# Division of Investment Management

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URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3A6373b20fc8c03a0f

## Record

- **Collection:** Agency decision
- **Document type:** Agency decision

## Text

Division of Investment Management
Analytics Office

Private Funds Statistics
First Calendar Quarter 2018

November 13, 2018

This is a report of the Staff of the Division of Investment Management’s Analytics Office of the U.S.
Securities and Exchange Commission. The Commission has expressed no view regarding the analysis,
findings, or conclusions contained herein.

November 13, 2018

Analytics Office

Introduction
This report provides a summary of recent private fund industry statistics and trends, reflecting
data collected through Form PF and Form ADV filings.1 Form PF information provided in this
report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary
information of individual Form PF filers.
This report reflects data from Second Calendar Quarter 2016 through First Calendar Quarter
2018 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 First Calendar Quarter 2018 Private
Funds Statistics, please contact:
Tim Dulaney, PhD, FRM or Tim Husson, PhD, FRM at FormPF@sec.gov with subject line “First
Calendar Quarter 2018-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. This report relies upon the Form PF database constructed and maintained by the Office
of Research and Data Services in the Division of Economic and Risk Analysis.

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Analytics Office

Contents
I
II

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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5
5
8
10
11

III

Fund Domiciles and Adviser Main Offices

13

IV

Beneficial Ownership

15

V

Derivatives

19

VI

High Frequency Trading

20

VII

Hedge Fund Industry Concentration

21

VIII Information Reported by Large Hedge Fund Advisers
A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

23
23
25
26
27

IX

Qualifying Hedge Fund Specific Information
A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
F Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
G Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
H Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
I Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

29
29
31
33
34
35
37
40
41
42

X

Section 3 Liquidity Fund Specific Information
A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

43
43
43
46
46

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Analytics Office

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

47

Section 4 Private Equity Fund Specific Information
A CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . .

48
48
49
50

XII Appendices
A Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1 All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2 Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3 Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4 Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . .
5 Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C How to Read a Boxplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

52
52
52
52
53
53
53
54
54
55
56

XI

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November 13, 2018

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
Other Private Fund
Section 4 Private Equity Fund
Real Estate Fund
Qualifying Hedge Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total

2016Q2
9,725
8,931
4,139
2,742
2,103
1,604
1,418
646
66
37
27,028

2016Q3
9,752
8,993
4,130
2,747
2,120
1,616
1,417
651
67
36
27,130

2016Q4
10,364
8,926
4,449
3,002
2,453
1,648
1,451
761
69
44
28,473

2017Q1
10,382
9,082
4,473
3,006
2,451
1,670
1,463
759
70
45
28,680

2017Q2
10,362
9,120
4,495
3,009
2,449
1,716
1,475
769
68
46
28,738

2017Q3
10,272
9,153
4,453
2,989
2,440
1,718
1,477
755
68
45
28,618

2017Q4
11,493
9,023
4,524
3,482
2,641
1,799
1,504
848
69
47
30,102

2018Q1
11,532
9,175
4,594
3,494
2,651
1,769
1,510
848
68
45
30,378

Table 2: Number of Advisers Advising Each Fund Type
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.

Fund Type
Private Equity Fund
Hedge Fund
Other Private Fund
Section 4 Private Equity Fund
Real Estate Fund
Qualifying Hedge Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total

2016Q2
1,025
1,688
568
243
293
525
156
98
37
19
2,840

2016Q3
1,024
1,685
569
243
295
516
154
100
37
19
2,837

2016Q4
1,092
1,688
581
248
314
531
149
109
39
24
2,916

2017Q1
1,095
1,687
579
250
316
527
151
109
39
24
2,918

2017Q2
1,091
1,688
579
250
314
534
153
110
38
24
2,919

2017Q3
1,088
1,688
575
247
313
535
154
109
38
23
2,918

2017Q4
1,140
1,728
581
293
326
551
155
114
39
25
3,013

2018Q1
1,147
1,729
587
296
328
541
155
115
39
23
3,023

3
In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered
investment advisers that file a Form PF to report private funds. Please see Appendix E for definitions of other capitalized
terms used in this report.

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Analytics Office

II

Gross and Net Assets

A

Aggregate Assets by Fund Type over Time
Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions)
As reported on Form PF, Question 8.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.

Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total

2016Q2
6,268
5,044
2,063
1,472
978
410
420
287
258
56
10,482

2016Q3
6,421
5,204
2,064
1,472
982
411
420
292
249
55
10,646

2016Q4
6,385
5,196
2,318
1,645
1,066
436
448
293
274
64
11,009

2017Q1
6,628
5,419
2,326
1,648
1,077
436
449
282
267
64
11,263

2017Q2
6,847
5,668
2,323
1,648
1,088
433
454
273
271
64
11,483

2017Q3
7,167
5,840
2,310
1,641
1,060
432
453
278
275
63
11,764

2017Q4
7,215
5,840
2,724
1,941
1,189
499
485
287
285
81
12,480

2018Q1
7,530
6,090
2,763
1,978
1,204
504
480
287
284
81
12,849

Table 4: Aggregate Private Fund Net Asset Value (NAV) ($ Billions)
As reported on Form PF, Question 9.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.

Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total

2016Q2
3,424
2,658
1,886
1,377
877
326
138
285
256
53
6,988

2016Q3
3,483
2,727
1,887
1,377
882
327
140
290
247
52
7,062

2016Q4
3,480
2,731
2,075
1,492
977
341
141
292
273
61
7,368

5

2017Q1
3,598
2,816
2,084
1,496
987
342
141
281
265
61
7,494

2017Q2
3,656
2,888
2,082
1,496
994
340
145
272
269
62
7,550

2017Q3
3,778
2,982
2,069
1,489
970
339
144
277
274
60
7,637

2017Q4
3,879
3,046
2,440
1,755
1,074
390
152
286
284
76
8,299

2018Q1
3,969
3,103
2,483
1,789
1,084
393
152
285
282
77
8,442

November 13, 2018

Analytics Office

Figure 1: GAV and NAV Distributions
See Appendix C for an explanation of boxplots.

20

20

16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q1

NAV ($Billions)

Q2

8
7
6
5
4
3
2
1
0

16

Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q1

16

20

20

16

Q2

GAV ($Billions)

As reported on Form PF, Questions 8 and 9.

8
7
6
5
4
3
2
1
0

1400
1200
1000
800
600
400
200
0

20

16

Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q1

NAV ($Millions)

16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q1

1400
1200
1000
800
600
400
200
0

(b) Qualifying Hedge Fund NAV

20

GAV ($Millions)

(a) Qualifying Hedge Fund GAV

(c) Section 4 Private Equity Fund GAV

(d) Section 4 Private Equity Fund NAV

6

November 13, 2018

Analytics Office

Figure 2: Ratio of GAV to NAV
See Appendix C and Appendix D for an explanation of boxplots and winsorization.

2.0
1.5
1.0
0.5

Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q1

0.0

3.0
2.5
2.0
1.5
1.0
0.5
0.0

16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q1

Ratio of GAV to NAV
Winsorized (limits=[0%,98%])

2.5

20

20

16

Ratio of GAV to NAV
Winsorized (limits=[0%,98%])

As reported on Form PF, Questions 8, 9, and 10.

3.0

(a) All Private Funds

(b) Qualifying Hedge Funds

7

November 13, 2018

Borrowings
Table 5: Aggregate Borrowings (Percent of Aggregate GAV)
As reported on Form PF, Questions 8, 12, and 43 (Third Month).

Fund Type
Securitized Asset Fund
Qualifying Hedge Fund
Hedge Fund
Real Estate Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund

2016Q2
48.7
38.5
36.5
13.3
4.9
3.4
2.2
0.4
0.0
0.0

2016Q3
48.4
40.0
38.2
13.2
4.9
3.4
2.1
0.4
0.0
0.0

2016Q4
50.7
39.8
37.4
13.9
5.1
4.0
2.8
0.4
0.0
0.0

2017Q1
49.5
41.3
38.6
12.9
5.0
4.0
2.7
0.4
0.0
0.0

2017Q2
48.8
42.2
39.2
12.7
5.0
4.0
2.7
0.5
0.0
0.0

2017Q3
48.4
41.8
39.6
12.8
5.0
4.1
2.7
0.5
0.0
0.0

2017Q4
51.9
41.6
39.4
13.2
5.2
4.6
2.2
0.6
0.0
0.0

2018Q1
51.2
42.8
40.3
13.5
4.9
4.6
2.7
0.5
0.0
0.0

Figure 3: Distribution of Total Borrowings for All Private Funds
and Qualifying Hedge Funds
See Appendix C for an explanation of boxplots.

Total Borrowings ($Billions)

700
600
500
400
300
200
100
0

3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0

20
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q1

Total Borrowings ($Millions)

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

20
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q1

B

Analytics Office

(a) All Private Funds

(b) Qualifying Hedge Funds

8

November 13, 2018

Analytics Office

Figure 4: Ratio of Borrowings to NAV
See Appendix C and Appendix D for an explanation of boxplots and winsorization.

4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0

16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q1

Ratio of Borrowings to NAV
Winsorized (limits=[0%,98%])

20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q1

20

20

16
Q

Ratio of Borrowings to NAV
Winsorized (limits=[0%,98%])

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

4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0

(a) All Private Funds

(b) Qualifying Hedge Funds

9

November 13, 2018

C

Analytics Office

Fair Value Hierarchy
Table 6: Assets According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.

Level One
Level Two
Level Three
Cost-Based

2016Q2
2,457
2,061
2,265
1,539

2016Q3
2,473
2,058
2,263
1,538

2016Q4
2,869
2,537
2,594
1,972

2017Q1
2,577
2,194
2,513
1,691

2017Q2
2,570
2,179
2,513
1,723

2017Q3
2,559
2,218
2,507
1,731

2017Q4
3,271
2,742
2,895
2,243

2018Q1
3,009
2,301
2,855
1,884

Table 7: Liabilities According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.

Level One
Level Two
Level Three
Cost-Based

2016Q2
674
424
108
694

2016Q3
671
427
107
695

2016Q4
519
417
142
464

2017Q1
664
462
136
659

10

2017Q2
661
450
140
654

2017Q3
665
455
137
660

2017Q4
662
612
174
487

2018Q1
788
610
174
772

November 13, 2018

D

Analytics Office

Parallel Managed Accounts4
Table 8: Number of Funds with Parallel Managed Accounts
As reported on Form PF, Question 11.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.

