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Division of Investment Management
Analytics Office
Private Funds Statistics
Fourth Calendar Quarter 2022
July 18, 2023
This is a report of the Staff of the Division of Investment Management’s Analytics Office of the U.S.
Securities and Exchange Commission. The Commission has expressed no view regarding the analysis,
findings, or conclusions contained herein.
July 18, 2023
Analytics Office
Introduction
This report provides a summary of recent private fund industry statistics and trends, reflecting
data collected through Form PF and Form ADV filings.1 Form PF information provided in this
report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary
information of individual Form PF filers.
This report reflects data from First Calendar Quarter 2021 through Fourth Calendar Quarter
2022 as reported by Form PF filers.2 Please see the Appendix for information on the categories of
Form PF filers, the definitions of capitalized terms, a description of the boxplots used in several
figures, as well as other technical descriptions.
The Staff continues to work with data reported on Form PF and with filers to identify
and correct filing errors. Staff updates reported statistics based on amended filings and
also may make certain adjustments to the statistics presented to correct what appear to
be clear filing errors. Further, the Staff has employed certain assumptions in aggregating
the data. Future adjustments to these methodologies and amended filings that change
the underlying data could lead to changes in previously reported statistics.
If you have any questions or comments about Fourth Calendar Quarter
2022 Private Funds Statistics, please contact:
Tim Dulaney, PhD, FRM, Tim Husson, PhD, FRM, or Trevor Tatum at FormPF@sec.gov with subject
line “Fourth Calendar Quarter 2022-Private Funds Statistics”.
1
Only SEC-registered advisers with at least $150 million in private fund assets under management must report to the
Commission on Form PF. SEC-registered investment advisers with less than $150 million in private fund assets under
management, SEC exempt reporting advisers, and state-registered investment advisers are not required to file Form PF,
but report general information about the private funds they manage on Form ADV.
2
The Commission began receiving Form PF filings from Large Hedge Fund Advisers in July 2012. A full data set was
not received until March 2013.
1
Contents
I
II
III
IV
V
VI
Number of Funds and Advisers
4
Gross and Net Assets
A
Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . .
B
Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Fund Domiciles and Adviser Main Offices
Beneficial Ownership
A
All Private Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Qualifying Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Section 3 Liquidity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Section 4 Private Equity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E
Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Derivatives
5
5
8
10
11
13
15
15
16
17
18
19
20
Additional Hedge Fund Industry Information
A
High Frequency Trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Single-Strategy US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . .
D
Single-Strategy Non-US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . .
21
21
22
24
26
VII Information Reported by Large Hedge Fund Advisers
A
Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
28
28
30
31
32
VIII Qualifying Hedge Fund Specific Information
A
Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E
Number of Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
F
Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
G
Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
H
Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
I
Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
34
34
36
38
39
41
42
44
46
47
2
July 18, 2023
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
July 18, 2023
I
Analytics Office
Number of Funds and Advisers3
Table 1: Number of Funds
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Private Equity Fund
Hedge Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Venture Capital Fund
Securitized Asset Fund
Qualifying Hedge Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2021Q1
15,854
9,484
5,292
5,406
3,292
1,422
1,867
1,859
73
54
37,398
2021Q2
15,892
9,622
5,308
5,385
3,295
1,424
1,915
1,966
76
56
37,609
2021Q3
15,866
9,496
5,309
5,352
3,289
1,419
1,910
2,015
77
57
37,409
2021Q4
19,077
9,458
6,548
6,045
3,783
2,207
2,243
2,073
79
56
42,892
2022Q1
18,956
9,645
6,646
6,285
3,778
2,224
2,251
2,093
79
54
43,218
2022Q2
18,996
9,749
6,644
6,274
3,781
2,282
2,257
2,059
79
52
43,418
2022Q3
19,049
9,783
6,644
6,276
3,781
2,283
2,257
2,039
78
51
43,507
2022Q4
20,860
9,783
7,485
6,688
4,226
2,978
2,482
2,069
71
50
47,088
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
2021Q1
1,457
1,759
367
693
388
177
165
567
37
24
3,392
2021Q2
1,460
1,764
369
691
389
176
166
589
37
24
3,396
2021Q3
1,458
1,760
369
682
388
176
165
594
37
24
3,387
2021Q4
1,637
1,859
434
737
427
233
176
618
39
24
3,673
2022Q1
1,635
1,858
435
737
428
235
175
607
39
23
3,673
2022Q2
1,639
1,862
435
733
430
237
175
598
39
22
3,678
2022Q3
1,641
1,860
436
731
430
238
173
582
39
21
3,673
2022Q4
1,750
1,855
451
753
451
280
177
588
34
21
3,777
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
July 18, 2023
Analytics Office
II
Gross and Net Assets
A
Aggregate Assets by Fund Type over Time
Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions)
As reported on Form PF, Question 8.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2021Q1
8,916
7,229
4,822
3,665
1,496
810
712
223
314
312
17,294
2021Q2
9,579
7,888
4,826
3,673
1,509
810
729
222
330
328
18,004
2021Q3
9,779
8,303
4,826
3,674
1,438
812
729
222
310
308
18,114
2021Q4
9,759
8,329
6,409
4,962
1,748
972
869
329
318
316
20,403
2022Q1
9,778
8,261
6,384
4,949
1,766
967
869
333
318
314
20,415
2022Q2
9,439
7,913
6,397
4,949
1,740
969
868
333
335
331
20,080
2022Q3
9,274
7,694
6,402
4,949
1,716
975
869
334
335
331
19,904
2022Q4
9,347
7,812
6,710
5,275
1,622
1,137
935
375
321
319
20,447
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
2021Q1
4,810
3,737
4,266
3,276
1,318
613
216
215
304
302
11,742
2021Q2
5,129
4,054
4,270
3,283
1,341
613
219
214
319
317
12,106
2021Q3
5,111
4,162
4,271
3,283
1,274
615
220
215
302
300
12,007
5
2021Q4
5,130
4,187
5,746
4,489
1,559
745
264
309
313
311
14,066
2022Q1
5,148
4,144
5,729
4,483
1,582
744
265
313
313
309
14,094
2022Q2
4,912
3,871
5,738
4,483
1,557
745
264
314
327
324
13,858
2022Q3
4,849
3,764
5,742
4,483
1,534
750
264
314
331
327
13,784
2022Q4
4,811
3,783
6,030
4,780
1,397
857
272
342
318
316
14,027
July 18, 2023
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)
2021Q1 2021Q2 2021Q3 2021Q4 2022Q1 2022Q2
0.2
0.2
0.3
0.2
0.2
0.2
0.6
0.7
0.7
0.7
0.6
0.6
1.4
1.4
1.4
1.4
1.4
1.3
3.0
3.1
3.1
3.0
3.0
2.8
6.7
7.0
7.0
6.8
6.6
6.3
3.9
4.0
4.1
4.0
3.9
3.8
Qualifying Hedge Fund NAV ($ Billions)
2021Q1 2021Q2 2021Q3 2021Q4 2022Q1 2022Q2
0.2
0.2
0.2
0.2
0.2
0.2
0.5
0.6
0.6
0.5
0.5
0.5
1.0
1.0
1.0
1.0
1.0
0.9
1.9
2.0
2.0
2.0
2.0
1.8
4.5
4.7
4.7
4.4
4.4
4.0
2.0
2.1
2.1
2.0
2.0
1.9
Section 4 Private Equity Fund GAV ($ Billions)
2021Q1 2021Q2 2021Q3 2021Q4 2022Q1 2022Q2
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
1.5
1.5
1.5
1.6
1.6
1.6
0.7
0.7
0.7
0.8
0.7
0.7
Section 4 Private Equity Fund NAV ($ Billions)
2021Q1 2021Q2 2021Q3 2021Q4 2022Q1 2022Q2
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
0.4
0.4
0.4
0.5
0.5
0.5
1.3
1.3
1.3
1.4
1.4
1.4
0.6
0.6
0.6
0.7
0.7
0.7
6
2022Q3
0.2
0.6
1.2
2.8
6.3
3.8
2022Q4
0.2
0.6
1.2
2.6
6.1
3.8
2022Q3
0.1
0.5
0.9
1.8
3.9
1.8
2022Q4
0.1
0.5
0.9
1.8
3.9
1.8
2022Q3
0.0
0.0
0.1
0.5
1.6
0.7
2022Q4
0.0
0.0
0.1
0.5
1.6
0.7
2022Q3
0.0
0.0
0.1
0.5
1.4
0.7
2022Q4
0.0
0.0
0.1
0.5
1.4
0.6
July 18, 2023
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
2021Q1
1.0
1.0
1.0
1.1
2.1
1.8
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q1
1.0
1.0
1.2
1.6
2.7
1.6
All Private Funds
2021Q2 2021Q3 2021Q4 2022Q1
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
2.1
2.1
2.0
2.0
1.8
1.8
1.7
1.7
Qualifying Hedge Funds
2021Q2 2021Q3 2021Q4 2022Q1
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.1
1.1
1.1
1.1
1.6
1.6
1.6
1.6
2.7
2.7
2.7
2.8
1.6
1.6
1.6
1.6
7
2022Q2
1.0
1.0
1.0
1.1
2.0
1.7
2022Q3
1.0
1.0
1.0
1.1
2.0
1.7
2022Q4
1.0
1.0
1.0
1.1
2.0
1.9
2022Q2
1.0
1.0
1.1
1.6
2.7
1.6
2022Q3
1.0
1.0
1.2
1.6
2.6
1.6
2022Q4
1.0
1.0
1.1
1.6
2.6
1.6
July 18, 2023
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
Section 4 Private Equity Fund
Private Equity Fund
Other Private Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
2021Q1
50.1
45.3
40.9
13.9
4.9
4.7
4.9
0.5
0.0
0.0
2021Q2
50.0
45.7
41.6
13.6
4.9
4.7
4.1
0.5
0.0
0.0
2021Q3
49.8
44.6
41.3
14.0
4.9
4.7
3.9
0.5
0.0
0.0
2021Q4
52.4
45.6
42.1
13.2
5.4
5.5
3.5
0.7
0.0
0.0
2022Q1
49.7
43.2
39.9
12.3
5.5
5.5
3.6
0.7
0.0
0.0
2022Q2
49.3
43.4
39.8
12.2
5.4
5.5
3.5
0.7
0.0
0.0
2022Q3
49.4
43.5
40.0
12.5
5.4
5.5
3.7
0.7
0.0
0.0
2022Q4
56.1
44.7
41.1
14.0
5.7
5.7
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
2021Q1
0.0
0.0
0.0
0.2
0.6
0.5
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q1
0.0
0.1
0.3
1.3
4.0
2.8
All Private Funds ($ Billions)
2021Q2 2021Q3 2021Q4 2022Q1 2022Q2
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
0.6
0.6
0.5
0.5
0.5
Qualifying Hedge Funds ($ Billions)
2021Q2 2021Q3 2021Q4 2022Q1 2022Q2
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.4
0.4
0.4
0.3
0.3
1.4
1.3
1.3
1.2
1.1
4.3
4.1
3.8
3.7
3.3
2.9
3.0
2.9
2.8
2.7
8
2022Q3
0.0
0.0
0.0
0.3
0.6
0.5
2022Q4
0.0
0.0
0.0
0.3
0.6
0.5
2022Q3
0.0
0.1
0.3
1.0
3.4
2.6
2022Q4
0.0
0.1
0.3
1.0
3.3
2.7
July 18, 2023
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
2021Q1
0.0
0.0
0.2
0.8
6.4
2.6
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q1
0.0
0.1
0.3
0.8
2.3
0.9
All Private Funds
2021Q2 2021Q3 2021Q4 2022Q1
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
6.7
7.1
9.5
9.2
2.6
2.6
2.3
2.2
Qualifying Hedge Funds
2021Q2 2021Q3 2021Q4 2022Q1
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
0.9
0.9
0.9
2.4
2.5
2.3
2.4
0.9
0.9
0.9
0.8
2022Q2
0.0
0.0
0.2
0.9
9.1
2.3
2022Q3
0.0
0.0
0.2
0.9
9.2
2.3
2022Q4
0.0
0.0
0.2
0.9
10.1
3.7
2022Q2
0.0
0.1
0.3
0.8
2.2
0.8
2022Q3
0.0
0.1
0.3
0.8
2.1
0.8
2022Q4
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
2021Q1
67.2
30.1
2.4
1.0
2021Q2
67.7
29.9
2.2
0.9
2021Q3
67.0
30.5
2.3
0.9
9
2021Q4
67.1
29.3
2.8
1.0
2022Q1
66.4
30.5
3.1
0.9
2022Q2
66.6
30.3
3.0
0.9
2022Q3
67.7
28.8
3.3
1.0
2022Q4
68.8
27.1
3.3
0.9
July 18, 2023
C
Analytics Office
Fair Value Hierarchy
Table 7: Assets According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2021Q1
4,279
3,636
5,173
2,340
2021Q2
4,315
3,646
5,204
2,333
2021Q3
4,384
3,648
5,274
2,323
2021Q4
4,669
3,842
6,803
2,853
2022Q1
4,638
3,828
6,832
2,878
2022Q2
4,590
3,834
6,843
2,859
2022Q3
4,562
3,798
6,804
2,868
2022Q4
4,143
3,593
7,561
3,075
Table 8: Liabilities According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2021Q1
1,336
1,174
296
2,081
2021Q2
1,340
1,178
303
2,075
2021Q3
1,342
1,196
338
2,071
2021Q4
1,691
1,362
377
2,274
10
2022Q1
1,691
1,350
377
2,270
2022Q2
1,684
1,369
340
2,271
2022Q3
1,690
1,328
342
2,278
2022Q4
1,580
1,492
378
2,579
July 18, 2023
D
Analytics Office
Parallel Managed Accounts4
Table 9: Number of Funds with Parallel Managed Accounts
As reported on Form PF, Question 11.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Other Private Fund
Private Equity Fund
Qualifying Hedge Fund
Section 4 Private Equity Fund
Real Estate Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Total
2021Q1
581
475
311
199
103
73
17
***
11
***
1,470
2021Q2
