1
1.7
3.3
8.6
3.6
7
202
3 -0
5
1.0
1.1
1.7
3.2
8.2
3.5
202
3-0
3-0
202
1.0
1.1
1.6
2.8
6.8
3.2
202
3-0
202
1.0
1.1
1.6
3.1
7.9
3.4
7
202
3-0
4
1.0
1.1
1.6
3.1
7.6
3.5
2
1
202
3-0
2
2-1
1.0
1.1
1.6
2.9
6.6
3.2
3-0
6
202
3-0
3
1.0
1.1
1.6
2.9
7.2
3.3
202
2-1
2-0
202
2-1
1.0
1.1
1.7
2.9
7.6
3.4
202
9
8
2-0
202
34
1.0
1.1
1.6
2.7
6.2
3.1
4
202
3-0
2
1.0
1.2
1.9
3.6
12.5
5.5
3
202
1.1
1.2
1.9
3.8
13.3
5.8
1.0
1.1
1.7
2.8
6.7
3.2
1
202
2 -1
2
1.1
1.3
1.9
3.8
13.4
5.9
3-0
202
2 -1
1
1.0
1.2
1.9
3.7
12.3
5.3
1
1.1
1.3
2.0
4.3
13.7
6.0
0
1.1
1.3
2.0
4.2
12.9
5.5
202
2 -0
9
202
2-1
0
1.0
1.2
1.9
3.6
10.3
4.8
202
1.1
1.3
2.0
4.0
11.8
5.7
1.0
1.2
1.7
2.8
6.9
3.2
202
2-0
8
1.1
1.2
1.9
4.0
11.2
5.4
2-0
7
1.0
1.2
1.9
3.6
10.0
4.8
202
6
6
1.0
1.1
1.6
2.7
6.6
3.1
1.1
1.3
1.9
3.9
11.0
5.4
2-0
7
1.0
1.1
1.7
2.9
6.9
3.3
1.1
1.1
1.0
1.1
1.3
1.3
1.2
1.3
2.0
1.9
1.9
2.0
4.1
4.0
3.6
4.2
10.6 10.6
9.4 12.1
5.1
5.2
4.8
5.4
Excluding IRDs
202
5
202
2-0
1.0
1.2
1.9
3.7
10.1
5.1
202
2-0
2-0
4
-04
1.0
1.1
1.7
2.9
6.8
3.1
1.1
1.3
2.0
3.9
10.8
5.4
202
202
3
1.0
1.1
1.6
2.9
6.9
3.2
202
2
2
2-0
202
2-0
3
1.0
1.1
1.7
3.2
7.7
3.4
202
1.0
1.1
1.8
3.2
7.5
3.5
1.1
1.3
2.0
3.8
9.9
5.2
2-0
5
1.0
1.1
1.7
2.9
6.8
3.2
202
2
1-1
202
1-1
202
1.0
1.2
1.7
3.3
7.6
3.5
1.0
1.2
1.9
3.6
9.7
5.2
202
2-0
1.0
1.1
1.7
3.2
7.9
3.5
2
1.1
1.3
2.0
4.1
11.8
5.8
202
2-0
202
2-0
2
202
1.1
1.3
2.0
4.1
11.5
5.7
2-0
1
202
1-1
1.0
1.2
1.9
3.5
10.9
5.2
1
1.1
1.3
2.0
4.2
12.2
6.4
202
1-1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2-0
1
0
202
1-1
202
1.1
1.3
2.0
4.0
11.7
6.2
0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1-1
1
Including Interest Rate Derivatives (IRDs)
1.0
1.1
1.6
2.9
7.3
3.4
March 31, 2024
Analytics Office
Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and
Short Notional Exposure (SNE) to Net Asset Value
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 9, 10, 26, and 30.
35
8
9
3-0
202
3 -0
0.0
0.1
0.4
1.6
4.9
1.8
0.0
0.1
0.4
1.5
5.1
1.7
0.0
0.1
0.4
1.5
4.3
1.5
-09
-09
8
8
0.0
0.2
0.6
2.0
8.0
3.0
1.0
1.0
1.3
2.0
4.3
2.2
0.0
0.2
0.6
1.8
7.4
2.9
202
3-0
9
8
0.0
0.2
0.6
1.9
7.7
3.0
202
3
3-0
3-0
0.0
0.2
0.5
1.8
7.2
2.8
1.0
1.1
1.5
2.4
6.6
3.2
202
3
7
3-0
202
7
3-0
202
3-0
7
1.0
1.1
1.3
2.1
4.5
2.3
202
6
202
202
1.0
1.1
1.4
2.1
4.6
2.4
202
202
3-0
6
1.0
1.1
1.5
2.5
7.0
3.4
202
3-0
0.0
0.1
0.4
1.5
4.7
1.6
1.0
1.1
1.5
2.5
7.1
3.5
202
3-0
7
0.0
0.1
0.4
1.5
4.4
1.5
0.0
0.1
0.4
1.2
3.9
1.4
3-0
3-0
5
202
3-0
6
5
0.0
0.2
0.6
2.0
7.8
3.0
202
3-0
0.0
0.2
0.6
1.9
7.0
2.7
1.0
1.0
1.3
2.1
4.3
2.2
202
-04
202
3-0
5
4
3-0
1.0
1.1
1.4
2.3
4.8
2.4
202
202
1.0
1.1
1.4
2.3
4.7
2.3
202
1.0
1.1
1.5
2.5
6.1
3.2
3-0
4
3-0
3
1.0
1.2
1.6
2.7
7.3
3.5
202
3
3-0
202
2
1.0
1.1
1.5
2.6
7.3
3.3
0.0
0.2
0.5
1.7
5.7
2.3
202
2
0.0
0.1
0.4
1.4
4.2
1.5
202
3
202
3
3-0
202
2
3-0
1.0
1.0
1.3
2.1
4.1
2.2
3-0
0.0
0.2
0.6
2.0
6.6
2.7
3-0
1
3-0
2
202
3-0
1
202
3-0
1
1.0
1.1
1.5
2.4
5.7
3.1
202
3-0
-01
0.0
0.1
0.4
1.3
4.2
1.5
1.0
1.1
1.4
2.2
4.5
2.3
202
2
202
2
202
202
2
2-1
0.0
0.1
0.4
1.4
3.7
1.4
0.0
0.2
0.6
1.9
6.1
2.5
202
3
2-1
202
1
0.0
0.2
0.5
1.8
6.1
2.4
202
0.0
0.1
0.4
1.4
4.0
1.5
1.0
1.1
1.4
2.2
4.5
2.3
2
2-1
1
2-1
2-1
1.0
1.0
1.3
2.1
4.0
2.1
1.0
1.1
1.5
2.6
6.1
3.4
3-0
6
0.0
0.1
0.4
1.6
3.9
1.5
1.0
1.1
1.5
2.6
6.2
3.3
202
3-0
5
0.0
0.1
0.4
1.3
3.4
1.3
202
2-1
0
2-0
9
8
7
2-0
202
0.0
0.1
0.4
1.3
3.5
1.4
202
2-1
1
2-1
1
2-1
202
2-1
0
9
202
2-0
8
-07
2-0
202
202
202
2-0
0.0
0.1
0.4
1.3
3.7
1.3
202
0
2-1
202
202
2-0
9
8
-07
2-0
202
202
2-0
6
202
2
202
2
2-0
6
0.0
0.1
0.4
1.3
3.6
1.3
202
2-0
6
0.0
0.0
0.0
0.0
0.0
0.0
0.2
0.2
0.2
0.2
0.2
0.2
0.5
0.6
0.6
0.6
0.6
0.6
1.8
1.9
1.9
1.7
2.0
2.0
5.8
5.9
6.3
5.4
6.3
6.4
2.4
2.3
2.4
2.2
2.5
2.6
Short Exposure Excluding IRDs
1.0
1.1
1.5
2.4
5.5
2.9
202
0
2-1
202
202
9
8
2-0
2-0
202
-06
2-0
7
202
202
202
2
202
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.1
1.1
1.0
1.1
1.1
1.3
1.4
1.4
1.3
1.4
1.4
2.0
2.1
2.1
2.0
2.2
2.1
3.8
4.0
4.0
3.8
4.2
4.1
2.1
2.2
2.2
2.0
2.2
2.2
Short Exposure Including IRDs
202
-05
0.0
0.1
0.4
1.4
3.9
1.4
1.0
1.0
1.0
1.0
1.0
1.0
1.1
1.2
1.1
1.1
1.2
1.1
1.5
1.5
