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Annual Staff Report Relating to the Use of Form PF Data

This is a report of the Staff of the U.S. Securities and Exchange Commission.

The Commission has expressed no view regarding

the analysis, findings, or conclusions contained herein.

December 30, 2019

Executive Summary

Since July 2012, the Commission has collected data about hedge funds, private equity funds, and other

private funds reported by certain registered investment advisers to private funds on Form PF. This collection

is pursuant to amendments to the Investment Advisers Act of 1940 (“Advisers Act”), enacted in 2010, that

provide that the Commission require registered investment advisers to maintain records and file reports

regarding the private funds they advise, for use by the Commission and by the Financial Stability Oversight

Council (“FSOC”). The Commission is the primary regulator of advisers to private funds.

Private funds and their advisers play an important role in both private and public capital markets. These

funds, including hedge funds, private equity funds and liquidity funds (which operate, in certain respects,

similarly to money market funds), currently have more than $8.5 trillion in net assets. Although private

fund assets are still less than one half of the total assets of registered investment companies, they represent

a much higher proportion of total registered and unregistered investment fund assets than in past decades.

Private funds invest in large and small businesses and use strategies that range from long-term investments

in equity to rapid trading and investments in complex instruments. Their investors include individuals,

institutions, governmental and private pension funds, and non-profit organizations. The economic activity

of private funds is significant both to large portions of the capital markets and to many individual American

investors.

Before Form PF was adopted, the Commission and other regulators had limited visibility into this economic

activity. With the significant increase in private fund advisers registered with the Commission in 2012,

Form PF represented an improvement in available data about private funds compared with the third party

data on which the Commission would otherwise rely. Form PF data allows the Commission to better

monitor and identify trends that may affect private funds, advisers and investors.

Part III of this seventh Annual Report Relating to the Use of Form PF Data highlights the uses of the Form

PF Data by the Commission and Commission staff. These include:

•

Informing Commission Policy. Commission staff uses data from Form PF to identify trends and

develop analyses that deepen staff understanding of private funds, private fund advisers and the

markets in which they participate, subject to a framework designed to maintain the security and

confidentiality of the data. The data set resulting from Form PF has provided a better perspective

of the trading strategies and other activities of private funds, and of how private funds and their

advisers may be affected by market and geopolitical events. This enhances the Commission’s

ability to evaluate and frame regulatory policy, inform policy discussions of private fund activity

and test with evidence assertions about private fund activity.

Informing the Public. Staff’s quarterly public report, Private Funds Statistics, provides analyses of

aggregated Form PF data, including information about industry trends. Staff also uses Form PF

data to conduct and publish research intended to deepen public understanding of private funds and

their market activities and risks.

Prioritizing and Informing Examination and Enforcement Efforts. Staff reviews and analyzes Form

PF data to identify potential compliance risk areas and assist in prioritizing the use of exam and

enforcement resources. Reports summarizing key information, which can be rapidly and

automatically generated, expedite staff’s preparation and conduct of focused exams by helping to

identify areas of inquiry.

Facilitating Coordination with Other Regulators. The Commission adopted Form PF in part to

obtain data that FSOC can use for the assessment of systemic risk in the U.S. financial markets.

Accordingly, the Commission makes Form PF data available to FSOC through the Office of

Financial Research (“OFR”) and to the Federal Reserve Board, subject to agreements regarding

appropriate use of and confidentiality protections for Form PF data. Staff also uses Form PF data

when coordinating with other federal regulators and international organizations in areas of mutual

interest, subject to protections designed to maintain data security.

Introduction

Today’s U.S. private fund industry, including hedge funds, private equity and other private funds, with

more than $8.5 trillion in reported net assets as of the first quarter of 2019, 1 plays an active and important

role in the U.S. private and public capital markets. Important financial innovations, capital market trends,

and new investment strategies and structures have emerged first among private funds and private fund

advisers. As the primary U.S. regulator of advisers to private funds, 2 the Commission depends on robust

and reliable information to inform its understanding of private funds and private fund advisers, including

how private funds and advisers participate in financial markets, so that it can carry out its mission of

protecting investors, maintaining fair, orderly and efficient markets and facilitating capital formation.

Further, because of private funds’ important role in capital markets, the Commission can better identify

potential trends in the markets that it regulates by understanding new developments and trends in private

funds.

Form PF and Advisers Act rule 204(b)–1, adopted by the Commission in 2011, require certain registered

investment advisers to private funds (including hedge funds, private equity funds, private liquidity funds,

and other private funds) to file Form PF to report information about the private funds they manage. 3 Section

204(b) of the Advisers Act requires an annual report to Congress regarding how the Commission has used

the Form PF data to monitor markets for the protection of investors and the integrity of the markets. 4 This

report is being submitted to Congress to satisfy that requirement. 5

This is a report of the staff of the Commission, and the Commission has expressed no view regarding any

analysis, findings, or conclusions contained herein.

Private Fund Statistics, Table 4, at the Appendix.

Section 202(a)(29) defines a “private fund” as “an issuer that would be an investment company, as defined

by section 3 of the Investment Company Act, but for section 3(c)(1) or 3(c)(7) of that Act.” Some investment

advisers registered with the Commission are also registered with and regulated by the U.S. Commodity

Futures Trading Commission as commodity pool operators (“CPOs”) or commodity trading advisers

(“CTAs”). See Reporting by Investment Advisers to Private Funds and Certain Commodity Pool Operators

and Commodity Trading Advisors on Form PF, Investment Advisers Act Release No. 3308 (Oct. 31, 2011)

at n. 10 and text accompanying n. 49 [76 Fed. Reg. 71128, 71132 (Nov. 16, 2011)],

https://www.gpo.gov/fdsys/pkg/FR-2011-11-16/pdf/2011-28549.pdf (the “Adopting Release”).

See Adopting Release, supra footnote 2; see also Money Market Fund Reform; Amendments to Form PF,

Investment Advisers Act Release No. 3879 (July 23, 2014) [79 Fed. Reg. 47736 (Aug. 14, 2014)],

https://www.gpo.gov/fdsys/pkg/FR-2014-08-14/pdf/2014-17747.pdf (amending certain reporting required by

private liquidity funds) (the “Money Market Fund Reform Release”). The Commission recently solicited

public comment on the collection of information requirements of Form PF, and the Office of Management

and Budget (“OMB”) approved the continuation of the collection without change pursuant to the Paperwork

Reduction Act of 1995 (44 U.S.C. 3501 et. seq.) (the “PRA”). See Proposed Collection of Information,

Comment Request, 83 Fed. Reg. 1278 (Jan. 10, 2018); OMB, Office of Information and Regulatory Affairs,

OMB

Control

Number

History,

https://www.reginfo.gov/public/do/PRAOMBHistory?ombControlNumber=3235-0679.

Advisers Act Section 204(b)(11), 15 U.S.C. § 80b-4(b)(11).

See Division of Investment Management, U.S. Securities and Exchange Commission, Annual Staff Report

Relating to the Use of Form PF Data, https://www.sec.gov/reports.

II.

