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Division of Investment Management
Analytics Office
Private Funds Statistics
Second Calendar Quarter 2023
January 9, 2024
This is a report of the Staff of the Division of Investment Management’s Analytics Office of the U.S.
Securities and Exchange Commission. The Commission has expressed no view regarding the analysis,
findings, or conclusions contained herein.
January 9, 2024
Analytics Office
Introduction
This report provides a summary of recent private fund industry statistics and trends, reflecting
data collected through Form PF and Form ADV filings.1 Form PF information provided in this
report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary
information of individual Form PF filers.
This report reflects data from Third Calendar Quarter 2021 through Second Calendar Quarter
2023 as reported by Form PF filers.2 Please see the Appendix for information on the categories of
Form PF filers, the definitions of capitalized terms, a description of the boxplots used in several
figures, as well as other technical descriptions.
The Staff continues to work with data reported on Form PF and with filers to identify
and correct filing errors. Staff updates reported statistics based on amended filings and
also may make certain adjustments to the statistics presented to correct what appear to
be clear filing errors. Further, the Staff has employed certain assumptions in aggregating
the data. Future adjustments to these methodologies and amended filings that change
the underlying data could lead to changes in previously reported statistics.
If you have any questions or comments about Second Calendar Quarter
2023 Private Funds Statistics, please contact:
Tim Dulaney, PhD, FRM, Tim Husson, PhD, FRM, or Trevor Tatum at FormPF@sec.gov with subject
line “Second Calendar Quarter 2023-Private Funds Statistics”.
1
Only SEC-registered advisers with at least $150 million in private fund assets under management must report to the
Commission on Form PF. SEC-registered investment advisers with less than $150 million in private fund assets under
management, SEC exempt reporting advisers, and state-registered investment advisers are not required to file Form PF,
but report general information about the private funds they manage on Form ADV.
2
The Commission began receiving Form PF filings from Large Hedge Fund Advisers in July 2012. A full data set was
not received until March 2013.
1
Contents
I
II
III
IV
V
VI
Number of Funds and Advisers
4
Gross and Net Assets
A
Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . .
B
Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Fund Domiciles and Adviser Main Offices
Beneficial Ownership
A
All Private Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Qualifying Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Section 3 Liquidity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Section 4 Private Equity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E
Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Derivatives
5
5
8
10
11
13
15
15
16
17
18
19
20
Additional Hedge Fund Industry Information
A
High Frequency Trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Single-Strategy US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . .
D
Single-Strategy Non-US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . .
21
21
22
24
26
VII Information Reported by Large Hedge Fund Advisers
A
Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
28
28
30
31
32
VIII Qualifying Hedge Fund Specific Information
A
Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E
Number of Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
F
Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
G
Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
H
Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
I
Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
34
34
36
38
39
41
42
44
46
47
2
January 9, 2024
J
K
Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Stress Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
48
49
A
B
C
D
E
Section 3 Liquidity Fund Specific Information
Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
51
51
51
53
53
54
A
B
C
Section 4 Private Equity Fund Specific Information
CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . .
55
55
56
57
Appendices
Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3
Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . .
5
Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
59
59
59
59
60
60
60
61
61
62
IX
X
XI
Analytics Office
A
3
January 9, 2024
I
Analytics Office
Number of Funds and Advisers3
Table 1: Number of Funds
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Private Equity Fund
Hedge Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Venture Capital Fund
Securitized Asset Fund
Qualifying Hedge Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2021Q3
15,866
9,497
5,309
5,352
3,289
1,419
1,910
2,016
77
57
37,410
2021Q4
19,082
9,458
6,548
6,046
3,783
2,211
2,243
2,074
79
56
42,902
2022Q1
18,961
9,645
6,646
6,286
3,778
2,228
2,251
2,094
79
54
43,228
2022Q2
19,001
9,749
6,644
6,275
3,781
2,286
2,257
2,061
79
52
43,428
2022Q3
19,054
9,783
6,644
6,277
3,781
2,287
2,257
2,040
78
51
43,517
2022Q4
20,878
9,791
7,471
6,744
4,269
2,988
2,458
2,072
71
50
47,199
2023Q1
20,920
9,850
7,381
6,887
4,270
2,991
2,467
2,044
70
50
47,455
2023Q2
20,933
9,854
7,464
6,844
4,272
3,000
2,471
2,088
69
50
47,443
Table 2: Number of Advisers Advising Each Fund Type
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Private Equity Fund
Hedge Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Venture Capital Fund
Securitized Asset Fund
Qualifying Hedge Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2021Q3
1,458
1,762
369
682
388
176
165
596
37
24
3,389
2021Q4
1,638
1,861
434
738
427
234
176
620
39
24
3,676
2022Q1
1,636
1,860
435
738
428
236
175
609
39
23
3,676
2022Q2
1,640
1,863
435
734
430
238
175
601
39
22
3,680
2022Q3
1,642
1,861
436
732
430
239
173
585
39
21
3,675
2022Q4
1,753
1,859
452
759
459
283
177
592
34
21
3,794
2023Q1
1,756
1,860
450
763
459
285
175
576
33
21
3,799
2023Q2
1,756
1,859
452
765
460
286
174
590
33
21
3,798
3
In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered
investment advisers that file a Form PF to report private funds. Please see Appendix D for definitions of other capitalized
terms used in this report.