1.5
1.5
1.5
1.5
2.4
2.6
2.5
2.4
2.6
2.5
5.3
5.9
5.6
5.2
6.5
6.1
3.0
3.2
3.2
2.9
3.3
3.3
Long Exposure Excluding IRDs
202
2-0
5
2-0
5
0.0
0.2
0.5
1.9
6.2
2.5
2-0
5
2-0
4
-03
202
2
202
-04
0.0
0.1
0.4
1.4
3.6
1.3
1.0
1.1
1.4
2.1
4.0
2.2
202
-04
-04
0.0
0.2
0.6
1.8
6.1
2.4
1.0
1.1
1.5
2.5
6.2
3.2
202
202
202
2
202
2
2-0
3
2-0
3
0.0
0.1
0.4
1.4
3.6
1.4
1.0
1.1
1.4
2.1
4.0
2.2
202
2
202
202
0.0
0.2
0.5
1.7
6.4
2.6
1.0
1.1
1.5
2.5
5.9
3.2
202
3-0
4
0.0
0.1
0.5
1.5
3.8
1.5
1.0
1.0
1.3
2.1
3.9
2.1
202
2-0
2
2-0
2
0.0
0.2
0.6
1.9
7.1
2.8
2-0
3
202
2
-02
202
2
2-0
2
202
-01
0.0
0.1
0.5
1.5
3.9
1.6
1.0
1.1
1.4
2.2
4.4
2.2
202
-01
1-1
2
0.0
0.1
0.4
1.3
3.8
1.4
1
0.0
0.2
0.6
1.8
7.3
2.7
1.0
1.1
1.4
2.4
5.5
3.1
202
2
2-0
1
202
1-1
1-1
2
1-1
2
202
2
202
0.0
0.2
0.5
1.7
6.4
2.7
202
2-0
1
1-1
0.0
0.1
0.5
1.5
4.0
1.5
1.0
1.1
1.4
2.2
4.3
2.3
1.0
1.1
1.5
2.6
6.3
3.4
3-0
3
0.0
0.1
0.5
1.6
4.1
1.6
202
1-1
202
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1.0
1.1
1.5
2.7
6.2
3.4
202
2
1
0.0
0.2
0.6
1.9
7.1
3.1
202
1
1
202
1-1
1-1
202
0.0
0.2
0.6
1.9
7.1
3.1
0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1.0
1.1
1.3
2.1
4.0
2.1
202
1.0
1.1
1.4
2.2
4.3
2.3
1.0
1.1
1.5
2.5
5.9
3.2
202
1-1
1-1
1-1
1-1
202
1.0
1.1
1.4
2.2
4.5
2.3
1.0
1.1
1.5
2.7
6.2
3.7
0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
202
1.0
1.1
1.5
2.7
6.4
3.7
0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
0
Long Exposure Including IRDs
0.0
0.1
0.4
1.5
4.6
1.6
March 31, 2024
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.
Risk Arb./Merger Arb.
Equity
Subtotal
Quantitative
Fundamental
Subtotal
Total
2021Q4
2,254
1,215
643
396
0
1,456
1,063
709
102
123
65
63
794
704
54
***
***
479
359
119
458
205
108
145
222
***
***
65
6,790
2022Q1
2,033
1,102
577
***
***
1,483
1,043
676
110
112
74
70
856
745
73
***
***
485
359
127
429
202
91
136
238
***
***
75
6,641
2022Q2
1,776
972
467
***
***
1,441
1,028
684
113
89
79
62
874
744
88
39
2
482
350
132
403
201
90
112
215
***
***
69
6,287
2022Q3
1,687
941
414
***
***
1,427
969
638
115
84
72
60
886
748
92
44
2
507
367
140
394
201
93
101
258
***
***
68
6,196
2022Q4
1,797
1,020
438
***
***
1,461
950
627
121
82
54
66
999
902
58
37
2
527
378
149
371
203
72
96
196
***
***
71
6,373
2023Q1
1,851
1,053
448
***
***
1,487
1,035
706
103
88
76
61
897
820
44
***
***
543
390
154
382
201
75
106
195
***
***
84
6,474
2023Q2
1,886
1,063
453
***
***
1,512
1,091
722
129
94
85
61
1,059
987
40
***
***
538
370
168
397
210
85
102
287
***
***
86
6,857
2023Q3
1,796
1,033
434
***
***
1,543
1,132
761
135
93
79
64
1,069
1,004
33
***
***
542
372
170
392
208
99
85
259
***
***
107
6,840
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
March 31, 2024
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.
Risk Arb./Merger Arb.
Equity
Subtotal
Quantitative
Fundamental
Subtotal
Total
2021Q4
53.8
29.0
15.3
9.4
0.0
34.7
25.3
16.9
2.4
2.9
1.5
1.5
18.9
16.8
1.3
***
***
11.4
8.6
2.8
10.9
4.9
2.6
3.5
5.3
***
***
1.6
162.0
2022Q1
49.0
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
8.6
3.0
10.3
4.9
2.2
3.3
5.7
***
***
1.8
160.0
37
2022Q2
45.8
25.1
12.0
***
***
37.1
26.5
17.6
2.9
2.3
2.0
1.6
22.5
19.2
2.3
1.0
0.1
12.4
9.0
3.4
10.4
5.2
2.3
2.9
5.5
***
***
1.8
162.0
2022Q3
44.7
24.9
11.0
***
***
37.8
25.7
16.9
3.0
2.2
1.9
1.6
23.5
19.8
2.4
1.2
0.1
13.4
9.7
3.7
10.4
5.3
2.5
2.7
6.8
***
***
1.8
164.2
2022Q4
47.4
26.9
11.6
***
***
38.5
25.0
16.5
3.2
2.2
1.4
1.7
26.3
23.8
1.5
1.0
0.1
13.9
10.0
3.9
9.8
5.4
1.9
2.5
5.2
***
***
1.9
168.0
2023Q1
47.7
27.1
11.5
***
***
38.3
26.7
18.2
2.7
2.3
2.0
1.6
23.1
21.1
1.1
***
***
14.0
10.0
4.0
9.8
5.2
1.9
2.7
5.0
***
***
2.2
166.8
2023Q2
47.9
27.0
11.5
***
***
38.4
27.7
18.3
3.3
2.4
2.2
1.6
26.9
25.1
1.0
***
***
13.7
9.4
4.3
10.1
5.3
2.2
2.6
7.3
***
***
2.2
174.0
2023Q3
45.2
26.0
10.9
***
***
38.9
28.5
19.2
3.4
2.3
2.0
1.6
27.0
25.3
0.8
***
***
13.7
9.4
4.3
9.9
5.2
2.5
2.1
6.5
***
***
2.7
172.4
March 31, 2024
C
Analytics Office
Leverage by Strategy
Table 43: Asset Weighted-Average Ratio of GAV to NAV
by Strategy
As reported on Form PF, Questions 8, 9, 10, and 20.