Overview of Form PF and Form PF Data Management at the Commission

A. Overview of Form PF

Form PF provides the Commission information that it uses in carrying out its mission. 6 Before Form PF

was adopted, the Commission and other regulators had more limited visibility into the economic activity of

private funds. With the significant increase in private fund advisers registered with the Commission in 2012,

Form PF represented an improvement in available data about private funds compared with the third party

data on which the Commission would otherwise rely. 7 The data set that is generated from information

reported by private fund advisers on Form PF is more reliable and complete when contrasted with private

vendor databases that cover only voluntarily-provided private fund data and are not representative of the

total population. The Commission adopted Form PF in part to obtain data that FSOC can use for the

assessment of systemic risk in the U.S. financial markets. 8 As required by statute, the Commission designed

Form PF in consultation with FSOC. 9

Generally, investment advisers registered (or required to be registered) with the Commission with at least

$150 million in private fund assets under management must file Form PF. Most private fund advisers file

annually to report general information such as the types of private funds advised (e.g., hedge funds, private

equity funds, or liquidity funds), fund size, use of borrowings and derivatives, strategy, and types of

investors. Certain larger advisers provide more information on a more frequent basis, including more

detailed information on particular hedge funds and liquidity funds.

B. How the Commission Secures and Manages Form PF Data

Advisers file Form PF using the Private Fund Reporting Depository (“PFRD”), an electronic filing system

maintained by the Financial Industry Regulatory Authority (“FINRA”). 10 Commission staff receives Form

PF data via a direct feed from FINRA and maintains the data on access-controlled internal data systems.

Consistent with provisions under the Advisers Act that provide heightened confidentiality protections for

any proprietary information of private fund advisers submitted on Form PF, 11 Commission staff has

implemented systems and controls designed to limit access to Form PF data and protect its confidentiality

within and outside the agency. This includes limits on access to FINRA’s PFRD system and to internal

data systems that contain PF Data to staff experts across the Commission who have been authorized to

Section 204(b) of the Advisers Act requires the Commission to implement recordkeeping and reporting

requirements for private fund advisers as necessary and appropriate in the public interest and for the

protection of investors, or for the assessment of systemic risk by FSOC. Section 204(b) was enacted as part

of the Dodd- Frank Wall Street Reform and Consumer Protection Act, Public Law No. 111-203, § 404, 124

Stat. 1376 (the “Dodd-Frank Act”).

Adopting Release, supra footnote 2, at 71129 n. 11 (describing transition period for registration by private

fund advisers that previously relied on the repealed exemption under section 203(b)(3) of the Advisers Act)

and 71130 n.19 (citing FSOC 2011 Annual Report, http://www.treasury.gov/initiatives/fsoc/Pages/annualreport.aspx).

See note 6, supra.

See Advisers Act section 204(b)(3) (requires the Commission to consult with FSOC).

The Commission developed PFRD to implement reporting requirements on Form PF. PFRD is operated

under a contract between the Commission and FINRA as an extension of the Investment Adviser Reporting

Depository system used by advisers to register with the Commission on Form ADV. See Adopting Release,

supra footnote 2, at Section II.E

Advisers Act Section 204(b)(10), 15 U.S.C. § 80b-4(b)(10).

access the data, and processes under which any Form PF data released to the public is reviewed before

release so that the data is aggregated and/or masked to avoid public disclosure of proprietary information

of private fund advisers. Senior staff members from various Divisions and Offices within the Commission

are members of the Form PF Steering Committee tasked with overseeing these systems and controls for

access, use, and security of Form PF data. The Committee, on an ongoing basis, monitors and updates

these systems and controls and meets regularly to address any new matters arising from time to time relating

to the access, use and security of the Form PF data.

C. Efforts to Improve the Quality of Form PF Data

Commission staff works with filers to improve the quality of data filed on Form PF. For example:

•

Staff responds to specific, factual inquiries about how to complete and file Form PF on an ongoing

basis. Staff maintains a separate email address that advisers and others can use to obtain answers

to questions about how to complete and file Form PF. Staff also issued and periodically updates a

series of “Frequently Asked Questions” that address specific, factual questions received from

advisers and other members of the public related to Form PF. 12

•

Staff regularly contacts individual filers when staff members identify anomalous and possibly

erroneous data as well as possibly delinquent or missing filings. Staff works with these individual

filers to determine steps for improving timeliness and accuracy of filings.

•

When delinquencies persist, the staff has taken further steps to ensure that information is

appropriately filed. 13

D. Analytical Tools Using Form PF Data

Commission staff has developed various analytical tools to use Form PF data in support of its monitoring

of private funds and private fund advisers, consistent with the systems and controls discussed above in

Section II.B. These tools enhance staff’s ability to assess large volumes of data, streamline analysis of the

data by automating certain analytical processes, and evaluate Form PF data alongside other relevant

datasets. As examples, these analytical tools have enhanced the staff’s ability to:

•

identify “outliers” among private funds and private fund advisers using factors such as

performance, investment exposures, and liquidity;

identify private funds based on one or more areas of policy interest, such as type of strategy, types

of investments, use of derivatives, and extent of leverage;

The

Form

Frequently

Asked

Questions

(“PF

FAQs”),

https://www.sec.gov/divisions/investment/pfrd/pfrdfaq.shtml, represent the views of the staff of the Division

of Investment Management. The PF FAQs are not a rule, regulation or statement of the Commission, and

the Commission has neither approved nor disapproved the information therein. The public Form PF inquiry

email address as well as a phone number to reach staff with questions relating to Form PF is published at

https://www.sec.gov/divisions/investment/iard/iardhelp.shtml.

See also Division of Investment

Management: Electronic Filing of Form PF for Investment Advisers on PFRD (PFRD Home Page) at

https://www.sec.gov/divisions/investment/pfrd.shtml.

The Commission announced settlement orders with 13 registered investment advisers who repeatedly failed

to file Form PF providing information about the private funds that they advise. See SEC Charges 13 Private

Fund Advisers for Repeated Filing Failures, Press Release June 1, 2018, at https://www.sec.gov/news/pressrelease/2018-100.

•

III.

monitor changes and other trends in industry exposures, asset composition, and trading activity;

empirically test claims made in the financial press or other public sources regarding private funds

and the private fund industry; and

facilitate assessment of the operations and investment activities of private funds and private fund

advisers.

How the Commission Uses Form PF Data

The Commission staff in the various Divisions and Offices use Form PF data in mission-focused activities,

including to inform policy by identifying and monitoring private fund trends, inform the public, conduct

focused exams, and pursue potential wrongdoing. Additionally, consistent with the Advisers Act, the

Commission makes the Form PF database available to FSOC through OFR. 14 Staff also makes the Form

PF database available to the Federal Reserve Board and uses Form PF data when coordinating with other

federal regulators and international organizations in areas of mutual interest involving private fund advisers,

subject to appropriate protections for data security. The following provides more detail on how the

Commission staff uses Form PF data.

A. Informing Commission Policy

The Commission staff analyzes Form PF data to identify trends and possible emerging risks among private

funds and private fund advisers and to develop analyses that deepen the Commission’s understanding of

private funds, private fund advisers, and the markets in which they participate. As compared to third-party

sources, Form PF provides the Commission with a broader perspective and more complete view of the

financial markets in general and the private fund industry in particular. Using data collected on Form PF

promotes the ability of the Commission staff to analyze information related to private fund activity, evaluate

existing regulatory policies and programs directed to private fund advisers, evaluate the impact of policy

choices on private funds’ activities, and consider whether activities of private funds may involve any

potential wrongdoing that indicates a need for regulatory action. The Commission and its staff use this

insight in support of the Commission’s mission to protect investors, maintain fair, orderly and efficient

markets, and facilitate capital formation.

