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Division of Investment Management
Analytics Office
Private Funds Statistics
Fourth Calendar Quarter 2017
August 2, 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.
August 2, 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 First Calendar Quarter 2016 through Fourth Calendar Quarter
2017 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
2017 Private Funds Statistics, please contact:
Tim Dulaney, PhD, FRM or Tim Husson, PhD, FRM at FormPF@sec.gov with subject line “Fourth
Calendar Quarter 2017-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.
1
August 2, 2018
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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August 2, 2018
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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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
2016Q1
9,714
8,920
4,099
2,740
2,102
1,599
1,421
635
64
36
26,955
2016Q2
9,725
8,928
4,125
2,742
2,100
1,608
1,418
646
66
37
27,008
2016Q3
9,752
8,994
4,116
2,747
2,117
1,620
1,417
651
67
36
27,114
2016Q4
10,364
8,927
4,438
3,002
2,447
1,652
1,451
761
69
44
28,457
2017Q1
10,382
9,082
4,462
3,006
2,445
1,674
1,463
759
70
45
28,663
2017Q2
10,362
9,123
4,484
3,009
2,443
1,720
1,475
769
69
47
28,725
2017Q3
10,272
9,156
4,442
2,989
2,434
1,722
1,477
755
69
46
28,605
2017Q4
11,460
9,007
4,512
3,480
2,632
1,803
1,504
846
70
48
30,031
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
2016Q1
1,025
1,694
564
243
294
525
157
97
37
19
2,844
2016Q2
1,025
1,688
567
243
292
525
156
98
37
19
2,839
2016Q3
1,024
1,685
568
243
294
516
154
100
37
19
2,836
2016Q4
1,092
1,687
580
248
312
531
149
109
39
24
2,914
2017Q1
1,095
1,686
578
250
314
527
151
109
39
24
2,916
2017Q2
1,091
1,687
578
250
312
534
153
110
38
24
2,917
2017Q3
1,088
1,687
574
247
311
535
154
109
38
23
2,916
2017Q4
1,132
1,722
579
292
322
551
155
113
39
25
2,997
3
In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered
investment advisers that file a Form PF to report private funds. Please see Appendix E for definitions of other capitalized
terms used in this report.
4
August 2, 2018
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
2016Q1
6,162
4,992
2,060
1,472
973
410
420
273
247
55
10,352
2016Q2
6,329
5,102
2,063
1,472
978
410
420
287
258
56
10,542
2016Q3
6,464
5,246
2,064
1,472
981
411
420
292
249
55
10,688
2016Q4
6,408
5,218
2,318
1,645
1,066
436
448
293
274
64
11,032
2017Q1
6,704
5,494
2,326
1,648
1,077
436
449
282
267
64
11,338
2017Q2
6,895
5,716
2,323
1,648
1,088
433
454
276
273
64
11,533
2017Q3
7,219
5,892
2,310
1,641
1,060
432
453
282
279
63
11,818
2017Q4
7,274
5,903
2,722
1,941
1,186
499
485
291
289
80
12,537
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
2016Q1
3,407
2,655
1,884
1,377
872
326
138
272
246
52
6,951
2016Q2
3,436
2,670
1,886
1,377
877
326
138
285
256
53
7,000
2016Q3
3,496
2,740
1,887
1,377
882
327
140
290
247
52
7,074
5
2016Q4
3,493
2,744
2,075
1,492
977
341
141
292
273
61
7,380
2017Q1
3,611
2,829
2,084
1,496
987
342
141
281
265
61
7,506
2017Q2
3,669
2,901
2,082
1,496
994
340
145
275
272
62
7,566
2017Q3
3,791
2,995
2,069
1,489
970
339
144
280
278
60
7,653
2017Q4
3,891
3,060
2,438
1,754
1,072
391
152
291
288
76
8,310
August 2, 2018
Analytics Office
Figure 1: GAV and NAV Distributions
See Appendix C for an explanation of boxplots.
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
Q4
NAV ($Billions)
Q1
8
7
6
5
4
3
2
1
0
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q4
16
20
20
16
Q1
GAV ($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 1
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
Q4
NAV ($Millions)
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q4
1400
1200
1000
800
600
400
200
0
(b) Qualifying Hedge Fund NAV
20
GAV ($Millions)
(a) Qualifying Hedge Fund GAV
(c) Section 4 Private Equity Fund GAV
(d) Section 4 Private Equity Fund NAV
6
August 2, 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 1
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
Q4
0.0
3.0
2.5
2.0
1.5
1.0
0.5
0.0
16
Q
20 1
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
Q4
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
August 2, 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
2016Q1
48.9
39.1
36.8
13.2
4.8
3.4
2.2
0.4
0.0
0.0
2016Q2
48.7
38.2
36.3
13.2
4.9
3.4
2.2
0.4
0.0
0.0
2016Q3
48.4
39.9
38.1
13.2
4.9
3.4
2.1
0.4
0.0
0.0
2016Q4
50.7
39.7
37.3
13.9
5.1
4.0
2.8
0.4
0.0
0.0
2017Q1
49.5
41.0
38.4
12.9
5.0
4.0
2.7
0.4
0.0
0.0
2017Q2
48.8
42.0
39.1
12.7
5.0
4.0
2.7
0.5
0.0
0.0
2017Q3
48.4
41.6
39.4
12.8
5.0
4.1
2.7
0.5
0.0
0.0
2017Q4
51.9
41.3
39.1
13.2
5.2
4.6
2.1
0.6
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.
As reported on Form PF, Questions 12 and 43 (Third Month).