Strategy
Relative Value
Macro
Multi-Strategy
Credit
Equity
Managed Futures/CTA
Investment in other funds
Other
Event Driven
2021Q4
7.0
4.2
3.4
1.6
1.5
1.4
1.3
1.5
1.4
2022Q1
6.0
4.5
3.1
1.6
1.6
1.5
1.2
1.4
1.4
2022Q2
6.5
4.3
3.0
1.6
1.6
1.9
1.5
1.4
1.4
2022Q3
6.2
4.5
2.9
1.7
1.6
1.6
1.4
1.5
1.3
2022Q4
5.9
4.9
3.5
1.7
1.6
1.5
1.3
1.5
1.3
2023Q1
5.8
5.0
3.6
1.7
1.6
1.6
1.3
1.5
1.3
2023Q2
6.2
5.5
3.9
1.8
1.7
1.5
1.4
1.4
1.3
2023Q3
6.2
5.7
4.0
1.7
1.7
1.7
1.6
1.4
1.3
Table 44: Asset Weighted-Average Ratio of GNE to NAV
by Strategy
As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month).
Strategy
Macro
Relative Value
Managed Futures/CTA
Multi-Strategy
Investment in other funds
Credit
Equity
Other
Event Driven
2021Q4
32.9
27.1
16.9
16.0
3.3
3.1
3.1
3.1
1.9
2022Q1
33.0
25.4
15.0
14.9
2.8
3.2
2.9
3.1
1.9
2022Q2
29.2
24.8
16.5
13.2
4.1
3.1
2.9
2.9
2.0
2022Q3
28.5
23.8
14.0
11.0
3.9
3.2
3.4
2.9
1.8
2022Q4
34.4
21.3
14.3
14.0
3.0
3.2
3.5
2.9
1.8
2023Q1
34.3
23.1
12.1
14.1
3.6
3.4
3.6
2.8
2.1
2023Q2
38.4
25.5
17.1
14.8
3.6
3.5
3.1
2.7
2.1
2023Q3
39.4
25.4
18.6
15.6
3.8
3.4
3.1
2.7
1.9
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
Investment in other funds
Equity
Other
Event Driven
Credit
2021Q4
48.2
42.8
26.1
21.8
8.2
8.5
11.8
8.1
8.3
2022Q1
51.0
44.1
23.9
23.3
4.9
10.4
11.3
10.7
6.8
2022Q2
56.0
44.1
27.7
23.8
6.8
12.7
11.5
9.6
8.3
38
2022Q3
54.2
42.2
27.9
25.0
5.5
13.7
12.3
10.0
7.3
2022Q4
49.3
45.7
30.5
23.5
6.1
13.9
11.5
9.8
8.9
2023Q1
39.9
43.1
27.3
25.9
7.5
12.4
9.6
8.1
8.5
2023Q2
38.8
41.4
25.7
26.6
11.3
11.1
9.0
8.4
7.4
2023Q3
45.3
42.0
26.0
25.4
12.4
11.4
8.7
7.5
7.2
March 31, 2024
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
U.S. Treasury Securities
Non-Financial Listed Equities
Non-Financial Equity Derivatives
Sovereign Bonds - Non-U.S. G10
Credit Derivatives
Non-Financial Unlisted Equities
Cash/Cash Equivalents - Other
Commodity Derivatives
Leveraged Loans
Financial Listed Equities
Non-Financial Corporate Bonds
Cash/Cash Equivalents - Deposits
Non-U.S. Currency Holdings
MBS
Other Derivatives
Sovereign Bonds - Other
Physical Real Estate
Other Private Funds
Cash/Cash Equivalents - MMFs
Other Loans (Excluding Repo)
Other
Non-Financial Convertible Bonds
Financial Equity Derivatives
U.S. Agency and GSE Securities
Financial Corporate Bonds
Other ABS/Structured Products
CDO/CLO
Financial Unlisted Equities
U.S. State and Local Bonds
Registered Investment Companies
Financial Convertible Bonds
Physical Commodities
2021Q4
7,477
3,974
2,221
1,760
2,753
1,580
1,412
759
467
579
393
259
376
280
218
218
205
207
308
166
183
208
141
112
173
106
46
71
59
39
29
22
16
9
6
2022Q1
7,770
3,820
2,197
1,690
2,488
1,778
1,373
750
480
858
424
271
349
272
216
232
170
215
267
176
184
199
144
110
154
102
47
76
63
39
30
19
17
8
9
2022Q2
7,165
3,416
2,167
1,523
2,121
1,485
1,377
809
479
531
399
275
307
248
224
262
189
219
209
186
186
228
149
118
125
93
56
71
55
36
27
17
15
7
9
39
2022Q3
6,761
3,512
2,089
1,495
2,021
1,467
1,313
740
479
515
376
279
285
246
221
222
183
205
182
171
185
218
151
112
119
85
46
68
57
36
26
18
14
6
3
2022Q4
7,326
3,113
2,136
1,701
2,094
1,533
1,479
683
483
533
362
295
307
254
240
225
180
228
199
186
176
216
155
113
118
88
60
81
57
40
37
16
15
6
6
2023Q1
6,962
3,436
2,349
1,870
2,200
1,567
1,401
739
498
488
391
307
312
266
301
231
179
203
205
191
175
187
153
114
123
94
41
77
56
41
39
16
16
8
4
2023Q2
7,182
3,766
2,515
2,255
2,324
1,735
1,417
848
509
515
376
321
338
282
248
265
208
218
223
203
177
174
160
120
128
107
69
80
161
41
35
18
16
7
4
2023Q3
7,691
3,945
2,695
2,645
2,259
1,806
1,539
900
529
504
393
329
322
284
258
249
222
218
210
204
182
164
159
158
124
110
83
78
69
42
35
17
11
7
4
March 31, 2024
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
U.S. Treasury Securities
Non-Financial Listed Equities
Non-Financial Equity Derivatives
Sovereign Bonds - Non-U.S. G10
Credit Derivatives
Non-Financial Unlisted Equities
Cash/Cash Equivalents - Other
Commodity Derivatives
Leveraged Loans
Financial Listed Equities
Non-Financial Corporate Bonds
Cash/Cash Equivalents - Deposits
Non-U.S. Currency Holdings
MBS
Other Derivatives
Sovereign Bonds - Other
Physical Real Estate
Other Private Funds
Cash/Cash Equivalents - MMFs
Other Loans (Excluding Repo)
Other
Non-Financial Convertible Bonds
Financial Equity Derivatives
U.S. Agency and GSE Securities
Financial Corporate Bonds
Other ABS/Structured Products
CDO/CLO
Financial Unlisted Equities
U.S. State and Local Bonds
Registered Investment Companies
Financial Convertible Bonds
Physical Commodities
2021Q4
47.8
55.2
48.5
56.9
71.8
51.9
48.5
44.5
99.8
71.6
65.2
98.0
73.1
74.5
74.9
62.5
70.0
51.6
64.2
***
99.9
***
90.7
94.8
97.9
55.5
62.8
86.4
84.2
***
99.7
***
97.8
96.2
***
2022Q1
48.1
56.0
49.0
59.2
70.3
56.9
47.9
43.0
99.6
67.2
64.3
98.2
71.4
77.2
71.9
61.7
78.4
50.5
63.4
***
99.9
***
91.4
93.4
97.3
54.3
55.3
86.5
80.7
***
99.7
***
98.1
96.7
99.8
2022Q2
47.4
55.2
48.5
62.8
68.2
50.6
48.2
40.2
99.8
77.0
59.9
98.7
69.5
75.4
67.3
60.8
81.7
44.8
58.6
***
99.9
99.9
91.6
90.7
97.2
55.7
52.8
87.0
83.5
86.3
99.9
***
98.8
96.3
99.4
40
2022Q3
50.1
54.5
47.2
60.0
67.8
48.3
49.7
41.1
99.8
78.2
55.4
97.6
68.6
76.4
63.5
62.1
83.6
41.5