Some examples of how the Commission and staff use PF Data to inform policy are as follows:

Assess Private Funds Activities and Trends. Staff uses Form PF data to identify and monitor the

activities of private funds, trends in the private funds industry and the possible effects on the broader

financial markets. Through this analysis, staff may consider persistent questions and test perceptions – and

in some cases, misconceptions – about the activities of private funds and the effects of these activities in

the markets the Commission regulates. For example, staff uses Form PF data to assess funds’ use of

borrowing and leverage based on multiple metrics, including gross notional exposure to net asset value

(economic leverage), long and short notional exposures, gross and net exposure by investment strategy,

aggregate borrowings and posted collateral. Staff also uses Form PF data to consider liquidity trends,

including funds’ portfolio, investor and financing liquidity, funds’ usage of derivatives and high frequency

trading (among other strategies), and how private fund advisers use risk management tools such as stress

tests and value at risk (VaR) reporting in the management of private funds. 15

OFR was established under the Dodd-Frank Act to support FSOC in fulfilling FSOC’s purpose and duties.

See Section 152 of the Dodd-Frank Act, supra footnote 7.

Staff makes some of this analysis publicly available in Private Funds Statistics, its quarterly report. See

Appendix and Section III.B, infra.

Assess Effects of Market and Geopolitical Events. Staff analyzes Form PF data to determine how

private funds and private fund advisers might be affected by market and geopolitical events. Staff has

assessed the exposure of private funds to various types of assets and financial markets, including their

exposure to certain international markets. This type of assessment, aggregated with other industry

information that may be available to staff, facilitates development of a broader understanding of the

potential effects of certain market or global events for private funds and the financial markets regulated by

the Commission in which private funds participate.

Identify New Developments in Broader Financial Markets. Form PF data has the potential to

capture new developments and trends among private funds and private fund advisers. This provides the

Commission and staff with a window into potential new developments and trends in the broader public

markets regulated by the Commission. For example, it is well-known that certain “alternative” investment

strategies first offered in hedge funds have more recently been developed and modified to be offered by

mutual funds. 16

Assess Effects of Rulemaking. The Commission and staff also are using information from Form PF

to assess the potential impact of rulemaking proposals and analyze impacts of its rulemaking on markets

and market participants. For example, staff has used data about private liquidity funds from Form PF to

consider the effects of money market reform implementation 17 and to monitor for potential effects in shortterm financing markets. Staff’s experience with Form PF informed the development of new Form N-PORT,

a portfolio holdings reporting form for registered investment companies, and recent amendments to Form

ADV filing requirements. 18

B. Informing the Public about the Private Fund Industry

The Commission seeks to provide the public with more transparency into and an understanding of the

private funds industry by publishing aggregated information and analysis from Form PF, subject to its

systems and controls designed to preserve the confidentiality of proprietary information of individual

advisers. Following are two examples.

Private Funds Statistics. Since October 2015, Commission staff has published a quarterly report,

Private Funds Statistics, which contains aggregated private fund industry statistics derived from Form PF

See, e.g., FINRA,

Alternative Funds Are

Not Your Typical Mutual Funds,

(describing

http://www.finra.org/investors/alerts/alternative-funds-are-not-your-typical-mutual-funds

“alternative mutual funds” as funds that seek to accomplish the fund’s objectives through non-traditional

investments and trading strategies that “may bring to mind” the strategies and investments of hedge funds).

Money Market Fund Reform Release, supra footnote 3. The compliance date for money market reform was

October 14, 2016.

See Investment Company Reporting Modernization, Investment Company Act Release No. 32314 (Oct. 13,

2016) [81 Fed. Reg. 81870 (Nov. 18, 2016)], https://www.gpo.gov/fdsys/pkg/FR-2016-11-18/pdf/201625349.pdf; Form ADV and Investment Advisers Act Rules, Investment Advisers Act Release No. 4509 (Aug.

25, 2016) [81 Fed. Reg. 60417 (Sept. 1, 2016)], https://www.gpo.gov/fdsys/pkg/FR-2016-09- 01/pdf/201620832.pdf. See also Investment Company Reporting Modernization Frequently Asked Questions, updated

April 27, 2018, https://www.sec.gov/investment/investment-company-reporting-modernization-faq#n-port;

Frequently

Asked

Questions

Form

ADV

and

IARD,

https://www.sec.gov/divisions/investment/iard/iardfaq.shtml.

data. 19 As supplemented with new data and analysis in May 2017, the report includes [90] separate tables

and figures that offer analyses of hedge fund industry practices. 20 To avoid public disclosure of proprietary

information of private fund advisers, the Form PF data provided in these reports is aggregated, rounded

and/or masked under processes that are reviewed periodically for effectiveness. Information included in the

reports is typically at least six months old when published. The Appendix contains the most recent report. 21

Private Funds Statistics is designed to enhance public understanding of the private fund industry

and facilitate Commission and staff participation in meetings and discussions with industry professionals,

investors, and other regulators. Statistics that are published quarterly in Private Funds Statistics, include,

for example, statistics describing numbers and assets of private funds; the extent of private funds’

borrowing and derivatives holdings; comparisons of investor, portfolio and financing liquidity; use of

financial and economic leverage by certain hedge funds; and categories of investment exposures. The report

also includes information about the characteristics of private liquidity funds that may facilitate comparisons

with data published by staff relating to registered money market funds. 22 Staff understands that the financial

industry press monitors the release of these quarterly reports and industry participants may use the report

to assist investors with investment decisions. 23

Staff Research Publications. Commission staff has used Form PF data to contribute to the

Commission’s and investors’ understanding of the economic forces and dynamics underlying the private

funds market by conducting and publishing research on various topics, such as characteristics of leverage

used by hedge funds and consideration of self-reporting bias in commercial hedge fund databases. Research

is aggregated and/or masked under processes that are reviewed periodically for effectiveness to avoid public

disclosure of proprietary information of private fund advisers before any publication. Published staff

research and white papers have used Form PF data to describe liquidity and other characteristics of certain

See SEC Staff Publishes Private Funds Statistics Report, Press Release (Oct. 16, 2015),

https://www.sec.gov/news/pressrelease/2015-240.html.

See SEC Staff Supplements Quarterly Private Funds Statistics, Press Release (May 3, 2017),

https://www.sec.gov/news/press-release/2017-92.

Historical reports can be found at: https://www.sec.gov/divisions/investment/private-funds-statistics.shtml.

See

Division

Investment

Management,

Money

https://www.sec.gov/divisions/investment/mmf-statistics.shtml.

See, e.g., Andy Jones, PEI Blog, Private Equity Firms – Form PF Data (Nov. 10, 2018),

http://blog.privateequityinfo.com/index.php/2018/11/10/private-equity-firms-form-pf-data/, ICS Group,

Summary of the 2017 Q2 Private Fund Statistics (Feb. 23, 2018), https://www.i-csolutions.net/updates/2018/02/23/2017-private-fund-statistics/, Marc Gorfinkle, SS&C Technologies, SEC

releases expanded private fund statistics (Dec. 11, 2017), https://www.ssctech.com/blog/sec-releasesexpanded-private-fund-statistics; Crane Data, Prime Streak Ends; Still UP 20% YTD; SEC: Private Funds

Drop in Q’17 (Oct. 27, 2017), https://cranedata.com/archives/all-articles/6890/; Lance Pan, Capital Advisors

Group, Demystifying Private Liquidity Funds: Reaffirming Advantages of Separately Management Accounts

(Mar. 14, 2017), https://www.capitaladvisors.com/research/demystifying-private-liquidity-funds/; Judy

Gross, SEC Releases Data on Private Funds: Big Picture of US Private Fund Industry Emerges, Forbes (Oct.

26, 2015), https://www.forbes.com/sites/judygross/2015/10/26/sec-releases-data-on-private-funds-bigpicture-of-us-private-fund-industry-emerges/#6b77bbb393e5.