575
487
312
200
115
73
17
***
11
***
1,478
2021Q3
559
485
312
207
115
73
17
***
***
***
1,459
2021Q4
570
504
303
209
137
89
30
***
***
***
1,508
2022Q1
579
503
303
210
137
89
30
***
***
***
1,516
2022Q2
577
502
315
201
137
89
30
***
***
***
1,525
2022Q3
575
498
314
207
137
89
30
***
***
***
1,518
2022Q4
565
476
327
213
146
67
39
***
***
***
1,484
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
2021Q1
768
2,620
98
470
44
7
1
***
411
***
3,905
2021Q2
808
2,647
98
512
68
7
1
***
396
***
3,970
2021Q3
840
2,641
98
551
68
7
1
***
***
***
3,992
2021Q4
880
2,674
119
566
102
16
2
***
***
***
4,111
2022Q1
839
2,671
120
538
102
16
2
***
***
***
4,024
2022Q2
765
3,451
152
483
110
16
2
***
***
***
4,781
2022Q3
729
3,416
152
438
110
16
2
***
***
***
4,704
2022Q4
725
2,366
114
435
114
14
2
***
***
***
3,602
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
July 18, 2023
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
2021Q1
0.0
0.0
0.3
1.3
5.0
2.7
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q1
0.1
0.2
0.6
1.9
6.0
2.4
All Private Funds ($ Billions)
2021Q2 2021Q3 2021Q4 2022Q1 2022Q2
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
1.5
1.5
1.5
1.4
1.5
5.0
5.0
5.3
5.3
5.4
2.7
2.7
2.7
2.7
3.1
Qualifying Hedge Funds ($ Billions)
2021Q2 2021Q3 2021Q4 2022Q1 2022Q2
0.1
0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.3
0.2
0.6
0.6
0.6
0.6
0.6
2.1
2.1
2.0
2.0
1.9
6.3
6.2
6.0
5.8
5.5
2.6
2.7
2.7
2.6
2.4
12
2022Q3
0.0
0.0
0.3
1.4
5.3
3.1
2022Q4
0.0
0.0
0.2
1.1
3.9
2.4
2022Q3
0.1
0.2
0.6
1.9
4.8
2.1
2022Q4
0.1
0.2
0.6
1.6
4.9
2.0
July 18, 2023
III
Analytics Office
Fund Domiciles and Adviser Main Offices
Table 11: Fund Domicile (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
Cayman Islands
Luxembourg
Ireland
Bermuda
United Kingdom
Virgin Islands, British
Other
Country
Cayman Islands
United States
Ireland
Virgin Islands, British
Luxembourg
Bermuda
Other
Country
Ireland
United States
Cayman Islands
Other
Country
United States
Cayman Islands
Canada
United Kingdom
Bermuda
Other
All Private Funds
2021Q1 2021Q2 2021Q3 2021Q4 2022Q1
50.9
50.0
49.5
51.8
52.3
34.2
34.3
34.8
32.8
32.7
3.6
3.7
3.7
4.1
4.1
4.1
4.1
4.0
3.9
3.9
1.0
1.0
1.0
0.9
1.0
1.0
0.9
0.9
1.0
0.9
1.0
1.0
1.0
0.9
0.9
4.1
5.0
5.0
4.7
4.2
Qualifying Hedge Funds
2021Q1 2021Q2 2021Q3 2021Q4 2022Q1
52.7
51.6
51.7
51.7
51.0
35.0
34.1
33.9
34.2
34.9
3.1
3.2
3.2
3.2
3.1
2.8
2.7
2.7
2.6
2.8
2.6
2.5
2.6
2.4
2.4
1.7
1.6
1.5
1.5
1.7
2.1
4.3
4.5
4.2
4.2
Section 3 Liquidity Funds
2021Q1 2021Q2 2021Q3 2021Q4 2022Q1
***
***
***
***
***
28.0
27.8
26.6
27.6
28.5
***
***
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2021Q1 2021Q2 2021Q3 2021Q4 2022Q1
55.2
55.2
55.2
56.1
56.9
29.0
28.9
28.9
29.3
29.6
2.2
2.2
2.2
2.0
1.9
1.5
1.5
1.5
1.4
1.4
1.1
1.1
1.1
1.2
1.2
11.0
11.1
11.1
9.9
9.0
13
2022Q2
52.6
32.4
4.1
3.9
1.0
0.9
0.9
4.2
2022Q3
52.9
32.7
4.1
3.9
1.0
0.9
0.9
3.6
2022Q4
52.7
32.2
5.0
3.6
1.0
0.9
0.8
3.7
2022Q2
52.3
35.7
3.0
3.1
2.4
1.7
1.8
2022Q3
53.1
35.0
2.8
3.1
2.3
1.9
1.7
2022Q4
52.5
35.6
3.0
2.9
2.7
1.9
1.4
2022Q2
***
27.3
***
***
2022Q3
***
25.5
***
***
2022Q4
***
23.4
***
***
2022Q2
56.9
29.6
1.9
1.4
1.2
9.0
2022Q3
56.9
29.6
1.9
1.4
1.2
9.0
2022Q4
56.0
28.1
2.0
1.4
1.0
11.4
July 18, 2023
Analytics Office
Table 12: Adviser Main Office Location (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
United Kingdom
Other
2021Q1
90.3
4.8
4.9
Country
United States
United Kingdom
Australia
Hong Kong
Other
2021Q1
89.6
4.4
***
***
1.8
Country
United States
United Kingdom
2021Q1
***
***
Country
United States
Canada
Other
2021Q1
94.3
***
***
All Private Funds
2021Q2 2021Q3 2021Q4 2022Q1
89.4
89.6
91.2
90.9
4.8
4.6
3.9
4.0
5.9
5.8
4.9
5.1
Qualifying Hedge Funds
2021Q2 2021Q3 2021Q4 2022Q1
87.6
88.0
88.1
88.5
4.3
4.1
4.1
3.9
***
***
***
***
***
***
***
***
4.0
4.1
4.1
4.1
Section 3 Liquidity Funds
2021Q2 2021Q3 2021Q4 2022Q1
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2021Q2 2021Q3 2021Q4 2022Q1
94.3
94.3
95.6
95.6
***
***
***
***
***
***
***
***
14
2022Q2
91.7
3.9
4.3
2022Q3
91.9
3.9
4.2
2022Q4
92.3
3.7
4.0
2022Q2
90.7
3.7
***
***
2.2
2022Q3
91.1
3.5
***
***
2.2
2022Q4
90.5
4.1
***
***
3.0
2022Q2
***
***
2022Q3
***
***
2022Q4
***
***
2022Q2
95.6
***
***
2022Q3
95.6
***
***
2022Q4
95.5
***
***
July 18, 2023
IV
A
Analytics Office
Beneficial Ownership
All Private Funds
Table 13: Beneficial Ownership for All Private Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
State/Muni. Govt. Pension Plans
U.S. Individuals
Pension Plans
Non-Profits
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2021Q1
2,073
1,861
1,557
1,196
1,265
1,170
844
567
309
269
199
176
143
110
2021Q2
2,128
1,948
1,576
1,226
1,277
1,208
855
583
386
263
205
189
144
110
2021Q3
2,131
1,929
1,587
1,208
1,261
1,215
856
593
384
266
203
188
138
44
2021Q4
2,598
2,445
1,858
1,422
1,370
1,316
1,007
697
416
317
232
188
155
42
2022Q1
2,635
2,444
1,882
1,417
1,375
1,298
1,000
704
401
305
226
194
161
45
2022Q2
2,593
2,407
1,871
1,372
1,339
1,246
1,004
702
396
312
222
193
151
44
2022Q3
2,588
2,414
1,862
1,366
1,270
1,256
1,010
703
393
305
223
196
148
42
2022Q4
2,594
2,539
1,910
1,321
1,309
1,243
1,082
747
375
284
241
189
149
38
2022Q3
18.8
17.5
13.5
9.9
9.2
9.1
7.3
5.1
2.8
2.2
1.6
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
2.0
1.7
1.3
1.1
0.3
Table 14: Beneficial Ownership for All Private Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
State/Muni. Govt. Pension Plans
U.S. Individuals
Pension Plans
Non-Profits
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2021Q1
17.7
15.8
13.3
10.2
10.8
10.0
7.2
4.8
2.6
2.3
1.7
1.5
1.2
0.9
2021Q2
17.6
16.1
13.0
10.1
10.5
10.0
7.1
4.8
3.2
2.2
1.7
1.6
1.2
0.9
15
2021Q3
17.8
16.1
13.2
10.1
10.5
10.1
7.1
4.9
3.2
2.2
1.7
1.6
1.2
0.4
2021Q4
18.5
17.4
13.2
10.1
9.7
9.4
7.2
5.0
3.0
2.3
1.7
1.3
1.1
0.3
2022Q1
18.7
17.3
13.4
10.1
9.8
9.2
7.1
5.0
2.8
2.2
1.6
1.4
1.1
0.3
2022Q2
18.7
17.4
13.5
9.9
9.7
9.0
7.2
5.1
2.9
2.2
1.6
1.4
1.1
0.3
July 18, 2023
B
Analytics Office
Qualifying Hedge Funds
Table 15: Beneficial Ownership for Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
Non-Profits
State/Muni. Govt. Pension Plans
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
2021Q1
642
523
561
411
454
466
237
121
113
56
63
40
41
5
2021Q2
695
573
594
430
486
477
244
131
186
62
80
43
42
6
2021Q3
724
598
601
447
492
476
256
140
185
59
89
42
42
8
2021Q4
723
607
602
458
493
477
264
144
181
62
86
41
38
9
2022Q1
732
603
581
462
473
476
266
147
171
61
82
40
39
9
2022Q2
701
571
546
453
432
449
267
150
107
58
46
38
39
9
2022Q3
696
563
559
431
423
381
266
149
102
59
42
41
38
8
2022Q4
689
561
528
445
423
407
289
148
102
59
46
38
38
9
2022Q3
18.5
15.0
14.8
11.5
11.2
10.1
7.1
4.0
2.7
1.6
1.1
1.1
1.0
0.2
2022Q4
18.2
14.8
13.9
11.8
11.2
10.8
7.6
3.9
2.7
1.5
1.2
1.0
1.0
0.2
Table 16: Beneficial Ownership for Qualifying Hedge Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
Non-Profits
State/Muni. Govt. Pension Plans
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
2021Q1
17.2
14.0
15.0
11.0
12.1
12.5
6.3
3.2
3.0
1.5
1.7
1.1
1.1
0.1
2021Q2
17.1
14.1
14.7
10.6
12.0
11.8
6.0
3.2
4.6
1.5
2.0
1.0
1.0
0.2
16
2021Q3
17.4
14.4
14.5
10.7
11.8
11.4
6.1
3.4
4.5
1.4
2.1
1.0
1.0
0.2
2021Q4
17.3
14.5
14.4
10.9
11.8
11.4
6.3
3.4
4.3
1.5
2.1
1.0
0.9
0.2
2022Q1
17.7
14.6
14.0
11.1
11.4
11.5
6.4
3.5
4.1
1.5
2.0
1.0
0.9
0.2
2022Q2
18.1
14.7
14.1
11.7
11.2
11.6
6.9
3.9
2.8
1.5
1.2
1.0
1.0
0.2
July 18, 2023
C
Analytics Office
Section 3 Liquidity Funds
Table 17: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Other
Unknown Non-U.S. Investors
Private Funds
Banking/Thrift Inst.
Broker-Dealers
Sec-Registered Investment Companies
Insurance Companies
Pension Plans
Non-U.S. Individuals
Sov. Wealth Funds And For. Official Inst.
State/Muni. Govt. Entities
Non-Profits
State/Muni. Govt. Pension Plans
U.S. Individuals
2021Q1
83
73
55
***
***
24
11
7
***
***
***
3
1
***
2021Q2
105
57
52
24
***
25
11
8
4
***
***
3
1
***
2021Q3
101
50
50
***
***
27
9
7
3
***
***
3
1
***
2021Q4
96
60
57
***
***
23
9
7
***
***
3
4
1
***
2022Q1
103
51
58
***
***
24
8
5
***
***
***
3
1
***
2022Q2
100
64
65
***
***
16
9
5
***
***
***
3
***
***
2022Q3
106
68
64
***
***
15
8
***
***
***
***
3
***
***
2022Q4
108
65
56
***
***
14
10
***
***
***
***
2
1
***
2022Q3
32.4
20.7
19.6
***
***
4.6
2.5
***
***
***
***
0.8
***
***
2022Q4
34.1
20.6
17.8
***
***
4.3
3.0
***
***
***
***
0.8
0.4
***
Table 18: Beneficial Ownership for Section 3 Liquidity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Other
Unknown Non-U.S. Investors
Private Funds
Banking/Thrift Inst.
Broker-Dealers
Sec-Registered Investment Companies
Insurance Companies
Pension Plans
Non-U.S. Individuals
Sov. Wealth Funds And For. Official Inst.
State/Muni. Govt. Entities
Non-Profits
State/Muni. Govt. Pension Plans
U.S. Individuals
2021Q1
27.4
24.1
18.1
***
***
7.9
3.6
2.3
***
***
***
1.0
0.3
***
2021Q2
33.1
18.0
16.5
7.4
***
7.8
3.5
2.4
1.1
***
***
1.0
0.3
***
17
2021Q3
33.8
16.7
16.5
***
***
8.9
3.2
2.4
0.9
***
***
1.1
0.4
***
2021Q4
31.0
19.2
18.5
***
***
7.5
2.8
2.3
***
***
1.0
1.2
0.3
***
2022Q1
33.4
16.6
18.6
***
***
7.8
2.6
1.7
***
***
***
1.0
0.3
***
2022Q2
30.8
19.9
19.9
***
***
4.9
2.8
1.5
***
***
***
0.9
***
***
July 18, 2023
D
Analytics Office
Section 4 Private Equity Funds
Table 19: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
State/Muni. Govt. Pension Plans
Other
Sov. Wealth Funds And For. Official Inst.
Pension Plans
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
2021Q1
659
654
544
387
246
190
180
187
63
71
27
38
25
3
2021Q2
662
655
544
388
247
190
180
187
63
71
27
38
25
3
2021Q3
662
655
544
388
247
190
180
187
63
71
27
38
25
3
2021Q4
957
836
819
501
324
252
237
265
82
83
49
45
33
3
2022Q1
974
850
802
477
325
255
238
265
82
77
50
49
34
3
2022Q2
973
851
802
477
326
256
238
265
82
77
50
49
34
3
2022Q3
973
851
802
477
326
256
238
265
82
77
50
49
34
3
2022Q4
1,033
887
886
525
364
286
259
245
95
68
49
47
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
State/Muni. Govt. Pension Plans
Other
Sov. Wealth Funds And For. Official Inst.
Pension Plans
Insurance Companies
Non-Profits
U.S. Individuals
State/Muni. Govt. Entities
Non-U.S. Individuals
Sec-Registered Investment Companies
Banking/Thrift Inst.
Unknown Non-U.S. Investors
Broker-Dealers
2021Q1
20.1
20.0
16.6
11.8
7.5
5.8
5.5
5.7
1.9
2.2
0.8
1.2
0.8
0.1
2021Q2
20.2
20.0
16.6
11.8
7.5
5.8
5.5
5.7
1.9
2.2
0.8
1.2
0.8
0.1
18
2021Q3
20.2
20.0
16.6
11.8
7.5
5.8
5.5
5.7
1.9
2.2
0.8
1.2
0.8
0.1
2021Q4
21.3
18.6
18.2
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
19.0
17.9
10.6
7.3
5.7
5.3
5.9
1.8
1.7
1.1
1.1
0.8
0.1
2022Q2
21.7
19.0
17.9
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
19.0
17.9
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
18.5
11.0
7.6
6.0
5.4
5.1
2.0
1.4
1.0
1.0
0.7
0.1
July 18, 2023
E
Analytics Office
Concentration
Table 21: Weighted-Average Beneficial Ownership of Top 5 Owners (Percent)
As reported on Form PF, Questions 9 and 15.
Type
Other Private Fund
Real Estate Fund
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Venture Capital Fund
Section 4 Private Equity Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Total
2021Q1
59.4
56.2
55.2
50.5
51.1
53.7
46.1
45.4
45.2
35.3
53.6
2021Q2
59.4
56.1
54.3
49.7
51.1
53.9
46.2
47.4
47.1
35.0
53.3
2021Q3
60.2
56.1
54.0
49.9
51.1
53.9
46.2
46.3
46.0
35.0
53.2
19
2021Q4
57.0
59.0
53.9
50.0
49.5
52.6
44.9
46.1
45.8
37.3
52.2
2022Q1
57.5
59.0
54.6
51.0
49.1
52.5
44.7
48.1
47.7
37.5
52.4
2022Q2
57.1
59.0
55.1
51.9
49.2
52.3
44.7
46.7
46.4
37.6
52.5
2022Q3
57.5
58.7
54.8
51.6
49.1
52.4
44.7
46.0
45.5
37.8
52.4
2022Q4
59.2
56.9
55.4
52.1
49.9
49.9
46.6
45.1
44.8
42.8
52.9
July 18, 2023
V
Analytics Office
Derivatives
Table 22: Aggregate Derivative Value ($ Billions)
As reported on Form PF, Questions 13 and 44 (Third Month).