60.6
***
99.9
***
89.4
90.0
97.5
55.5
61.7
86.3
82.3
86.7
99.9
***
98.3
96.3
***
2022Q4
50.4
53.0
46.5
59.2
67.4
51.3
48.2
47.6
99.6
77.6
59.1
97.5
68.1
76.8
64.5
65.7
83.6
39.1
63.4
***
100.0
99.9
91.3
86.4
97.7
59.0
58.8
86.5
86.2
88.1
99.9
***
98.5
98.1
93.9
2023Q1
49.6
53.7
43.2
60.9
66.8
50.2
48.9
45.9
99.8
81.1
57.4
97.8
67.5
76.2
65.0
58.8
84.3
56.7
68.8
***
***
***
90.2
85.7
98.4
57.0
70.6
79.7
86.2
87.5
99.9
***
99.0
98.5
96.9
2023Q2
46.8
55.5
40.0
56.1
66.7
51.1
46.6
47.3
99.8
79.7
55.9
97.6
66.7
75.8
69.6
60.4
84.0
51.5
68.9
***
100.0
***
90.1
83.4
98.5
58.4
59.8
80.6
91.1
87.6
99.9
***
98.8
97.8
98.2
2023Q3
47.5
56.9
39.3
54.3
67.2
49.3
45.2
48.0
99.7
76.2
55.4
97.4
67.5
76.4
58.4
55.1
82.3
51.5
64.1
***
99.9
***
90.8
86.5
98.4
53.5
64.3
76.6
79.3
88.0
99.9
***
97.9
98.0
94.5
March 31, 2024
E
Analytics Office
Number of Positions
Figure 12: Number of Positions Reported by Qualifying Hedge Funds
202
3-0
5
202
202
3 -0
202
202
3-0
9
3-0
8
202
3 -0
4
7
202
3 -0
6
202
3
202
3 -0
1
13
49
170
616
2,261
3,004
13
49
166
609
2,284
3,038
13
49
158
559
2,012
2,882
12
49
169
598
2,155
3,005
12
50
164
592
2,183
3,115
12
48
158
557
1,892
2,999
12
49
164
572
2,180
2,849
12
49
163
589
2,187
2,916
12
48
151
560
2,026
2,824
12
49
158
566
2,155
2,960
12
47
158
569
2,270
3,006
12
46
150
545
1,963
2,874
3-0
202
12
49
164
599
2,048
2,826
2-0
3 -0
2
2-1
202
12
50
173
628
2,233
2,928
1-1
2
202
2-1
0
13
50
173
624
2,216
2,851
41
1
202
202
2-0
9
2-1
202
12
47
158
565
2,015
2,689
1-1
8
202
12
49
165
627
2,337
2,792
2-0
202
12
49
169
608
2,178
2,675
2-0
6
202
13
47
164
576
2,036
2,366
2-0
5
202
2-0
13
50
176
626
2,071
2,491
2-0
4
-02
202
2
13
50
178
624
2,012
2,403
3
202
2-0
14
47
162
576
1,927
2,292
1
2
1-1
202
14
51
170
635
2,054
2,442
1
202
14
51
173
618
2,035
2,397
0
202
Month
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
7
As reported on Form PF, Question 34.
March 31, 2024
F
Analytics Office
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
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
19.9
36.7
47.0
60.4
2022Q3
5.5
8.2
18.9
35.6
47.4
59.1
2022Q4
5.6
8.2
18.5
37.8
45.6
58.5
2023Q1
5.4
7.5
18.6
34.5
45.4
56.7
2023Q2
5.6
7.8
17.9
34.1
44.3
56.5
2023Q3
5.4
7.5
17.2
33.3
44.9
55.2
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
2021Q4
33.7
52.9
65.7
72.5
77.1
81.9
2022Q1
35.4
53.5
64.9
71.2
75.5
80.5
2022Q2
33.6
51.5
62.3
68.4
73.6
79.3
2022Q3
33.6
50.4
61.3
67.6
72.8
78.6
2022Q4
32.3
49.5
60.3
66.5
71.8
77.9
2023Q1
31.5
49.0
59.1
65.2
70.8
76.5
2023Q2
31.3
49.1
59.6
65.7
70.7
76.7
2023Q3
30.4
48.4
58.3
64.3
69.4
75.7
Figure 13: Asset Weighted-Average Qualifying Hedge Fund
Investor and Portfolio Liquidity
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of Third Calendar Quarter 2023
Statistic
Port. Liquidity
Inv. Liquidity
At most 1 day
30.4
5.4
At most 7 days
48.4
7.5
At most 30 days
58.3
17.2
At most 90 days
64.3
33.3
At most 180 days
69.4
44.9
At most 365 days
75.7
55.2
Table 50: Restrictions on Qualifying Hedge Fund Assets ($ Billions)
As reported on Form PF, Questions 48 and 49.
Type
May Suspend
May Have Gates
Side-Pocketed
Gated
Suspended
2021Q4
2,924
1,885
114
84
18
2022Q1
2,884
1,878
104
74
17
2022Q2
2,660
1,847
97
74
14
2022Q3
2,534
1,754
96
75
13
42
2022Q4
2,499
1,728
90
81
20
2023Q1
2,562
1,757
87
80
22
2023Q2
2,574
1,762
90
81
23
2023Q3
2,570
1,754
86
76
20
March 31, 2024
Analytics Office
Figure 14: Percentage of Qualifying Hedge Fund NAV
Subject to a Side-Pocket Arrangement
As reported on Form PF, Questions 9 and 48.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q4
2.0
5.0
13.5
28.3
50.0
20.6
2022Q1
2.0
5.0
14.0
30.0
55.0
21.9
2022Q2
2.0
5.5
13.0
31.0
55.0
21.5
2022Q3
2.0
6.0
13.0
31.0
59.0
21.6
43
2022Q4
2.0
6.0
12.0
26.0
44.0
19.3
2023Q1
2.0
5.0
10.0
24.0
47.0
18.6
2023Q2
1.0
5.0
11.5
27.8
44.0
19.4
2023Q3
1.0
5.0
12.0
24.5
44.0
18.6
March 31, 2024
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
2021Q4
3,748
1,965
1,151
633
49
3,797
2022Q1
3,532
1,843
1,090
599
39
3,571
2022Q2
3,398
1,660
1,150
588
34
3,432
2022Q3
3,309
1,592
1,150
567
36
3,345
2022Q4
3,461
1,651
1,227
582
39
3,500
2023Q1
3,739
1,739
1,432
568
40
3,779
2023Q2
4,053
1,870
1,637
546
38
4,092
2023Q3
4,191
1,807
1,822
563
37
4,228
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
2021Q4
65.3
33.9
0.7
0.2
2022Q1
63.7
35.4
0.9
0.0
2022Q2
63.9
35.4
0.7
0.0
2022Q3
65.0
33.8
1.1
0.0
2022Q4
63.7
35.3
1.0
0.1
2023Q1
63.1
36.0
0.8
0.0
2023Q2
63.5
35.8
0.7
0.0
2023Q3
62.4
37.0
0.6
0.1
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
2021Q4
2,411
1,588
822
1,204
826
378
755
520
235
4,370
2022Q1
2,237
1,472
766
1,141
766
375
727
528
199
4,104
2022Q2
1,974
1,323
651
1,196
815
381
734
561
173
3,905
44
2022Q3
1,923
1,279
645
1,192
793
399
723
562
161
3,839
2022Q4
2,029
1,356
673
1,262
788
473
729
535
194
4,020
2023Q1
2,155
1,453
702
1,475
940
535
723
561
161
4,352
2023Q2
2,282
1,546
736
1,678
1,029
649
717
557
161
4,677
2023Q3
2,205
1,513
692
1,772
1,042
730
730
580
150
4,707
March 31, 2024
Analytics Office
Figure 15: Ratio of Collateral Posted to Secured Borrowing
for Qualifying Hedge Funds (Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Question 43 (Third Month).