Market

Fund

Statistics,

hedge funds. 24 Another staff white paper used Form PF data to characterize private liquidity funds and

compare them to registered money market funds. 25

C. Assisting the Examinations and Enforcement Programs 26

Form PF data allows Commission staff to more efficiently prioritize its examinations and enforcement

activities. Commission staff’s analyses of Form PF data include risk-based analysis and monitoring

initiatives that facilitate the identification of potential compliance risks and assist in prioritizing the use of

exam and enforcement resources. For example, Commission staff may use Form PF data to identify private

fund advisers whose activities involve areas of specific examination focus or that may present heightened

compliance risks.

Before beginning an examination of an investment adviser, staff reviews applicable regulatory filings, such

as Form ADV. For advisers that manage private funds, Form PF filings may also be reviewed as part of a

routine pre-examination evaluation for risk identification and scoping. This review, in conjunction with

other data sources, provides staff with an understanding of an adviser’s current business, operations, and

investment strategy as well as an analysis of how this strategy has evolved or changed over different

reporting periods.

Commission staff has developed automated analyses and risk metrics that summarize and combine Form

PF data with Form ADV data about an adviser’s private funds and advisory business. These reports

expedite staff preparation for examinations of a private fund adviser and its private funds and are designed

to make exams more efficient by helping to focus areas of inquiry. These reports also assist staff in

identifying potential reporting errors, compliance issues, or other issues of interest for the examination team

to consider in their examination scope. Developed based on examiner insight and experiences, these reports

distribute knowledge gained from exams and analysis to relevant staff on a need-to-know basis, which in

turn informs monitoring programs. Generated from analytical tools that use custom code developed by

staff to automate report production, these reports deliver intuitive and timely output to examiners, using the

most recently filed Form PF and Form ADV data.

Commission staff also obtains and reviews Form PF information to focus its enforcement investigations,

including investigations of private fund advisers. For example, Commission staff used Form PF data

together with other information to identify hedge fund advisers whose reported data ― such as returns,

See George O. Aragon, A. Tolga Ergun, Mila Getmansky, and Giulio Girardi, Division of Economic Risk

and Analysis, Hedge Fund Liquidity Management (May 17, 2017), https://www.sec.gov/dera/staffpapers/working-papers/aragon-ergun-getmansky-girardi_HF-Liquidity-Management; George O. Aragon, A.

Tolga Ergun, Mila Getmansky, and Giulio Girardi, Division of Economic Risk and Analysis, Hedge Funds:

Portfolio, Investor and Financing Liquidity (May 17, 2017), https://www.sec.gov/dera/staff-papers/whitepapers/aragon-ergun-getmansky-girardi_HF-Liquidity. These papers report analyses using data reported on

Form PF in quarterly filings from 2013 to 2105.

See Daniel Hiltgen, Division of Economic Risk and Analysis, Private Liquidity Funds: Characteristics and

https://www.sec.gov/dera/staff-papers/whiteRisk

Indicators

(Jan.

27,

2017),

papers/27jan17_hiltgen_private-liquidity-funds.html. The observations of the white paper indicate that,

while most private liquidity funds and their parallel accounts did not formally commit to comply with the

rule 2a-7 risk limits that apply to registered money market funds, the vast majority held portfolios that were

consistent with those limits during the period studied.

Because examination and enforcement matters are generally non-public, this report only summarizes

generally how Form PF data has been integrated into exam and enforcement matters. See Advisers Act

Section 210(b).

exposures, liquidity ― appear inconsistent with the funds’ investment strategies or other benchmarks.

These reviews have, in certain cases, led to examinations and enforcement investigations

D. Coordination and Consultation with Other Financial Regulators

As required by statute, and as described above, the Commission adopted Form PF in part to obtain

information about the operations and investment activities of private funds for FSOC to use in the

assessment of systemic risk in the U.S. financial markets. The Commission has made the Form PF data

available to FSOC through OFR since 2013, subject to agreements regarding appropriate use of and

confidentiality protections for Form PF data. More recently, beginning in July 2018, the Commission also

makes Form PF data available to the Federal Reserve Board under agreements regarding appropriate use of

and confidentiality protections for the Form PF data, which are similar to those provided under applicable

agreements with OFR.

The Commission staff also uses Form PF data in its collaborations with other federal regulators on areas of

mutual interest, such as on matters affecting the integrity of the financial markets and in communications

with international organizations on areas of mutual interest regarding private funds and their investment

advisers. For example, the staff regularly discusses information and analysis of Form PF data with OFR.

The staff has also used reports of data from Form PF in connection with its participation in FSOC’s review

of asset management products and activities. 27 Commission staff from time to time also may provide certain

Form PF data to other federal regulators in connection with compliance and enforcement matters. In every

instance where staff shares information with an external regulatory entity, staff seeks to limit the type and

amount of data that may be shared consistent with the purpose for sharing, and the information is either

subject to assurances of confidentiality or aggregated to prevent disclosure of any proprietary information

of private fund advisers.

IV.

Conclusion

During the past year, the Commission staff has continued to use Form PF data to enhance the Commission’s

efforts to protect investors and the integrity of our markets, including through our work with other federal

regulators and international organizations.

See, e.g., Financial Stability Oversight Council 2018 Annual Report (updated June 20, 2019),

https://home.treasury.gov/system/files/261/FSOC2018AnnualReport.pdf. Section 4.13.5 of this report

includes certain aggregated data from Form PF in describing recent developments relating to alternative

funds.

Appendix

(Private Funds Statistics, First Calendar Quarter 2019)

A-1

Division of Investment Management

Analytics Office

Private Funds Statistics

First Calendar Quarter 2019

October 25, 2019

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.

October 25, 2019

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 2017 through First Calendar Quarter

2019 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 2019 Private

Funds Statistics, please contact:

Tim Dulaney, PhD, FRM or Tim Husson, PhD, FRM at FormPF@sec.gov with subject line “First

Calendar Quarter 2019-Private Funds Statistics”.

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.

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.

October 25, 2019

Analytics Office

Contents

Number of Funds and Advisers

Gross and Net Assets

A Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . . . .

B Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

C Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

D Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

III

Fund Domiciles and Adviser Main Offices

Beneficial Ownership

Derivatives

High Frequency Trading

VII

Hedge Fund Industry Concentration

VIII Information Reported by Large Hedge Fund Advisers

A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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

Section 3 Liquidity Fund Specific Information

A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

B Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

C Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

D Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

October 25, 2019

Analytics Office

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

Section 4 Private Equity Fund Specific Information

A CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

B CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

C CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . .

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

October 25, 2019

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

2017Q2

10,389

9,126

4,499

3,009

2,452

1,717

1,475

787

28,797

2017Q3

10,298

9,166

4,458

2,989

2,443

1,727

1,477

773

28,684

2017Q4

11,541

9,036

4,537

3,482

2,653

1,801

1,504

866

30,207

2018Q1

11,581

9,194

4,608

3,494

2,663

1,772

1,510

866

30,491

2018Q2

11,601

9,307

4,581

3,494

2,657

1,806

1,510

851

30,575

2018Q3

11,610

9,382

4,587

3,495

2,664

1,818

1,514

850

30,675

2018Q4

12,711

9,194

4,898

3,936

2,837

1,827

1,564

961

32,238

2019Q1

12,941

9,388

4,755

3,933

2,850

1,794

1,569

962

32,537

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

2017Q2

1,092

1,690

580

250

316

534

153

111

2,925

2017Q3

1,089

1,691

577

247

315

536

154

110

2,925

2017Q4

1,145

1,734

586

293

331

551

155

115

3,030

2018Q1

1,153

1,736

593

296

333

542

155

116

3,041

2018Q2

1,154

1,739

589

296

333

550

156

116

3,046

2018Q3

1,157

1,739

590

296

335

545

158

117

3,046

2018Q4

1,247

1,748

627

308

347

553

153

133

3,147

2019Q1

1,256

1,741

626

307

349

540

153

132

3,149

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.