Total Borrowings ($Billions)
500
400
300
200
100
0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
20
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q4
Total Borrowings ($Millions)
600
20
16
Q
20 1
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
Q4
B
Analytics Office
(a) All Private Funds
(b) Qualifying Hedge Funds
8
August 2, 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 1
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
Q4
Ratio of Borrowings to NAV
Winsorized (limits=[0%,98%])
20 1
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
Q4
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
August 2, 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
2016Q1
2,481
2,140
2,271
1,581
2016Q2
2,464
2,070
2,265
1,539
2016Q3
2,485
2,063
2,263
1,537
2016Q4
2,877
2,544
2,594
1,972
2017Q1
2,585
2,201
2,512
1,691
2017Q2
2,578
2,186
2,512
1,723
2017Q3
2,562
2,231
2,506
1,731
2017Q4
3,274
2,764
2,887
2,240
Table 7: Liabilities According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2016Q1
668
476
111
673
2016Q2
680
424
108
694
2016Q3
677
427
107
695
2016Q4
519
417
142
464
10
2017Q1
664
462
136
659
2017Q2
661
451
140
654
2017Q3
665
455
137
660
2017Q4
662
608
172
487
August 2, 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
2016Q1
696
408
252
234
82
52
16
15
***
***
1,459
2016Q2
699
406
252
237
82
52
14
14
***
***
1,458
2016Q3
696
409
251
233
82
52
15
15
***
***
1,458
2016Q4
664
482
239
233
88
77
15
15
***
***
1,517
2017Q1
654
498
240
224
88
77
16
16
***
***
1,525
2017Q2
661
497
239
220
88
77
16
16
***
***
1,530
2017Q3
668
495
273
227
88
77
16
16
***
***
1,568
2017Q4
664
508
293
238
98
72
16
16
***
***
1,567
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
2016Q1
633
1,296
96
449
19
11
321
316
***
***
2,513
2016Q2
619
1,278
96
428
19
11
305
305
***
***
2,465
2016Q3
651
1,332
96
448
19
11
312
312
***
***
2,557
2016Q4
629
1,400
29
422
22
6
309
309
***
***
2,555
2017Q1
666
1,438
29
438
22
6
333
333
***
***
2,653
2017Q2
680
1,489
28
440
22
6
330
330
***
***
2,714
2017Q3
714
1,508
28
525
22
6
345
345
***
***
2,782
2017Q4
827
1,863
37
594
28
6
359
359
***
***
3,094
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
August 2, 2018
Analytics Office
Figure 5: Parallel Managed Account Value Distributions
See Appendix C for an explanation of boxplots.
Q
20 1
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
Q4
Parallel Managed Assets ($Billions)
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
20
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q4
20
16
Parallel Managed Assets ($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
August 2, 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
2016Q1 2016Q2 2016Q3 2016Q4 2017Q1
50.8
50.7
50.8
51.3
51.4
37.3
37.2
37.1
36.4
36.4
3.8
3.9
3.9
4.3
4.2
1.3
1.5
1.5
1.4
1.5
2.4
2.3
2.3
2.2
2.2
1.1
1.1
1.1
1.1
1.1
1.3
1.3
1.2
1.3
1.3
2.1
2.1
2.1
2.1
2.0
Qualifying Hedge Funds
2016Q1 2016Q2 2016Q3 2016Q4 2017Q1
54.6
54.4
53.7
52.9
52.7
32.7
33.1
33.8
34.3
34.6
5.7
5.7
5.5
5.5
5.3
2.6
2.5
2.6
2.7
2.7
1.2
1.2
1.3
1.3
1.3
1.4
1.4
1.4
1.8
1.7
1.8
1.7
1.7
1.7
1.7
Section 3 Liquidity Funds
2016Q1 2016Q2 2016Q3 2016Q4 2017Q1
***
***
***
***
***
36.5
34.2
34.1
33.1
33.9
***
***
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2016Q1 2016Q2 2016Q3 2016Q4 2017Q1
62.0
62.0
62.0
63.8
63.8
30.3
30.3
30.3
29.5
29.4
2.6
2.6
2.6
1.9
1.9
1.3
1.3
1.3
1.1
1.1
1.2
1.2
1.2
0.9
0.9
2.6
2.6
2.7
2.9
2.9
13
2017Q2
51.4
36.4
4.2
1.6
2.0
1.1
1.3
2.0
2017Q3
51.0
36.7
4.3
1.6
2.0
1.1
1.3
2.0
2017Q4
51.3
35.5
4.5
1.9
1.8
1.3
1.2
2.6
2017Q2
52.5
35.0
5.0
2.7
1.5
1.7
1.6
2017Q3
51.8
35.3
4.8
2.8
1.7
1.7
1.9
2017Q4
51.3
35.7
4.5
2.9
1.9
1.6
2.0
2017Q2
***
36.8
***
***
2017Q3
***
34.7
***
***
2017Q4
***
35.1
***
***
2017Q2
63.8
29.4
1.9
1.1
0.9
2.9
2017Q3
63.7
29.5
2.0
1.1
0.9
2.9
2017Q4
60.7
30.4
2.7
1.0
1.0
4.1
August 2, 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
2016Q1
89.5
6.6
3.9
Country
United States
United Kingdom
Australia
Hong Kong
Other
2016Q1
89.3
5.7
***
***
2.5
Country
United States
United Kingdom
France
2016Q1
58.4
***
***
Country
United States
Canada
Other
2016Q1
97.2
***
***
All Private Funds
2016Q2 2016Q3 2016Q4 2017Q1
89.6
89.6
90.1
89.3
6.6
6.6
6.2
6.5
3.9
3.7
3.8
4.1
Qualifying Hedge Funds
2016Q2 2016Q3 2016Q4 2017Q1
89.5
89.4
89.6
89.4
5.6
5.7
5.7
5.9
***
***
***
***
***
***
***
***
2.4
2.4
2.3
2.3
Section 3 Liquidity Funds
2016Q2 2016Q3 2016Q4 2017Q1
59.4
64.1
62.5
64.2
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2016Q2 2016Q3 2016Q4 2017Q1
97.2
97.2
95.1
95.1
***
***
***
***
***
***
***
***
14
2017Q2
89.0
6.8
4.2
2017Q3
88.8
6.9
4.3
2017Q4
89.4
6.5
4.1
2017Q2
89.3
6.3
***
***
2.3
2017Q3
88.9
6.4
***
***
2.3
2017Q4
88.5
6.7
***
***
2.2
2017Q2
64.1
***
***
2017Q3
63.0
***
***
2017Q4
62.8
***
***
2017Q2
95.1
***
***
2017Q3
95.1
***
***
2017Q4
94.8
***
***
August 2, 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
Unknown Non-U.S. Investors
Non-U.S. Individuals
Banking/Thrift Inst.
SEC-Registered Investment Companies
State/Muni. Govt. Entities
Broker-Dealers
2016Q1
1,328
883
912
882
705
768
382
274
163
196
144
123
87
107
2016Q2
1,324
895
920
894
704
771
386
276
171
199
149
121
89
104
2016Q3
1,324
920
935
909
724
778
387
275
170
199
145
119
90
97
2016Q4
1,342
976
1,009
948
749
773
429
305
187
198
136
125
100
102
2017Q1
1,356
997
1,029
958
770
786
438
310
187
198
140
127
105
104
2017Q2
1,372
1,011
1,033
967
778
789
443
312
186
185
142
129
107
107
2017Q3
1,372
1,039
1,048
973
790
798
444
314
189
183
146
137
108
111
2017Q4
1,491
1,188
1,153
1,037
848
816
514
348
194
187
159
138
122
112
2017Q3
17.9
13.6
13.7
12.7
10.3
10.4
5.8
4.1
2.5
2.4
1.9
1.8
1.4
1.5
2017Q4
17.9
14.3
13.9
12.5
10.2
9.8
6.2
4.2
2.3
2.3
1.9
1.7
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
Unknown Non-U.S. Investors
Non-U.S. Individuals
Banking/Thrift Inst.