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Qualifying Hedge Fund
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
2021Q1
15,204
13,429
66
138
34
18
3
***
***
***
15,472
2021Q2
16,252
14,363
66
134
34
18
3
***
***
***
16,500
2021Q3
15,822
14,416
66
133
34
18
3
***
***
***
16,028
2021Q4
15,430
14,072
70
118
52
41
5
***
***
***
15,692
2022Q1
15,866
14,268
69
110
54
41
5
***
***
***
16,050
2022Q2
14,941
13,256
69
110
54
41
5
***
***
0
15,173
2022Q3
14,489
12,922
71
112
54
41
5
***
***
0
14,730
2022Q4
14,922
13,050
158
105
73
72
***
0
***
0
15,302
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
2021Q1
316.1
359.4
1.5
10.5
1.0
2.9
1.3
***
***
***
131.8
2021Q2
316.8
354.3
1.6
10.0
1.0
2.9
1.2
***
***
***
136.3
2021Q3
309.6
346.4
1.6
10.4
1.0
2.9
1.2
***
***
***
133.5
20
2021Q4
300.8
336.1
1.2
7.6
1.2
5.6
1.8
***
***
***
111.6
2022Q1
308.2
344.3
1.2
7.0
1.2
5.6
1.8
***
***
***
113.9
2022Q2
304.2
342.4
1.2
7.1
1.2
5.6
1.8
***
***
0.0
109.5
2022Q3
298.8
343.3
1.2
7.3
1.2
5.5
1.8
***
***
0.0
106.9
2022Q4
310.1
344.9
2.6
7.5
1.5
8.4
***
0.1
***
0.0
109.1
July 18, 2023
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
2021Q1
0.0
0.0
0.0
0.2
1.4
1.1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q1
0.0
0.0
0.3
2.0
11.2
5.9
All Private Funds ($ Billions)
2021Q2 2021Q3 2021Q4 2022Q1 2022Q2
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
1.4
1.3
1.4
1.3
1.2
1.2
1.1
1.1
1.1
1.1
Qualifying Hedge Funds ($ Billions)
2021Q2 2021Q3 2021Q4 2022Q1 2022Q2
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
1.8
1.6
1.7
1.6
1.7
10.6
10.1
10.4
9.3
9.5
6.2
6.0
5.5
5.8
5.4
2022Q3
0.0
0.0
0.0
0.2
1.1
1.0
2022Q4
0.0
0.0
0.0
0.2
1.2
1.0
2022Q3
0.0
0.0
0.3
1.6
8.5
5.1
2022Q4
0.0
0.0
0.3
1.6
8.2
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
2021Q1
8,200
45
6
2021Q2
8,313
49
6
2021Q3
8,213
49
6
2021Q4
8,389
49
8
2022Q1
8,527
52
8
2022Q2
8,615
53
8
2022Q3
8,674
50
8
2022Q4
8,693
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
2021Q1
4,672
103
4
2021Q2
4,986
112
4
2021Q3
4,958
117
5
2021Q4
4,995
115
6
21
2022Q1
4,995
128
7
2022Q2
4,755
127
8
2022Q3
4,681
135
8
2022Q4
4,660
128
9
July 18, 2023
B
Analytics Office
Industry Concentration
Table 26: Percent of Aggregate Hedge Fund Net Asset Value
Reported by Top Hedge Funds Sorted by Net Asset Value
As reported on Form PF, Questions 9 and 10.
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2021Q1
7.1
13.3
19.5
27.8
42.7
56.1
2021Q2
7.0
13.0
19.1
27.5
42.2
55.9
2021Q3
7.3
13.3
19.4
27.9
42.7
56.2
2021Q4
7.3
13.3
19.3
27.6
42.2
55.7
2022Q1
7.6
13.5
19.5
27.6
41.9
55.5
2022Q2
7.8
13.5
19.5
27.3
41.5
54.8
2022Q3
8.1
13.7
19.6
27.6
41.6
54.9
2022Q4
7.8
13.3
19.1
27.0
41.2
54.6
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
2021Q1
14.1
22.8
31.6
40.4
54.2
65.8
2021Q2
14.8
23.7
32.2
40.8
54.2
65.7
2021Q3
16.2
25.2
33.5
42.3
55.4
66.8
2021Q4
16.2
25.3
33.5
41.9
54.9
66.3
2022Q1
15.8
25.6
33.6
41.9
54.5
66.1
2022Q2
16.7
26.1
34.1
42.4
54.7
66.0
2022Q3
16.9
25.7
33.8
42.4
54.7
65.9
2022Q4
17.7
26.4
34.5
43.1
55.2
66.3
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
2021Q1
32.4
47.1
59.7
71.0
83.1
90.7
2021Q2
31.7
47.5
60.2
70.7
83.0
90.8
2021Q3
32.2
48.0
60.5
71.1
83.2
90.9
2021Q4
34.7
49.3
61.4
72.1
83.3
90.9
22
2022Q1
34.1
48.6
61.0
71.5
83.4
90.8
2022Q2
34.6
50.1
61.7
72.0
83.1
90.5
2022Q3
34.1
50.2
62.0
72.4
83.4
90.6
2022Q4
36.5
51.1
63.4
73.7
84.2
91.0
July 18, 2023
Analytics Office
Table 29: Percent of Aggregate Hedge Fund Derivative Value
Reported by Top Hedge Funds Sorted by Derivative Value
As reported on Form PF, Questions 13 and 44 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2021Q1
41.5
56.5
67.8
78.0
89.2
94.9
2021Q2
39.5
55.0
67.3
78.2
89.3
95.0
2021Q3
40.9
57.0
69.4
79.6
90.4
95.5
2021Q4
41.3
55.8
67.7
78.4
89.7
95.2
2022Q1
38.3
55.3
67.9
79.2
90.3
95.4
2022Q2
39.3
55.6
67.4
78.9
90.0
95.2
2022Q3
40.7
56.0
68.2
79.7
90.2
95.3
2022Q4
38.3
55.4
68.8
80.3
90.6
95.5
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
2021Q1
36.7
50.2
60.6
71.3
83.4
91.3
2021Q2
34.8
48.5
59.6
70.0
82.8
90.9
2021Q3
35.1
49.8
60.8
71.0
83.4
91.1
2021Q4
35.5
48.7
59.9
70.2
82.6
90.7
23
2022Q1
34.7
48.7
60.1
70.9
82.9
90.8
2022Q2
34.6
49.2
60.6
70.9
82.8
90.5
2022Q3
34.6
49.8
60.9
71.7
83.3
90.8
2022Q4
34.3
50.1
61.5
72.6
84.0
91.1
July 18, 2023
C
Analytics Office
Single-Strategy US-Domiciled Hedge Funds
Table 31: Exposures of Single-Strategy US-Domiciled Hedge Funds ($ Billions)
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Other
Credit
Event Driven
Relative Value
Investment in other funds
Macro
Managed Futures/CTA
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
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
2021Q1
642
288
329
25
1
561
122
55
67
56
37
12
6
49
29
9
8
1
1
31
13
10
***
***
***
6
***
***
1,314
2021Q2
666
310
327
28
1
589
126
57
68
61
41
14
6
48
28
9
8
1
1
32
13
9
***
***
***
6
***
***
1,369
24
2021Q3
654
307
319
27
1
595
134
62
72
66
47
13
6
49
30
9
7
1
1
32
13
10
3
***
***
6
***
***
1,383
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
2022Q2
589
280
273
***
***
648
144
72
72
75
47
18
10
56
32
11
9
3
2
33
15
10
4
***
***
6
***
***
1,386
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
552
272
252
28
1
655
163
86
77
83
50
26
7
59
37
11
7
3
2
32
14
9
4
***
***
6
***
***
1,385
July 18, 2023
Analytics Office
Table 32: Number of Single-Strategy US-Domiciled Hedge Funds
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Other
Credit
Event Driven
Relative Value
Investment in other funds
Macro
Managed Futures/CTA
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
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
2021Q1
1,024
441
534
46
11
979
357
185
175
231
161
53
21
177
95
50
18
13
17
239
46
24
***
***
***
27
***
***
2,853
2021Q2
1,031
451
528
46
11
1,003
366
193
176
239
165
56
22
174
95
45
19
12
16
233
46
24
***
***
***
27
***
***
2,908
25
2021Q3
1,035
458
527
45
11
1,017
373
198
178
236
166
52
21
174
96
48
18
11
15
238
43
22
13
***
***
24
***
***
2,931
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
394
200
197
259
179
60
21
189
93
54
22
19
14
260
48
19
17
***
***
24
***
***
3,175
2022Q2
1,153
475
624
***
***
1,093
404
197
210
270
189
60
21
198
99
59
23
20
19
261
48
19
17
***
***
23
***
***
3,216
2022Q3
1,156
474
627
51
9
1,114
422
207
218
276
195
61
21
201
100
58
26
20
19
257
45
19
16
***
***
22
***
***
3,265
2022Q4
1,139
496
589
47
13
1,173
431
214
220
298
212
68
19
212
107
58
26
18
18
306
44
18
15
***
***
23
***
***
3,358
July 18, 2023
D
Analytics Office
Single-Strategy Non-US-Domiciled Hedge Funds
Table 33: Exposures of Single-Strategy Non-US-Domiciled Hedge Funds ($ Billions)
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Other
Relative Value
Macro
Credit
Managed Futures/CTA
Event Driven
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Asset Backed
Volatility Arb.
F.I. Corp.
F.I. Conv. Arb.
Subtotal
Global Macro
Commodity
Currency
Active Trading
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Total
2021Q1
1,160
779
296
***
***
656
410
274
80
17
24
15
376
365
7
***
***
247
185
62
167
***
***
168
103
29
35
35
2,205
2021Q2
1,280
830
357
***
***
745
423
283
78
19
27
16
401
389
9
***
***
303
238
66
201
***
***
182
110
31
41
34
2,415
26
2021Q3
1,275
825
360
***
***
761
445
299
79
22
28
17
381
369
8
***
***
325
229
96
233
***
***
178
112
33
33
35
2,464
2021Q4
1,270
813
356
***
***
767
456
315
77
22
27
16
261
250
8
***
***
287
210
77
209
***
***
185
117
35
33
33
2,432
2022Q1
1,143
728
321
***
***
776
434
284
75
24
28
22
280
269
8
***
***
297
217
81
231
***
***
185
120
34
30
33
2,390
2022Q2
1,015
647
280
***
***
736
442
309
75
27
18
13
299
288
8
***
***
290
207
83
206
***
***
180
120
30
30
30
2,215
2022Q3
962
617
259
***
***
715
409
283
74
23
17
12
321
306
6
***
***
309
219
89
240
***
***
173
119
25
29
30
2,140
2022Q4
1,013
665
261
***
***
758
369
248
71
20
17
12
320
307
7
***
***
314
221
93
190
***
***
166
117
28
21
27
2,145
July 18, 2023
Analytics Office
Table 34: Number of Single-Strategy Non-US-Domiciled Hedge Funds
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Other
Relative Value
Macro
Credit
Managed Futures/CTA
Event Driven
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Asset Backed
Volatility Arb.
F.I. Corp.
F.I. Conv. Arb.
Subtotal
Global Macro
Commodity
Currency
Active Trading
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Total
2021Q1
1,050
609
342
***
***
826
305
57
149
26
92
27
212
162
40
***
***
342
242
103
118
***
***
313
218
82
43
130
3,099
2021Q2
1,084
612
375
***
***
881
307
55
151
25
98
25
211
161
38
***
***
358
254
107
120
***
***
318
220
80
48
104
3,180
27
2021Q3
1,072
607
379
***
***
857
304
54
147
25
98
27
206
159
34
***
***
356
249
111
123
***
***
321
223
79
47
102
3,131
2021Q4
1,093
630
391
***
***
853
304
60
149
27
91
24
209
161
42
***
***
353
248
108
108
***
***
310
214
74
48
103
3,103
2022Q1
1,097
631
394
***
***
875
302
59
146
26
92
25
213
167
40
***
***
368
260
111
113
***
***
316
221
70
50
101
3,158
2022Q2
1,096
631
388
***
***
892
301
59
148
25
88
26
212
171
38
***
***
370
260
113
120
***
***
318
223
70
49
104
3,185
2022Q3
1,093
629
385
***
***
881
305
61
150
24
90
24
214
169
39
***
***
381
267
117
121
***
***
314
223
69
47
108
3,186
2022Q4
1,068
598
385
***
***
914
294
60
139
29
87
24
215
163
45
***
***
378
267
114
125
***
***
313
219
75
43
106
3,195
July 18, 2023
VII
A
Analytics Office
Information Reported by Large Hedge
Fund Advisers
Economic Leverage
Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 3(a) and 26.