October 25, 2019

Analytics Office

Gross and Net Assets

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

2017Q2

6,862

5,681

2,324

1,648

1,088

434

454

276

273

11,503

2017Q3

7,184

5,856

2,310

1,641

1,061

433

453

282

279

11,787

2017Q4

7,242

5,863

2,727

1,941

1,191

500

485

291

289

12,517

2018Q1

7,520

6,076

2,766

1,978

1,206

505

480

291

289

12,849

2018Q2

7,659

6,281

2,769

1,978

1,208

505

488

311

307

13,021

2018Q3

7,911

6,386

2,769

1,978

1,222

505

490

314

309

13,292

2018Q4

7,593

6,153

3,175

2,330

1,225

568

570

297

292

111

13,538

2019Q1

8,052

6,480

3,259

2,365

1,222

574

573

292

289

111

14,083

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

2017Q2

3,658

2,890

2,082

1,496

995

341

145

275

272

7,558

2017Q3

3,780

2,984

2,069

1,489

971

340

144

280

278

7,646

2017Q4

3,883

3,047

2,441

1,755

1,076

391

152

291

288

8,311

2018Q1

3,974

3,106

2,484

1,789

1,086

394

152

289

287

8,456

2018Q2

4,003

3,151

2,487

1,789

1,106

394

154

309

305

8,530

2018Q3

4,059

3,188

2,487

1,789

1,096

394

154

311

306

8,578

2018Q4

3,794

2,968

2,813

2,084

1,085

443

170

295

289

8,697

2019Q1

4,007

3,127

2,895

2,117

1,082

448

171

288

285

8,989

October 25, 2019

Analytics Office

Figure 1: GAV and NAV Distributions

See Appendix C for an explanation of boxplots.

20 3

20 4

20 1

20 2

20 3

20 4

NAV ($Billions)

20 3

20 4

20 1

20 2

20 3

20 4

GAV ($Billions)

As reported on Form PF, Questions 8 and 9.

1400

1200

1000

800

600

400

200

20 2

20 3

20 4

20 1

20 2

20 3

20 4

NAV ($Millions)

20 2

20 3

20 4

20 1

20 2

20 3

20 4

1400

1200

1000

800

600

400

200

(b) Qualifying Hedge Fund NAV

GAV ($Millions)

(a) Qualifying Hedge Fund GAV

(d) Section 4 Private Equity Fund NAV

October 25, 2019

Analytics Office

Figure 2: Ratio of GAV to NAV

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

2.0

1.5

1.0

0.5

20 2

20 3

20 4

20 1

20 2

20 3

20 4

0.0

3.0

2.5

2.0

1.5

1.0

0.5

0.0

20 2

20 3

20 4

20 1

20 2

20 3

20 4

Ratio of GAV to NAV

Winsorized (limits=[0%,98%])

2.5

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

October 25, 2019

Borrowings

Table 5: Aggregate Borrowings (Percent of Aggregate GAV)

As reported on Form PF, Questions 8, 12, and 43 (Third Month).

Fund Type

Securitized Asset Fund

Qualifying Hedge Fund

Hedge Fund

Real Estate Fund

Section 4 Private Equity Fund

Private Equity Fund

Other Private Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

2017Q2

48.8

42.3

39.3

12.7

4.0

5.0

2.7

0.5

0.0

2017Q3

48.4

41.8

39.6

12.7

4.1

5.0

2.7

0.5

0.0

2017Q4

51.9

41.5

39.4

13.2

4.6

5.2

2.2

0.6

0.0

2018Q1

51.2

42.9

40.4

13.5

4.6

4.9

2.7

0.5

0.0

2018Q2

51.2

45.0

41.6

13.2

4.6

4.9

2.7

0.5

0.0

2018Q3

50.6

44.5

41.3

13.2

4.6

4.9

3.0

0.6

0.0

2018Q4

53.5

45.1

41.6

14.7

5.2

5.3

3.5

0.9

0.0

2019Q1

52.7

46.7

43.1

14.9

5.2

5.1

3.4

0.8

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

4.0

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0

20 2

20 3

20 4

20 1

20 2

20 3

20 4

Total Borrowings ($Millions)

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

20 2

20 3

20 4

20 1

20 2

20 3

20 4

Analytics Office

(a) All Private Funds

(b) Qualifying Hedge Funds

October 25, 2019

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

20 2

20 3

20 4

20 1

20 2

20 3

20 4

Ratio of Borrowings to NAV

Winsorized (limits=[0%,98%])

20 2

20 3

20 4

20 1

20 2

20 3

20 4

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

October 25, 2019

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

2017Q2

2,566

2,182

2,515

1,706

2017Q3

2,558

2,223

2,509

1,711

2017Q4

3,269

2,753

2,898

2,225

2018Q1

3,017

2,299

2,859

1,863

2018Q2

2,976

2,320

2,869

1,879

2018Q3

2,856

2,296

2,882

1,840

2018Q4

3,213

2,930

3,400

2,445

2019Q1

2,679

2,517

3,375

1,997

Table 7: Liabilities According to Fair Value Hierarchy ($ Billions)

As reported on Form PF, Question 14.

Level One

Level Two

Level Three

Cost-Based

2017Q2

650

451

140

644

2017Q3

651

455

137

650

2017Q4

647

608

174

479

2018Q1

788

588

174

762

2018Q2

780

602

174

773

2018Q3

659

604

177

733

2018Q4

311

714

155

603

2019Q1

651

803

157

1,060

October 25, 2019

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

2017Q2

661

501

239

220

***

1,534

2017Q3

668

499

272

227

***

1,571

2017Q4

669

513

292

238

***

1,575

2018Q1

674

518

292

233

***

1,585

2018Q2

678

514

290

234

***

1,583

2018Q3

686

505

279

236

***

1,571

2018Q4

663

508

315

231

112

***

1,581

2019Q1

659

509

314

223

112

***

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

2017Q2

680

1,489

440

330

***

2,714

2017Q3

714

1,508

525

345

***

2,782

2017Q4

827

1,864

594

359

***

3,094

2018Q1

770

1,869

551

361

***

3,045

2018Q2

769

1,799

567

353

***

2,966

2018Q3

813

1,763

570

364

***

2,984

2018Q4

770

1,821

532

383

382

***

3,026

2019Q1

721

1,822

470

293

292

***

2,889

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.

October 25, 2019

Analytics Office

Figure 5: Parallel Managed Account Value Distributions

See Appendix C for an explanation of boxplots.