Type
Hedge Fund
Other Private Fund
Private Equity Fund
Qualifying Hedge Fund
Section 4 Private Equity Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Securitized Asset Fund
Total

2016Q2
699
410
252
236
82
52
14
14
***
***
1,462

2016Q3
695
413
251
232
82
52
15
15
***
***
1,461

2016Q4
663
486
239
232
88
77
15
15
***
***
1,520

2017Q1
653
502
240
223
88
77
16
16
***
***
1,528

2017Q2
660
501
239
219
88
77
16
16
***
***
1,533

2017Q3
668
499
273
227
88
77
16
16
***
***
1,572

2017Q4
668
513
293
238
98
71
16
16
***
***
1,575

2018Q1
673
517
293
233
98
71
16
16
***
***
1,584

Table 9: Aggregate Value in Parallel Managed Accounts ($ Billions)
As reported on Form PF, Question 11.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.

Type
Hedge Fund
Other Private Fund
Private Equity Fund
Qualifying Hedge Fund
Section 4 Private Equity Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Securitized Asset Fund
Total

2016Q2
619
1,279
96
428
19
11
305
305
***
***
2,465

2016Q3
651
1,332
96
447
19
11
312
312
***
***
2,557

2016Q4
629
1,401
29
422
22
6
309
309
***
***
2,554

2017Q1
666
1,438
29
437
22
6
333
333
***
***
2,653

2017Q2
680
1,489
28
439
22
6
330
330
***
***
2,714

2017Q3
714
1,508
28
525
22
6
345
345
***
***
2,782

2017Q4
827
1,864
37
594
28
6
359
359
***
***
3,094

2018Q1
770
1,869
37
551
28
6
361
361
***
***
3,044

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

November 13, 2018

Analytics Office

Figure 5: Parallel Managed Account Value Distributions
See Appendix C for an explanation of boxplots.

Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q1

Parallel Managed Assets ($Billions)

4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0

20

16

Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q1

20

16

Parallel Managed Assets ($Billions)

As reported on Form PF, Question 11.

4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0

(a) All Private Funds

(b) Qualifying Hedge Funds

12

November 13, 2018

III

Analytics Office

Fund Domiciles and Adviser Main Offices
Table 10: Fund Domicile (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.

Country
United States
Cayman Islands
Ireland
Luxembourg
Virgin Islands, British
United Kingdom
Bermuda
Other
Country
Cayman Islands
United States
Virgin Islands, British
Ireland
Luxembourg
Bermuda
Other
Country
Ireland
United States
Cayman Islands
Other
Country
United States
Cayman Islands
United Kingdom
Bermuda
Canada
Other

All Private Funds
2016Q2 2016Q3 2016Q4 2017Q1 2017Q2
50.8
50.8
51.3
51.4
51.5
37.2
37.1
36.4
36.4
36.4
3.9
3.9
4.3
4.2
4.2
1.5
1.5
1.4
1.5
1.6
2.3
2.3
2.2
2.2
2.0
1.1
1.1
1.1
1.1
1.1
1.3
1.2
1.3
1.3
1.3
2.1
2.1
2.1
2.0
2.0
Qualifying Hedge Funds
2016Q2 2016Q3 2016Q4 2017Q1 2017Q2
54.4
53.6
52.8
52.6
52.4
33.1
33.8
34.3
34.6
35.0
5.7
5.5
5.5
5.3
5.0
2.5
2.6
2.7
2.7
2.7
1.2
1.3
1.3
1.4
1.6
1.4
1.4
1.8
1.7
1.7
1.7
1.7
1.7
1.7
1.6
Section 3 Liquidity Funds
2016Q2 2016Q3 2016Q4 2017Q1 2017Q2
***
***
***
***
***
34.2
34.1
33.1
33.9
36.2
***
***
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2016Q2 2016Q3 2016Q4 2017Q1 2017Q2
62.0
62.0
63.8
63.8
63.8
30.3
30.3
29.5
29.4
29.4
2.6
2.6
1.9
1.9
1.9
1.3
1.3
1.1
1.1
1.1
1.2
1.2
0.9
0.9
0.9
2.6
2.7
2.9
2.9
2.9

13

2017Q3
51.0
36.7
4.3
1.6
2.0
1.1
1.3
2.1

2017Q4
51.4
35.4
4.5
1.9
1.8
1.3
1.2
2.6

2018Q1
51.0
35.3
4.4
2.0
1.8
1.3
1.2
3.0

2017Q3
51.8
35.3
4.8
2.8
1.7
1.7
1.9

2017Q4
51.3
35.8
4.5
2.9
1.9
1.6
2.0

2018Q1
51.1
35.6
4.4
3.1
2.0
1.7
2.1

2017Q3
***
33.8
***
***

2017Q4
***
34.1
***
***

2018Q1
***
34.8
***
***

2017Q3
63.7
29.5
2.0
1.1
0.9
2.9

2017Q4
60.7
30.4
2.7
1.0
1.0
4.2

2018Q1
59.5
29.8
2.9
1.1
1.0
5.7

November 13, 2018

Analytics Office

Table 11: Adviser Main Office Location (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.

Country
United States
United Kingdom
Other

2016Q2
89.5
6.6
3.9

Country
United States
United Kingdom
Australia
Hong Kong
Other

2016Q2
89.5
5.6
***
***
2.5

Country
United States
United Kingdom
France

2016Q2
59.4
***
***

Country
United States
Canada
Other

2016Q2
97.2
***
***

All Private Funds
2016Q3 2016Q4 2017Q1 2017Q2
89.6
90.0
89.3
89.0
6.6
6.2
6.5
6.8
3.8
3.8
4.1
4.2
Qualifying Hedge Funds
2016Q3 2016Q4 2017Q1 2017Q2
89.3
89.5
89.3
89.2
5.7
5.8
5.9
6.4
***
***
***
***
***
***
***
***
2.4
2.3
2.3
2.3
Section 3 Liquidity Funds
2016Q3 2016Q4 2017Q1 2017Q2
64.1
62.5
64.2
63.7
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2016Q3 2016Q4 2017Q1 2017Q2
97.2
95.1
95.1
95.1
***
***
***
***
***
***
***
***

14

2017Q3
88.8
6.9
4.3

2017Q4
89.4
6.5
4.1

2018Q1
88.8
6.9
4.3

2017Q3
88.9
6.4
***
***
2.3

2017Q4
88.4
6.8
***
***
2.2

2018Q1
88.3
6.7
***
***
2.3

2017Q3
62.5
***
***

2017Q4
62.3
***
***

2018Q1
64.7
***
***

2017Q3
95.1
***
***

2017Q4
94.8
***
***

2018Q1
94.8
***
***

November 13, 2018

IV

Analytics Office

Beneficial Ownership
Table 12: Beneficial Ownership for All Private Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.

Type
Private Funds
Other
State/Muni. Govt. Pension Plans
Pension Plans
Non-Profits
U.S. Individuals
Sov. Wealth Funds and For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
Banking/Thrift Inst.
SEC-Registered Investment Companies
State/Muni. Govt. Entities
Broker-Dealers

2016Q2
1,324
894
919
892
703
771
386
276
199
172
149
112
89
104

2016Q3
1,323
919
934
908
724
779
387
275
199
170
145
112
90
97

2016Q4
1,340
975
1,008
946
749
773
429
305
198
187
136
117
100
102

2017Q1
1,355
996
1,028
956
770
786
438
310
198
187
140
118
105
104

2017Q2
1,371
1,011
1,032
966
778
789
443
312
185
186
142
117
107
107

2017Q3
1,371
1,039
1,047
972
789
798
445
314
183
189
146
123
108
111

2017Q4
1,492
1,189
1,153
1,037
848
817
514
349
187
194
159
124
122
112

2018Q1
1,515
1,233
1,153
1,045
860
833
539
352
191
190
160
130
126
113

2017Q4
18.0
14.3
13.9
12.5
10.2
9.8
6.2
4.2
2.3
2.3
1.9
1.5
1.5
1.3

2018Q1
17.9
14.6
13.7
12.4
10.2
9.9
6.4
4.2
2.3
2.2
1.9
1.5
1.5
1.3

Table 13: Beneficial Ownership for All Private Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.

Type
Private Funds
Other
State/Muni. Govt. Pension Plans
Pension Plans
Non-Profits
U.S. Individuals
Sov. Wealth Funds and For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
Banking/Thrift Inst.
SEC-Registered Investment Companies
State/Muni. Govt. Entities
Broker-Dealers

2016Q2
18.9
12.8
13.2
12.8
10.1
11.0
5.5
4.0
2.8
2.5
2.1
1.6
1.3
1.5

2016Q3
18.7
13.0
13.2
12.9
10.2
11.0
5.5
3.9
2.8
2.4
2.1
1.6
1.3
1.4

15

2016Q4
18.2
13.2
13.7
12.8
10.2
10.5
5.8
4.1
2.7
2.5
1.8
1.6
1.4
1.4

2017Q1
18.1
13.3
13.7
12.8
10.3
10.5
5.8
4.1
2.6
2.5
1.9
1.6
1.4
1.4

2017Q2
18.2
13.4
13.7
12.8
10.3
10.5
5.9
4.1
2.5
2.5
1.9
1.5
1.4
1.4

2017Q3
18.0
13.6
13.7
12.7
10.3
10.4
5.8
4.1
2.4
2.5
1.9
1.6
1.4
1.5

November 13, 2018

Analytics Office

Table 14: Beneficial Ownership for Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.

Type
Private Funds
Other
Non-Profits
Pension Plans
U.S. Individuals
State/Muni. Govt. Pension Plans
Sov. Wealth Funds and For. Official Inst.
Broker-Dealers
Insurance Companies
Non-U.S. Individuals
SEC-Registered Investment Companies
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.

2016Q2
508
332
359
350
308
278
136
76
65
65
68
46
32
33

2016Q3
503
356
379
363
319
290
140
69
65
66
67
46
33
30

2016Q4
489
356
382
367
318
303
143
68
67
65
63
41
35
29

2017Q1
493
375
395
377
324
310
152
72
70
68
62
45
41
31

2017Q2
504
386
404
385
331
313
158
75
73
68
60
52
42
33

2017Q3
509
410
417
397
340
330
160
79
74
70
64
56
42
33

2017Q4
504
409
428
413
345
351
166
79
78
74
63
58
42
35

2018Q1
515
436
428
415
341
341
193
80
78
76
64
55
47
33

2017Q4
16.5
13.4
14.1
13.6
11.3
11.5
5.4
2.6
2.6
2.4
2.1
1.9
1.4
1.1

2018Q1
16.6
14.0
13.8
13.4
11.0
11.0
6.2
2.6
2.5
2.4
2.1
1.8
1.5
1.1

Table 15: Beneficial Ownership for Qualifying Hedge Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.