2-1
2-1
202
202
202
2
2-1
1.0
1.2
1.8
3.5
8.7
4.2
2
1
0.9
1.1
1.8
3.4
8.8
3.9
202
202
2-1
1.0
1.1
1.8
3.1
7.8
3.6
202
2-0
202
1.0
1.2
1.9
3.3
8.2
3.8
202
2-1
0
1.0
1.2
1.9
3.2
8.6
3.8
9
1.0
1.1
1.7
3.1
7.7
3.6
2-0
2-0
202
1.0
1.2
1.9
3.4
8.6
4.0
202
2-0
2-0
1.0
1.2
1.9
3.5
8.3
4.0
202
4
202
2-0
3
2-0
1.0
1.1
1.8
3.3
7.8
3.8
2-0
1.0
1.2
1.9
3.5
8.5
3.9
202
2
2-0
2-0
202
202
1.0
1.2
1.9
3.5
8.2
4.0
-12
202
2-0
9
28
1.0
1.1
1.9
3.3
8.2
3.9
1
2
202
1-1
1
1-1
1.0
1.2
1.9
3.5
8.9
4.1
1
202
2-0
8
1.0
1.2
1.9
4.1
12.6
6.1
0
202
2-0
7
1.0
1.3
2.1
4.5
14.7
7.4
8
202
2-0
6
1.0
1.2
2.0
4.5
14.3
6.6
7
202
2-0
5
1.0
1.2
2.0
3.9
11.4
5.7
6
202
1.0
1.3
2.1
4.2
13.4
6.2
5
202
2-0
3
1.0
1.3
2.1
4.3
12.6
6.0
4
202
2-0
2
1.0
1.2
2.0
4.1
11.4
5.7
1.0
1.2
1.9
3.6
8.9
4.1
1-1
2
202
2-0
1
1.0
1.3
2.1
4.4
13.2
6.5
202
1.0
1.3
2.1
4.4
12.1
6.2
202
1-1
1
1.0
1.2
2.1
4.1
12.3
6.2
1-1
0
1.0
1.3
2.1
4.5
13.9
6.6
202
1.0
1.1
1.9
3.4
8.3
4.0
1.0
1.0
1.0
1.0
1.3
1.3
1.2
1.2
2.1
2.1
2.1
2.1
4.5
4.4
4.1
4.4
14.3 14.3 12.7 14.5
7.2
7.3
6.7
6.4
Excluding IRDs
202
9
1.0
1.1
1.9
3.5
8.4
4.0
202
202
1-0
0.9
1.2
1.9
3.5
8.1
3.9
1-0
8
1.0
1.1
1.9
3.4
8.2
3.9
202
1
0.9
1.1
1.9
3.5
8.1
3.9
1-0
6
0.9
1.1
1.9
3.4
7.9
3.8
202
-04
202
1-0
1.0
1.1
1.8
3.3
7.8
3.9
202
1
1-0
202
2
1-0
1-0
202
0.9
1.2
1.9
3.4
8.4
4.0
9
1.0
1.2
2.0
4.1
12.9
6.8
1-1
0
1.0
1.2
2.1
4.4
14.5
7.0
202
8
202
1-0
1.0
1.2
2.1
4.4
13.2
6.7
0.9
1.1
1.8
3.3
8.1
3.8
1-0
7
1.0
1.2
2.1
4.2
12.9
6.5
-07
202
1-0
6
202
5
1.0
1.2
2.1
4.4
13.8
7.1
1-0
202
0.9
1.2
2.1
4.4
12.1
6.5
5
202
1-0
3
1.0
1.3
2.0
4.3
11.6
6.1
202
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1-0
4
202
1.0
1.3
2.1
4.6
12.6
6.5
3
202
1-0
1-0
2
202
0.9
1.2
2.0
4.2
12.0
6.1
1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
1
-01
Including Interest Rate Derivatives (IRDs)
1.0
1.1
1.8
3.3
7.7
3.8
July 18, 2023
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
1
2
2-1
202
2 -1
0.0
0.2
0.5
1.5
4.1
1.7
0.0
0.2
0.5
1.4
4.7
1.9
0.0
0.2
0.5
1.3
3.7
1.5
-12
-12
1
1
0.1
0.2
0.6
2.1
8.4
3.6
0.9
1.1
1.4
2.2
4.6
2.4
0.0
0.2
0.6
2.0
7.5
3.0
202
2-1
2
1
0.1
0.2
0.6
2.1
8.1
3.1
202
2
2-1
2-1
0.1
0.2
0.6
2.0
6.7
2.6
0.9
1.1
1.5
2.5
7.1
3.7
202
2
0
2-1
202
0
2-1
202
2-1
0
0.9
1.1
1.5
2.3
4.9
2.6
202
9
202
202
0.9
1.1
1.4
2.3
4.8
2.5
202
202
2-0
9
0.9
1.1
1.5
2.7
8.2
4.3
202
2-1
0.0
0.2
0.5
1.4
3.8
1.6
0.9
1.1
1.5
2.6
7.4
3.9
202
2-1
0
0.0
0.2
0.5
1.4
4.1
1.5
0.0
0.2
0.5
1.4
4.0
1.5
2-0
2-0
8
202
2-0
9
8
0.1
0.2
0.6
2.0
7.9
2.7
202
2-0
0.1
0.2
0.7
2.0
7.4
2.7
0.9
1.0
1.4
2.1
4.5
2.3
202
-07
202
2-0
8
7
2-0
0.9
1.1
1.5
2.2
4.8
2.4
202
202
0.9
1.1
1.5
2.2
4.7
2.4
202
0.9
1.1
1.5
2.4
7.1
3.4
2-0
7
2-0
6
0.9
1.1
1.6
2.5
7.6
3.7
202
6
2-0
202
5
0.9
1.2
1.6
2.6
7.5
3.6
0.1
0.2
0.6
2.0
6.4
2.8
202
5
0.0
0.2
0.5
1.4
4.2
1.7
202
2
202
6
2-0
202
5
2-0
0.9
1.0
1.4
2.1
4.4
2.3
2-0
0.1
0.2
0.6
2.1
7.4
3.0
2-0
4
2-0
5
202
2-0
4
202
2-0
4
0.9
1.1
1.5
2.5
6.4
3.4
202
2-0
-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
3
202
3
202
202
3
2-0
0.0
0.2
0.5
1.4
3.7
1.6
0.1
0.2
0.6
2.0
6.7
3.0
202
2
2-0
202
2
0.1
0.2
0.6
2.0
6.7
2.9
202
0.0
0.2
0.5
1.5
4.1
1.7
0.9
1.1
1.5
2.3
5.1
2.5
3
2-0
2
2-0
2-0
0.9
1.1
1.4
2.2
4.8
2.5
0.9
1.1
1.6
2.6
7.4
3.8
2-0
9
0.0
0.2
0.5
1.5
4.2
1.8
0.9
1.1
1.6
2.6
7.2
3.8
202
2-0
8
0.0
0.1
0.5
1.3
4.2
1.8
202
2-0
1
1-1
2
1
0
1-1
202
0.0
0.1
0.5
1.5
4.4
1.8
202
2-0
2
2-0
2
2-0
202
2-0
1
2
202
1-1
1
-10
1-1
202
202
202
1-1
0.0
0.2
0.5
1.5
4.3
1.8
202
1
2-0
202
202
1-1
2
1
-10
1-1
202
202
1-0
9
202
1
202
1
1-0
9
0.0
0.1
0.5
1.4
3.9
1.7
202
1-0
9
0.0
0.1
0.1
0.0
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
0.6
1.9
2.0
2.0
1.9
1.9
2.1
7.5
8.1
8.3
7.3
8.1
7.2
3.3
3.6
3.8
3.4
3.1
3.2
Short Exposure Excluding IRDs
1.0
1.1
1.5
2.5
6.8
3.8
202
1
2-0
202
202
2
1
1-1
1-1
202
-09
1-1
0
202
202
202
1
202
0.9
0.9
0.9
1.0
0.9
0.9
1.1
1.1
1.1
1.1
1.1
1.1
1.4
1.5
1.5
1.5
1.5
1.5
2.3
2.3
2.3
2.2
2.3
2.3
4.7
5.0
5.0
4.5
4.6
4.9
2.5
2.6
2.6
2.6
2.5
2.5
Short Exposure Including IRDs
202
-08
0.0
0.1
0.5
1.4
4.1
1.7
1.0
0.9
0.9
1.0
0.9
0.9
1.1
1.1
1.1
1.1
1.1
1.1
1.5
1.6
1.5
1.5
1.6
1.5
2.6
2.7
2.7
2.6
2.6
2.7
6.5
7.3
7.6
7.0
7.4
7.4
4.0
4.2
4.2
3.9
3.7
3.9
Long Exposure Excluding IRDs
202
1-0
8
1-0
8
0.1
0.2
0.6
2.0
7.7
3.5
1-0
8
1-0
7
-06
202
1
202
-07
0.0
0.1
0.5
1.4
3.9
1.7
0.9
1.1
1.4
2.3
5.2
2.5
202
-07
-07
0.1
0.2
0.6
2.1
7.1
3.3
0.9
1.1
1.5
2.7
7.9
4.1
202
202
202
1
202
1
1-0
6
1-0
6
0.0
0.1
0.5
1.5
3.8
1.6
0.9
1.1
1.4
2.3
5.0
2.5
202
1
202
202
0.0
0.2
0.6
2.0
7.2
3.2
0.9
1.1
1.5
2.7
7.4
3.9
202
2-0
7
0.0
0.1
0.5
1.5
3.8
1.7
0.9
1.1
1.5
2.3
4.9
2.4
202
1-0
5
1-0
5
0.1
0.2
0.7
2.2
6.7
3.4
1-0
6
202
1
-05
202
1
1-0
5
202
-04
0.0
0.1
0.5
1.4
3.9
1.6
0.9
1.1
1.5
2.4
4.8
2.4
202
-04
1-0
3
0.0
0.1
0.5
1.4
4.1
1.8
4
0.0
0.2
0.6
2.0
6.6
3.1
0.9
1.1
1.5
2.7
6.9
3.9
202
3
1-0
4
202
1-0
1-0
3
1-0
3
202
1
202
0.0
0.2
0.6
2.1
6.1
3.1
202
1-0
2
1-0
0.0
0.1
0.5
1.5
4.0
1.8
0.9
1.1
1.4
2.3
4.7
2.4
0.9
1.1
1.6
2.8
7.4
4.1
2-0
6
0.0
0.1
0.5
1.4
3.8
1.7
202
1-0
202
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.9
1.1
1.5
2.7
6.9
3.8
202
1
2
0.0
0.2
0.6
2.1
6.8
3.0
202
2
2
202
1-0
1-0
202
0.1
0.2
0.6
1.9
6.5
2.9
1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.9
1.1
1.4
2.2
4.9
2.5
202
0.9
1.1
1.4
2.3
5.0
2.5
0.9
1.1
1.5
2.7
6.7
3.6
202
1-0
1-0
1-0
1-0
202
0.9
1.0
1.4
2.2
4.9
2.4
0.9
1.1
1.5
2.9
7.2
3.8
1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
202
0.9
1.1
1.5
2.6
7.0
3.6
1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
1
Long Exposure Including IRDs
0.0
0.1
0.5
1.5
4.3
1.7
July 18, 2023
B
Analytics Office
Industry Concentration
Table 35: Large Hedge Fund Adviser Asset and Exposure Concentration
(Percent of Total Reported)
As reported on Form PF, Questions 3(a) and 26.
Month
2021-01
2021-02
2021-03
2021-04
2021-05
2021-06
2021-07
2021-08
2021-09
2021-10
2021-11
2021-12
2022-01
2022-02
2022-03
2022-04
2022-05
2022-06
2022-07
2022-08
2022-09
2022-10
2022-11
2022-12
Top 10 Advisers (NAV)
16.2
16.2
16.2
16.3
16.3
16.3
16.3
17.0
17.0
17.1
17.1
17.1
17.5
16.8
16.8
17.1
17.2
17.2
17.5
17.5
17.5
17.4
17.4
17.4
Top 20 Advisers (NAV)
26.2
26.2
26.2
26.5
26.5
26.5
26.6
27.5
27.5
27.4
27.4
27.4
28.2
27.3
27.3
28.0
28.1
28.1
28.3
28.3
28.3
28.2
28.2
28.2
30
Top 10 Advisers (GNE)
40.2
42.1
41.4
40.7
40.4
40.0
40.7
39.3
38.8
38.4
38.5
38.2
39.0
38.5
38.3
42.8
42.5
38.4
39.4
39.3
39.1
38.2
39.1
39.0
Top 20 Advisers (GNE)
55.7
57.5
55.8
55.5
55.7
54.8
56.9
56.3
55.7
56.4
56.5
54.9
55.4
55.8
55.2
57.6
58.4
55.2
57.5
57.9
56.9
56.6
58.6
56.5
July 18, 2023
C
Analytics Office
Portfolio Turnover
Table 36: Aggregate Portfolio Turnover ($ Billions)
As reported on Form PF, Question 27.
Month
2021-01
2021-02
2021-03
2021-04
2021-05
2021-06
2021-07
2021-08
2021-09
2021-10
2021-11
2021-12
2022-01
2022-02
2022-03
2022-04
2022-05
2022-06
2022-07
2022-08
2022-09
2022-10
2022-11
2022-12
Futures
10,690
17,637
18,604
9,445
13,934
16,641
11,986
13,952
15,988
19,432
17,055
14,329
16,568
21,266
23,015
16,025
19,479
22,129
19,117
23,968
29,032
20,479
25,693
25,184
Sov. and muni. bonds
4,417
5,555
5,492
4,022
4,403
5,152
5,097
5,423
5,468
5,646
6,181
4,656
5,313
6,327
5,986
4,574
5,143
4,903
4,389
5,152
4,931
4,372
5,199
4,522
Listed equities
3,454
3,460
4,130
3,210
3,375
3,678
3,158
3,100
3,436
3,403
3,775
3,842
3,948
3,792
4,526
3,676
4,252
3,892
3,022
3,433
3,531
4,302
4,375
4,027
Corporate bonds
176
175
189
173
157
151
142
140
167
182
164
120
188
292
255
223
339
312
318
236
205
185
201
149
Convertible bonds
58
63
63
51
44
48
29
39
54
38
53
38
40
35
36
27
30
24
17
29
25
32
29
19
Total
18,794
26,891
28,477
16,902
21,912
25,671
20,411
22,654
25,112
28,701
27,228
22,986
26,056
31,712
33,818
24,525
29,242
31,261
26,862
32,819
37,724
29,370
35,497
33,902
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
13.2
7.0
0.0
0.1
0.5
2.3
14.1
8.3
0.0
0.1
0.5
2.5
15.7
8.9
0.0
0.1
0.4
2.0
13.0
7.0
0.0
0.1
0.5
2.2
15.0
7.6
0.0
0.1
0.4
2.1
14.4
10.5
0.0
0.1
0.3
1.6
11.6
5.7
0.0
0.1
0.4
1.9
13.7
7.0
0.0
0.1
0.4
2.0
14.5
8.0
0.0
0.1
0.4
2.0
12.9
6.9
0.0
0.1
0.4
2.2
16.7
8.6
0.0
0.1
0.3
1.7
13.8
9.3
2-1
2-1
2-0
1-1
1-0
-12
0.0
0.1
0.4
1.7
13.6
6.4
1
202
2
2-1
2
1
202
0
2-1
0.0
0.1
0.4
1.9
16.7
8.0
0
202
2-1
202
9
202
202
2-0
202
202
2-0
9
-08
202
2
8
2-0
202
0.0
0.1
0.3
1.6
14.3
7.3
-06
202
0.0
0.1
0.4
1.6
15.4
7.2
31
2-0
7
2-0
6
202
2-0
7
5
202
2
202
202
2
0.0
0.1
0.3
1.7
12.5
7.0
-05
202
2-0
-04
202
2-0
3
0.0
0.1
0.3
1.6
13.7
6.5
4
202
2-0
2
202
3
2-0
1
202
0.0
0.1
0.4
1.8
16.6
7.1
1-1
2
0.0
0.1
0.4
2.0
13.7
6.0
-11
0.0
0.1
0.3
1.7
11.7
4.6
0
0.0
0.1
0.5
2.6
19.2
8.3
6
0.0
0.1
0.4
2.1
15.7
7.6
3
0.0
0.1
0.5
2.0
13.7
5.9
-02
202
202
2
2
0.0
0.2
0.8
5.3
42.7
44.0
202
1
2-0
0.0
0.2
1.0
6.2
47.6
43.9
202
2-0
0.0
0.2
0.9
5.1
47.9
40.1
202
1-0
9
202
0.0
0.2
0.9
5.5
63.4
52.6
-07
202
0.0
0.2
1.1
5.3
50.1
46.7
202
1-0
8
202
0.0
0.2
0.9
4.6
38.7
38.8
202
1
0.0
0.2
1.0
5.5
52.4
45.3
5
0.1
0.3
1.2
6.6
45.2
42.6
202
1-0
0.0
0.2
1.0
5.6
38.9
36.0
4
0.1
0.3
1.4
7.1
54.4
48.8
202
1-0
202
2
0.1
0.0
0.1
0.1
0.1
0.1
0.2
0.2
0.3
0.2
0.2
0.3
1.0
0.9
1.1
1.0
1.1
1.1
5.6
5.2
6.7
5.8
6.2
6.6
47.5 48.7 46.5 44.8 46.4 53.8
36.9 39.9 38.6 31.9 38.6 49.1
Total Turnover to NAV Ratio
1-1
0.0
0.2
0.9
5.2
46.0
34.3
1-0
202
2-0
1
202
1-0
9
0
202
1-0
8
0.1
0.2
0.8
5.0
42.3
30.9
1-1
-07
202
1
0.1
0.3
1.1
6.5
50.0
38.3
202
202
1-1
1
5
202
1-0
0.1
0.3
1.1
5.7
45.2
32.2
202
6
4
202
1-0
3
1-0
0.1
0.2
0.9
5.1
36.3
25.8
1-0
202
0.1
0.3
1.4
7.5
56.8
41.8
1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
-02
202
0.1
0.3
1.2
6.3
49.4
40.2
202
1
1
202
1
0.1
0.3
1.2
6.2
44.1
29.4
202
1-0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
1-0
Total Turnover ($ Billions)
July 18, 2023
D
Analytics Office
Region and Country Exposure
Table 37: Large Hedge Fund Adviser Hedge Fund
Region Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.
Region
North America
Europe EEA
Asia
Europe Other
South America
Supranational
Middle East
Africa
2021Q1
5,271
1,353
782
291
84
45
28
34
2021Q2
5,579
1,487
816
313
91
47
54
38
2021Q3
5,837
1,594
800
313
86
51
31
32
2021Q4
5,931
1,478
767
305
86
48
30
26
2022Q1
5,851
1,633
716
416
92
42
27
28
2022Q2
5,581
1,480
713
324
81
38
26
22
2022Q3
5,424
1,433
737
336
81
32
46
21
2022Q4
5,549
1,659
750
359
86
27
26
24
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
2021Q1
127.8
32.8
19.0
7.1
2.0
1.1
0.7
0.8
2021Q2
127.6
34.0
18.7
7.2
2.1
1.1
1.2
0.9
2021Q3
128.4
35.1
17.6
6.9
1.9
1.1
0.7
0.7
2021Q4
130.9
32.6
16.9
6.7
1.9
1.1
0.7
0.6
32
2022Q1
132.1
36.9
16.2
9.4
2.1
0.9
0.6
0.6
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
2022Q4
134.0
40.1
18.1
8.7
2.1
0.7
0.6
0.6
July 18, 2023
Analytics Office
Table 39: Large Hedge Fund Adviser Hedge Fund
Country Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.
Country
United States
Japan
China (Inc. Hong Kong)
India
Brazil
Russia
2021Q1
5,014
209
280
46
33
16
2021Q2
5,284
219
284
52
43
18
2021Q3
5,472
233
251
53
33
16
2021Q4
5,540
217
239
51
33
16
2022Q1
5,541
213
204
48
39
5
2022Q2
5,286
240
198
47
34
5
2022Q3
5,146
266
174
49
34
5
2022Q4
5,278
337
171
44
34
3
2022Q3
124.7
6.4
4.2
1.2
0.8
0.1
2022Q4
127.5
8.1
4.1
1.1
0.8
0.1
Table 40: Large Hedge Fund Adviser Hedge Fund
Country Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.