45
1.0
1.0
1.1
1.5
1.9
1.2
1.0
1.0
1.1
1.5
2.0
1.3
-0 9
-0 9
0.8
1.0
1.3
2.3
5.3
6.3
-09
8
202
3
8
8
3-0
202
202
3
3-0
202
7
3-0
202
7
3-0
202
5
3-0
202
0.9
1.0
1.1
1.5
2.0
1.3
0.8
1.0
1.3
2.2
5.2
6.5
202
3
1.0
1.0
1.1
1.5
1.8
1.3
3-0
3-0
202
2
3-0
202
0.9
1.0
1.1
1.5
1.9
1.3
0.8
1.0
1.3
2.3
4.9
4.9
0.8
1.0
1.4
2.4
5.3
4.0
3-0
***
***
***
***
***
***
202
202
3-0
202
3-0
2
2-1
1.0
1.0
1.1
1.5
1.9
1.3
7
202
3 -0
6
0.9
1.0
1.3
2.2
5.1
4.5
3-0
202
3 -0
6
202
3 -0
5
0.9
1.0
1.2
2.3
5.0
5.6
0.8
1.0
1.3
2.4
5.4
3.9
202
202
3 -0
5
202
3-0
4
0.9
1.0
1.3
2.3
5.2
9.3
0.8
1.0
1.4
2.3
5.2
3.1
6
202
3-0
4
202
3-0
3
0.9
1.0
1.3
2.2
5.5
4.7
4
202
3-0
3
202
3-0
2
0.9
1.0
1.3
2.3
6.0
11.5
0.9
1.0
1.3
2.2
5.3
7.4
3
1
1
0.9
1.0
1.3
2.3
5.0
2.8
3-0
202
3-0
2
0.9
1.0
1.3
2.2
4.8
3.4
202
1.0
1.0
1.1
1.4
1.8
1.3
202
1
0
2-1
202
2-1
1.0
1.0
1.0
1.4
1.7
1.2
0.9
1.0
1.3
2.3
5.0
4.6
3-0
1.0
1.0
1.1
1.4
1.8
1.2
0.9
1.0
1.4
2.3
4.8
3.2
202
1.0
1.0
1.1
1.5
1.9
1.2
202
2-0
9
8
202
1.0
1.0
1.1
1.5
1.9
1.3
2-0
***
***
***
***
***
***
202
-07
2-0
6
202
2
1.0
1.0
1.1
1.4
1.8
1.2
0.9
1.0
1.4
2.3
5.6
5.9
202
202
2 -1
2
202
2 -1
1
202
2-1
0
2 -0
9
202
202
2-0
8
6
2-0
7
202
202
2-0
5
2-0
5
0.9
0.9
0.9
0.9
0.9
0.9
0.9
0.9
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.3
1.3
1.3
1.3
1.3
1.3
1.4
1.3
2.3
2.3
2.1
2.1
2.3
2.3
2.4
2.3
8.0
6.9
5.5
6.0
7.1
6.5
7.0
5.7
9.8
6.2
4.5
8.1
6.7 14.7 14.1
4.5
Ratio of Collateral/Reverse Repo Borrowing
0.9
1.0
1.4
2.3
5.5
4.7
1
202
2 -1
2
202
2 -1
1
2 -0
9
202
2-1
0
202
202
2-0
8
6
2-0
7
202
5
202
2-0
202
2-0
3
2-0
4
1.0
1.0
1.1
1.4
1.9
1.3
202
2-0
2-0
4
-04
0.9
1.0
1.3
2.4
7.2
9.2
0.9
0.9
0.8
0.8
0.9
0.8
0.8
0.9
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.3
1.3
1.3
1.3
1.4
1.3
1.4
1.4
2.2
2.2
2.2
2.1
2.2
2.2
2.2
2.3
5.7
5.6
5.5
5.5
5.8
5.6
5.7
5.2
3.7
3.3
4.0
4.2
4.5
5.8
4.6
3.1
Ratio of Collateral/Prime Broker Borrowing
202
202
202
3
1.0
1.0
1.1
1.4
1.8
1.3
0.9
1.0
1.4
2.4
6.3
4.1
202
2
2-0
202
2-0
202
0.9
1.0
1.3
2.4
6.2
5.8
2-0
3
2
1.0
1.0
1.1
1.4
1.8
1.2
0.9
1.0
1.4
2.3
5.6
3.7
202
2-0
2
-01
1.0
1.0
1.1
1.4
1.9
1.2
1.0
1.0
1.3
2.4
5.9
6.4
202
1.0
1.0
1.4
2.5
6.7
6.5
2
202
2-0
202
2-0
2-0
1
202
2-0
1
202
2
1.0
1.0
1.1
1.4
1.8
1.2
0.9
1.0
1.3
2.3
5.4
3.5
202
2
1-1
2
202
1
1.0
1.0
1.1
1.4
1.9
1.2
2
202
1-1
202
1-1
1-1
1
1
1-1
202
1.0
1.0
1.3
2.4
5.8
4.4
0.9
1.0
1.4
2.4
5.2
4.1
202
1.0
1.0
1.1
1.4
1.9
1.3
1.0
1.0
1.3
2.5
5.8
3.9
1-1
1-1
202
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.9
1.0
1.3
2.3
5.3
3.4
202
202
1
0.9
1.0
1.3
2.4
5.1
4.3
0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.9
1.0
1.3
2.3
4.7
3.2
202
0.9
1.0
1.3
2.3
5.0
3.5
-10
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
1
-10
Ratio of Total Collateral/Total Secured Borrowing
***
***
***
***
***
***
1.0
1.0
1.1
1.5
1.9
1.3
1.0
1.0
1.1
1.5
1.9
1.3
March 31, 2024
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
2021Q4
26.5
42.8
63.0
77.3
93.9
95.5
2022Q1
35.6
46.3
63.7
76.6
93.9
95.2
2022Q2
36.9
47.2
64.8
76.3
93.0
94.3
2022Q3
27.4
47.2
62.4
75.7
92.8
94.2
2022Q4
25.4
41.5
61.7
75.3
91.9
94.0
2023Q1
28.7
48.1
63.9
76.5
92.8
94.7
2023Q2
28.2
48.7
63.8
77.3
92.8
94.6
2023Q3
25.5
50.1
64.9
78.4
92.6
94.7
Figure 16: Weighted-Average Qualifying Hedge Fund
Financing Liquidity (Percent of Available Financing)
As reported on Form PF, Question 46 as of Third Calendar Quarter 2023.
Statistic
Financing Liquidity
H
At most 1 day
25.5
At most 7 days
50.1
At most 30 days
64.9
At most 90 days
78.4
At most 180 days
92.6
At most 365 days
94.7
Central Clearing
Figure 17: Qualifying Hedge Funds Using Central Clearing
As reported on Form PF, Question 39.