SEC-Registered Investment Companies
State/Muni. Govt. Entities
Broker-Dealers
2016Q1
19.1
12.7
13.1
12.7
10.1
11.0
5.5
3.9
2.3
2.8
2.1
1.8
1.2
1.5
2016Q2
18.9
12.8
13.1
12.8
10.1
11.0
5.5
3.9
2.4
2.8
2.1
1.7
1.3
1.5
15
2016Q3
18.7
13.0
13.2
12.9
10.2
11.0
5.5
3.9
2.4
2.8
2.1
1.7
1.3
1.4
2016Q4
18.2
13.2
13.7
12.8
10.2
10.5
5.8
4.1
2.5
2.7
1.8
1.7
1.3
1.4
2017Q1
18.1
13.3
13.7
12.8
10.3
10.5
5.8
4.1
2.5
2.6
1.9
1.7
1.4
1.4
2017Q2
18.1
13.4
13.7
12.8
10.3
10.4
5.9
4.1
2.5
2.5
1.9
1.7
1.4
1.4
August 2, 2018
Analytics Office
Table 14: Beneficial Ownership for Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Non-Profits
Pension Plans
Other
State/Muni. Govt. Pension Plans
U.S. Individuals
Sov. Wealth Funds and For. Official Inst.
Broker-Dealers
Insurance Companies
SEC-Registered Investment Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
2016Q1
513
363
347
323
272
305
137
77
64
77
64
48
31
30
2016Q2
509
359
352
333
278
308
136
76
65
76
65
46
32
33
2016Q3
504
380
364
356
291
319
140
69
65
75
66
46
33
30
2016Q4
490
383
369
356
304
318
143
68
67
71
65
41
35
29
2017Q1
495
395
379
375
310
324
152
72
70
70
68
45
41
31
2017Q2
505
405
387
386
314
331
158
75
73
70
68
52
42
33
2017Q3
510
418
399
410
331
340
160
79
74
74
70
56
42
33
2017Q4
505
428
414
409
352
345
166
79
78
74
74
58
42
35
2017Q3
17.0
13.9
13.3
13.7
11.0
11.3
5.3
2.6
2.5
2.5
2.3
1.9
1.4
1.1
2017Q4
16.5
14.0
13.5
13.4
11.5
11.3
5.4
2.6
2.5
2.4
2.4
1.9
1.4
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
Non-Profits
Pension Plans
Other
State/Muni. Govt. Pension Plans
U.S. Individuals
Sov. Wealth Funds and For. Official Inst.
Broker-Dealers
Insurance Companies
SEC-Registered Investment Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
2016Q1
19.3
13.7
13.1
12.2
10.2
11.5
5.1
2.9
2.4
2.9
2.4
1.8
1.2
1.1
2016Q2
19.1
13.4
13.2
12.5
10.4
11.5
5.1
2.8
2.4
2.9
2.4
1.7
1.2
1.2
16
2016Q3
18.4
13.9
13.3
13.0
10.6
11.7
5.1
2.5
2.4
2.7
2.4
1.7
1.2
1.1
2016Q4
17.9
13.9
13.5
13.0
11.1
11.6
5.2
2.5
2.4
2.6
2.4
1.5
1.3
1.1
2017Q1
17.5
14.0
13.4
13.3
11.0
11.5
5.4
2.5
2.5
2.5
2.4
1.6
1.4
1.1
2017Q2
17.4
13.9
13.3
13.3
10.8
11.4
5.4
2.6
2.5
2.4
2.4
1.8
1.4
1.1
August 2, 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
State/Muni. Govt. Entities
Non-Profits
State/Muni. Govt. Pension Plans
U.S. Individuals
2016Q1
79
38
***
17
***
***
7
5
***
17
***
***
***
***
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
21
***
12
9
5
***
4
***
2
1
***
2017Q3
83
51
55
24
***
***
10
5
***
4
***
2
1
***
2017Q4
96
55
53
23
***
***
9
5
***
4
***
2
1
***
2017Q3
30.0
18.5
19.9
8.6
***
***
3.7
1.9
***
1.4
***
0.6
0.4
***
2017Q4
33.3
19.1
18.4
7.8
***
***
3.0
1.8
***
1.3
***
0.5
0.4
***
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
State/Muni. Govt. Entities
Non-Profits
State/Muni. Govt. Pension Plans
U.S. Individuals
2016Q1
32.2
15.5
***
7.1
***
***
2.9
1.9
***
6.9
***
***
***
***
2016Q2
30.9
14.7
***
6.5
***
***
3.3
1.8
***
6.8
***
***
***
***
17
2016Q3
32.3
16.2
24.2
7.1
***
***
3.2
***
***
1.6
***
***
***
***
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
32.6
18.7
19.2
7.6
***
4.3
3.3
1.8
***
1.5
***
0.6
0.4
***
August 2, 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
2016Q1
326
270
140
132
138
84
87
95
35
32
19
5
15
1
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
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
2016Q1
23.7
19.6
10.2
9.6
10.0
6.1
6.3
6.9
2.5
2.3
1.4
0.4
1.1
0.0
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
18
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
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
August 2, 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
2016Q1
9,181
8,028
98
54
42
***
***
21
11
***
9,367
2016Q2
9,363
8,073
96
54
42
***
***
21
11
***
9,499
2016Q3
9,400
8,207
97
53
42
***
***
21
10
***
9,546
2016Q4
9,192
7,919
112
38
35
***
***
16
14
***
9,393
2017Q1
10,249
8,833
108
38
35
***
***
16
14
***
10,397
2017Q2
10,166
8,832
108
38
34
***
***
16
14
***
10,395
2017Q3
11,447
9,661
108
38
34
***
***
16
13
***
11,649
2017Q4
12,472
10,468
146
39
33
***
***
17
3
***
12,666
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
2016Q1
269.5
302.4
11.2
2.8
3.1
***
***
6.6
7.9
***
134.8
2016Q2
272.5
302.3
10.9
2.8
3.1
***
***
6.6
7.7
***
135.7
2016Q3
268.9
299.5
11.0
2.8
3.1
***
***
6.6
7.4
***
134.9
19
2016Q4
263.1
288.6
11.4
1.8
2.3
***
***
4.8
9.8
***
127.3
2017Q1
283.8
312.3
10.9
1.8
2.3
***
***
4.8
9.8
***
138.5
2017Q2
277.1
304.4
10.8
1.8
2.3
***
***
4.7
9.4
***
137.4
2017Q3
301.9
322.5
11.2
1.8
2.3
***
***
4.8
9.2
***
152.2
2017Q4
320.5
342.1
13.6
1.6
1.9
***
***
4.4
1.7
***
152.4
August 2, 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 1