20 2

20 3

20 4

20 1

20 2

20 3

20 4

Parallel Managed Assets ($Billions)

4.5

4.0

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0

20 2

20 3

20 4

20 1

20 2

20 3

20 4

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

October 25, 2019

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

Canada

Bermuda

Other

All Private Funds

2017Q2 2017Q3 2017Q4 2018Q1 2018Q2

51.5

51.0

51.4

51.0

50.9

36.4

36.6

35.4

35.3

35.2

4.2

4.3

4.4

4.5

1.6

1.9

2.0

2.2

2.0

1.8

1.1

1.3

1.2

2.0

2.1

2.6

2.9

Qualifying Hedge Funds

2017Q2 2017Q3 2017Q4 2018Q1 2018Q2

52.4

51.7

51.3

51.0

50.9

35.0

35.3

35.8

35.6

35.5

5.0

4.8

4.5

4.4

2.7

2.8

2.9

3.1

3.2

1.6

1.7

1.9

2.0

2.4

1.7

1.6

1.7

1.8

1.6

2.0

2.1

2.0

Section 3 Liquidity Funds

2017Q2 2017Q3 2017Q4 2018Q1 2018Q2

***

36.8

34.7

35.1

35.8

36.9

***

Section 4 Private Equity Funds

2017Q2 2017Q3 2017Q4 2018Q1 2018Q2

63.8

63.7

60.7

59.5

29.4

29.5

30.4

29.8

1.9

2.0

2.7

2.9

0.9

1.0

1.1

1.0

1.1

2.9

4.2

5.7

2018Q3

50.9

35.1

4.6

2.2

1.7

1.3

1.2

3.0

2018Q4

51.7

34.0

4.6

2.9

1.5

1.3

1.1

3.0

2019Q1

50.7

34.7

4.5

3.0

1.5

1.2

1.1

3.3

2018Q3

50.6

35.1

4.2

3.3

2.7

1.8

2.2

2018Q4

50.6

35.6

4.1

3.2

2.6

2.0

1.9

2019Q1

51.5

34.7

3.9

3.2

2.7

1.9

2.0

2018Q3

***

36.8

***

2018Q4

***

32.9

***

2019Q1

***

30.0

***

2018Q3

59.5

29.8

2.9

1.0

1.1

5.7

2018Q4

56.9

30.6

2.3

1.1

1.0

8.2

2019Q1

56.0

30.1

2.3

1.1

0.9

9.7

October 25, 2019

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

2017Q2

89.0

6.7

4.2

Country

United States

United Kingdom

Australia

Hong Kong

Other

2017Q2

89.3

6.2

***

2.3

Country

United States

United Kingdom

2017Q2

***

Country

United States

Canada

Other

2017Q2

95.1

***

All Private Funds

2017Q3 2017Q4 2018Q1 2018Q2

88.9

89.5

88.9

88.7

6.8

6.5

6.9

7.0

4.3

4.1

4.3

Qualifying Hedge Funds

2017Q3 2017Q4 2018Q1 2018Q2

89.0

88.6

88.4

88.7

6.3

6.6

6.5

***

2.3

2.2

2.3

Section 3 Liquidity Funds

2017Q3 2017Q4 2018Q1 2018Q2

***

Section 4 Private Equity Funds

2017Q3 2017Q4 2018Q1 2018Q2

95.1

94.8

***

2018Q3

88.8

6.9

4.3

2018Q4

89.7

6.2

4.1

2019Q1

89.5

6.3

4.2

2018Q3

88.6

6.5

***

2.1

2018Q4

89.0

6.1

***

2.1

2019Q1

89.0

6.0

***

2.0

2018Q3

***

2018Q4

***

2019Q1

***

2018Q3

94.8

***

2018Q4

94.0

***

2019Q1

94.1

***

October 25, 2019

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.

State/Muni. Govt. Entities

Sec-Registered Investment Companies

Broker-Dealers

2017Q2

1,371

1,011

1,033

967

779

790

444

312

185

143

107

121

107

2017Q3

1,371

1,039

1,048

973

790

799

445

314

188

183

147

108

128

111

2017Q4

1,491

1,189

1,154

1,038

849

818

515

349

195

187

161

122

129

112

2018Q1

1,515

1,234

1,154

1,046

861

835

540

352

193

191

161

125

133

113

2018Q2

1,533

1,238

1,164

1,049

869

842

544

365

189

193

170

129

128

114

2018Q3

1,534

1,250

1,178

1,048

868

851

544

373

187

195

172

131

127

121

2018Q4

1,517

1,332

1,231

1,044

849

842

555

399

204

205

169

122

118

108

2019Q1

1,549

1,375

1,250

1,068

894

875

604

411

216

209

171

130

126

107

2018Q4

17.4

15.3

14.1

12.0

9.8

9.7

6.4

4.6

2.3

2.4

1.9

1.4

1.2

2019Q1

17.2

15.3

13.9

11.9

9.9

9.7

6.7

4.6

2.4

2.3

1.9

1.4

1.2

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.

State/Muni. Govt. Entities

Sec-Registered Investment Companies

Broker-Dealers

2017Q2

18.1

13.4

13.7

12.8

10.3

10.5

5.9

4.1

2.5

1.9

1.4

1.6

1.4

2017Q3

17.9

13.6

13.7

12.7

10.3

10.4

5.8

4.1

2.5

2.4

1.9

1.4

1.7

1.5

2017Q4

17.9

14.3

13.9

12.5

10.2

9.8

6.2

4.2

2.3

1.9

1.5

1.6

1.3

2018Q1

17.9

14.6

13.6

12.4

10.2

9.9

6.4

4.2

2.3

1.9

1.5

1.6

1.3

2018Q2

18.0

14.5

13.6

12.3

10.2

9.9

6.4

4.3

2.2

2.3

2.0

1.5

1.3

2018Q3

17.9

14.6

13.7

12.2

10.1

9.9

6.3

4.3

2.2

2.3

2.0

1.5

1.4

October 25, 2019

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

Other

Pension Plans

State/Muni. Govt. Pension Plans

U.S. Individuals

Sov. Wealth Funds And For. Official Inst.

Insurance Companies

Non-U.S. Individuals

Broker-Dealers

Unknown Non-U.S. Investors

Sec-Registered Investment Companies

State/Muni. Govt. Entities

Banking/Thrift Inst.

2017Q2

503

404

385

386

314

331

158

2017Q3

508

418

409

398

331

340

160

2017Q4

503

429

409

414

352

345

166

2018Q1

514

429

436

416

342

193

2018Q2

517

443

415

342

352

197

2018Q3

526

442

447

417

348

357

195

2018Q4

480

404

414

399

343

323

196

2019Q1

508

442

428

417

353

347

198

2018Q4

16.2

13.6

14.0

13.5

11.6

10.9

6.6

2.8

2.5

2.6

1.6

1.8

1.3

1.1

2019Q1

16.3

14.1

13.7

13.3

11.3

11.1

6.3

2.8

2.5

1.8

1.7

1.3

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

Other

Pension Plans

State/Muni. Govt. Pension Plans

U.S. Individuals

Sov. Wealth Funds And For. Official Inst.

Insurance Companies

Non-U.S. Individuals

Broker-Dealers

Unknown Non-U.S. Investors

Sec-Registered Investment Companies

State/Muni. Govt. Entities

Banking/Thrift Inst.

2017Q2

17.4

14.0

13.3

13.4

10.9

11.5

5.5

2.5

2.4

2.6

1.8

2.1

1.4

1.1

2017Q3

17.0

14.0

13.7

13.3

11.1

11.4

5.4

2.5

2.3

2.6

1.9

2.2

1.4

1.1

2017Q4

16.5

14.1

13.4

13.6

11.5

11.3

5.4

2.5

2.4

2.6

1.9

2.1

1.4

1.1

2018Q1

16.5

13.8

14.0

13.4

11.0

6.2

2.5

2.4

2.6

1.8

2.1

1.5

1.1

2018Q2

16.4

14.1

13.2

10.9

11.2

6.2

2.6

2.5

2.6

1.7

1.9

1.6

1.1

2018Q3

16.5

13.9

14.0

13.1

10.9

11.2

6.1

2.9

2.5

2.6

1.6

1.8

1.6

1.2

October 25, 2019

Analytics Office

Table 16: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Unknown Non-U.S. Investors

Other

Broker-Dealers

Sec-Registered Investment Companies

Banking/Thrift Inst.

Insurance Companies

Sov. Wealth Funds And For. Official Inst.