Statistic
Percent of Funds
Percent of NAV
2021Q4
15.7
14.1
2022Q1
15.8
14.7
2022Q2
14.2
13.6
2022Q3
13.5
13.2
46
2022Q4
12.9
12.3
2023Q1
12.9
12.4
2023Q2
14.0
13.2
2023Q3
14.1
13.2
March 31, 2024
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
2021Q4
678
268
201
201
55
1,397
2022Q1
685
268
210
202
52
1,410
2022Q2
653
275
193
181
52
1,409
2022Q3
694
284
186
220
50
1,348
2022Q4
651
280
181
181
53
1,423
2023Q1
625
271
181
167
47
1,421
2023Q2
647
284
181
171
51
1,444
2023Q3
638
285
173
169
51
1,464
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
2021Q4
4,467
2,198
1,014
721
1,119
3,869
2022Q1
4,449
2,154
1,029
695
1,124
3,821
2022Q2
4,317
2,146
966
625
1,114
3,608
2022Q3
4,266
2,146
916
641
1,095
3,439
2022Q4
4,326
2,174
945
556
1,220
3,505
2023Q1
4,436
2,263
938
560
1,233
3,567
2023Q2
4,770
2,500
908
577
1,389
3,673
2023Q3
5,101
2,699
922
558
1,550
3,666
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
2021Q4
1,549
608
448
441
182
2,644
2022Q1
1,550
613
460
422
191
2,601
2022Q2
1,418
604
391
368
192
2,462
47
2022Q3
1,425
620
372
373
200
2,349
2022Q4
1,357
593
373
330
191
2,438
2023Q1
1,352
595
367
325
199
2,530
2023Q2
1,363
607
352
329
209
2,578
2023Q3
1,362
617
341
319
225
2,606
March 31, 2024
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
2021Q4
562
478
116
919
2022Q1
571
479
114
931
2022Q2
581
465
72
944
2022Q3
589
458
105
890
2022Q4
578
466
73
957
2023Q1
556
469
69
952
2023Q2
577
467
70
977
2023Q3
569
466
69
998
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
2021Q4
4,076
1,555
391
2,314
2022Q1
4,108
1,548
341
2,273
2022Q2
4,084
1,450
234
2,158
2022Q3
4,001
1,384
264
2,056
2022Q4
4,099
1,398
227
2,108
2023Q1
4,216
1,386
221
2,181
2023Q2
4,529
1,427
241
2,246
2023Q3
4,785
1,408
316
2,258
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
2021Q4
1,287
922
261
1,722
2022Q1
1,302
904
248
1,697
2022Q2
1,274
850
144
1,612
2022Q3
1,266
821
159
1,527
48
2022Q4
1,220
843
138
1,595
2023Q1
1,216
860
136
1,670
2023Q2
1,227
872
137
1,706
2023Q3
1,226
879
136
1,727
March 31, 2024
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
2021Q4
860
746
708
622
499
425
270
227
2022Q1
876
766
722
650
530
443
291
252
2022Q2
864
771
736
657
526
455
287
252
2022Q3
859
778
735
656
523
451
286
247
2022Q4
857
768
732
657
524
447
288
253
2023Q1
839
751
718
655
512
429
296
258
2023Q2
857
771
734
663
526
441
294
261
2023Q3
844
758
719
653
503
426
276
248
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
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
5,086
4,489
4,808
4,341
3,787
3,975
1,123
936
2022Q3
4,940
4,392
4,707
4,225
3,707
3,867
1,139
901
2022Q4
5,062
4,519
4,801
4,352
3,842
4,002
1,102
938
2023Q1
5,179
4,610
4,883
4,479
3,873
4,078
1,132
1,093
2023Q2
5,524
4,917
5,210
4,775
4,429
4,386
1,240
1,238
2023Q3
5,751
5,150
5,441
4,979
4,591
4,637
1,178
1,134
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
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
1,894
1,639
1,629
1,448
1,176
1,169
484
409
49
2022Q3
1,858
1,634
1,625
1,443
1,166
1,159
471
382
2022Q4
1,833
1,590
1,586
1,416
1,140
1,115
427
390
2023Q1
1,846
1,601
1,593
1,436
1,124
1,123
443
401
2023Q2
1,870
1,596
1,607
1,447
1,192
1,145
438
415
2023Q3
1,860
1,602
1,600
1,438
1,160
1,139
405
378
March 31, 2024
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
2021Q4
1,035
223
130
84
103
127
165
79
129
2022Q1
1,045
212
129
83
101
126
167
81
151
2022Q2
1,016
208
126
80
100
131
168
79
154
2022Q3
995
208
128
78
108
127
166
82
150
2022Q4
1,030
206
129
82
100
128
167
82
150
2023Q1
1,021
207
123
81
94
126
159
78
157
2023Q2
1,047
206
123
82
101
134
164
81
153
2023Q3
1,067
209
127
89
101
126
164
73
146
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
2021Q4
2,706
485
618
314
353
747
2,159
348
606
2022Q1
2,615
432
568
306
352
871
2,123
341
662
2022Q2
2,392
412
431
279
425
811
2,193
335
647
2022Q3
2,320
385
407
267
471
738
2,127
373
616
2022Q4
2,334
374
406
305
394
778
2,263
346
632
2023Q1
2,402
377
412
308
404
809
2,133
527
632
2023Q2
2,487
385
426
331
406
627
2,458
597
724
2023Q3
2,574
397
435
327
414
663
2,708
598
651
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
2021Q4
1,984
319
312
215
189
291
502
169
212
2022Q1
1,946
276
294
212
187
302
509
174
252
2022Q2
1,756
255
269
190
176
281
543
160
249
2022Q3
1,686
234
259
183
198
267
544
169
233
50
2022Q4
1,733
241
256
214
175
264
540
142
232
2023Q1
1,806
246
258
212
168
281
524
149
238
2023Q2
1,843
246
259
217
158
272
553
156
237
2023Q3
1,863
259
270
226
153
274
559
147
218
March 31, 2024
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
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
2022Q3
68.1
92.7
97.2
98.5
99.5
99.6
2022Q4
70.7
93.1
97.2
98.3
99.5
99.7
2023Q1
71.1
92.9
97.3
98.2
99.3
99.7
2023Q2
71.0
92.6
97.0
97.9
99.1
99.8
2023Q3
68.7
92.9
97.0
98.0
98.9
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
2022Q1
290
261
0
0
2022Q2
310
281
0
0
2022Q3
313
281
0
0
2022Q4
302
275
0
0
2023Q1
294
266
0
0
2023Q2
301
274
0
0
2023Q3
331
299
0
0
Portfolio Characteristics
Figure 18: Weighted-Average Maturity of Section 3 Liquidity Funds (Days)
8
3-0
9
7
202
202
202
202
202
202
3-0
202
3-0
202
3-0
5
6
4
3-0
202
3-0
202
3-0
3
2
1
3-0
202
2-1
202
3-0
2
1
0
2-1
9
202
2-0
202
2-1
8
7
2-0
6
202
2-0
5
202
2-0
4
202
2-0
202
2-0
2
3
202
2-0
1
202
2-0
2
202
2-0
202
1-1
1-1
202
Statistic
Average WAM
Asset-Weighted WAM
202
1-1
0
1
As reported on Form PF, Questions 55.
48.1
50.9
46.3
49.8
41.7
45.4
40.6
35.8
38.8
37.5
37.1
42.2
39.0
39.7
35.0
30.5
31.2
30.6
30.7
30.3
21.2
25.5
21.3
29.3
24.1
25.0
30.1
27.7
26.7
25.4
29.1
26.1
27.7
29.0
25.9
24.4
28.1
24.1
29.5
26.2
29.8
30.0
29.3
29.9
28.1
34.3
29.9
35.5
Figure 19: Weighted-Average Life of Section 3 Liquidity Funds (Days)
9
8
202
202
3-0
202
3-0
7
202
3-0
202
3-0
6
5
4
202
3-0
3
202
3-0
202
3-0
202
3-0
2
1
202
3-0
2
1
202
2-1
0
202
2-1
9
202
2-1
202
2-0
2-0
202
2-0
8
6
7
5
2-0
202
2-0
202
59.8
64.0
54.7
59.0
52.7
51.9
52.3
55.8
51.4
61.1
54.2
59.3
51.6
50.4
47.8
52.2
47.6
50.5
38.1
45.4
38.5
48.1
41.8
47.6
49.5
50.0
45.6
46.6
47.2
45.6
44.4
46.4
42.8
42.4
45.7
41.6
47.9
45.4
46.7
49.6
47.3
52.4
45.6
54.7
44.7
54.7
2-0
202
4
3
2-0
202
2
1
2-0
202
2-0
202
2
1
62.0
66.2
1-1
202
1-1
1-1
202
Statistic
Average WAL
Asset-Weighted WAL
202
0
As reported on Form PF, Questions 55.