Country
United States
Japan
China (Inc. Hong Kong)
India
Brazil
Russia
2021Q1
121.6
5.1
6.8
1.1
0.8
0.4
2021Q2
120.9
5.0
6.5
1.2
1.0
0.4
2021Q3
120.4
5.1
5.5
1.2
0.7
0.3
33
2021Q4
122.3
4.8
5.3
1.1
0.7
0.3
2022Q1
125.1
4.8
4.6
1.1
0.9
0.1
2022Q2
125.0
5.7
4.7
1.1
0.8
0.1
July 18, 2023
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.
1.0
1.1
1.7
3.2
7.7
3.4
1.0
1.1
1.6
2.9
6.9
3.2
1.0
1.2
1.7
2.8
7.0
3.2
1.0
1.1
1.7
2.8
6.7
3.2
1.0
1.1
1.6
2.7
6.2
3.1
2-1
202
1.0
1.1
1.7
2.9
7.6
3.4
1.0
1.1
1.6
2.9
7.2
3.3
-1 2
202
2
2-1
202
202
8
2-0
202
2-0
202
2-0
202
5
2-0
1.0
1.1
1.6
2.6
6.7
3.1
-12
202
2
1.0
1.2
1.9
3.6
10.0
4.9
1.0
1.1
1.7
2.9
6.9
3.3
1
2-1
202
1.1
1.3
1.9
3.9
11.0
5.4
1
2-1
202
1.1
1.3
2.0
4.2
12.1
5.5
202
2-0
202
1.0
1.1
1.7
2.9
6.8
3.1
0
202
2 -0
9
1.0
1.2
1.9
3.6
9.4
4.9
0
202
2 -0
8
1.1
1.3
1.9
3.9
10.7
5.3
2-0
9
202
2-0
7
1.1
1.3
2.0
4.0
10.9
5.2
7
202
2-0
6
1.0
1.2
1.9
3.7
10.2
5.1
6
4
2-0
202
2-0
5
202
1.1
1.3
2.0
3.9
10.8
5.4
4
1.1
1.3
2.0
3.8
9.9
5.2
3
2-0
202
2
202
2 -0
3
1.0
1.1
1.8
3.2
7.5
3.5
2-0
2-0
1
202
2 -0
2
34
1.0
1.1
1.7
2.9
6.8
3.2
202
1 -1
2
1.0
1.2
1.7
3.3
7.6
3.5
202
202
202
1-1
1-1
2
1
202
1-1
1
202
2-0
1
1.0
1.1
1.7
3.2
7.9
3.5
202
1-1
0
1.0
1.2
1.9
3.6
9.7
5.2
202
9
9
1.0
1.1
1.6
3.1
7.1
3.3
1.1
1.3
2.0
4.1
11.8
5.8
1-1
0
202
1-0
1.0
1.1
1.6
3.1
7.4
3.3
1.1
1.1
1.0
1.1
1.3
1.3
1.2
1.3
1.9
2.0
1.9
2.0
4.0
4.2
3.5
4.1
11.7 12.2 10.8 11.5
6.2
6.4
5.2
5.7
Excluding IRDs
202
8
202
1-0
1-0
8
1.0
1.1
1.7
3.2
7.1
3.4
202
1-0
7
202
1-0
1.0
1.1
1.6
3.1
7.2
3.4
202
1
1-0
6
202
1-0
1.0
1.1
1.7
3.3
7.5
3.6
202
1-0
4
1.0
1.2
1.7
3.2
7.4
3.5
202
3
1-0
1-0
202
202
1.0
1.1
1.7
3.0
6.8
3.3
-07
1.0
1.3
1.9
3.7
10.7
5.4
1.0
1.1
1.7
3.2
7.2
3.4
6
202
1.1
1.2
1.9
3.8
11.7
5.7
1.0
1.2
1.7
3.1
7.2
3.4
5
202
1.1
1.3
1.9
3.9
11.4
5.6
1-0
202
1-0
1.0
1.3
1.9
3.8
11.7
5.6
5
1.1
1.3
2.0
4.2
13.0
6.3
202
1-0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
3
1.1
1.3
2.0
4.2
12.5
6.1
1-0
4
202
1.0
1.2
1.9
3.8
10.8
5.4
2
202
1-0
1
202
1.1
1.3
2.0
4.2
11.3
5.8
1-0
202
1.1
1.3
2.0
4.1
11.3
5.7
1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1-0
2
Including Interest Rate Derivatives (IRDs)
1.0
1.1
1.6
2.9
6.7
3.2
July 18, 2023
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
1
2
2-1
202
2 -1
0.0
0.1
0.4
1.5
3.9
1.5
0.0
0.1
0.4
1.4
4.0
1.5
0.0
0.1
0.4
1.3
3.4
1.3
-12
-12
1
1
0.0
0.2
0.6
1.9
6.4
2.7
1.0
1.0
1.3
2.1
4.0
2.1
0.0
0.2
0.5
1.8
6.1
2.4
202
2-1
2
1
0.0
0.2
0.6
2.0
6.3
2.5
202
2
2-1
2-1
0.0
0.2
0.6
1.7
5.5
2.3
1.0
1.1
1.5
2.4
5.5
3.0
202
2
0
2-1
202
0
2-1
202
2-1
0
1.0
1.1
1.4
2.1
4.1
2.2
202
9
202
202
1.0
1.1
1.4
2.2
4.3
2.2
202
202
2-0
9
1.0
1.1
1.5
2.5
6.1
3.3
202
2-1
0.0
0.1
0.4
1.3
3.5
1.4
1.0
1.2
1.5
2.6
6.5
3.4
202
2-1
0
0.0
0.1
0.4
1.3
3.7
1.3
0.0
0.1
0.4
1.3
3.6
1.3
2-0
2-0
8
202
2-0
9
8
0.0
0.2
0.6
1.9
6.3
2.6
202
2-0
0.0
0.2
0.6
1.9
6.0
2.4
1.0
1.0
1.3
2.0
3.8
2.0
202
-07
202
2-0
8
7
2-0
1.0
1.1
1.4
2.1
4.0
2.2
202
202
1.0
1.1
1.4
2.1
4.0
2.2
202
1.0
1.1
1.5
2.4
5.2
3.0
2-0
7
2-0
6
1.0
1.1
1.5
2.5
5.7
3.2
202
6
2-0
202
5
1.0
1.2
1.5
2.6
6.0
3.2
0.0
0.2
0.5
1.8
5.9
2.4
202
5
0.0
0.1
0.4
1.4
3.9
1.4
202
2
202
6
2-0
202
5
2-0
1.0
1.0
1.3
2.0
3.8
2.1
2-0
0.0
0.2
0.5
1.9
6.2
2.5
2-0
4
2-0
5
202
2-0
4
202
2-0
4
1.0
1.1
1.5
2.4
5.4
3.0
202
2-0
-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
3
202
3
202
202
3
2-0
0.0
0.1
0.4
1.4
3.6
1.4
0.0
0.2
0.5
1.8
6.1
2.4
202
2
2-0
202
2
0.0
0.2
0.5
1.7
6.4
2.6
202
0.0
0.1
0.5
1.5
3.8
1.5
1.0
1.1
1.4
2.1
4.0
2.2
3
2-0
2
2-0
2-0
1.0
1.0
1.3
2.1
3.9
2.1
1.0
1.1
1.5
2.5
6.2
3.2
2-0
9
0.0
0.1
0.5
1.5
3.9
1.6
1.0
1.1
1.5
2.5
5.9
3.2
202
2-0
8
0.0
0.1
0.4
1.3
3.8
1.4
202
2-0
1
1-1
2
1
0
1-1
202
0.0
0.1
0.5
1.5
4.0
1.5
202
2-0
2
2-0
2
2-0
202
2-0
1
2
202
1-1
1
-10
1-1
202
202
202
1-1
0.0
0.1
0.5
1.6
4.1
1.6
202
1
2-0
202
202
1-1
2
1
-10
1-1
202
202
1-0
9
202
1
202
1
1-0
9
0.0
0.1
0.4
1.4
3.8
1.4
202
1-0
9
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.2
0.2
0.2
0.2
0.2
0.5
0.6
0.6
0.5
0.6
0.6
1.7
1.9
1.9
1.7
1.8
1.9
6.0
7.1
7.1
6.4
7.3
7.1
2.5
3.1
3.1
2.7
2.7
2.8
Short Exposure Excluding IRDs
1.0
1.1
1.4
2.4
5.5
3.1
202
1
2-0
202
202
2
1
1-1
1-1
202
-09
1-1
0
202
202
202
1
202
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.1
1.1
1.1
1.1
1.1
1.3
1.4
1.4
1.3
1.4
1.4
2.2
2.2
2.2
2.1
2.2
2.2
4.3
4.5
4.3
4.0
4.3
4.4
2.2
2.3
2.3
2.1
2.3
2.2
Short Exposure Including IRDs
202
-08
0.0
0.1
0.4
1.4
3.9
1.5
1.0
1.0
1.0
1.0
1.0
1.0
1.1
1.1
1.1
1.1
1.1
1.1
1.5
1.5
1.5
1.5
1.5
1.5
2.5
2.6
2.7
2.5
2.7
2.6
5.8
6.4
6.2
5.9
6.2
6.3
3.2
3.7
3.7
3.2
3.4
3.4
Long Exposure Excluding IRDs
202
1-0
8
1-0
8
0.0
0.2
0.5
1.7
6.3
2.6
1-0
8
1-0
7
-06
202
1
202
-07
0.0
0.1
0.4
1.3
3.9
1.5
1.0
1.1
1.3
2.1
4.4
2.3
202
-07
-07
0.0
0.2
0.6
1.7
6.8
2.5
1.0
1.1
1.5
2.5
6.3
3.5
202
202
202
1
202
1
1-0
6
1-0
6
0.0
0.1
0.4
1.4
3.8
1.4
1.0
1.1
1.4
2.2
4.4
2.3
202
1
202
202
0.0
0.2
0.5
1.7
5.9
2.5
1.0
1.1
1.5
2.7
6.5
3.5
202
2-0
7
0.0
0.1
0.5
1.4
3.7
1.5
1.0
1.0
1.4
2.2
4.3
2.2
202
1-0
5
1-0
5
0.0
0.2
0.6
1.8
6.7
2.8
1-0
6
202
1
-05
202
1
1-0
5
202
-04
0.0
0.1
0.4
1.4
3.7
1.4
1.0
1.1
1.4
2.2
4.4
2.3
202
-04
1-0
3
0.0
0.1
0.4
1.3
3.5
1.4
4
0.0
0.2
0.6
1.8
6.2
2.8
1.0
1.1
1.5
2.5
6.1
3.5
202
3
1-0
4
202
1-0
1-0
3
1-0
3
202
1
202
0.0
0.2
0.6
1.7
5.4
2.5
202
1-0
2
1-0
0.0
0.1
0.5
1.4
3.5
1.5
1.0
1.1
1.4
2.2
4.4
2.3
1.0
1.1
1.5
2.7
6.7
3.8
2-0
6
0.0
0.1
0.5
1.3
3.4
1.5
202
1-0
202
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1.0
1.1
1.5
2.7
6.6
3.6
202
1
2
0.0
0.2
0.6
1.8
5.7
2.7
202
2
2
202
1-0
1-0
202
0.0
0.2
0.6
1.7
5.4
2.6
1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1.0
1.0
1.3
2.1
3.9
2.1
202
1.0
1.1
1.4
2.2
4.2
2.3
1.0
1.1
1.5
2.5
6.0
3.3
202
1-0
1-0
1-0
1-0
202
1.0
1.1
1.4
2.2
4.3
2.2
1.0
1.1
1.5
2.6
6.4
3.6
1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
202
1.0
1.1
1.5
2.6
6.7
3.5
1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
1
Long Exposure Including IRDs
0.0
0.1
0.4
1.4
3.7
1.4
July 18, 2023
B
Analytics Office
Gross Exposure by Strategy5
Table 41: Exposures of Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Other
Relative Value
Macro
Credit
Event Driven
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Conv. Arb.
F.I. Corp.
Volatility Arb.
Subtotal
Global Macro
Commodity
Currency
Active Trading
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Quantitative
Fundamental
Subtotal
Total
2021Q1
2,036
1,114
574
***
***
1,247
981
647
103
129
58
43
738
667
34
***
***
415
317
98
408
180
116
111
169
***
***
51
6,045
2021Q2
2,244
1,205
649
390
0
1,365
1,031
692
95
133
63
48
814
736
44
***
***
448
346
102
452
186
138
129
215
***
***
54
6,623
2021Q3
2,229
1,201
649
***
***
1,427
1,035
691
100
126
61
57
888
785
66
34
4
453
348
105
449
202
141
107
246
***
***
57
6,785
2021Q4
2,252
1,212
643
396
0
1,456
1,063
709
102
123
63
65
789
699
54
***
***
479
359
119
458
205
145
108
222
***
***
65
6,783
2022Q1
2,031
1,100
577
***
***
1,483
1,043
676
110
112
70
74
850
740
73
***
***
485
359
127
429
202
136
91
238
***
***
75
6,633
2022Q2
1,773
970
467
***
***
1,440
1,028
684
113
89
62
79
867
737
88
39
2
482
350
132
403
201
112
90
215
***
***
69
6,277
2022Q3
1,684
938
414
***
***
1,427
968
638
115
84
60
72
879
740
92
44
2
507
367
140
394
201
101
93
258
***
***
68
6,185
2022Q4
1,793
1,016
438
***
***
1,456
950
627
121
82
66
54
923
826
58
37
2
527
378
149
371
203
96
72
196
***
***
71
6,288
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
July 18, 2023
Analytics Office
Table 42: Exposures of Hedge Funds (Percent of NAV)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Other
Relative Value
Macro
Credit
Event Driven
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Conv. Arb.
F.I. Corp.
Volatility Arb.
Subtotal
Global Macro
Commodity
Currency
Active Trading
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Quantitative
Fundamental
Subtotal
Total
2021Q1
54.5
29.8
15.4
***
***
33.4
26.2
17.3
2.8
3.5
1.6
1.2
19.8
17.9
0.9
***
***
11.1
8.5
2.6
10.9
4.8
3.1
3.0
4.5
***
***
1.4
161.8
2021Q2
55.4
29.7
16.0
9.6
0.0
33.7
25.4
17.1
2.3
3.3
1.6
1.2
20.1
18.2
1.1
***
***
11.0
8.5
2.5
11.2
4.6
3.4
3.2
5.3
***
***
1.3
163.4
37
2021Q3
53.6
28.8
15.6
***
***
34.3
24.9
16.6
2.4
3.0
1.5
1.4
21.3
18.9
1.6
0.8
0.1
10.9
8.4
2.5
10.8
4.9
3.4
2.6
5.9
***
***
1.4
163.0
2021Q4
53.8
29.0
15.4
9.5
0.0
34.8
25.4
16.9
2.4
2.9
1.5
1.5
18.8
16.7
1.3
***
***
11.4
8.6
2.9
10.9
4.9
3.5
2.6
5.3
***
***
1.6
162.0
2022Q1
49.0
26.5
13.9
***
***
35.8
25.2
16.3
2.7
2.7
1.7
1.8
20.5
17.8
1.8
***
***
11.7
8.7
3.1
10.3
4.9
3.3
2.2
5.7
***
***
1.8
160.1
2022Q2
45.8
25.0
12.1
***
***
37.2
26.6
17.7
2.9
2.3
1.6
2.0
22.4
19.0
2.3
1.0
0.1
12.4
9.0
3.4
10.4
5.2
2.9
2.3
5.6
***
***
1.8
162.1
2022Q3
44.7
24.9
11.0
***
***
37.9
25.7
16.9
3.1
2.2
1.6
1.9
23.3
19.7
2.4
1.2
0.1
13.5
9.8
3.7
10.5
5.3
2.7
2.5
6.8
***
***
1.8
164.3
2022Q4
47.4
26.9
11.6
***
***
38.5
25.1
16.6
3.2
2.2
1.7
1.4
24.4
21.8
1.5
1.0
0.1
13.9
10.0
3.9
9.8
5.4
2.5
1.9
5.2
***
***
1.9
166.3
July 18, 2023
C
Analytics Office
Leverage by Strategy
Table 43: Asset Weighted-Average Ratio of GAV to NAV
by Strategy
As reported on Form PF, Questions 8, 9, 10, and 20.