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
Q4
Total Derivative Value ($Billions)
Winsorized (limits=[1%,99%])
20
20
16
Q
20 1
16
Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q4
Total Derivative Value ($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
2016Q1
7,466
63
9
2016Q2
7,489
64
10
2016Q3
7,534
70
9
2016Q4
7,495
62
11
2017Q1
7,624
62
12
2017Q2
7,669
66
11
2017Q3
7,697
63
12
2017Q4
7,745
42
12
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
2016Q1
3,287
84
2
2016Q2
3,323
83
2
2016Q3
3,379
84
2
2016Q4
3,379
78
2
20
2017Q1
3,497
79
3
2017Q2
3,562
78
3
2017Q3
3,663
43
37
2017Q4
3,780
41
37
August 2, 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
2016Q1
7.9
13.7
20.5
29.2
44.3
57.9
2016Q2
7.8
13.6
20.4
29.1
44.1
57.6
2016Q3
7.9
13.8
20.6
29.2
44.2
57.7
2016Q4
7.9
13.7
20.5
29.0
44.1
57.5
2017Q1
7.7
13.3
20.2
28.6
43.7
57.0
2017Q2
7.7
13.5
20.2
28.5
43.4
56.9
2017Q3
7.5
13.2
20.0
28.4
43.4
56.8
2017Q4
7.4
13.2
20.0
28.5
43.1
56.4
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
2016Q1
15.0
23.3
30.5
40.0
54.4
66.4
2016Q2
15.0
23.6
31.2
40.8
54.9
66.7
2016Q3
14.4
22.9
31.2
41.0
55.2
66.9
2016Q4
14.7
23.2
31.4
41.0
55.0
66.8
2017Q1
14.6
23.5
32.0
41.5
55.2
66.8
2017Q2
14.9
23.1
31.5
41.3
55.2
66.9
2017Q3
15.4
24.1
32.5
42.2
56.0
67.5
2017Q4
15.1
23.7
31.9
41.4
55.4
66.7
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
2016Q1
32.7
43.9
54.5
66.3
80.6
89.5
2016Q2
32.7
45.3
56.0
67.5
80.6
89.5
2016Q3
32.8
45.5
56.5
68.6
81.7
90.2
2016Q4
31.5
44.4
56.1
68.5
81.6
90.0
21
2017Q1
31.9
45.1
56.7
68.8
81.5
89.9
2017Q2
33.3
46.2
57.4
69.2
81.8
90.1
2017Q3
35.0
47.5
58.7
70.2
82.6
90.5
2017Q4
34.5
47.5
59.0
70.9
82.6
90.3
August 2, 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
2016Q1
31.5
47.2
60.0
71.8
85.5
92.8
2016Q2
34.5
48.7
60.7
72.2
85.7
92.9
2016Q3
36.9
50.5
61.3
73.1
86.1
93.2
2016Q4
34.7
48.5
60.1
73.0
86.1
93.3
2017Q1
34.1
48.0
60.5
73.2
86.3
93.2
2017Q2
32.2
46.4
59.1
71.8
85.8
92.7
2017Q3
32.4
49.1
61.3
73.4
86.4
93.3
2017Q4
31.8
47.6
60.4
73.0
86.2
93.2
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
2016Q1
28.6
42.6
54.7
66.5
81.2
91.1
2016Q2
31.5
44.0
55.0
66.9
81.3
90.8
2016Q3
32.6
45.3
56.3
67.4
81.5
90.8
2016Q4
31.6
45.4
56.8
68.6
82.2
91.2
22
2017Q1
30.9
44.5
56.6
68.8
82.5
91.3
2017Q2
30.2
43.2
55.4
67.6
81.9
90.7
2017Q3
30.2
44.9
56.9
68.6
82.5
91.1
2017Q4
29.8
44.4
56.5
68.7
82.8
91.3
August 2, 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 3
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
-12
Ratio of GNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
14
12
10
8
6
4
2
0
6-0
20 3
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
-12
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 3
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
-12
0
16
-0
2
20 3
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
-12
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 3
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
-12
20
1
Ratio of LNE to NAV
Winsorized (limits=[0%,98%])
10
20
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-12
16
20
-03
16
20
Ratio of SNE to NAV
Winsorized (limits=[0%,98%])
August 2, 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
August 2, 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
2016-01
2016-02
2016-03
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
Top 10 Advisers (NAV)
17.6
17.4
17.4
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
18.5
Top 20 Advisers (NAV)
27.5
27.3
27.3
27.8
28.0
28.0
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
27.8
27.7
27.8
25
Top 10 Advisers (GNE)
35.8
38.2
35.9
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
36.6
Top 20 Advisers (GNE)
50.0
51.4
49.1
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
51.9
August 2, 2018
Portfolio Turnover
Table 30: Aggregate Portfolio Turnover ($ Billions)
As reported on Form PF, Question 27.
Month
2016-01
2016-02
2016-03
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
Futures
8,762
10,272
11,639
8,476
9,577
12,915
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
Sov. and muni. bonds
2,265
2,439
2,104
2,073
2,588
2,793
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
Listed equities
2,190
2,239
2,036
1,972
1,969
2,108
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
Corporate bonds
110
101
119
111
110
99
89
90
104
97
95
70
123
105
125
85
131
115
101
92
109
107
210
70
Convertible bonds
15
15
18
22
17
21
14
19
20
24
19
17
20
21
25
16
25
23
17
21
24
29
25
15
Total
13,342
15,065
15,916
12,653
14,261
17,936
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
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.