Type
Private Funds
Other
Non-Profits
Pension Plans
U.S. Individuals
State/Muni. Govt. Pension Plans
Sov. Wealth Funds and For. Official Inst.
Broker-Dealers
Insurance Companies
Non-U.S. Individuals
SEC-Registered Investment Companies
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.

2016Q2
19.1
12.5
13.5
13.2
11.6
10.4
5.1
2.9
2.4
2.4
2.6
1.7
1.2
1.2

2016Q3
18.4
13.0
13.9
13.3
11.7
10.6
5.1
2.5
2.4
2.4
2.5
1.7
1.2
1.1

16

2016Q4
17.9
13.0
14.0
13.5
11.7
11.1
5.2
2.5
2.5
2.4
2.3
1.5
1.3
1.1

2017Q1
17.5
13.3
14.0
13.4
11.5
11.0
5.4
2.5
2.5
2.4
2.2
1.6
1.4
1.1

2017Q2
17.4
13.4
14.0
13.3
11.5
10.8
5.5
2.6
2.5
2.4
2.1
1.8
1.4
1.1

2017Q3
17.1
13.7
14.0
13.3
11.4
11.1
5.4
2.6
2.5
2.3
2.1
1.9
1.4
1.1

November 13, 2018

Analytics Office

Table 16: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.

Type
Private Funds
Other
Unknown Non-U.S. Investors
SEC-Registered Investment Companies
Broker-Dealers
Banking/Thrift Inst.
Insurance Companies
Pension Plans
Sov. Wealth Funds and For. Official Inst.
Non-U.S. Individuals
Non-Profits
State/Muni. Govt. Entities
State/Muni. Govt. Pension Plans
U.S. Individuals

2016Q2
79
38
***
17
***
***
8
5
***
17
***
***
***
***

2016Q3
80
40
60
18
***
***
8
***
***
4
***
***
***
***

2016Q4
81
52
65
16
***
10
9
5
***
4
1
***
1
***

2017Q1
75
51
60
18
***
***
9
5
***
4
2
***
1
***

2017Q2
89
51
52
18
***
12
9
5
***
4
2
***
1
***

2017Q3
83
51
55
20
***
***
10
5
***
4
2
***
1
***

2017Q4
96
55
53
18
***
***
9
5
***
4
2
***
1
***

2018Q1
94
56
***
23
***
13
9
5
***
4
1
***
1
***

2017Q4
33.8
19.4
18.7
6.5
***
***
3.0
1.8
***
1.4
0.5
***
0.4
***

2018Q1
33.1
20.0
***
8.1
***
4.8
3.3
1.8
***
1.4
0.5
***
0.3
***

Table 17: Beneficial Ownership for Section 3 Liquidity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.

Type
Private Funds
Other
Unknown Non-U.S. Investors
SEC-Registered Investment Companies
Broker-Dealers
Banking/Thrift Inst.
Insurance Companies
Pension Plans
Sov. Wealth Funds and For. Official Inst.
Non-U.S. Individuals
Non-Profits
State/Muni. Govt. Entities
State/Muni. Govt. Pension Plans
U.S. Individuals

2016Q2
30.9
14.7
***
6.5
***
***
3.3
1.8
***
6.8
***
***
***
***

2016Q3
32.3
16.2
24.2
7.1
***
***
3.2
***
***
1.6
***
***
***
***

17

2016Q4
29.6
19.2
23.7
5.9
***
3.6
3.3
1.7
***
1.4
0.5
***
0.4
***

2017Q1
28.3
19.3
22.7
6.9
***
***
3.4
1.8
***
1.5
0.6
***
0.6
***

2017Q2
32.9
18.9
19.4
6.7
***
4.4
3.4
1.9
***
1.5
0.6
***
0.4
***

2017Q3
30.4
18.7
20.2
7.4
***
***
3.7
1.9
***
1.4
0.6
***
0.4
***

November 13, 2018

Analytics Office

Table 18: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.

Type
State/Muni. Govt. Pension Plans
Private Funds
Other
Sov. Wealth Funds and For. Official Inst.
Pension Plans
Insurance Companies
Non-Profits
U.S. Individuals
Non-U.S. Individuals
Banking/Thrift Inst.
State/Muni. Govt. Entities
SEC-Registered Investment Companies
Unknown Non-U.S. Investors
Broker-Dealers

2016Q2
326
270
140
132
137
84
87
95
35
32
19
5
15
1

2016Q3
326
270
140
131
138
84
87
95
35
32
19
5
15
1

2016Q4
366
283
162
153
142
94
92
88
34
31
22
12
14
1

2017Q1
366
285
162
154
142
94
92
88
34
31
22
12
14
1

2017Q2
366
284
161
154
142
94
92
88
34
31
22
12
14
1

2017Q3
366
284
161
153
139
94
90
88
34
31
22
12
13
1

2017Q4
415
353
212
186
159
109
104
94
36
29
28
16
14
1

2018Q1
416
356
225
203
159
109
104
94
36
29
28
16
14
1

Table 19: Beneficial Ownership for Section 4 Private Equity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.

Type
State/Muni. Govt. Pension Plans
Private Funds
Other
Sov. Wealth Funds and For. Official Inst.
Pension Plans
Insurance Companies
Non-Profits
U.S. Individuals
Non-U.S. Individuals
Banking/Thrift Inst.
State/Muni. Govt. Entities
SEC-Registered Investment Companies
Unknown Non-U.S. Investors
Broker-Dealers

2016Q2
23.7
19.6
10.2
9.6
10.0
6.1
6.3
6.9
2.6
2.3
1.4
0.4
1.1
0.0

2016Q3
23.6
19.6
10.2
9.5
10.0
6.1
6.3
6.9
2.5
2.3
1.4
0.4
1.1
0.0

18

2016Q4
24.5
19.0
10.8
10.3
9.5
6.3
6.1
5.9
2.3
2.0
1.5
0.8
0.9
0.1

2017Q1
24.5
19.0
10.8
10.3
9.5
6.3
6.1
5.9
2.3
2.0
1.5
0.8
0.9
0.1

2017Q2
24.5
19.0
10.8
10.3
9.5
6.3
6.2
5.9
2.3
2.0
1.5
0.8
0.9
0.1

2017Q3
24.6
19.1
10.8
10.3
9.4
6.3
6.1
5.9
2.3
2.1
1.5
0.8
0.9
0.1

2017Q4
23.6
20.1
12.1
10.6
9.1
6.2
5.9
5.3
2.1
1.7
1.6
0.9
0.8
0.1

2018Q1
23.3
19.9
12.6
11.3
8.9
6.1
5.8
5.2
2.0
1.6
1.5
0.9
0.8
0.1

November 13, 2018

V

Analytics Office

Derivatives
Table 20: Aggregate Derivative Value ($ Billions)
As reported on Form PF, Questions 13 and 44 (Third Month).
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.

Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Section 4 Private Equity Fund
Liquidity Fund
Section 3 Liquidity Fund
Real Estate Fund
Securitized Asset Fund
Venture Capital Fund
Total

2016Q2
9,318
8,025
96
54
42
***
***
21
11
***
9,454

2016Q3
9,346
8,152
97
53
42
***
***
21
10
***
9,491

2016Q4
9,142
7,869
112
38
35
***
***
16
14
***
9,343

2017Q1
10,178
8,763
108
38
35
***
***
16
14
***
10,327

2017Q2
10,105
8,771
108
38
34
***
***
16
14
***
10,335

2017Q3
11,361
9,575
108
38
34
***
***
16
13
***
11,564

2017Q4
12,117
10,113
146
39
33
***
***
17
3
***
12,311

2018Q1
14,025
11,909
148
40
34
***
***
17
2
***
14,141

Table 21: Aggregate Derivative Value (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 13, and 44 (Third Month).

Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Section 4 Private Equity Fund
Liquidity Fund
Section 3 Liquidity Fund
Real Estate Fund
Securitized Asset Fund
Venture Capital Fund
Total

2016Q2
272.2
302.0
10.9
2.8
3.1
***
***
6.6
7.7
***
135.3

2016Q3
268.3
298.9
11.0
2.8
3.1
***
***
6.6
7.4
***
134.4

2016Q4
262.7
288.2
11.4
1.8
2.3
***
***
4.8
9.8
***
126.8

19

2017Q1
282.9
311.2
10.9
1.8
2.3
***
***
4.8
9.8
***
137.8

2017Q2
276.4
303.7
10.8
1.8
2.3
***
***
4.7
9.4
***
136.9

2017Q3
300.7
321.1
11.2
1.8
2.3
***
***
4.8
9.2
***
151.4

2017Q4
312.4
332.0
13.6
1.6
1.9
***
***
4.4
1.7
***
148.3

2018Q1
353.4
383.7
13.6
1.6
1.9
***
***
4.4
1.6
***
167.5

November 13, 2018

Analytics Office

Figure 6: Distribution of Derivative Values
See Appendix C and Appendix D for an explanation of boxplots and winsorization.

12
10
8
6
4
2
0

16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q1

Total Derivative Value ($Billions)
Winsorized (limits=[1%,99%])

20

20

16

Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q1

Total Derivative Value ($Billions)
Winsorized (limits=[1%,99%])

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

1.8
1.6
1.4
1.2
1.0
0.8
0.6
0.4
0.2
0.0

(a) All Private Funds

VI

(b) Qualifying Hedge Funds

High Frequency Trading
Table 22: Number of Hedge Funds Using
High Frequency Trading (HFT) Strategies
As reported on Form PF, Question 21.

Fraction of NAV
0%
Less than 100%
100% or More

2016Q2
7,492
64
10

2016Q3
7,533
70
9

2016Q4
7,493
62
11

2017Q1
7,623
62
12

2017Q2
7,665
66
11

2017Q3
7,693
63
12

2017Q4
7,758
42
12

2018Q1
7,868
70
11

Table 23: 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

2016Q2
3,310
83
2

2016Q3
3,367
84
2

2016Q4
3,366
78
2

2017Q1
3,484
79
3

20

2017Q2
3,548
78
3

2017Q3
3,650
43
37

2017Q4
3,768
41
37

2018Q1
3,840
46
38

November 13, 2018

VII

Analytics Office

Hedge Fund Industry Concentration
Table 24: Percent of Aggregate Hedge Fund Net Asset Value
Reported by Top Hedge Funds Sorted by Net Asset Value
As reported on Form PF, Questions 9 and 10.