Figure 20: Seven-Day Gross Yield Section 3 Liquidity Funds (Percent)
7
4
9
4.74
4.52
3-0
4.57
4.34
202
4.33
4.09
8
3.62
3.95
3-0
3.26
3.53
202
2.39
2.87
6
2.55
2.73
3-0
2.06
2.14
3-0
1.88
1.67
202
1.33
1.30
5
0.87
0.78
3-0
0.52
0.45
202
0.47
0.36
3-0
0.29
0.14
202
0.25
0.09
202
3
3-0
202
2
3-0
202
1
3-0
2
202
2-1
202
2-1
202
1
0
2-1
202
9
202
0.20
0.06
51
2-0
8
2-0
202
2-0
7
6
202
2-0
202
5
2-0
202
4
3
0.19
0.06
2-0
202
2-0
2
2-0
202
1
202
2-0
202
2
1-1
1
0.17
0.05
1-1
202
Statistic
Average Gross Yield
Asset-Weighted Gross Yield
202
1-1
0
As reported on Form PF, Questions 55.
202
B
2021Q4
291
260
0
0
4.82
4.59
5.01
4.82
5.07
4.90
5.21
5.04
5.47
5.19
5.49
5.25
March 31, 2024
Analytics Office
Figure 21: Ratio of Daily Liquid Assets to Net Asset Value
for Section 3 Liquidity Funds (Percent)
8
202
3-0
9
7
49.63
57.74
48.54
51.62
50.27
55.87
51.23
56.66
51.18
51.75
51.03
53.15
52.10
55.01
53.21
58.88
53.48
58.10
52.81
57.74
52.06
52.32
54.37
56.36
54.64
53.91
53.07
52.36
3-0
202
6
202
3-0
5
52.36
57.88
3-0
202
4
202
48.90
52.03
3-0
202
3-0
3
3-0
202
2
1
3-0
202
2
3-0
202
1
202
2-1
202
2-1
0
9
2-1
202
2-0
8
2-0
202
2-0
202
7
6
202
5
2-0
202
4
48.85
54.85
2-0
202
3
49.47
51.29
2-0
202
49.29
47.89
2-0
49.76
48.49
2-0
202
2
1
49.49
46.66
2-0
202
2
202
50.42
41.71
1-1
202
49.13
43.06
1-1
202
48.17
44.29
1-1
202
Statistic
Average DLA
Asset-Weighted DLA
1
0
As reported on Form PF, Questions 55.
Figure 22: Ratio of Weekly Liquid Assets to Net Asset Value
for Section 3 Liquidity Funds (Percent)
-09
8
202
3
7
202
3-0
6
202
3-0
5
61.02
68.16
60.76
67.78
63.36
71.25
63.44
73.02
60.87
68.95
60.99
64.84
62.97
67.85
62.40
64.80
60.90
62.04
3-0
202
3-0
4
61.60
66.79
3-0
202
61.63
66.93
3-0
202
62.53
70.93
3-0
202
60.25
65.95
3-0
202
3
2
1
2
202
1
202
2-1
0
59.89
70.12
2-1
202
62.88
69.17
52
2-1
9
2-0
202
8
2-0
202
7
60.24
64.11
2-0
202
6
2-0
202
5
202
59.72
66.04
2-0
202
4
3
62.38
64.01
2-0
60.89
60.09
2-0
202
2
60.03
58.19
2-0
202
1
60.23
59.46
2-0
202
2
202
62.00
57.18
1-1
202
59.67
56.56
1-1
202
59.45
59.17
1-1
202
Statistic
Average WLA
Asset-Weighted WLA
1
0
As reported on Form PF, Questions 55.
March 31, 2024
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
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
2022Q3
52.9
47.1
43.1
39.2
37.3
35.3
2022Q4
52.0
48.0
44.0
44.0
38.0
36.0
2023Q1
52.0
48.0
44.0
44.0
38.0
36.0
2023Q2
52.0
48.0
44.0
44.0
38.0
36.0
2023Q3
52.0
48.0
44.0
44.0
38.0
36.0
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
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
2022Q3
84.3
15.7
14.4
14.3
13.2
12.3
2022Q4
84.1
15.9
14.6
14.6
13.3
12.7
2023Q1
83.6
16.4
15.1
15.1
13.7
12.9
2023Q2
84.2
15.8
14.5
14.5
13.2
12.5
2023Q3
85.2
14.8
13.7
13.7
12.5
11.8
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
2021Q4
75.0
25.0
2022Q1
74.1
25.9
2022Q2
71.2
28.8
2022Q3
64.7
35.3
2022Q4
72.0
28.0
2023Q1
72.0
28.0
2023Q2
72.0
28.0
2023Q3
72.0
28.0
Table 72: NAV Calculation Method (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2021Q4
64.4
35.6
2022Q1
67.2
32.8
2022Q2
61.2
38.8
2022Q3
62.1
37.9
53
2022Q4
65.9
34.1
2023Q1
68.8
31.2
2023Q2
69.1
30.9
2023Q3
63.6
36.4
March 31, 2024
Aggregate Portfolio Holdings
Table 73: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2
9
63.4
78.9
69.2
46.4
18.9
13.4
10.5
2.5
1.0
78.4
72.0
67.1
53.6
20.8
15.7
9.3
1.9
1.0
57.2
85.0
80.9
46.5
20.4
11.3
10.4
3.3
0.9
59.9
88.8
86.3
42.1
20.2
10.0
9.1
5.2
1.0
69.2
73.9
78.8
45.3
20.6
16.6
8.7
5.2
1.0
2-0
84.3
73.4
52.2
44.2
24.1
11.7
10.7
2.1
1.1
2-0
202
8
7
202
91.4
62.8
48.0
46.6
26.0
16.4
9.9
2.3
1.0
2-0
202
-06
202
2
5
81.5
80.5
38.1
48.2
24.7
13.5
9.1
1.7
1.0
2-0
202
4
69.9
73.5
44.1
51.9
25.2
18.4
8.0
1.6
1.1
2-0
3
202
88.7
60.8
47.2
48.2
24.4
26.0
10.1
1.5
1.1
2-0
202
2
202
88.8
82.0
31.6
50.5
24.5
21.0
10.6
1.6
1.0
2-0
202
2-0
1
1-1
2
1
202
Product Type
U.S. Treasuries
Deposits
Repo - Govt. Collateral
Commercial Paper
Asset-Backed Securities
Other
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
1-1
202
88.7
83.1
31.3
53.1
23.9
18.9
7.7
1.3
1.1
1-1
202
0
As reported on Form PF, Question 63.
Table 74: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2
202
3-0
9
8
202
3-0
7
202
3-0
6
202
3-0
5
202
3-0
202
3-0
4
202
3-0
3
202
3
-02
1
3-0
202
2-1
2
-11
202
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
2
2-1
0
As reported on Form PF, Question 63.