Strategy
Relative Value
Macro
Multi-Strategy
Credit
Equity
Other
Managed Futures/CTA
Event Driven
Investment in other funds
2021Q1
5.6
4.6
3.1
1.5
1.6
1.4
1.5
1.4
1.2
2021Q2
5.7
4.8
3.2
1.6
1.5
1.4
1.5
1.4
1.3
2021Q3
7.0
4.8
3.3
1.5
1.5
1.5
1.5
1.4
1.3
2021Q4
7.0
4.3
3.4
1.6
1.5
1.5
1.4
1.4
1.3
2022Q1
6.0
4.6
3.1
1.6
1.6
1.4
1.5
1.4
1.2
2022Q2
6.5
4.5
3.0
1.6
1.6
1.4
1.9
1.4
1.5
2022Q3
6.2
4.6
2.9
1.7
1.6
1.5
1.6
1.3
1.4
2022Q4
5.9
4.9
3.5
1.7
1.6
1.5
1.5
1.3
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
Multi-Strategy
Managed Futures/CTA
Equity
Credit
Investment in other funds
Other
Event Driven
2021Q1
37.8
24.9
14.7
19.2
3.0
3.0
1.9
3.1
2.0
2021Q2
37.4
23.3
16.1
21.4
3.0
3.2
2.9
3.2
2.1
2021Q3
35.1
26.4
16.2
22.9
2.9
3.0
3.3
3.2
2.0
2021Q4
33.2
27.1
16.0
16.9
3.1
3.1
3.3
3.1
1.9
2022Q1
33.8
25.4
14.9
15.0
2.9
3.2
2.8
3.1
1.9
2022Q2
30.1
24.8
13.2
16.5
2.9
3.1
4.1
2.9
2.0
2022Q3
30.4
23.8
11.0
14.0
3.4
3.2
3.9
2.9
1.8
2022Q4
33.7
21.3
14.5
14.3
3.5
3.2
3.0
2.9
1.8
Table 45: Asset Weighted-Average Percent of Unencumbered Cash
by Strategy
As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month).
Strategy
Managed Futures/CTA
Macro
Multi-Strategy
Relative Value
Equity
Other
Event Driven
Credit
Investment in other funds
2021Q1
38.7
42.2
24.9
21.9
8.0
12.5
7.5
9.4
1.1
2021Q2
34.0
43.7
25.4
20.9
7.5
12.2
7.2
8.9
3.0
2021Q3
42.7
42.6
25.4
21.1
8.1
11.6
7.7
8.8
1.6
38
2021Q4
48.2
44.1
26.1
21.8
8.5
11.8
8.1
8.3
8.2
2022Q1
51.0
45.4
23.9
23.3
10.3
11.3
10.7
6.8
4.9
2022Q2
56.0
45.8
27.7
23.8
12.7
11.4
9.6
8.3
6.8
2022Q3
54.2
43.6
27.9
25.0
13.7
12.3
9.8
7.3
5.5
2022Q4
49.3
45.2
30.5
23.5
13.9
11.5
9.8
8.9
6.1
July 18, 2023
D
Analytics Office
Investment Exposures
Table 46: Aggregate Qualifying Hedge Fund Gross Notional Exposure
by Asset Type ($ Billions)
As reported on Form PF, Questions 26 and 30.
Interest Rate Derivatives
Foreign Exchange Derivatives
Repurchase Agreements
Non-Financial Listed Equities
U.S. Treasury Securities
Non-Financial Equity Derivatives
Sovereign Bonds - Non-U.S. G10
Credit Derivatives
Cash/Cash Equivalents - Other
Non-Financial Unlisted Equities
Commodity Derivatives
Financial Listed Equities
Leveraged Loans
Non-Financial Corporate Bonds
Other Derivatives
Cash/Cash Equivalents - Deposits
Non-U.S. Currency Holdings
Cash/Cash Equivalents - MMFs
Sovereign Bonds - Other
Physical Real Estate
MBS
Other Private Funds
Other Loans (Excluding Repo)
Non-Financial Convertible Bonds
Other
Financial Equity Derivatives
Financial Corporate Bonds
U.S. Agency and GSE Securities
Other ABS/Structured Products
CDO/CLO
Financial Unlisted Equities
U.S. State and Local Bonds
Registered Investment Companies
Physical Commodities
Financial Convertible Bonds
2021Q1
6,757
3,754
1,894
2,551
1,671
1,620
1,302
734
503
385
367
314
223
240
210
196
207
173
278
120
184
145
118
182
95
99
67
39
52
35
27
19
18
5
9
2021Q2
7,465
4,071
2,071
2,836
1,726
1,558
1,416
714
572
433
417
348
230
272
215
205
221
172
320
130
203
157
123
200
88
110
71
43
62
37
30
19
17
5
10
2021Q3
7,593
4,073
2,270
2,711
1,733
1,593
1,472
783
529
417
455
361
247
271
185
240
254
181
332
146
212
171
133
178
98
105
73
52
60
38
27
21
16
7
9
39
2021Q4
7,398
3,963
2,220
2,751
1,757
1,580
1,412
759
573
467
393
376
261
280
202
218
216
207
308
166
205
177
141
173
112
106
71
46
59
39
29
22
16
6
9
2022Q1
7,765
3,811
2,196
2,486
1,690
1,778
1,373
746
850
480
424
349
274
272
215
216
230
198
267
176
170
184
144
154
110
102
76
47
63
39
30
19
17
9
8
2022Q2
7,156
3,390
2,164
2,118
1,523
1,483
1,377
808
521
479
399
307
277
248
219
224
259
226
209
186
189
186
149
125
118
93
71
56
55
36
27
17
15
9
7
2022Q3
7,002
3,479
2,085
2,018
1,493
1,460
1,312
736
504
479
376
285
281
246
210
222
220
216
181
171
183
185
151
119
112
85
68
46
57
36
26
18
14
3
6
2022Q4
7,351
3,074
2,129
2,089
1,697
1,526
1,476
680
520
483
362
307
295
254
242
240
224
213
198
186
180
174
155
117
113
88
81
60
57
40
37
16
15
6
6
July 18, 2023
Analytics Office
Table 47: Percent of Qualifying Hedge Fund Gross Notional Exposure
Representing Long Notional Exposure
As reported on Form PF, Questions 26 and 30.
Interest Rate Derivatives
Foreign Exchange Derivatives
Repurchase Agreements
Non-Financial Listed Equities
U.S. Treasury Securities
Non-Financial Equity Derivatives
Sovereign Bonds - Non-U.S. G10
Credit Derivatives
Cash/Cash Equivalents - Other
Non-Financial Unlisted Equities
Commodity Derivatives
Financial Listed Equities
Leveraged Loans
Non-Financial Corporate Bonds
Other Derivatives
Cash/Cash Equivalents - Deposits
Non-U.S. Currency Holdings
Cash/Cash Equivalents - MMFs
Sovereign Bonds - Other
Physical Real Estate
MBS
Other Private Funds
Other Loans (Excluding Repo)
Non-Financial Convertible Bonds
Other
Financial Equity Derivatives
Financial Corporate Bonds
U.S. Agency and GSE Securities
Other ABS/Structured Products
CDO/CLO
Financial Unlisted Equities
U.S. State and Local Bonds
Registered Investment Companies
Physical Commodities
Financial Convertible Bonds
2021Q1
49.6
58.5
45.0
70.9
55.4
57.0
48.6
46.7
71.4
99.7
67.1
72.4
98.3
81.9
43.4
72.9
53.4
***
75.6
***
82.2
***
93.5
97.9
94.6
59.8
89.5
72.5
86.7
***
99.7
***
***
***
97.3
2021Q2
48.2
57.7
46.5
70.1
56.7
53.7
50.0
46.5
75.1
99.7
67.0
72.3
99.4
81.0
48.2
75.4
53.5
***
69.7
***
73.6
99.5
93.1
97.8
95.3
60.6
88.3
59.3
84.5
***
99.8
***
96.2
***
95.8
2021Q3
48.2
57.0
46.8
71.4
57.2
51.3
48.5
46.9
73.3
99.8
63.8
73.5
98.0
79.0
61.3
72.8
57.0
***
70.3
***
71.9
***
91.7
97.7
96.0
60.1
87.1
65.0
85.3
***
99.7
***
97.9
98.4
95.0
40
2021Q4
47.3
55.2
48.5
71.8
56.8
51.9
48.5
44.5
71.8
99.8
65.2
73.1
98.0
74.5
50.3
74.9
62.6
***
64.2
***
70.0
99.9
90.7
97.9
94.8
55.5
86.4
62.8
84.2
***
99.7
***
97.8
***
96.2
2022Q1
48.1
56.0
49.0
70.3
59.2
56.9
47.9
43.1
67.3
99.6
64.3
71.4
98.2
77.2
50.5
71.9
61.8
***
63.4
***
78.4
99.9
91.4
97.3
93.4
54.3
86.5
55.3
80.7
***
99.7
***
98.1
99.8
96.7
2022Q2
47.4
55.2
48.4
68.3
62.8
50.6
48.2
40.3
77.6
99.8
59.9
69.5
98.7
75.4
44.8
67.3
60.7
99.9
58.5
***
81.7
99.9
91.6
97.2
90.7
55.6
87.0
52.8
83.5
86.3
99.9
***
98.8
99.4
96.3
2022Q3
49.5
54.5
47.1
67.9
60.0
48.3
49.7
41.3
78.6
99.8
55.4
68.6
97.6
76.4
41.9
63.6
62.2
***
60.4
***
83.6
99.9
89.4
97.5
90.0
55.5
86.3
61.7
82.3
86.7
99.9
***
98.3
***
96.3
2022Q4
50.7
53.1
46.4
67.5
59.1
51.3
48.2
47.8
77.4
99.6
59.0
68.1
97.5
76.8
40.7
64.5
65.8
99.9
63.2
***
83.6
100.0
91.3
97.7
86.4
59.0
86.5
58.8
86.2
88.1
99.9
***
98.5
93.9
98.1
July 18, 2023
E
Analytics Office
Number of Positions
Figure 12: Number of Positions Reported by Qualifying Hedge Funds
202
2-0
8
202
202
2 -1
202
202
2-1
2
2-1
1
202
2 -0
7
0
202
2 -0
9
202
6
202
2 -0
4
13
50
178
626
2,012
2,405
13
50
176
629
2,071
2,493
13
47
164
577
2,036
2,368
12
49
169
607
2,178
2,679
12
49
165
625
2,337
2,796
12
47
157
565
2,015
2,692
13
50
172
624
2,216
2,854
12
50
173
628
2,233
2,931
12
48
164
598
2,051
2,830
13
49
169
608
2,261
3,010
13
49
166
607
2,284
3,044
13
49
157
557
2,012
2,888
2-0
202
14
48
162
576
1,927
2,294
1-1
2 -0
5
2-0
202
14
51
170
638
2,054
2,444
1-0
3
202
2-0
1
14
51
173
618
2,035
2,400
41
2
202
202
1-1
2
2-0
202
13
48
159
590
1,894
2,318
1-0
1
202
14
51
167
615
2,011
2,396
1-1
202
14
51
168
594
1,955
2,380
1-0
9
202
13
49
155
578
1,903
2,307
1-0
8
202
1-0
13
54
166
586
2,010
2,441
1-0
7
-05
202
1
13
54
169
620
2,040
2,391
6
202
1-0
14
51
160
583
1,867
2,172
4
3
1-0
202
15
53
167
593
1,967
2,263
2
202
15
53
166
573
1,905
2,242
1
202
Month
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0
As reported on Form PF, Question 34.
July 18, 2023
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
2021Q1
6.2
9.5
22.4
39.8
51.0
63.8
2021Q2
7.8
11.7
23.6
40.3
51.3
64.6
2021Q3
7.5
11.2
23.1
40.2
52.2
63.4
2021Q4
7.5
11.0
23.1
42.8
50.2
62.8
2022Q1
7.5
10.9
23.5
39.7
50.1
62.2
2022Q2
5.8
8.6
20.0
36.6
46.9
60.3
2022Q3
5.5
8.2
19.0
35.5
47.3
59.0
2022Q4
5.6
8.2
18.6
37.6
45.4
58.3
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
2021Q1
33.3
54.6
67.6
74.1
78.3
83.5
2021Q2
33.8
54.6
67.5
74.0
78.2
83.2
2021Q3
33.2
53.2
66.1
72.9
77.3
82.2
2021Q4
33.6
52.9
65.7
72.4
77.0
81.8
2022Q1
35.3
53.4
64.8
71.1
75.5
80.5
2022Q2
33.5
51.4
62.2
68.3
73.5
79.2
2022Q3
33.5
50.3
61.2
67.5
72.7
78.6
2022Q4
32.1
49.3
60.1
66.3
71.7
77.8
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 Fourth Calendar Quarter 2022
Statistic
Port. Liquidity
Inv. Liquidity
At most 1 day
32.1
5.6
At most 7 days
49.3
8.2
At most 30 days
60.1
18.6
At most 90 days
66.3
37.6
At most 180 days
71.7
45.4
At most 365 days
77.8
58.3
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
2021Q1
2,720
1,809
89
76
19
2021Q2
2,956
1,909
100
78
18
2021Q3
2,980
1,926
110
84
18
2021Q4
2,923
1,885
114
84
18
42
2022Q1
2,883
1,878
104
74
17
2022Q2
2,658
1,847
97
74
14
2022Q3
2,533
1,754
96
75
13
2022Q4
2,496
1,727
90
81
20
July 18, 2023
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
2021Q1
2.0
6.0
11.5
24.0
46.0
20.0
2021Q2
2.0
5.8
11.5
26.0
49.0
20.3
2021Q3
2.0
4.0
12.0
25.2
48.0
19.6
2021Q4
2.0
5.0
13.5
28.3
50.0
20.6
43
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
2022Q4
2.0
6.0
12.0
26.0
44.0
19.3
July 18, 2023
G
Analytics Office
Borrowings
Table 51: Borrowings of Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Question 43 (Third Month).
Type
Secured
Unsecured
Total
Subtype
Subtotal
Prime Broker
Reverse Repo
Other Secured
Subtotal
Total
2021Q1
3,255
1,709
1,066
480
16
3,271
2021Q2
3,586
1,931
1,113
542
17
3,603
2021Q3
3,670
1,918
1,205
547
32
3,703
2021Q4
3,747
1,964
1,151
633
49
3,796
2022Q1
3,530
1,842
1,090
599
39
3,570
2022Q2
3,397
1,658
1,150
588
34
3,430
2022Q3
3,307
1,591
1,150
567
36
3,344
2022Q4
3,453
1,648
1,223
582
39
3,493
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
2021Q1
65.2
34.1
0.6
0.1
2021Q2
65.8
33.6
0.5
0.1
2021Q3
64.5
34.8
0.6
0.1
2021Q4
65.3
33.9
0.7
0.2
2022Q1
63.7
35.4
0.9
0.0
2022Q2
63.9
35.3
0.7
0.0
2022Q3
65.1
33.8
1.1
0.0
2022Q4
67.0
32.0
1.0
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
2021Q1
2,230
1,556
673
1,090
742
348
594
435
159
3,913
2021Q2
2,454
1,659
795
1,166
811
355
658
476
182
4,278
2021Q3
2,433
1,582
851
1,271
908
363
709
522
186
4,412
44
2021Q4
2,409
1,588
821
1,204
826
378
755
520
235
4,369
2022Q1
2,236
1,471
764
1,141
766
375
727
528
199
4,103
2022Q2
1,972
1,322
650
1,196
815
381
734
561
173
3,903
2022Q3
1,922
1,278
644
1,192
793
399
723
562
161
3,837
2022Q4
2,019
1,353
666
1,255
853
402
729
535
194
4,002
July 18, 2023
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).