Top 10
Top 25
Top 50
Top 100
Top 250
Top 500

2016Q2
7.8
13.6
20.4
29.2
44.2
57.6

2016Q3
7.9
13.9
20.6
29.3
44.3
57.7

2016Q4
8.0
13.8
20.6
29.1
44.2
57.5

2017Q1
7.7
13.4
20.3
28.7
43.7
57.0

2017Q2
7.7
13.5
20.3
28.6
43.5
56.9

2017Q3
7.5
13.2
20.0
28.5
43.5
56.8

2017Q4
7.5
13.4
20.2
28.8
43.3
56.6

2018Q1
7.3
13.3
20.2
28.6
43.0
56.5

Table 25: Percent of Aggregate Hedge Fund Gross Asset Value
Reported by Top Hedge Funds Sorted by Gross Asset Value
As reported on Form PF, Questions 8 and 10.

Top 10
Top 25
Top 50
Top 100
Top 250
Top 500

2016Q2
15.2
23.6
31.0
40.6
54.7
66.6

2016Q3
14.5
23.0
31.2
40.9
55.1
66.9

2016Q4
14.7
23.3
31.5
41.1
55.0
66.8

2017Q1
14.6
23.2
31.7
41.2
54.9
66.5

2017Q2
15.0
23.2
31.5
41.2
55.1
66.8

2017Q3
15.5
24.2
32.5
42.1
55.9
67.4

2017Q4
15.2
23.6
31.6
41.2
55.3
66.6

2018Q1
15.5
24.1
32.7
42.1
55.7
67.0

Table 26: Percent of Aggregate Hedge Fund Borrowings
Reported by Top Hedge Funds Sorted by Borrowings
As reported on Form PF, Questions 12 and 43 (Month 3).

Top 10
Top 25
Top 50
Top 100
Top 250
Top 500

2016Q2
32.8
45.4
56.2
67.5
80.6
89.5

2016Q3
32.9
45.6
56.7
68.7
81.7
90.2

2016Q4
31.6
44.5
56.2
68.6
81.7
90.0

2017Q1
32.1
45.3
56.8
68.8
81.4
89.9

21

2017Q2
33.5
46.4
57.5
69.2
81.8
90.1

2017Q3
35.1
47.7
58.8
70.3
82.6
90.5

2017Q4
34.5
47.6
59.1
70.9
82.6
90.2

2018Q1
35.2
49.1
60.0
71.1
82.9
90.4

November 13, 2018

Analytics Office

Table 27: Percent of Aggregate Hedge Fund Derivative Value
Reported by Top Hedge Funds Sorted by Derivative Value
As reported on Form PF, Questions 13 and 44 (Month 3).

Top 10
Top 25
Top 50
Top 100
Top 250
Top 500

2016Q2
34.7
49.0
61.0
72.6
85.8
92.9

2016Q3
37.1
50.8
61.7
73.5
86.2
93.2

2016Q4
34.9
48.8
60.4
73.4
86.2
93.3

2017Q1
34.4
48.4
60.9
73.5
86.4
93.3

2017Q2
32.4
46.7
59.4
72.2
85.9
92.8

2017Q3
32.7
49.4
61.7
73.7
86.5
93.3

2017Q4
32.7
48.0
60.4
72.9
86.0
93.1

2018Q1
32.3
50.2
62.1
73.7
86.9
93.7

Table 28: Percent of Aggregate Hedge Fund Gross Notional Exposure
Reported by Top Hedge Funds Sorted by Gross Notional Exposure
As reported on Form PF, Questions 26 and 30 (Month 3).

Top 10
Top 25
Top 50
Top 100
Top 250
Top 500

2016Q2
31.7
44.2
55.3
67.2
81.4
90.9

2016Q3
32.8
45.6
56.5
67.8
81.7
90.9

2016Q4
31.7
45.6
57.0
68.9
82.3
91.3

2017Q1
31.1
44.7
56.9
69.0
82.6
91.4

22

2017Q2
30.4
43.5
55.7
67.8
82.0
90.8

2017Q3
30.4
45.2
57.2
68.9
82.6
91.2

2017Q4
30.4
45.0
56.6
68.7
82.7
91.2

2018Q1
29.8
46.6
59.3
70.5
84.0
92.0

November 13, 2018

VIII
A

Analytics Office

Information Reported by Large Hedge
Fund Advisers

Economic Leverage
Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value
See Appendix C and Appendix D for an explanation of boxplots and winsorization.

14
12
10
8
6
4
2
0

20

20
1

16
-0

20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-03

Ratio of GNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])

14
12
10
8
6
4
2
0

6-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-03

Ratio of GNE to NAV
Winsorized (limits=[0%,98%])

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

(a) Gross Exposure with Interest Rate Derivatives (IRDs)

23

(b) Gross Exposure without IRDs

(a) Long Exposure with IRDs

8

6

4

2

0

(c) Short Exposure with IRDs

24

20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-03

0

16
-0

2

20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-03

4

20

6

Ratio of LNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])

8

16
-0

10

Ratio of SNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])

6-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-03

20
1

Ratio of LNE to NAV
Winsorized (limits=[0%,98%])
10

20

-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-03

16

20

-06

16

20

Ratio of SNE to NAV
Winsorized (limits=[0%,98%])

November 13, 2018
Analytics Office

Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and
Short Notional Exposure (SNE) to Net Asset Value Distribution

See Appendix C and Appendix D for an explanation of boxplots and winsorization.
As reported on Form PF, Questions 3(a) and 26.

10
8

6

4

2

0

(b) Long Exposure without IRDs

10

8

6

4

2

0

(d) Short Exposure without IRDs

November 13, 2018

B

Analytics Office

Industry Concentration
Table 29: Large Hedge Fund Adviser Asset and Exposure Concentration
(Percent of Total Reported)
As reported on Form PF, Questions 3(a) and 26.

Month
2016-04
2016-05
2016-06
2016-07
2016-08
2016-09
2016-10
2016-11
2016-12
2017-01
2017-02
2017-03
2017-04
2017-05
2017-06
2017-07
2017-08
2017-09
2017-10
2017-11
2017-12
2018-01
2018-02
2018-03

Top 10 Advisers (NAV)
17.9
18.0
18.0
18.0
18.0
18.0
18.1
18.1
18.1
18.6
18.6
18.6
18.5
18.5
18.5
18.6
18.6
18.6
18.4
18.4
18.4
18.5
18.5
18.5

Top 20 Advisers (NAV)
27.8
28.0
27.9
27.9
27.9
27.9
27.9
27.9
27.9
28.2
28.2
28.2
28.1
28.1
28.1
28.1
28.1
28.1
27.7
27.7
27.7
27.7
27.7
27.8

25

Top 10 Advisers (GNE)
37.4
38.2
37.1
38.1
38.9
38.7
39.6
40.0
36.8
38.4
39.0
37.3
36.1
36.5
36.3
36.6
37.4
36.2
36.0
36.3
36.5
37.3
40.6
39.9

Top 20 Advisers (GNE)
51.2
51.7
51.0
52.4
52.8
52.8
53.2
53.4
50.8
52.2
52.8
51.1
50.1
50.5
50.5
51.1
52.5
50.8
51.3
52.0
51.8
53.4
56.4
55.6

November 13, 2018

Portfolio Turnover
Table 30: Aggregate Portfolio Turnover ($ Billions)
As reported on Form PF, Question 27.

Month
2016-04
2016-05
2016-06
2016-07
2016-08
2016-09
2016-10
2016-11
2016-12
2017-01
2017-02
2017-03
2017-04
2017-05
2017-06
2017-07
2017-08
2017-09
2017-10
2017-11
2017-12
2018-01
2018-02
2018-03

Futures
8,478
9,579
12,917
7,649
9,564
11,718
8,570
13,406
11,117
11,430
12,332
14,741
11,035
12,042
17,107
11,207
10,895
13,554
8,837
10,447
13,442
16,747
18,566
18,103

Sov. and muni. bonds
2,075
2,592
2,794
2,346
2,515
3,114
2,434
3,481
2,265
2,596
2,750
2,735
1,992
3,001
2,963
2,673
2,932
2,997
2,646
2,857
2,459
3,164
3,516
3,238

Listed equities
1,972
1,969
2,109
1,824
1,874
1,937
1,887
2,235
1,785
1,855
1,869
2,043
1,846
2,189
2,187
2,099
2,385
2,260
2,222
2,400
2,082
2,452
2,450
2,277

Corporate bonds
111
110
99
89
90
104
97
95
70
123
105
125
85
131
115
101
92
109
107
210
70
142
132
153

Convertible bonds
22
17
21
14
19
20
24
19
17
20
21
25
16
25
23
17
21
24
29
25
15
33
27
33

Total
12,659
14,267
17,939
11,921
14,062
16,894
13,013
19,236
15,255
16,025
17,078
19,669
14,975
17,387
22,395
16,098
16,325
18,944
13,840
15,941
18,068
22,538
24,690
23,804

Figure 9: Distributions of Portfolio Turnover
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
As reported on Form PF, Questions 3(a) and 27.

25
20
15
10
5
0

20
16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-03

Ratio of Turnover to NAV
Winsorized (limits=[1%,99%])

70
60
50
40
30
20
10
0

20
16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-03

Total Turnover ($Billions)
Winsorized (limits=[1%,99%])

C

Analytics Office

(a) Total Turnover

(b) Total Turnover to NAV Ratio

26

November 13, 2018

D

Analytics Office

Region and Country Exposure
Table 31: Large Hedge Fund Adviser Hedge Fund
Region Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.

Region
North America
Europe EEA
Asia
South America
Europe Other
Supranational
Africa
Middle East

2016Q2
3,946
1,200
602
91
62
30
21
22

2016Q3
4,106
1,219
611
91
67
33
19
20

2016Q4
4,077
1,223
531
87
64
46
18
18

2017Q1
4,406
1,709
596
95
80
60
19
20

2017Q2
4,500
1,669
600
102
78
68
23
23

2017Q3
5,089
1,708
713
108
77
67
24
23

2017Q4
4,527
1,663
673
133
91
75
31
26

2018Q1
4,809
1,990
734
114
86
72
37
30

Table 32: Large Hedge Fund Adviser Hedge Fund
Region Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.