Ratio of Turnover to NAV
Winsorized (limits=[1%,99%])
60
50
40
30
20
10
20
15
10
5
0
20
16
-0
20 3
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
-12
0
25
20
16
-0
20 3
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
-12
Total Turnover ($Billions)
Winsorized (limits=[1%,99%])
C
Analytics Office
(a) Total Turnover
(b) Total Turnover to NAV Ratio
26
August 2, 2018
D
Analytics Office
Region and Country Exposure
Table 31: Large Hedge Fund Adviser Hedge Fund
Region Exposure ($ 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
2016Q1
3,879
1,216
619
101
61
30
21
22
2016Q2
3,943
1,198
601
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
4,526
1,660
673
133
91
75
31
26
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
2016Q1
134.1
42.1
21.4
3.5
2.1
1.0
0.7
0.8
2016Q2
136.4
41.4
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
27
2017Q1
141.7
55.0
19.2
3.1
2.6
1.9
0.6
0.6
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
135.6
49.7
20.2
4.0
2.7
2.2
0.9
0.8
August 2, 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
2016Q1
3,638
290
139
42
28
11
2016Q2
3,659
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
2017Q3
147.8
7.1
4.7
1.4
1.1
0.5
2017Q4
129.1
7.3
4.9
1.8
1.4
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
2016Q1
125.8
10.0
4.8
1.4
1.0
0.4
2016Q2
126.5
9.1
4.4
1.2
1.0
0.4
2016Q3
132.1
8.9
4.6
1.2
1.2
0.5
28
2016Q4
129.3
7.3
4.3
1.2
1.0
0.5
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
August 2, 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 3
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
-12
16
-0
20 3
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
-12
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
-03
16
(c) SNE Including IRDs
30
(a) LNE Including IRDs
-0
20 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-12
16
20
-03
16
7
6
5
4
3
2
1
0
Ratio of SNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
-0
20 3
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
-12
16
20
16
-0
20 3
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
-12
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 6
16
-0
20 9
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-12
20
20
Ratio of SNE to NAV
Winsorized (limits=[0%,98%])
August 2, 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
August 2, 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.
Equity
Risk Arb./Merger Arb.
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Total
2016Q1
1,360
865
268
221
5
812
784
547
127
38
45
28
555
486
***
33
***
358
170
97
92
356
316
40
98
***
***
40
4,363
2016Q2
1,367
850
274
237
6
828
781
541
128
35
42
34
595
523
***
35
***
325
166
85
75
363
328
35
115
109
6
42
4,417
2016Q3
1,431
878
284
265
5
837
763
517
129
38
43
36
668
599
***
34
***
335
172
91
72
267
227
40
123
***
***
42
4,467
2016Q4
1,408
841
288
273
6
851
701
469
123
39
41
28
697
614
***
38
***
324
173
80
71
274
231
43
124
***
***
43
4,421
2017Q1
1,495
880
310
***
***
884
717
488
115
44
41
30
702
621
44
35
3
342
172
94
77
283
240
43
140
131
9
42
4,606
2017Q2
1,560
906
330
***
***
940
784
541
120
47
48
29
661
579
***
35
***
353
167
100
86
285
240
45
147
144
3
48
4,777
2017Q3
1,646
926
369
***
***
974
851
601
119
49
50
31
709
626
***
38
***
359
170
100
89
289
240
49
145
143
2
49
5,023
2017Q4
1,677
945
371
***
***
1,006
760
518
119
50
46
27
671
586
***
40
***
353
167
101
86
287
235
51
152
149
3
49
4,954
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
August 2, 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.
Equity
Risk Arb./Merger Arb.
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Total
2016Q1
51.2
32.6
10.1
8.3
0.2
30.6
29.5
20.6
4.8
1.4
1.7
1.1
20.9
18.3
***
1.2
***
13.5
6.4
3.6
3.4
13.4
11.9
1.5
3.7
***
***
1.5
164.4
2016Q2
51.2
31.8
10.3
8.9
0.2
31.0
29.3
20.3
4.8
1.3
1.6
1.3
22.3
19.6
***
1.3
***
12.2
6.2
3.2
2.8
13.6
12.3
1.3
4.3
4.1
0.2
1.6
165.4
32
2016Q3
52.2
32.1
10.3
9.7
0.2
30.6
27.9
18.9
4.7
1.4
1.6
1.3
24.4
21.9
***
1.3
***
12.2
6.3
3.3
2.6
9.7
8.3
1.5
4.5
***
***
1.5
163.0
2016Q4
51.3
30.7
10.5
10.0
0.2
31.0
25.5
17.1
4.5
1.4
1.5
1.0
25.4
22.4
***
1.4
***
11.8
6.3
2.9
2.6
10.0
8.4
1.6
4.5
***
***
1.6
161.1
2017Q1
52.9
31.1
11.0
***
***
31.3
25.3
17.2
4.0
1.6
1.4
1.1
24.8
21.9
1.6
1.2
0.1
12.1
6.1
3.3
2.7
10.0
8.5
1.5
4.9
4.6
0.3
1.5
162.8
2017Q2
53.8
31.2
11.4
***
***
32.4
27.0
18.6
4.1
1.6
1.6
1.0
22.8
20.0
***
1.2
***
12.2
5.8
3.4
3.0
9.8
8.3
1.6
5.1
5.0
0.1
1.6
164.7
2017Q3
55.0
30.9
12.3
***
***
32.5
28.4
20.1
4.0
1.7
1.7
1.1
23.7
20.9
***
1.3
***
12.0
5.7
3.3
3.0
9.7
8.0
1.6
4.9
4.8
0.1
1.6
167.7
2017Q4
54.8
30.9
12.1
***
***
32.9
24.8
16.9
3.9
1.6
1.5
0.9