1.0
1.0
1.1
1.5
2.0
1.3
1.0
1.0
1.2
1.5
2.1
1.3
1.0
1.0
1.1
1.4
1.9
1.3
1.0
1.0
1.1
1.4
1.9
1.2
45
1.0
1.0
1.1
1.4
1.8
1.2
1.0
1.0
1.1
1.4
1.8
1.2
1.0
1.0
1.1
1.4
1.8
1.3
1.0
1.0
1.1
1.5
1.9
1.3
1.0
1.0
1.1
1.5
1.9
1.2
1.0
1.0
1.1
1.4
1.8
1.2
1.0
1.0
1.1
1.5
1.9
1.3
-1 2
-12
1
1
2-1
202
1.0
1.0
1.0
1.4
1.7
1.2
0.9
1.0
1.4
2.3
5.2
3.2
202
2
0
2-1
202
0
9
2-0
202
8
2-0
202
2-0
2-0
202
5
2-0
202
202
2-0
2-0
202
202
***
***
***
***
***
***
0.8
1.0
1.4
2.3
5.8
4.6
-1 2
202
2
0.9
1.0
1.3
2.3
5.7
4.5
1.0
1.0
1.1
1.4
1.8
1.2
1
2-1
202
0.9
1.0
1.4
2.4
7.0
14.2
0.8
1.0
1.3
2.2
5.6
5.8
202
2
2-1
202
0.9
1.0
1.3
2.3
7.0
14.8
1.0
1.0
1.1
1.4
1.9
1.3
0
202
2 -0
9
0.9
1.0
1.3
2.3
7.1
6.8
2-1
202
2 -0
8
0.9
1.0
1.3
2.2
6.0
8.1
2-1
202
2 -0
9
202
2-0
7
0.9
1.0
1.3
2.1
5.5
4.6
202
202
2 -0
8
202
2-0
6
0.9
1.0
1.3
2.3
6.9
6.2
202
202
2-0
7
202
2-0
5
0.9
1.0
1.3
2.3
8.0
9.9
0.9
1.0
1.3
2.4
7.2
9.3
7
202
2-0
6
0.9
1.0
1.4
2.2
5.8
4.5
6
0.8
1.0
1.3
2.1
5.5
4.3
4
4
0.8
1.0
1.3
2.2
5.5
4.0
2-0
202
2-0
5
0.9
1.0
1.3
2.2
5.6
3.3
3
2-0
202
2
2-0
1
2-0
1.0
1.0
1.1
1.4
1.9
1.2
202
202
202
1-1
2
1
1-1
202
-10
202
1
1-0
9
1.0
1.0
1.1
1.4
1.9
1.3
0.9
1.0
1.3
2.2
5.7
3.7
202
202
2 -0
3
202
2 -0
2
202
2-0
1
1 -1
2
202
202
1-1
1
9
1-1
0
202
202
1-0
8
1.0
1.0
1.1
1.5
1.9
1.3
202
1-0
8
0.9
0.9
0.9
1.0
1.0
1.0
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
1.4
1.4
1.3
2.5
2.5
2.4
2.5
2.4
2.5
2.4
2.4
5.6
5.6
5.1
5.8
5.8
6.7
6.0
6.2
7.3
8.2
4.3
3.9
4.4
6.5
6.4
5.8
Ratio of Collateral/Reverse Repo Borrowing
0.9
1.0
1.4
2.4
6.3
4.1
4
202
2 -0
3
202
2 -0
2
1 -1
2
202
2-0
1
202
202
1-1
1
9
1-1
0
202
8
202
1-0
202
1-0
6
1-0
7
1.0
1.0
1.1
1.4
2.0
1.3
202
1-0
1-0
7
-07
0.9
1.0
1.3
2.4
5.5
3.9
0.8
0.8
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
1.4
1.3
1.4
2.5
2.4
2.3
2.3
2.3
2.4
2.3
2.3
5.8
5.3
5.0
4.7
5.3
5.2
5.5
5.6
5.0
4.4
3.5
3.2
3.4
4.1
3.5
3.7
Ratio of Collateral/Prime Broker Borrowing
202
202
202
6
1.0
1.0
1.1
1.5
2.0
1.3
0.8
1.0
1.3
2.5
5.5
4.3
202
1
1-0
202
1-0
202
0.9
1.0
1.3
2.4
5.5
3.9
1-0
6
5
1.0
1.0
1.1
1.4
2.0
1.3
0.8
1.0
1.4
2.5
5.8
3.8
202
1-0
5
-04
1.0
1.0
1.1
1.4
2.0
1.3
0.8
1.0
1.3
2.4
5.7
5.2
202
0.9
1.0
1.3
2.4
5.3
4.5
5
202
1-0
202
1-0
1-0
4
1-0
4
202
0.8
1.0
1.3
2.3
5.1
3.6
202
3
1-0
3
202
2
1.0
1.0
1.2
1.5
2.0
1.3
0.8
1.0
1.3
2.3
5.2
3.9
202
1
0.9
1.0
1.4
2.6
7.7
6.0
3
202
1-0
202
1-0
1-0
2
2
1-0
202
0.9
1.0
1.3
2.6
6.3
5.5
1-0
1-0
202
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.9
1.0
1.4
2.5
6.0
4.6
202
202
1
0.9
1.0
1.3
2.7
8.1
7.9
1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.9
1.0
1.4
2.4
5.5
4.4
202
0.8
1.0
1.4
2.5
6.3
5.0
-01
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
1
-01
Ratio of Total Collateral/Total Secured Borrowing
1.0
1.0
1.1
1.5
2.0
1.3
July 18, 2023
Analytics Office
Table 54: Financing Liquidity for Qualifying Hedge Funds
(Percent of Available Financing)
As reported on Form PF, Question 46.
Financing Available
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2021Q1
37.4
45.0
65.3
78.7
94.4
95.5
2021Q2
36.5
46.9
64.9
76.9
94.5
95.8
2021Q3
36.5
47.8
64.9
76.6
94.5
95.5
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
36.8
47.2
64.8
76.3
93.0
94.3
2022Q3
27.3
47.2
62.4
75.7
92.8
94.2
2022Q4
25.4
41.5
61.8
75.3
91.9
94.0
Figure 16: Weighted-Average Qualifying Hedge Fund
Financing Liquidity (Percent of Available Financing)
As reported on Form PF, Question 46 as of Fourth Calendar Quarter 2022.
Statistic
Financing Liquidity
H
At most 1 day
25.4
At most 7 days
41.5
At most 30 days
61.8
At most 90 days
75.3
At most 180 days
91.9
At most 365 days
94.0
Central Clearing
Figure 17: Qualifying Hedge Funds Using Central Clearing
As reported on Form PF, Question 39.
Statistic
Percent of Funds
Percent of NAV
2021Q1
13.8
13.6
2021Q2
16.0
15.7
2021Q3
15.4
15.1
2021Q4
15.7
14.1
46
2022Q1
15.9
14.8
2022Q2
14.1
13.6
2022Q3
13.5
13.2
2022Q4
12.8
12.2
July 18, 2023
I
Analytics Office
Value-at-Risk (“VaR”) Reporting
Table 55: Number of Qualifying Hedge Funds Using VaR
As reported on Form PF, Question 40.
VaR Method
VaR (Any Method)
Historical Simulation
Parametric
Monte Carlo Simulation
Other
VaR Not Used
2021Q1
596
268
158
171
45
1,263
2021Q2
656
271
186
194
50
1,310
2021Q3
662
265
193
199
53
1,353
2021Q4
677
267
201
201
55
1,396
2022Q1
684
267
202
210
52
1,409
2022Q2
651
274
181
192
52
1,408
2022Q3
693
283
220
186
50
1,346
2022Q4
647
278
180
180
53
1,422
Table 56: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions)
As reported on Form PF, Questions 8 and 40.
VaR Method
VaR (Any Method)
Historical Simulation
Parametric
Monte Carlo Simulation
Other
VaR Not Used
2021Q1
3,804
1,988
632
871
846
3,424
2021Q2
4,261
2,242
698
988
905
3,627
2021Q3
4,585
2,316
735
984
1,127
3,719
2021Q4
4,462
2,192
721
1,014
1,119
3,867
2022Q1
4,441
2,146
695
1,029
1,124
3,819
2022Q2
4,308
2,138
625
965
1,114
3,605
2022Q3
4,258
2,138
641
916
1,095
3,435
2022Q4
4,310
2,161
554
944
1,220
3,502
Table 57: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions)
As reported on Form PF, Questions 9 and 40.
VaR Method
VaR (Any Method)
Historical Simulation
Parametric
Monte Carlo Simulation
Other
VaR Not Used
2021Q1
1,352
583
373
368
156
2,384
2021Q2
1,514
615
432
432
170
2,540
2021Q3
1,538
615
437
443
185
2,624
47
2021Q4
1,544
603
441
448
182
2,643
2022Q1
1,544
608
422
460
191
2,600
2022Q2
1,411
597
368
390
192
2,460
2022Q3
1,418
612
373
372
200
2,346
2022Q4
1,347
583
329
372
191
2,437
July 18, 2023
J
Analytics Office
Stress Testing and VaR
Table 58: Number of Qualifying Hedge Funds Managed Using
VaR or Market Factor Change Testing (“Stress Testing”)
As reported on Form PF, Questions 40 and 42.
Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither
2021Q1
534
435
62
828
2021Q2
564
450
92
860
2021Q3
555
472
107
881
2021Q4
561
478
116
918
2022Q1
570
479
114
930
2022Q2
580
465
71
943
2022Q3
588
458
105
888
2022Q4
576
466
71
956
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
2021Q1
3,541
1,435
263
1,989
2021Q2
3,949
1,496
312
2,131
2021Q3
4,220
1,538
364
2,181
2021Q4
4,071
1,555
391
2,312
2022Q1
4,100
1,548
341
2,271
2022Q2
4,075
1,450
233
2,155
2022Q3
3,994
1,384
264
2,052
2022Q4
4,086
1,398
224
2,104
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
2021Q1
1,203
846
150
1,538
2021Q2
1,310
887
204
1,653
2021Q3
1,284
936
254
1,688
2021Q4
1,282
922
261
1,721
48
2022Q1
1,296
904
248
1,696
2022Q2
1,267
850
144
1,611
2022Q3
1,259
821
159
1,525
2022Q4
1,211
843
136
1,593
July 18, 2023
K
Analytics Office
Stress Testing
Table 61: Number of Qualifying Hedge Funds Stressing Each Market Factor
As reported on Form PF, Question 42.
Market Factor
Equity Prices
Currency Rates
Risk Free Rates
Credit Spreads
Implied Volatilities
Commodity Prices
Bond Default Rates
ABS Default Rates
2021Q1
788
709
668
574
463
399
241
202
2021Q2
825
740
699
615
485
419
253
225
2021Q3
843
747
707
609
501
428
268
228
2021Q4
859
745
707
621
499
425
270
227
2022Q1
875
765
721
649
530
443
291
252
2022Q2
863
770
735
656
526
455
287
252
2022Q3
858
777
734
655
523
451
286
247
2022Q4
855
766
731
656
523
446
288
253
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
2021Q1
4,457
3,968
4,206
3,508
3,250
3,254
882
752
2021Q2
4,875
4,369
4,623
3,906
3,624
3,605
1,001
852
2021Q3
5,188
4,641
4,921
4,222
3,909
3,883
1,136
882
2021Q4
5,037
4,522
4,753
4,230
3,713
3,742
1,134
899
2022Q1
5,079
4,554
4,862
4,351
3,796
3,846
1,184
970
2022Q2
5,077
4,481
4,799
4,333
3,787
3,975
1,123
936
2022Q3
4,933
4,384
4,699
4,218
3,707
3,867
1,139
901
2022Q4
5,049
4,506
4,795
4,345
3,836
3,996
1,102
938
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
2021Q1
1,823
1,550
1,505
1,263
1,071
1,037
387
340
2021Q2
1,944
1,675
1,616
1,384
1,152
1,114
424
380
2021Q3
1,985
1,671
1,618
1,372
1,167
1,123
482
379
49
2021Q4
1,967
1,650
1,594
1,380
1,128
1,108
467
374
2022Q1
1,962
1,686
1,648
1,453
1,192
1,151
504
422
2022Q2
1,887
1,631
1,622
1,441
1,176
1,169
484
409
2022Q3
1,851
1,626
1,618
1,436
1,166
1,159
471
382
2022Q4
1,824
1,581
1,584
1,408
1,139
1,113
427
390
July 18, 2023
Analytics Office
Table 64: Number of Qualifying Hedge Funds Stressing Market Factors
As reported on Form PF, Question 42.
Factors Tested
0
1
2
3
4
5
6
7
8
2021Q1
890
202
117
90
104
117
157
61
121
2021Q2
952
210
121
96
106
127
155
60
139
2021Q3
988
214
130
83
100
137
155
71
137
2021Q4
1,034
223
130
84
102
127
165
79
129
2022Q1
1,044
212
129
83
100
126
167
81
151
2022Q2
1,014
208
126
80
99
131
168
79
154
2022Q3
993
208
128
78
107
127
166
82
150
2022Q4
1,027
206
129
81
100
127
167
82
150
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
2021Q1
2,253
414
596
302
337
831
1,722
263
511
2021Q2
2,442
425
638
342
340
926
1,890
279
605
2021Q3
2,545
444
629
324
358
929
2,101
360
613
2021Q4
2,704
485
618
314
348
747
2,159
348
606
2022Q1
2,612
432
568
306
344
871
2,123
341
662
2022Q2
2,388
412
431
279
417
811
2,193
335
647
2022Q3
2,316
385
407
267
464
738
2,127
373
616
2022Q4
2,328
374
406
297
394
772
2,263
346
632
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
2021Q1
1,688
272
307
217
163
282
480
120
207
2021Q2
1,857
284
328
247
159
318
491
124
246
2021Q3
1,942
300
322
231
172
321
477
170
227
2021Q4
1,983
319
312
215
184
291
502
169
212
50
2022Q1
1,945
276
294
212
182
302
509
174
252
2022Q2
1,754
255
269
190
169
281
543
160
249
2022Q3
1,684
234
259
183
191
267
544
169
233
2022Q4
1,729
241
256
206
175
262
540
142
232
July 18, 2023
IX
A
Analytics Office
Section 3 Liquidity Fund Specific Information
Liquidity
Table 67: Investor Liquidity For Section 3 Liquidity Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 64.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2021Q1
72.2
93.6
98.1
98.9
99.4
99.9
2021Q2
70.3
92.8
97.2
98.2
99.0
99.7
2021Q3
68.6
92.6
97.3
97.8
98.8
99.8
2021Q4
68.9
92.4
96.6
97.8
99.0
99.8
2022Q1
69.5
91.6
96.0
97.9
99.5
99.8
2022Q2
66.4
91.8
96.5
98.5
99.6
99.8
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
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
2021Q2
296
263
0
0
2021Q3
278
245
0
0
2021Q4
291
260
0
0
2022Q1
290
261
0
0
2022Q2
310
281
0
0
2022Q3
313
281
0
0
2022Q4
302
275
0
0
Portfolio Characteristics
Figure 18: Weighted-Average Maturity of Section 3 Liquidity Funds (Days)
1
2-1
2
0
202
202
202
202
202
202
2-1
202
2-0
202
2-1
8
9
7
2-0
202
2-0
202
2-0
6
5
4
2-0
202
2-0
202
2-0
3
2
1
2-0
2
202
1-1
202
2-0
1
0
1-1
9
202
1-1
8
202
1-0
7
202
1-0
202
1-0
5
6
202
1-0
4
202
1-0
3
202
1-0
202
1-0
1-0
202
Statistic
Average WAM
Asset-Weighted WAM
202
1-0
1
2
As reported on Form PF, Questions 55.