Region
North America
Europe EEA
Asia
South America
Europe Other
Supranational
Africa
Middle East

2016Q2
136.4
41.5
20.8
3.2
2.1
1.0
0.7
0.8

2016Q3
138.4
41.1
20.6
3.1
2.3
1.1
0.6
0.7

2016Q4
136.3
40.9
17.7
2.9
2.1
1.5
0.6
0.6

2017Q1
141.7
55.0
19.2
3.1
2.6
1.9
0.6
0.6

27

2017Q2
142.9
53.0
19.0
3.2
2.5
2.2
0.7
0.7

2017Q3
155.9
52.3
21.8
3.3
2.4
2.0
0.7
0.7

2017Q4
135.4
49.7
20.1
4.0
2.7
2.2
0.9
0.8

2018Q1
140.6
58.2
21.5
3.3
2.5
2.1
1.1
0.9

November 13, 2018

Analytics Office

Table 33: Large Hedge Fund Adviser Hedge Fund
Country Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.

Country
United States
Japan
China (Inc. Hong Kong)
Brazil
India
Russia

2016Q2
3,661
264
129
35
30
13

2016Q3
3,920
263
136
36
35
15

2016Q4
3,866
219
129
37
30
14

2017Q1
4,182
231
130
40
32
17

2017Q2
4,246
229
144
42
35
13

2017Q3
4,824
233
152
45
37
16

2017Q4
4,312
245
164
60
47
18

2018Q1
4,543
269
178
47
38
16

2017Q4
129.0
7.3
4.9
1.8
1.4
0.5

2018Q1
132.8
7.9
5.2
1.4
1.1
0.5

Table 34: Large Hedge Fund Adviser Hedge Fund
Country Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.

Country
United States
Japan
China (Inc. Hong Kong)
Brazil
India
Russia

2016Q2
126.6
9.1
4.4
1.2
1.0
0.4

2016Q3
132.1
8.9
4.6
1.2
1.2
0.5

2016Q4
129.3
7.3
4.3
1.2
1.0
0.5

28

2017Q1
134.5
7.4
4.2
1.3
1.0
0.5

2017Q2
134.9
7.3
4.6
1.3
1.1
0.4

2017Q3
147.8
7.1
4.7
1.4
1.1
0.5

November 13, 2018

Economic Leverage
Figure 10: Ratio of Qualifying Hedge Fund Gross Notional Exposure to Net Asset Value
See Appendix C and Appendix D for an explanation of boxplots and winsorization.

14
12
10
8
6
4
2
0

20
16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-03

16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-03

14
12
10
8
6
4
2
0

Ratio of GNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])

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

20

A

Qualifying Hedge Fund Specific Information

Ratio of GNE to NAV
Winsorized (limits=[0%,98%])

IX

Analytics Office

(a) Including IRDs

(b) Excluding IRDs

29

-06

16

(c) SNE Including IRDs

30

(a) LNE Including IRDs

-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-03

16

20

-06

16

7
6
5
4
3
2
1
0
Ratio of SNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])

-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-03

16

20

16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-03

20

Ratio of LNE to NAV
Winsorized (limits=[0%,98%])

Ratio of LNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])

7
6
5
4
3
2
1
0

20

16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-03

20

20

Ratio of SNE to NAV
Winsorized (limits=[0%,98%])

November 13, 2018
Analytics Office

Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and
Short Notional Exposure (SNE) to Net Asset Value
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
As reported on Form PF, Questions 9, 10, 26, and 30.

7
6
5
4
3
2
1
0

(b) LNE Excluding IRDs

7
6
5
4
3
2
1
0

(d) SNE Excluding IRDs

November 13, 2018

B

Analytics Office

Gross Exposure by Strategy5
Table 35: Exposures of Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 20.
Category

Equity

Other

Relative Value

Macro

Event Driven

Credit

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
Currency
Commodity
Active Trading
Subtotal
Distressed/Restruct.
Risk Arb./Merger Arb.
Equity
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Total

2016Q2
1,367
850
274
237
6
828
781
541
128
35
42
34
581
509
***
35
***
325
166
75
85
363
328
35
115
109
6
42
4,403

2016Q3
1,431
878
284
265
5
837
763
517
129
38
43
36
655
585
***
34
***
335
172
72
91
267
227
40
123
***
***
42
4,454

2016Q4
1,408
841
288
273
6
851
701
469
123
39
41
28
683
600
***
38
***
324
173
71
80
274
231
43
124
***
***
43
4,407

2017Q1
1,495
880
310
***
***
884
717
488
115
44
41
30
688
606
44
35
3
342
172
77
94
283
240
43
140
131
9
42
4,592

2017Q2
1,560
906
330
***
***
940
784
541
120
47
48
29
646
565
***
35
***
353
167
86
100
285
240
45
147
144
3
48
4,762

2017Q3
1,646
926
369
***
***
974
851
601
119
49
50
31
695
612
***
38
***
359
170
89
100
289
240
49
145
143
2
49
5,008

2017Q4
1,677
945
371
***
***
1,006
760
518
119
50
46
27
655
571
***
40
***
353
167
86
101
287
235
51
152
149
3
49
4,938

2018Q1
1,658
925
371
355
8
992
785
542
121
51
49
22
780
694
***
39
***
363
165
101
97
286
248
38
148
146
2
44
5,057

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.

31

November 13, 2018

Analytics Office

Table 36: Exposures of Hedge Funds (Percent of NAV)
As reported on Form PF, Questions 9 and 20.
Category

Equity

Other

Relative Value

Macro

Event Driven

Credit

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
Currency
Commodity
Active Trading
Subtotal
Distressed/Restruct.
Risk Arb./Merger Arb.
Equity
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Total

2016Q2
51.5
32.0
10.3
8.9
0.2
31.1
29.4
20.4
4.8
1.3
1.6
1.3
21.9
19.2
***
1.3
***
12.2
6.2
2.8
3.2
13.7
12.3
1.3
4.3
4.1
0.2
1.6
165.7

2016Q3
52.5
32.2
10.4
9.7
0.2
30.7
28.0
19.0
4.7
1.4
1.6
1.3
24.0
21.5
***
1.3
***
12.3
6.3
2.6
3.3
9.8
8.3
1.5
4.5
***
***
1.6
163.3

32

2016Q4
51.6
30.8
10.6
10.0
0.2
31.2
25.7
17.2
4.5
1.4
1.5
1.0
25.0
22.0
***
1.4
***
11.9
6.4
2.6
2.9
10.0
8.4
1.6
4.5
***
***
1.6
161.4

2017Q1
53.1
31.3
11.0
***
***
31.4
25.5
17.3
4.1
1.6
1.4
1.1
24.4
21.5
1.6
1.3
0.1
12.2
6.1
2.7
3.3
10.1
8.5
1.5
5.0
4.6
0.3
1.5
163.1

2017Q2
54.0
31.4
11.4
***
***
32.6
27.2
18.7
4.2
1.6
1.7
1.0
22.4
19.6
***
1.2
***
12.2
5.8
3.0
3.5
9.9
8.3
1.6
5.1
5.0
0.1
1.6
164.9

2017Q3
55.2
31.1
12.4
***
***
32.7
28.5
20.2
4.0
1.7
1.7
1.1
23.3
20.5
***
1.3
***
12.0
5.7
3.0
3.4
9.7
8.1
1.6
4.9
4.8
0.1
1.6
168.0

2017Q4
55.0
31.0
12.2
***
***
33.0
25.0
17.0
3.9
1.6
1.5
0.9
21.5
18.7
***
1.3
***
11.6
5.5
2.8
3.3
9.4
7.7
1.7
5.0
4.9
0.1
1.6
162.1

2018Q1
53.4
29.8
11.9
11.4
0.3
32.0
25.3
17.5
3.9
1.6
1.6
0.7
25.1
22.4
***
1.3
***
11.7
5.3
3.3
3.1
9.2
8.0
1.2
4.8
4.7
0.1
1.4
162.9

November 13, 2018

C

Analytics Office

Leverage by Strategy
Table 37: 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
Equity
Other
Credit
Event Driven
Investment in other funds
Managed Futures/CTA

2016Q2
4.7
3.0
1.8
1.6
1.6
1.5
1.4
1.1
1.2

2016Q3
4.2
3.0
2.4
1.6
1.6
1.6
1.3
1.1
1.2

2016Q4
4.1
3.3
2.4
1.6
1.6
1.5
1.3
1.1
1.2

2017Q1
4.6
3.5
2.3
1.6
1.6
1.6
1.3
1.1
1.2

2017Q2
5.1
3.5
2.2
1.6
1.6
1.6
1.3
1.0
1.9

2017Q3
5.1
3.8
2.3
1.6
1.6
1.5
1.3
***
1.2

2017Q4
4.7
3.6
2.2
1.6
1.7
1.5
1.3
1.0
1.2

2018Q1
5.1
3.9
2.2
1.7
1.6
1.5
1.3
1.3
1.2

Table 38: 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
Other
Equity
Credit
Investment in other funds
Event Driven

2016Q2
15.2
16.9
7.1
7.3
4.5
3.2
4.0
1.4
2.1

2016Q3
11.6
16.9
11.0
8.2
4.6
3.1
2.9
1.5
2.0

2016Q4
13.8
16.4
10.1
7.3
4.7
3.1
2.7
1.4
2.0

2017Q1
17.0
19.1
8.0
8.0
5.0
3.2
3.3
1.7
2.2

2017Q2
18.3
17.7
7.9
9.5
5.3
3.2
3.0
1.6
2.0

2017Q3
20.8
18.7
9.0
8.4
5.4
3.2
3.1
***
2.0

2017Q4
21.6
18.4
8.6
10.0
5.4
3.2
3.2
1.7
2.0

2018Q1
26.0
21.2
9.7
8.4
5.0
4.0
3.3
2.6
2.0

Table 39: 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
Other
Equity
Credit
Event Driven
Investment in other funds

2016Q2
68.3
44.7
26.4
27.2
26.5
13.9
14.1
12.0
8.4

2016Q3
68.8
42.9
26.9
21.6
26.8
11.2
10.9
11.6
6.2

2016Q4
67.7
41.8
28.1
22.5
25.6
12.3
11.7
11.5
5.5

33

2017Q1
65.5
38.0
25.5
22.7
21.5
10.6
9.8
8.0
3.4

2017Q2
61.2
40.6
22.4
20.4
20.6
11.5
10.9
11.1
6.2

2017Q3
59.0
40.6
24.9
21.5
21.3
9.7
9.9
10.0
***

2017Q4
58.0
41.1
24.8
19.8
21.0
10.2
9.8
9.7
9.4

2018Q1
60.6
37.5
24.7
21.2
18.5
9.7
8.3
8.1
4.2

November 13, 2018

D

Analytics Office

Investment Exposures
Table 40: Aggregate Qualifying Hedge Fund Gross Notional Exposure
by Asset Type ($ Billions)
As reported on Form PF, Questions 26 and 30.