Non-U.S. Individuals

Pension Plans

State/Muni. Govt. Entities

Non-Profits

State/Muni. Govt. Pension Plans

U.S. Individuals

2017Q2

***

2017Q3

***

2017Q4

***

2018Q1

***

2018Q2

109

***

2018Q3

105

***

2018Q4

***

2019Q1

***

2018Q4

33.6

18.7

19.0

***

6.2

***

3.1

***

1.7

0.9

***

0.4

0.6

***

2019Q1

29.6

20.9

20.0

***

6.6

***

3.5

***

1.3

***

0.5

***

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

Unknown Non-U.S. Investors

Other

Broker-Dealers

Sec-Registered Investment Companies

Banking/Thrift Inst.

Insurance Companies

Sov. Wealth Funds And For. Official Inst.

Non-U.S. Individuals

Pension Plans

State/Muni. Govt. Entities

Non-Profits

State/Muni. Govt. Pension Plans

U.S. Individuals

2017Q2

32.6

19.2

18.7

***

7.6

4.3

3.3

***

1.5

1.8

***

0.6

0.4

***

2017Q3

30.0

19.8

18.5

***

8.6

***

3.7

***

1.4

1.9

***

0.6

0.4

***

2017Q4

33.3

18.4

19.1

***

7.8

***

3.0

***

1.3

1.8

***

0.5

0.4

***

2018Q1

32.6

18.1

19.7

***

8.3

4.7

3.3

***

1.4

1.7

***

0.5

0.3

***

2018Q2

35.7

17.0

17.9

***

7.9

5.6

3.9

***

1.2

1.1

***

2018Q3

34.4

16.6

18.7

***

7.6

5.4

3.8

***

1.1

1.2

***

0.4

0.6

***

October 25, 2019

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

U.S. Individuals

Non-Profits

Non-U.S. Individuals

State/Muni. Govt. Entities

Banking/Thrift Inst.

Sec-Registered Investment Companies

Unknown Non-U.S. Investors

Broker-Dealers

2017Q2

366

284

161

154

142

2017Q3

366

284

161

153

139

2017Q4

415

353

212

186

159

109

104

2018Q1

416

356

225

203

159

109

104

2018Q2

416

356

225

203

159

109

104

2018Q3

416

356

225

203

159

109

104

2018Q4

454

398

322

225

175

127

118

116

2019Q1

454

397

336

244

175

127

118

116

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

U.S. Individuals

Non-Profits

Non-U.S. Individuals

State/Muni. Govt. Entities

Banking/Thrift Inst.

Sec-Registered Investment Companies

Unknown Non-U.S. Investors

Broker-Dealers

2017Q2

24.5

19.0

10.8

10.3

9.5

6.3

5.9

6.2

2.3

1.5

2.0

0.8

0.9

0.1

2017Q3

24.6

19.1

10.8

10.3

9.4

6.3

5.9

6.1

2.3

1.5

2.1

0.8

0.9

0.1

2017Q4

23.6

20.1

12.1

10.6

9.1

6.2

5.3

5.9

2.1

1.6

1.7

0.9

0.8

0.1

2018Q1

23.3

19.9

12.6

11.3

8.9

6.1

5.2

5.8

2.0

1.5

1.6

0.9

0.8

0.1

2018Q2

23.3

19.9

12.6

11.3

8.9

6.1

5.3

5.8

2.0

1.5

1.6

0.9

0.8

0.1

2018Q3

23.3

19.9

12.6

11.3

8.9

6.1

5.2

5.8

2.0

1.5

1.6

0.9

0.8

0.1

2018Q4

21.8

19.1

15.4

10.8

8.4

6.1

5.6

2.3

1.7

1.5

0.8

0.1

2019Q1

21.4

18.8

15.9

11.5

8.3

6.0

5.6

5.5

2.3

1.7

1.5

0.8

0.1

October 25, 2019

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

2017Q2

10,100

8,765

108

***

10,330

2017Q3

11,369

9,583

109

***

11,573

2017Q4

12,133

10,127

148

***

12,328

2018Q1

14,212

12,095

149

***

14,330

2018Q2

13,419

11,314

148

***

13,620

2018Q3

13,597

10,331

134

***

13,818

2018Q4

12,677

9,871

132

***

12,913

2019Q1

14,163

11,298

131

***

14,386

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

2017Q2

276.1

303.3

10.9

1.8

2.3

***

4.7

9.4

***

136.7

2017Q3

300.8

321.1

11.2

1.8

2.3

***

4.7

9.2

***

151.4

2017Q4

312.5

332.3

13.7

1.6

1.9

***

4.4

1.7

***

148.3

2018Q1

357.6

389.4

13.7

1.6

1.9

***

4.4

1.6

***

169.5

2018Q2

335.2

359.0

13.4

1.6

1.9

***

4.4

1.5

***

159.7

2018Q3

335.0

324.0

12.3

1.6

1.9

***

4.4

1.5

***

161.1

2018Q4

334.1

332.6

12.2

1.3

1.5

***

3.8

1.6

***

148.5

2019Q1

353.5

361.3

12.1

1.3

1.5

***

3.7

1.6

***

160.0

October 25, 2019

Analytics Office

Figure 6: Distribution of Derivative Values

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

20 2

20 3

20 4

20 1

20 2

20 3

20 4

Total Derivative Value ($Billions)

Winsorized (limits=[1%,99%])

20 2

20 3

20 4

20 1

20 2

20 3

20 4

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

(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

Less than 100%

100% or More

2017Q2

7,668

2017Q3

7,704

2017Q4

7,767

2018Q1

7,883

2018Q2

7,990

2018Q3

8,057

2018Q4

7,918

2019Q1

7,986

Table 23: Hedge Fund Assets Managed Using HFT Strategies ($ Billions)

As reported on Form PF, Questions 9 and 21.