21.9
19.2
***
1.3
***
11.5
5.4
3.3
2.8
9.4
7.7
1.7
5.0
4.9
0.1
1.6
161.9
August 2, 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
Other
Equity
Credit
Event Driven
Managed Futures/CTA
Investment in other funds
2016Q1
4.5
2.8
1.9
1.6
1.6
1.5
1.4
1.2
1.1
2016Q2
4.7
3.1
1.8
1.6
1.6
1.5
1.4
1.2
1.1
2016Q3
4.2
3.1
2.4
1.6
1.6
1.6
1.3
1.2
1.1
2016Q4
4.1
3.2
2.4
1.6
1.6
1.5
1.3
1.2
1.1
2017Q1
4.6
3.6
2.3
1.6
1.6
1.6
1.3
1.2
1.1
2017Q2
5.1
3.5
2.2
1.6
1.6
1.6
1.3
1.9
1.0
2017Q3
5.1
3.8
2.3
1.6
1.6
1.5
1.3
1.2
***
2017Q4
4.7
3.6
2.2
1.7
1.6
1.5
1.3
1.2
1.0
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
Managed Futures/CTA
Multi-Strategy
Other
Credit
Equity
Event Driven
Investment in other funds
2016Q1
14.7
16.1
9.8
7.0
4.1
4.1
3.4
2.1
1.9
2016Q2
14.6
16.9
7.3
7.1
4.5
4.0
3.2
2.1
1.4
2016Q3
11.2
16.9
8.2
11.0
4.6
2.9
3.1
2.0
1.5
2016Q4
13.3
16.4
7.3
10.1
4.7
2.7
3.1
2.0
1.4
2017Q1
16.4
19.1
8.0
8.0
5.0
3.3
3.2
2.2
1.7
2017Q2
17.5
17.7
9.5
7.9
5.3
3.0
3.2
2.0
1.6
2017Q3
19.9
18.7
8.4
9.0
5.4
3.1
3.2
2.0
***
2017Q4
21.9
18.4
10.0
8.6
5.4
3.2
3.2
2.0
1.7
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
Other
Relative Value
Equity
Credit
Event Driven
Investment in other funds
2016Q1
57.7
44.0
25.5
24.5
27.8
13.0
12.0
10.0
10.3
2016Q2
68.3
42.8
26.4
26.5
27.2
13.9
14.1
12.0
8.4
2016Q3
68.8
40.9
26.9
26.8
21.6
11.2
10.9
11.6
6.2
33
2016Q4
67.7
40.0
28.1
25.6
22.5
12.3
11.7
11.5
5.5
2017Q1
65.5
36.6
25.5
21.5
22.7
10.6
9.8
8.0
3.4
2017Q2
61.2
39.0
22.4
20.6
20.4
11.5
10.9
11.1
6.2
2017Q3
59.0
38.6
24.9
21.3
21.5
9.7
9.9
10.0
***
2017Q4
58.0
38.5
24.8
21.0
19.8
10.2
9.8
9.7
9.4
August 2, 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 - MBS
Securities - Other Bonds
Securities - Corp. Bonds
Securities - Conv. Bonds
Securities - ABS (non-MBS)
Derivatives - IR
Derivatives - FX
Derivatives - Equity
Derivatives - Credit
Derivatives - Other
Derivatives - Commodity
Repurchase Agreements
Other
2016Q1
723
2,049
744
1,002
237
209
250
67
79
3,566
2,640
953
732
133
246
1,045
642
2016Q2
734
2,000
723
1,059
250
234
246
63
73
3,645
2,581
1,005
608
120
290
1,060
648
2016Q3
694
2,139
797
1,116
258
213
252
71
76
3,759
2,478
1,081
630
138
307
1,113
669
2016Q4
675
2,116
972
1,140
227
196
252
69
76
3,546
2,442
1,115
598
137
325
1,156
679
2017Q1
681
2,302
1,033
1,145
246
209
268
82
75
4,170
2,649
1,195
640
144
330
1,314
701
2017Q2
684
2,396
1,056
1,108
241
240
269
89
77
3,846
2,726
1,228
687
286
332
1,398
731
2017Q3
691
2,522
1,159
1,157
254
270
259
82
75
4,148
3,070
1,297
805
280
369
1,373
780
2017Q4
686
2,602
1,202
1,159
266
261
254
82
78
4,483
3,360
1,369
720
460
379
1,304
755
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 - MBS
Securities - Other Bonds
Securities - Corp. Bonds
Securities - Conv. Bonds
Securities - ABS (non-MBS)
Derivatives - IR
Derivatives - FX
Derivatives - Equity
Derivatives - Credit
Derivatives - Other
Derivatives - Commodity
Repurchase Agreements
Other
2016Q1
87.0
69.3
56.6
69.6
78.7
74.8
80.3
93.3
99.1
49.6
50.4
53.4
46.0
57.0
59.3
43.3
90.5
2016Q2
88.1
69.2
55.5
66.8
76.6
71.6
80.9
95.2
99.4
50.8
52.5
55.0
44.4
58.2
62.2
43.4
90.5
2016Q3
87.3
69.8
53.4
66.6
74.7
78.0
82.9
95.5
99.0
52.8
51.7
55.3
47.3
60.2
63.4
45.3
89.6
34
2016Q4
86.9
70.1
49.6
68.1
76.0
75.4
81.7
95.2
98.7
51.0
48.5
55.1
48.2
58.6
63.4
48.7
89.0
2017Q1
85.0
70.2
49.2
65.3
74.1
78.1
80.9
95.2
98.0
48.3
50.8
56.2
47.1
62.6
64.2
50.0
87.8
2017Q2
86.9
70.0
50.0
63.2
73.6
78.3
79.9
95.6
98.0
47.2
50.1
55.5
47.6
55.2
58.8
49.4
90.3
2017Q3
88.1
70.3
50.0
62.3
71.9
71.5
81.2
94.1
96.7
47.7
49.7
56.8
47.2
53.2
64.0
51.6
86.7
2017Q4
86.0
71.8
50.2
62.9
71.2
74.4
81.5
93.4
96.8
49.4
47.1
57.6
47.5
53.1
64.4
51.9
89.2
August 2, 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
2016Q1
7.8
14.0
27.5
47.1
60.4
75.3
2016Q2
8.0
14.1
27.3
46.8
60.1
75.6
2016Q3
8.3
14.4
26.5
47.3
61.9
74.7
2016Q4
8.2
14.1
26.6
49.7
58.9
74.2
2017Q1
8.4
14.5
28.6
47.7
59.8
74.2
2017Q2
8.4
14.6
27.2
46.8
59.5
74.0
2017Q3
8.5
14.8
27.7
48.4
61.8
73.7
2017Q4
8.8
15.2
28.2
51.1
60.1
74.0
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
2016Q1
41.6
65.7
78.5
84.6
88.0
91.4
2016Q2
41.6
65.1
78.0
84.1
87.8
91.2
2016Q3
40.1
63.9
77.3
83.8
87.3
90.7
2016Q4
40.1
63.4
76.7
83.1
86.4
89.8
2017Q1
38.3
61.6
76.1
82.2
85.8
89.6
2017Q2
38.6
62.4
76.5
82.6
86.2
89.8
2017Q3
38.0
61.9
76.1
82.4
85.9
89.3
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 Fourth Calendar Quarter 2017.
At
E
Analytics Office
2017Q4
38.7
62.7
76.3
82.6
86.2
89.6
August 2, 2018
Analytics Office
Table 44: Restrictions on Qualifying Hedge Fund Assets ($ Billions)
As reported on Form PF, Questions 48 and 49.