Cash/Cash Equivalents
Securities - Equities
Securities - G10 (non-US)
Securities - Treasuries
Securities - Other Bonds
Securities - Corp. Bonds
Securities - MBS
Securities - Conv. Bonds
Securities - ABS (non-MBS)
Derivatives - IR
Derivatives - FX
Derivatives - Equity
Derivatives - Credit
Derivatives - Other
Derivatives - Commodity
Repurchase Agreements
Other

2016Q2
734
2,000
723
1,050
224
246
250
63
73
3,619
2,566
1,003
603
120
290
1,060
648

2016Q3
692
2,139
794
1,109
203
252
258
71
76
3,734
2,458
1,079
624
138
307
1,113
668

2016Q4
675
2,116
970
1,137
185
251
227
69
75
3,523
2,425
1,112
590
137
324
1,156
678

2017Q1
681
2,302
1,027
1,138
197
267
246
82
75
4,130
2,630
1,191
632
144
330
1,314
700

2017Q2
684
2,396
1,052
1,096
223
269
241
89
77
3,817
2,705
1,226
678
285
332
1,398
730

2017Q3
690
2,522
1,153
1,151
252
259
254
82
74
4,103
3,044
1,295
793
280
369
1,372
778

2017Q4
686
2,601
1,195
1,154
248
254
266
82
77
4,421
3,139
1,345
704
428
379
1,303
753

2018Q1
688
3,038
1,344
1,194
284
264
258
94
80
5,558
3,722
1,379
733
523
367
1,466
798

Table 41: Percent of Qualifying Hedge Fund Gross Notional Exposure
Representing Long Notional Exposure
As reported on Form PF, Questions 26 and 30.

Cash/Cash Equivalents
Securities - Equities
Securities - G10 (non-US)
Securities - Treasuries
Securities - Other Bonds
Securities - Corp. Bonds
Securities - MBS
Securities - Conv. Bonds
Securities - ABS (non-MBS)
Derivatives - IR
Derivatives - FX
Derivatives - Equity
Derivatives - Credit
Derivatives - Other
Derivatives - Commodity
Repurchase Agreements
Other

2016Q2
88.1
69.2
55.5
66.9
71.1
80.9
76.6
95.2
99.4
50.9
52.6
55.0
44.5
58.2
62.2
43.4
90.5

2016Q3
87.2
69.8
53.5
66.8
77.7
82.9
74.7
95.5
99.0
52.9
51.8
55.4
47.4
60.2
63.5
45.3
89.7

2016Q4
86.9
70.1
49.7
68.0
75.0
81.7
76.0
95.2
98.7
51.1
48.6
55.1
48.3
58.6
63.5
48.7
89.1

34

2017Q1
85.0
70.2
49.4
65.4
77.9
80.9
74.1
95.2
98.0
48.4
50.9
56.2
47.3
62.6
64.2
50.0
87.8

2017Q2
86.9
70.0
50.0
63.2
78.2
79.9
73.6
95.6
98.0
47.3
50.2
55.5
47.6
55.2
58.8
49.4
90.3

2017Q3
88.1
70.3
50.1
62.1
72.2
81.2
71.9
94.1
96.7
47.8
49.8
56.8
47.4
53.2
64.1
51.7
86.7

2017Q4
85.9
71.8
50.4
62.8
73.7
81.5
71.2
93.4
96.8
49.5
49.9
56.9
47.7
54.9
64.5
51.9
89.3

2018Q1
82.6
75.4
52.2
60.4
73.2
81.8
73.5
88.2
98.2
50.2
56.8
51.5
44.8
54.0
65.7
51.6
86.9

November 13, 2018

Liquidity
Table 42: 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

2016Q2
7.7
13.8
27.1
46.5
60.0
75.5

2016Q3
8.0
14.2
26.4
47.1
61.7
74.6

2016Q4
7.9
13.9
26.4
49.5
58.7
74.1

2017Q1
8.1
14.2
28.4
47.4
59.7
74.1

2017Q2
8.1
14.4
27.0
46.6
59.3
73.9

2017Q3
8.2
14.6
27.5
48.2
61.6
73.6

2017Q4
8.5
14.9
28.0
50.9
60.0
73.8

2018Q1
8.9
15.4
30.0
48.9
60.3
74.1

Table 43: 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

2016Q2
41.6
65.0
77.9
84.0
87.8
91.1

2016Q3
40.2
63.7
77.2
83.8
87.3
90.7

2016Q4
40.2
63.2
76.7
83.0
86.3
89.8

2017Q1
38.4
61.5
76.0
82.1
85.8
89.6

2017Q2
38.7
62.2
76.4
82.5
86.1
89.7

2017Q3
38.0
61.8
76.0
82.4
85.8
89.2

2017Q4
38.8
62.5
76.2
82.6
86.1
89.6

Figure 12: Asset Weighted-Average Qualifying Hedge Fund
Investor and Portfolio Liquidity

s
65

mo
At

st 3

80
mo

st 1

day

s
day

ays

35

At

mo
st 9
At

0d

mo
st 3
At

0d

ays
7d
ost

At
m

mo
st 1

Investor Liquidity

ays

Portfolio Liquidity

90
80
70
60
50
40
30
20
10
0

day

Percent of Fund Net Assets (%)

As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of First Calendar Quarter 2018.

At

E

Analytics Office

2018Q1
39.6
63.0
76.1
82.6
86.1
89.5

November 13, 2018

Analytics Office

Table 44: Restrictions on Qualifying Hedge Fund Assets ($ Billions)
As reported on Form PF, Questions 48 and 49.

2016Q2
2,141
1,307
37
27
16

2016Q3
2,172
1,330
38
30
16

2016Q4
2,146
1,290
38
27
19

2017Q1
2,209
1,338
39
27
27

2017Q2
2,261
1,362
38
28
27

2017Q3
2,324
1,396
39
30
22

2017Q4
2,362
1,409
39
38
17

Figure 13: Percentage of Qualifying Hedge Fund NAV
Subject to a Side-Pocket Arrangement
As reported on Form PF, Questions 9 and 48.

20
1

6Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q1

70
60
50
40
30
20
10
0

6Q
2

NAV in Side-Pocket (%)

See Appendix C for an explanation of boxplots.

20
1

Type
May Suspend
May Have Gates
Side-Pocketed
Gated
Suspended

36

2018Q1
2,409
1,461
42
39
***

November 13, 2018

F

Analytics Office

Borrowings
Table 45: 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

2016Q2
1,931
980
685
267
9
1,940

2016Q3
2,071
1,084
720
267
11
2,082

2016Q4
2,054
1,087
672
295
12
2,066

2017Q1
2,224
1,186
725
313
14
2,238

2017Q2
2,380
1,265
784
331
11
2,391

2017Q3
2,428
1,371
712
345
12
2,440

2017Q4
2,412
1,379
677
356
14
2,426

2018Q1
2,591
1,418
778
394
14
2,605

Table 46: 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

2016Q2
62.1
37.5
0.3
0.1

2016Q3
64.6
35.0
0.3
0.2

2016Q4
63.1
36.4
0.3
0.1

2017Q1
61.2
38.4
***
***

2017Q2
61.0
38.6
0.3
0.1

2017Q3
61.3
38.4
***
***

2017Q4
61.6
37.9
***
***

2018Q1
60.5
39.1
***
***

Table 47: 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

2016Q2
1,229
776
454
704
510
194
308
230
78
2,242

2016Q3
1,339
861
478
733
533
200
312
236
77
2,385

2016Q4
1,334
857
477
687
446
241
349
210
139
2,370

37

2017Q1
1,467
949
518
768
503
266
384
254
130
2,620

2017Q2
1,545
1,022
522
776
495
281
407
251
156
2,727

2017Q3
1,674
1,151
523
726
470
256
423
265
158
2,822

2017Q4
1,686
1,183
503
711
448
263
426
262
165
2,823

2018Q1
1,752
1,225
527
779
511
268
447
296
152
2,978

(b) Prime Broker Borrowing

38

-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-03

16

20

8
7
6
5
4
3
2
1
0

Collateral/Reverse Repo Borrowing
Winsorized (limits=[0%,98%])

16
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-03

20

Collateral/Prime Broker Borrowing
Winsorized (limits=[0%,98%])

-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-03

16

20

Collateral/Total Secured Borrowing
Winsorized (limits=[0%,98%])

November 13, 2018
Analytics Office

Figure 14: Ratio of Collateral Posted to Secured Borrowing
for Qualifying Hedge Funds

See Appendix C and Appendix D for an explanation of boxplots and winsorization.
As reported on Form PF, Question 43.

8
7
6
5
4
3
2
1
0

(a) Total Secured Borrowing

8
7
6
5
4
3
2
1
0

(c) Reverse Repo Borrowing

November 13, 2018

Analytics Office

Table 48: 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

2016Q2
43.5
52.8
65.8
81.7
96.0
97.4

2016Q3
37.1
53.6
65.1
80.9
96.1
97.5

2016Q4
35.8
48.1
64.0
81.1
96.0
97.3

2017Q1
36.4
53.0
65.0
80.1
96.0
97.3

2017Q2
34.7
53.3
65.3
80.8
96.2
97.4

2017Q3
35.4
51.7
64.0
79.2
96.0
97.3

2017Q4
34.2
49.5
64.7
80.3
95.9
97.2

Figure 15: Weighted-Average Qualifying Hedge Fund
Financing Liquidity (Percent of Available Financing)
As reported on Form PF, Question 46 as of First Calendar Quarter 2018.

Financing Liquidity

st 1 Percent of Available Financing (%)
day

100
80
60
40
20

s

mo
st 3
At

65

day

s

mo
st 1

80

day

ays

39

At

mo
At

st 9

0d
mo

At

st 3

0d

ays

s
day
st 7
mo

At

At

mo

0

2018Q1
31.7
51.5
64.9
80.6
95.8
96.9

November 13, 2018

Central Clearing
Figure 16: Qualifying Hedge Funds Using Central Clearing
As reported on Form PF, Question 39.