32.4
47.1
33.1
47.1
31.2
45.3
34.8
42.4
35.6
40.8
37.1
46.4
36.8
48.7
36.7
47.7
43.0
49.2
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
25.0
25.7
25.0
29.4
27.1
25.1
30.1
27.7
26.7
25.4
Figure 19: Weighted-Average Life of Section 3 Liquidity Funds (Days)
2
1
202
202
2-1
202
2-1
0
202
2-0
202
2-1
9
8
7
202
2-0
6
202
2-0
202
2-0
202
2-0
5
4
202
2-0
3
2
202
2-0
1
202
2-0
2
202
2-0
202
1-1
1-1
202
1-1
1
9
0
8
1-0
202
1-0
202
51.6
59.9
48.3
58.7
50.5
55.5
49.8
53.7
51.4
59.3
51.7
63.4
52.0
63.3
58.3
65.5
62.0
66.2
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
41.9
45.5
42.2
48.0
44.8
47.4
49.5
50.0
45.6
46.6
1-0
202
7
6
1-0
202
5
4
1-0
202
1-0
202
3
2
48.5
58.1
1-0
202
1-0
1-0
202
Statistic
Average WAL
Asset-Weighted WAL
202
1
As reported on Form PF, Questions 55.
Figure 20: Seven-Day Gross Yield Section 3 Liquidity Funds (Percent)
0
7
2
1.33
1.30
2-1
0.87
0.78
202
0.52
0.45
1
0.47
0.36
2-1
0.29
0.14
202
0.25
0.09
9
0.20
0.06
2-1
0.19
0.06
2-0
0.17
0.05
202
0.17
0.05
8
0.14
0.05
2-0
0.14
0.06
202
0.16
0.06
2-0
0.16
0.06
202
0.17
0.07
202
6
2-0
202
5
2-0
202
4
2-0
3
202
2-0
202
2-0
202
2
1
2-0
202
2
202
0.19
0.08
51
1-1
1
1-1
202
1-1
0
9
202
1-0
202
8
1-0
202
7
6
0.18
0.10
1-0
202
1-0
5
1-0
202
4
202
1-0
202
3
1-0
2
0.20
0.11
1-0
202
Statistic
Average Gross Yield
Asset-Weighted Gross Yield
202
1-0
1
As reported on Form PF, Questions 55.
202
B
2021Q1
280
247
0
0
1.88
1.67
2.21
2.13
2.71
2.72
2.56
2.86
3.26
3.53
3.62
3.95
July 18, 2023
Analytics Office
Figure 21: Ratio of Daily Liquid Assets to Net Asset Value
for Section 3 Liquidity Funds (Percent)
1
202
2-1
2
0
49.13
43.06
50.42
41.71
49.49
46.66
49.76
48.49
49.29
47.89
49.47
51.29
48.85
54.85
48.90
52.03
52.36
57.88
53.66
58.09
52.66
52.04
54.25
56.36
51.23
56.66
51.18
51.75
2-1
202
9
202
2-1
8
48.17
44.29
2-0
202
7
202
49.72
45.16
2-0
202
2-0
6
2-0
202
5
4
2-0
202
3
2-0
202
2
202
2-0
202
2-0
1
2
2-0
202
1-1
1
1-1
202
1-1
202
0
9
202
8
1-0
202
7
51.53
44.78
1-0
202
6
52.42
43.97
1-0
202
48.36
40.69
1-0
49.46
43.52
1-0
202
5
4
43.95
40.67
1-0
202
3
202
45.68
39.95
1-0
202
46.02
43.88
1-0
202
46.54
43.76
1-0
202
Statistic
Average DLA
Asset-Weighted DLA
2
1
As reported on Form PF, Questions 55.
Figure 22: Ratio of Weekly Liquid Assets to Net Asset Value
for Section 3 Liquidity Funds (Percent)
-12
1
202
2
0
202
2-1
9
202
2-1
8
62.38
64.01
59.72
66.04
60.24
64.11
62.88
69.17
63.10
70.37
63.43
66.25
65.53
71.25
61.63
66.93
61.60
66.79
2-0
202
2-0
7
60.89
60.09
2-0
202
60.03
58.19
2-0
202
60.23
59.46
2-0
202
62.00
57.18
2-0
202
6
5
4
3
202
2
202
2-0
1
59.67
56.56
2-0
202
59.45
59.17
52
2-0
2
1-1
202
1
1-1
202
0
60.76
60.48
1-1
202
9
1-0
202
8
202
61.81
58.10
1-0
202
7
6
62.05
58.49
1-0
60.27
59.96
1-0
202
5
61.14
60.54
1-0
202
4
59.98
59.28
1-0
202
3
202
59.47
56.63
1-0
202
60.88
58.49
1-0
202
61.44
56.34
1-0
202
Statistic
Average WLA
Asset-Weighted WLA
2
1
As reported on Form PF, Questions 55.
July 18, 2023
C
Analytics Office
Rule 2a-7 Compliance
Table 69: Rule 2a-7 Compliance (Percent of Funds)
As reported on Form PF, Questions 9 and 54.
Compliance Type
None
Credit Quality
Diversification
Maturity
Liquidity
Fully
2021Q1
46.3
53.7
50.0
50.0
46.3
42.6
2021Q2
48.2
51.8
48.2
48.2
44.6
39.3
2021Q3
50.9
49.1
45.6
45.6
42.1
38.6
2021Q4
51.8
48.2
44.6
44.6
41.1
37.5
2022Q1
51.9
48.1
44.4
44.4
40.7
37.0
2022Q2
53.8
46.2
42.3
42.3
36.5
34.6
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
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
2021Q1
83.7
16.3
14.9
14.9
14.7
12.7
2021Q2
81.6
18.4
17.1
17.1
16.9
14.3
2021Q3
80.9
19.1
17.4
17.4
17.2
15.0
2021Q4
82.1
17.9
16.5
16.5
16.3
14.2
2022Q1
81.3
18.7
17.2
17.2
17.0
15.0
2022Q2
83.9
16.1
14.6
14.6
13.4
12.5
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
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
2021Q1
75.9
24.1
2021Q2
75.0
25.0
2021Q3
77.2
22.8
2021Q4
75.0
25.0
2022Q1
74.1
25.9
2022Q2
71.2
28.8
2022Q3
72.5
27.5
2022Q4
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
2021Q1
69.0
31.0
2021Q2
66.1
33.9
2021Q3
66.7
33.3
2021Q4
64.4
35.6
53
2022Q1
67.2
32.8
2022Q2
61.2
38.8
2022Q3
63.2
36.8
2022Q4
65.9
34.1
July 18, 2023
Aggregate Portfolio Holdings
Table 73: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2
2
35.2
75.5
51.7
80.2
21.0
21.0
11.6
1.2
0.9
40.2
69.7
51.4
73.1
23.0
26.0
12.1
1.4
1.1
31.3
83.1
53.1
88.7
23.9
18.9
7.7
1.3
1.1
31.6
82.0
50.5
88.8
24.5
21.0
10.6
1.6
1.0
47.2
60.8
48.2
88.7
24.4
26.0
10.1
1.5
1.1
1-1
26.0
83.1
52.3
86.4
20.9
24.0
12.4
1.3
0.9
1-1
202
1
0
202
32.1
69.9
51.2
94.8
21.7
27.9
15.1
1.4
1.1
1-1
202
-09
202
1
8
26.1
80.0
53.4
86.1
22.3
29.1
12.4
1.3
1.2
1-0
202
7
23.8
76.0
50.0
82.7
21.8
33.4
13.2
1.5
1.2
1-0
6
202
23.9
59.5
48.8
91.9
22.8
36.9
13.3
1.4
1.1
1-0
202
5
202
25.8
69.1
45.3
89.5
20.3
36.2
17.9
1.6
0.9
1-0
202
1-0
4
1-0
3
2
202
Product Type
Repo - Govt. Collateral
Deposits
Commercial Paper
U.S. Treasuries
Asset-Backed Securities
Other
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
1-0
202
27.7
63.7
45.2
97.2
20.0
34.6
18.3
1.9
0.9
1-0
202
1
As reported on Form PF, Question 63.
Table 74: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2
85.2
91.4
53.1
48.8
20.1
14.1
10.4
5.7
0.9
78.4
88.9
53.0
53.8
17.7
13.7
10.9
5.4
0.9
84.2
70.4
52.9
49.7
18.6
17.9
9.7
8.7
0.8
2-1
202
2
1
202
78.8
73.9
48.2
69.2
20.6
16.6
8.7
5.2
1.0
2-1
202
0
202
86.3
88.8
44.8
59.9
20.2
10.0
9.1
5.2
1.0
2-1
202
2-0
9
2-0
7
202
80.9
85.0
46.5
57.2
20.4
11.3
10.4
3.3
0.9
2-0
202
2-0
67.1
72.0
53.6
78.4
20.8
15.7
9.3
1.9
1.0
54
8
2-0
5
202
69.2
78.9
46.4
63.4
18.9
13.4
10.5
2.5
1.0
-04
202
2
52.2
73.4
44.2
84.3
24.1
11.7
10.7
2.1
1.1
-03
202
2
48.0
62.8
46.6
91.4
26.0
16.4
9.9
2.3
1.0
2-0
2
202
38.1
80.5
48.2
81.5
24.7
13.5
9.1
1.7
1.0
1
44.1
73.5
51.9
69.9
25.2
18.4
8.0
1.6
1.1
2-0
Product Type
Repo - Govt. Collateral
Deposits
Commercial Paper
U.S. Treasuries
Asset-Backed Securities
Other
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
6
As reported on Form PF, Question 63.
202
E
Analytics Office
July 18, 2023
Analytics Office
X
Section 4 Private Equity Fund Specific Information
A
CPC Industry Concentration
Table 75: Gross Assets in CPC Industries (Percent of Total)
As reported on Form PF, Questions 8 and 77.
Type
Software Publishers
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...
Other Miscellaneous Durable Goods...
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
0.3
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
0.2
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
0.3
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
0.2
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
0.1
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
0.1
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
0.1
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
0.1
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
0.3
0.2
0.2
0.2
***
***
0.2
0.1
***
0.1
July 18, 2023
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
5.4
18.1
45.4
15.3
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
30.8
66.0
22.8
July 18, 2023
C
Analytics Office
CPC Investments by Region and Country
Table 76: Aggregate Gross Value of Private Equity
Investments by Region ($ Billions)
As reported on Form PF, Questions 70 and 78.
Region
North America
Europe EEA
Asia
Europe Other
South America
Middle East
Supranational
Africa
2014Q4
4,506
1,259
462
9
85
12
67
12
2015Q4
4,132
941
447
21
58
9
23
12
2016Q4
3,942
848
406
22
111
15
37
18
2017Q4
3,961
963
379
40
184
23
49
14
2018Q4
4,211
1,256
435
46
140
16
55
10
2019Q4
5,163
1,547
561
69
149
18
60
15
2020Q4
6,633
2,155
1,028
158
141
44
78
9
2021Q4
9,558
3,576
881
409
171
124
82
12
2022Q4
10,956
3,072
1,079
613
216
151
77
14
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
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
July 18, 2023
Analytics Office
Table 78: Aggregate Gross Asset Value of Private Equity
CPC Investments by Country ($ Billions)
As reported on Form PF, Questions 70 and 78.
Country
United States
India
China and Hong Kong
Japan
Brazil
Russia
2014Q4
4,305
83
186
98
58
2
2015Q4
3,943
89
173
85
41
5
2016Q4
3,776
92
114
79
88
4
2017Q4
3,794
73
147
52
131
4
2018Q4
4,015
104
154
52
96
2
2019Q4
4,803
128
149
78
93
1
2020Q4
6,243
229
235
283
78
1
2021Q4
8,364
277
210
128
55
6
2022Q4
10,297
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
July 18, 2023
XI
A
Analytics Office
Appendices
Form PF Filer Categories
The amount of information an adviser must report and the frequency with which it must report
on Form PF depends on the amount of the adviser’s private fund assets and the types of private
funds managed. Reporting advisers must identify the types of private funds they manage on Form
PF.
1
All Private Fund Advisers
SEC-registered investment advisers with at least $150 million in private fund assets under
management are required to file Form PF. Registered investment advisers with less than $150 million
in private funds assets under management, exempt reporting advisers, and state-registered advisers
report general private fund data on Form ADV, but do not file Form PF.6 Not all Form PF filers
report on a quarterly basis. Smaller private fund advisers and all private equity fund advisers file
Form PF on an annual basis, while larger hedge fund advisers and larger liquidity fund advisers file
the form quarterly.7 As a result of the difference in reporting frequency, information in this report
related to funds that are reported annually may be dated by several months.8
2
Large Hedge Fund Advisers
Large Hedge Fund Advisers have at least $1.5 billion in hedge fund assets under management.
A Large Hedge Fund Adviser is required to file Form PF quarterly and provide data about each
hedge fund it managed during the reporting period (irrespective of the size of the fund).
Large Hedge Fund Advisers must report more information on Form PF about Qualifying Hedge
Funds than other hedge funds they manage during the reporting period. A Qualifying Hedge Fund is
any hedge fund advised by a Large Hedge Fund Adviser that had a NAV (individually or in
combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of
at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the
adviser’s most recently completed fiscal quarter. This report provides information about all hedge
funds reported by Large Hedge Fund Advisers, including Qualifying Hedge Funds and smaller hedge
funds. This report also provides an overview of certain data reported solely for Qualifying Hedge
Funds.
6
Note that these thresholds are on a gross basis. Exempt reporting advisers are advisers that rely on the exemptions
from SEC registration in Advisers Act section 203(l) for venture capital fund advisers and section 203(m) for advisers
managing less than $150 million in private fund assets in the U.S.
7
An adviser may be a large hedge fund adviser that must file quarterly to report data about the hedge funds it manages
as well as a private equity fund adviser that must file only annually to report data about the private equity funds it
manages.
8
In addition, because some Form PF filers have fiscal year ends that are not December 31, not all Form PF data is filed
as of a single date.
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July 18, 2023
3
Analytics Office
Large Liquidity Fund Advisers
Large Liquidity Fund Advisers have at least $1 billion in combined liquidity fund and money
market fund assets under management. On a quarterly basis, such advisers report on Form PF data
about the liquidity funds they managed during the reporting period (irrespective of the size of the
fund). This report contains information about all liquidity funds reported by Large Liquidity Fund
Advisers (referred to in this report as “Section 3 Liquidity Funds”).
4
Large Private Equity Fund Advisers
Large Private Equity Fund Advisers have at least a $2 billion in private equity fund assets
under management. These advisers are required to file Form PF annually in connection with the
private equity funds they managed during the reporting period. Smaller Private Equity Fund
Advisers must file annually as well, but provide less detail regarding the private equity funds they
manage. This report provides information about private equity funds managed by Large Private
Equity Fund Advisers (referred to in this report as “Section 4 Private Equity Funds”).
5
Other Private Fund Advisers
All advisers required to file Form PF that are not Large Hedge Fund Advisers or Large
Liquidity Fund Advisers must file Form PF annually to report data about each private fund
managed by the adviser.9 These “annual filing advisers” include smaller fund advisers, Large Private
Equity Fund advisers, and venture capital fund advisers. Annual filers must provide specific
information about each of the private funds they manage on an annual basis.
9
This includes “other private funds,” which are private funds that do not meet the Form PF definition of hedge fund,
liquidity fund, private equity fund, real estate fund, securitized asset fund, or venture capital fund.
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July 18, 2023
B
Analytics Office
Handling Annual and Quarterly Data
Only a subset of filers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are
required to file Form PF quarterly; all other filings are made annually. Annual filings are typically,
but not always, made at the end of the calendar year, as Form PF allows filings to be made at the
end of an adviser’s fiscal year. In order to present the most complete and recent data possible, while
accounting for differences in filing dates, we use the following procedure for determining which data
to consider in any given quarter:
First, filings are grouped by their report date within their reported year:
(Q1): February 15 to May 14
(Q2): May 15 to August 14
(Q3): August 15 to November 14
(Q4): November 15 to February 14
Then, responses for funds that have no information are ‘filled forward’ — essentially, copied
from last reported values — up to a maximum of three quarters. Any fund that has no data four
quarters after its most recent date is no longer counted or included in any calculations.10
C
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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July 18, 2023
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.
63
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.