2016Q1
2,122
1,289
38
29
14
2016Q2
2,141
1,307
37
27
16
2016Q3
2,180
1,330
38
30
16
2016Q4
2,154
1,290
38
27
19
2017Q1
2,222
1,338
39
27
27
2017Q2
2,275
1,362
38
28
27
2017Q3
2,338
1,396
39
30
22
Figure 13: Percentage of Qualifying Hedge Fund NAV
Subject to a Side-Pocket Arrangement
See Appendix C for an explanation of boxplots.
NAV in Side-Pocket (%)
50
As reported on Form PF, Questions 9 and 48.
40
30
20
10
6Q
20 2
16
Q
20 3
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q4
20
1
6Q
1
0
20
1
Type
May Suspend
May Have Gates
Side-Pocketed
Gated
Suspended
36
2017Q4
2,376
1,409
39
38
17
August 2, 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
2016Q1
1,942
977
696
269
10
1,952
2016Q2
1,939
980
692
267
9
1,948
2016Q3
2,079
1,084
729
267
11
2,090
2016Q4
2,057
1,087
675
295
12
2,069
2017Q1
2,239
1,186
739
313
14
2,253
2017Q2
2,391
1,265
795
331
11
2,402
2017Q3
2,437
1,371
721
345
12
2,448
2017Q4
2,419
1,379
685
356
14
2,433
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
2016Q1
62.8
36.7
0.4
0.1
2016Q2
62.3
37.3
0.3
0.1
2016Q3
64.7
34.8
0.3
0.2
2016Q4
63.2
36.3
0.3
0.1
2017Q1
61.2
38.4
***
***
2017Q2
61.1
38.5
0.3
0.1
2017Q3
61.4
38.3
***
***
2017Q4
61.7
37.9
***
***
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
2016Q1
1,253
801
452
718
547
171
320
240
79
2,291
2016Q2
1,229
776
454
711
518
194
308
230
78
2,249
2016Q3
1,339
861
478
774
574
200
312
236
77
2,426
37
2016Q4
1,334
857
477
691
451
241
349
210
139
2,375
2017Q1
1,467
949
518
783
517
266
384
254
130
2,634
2017Q2
1,545
1,022
522
786
506
281
407
251
156
2,738
2017Q3
1,674
1,151
523
734
478
256
423
265
158
2,831
2017Q4
1,686
1,183
503
718
455
263
426
262
165
2,830
(b) Prime Broker Borrowing
38
-0
20 3
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
-12
16
20
8
7
6
5
4
3
2
1
0
Collateral/Reverse Repo Borrowing
Winsorized (limits=[0%,98%])
16
-0
20 3
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
-12
20
Collateral/Prime Broker Borrowing
Winsorized (limits=[0%,98%])
-0
20 3
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
-12
16
20
Collateral/Total Secured Borrowing
Winsorized (limits=[0%,98%])
August 2, 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
August 2, 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
2016Q1
43.3
52.7
66.5
81.8
96.1
97.6
2016Q2
43.5
52.8
65.8
81.7
95.9
97.4
2016Q3
37.1
53.6
65.2
80.8
96.0
97.5
2016Q4
35.8
48.1
64.0
81.0
95.9
97.3
2017Q1
36.3
52.9
65.0
80.2
95.9
97.3
2017Q2
34.6
53.3
65.3
80.8
96.1
97.4
2017Q3
35.3
51.7
64.0
79.2
95.9
97.3
Figure 15: Weighted-Average Qualifying Hedge Fund
Financing Liquidity (Percent of Available Financing)
As reported on Form PF, Question 46 as of Fourth Calendar Quarter 2017.
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
2017Q4
34.2
49.5
64.7
80.3
95.9
97.2
August 2, 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
4
17
Q
20
3
17
Q
20
2
17
Q
20
1
17
Q
20
4
16
Q
20
3
16
Q
20
2
16
Q
20
16
Q
1
0
20
G
Analytics Office
August 2, 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
2016Q1
622
240
192
196
38
977
2016Q2
626
237
190
188
41
982
2016Q3
623
239
193
186
46
997
2016Q4
631
234
196
196
42
1,021
2017Q1
640
238
190
202
44
1,034
2017Q2
652
249
190
207
45
1,068
2017Q3
652
271
186
190
43
1,070
2017Q4
666
278
193
188
48
1,137
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
2016Q1
3,079
1,602
729
648
317
1,913
2016Q2
3,205
1,688
756
628
321
1,898
2016Q3
3,269
1,762
746
642
344
1,977
2016Q4
3,225
1,700
731
645
373
1,994
2017Q1
3,428
1,829
737
862
425
2,066
2017Q2
3,516
1,798
760
947
457
2,201
2017Q3
3,624
1,900
767
940
489
2,268
2017Q4
3,587
1,882
806
846
524
2,316
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
2016Q1
1,270
463
457
346
88
1,385
2016Q2
1,293
483
449
336
90
1,378
2016Q3
1,310
501
462
342
94
1,430
41
2016Q4
1,303
479
459
352
94
1,441
2017Q1
1,345
491
465
403
95
1,484
2017Q2
1,377
504
474
424
94
1,524
2017Q3
1,406
561
477
394
94
1,589
2017Q4
1,411
562
490
386
93
1,649
August 2, 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
2016Q1
538
444
84
533
2016Q2
545
454
81
528
2016Q3
548
447
75
550
2016Q4
555
453
76
568
2017Q1
548
451
92
583
2017Q2
558
457
94
611
2017Q3
558
467
94
603
2017Q4
592
498
74
639
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
2016Q1
2,861
1,011
218
902
2016Q2
3,001
1,008
204
890
2016Q3
3,090
1,030
179
948
2016Q4
3,045
1,001
179
993
2017Q1
3,189
1,076
240
990
2017Q2
3,244
1,114
271
1,086
2017Q3
3,388
1,178
236
1,089
2017Q4
3,426
1,190
160
1,126
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
2016Q1
1,144
669
125
717
2016Q2
1,162
666
131
712
2016Q3
1,193
666
117
763
2016Q4
1,185
661
117
780
42
2017Q1
1,199
683
146
801
2017Q2
1,230
673
147
850
2017Q3
1,248
712
158
877
2017Q4
1,302
736
108
914
August 2, 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
2016Q1
81.2
96.0
99.7
100.0
100.0
100.0
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
79.6
95.2
99.5
99.8
99.9
99.9
2017Q3
79.1
95.5
99.5
99.7
99.8
99.9
2017Q4
80.5
95.5
99.5
99.7
99.8
99.9
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
2016Q2
241
207
0
0
2016Q3
232
199
0
0
2016Q4
253
220
0
0
2017Q1
246
215
0
0
2017Q2
255
224
0
0
2017Q3
261
227
0
0
2017Q4
273
237
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
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
20
1
6-0
3
0
20
1
Weighted Average Maturity (WAM) in Days
B
2016Q1
232
200
0
0
August 2, 2018
Analytics Office
Figure 18: Weighted-Average Life Reported by Section 3 Liquidity Funds
-12
17
20
17
20
-09
17
20
-06
17
20
-03
16
20
-12
16
20
16
20
-06
16
20
Asset-Weighted WAL
-09
Average WAL
90
80
70
60
50
40
30
20
10
0
-03
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
-12
17
20
-09
17
20
-06
17
20
-03
20
17
-12
16
20
-09
16
20
-06
16
20
16
-03
0.0
20
Seven-Day Gross Yield (%)
2.0
August 2, 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
-12
17
20
-09
17
20
-06
17
20
-03
17
20
-12
16
20
-09
16
20
16
20
16
20
-06
0
-03
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
-12
17
20
-09
17
20
-06
17
20
-03
17
20
-12
16
20
-09
16
20
-06
16
20
16
-03
0
20
Ratio of Weekly Liquid Assets (WLA)
to Net Asset Value (%)
As reported on Form PF, Question 55.