Percent of Funds

20

Percent of NAV

15
10
5

40

1
18
Q
20

4
17
Q
20

3
17
Q
20

2
17
Q
20

1
17
Q
20

4
16
Q
20

3
16
Q
20

16
Q

2

0

20

G

Analytics Office

November 13, 2018

H

Analytics Office

Value-at-Risk (“VaR”) Reporting
Table 49: 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

2016Q2
622
236
190
185
41
982

2016Q3
619
238
193
183
46
997

2016Q4
627
233
196
193
42
1,021

2017Q1
636
237
190
199
44
1,034

2017Q2
648
248
190
204
45
1,068

2017Q3
648
270
186
187
43
1,070

2017Q4
662
277
193
185
48
1,137

2018Q1
659
285
184
175
52
1,110

Table 50: 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

2016Q2
3,146
1,639
756
619
321
1,898

2016Q3
3,226
1,728
746
633
344
1,977

2016Q4
3,202
1,686
731
635
373
1,994

2017Q1
3,353
1,764
737
853
425
2,066

2017Q2
3,467
1,760
760
936
457
2,201

2017Q3
3,573
1,860
767
928
489
2,268

2017Q4
3,524
1,832
806
833
524
2,316

2018Q1
3,678
1,953
815
854
530
2,412

Table 51: 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

2016Q2
1,280
478
449
328
90
1,378

2016Q3
1,298
497
462
335
94
1,430

2016Q4
1,290
474
459
344
94
1,441

41

2017Q1
1,332
486
465
394
95
1,484

2017Q2
1,364
500
474
415
94
1,524

2017Q3
1,392
558
477
384
94
1,589

2017Q4
1,397
559
490
375
93
1,649

2018Q1
1,422
577
492
375
95
1,681

November 13, 2018

I

Analytics Office

Stress Testing and VaR
Table 52: 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

2016Q2
541
454
81
528

2016Q3
544
447
75
550

2016Q4
551
453
76
568

2017Q1
544
451
92
583

2017Q2
554
457
94
611

2017Q3
554
467
94
603

2017Q4
588
498
74
639

2018Q1
592
494
67
616

Table 53: 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

2016Q2
2,942
1,008
204
890

2016Q3
3,047
1,030
179
948

2016Q4
3,023
1,001
179
993

2017Q1
3,113
1,076
240
990

2017Q2
3,196
1,114
271
1,086

2017Q3
3,337
1,178
236
1,089

2017Q4
3,363
1,190
160
1,126

2018Q1
3,516
1,269
162
1,143

Table 54: 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

2016Q2
1,149
666
131
712

2016Q3
1,181
666
117
763

2016Q4
1,173
661
117
780

2017Q1
1,186
683
146
801

42

2017Q2
1,216
673
147
850

2017Q3
1,235
712
158
877

2017Q4
1,288
736
108
914

2018Q1
1,312
746
110
935

November 13, 2018

Analytics Office

X

Section 3 Liquidity Fund Specific Information

A

Liquidity
Table 55: 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

2016Q2
77.4
96.0
99.7
100.0
100.0
100.0

2016Q3
80.1
98.3
99.9
100.0
100.0
100.0

2016Q4
80.9
97.3
99.6
99.8
99.9
100.0

2017Q1
78.0
95.5
99.7
100.0
100.0
100.0

2017Q2
79.4
95.1
99.5
99.8
99.9
99.9

2017Q3
78.8
95.4
99.5
99.7
99.8
99.9

2017Q4
80.2
95.4
99.5
99.7
99.8
99.9

2018Q1
78.6
95.5
99.7
99.9
99.9
100.0

Table 56: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Question 63.

Type
May Suspend
May Have Gates
Suspended
Gated

2016Q3
232
199
0
0

2016Q4
253
220
0
0

2017Q1
246
215
0
0

2017Q2
252
221
0
0

2017Q3
257
223
0
0

2017Q4
269
233
0
0

2018Q1
265
228
0
0

Portfolio Characteristics
Figure 17: Weighted-Average Maturity Reported by Section 3 Liquidity Funds
As reported on Form PF, Question 55.

Average WAM

50

Asset-Weighted WAM

40
30
20
10

43

8-0
3
20
1

7-1
2
20
1

7-0
9
20
1

7-0
6
20
1

7-0
3
20
1

6-1
2
20
1

6-0
9
20
1

6-0
6

0

20
1

Weighted Average Maturity (WAM) in Days

B

2016Q2
241
207
0
0

November 13, 2018

Analytics Office

Figure 18: Weighted-Average Life Reported by Section 3 Liquidity Funds

-03
18
20

17
20

-12

17
20

-09

17
20

-06

17
20

-03

16
20

16
20

-09

16
20

Asset-Weighted WAL

-12

Average WAL

90
80
70
60
50
40
30
20
10
0

-06

Weighted Average Life (WAL) in Days

As reported on Form PF, Question 55.

Figure 19: Seven-Day Gross Yield Reported by Section 3 Liquidity Funds
As reported on Form PF, Question 55.

Average Yield

Asset-Weighted Yield

1.5
1.0
0.5

44

-03
18
20

-12
17
20

-09
17
20

-06
20

17

-03
17
20

-12
16
20

-09
16
20

16

-06

0.0

20

Seven-Day Gross Yield (%)

2.0

November 13, 2018

Analytics Office

Figure 20: Ratio of Daily Liquid Assets to Net Asset Value of Section 3 Liquidity Funds
As reported on Form PF, Question 55.

Average DLA

Asset-Weighted DLA

80
60
40
20

-03
18

20

-12
17

20

-09
17

20

-06
17

20

-03
17

20

-12
16

20

16
20

16
20

-09

0

-06

Ratio of Daily Liquid Assets (DLA)
to Net Asset Value (%)

100

Figure 21: Ratio of Weekly Liquid Assets to Net Asset Value of Section 3 Liquidity Funds

Average WLA

100

Asset-Weighted WLA

80
60
40
20

45

-03
18

20

-12
17

20

-09
17

20

-06
17

20

-03
17

20

-12
16

20

-09
16

20

16

-06

0

20

Ratio of Weekly Liquid Assets (WLA)
to Net Asset Value (%)

As reported on Form PF, Question 55.

November 13, 2018

C

Analytics Office

Rule 2a-7 Compliance
Table 57: Rule 2a-7 Compliance (Percent of Funds)
As reported on Form PF, Questions 9 and 54.

Compliance Type
Credit Quality
Diversification
Maturity
Liquidity
Fully
None

2016Q2
64.9
62.2
62.2
54.1
48.6
32.4

2016Q3
61.1
58.3
58.3
55.6
50.0
36.1

2016Q4
59.1
56.8
56.8
56.8
50.0
38.6

2017Q1
57.8
55.6
55.6
55.6
48.9
40.0

2017Q2
58.7
54.3
54.3
54.3
47.8
39.1

2017Q3
55.6
51.1
51.1
51.1
44.4
42.2

2017Q4
55.3
51.1
51.1
51.1
44.7
42.6

2018Q1
57.8
53.3
53.3
48.9
44.4
42.2

Table 58: Rule 2a-7 Compliance (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 54.

Compliance Type
Credit Quality
Diversification
Maturity
Liquidity
Fully
None

D

2016Q2
17.9
17.9
17.7
11.3
10.4
82.0

2016Q3
13.5
13.5
13.5
12.2
11.0
86.1

2016Q4
14.4
13.8
13.6
13.6
11.8
85.5

2017Q1
15.5
14.9
14.8
14.8
12.8
84.3

2017Q2
15.0
14.0
13.8
13.8
11.9
84.9

2017Q3
14.8
13.9
13.9
13.9
11.7
85.0

2017Q4
13.4
12.4
12.4
12.4
10.5
86.5

2018Q1
14.6
13.6
13.6
13.2
11.3
85.4

Methods of Calculating NAV
Table 59: NAV Calculation Method (Percent of Funds)
As reported on Form PF, Questions 9, 52, and 53.

Type
Stable
Floating

2016Q2
***
***

2016Q3
***
***

2016Q4
81.8
18.2

2017Q1
80.0
20.0

2017Q2
78.3
21.7

2017Q3
77.8
22.2

2017Q4
78.7
21.3

2018Q1
80.0
20.0

Table 60: NAV Calculation Method (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 52, and 53.

Type
Stable
Floating

2016Q2
***
***

2016Q3
***
***

2016Q4
69.9
30.1

2017Q1
71.4
28.6

46

2017Q2
68.0
32.0

2017Q3
69.9
30.1

2017Q4
68.7
31.3

2018Q1
69.9
30.1

November 13, 2018

Aggregate Portfolio Holdings
Table 61: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2
3

71.5
67.5
30.7
35.6
14.9
47.3
24.3
4.2
4.7

73.4
73.3
42.4
38.8
15.5
37.2
24.0
4.2
3.0

65.9
77.6
63.7
39.9
33.1
31.2
25.9
4.1
2.5

69.1
76.8
61.9
42.6
30.4
26.5
23.8
3.9
2.1

64.2
75.0
53.7
45.5
30.3
24.2
23.6
4.9
0.8

7-0

66.2
62.8
31.1
36.3
11.4
52.4
24.5
5.3
6.1

7-0

201

2

1
201

64.8
55.3
33.7
26.9
6.4
35.9
22.8
5.9
1.1

7-0
201

-12
201
6

1

67.2
55.5
31.6
26.0
***
41.7
20.2
5.0
***

6-1
201

0

70.3
58.6
29.3
27.1
***
36.6
19.0
5.9
***

6-1

9
201

69.9
55.3
30.4
25.5
***
35.6
16.8
5.2
***

6-0
201

8
201

67.1
57.5
28.0
26.6
***
40.8
14.0
4.2
***

6-0

201
6-0

7

6-0
6

5

201

Product Type
U.S. Treasuries
Deposits
Other
Commercial Paper
Repo - Other Collateral
Repo - Govt. Collateral
Asset-Backed Securities
U.S. Govt. Debt
Municipal Debt

6-0
201

66.8
51.1
24.0
28.0
***
42.8
12.8
4.4
***

6-0
201

4

As reported on Form PF, Question 63.