Fraction of NAV

Less than 100%

100% or More

2017Q2

3,551

2017Q3

3,652

2017Q4

3,771

2018Q1

3,845

2018Q2

3,894

2018Q3

3,955

2018Q4

3,721

2019Q1

3,922

October 25, 2019

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

2017Q2

7.7

13.5

20.3

28.6

43.5

56.9

2017Q3

7.5

13.2

20.0

28.5

43.4

56.8

2017Q4

7.5

13.4

20.2

28.8

43.2

56.5

2018Q1

7.2

13.3

20.2

28.6

43.0

56.4

2018Q2

7.3

13.5

20.1

28.4

42.6

56.0

2018Q3

7.2

13.5

20.1

28.4

42.5

55.9

2018Q4

7.4

13.5

19.7

27.9

42.1

55.6

2019Q1

7.2

13.4

19.7

28.0

42.4

56.2

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

2017Q2

14.9

23.2

31.6

41.3

55.1

66.8

2017Q3

15.5

24.2

32.6

42.2

56.0

67.4

2017Q4

15.1

23.7

31.8

41.4

55.3

66.6

2018Q1

15.5

24.2

32.6

41.9

55.5

66.9

2018Q2

15.5

23.8

32.0

41.7

55.2

66.7

2018Q3

15.4

24.4

32.9

42.4

56.0

67.2

2018Q4

16.7

26.0

34.2

43.4

56.6

67.6

2019Q1

16.5

25.7

34.2

43.4

57.1

68.1

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

2017Q2

33.3

46.2

57.3

69.2

81.8

90.1

2017Q3

35.0

47.5

58.6

70.2

82.6

90.5

2017Q4

34.4

47.5

59.0

70.8

82.6

90.2

2018Q1

35.1

49.1

60.0

71.0

82.8

90.4

2018Q2

34.5

48.3

59.6

70.7

82.9

90.6

2018Q3

34.7

48.4

60.0

71.0

82.9

90.6

2018Q4

36.3

51.3

62.9

73.3

84.7

91.6

2019Q1

36.1

50.9

63.0

73.3

85.0

91.9

October 25, 2019

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

2017Q2

32.4

46.7

59.5

72.1

85.8

92.7

2017Q3

32.6

49.4

61.7

73.7

86.5

93.2

2017Q4

32.6

47.9

60.3

72.8

86.0

93.0

2018Q1

31.8

49.7

62.2

73.9

87.0

93.8

2018Q2

30.8

49.6

62.1

73.3

86.3

93.2

2018Q3

30.4

48.5

61.3

73.0

86.2

93.2

2018Q4

32.7

49.0

62.0

73.6

86.6

93.3

2019Q1

31.7

50.0

63.0

74.9

87.8

94.0

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

2017Q2

30.4

43.5

55.7

67.7

82.0

90.7

2017Q3

30.4

45.2

57.1

68.8

82.6

91.1

2017Q4

30.5

45.1

56.6

68.6

82.6

91.1

2018Q1

29.6

46.3

59.2

70.5

84.0

92.0

2018Q2

28.4

44.7

58.1

69.6

82.8

91.2

2018Q3

27.6

44.1

57.8

69.4

82.7

91.1

2018Q4

29.7

47.2

60.2

71.2

83.9

91.8

2019Q1

30.0

47.0

59.7

71.1

84.2

92.0

October 25, 2019

VIII

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.

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-03

Ratio of GNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

7-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-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)

(b) Gross Exposure without IRDs

(a) Long Exposure with IRDs

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-03

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-03

Ratio of LNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

-0

Ratio of SNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

7-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-03

Ratio of LNE to NAV

Winsorized (limits=[0%,98%])

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-03

-06

Ratio of SNE to NAV

Winsorized (limits=[0%,98%])

October 25, 2019

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.

(b) Long Exposure without IRDs

(d) Short Exposure without IRDs

October 25, 2019

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

2017-04

2017-05

2017-06

2017-07

2017-08

2017-09

2017-10

2017-11

2017-12

2018-01

2018-02

2018-03

2018-04

2018-05

2018-06

2018-07

2018-08

2018-09

2018-10

2018-11

2018-12

2019-01

2019-02

2019-03

Top 10 Advisers (NAV)

18.5

18.6

18.4

18.1

18.2

18.3

19.2

19.0

18.9

Top 20 Advisers (NAV)

28.1

27.7

27.2

27.4

27.6

28.7

28.5

Top 10 Advisers (GNE)

36.1

36.5

36.3

36.6

37.4

36.2

36.0

36.3

36.5

37.5

41.0

40.0

41.0

40.3

38.1

35.4

34.1

34.4

35.4

36.4

36.9

37.4

36.9

36.8

Top 20 Advisers (GNE)

50.1

50.5

51.1

52.5

50.8

51.3

52.0

51.8

53.6

56.3

55.3

56.4

56.0

53.7

51.2

49.9

49.6

51.9

52.4

52.1

53.2

53.0

October 25, 2019

Portfolio Turnover

Table 30: Aggregate Portfolio Turnover ($ Billions)

As reported on Form PF, Question 27.

Month

2017-04

2017-05

2017-06

2017-07

2017-08

2017-09

2017-10

2017-11

2017-12

2018-01

2018-02

2018-03

2018-04

2018-05

2018-06

2018-07

2018-08

2018-09

2018-10

2018-11

2018-12

2019-01

2019-02

2019-03

Futures

10,971

11,955

16,994

11,133

10,809

13,460

8,761

10,364

13,350

16,512

18,150

17,329

10,382

15,734

15,104

8,108

11,643

12,915

11,765

13,470

12,715

9,675

11,269

14,103

Sov. and muni. bonds

1,992

3,001

2,963

2,673

2,932

2,997

2,646

2,857

2,459

3,164

3,516

3,238

2,733

3,727

3,080

3,178

3,280

2,953

3,180

3,214

2,911

3,783

4,095

3,779

Listed equities

1,846

2,189

2,187

2,099

2,385

2,259

2,220

2,399

2,081

2,449

2,446

2,273

2,438

2,499

2,582

2,272

2,417

2,110

3,018

2,576

2,189

2,353

2,048

2,295

Corporate bonds

131

115

101

109

107

210

142

132

153

119

132

119

114

129

112

159

135

143

Convertible bonds

Total

14,910

17,300

22,282

16,023

16,239

18,849

13,763

15,856

17,976

22,299

24,271

23,027

15,693

22,122

20,913

13,668

17,455

18,124

18,115

19,393

17,901

15,993

17,569

20,347

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.

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-03

Ratio of Turnover to NAV

Winsorized (limits=[1%,99%])

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-03

Total Turnover ($Billions)

Winsorized (limits=[1%,99%])

Analytics Office

(a) Total Turnover

(b) Total Turnover to NAV Ratio

October 25, 2019

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

2017Q2

4,500

1,669

600

102

2017Q3

5,089

1,708

713

108

2017Q4

4,527

1,663

673

133

2018Q1

4,811

1,990

735

114

2018Q2

4,923

1,822

698

112

2018Q3

5,112

1,751

678

101

2018Q4

5,007

1,822

787

111

2019Q1

5,322

1,804

844

115

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

2017Q2

142.9

53.0

19.0

3.2

2.5

2.2

0.7

2017Q3

155.9

52.3

21.8

3.3

2.4

2.0

0.7

2017Q4

135.4

49.7

20.1

4.0

2.7

2.2

0.9

0.8

2018Q1

140.5

58.1

21.5

3.3

2.5

2.1

1.1

0.9

2018Q2

141.4

52.3

20.1

3.2

2.1

1.7

0.9

1.1

2018Q3

147.2

50.4

19.5

2.9

2.1

1.7

0.9

0.7

2018Q4

153.0

55.7

24.0

3.4

2.1

2.0

0.9

0.8

2019Q1

154.2

52.3

24.5

3.3

2.3

1.4

0.9

0.7

October 25, 2019

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

2017Q2

4,246

229

144

2017Q3

4,824

233

152

2017Q4

4,312

245

164

2018Q1

4,551

269

178

2018Q2

4,683

244

184

2018Q3

4,869

251

165

2018Q4

4,783

274

147

2019Q1

5,200

265

187

2018Q4

146.2

8.4

4.5

1.2

1.1

0.3

2019Q1

150.7

7.7

5.4

1.2

1.0

0.3

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

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

2017Q4

129.0

7.3

4.9

1.8

1.4

0.5

2018Q1

132.9

7.9

5.2

1.4

1.1

0.5

2018Q2

134.5

7.0

5.3

1.4

1.0

0.3

2018Q3

140.2

7.2

4.7

1.2

1.0

0.3

October 25, 2019

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.

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-03

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-03

Ratio of GNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

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

Qualifying Hedge Fund Specific Information

Ratio of GNE to NAV

Winsorized (limits=[0%,98%])

Analytics Office

(a) Including IRDs

(b) Excluding IRDs

-06

(a) LNE Including IRDs

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-03

-06

Ratio of SNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-03

-0

20 6

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-03

Ratio of LNE to NAV

Winsorized (limits=[0%,98%])

Ratio of LNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

-0

20 9

-1

20 2

-0

20 3

-0

20 6

-0

20 9

-1

20 2

-03

Ratio of SNE to NAV

Winsorized (limits=[0%,98%])

October 25, 2019

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.

(b) LNE Excluding IRDs

(d) SNE Excluding IRDs

October 25, 2019

Analytics Office

Gross Exposure by Strategy5

Table 35: Exposures of Hedge Funds ($ Billions)

As reported on Form PF, Questions 9 and 20.