August 2, 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
Liquidity
Maturity
Fully
None
2016Q1
61.1
58.3
52.8
58.3
47.2
36.1
2016Q2
64.9
62.2
54.1
62.2
48.6
32.4
2016Q3
61.1
58.3
55.6
58.3
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
59.6
55.3
55.3
55.3
48.9
38.3
2017Q3
56.5
52.2
52.2
52.2
45.7
41.3
2017Q4
56.2
52.1
52.1
52.1
45.8
41.7
Table 58: Rule 2a-7 Compliance (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 54.
Compliance Type
Credit Quality
Diversification
Liquidity
Maturity
Fully
None
D
2016Q1
16.2
16.2
10.8
16.0
10.0
83.6
2016Q2
17.9
17.9
11.3
17.7
10.4
82.0
2016Q3
13.5
13.5
12.2
13.5
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
15.9
14.9
14.7
14.7
12.8
84.0
2017Q3
15.9
14.9
15.0
15.0
12.8
83.9
2017Q4
14.7
13.7
13.7
13.7
11.8
85.2
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
2016Q1
***
***
2016Q2
***
***
2016Q3
***
***
2016Q4
81.8
18.2
2017Q1
80.0
20.0
2017Q2
78.7
21.3
2017Q3
78.3
21.7
2017Q4
79.2
20.8
Table 60: NAV Calculation Method (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2016Q1
***
***
2016Q2
***
***
2016Q3
***
***
2016Q4
69.9
30.1
46
2017Q1
71.4
28.6
2017Q2
68.3
31.7
2017Q3
70.2
29.8
2017Q4
69.1
30.9
August 2, 2018
Aggregate Portfolio Holdings
Table 61: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2
As reported on Form PF, Question 56.
Product Type
U.S. Treasuries
Other
Deposits
Repo - Govt. Collateral
Commercial Paper
Asset-Backed Securities
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
2016Q1
79.7
39.2
32.6
30.9
22.8
12.8
***
5.5
***
Table 62: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 3
3
67.5
71.5
30.7
35.6
14.9
47.3
24.3
4.2
4.7
73.3
73.4
42.4
38.8
15.5
37.2
24.0
4.2
3.0
77.6
65.8
63.8
40.4
33.1
31.2
25.9
4.1
2.5
76.5
69.1
61.9
43.1
30.4
26.3
23.8
3.9
2.1
75.0
64.2
53.7
45.5
30.3
24.2
23.6
4.9
0.8
7-0
62.8
66.2
31.1
36.3
11.4
52.4
24.5
5.3
6.1
7-0
201
2
1
201
55.3
64.8
33.7
26.9
6.4
35.9
22.8
5.9
1.1
7-0
201
-12
201
6
1
55.5
67.2
31.6
26.0
***
41.7
20.2
5.0
***
6-1
201
0
58.6
70.3
29.3
27.1
***
36.6
19.0
5.9
***
6-1
9
201
55.3
69.9
30.4
25.5
***
35.6
16.8
5.2
***
6-0
201
8
201
57.5
67.1
28.0
26.6
***
40.8
14.0
4.2
***
6-0
201
6-0
7
6-0
6
5
201
Product Type
Deposits
U.S. Treasuries
Other
Commercial Paper
Repo - Other Collateral
Repo - Govt. Collateral
Asset-Backed Securities
U.S. Govt. Debt
Municipal Debt
6-0
51.1
66.8
24.0
28.0
***
42.8
12.8
4.4
***
6-0
201
4
As reported on Form PF, Question 63.
201
Table 63: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 3 of 3
2
83.5
61.5
62.8
45.9
38.6
32.7
22.0
4.5
1.3
83.2
56.6
60.6
45.1
46.6
30.9
21.8
4.0
1.1
79.7
55.3
62.1
45.2
48.8
32.5
23.9
5.8
1.1
83.0
61.1
57.1
48.2
40.0
38.6
22.6
5.5
1.1
83.6
66.4
55.7
47.7
36.8
36.7
21.7
5.8
1.1
73.2
69.0
64.7
41.8
32.0
29.6
20.6
5.9
0.9
7-1
201
1
201
77.3
57.5
67.2
41.3
35.4
34.8
21.3
6.0
1.1
7-1
201
7
-10
201
7-0
9
7-0
8
201
81.4
62.8
66.4
44.8
46.4
34.9
25.2
5.3
1.6
47
7-0
7
201
6
201
7-0
Product Type
Deposits
U.S. Treasuries
Other
Commercial Paper
Repo - Other Collateral
Repo - Govt. Collateral
Asset-Backed Securities
U.S. Govt. Debt
Municipal Debt
5
7-0
82.0
66.1
55.2
40.5
41.1
26.4
26.7
5.0
1.5
7-0
201
4
As reported on Form PF, Question 63.
201
E
Analytics Office
August 2, 2018
XI
A
Analytics Office
Section 4 Private Equity Fund Specific Information
CPC Industry Concentration
Table 64: 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
August 2, 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
August 2, 2018
C
Analytics Office
CPC Investments by Region and Country
Table 65: 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 66: 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
August 2, 2018
Analytics Office
Table 67: 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 68: 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
August 2, 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.
52
August 2, 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.
53
August 2, 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
August 2, 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.
55
August 2, 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.
56
August 2, 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
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.