Table 62: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2

65.3
82.0
66.7
50.0
37.7
37.0
23.4
4.4
0.9

64.3
79.4
64.9
49.5
41.1
31.2
22.9
5.2
1.0

68.3
63.1
56.4
47.7
37.7
34.0
22.5
5.0
1.0

8-0
201

3

2
201

68.0
73.2
62.4
41.8
32.0
29.2
20.6
5.4
0.9

8-0

201

1

201

65.4
83.1
53.6
48.5
36.8
36.3
21.7
5.3
1.1

8-0

201
7-1

2

7-1
0
201

60.1
82.8
54.8
48.7
40.0
38.2
22.6
5.0
1.1

7-1

201
7-0

54.6
79.7
60.2
45.2
48.8
32.1
23.9
5.3
1.1

47

1

7-0
8
201

55.8
83.6
58.7
44.7
46.6
30.5
21.8
3.5
1.1

-07
201
7

60.8
84.1
60.9
46.4
38.6
32.3
22.0
4.0
1.3

-06
201
7

56.1
77.3
65.9
41.3
35.4
34.5
21.3
5.8
1.1

7-0
5
201

61.4
81.7
65.0
44.2
46.4
34.6
25.2
5.0
1.6

4

64.7
82.8
53.7
40.3
41.1
26.2
26.7
4.8
1.5

7-0

Product Type
U.S. Treasuries
Deposits
Other
Commercial Paper
Repo - Other Collateral
Repo - Govt. Collateral
Asset-Backed Securities
U.S. Govt. Debt
Municipal Debt

9

As reported on Form PF, Question 63.

201

E

Analytics Office

November 13, 2018

XI
A

Analytics Office

Section 4 Private Equity Fund Specific Information
CPC Industry Concentration
Table 63: Gross Assets in CPC Industries (Percent of Total)
As reported on Form PF, Questions 8 and 77.

Type
Oil & Gas Extraction
Software Publishers
Electric Power Generation, Transmission & Distribution
Data Processing, Hosting, & Related Services
Telecommunications Data Processing Services
Other Information Services
Pipeline Transportation
Other Financial Vehicles
Management, Scientific, & Technical Consulting Services
Pharmaceutical & Medicine Mfg
Custom Computer Programming Services
Educational Services
Other Financial Investment Activities
Investigation & Security Services
Activities Related to Credit Intermediation
Other Insurance Related Activities
Utility System Construction
Insurance Agencies & Brokerages
Natural Gas Distribution
Support Activities for Mining
Fruit & Vegetable Preserving & Specialty Food Mfg

48

2013Q4
7.9
2.8
3.8
2.9
2.6
2.0
2.4
0.4
1.0
1.0
0.9
1.4
2.0
0.5
1.2
0.9
0.4
0.9
0.5
1.3
0.2

2014Q4
7.8
3.8
3.8
2.3
2.5
2.1
2.6
0.4
1.2
1.3
1.0
1.3
1.8
0.5
1.2
1.0
0.5
1.0
0.4
1.6
0.1

2015Q4
5.8
4.9
3.7
1.8
2.7
1.9
2.4
0.6
1.1
1.5
1.5
1.3
1.8
0.7
1.4
1.0
0.8
1.0
0.6
1.2
0.0

2016Q4
6.7
6.1
4.1
2.0
2.3
1.8
2.2
1.8
1.3
1.4
1.5
1.2
1.7
1.2
1.0
2.0
0.8
1.2
0.7
1.0
0.1

2017Q4
6.2
6.0
4.2
2.3
2.2
2.0
1.9
1.6
1.6
1.5
1.5
1.4
1.4
1.4
1.2
1.2
1.2
1.1
1.0
1.0
1.0

November 13, 2018

CPC Financial Leverage
Figure 22: Distribution of Ratio of Aggregate CPC Current Liabilities
to Total Liabilities of Section 4 Private Equity Funds
See Appendix C for an explanation of boxplots.

60
50
40
30
20
10

Q4
17
20

Q4
16
20

Q4
15
20

Q4
14

20

20

Q4

0

13

Ratio of Portfolio Company Current
Liabilities to Total Liabilities (%)

As reported on Form PF, Questions 71 and 72.

Figure 23: Distribution of CPC Payment-in-Kind or
Zero Coupon Borrowings to Total Borrowings Ratio
See Appendix C for an explanation of boxplots.

50

As reported on Form PF, Question 73.

40
30
20
10

49

Q4
17
20

Q4
16
20

Q4
15
20

Q4
14

20

20

Q4

0

13

CPC Payment-in-Kind Borrowings
to Total Borrowings Ratio (%)

B

Analytics Office

November 13, 2018

C

Analytics Office

CPC Investments by Region and Country
Table 64: 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
South America
Europe Other
Supranational
Middle East
Africa

2013Q4
5,279
1,423
571
75
25
65
8
20

2014Q4
4,506
1,259
462
85
9
67
12
12

2015Q4
4,132
941
447
58
21
23
9
12

2016Q4
3,942
848
406
111
22
37
15
18

2017Q4
4,274
1,543
379
258
98
49
23
14

Table 65: 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
South America
Europe Other
Supranational
Middle East
Africa

2013Q4
70.7
19.1
7.6
1.0
0.3
0.9
0.1
0.3

2014Q4
70.2
19.6
7.2
1.3
0.1
1.0
0.2
0.2

50

2015Q4
73.2
16.7
7.9
1.0
0.4
0.4
0.2
0.2

2016Q4
73.0
15.7
7.5
2.0
0.4
0.7
0.3
0.3

2017Q4
64.4
23.2
5.7
3.9
1.5
0.7
0.3
0.2

November 13, 2018

Analytics Office

Table 66: Aggregate Gross Asset Value of Private Equity
CPC Investments by Country ($ Billions)
As reported on Form PF, Questions 70 and 78.

Country
United States
China and Hong Kong
Brazil
India
Japan
Russia

2013Q4
5,039
171
45
63
233
3

2014Q4
4,305
186
58
83
98
2

2015Q4
3,943
173
41
89
85
5

2016Q4
3,776
114
88
92
79
4

2017Q4
3,794
147
131
73
52
4

Table 67: 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
China and Hong Kong
Brazil
India
Japan
Russia

2013Q4
67.5
2.3
0.6
0.8
3.1
0.0

2014Q4
67.1
2.9
0.9
1.3
1.5
0.0

51

2015Q4
69.9
3.1
0.7
1.6
1.5
0.1

2016Q4
69.9
2.1
1.6
1.7
1.5
0.1

2017Q4
57.1
2.2
2.0
1.1
0.8
0.1

November 13, 2018

XII
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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November 13, 2018

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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November 13, 2018

B

Analytics Office

Handling Annual and Quarterly Data

Only a subset of filers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are
required to file Form PF quarterly; all other filings are made annually. Annual filings are typically,
but not always, made at the end of the calendar year, as Form PF allows filings to be made at the
end of an adviser’s fiscal year. In order to present the most complete and recent data possible, while
accounting for differences in filing dates, we use the following procedure for determining which data
to consider in any given quarter:
First, filings are grouped by their report date within their reported year:
• (Q1): February 15 to May 14
• (Q2): May 15 to August 14
• (Q3): August 15 to November 14
• (Q4): November 15 to February 14
Then, responses for funds that have no information are ‘filled forward’ — essentially, copied
from last reported values — up to a maximum of three quarters. Any fund that has no data four
quarters after its most recent date is no longer counted or included in any calculations.10

C

How to Read a Boxplot

In these figures, the boxes extend from the twenty-fifth percentile to the seventy-fifth percentile,
while the levels (the dashed vertical lines) extend from the tenth to the twenty-fifth percentile as well
as the seventy-fifth to the ninetieth percentile. Also shown as a red line within the box is the median
(the fiftieth percentile) and the horizontal dashed line is mean of the distribution. See Figure 24 for
an explanation of each feature.
Figure 24: How to Read a Boxplot

10
Form PF has no requirement to inform the SEC if a fund liquidates or otherwise terminates operations. Therefore,
liquidations or terminations may not be reflected on this report for up to one year after ceasing operations.

54

November 13, 2018

D

Analytics Office

Mitigating the Effects of Outliers

Form PF data occasionally contains spurious outliers. While Analytics Office staff actively
engages in outreach to identify and correct such values, not all aberrant values have been corrected
as of this writing. To reduce the effect of these outliers on the aggregate measures reported here, we
have chosen to winsorize or trim some data sets.
Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest
and smallest values in a distribution.11 For example, to calculate a 95%/5% winsorized data set, all
the values above the ninety-fifth percentile are set to the value of the ninety-fifth percentile, and all
the values below the fifth percentile are set to the value of the fifth percentile. Effectively, this
procedure makes the very largest values smaller (but still large), and all the smallest values larger
(but still small). This approach can be more effective than trimming (simply removing the largest
and/or smallest values) because it does not change the number of data points and does not change
the median or other percentile values within the 95%/5% range. All instances of winsorization or
trimming have been noted and include the affected percentiles.

11
Such techniques are known as ‘robust statistics’, reviewed for example in Wilcox (2012), Introduction to Robust
Estimation & Hypothesis Testing, 3rd Edition.

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November 13, 2018

E

Analytics Office

Definitions
Included by reference are all definitions included in the glossary of Form PF.

Aggregate Exposure

A dollar value for long and short positions as of the last day in each
month of the reporting period, by sub-asset class, including all exposure
whether held physically, synthetically or through derivatives. Includes
closed out and OTC forward positions that have not expired, as well as
positions in side-pockets.

Borrowing

In Form PF, borrowings include secured borrowings, unsecured borrowings, as well as synthetic borrowings (e.g., total return swaps that meet
the failed sale accounting requirements).

CPC

Controlled portfolio company, as defined in Form PF.

Gross Notional Exposure (GNE)

The gross nominal or notional value of all transactions that have been
entered into but not yet settled as of the data reporting date. For
contracts with variable nominal or notional principal amounts, the basis
for reporting is the nominal or notional principal amounts as of the data
reporting date.

Hedge Fund

Any private fund (other than a securitized asset fund): (a) with respect
to which one or more investment advisers (or related persons of investment advisers) may be paid a performance fee or allocation calculated
by taking into account unrealized gains (other than a fee or allocation
the calculation of which may take into account unrealized gains solely
for the purpose of reducing such fee or allocation to reflect net unrealized losses); (b) that may borrow an amount in excess of one-half of
its net asset value (including any committed capital) or may have gross
notional exposure in excess of twice its net asset value (including any
committed capital); or (c) that may sell securities or other assets short
or enter into similar transactions (other than for the purpose of hedging currency exposure or managing duration). The definition of a hedge
fund for Form PF purposes also includes any commodity pool an adviser
reports on Form PF.

IRDs

Interest rate derivatives, including foreign exchange derivatives used for
either investment or hedging.

Large Hedge Fund Adviser

An adviser that has at least $1.5 billion in hedge fund assets under
management.

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November 13, 2018

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.

57

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Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3A6373b20fc8c03a0f. Public record. Not legal advice.