202
E
Analytics Office
48.8
91.4
85.2
49.5
20.1
14.1
10.4
5.7
0.9
53.8
88.9
78.4
53.0
17.7
13.7
10.9
5.4
0.9
49.7
70.4
84.2
52.9
18.6
17.9
9.7
8.7
0.8
43.0
78.3
82.0
52.7
19.2
13.8
7.7
7.7
0.7
47.5
78.0
84.3
47.6
20.1
10.1
9.4
7.5
0.7
32.7
69.4
103.7
45.1
16.9
14.5
10.9
13.9
0.7
25.6
75.3
105.4
47.8
17.7
21.8
11.2
13.1
1.0
27.2
81.7
104.9
47.0
17.8
15.3
10.0
10.7
1.0
58.5
75.3
75.3
47.7
18.2
21.0
11.1
6.3
0.9
53.4
81.9
82.4
45.6
19.1
14.5
12.1
5.4
0.6
78.6
86.3
71.3
43.4
19.6
17.1
10.7
4.0
0.1
81.3
76.0
75.1
48.4
24.3
23.1
9.5
4.0
0.1
54
March 31, 2024
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
Computing Infrastructure...
Other Financial Vehicles
Custom Computer Programming...
Insurance Agencies and Brokerages
All Other Professional,...
Computer Systems Design Services
Other Computer Related Services
Engineering Services
Offices of Physicians
Natural Gas Distribution
Other Activities Related to Real...
Consumer Lending
Commercial Banking
Hotels and Motels
Lessors of Nonresidential Buildings
Full-Service Restaurants
Offices of Other Holding Companies
Home Health Care Services
Offices of Dentists
Commercial and Service Industry...
Lessors of Residential Buildings...
Marketing Research and Public...
Supermarkets and Other Grocery...
Electric Power Generation,...
Semiconductor & Other Electronic...
Facilities Support Services
Real Estate Credit
Support Activities for Water...
2014Q4
3.8
2.3
0.4
1.0
1.0
0.6
0.8
0.4
0.2
0.2
0.4
0.5
0.6
1.1
0.7
0.8
0.9
0.3
0.3
0.2
0.1
0.4
0.2
0.5
3.8
0.7
0.1
0.4
0.6
2015Q4
4.9
1.8
0.6
1.5
1.0
0.6
0.6
0.5
0.4
0.3
0.6
0.3
0.8
0.9
0.6
0.8
0.7
0.6
0.3
0.2
0.3
0.4
0.2
0.5
3.7
0.6
0.2
0.9
0.5
2016Q4
6.1
2.0
1.8
1.5
1.2
0.9
1.0
0.9
0.3
0.4
0.7
0.4
0.9
0.8
0.7
0.7
0.5
0.3
0.3
0.2
0.3
0.4
0.2
0.5
4.1
0.4
0.2
0.6
0.6
55
2017Q4
6.0
2.3
1.6
1.5
1.1
0.8
0.8
0.9
0.3
0.3
1.0
0.4
0.8
0.7
0.4
0.7
0.5
0.4
0.3
0.3
0.3
0.3
0.2
0.3
4.2
0.3
0.3
0.5
0.7
2018Q4
8.0
3.5
1.3
1.8
1.0
1.4
0.6
1.0
0.3
0.3
1.0
0.3
0.6
0.3
0.2
0.6
0.3
0.5
0.4
0.3
0.4
0.3
0.1
0.3
4.5
0.5
0.1
0.4
0.7
2019Q4
10.6
4.2
1.2
2.1
1.1
1.4
0.6
0.8
0.3
0.5
0.7
0.3
0.6
0.3
0.4
1.1
0.4
0.4
0.5
0.3
0.3
0.3
0.2
0.2
4.3
0.5
0.1
0.4
0.5
2020Q4
9.7
3.6
1.8
1.9
1.5
1.9
1.0
1.2
0.3
0.5
0.8
0.3
0.7
0.4
0.4
0.6
0.3
0.4
0.6
0.3
0.2
0.2
0.2
0.2
4.8
0.6
0.2
0.4
0.4
2021Q4
11.7
3.4
2.2
2.5
1.7
1.4
1.6
1.5
0.4
0.7
0.6
0.4
0.6
0.4
0.4
0.4
0.2
0.4
0.4
0.3
0.2
0.3
0.2
0.2
3.7
0.5
0.2
0.2
0.3
2022Q4
12.0
4.2
2.9
2.8
1.8
1.4
1.1
1.0
0.7
0.7
0.6
0.6
0.5
0.5
0.5
0.5
0.4
0.4
0.4
0.3
0.2
0.2
0.2
0.2
***
***
0.2
0.1
***
March 31, 2024
B
Analytics Office
CPC Financial Leverage
Figure 23: Ratio of Portfolio Company Current to Total Liabilities (Percent)
As reported on Form PF, Questions 71 and 72.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2014Q4
0.6
1.4
5.3
17.9
50.0
16.2
2015Q4
0.7
1.7
6.0
20.0
49.9
16.7
2016Q4
0.8
1.9
6.9
20.7
54.3
17.5
2017Q4
0.8
2.1
7.3
21.5
51.8
17.7
2018Q4
0.7
1.5
6.0
17.8
49.3
15.4
2019Q4
0.7
1.3
5.2
16.8
48.7
15.5
2020Q4
0.7
1.4
5.9
18.2
46.8
16.0
2021Q4
0.6
1.1
4.6
16.4
40.5
14.4
2022Q4
0.7
1.3
5.5
18.3
48.0
15.7
Figure 24: CPC Payment-in-Kind Borrowings to Total Borrowings (Percent)
As reported on Form PF, Questions 73.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2014Q4
1.0
3.0
8.0
22.0
40.0
16.8
2015Q4
2.0
4.0
9.0
22.0
48.0
18.3
2016Q4
2.0
4.0
9.0
22.0
48.0
18.6
2017Q4
1.0
3.0
8.0
17.0
42.0
16.5
56
2018Q4
1.0
3.0
9.0
22.2
56.0
19.5
2019Q4
2.0
4.0
11.0
27.0
61.0
21.8
2020Q4
2.0
4.0
11.0
32.0
65.0
23.1
2021Q4
1.0
4.0
9.0
31.0
88.0
24.2
2022Q4
2.0
4.0
11.0
30.0
66.0
22.8
March 31, 2024
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
9,558
3,576
881
409
171
124
82
12
2022Q4
10,958
3,073
1,079
613
216
151
77
14
2021Q4
64.6
24.2
6.0
2.8
1.2
0.8
0.6
0.1
2022Q4
67.7
19.0
6.7
3.8
1.3
0.9
0.5
0.1
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
57
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
March 31, 2024
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
8,364
277
210
128
55
6
2022Q4
10,299
280
279
201
96
27
2021Q4
56.5
1.9
1.4
0.9
0.4
0.0
2022Q4
63.6
1.7
1.7
1.2
0.6
0.2
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
2017Q4
67.6
1.3
2.6
0.9
2.3
0.1
58
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
2020Q4
60.9
2.2
2.3
2.8
0.8
0.0
March 31, 2024
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.
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March 31, 2024
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.
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March 31, 2024
B
Analytics Office
Handling Annual and Quarterly Data
Only a subset of filers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are
required to file Form PF quarterly; all other filings are made annually. Annual filings are typically,
but not always, made at the end of the calendar year, as Form PF allows filings to be made at the
end of an adviser’s fiscal year. In order to present the most complete and recent data possible, while
accounting for differences in filing dates, we use the following procedure for determining which data
to consider in any given quarter:
First, filings are grouped by their report date within their reported year:
• (Q1): February 15 to May 14
• (Q2): May 15 to August 14
• (Q3): August 15 to November 14
• (Q4): November 15 to February 14
Then, responses for funds that have no information are ‘filled forward’ — essentially, copied
from last reported values — up to a maximum of three quarters. Any fund that has no data four
quarters after its most recent date is no longer counted or included in any calculations.10
C
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.
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.
11
Such techniques are known as ‘robust statistics’, reviewed for example in Wilcox (2012), Introduction to Robust
Estimation & Hypothesis Testing, 3rd Edition.
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March 31, 2024
D
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.
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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.
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This is a copy of a public record, reproduced as it was published. It is not legal advice, and it may not be the version a court would rely on. Check the official source before you cite it.