4
January 9, 2024
Analytics Office
II
Gross and Net Assets
A
Aggregate Assets by Fund Type over Time
Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions)
As reported on Form PF, Question 8.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2021Q3
9,784
8,309
4,826
3,674
1,438
812
729
222
310
308
18,120
2021Q4
9,763
8,333
6,409
4,962
1,748
972
869
330
318
316
20,407
2022Q1
9,777
8,267
6,384
4,949
1,766
967
869
333
318
314
20,414
2022Q2
9,435
7,922
6,397
4,949
1,740
969
868
334
335
331
20,076
2022Q3
9,275
7,694
6,402
4,949
1,716
975
869
334
335
331
19,904
2022Q4
9,362
7,827
6,705
5,272
1,643
1,138
921
375
321
319
20,466
2023Q1
9,505
8,000
6,641
5,215
1,602
1,137
924
374
320
319
20,502
2023Q2
9,904
8,438
6,652
5,228
1,574
1,136
922
374
332
330
20,893
Table 4: Aggregate Private Fund Net Asset Value (NAV) ($ Billions)
As reported on Form PF, Question 9.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2021Q3
5,115
4,166
4,271
3,283
1,274
615
220
215
302
300
12,011
2021Q4
5,134
4,191
5,746
4,489
1,559
745
264
310
313
311
14,071
2022Q1
5,153
4,149
5,729
4,483
1,582
744
265
313
313
309
14,098
5
2022Q2
4,918
3,879
5,738
4,483
1,557
745
264
314
327
324
13,865
2022Q3
4,856
3,772
5,742
4,483
1,534
750
264
314
331
327
13,792
2022Q4
4,823
3,795
6,022
4,772
1,413
858
264
342
318
316
14,041
2023Q1
4,864
3,881
5,965
4,720
1,370
858
265
341
313
311
13,975
2023Q2
4,918
3,939
5,976
4,730
1,343
858
265
341
319
317
14,020
January 9, 2024
Analytics Office
Figure 1: GAV and NAV Distributions
As reported on Form PF, Questions 8 and 9.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Qualifying Hedge Fund GAV ($ Billions)
2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4
0.3
0.2
0.2
0.2
0.2
0.2
0.7
0.7
0.6
0.6
0.6
0.6
1.4
1.4
1.4
1.3
1.2
1.2
3.1
3.0
3.0
2.8
2.8
2.6
7.0
6.8
6.6
6.3
6.3
6.1
4.1
4.0
3.9
3.8
3.8
3.8
Qualifying Hedge Fund NAV ($ Billions)
2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4
0.2
0.2
0.2
0.2
0.1
0.1
0.6
0.5
0.5
0.5
0.5
0.5
1.0
1.0
1.0
0.9
0.9
0.9
2.0
2.0
2.0
1.8
1.8
1.8
4.7
4.5
4.4
4.1
3.9
3.9
2.1
2.0
2.0
1.9
1.8
1.8
Section 4 Private Equity Fund GAV ($ Billions)
2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.1
0.5
0.5
0.5
0.5
0.5
0.5
1.5
1.6
1.6
1.6
1.6
1.6
0.7
0.8
0.7
0.7
0.7
0.7
Section 4 Private Equity Fund NAV ($ Billions)
2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.1
0.4
0.5
0.5
0.5
0.5
0.5
1.3
1.4
1.4
1.4
1.4
1.4
0.6
0.7
0.7
0.7
0.7
0.6
6
2023Q1
0.2
0.6
1.3
2.8
6.4
3.9
2023Q2
0.2
0.6
1.3
2.8
6.5
4.0
2023Q1
0.1
0.5
0.9
1.9
4.0
1.9
2023Q2
0.2
0.5
0.9
1.9
4.0
1.9
2023Q1
0.0
0.0
0.1
0.5
1.6
0.7
2023Q2
0.0
0.0
0.1
0.5
1.6
0.7
2023Q1
0.0
0.0
0.1
0.5
1.4
0.6
2023Q2
0.0
0.0
0.1
0.5
1.4
0.6
January 9, 2024
Analytics Office
Figure 2: Ratio of GAV to NAV
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 8, 9, and 10.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q3
1.0
1.0
1.0
1.1
2.1
1.8
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q3
1.0
1.0
1.1
1.6
2.7
1.6
All Private Funds
2021Q4 2022Q1 2022Q2 2022Q3
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.1
1.1
1.1
1.1
2.0
2.0
2.0
2.0
1.7
1.7
1.7
1.7
Qualifying Hedge Funds
2021Q4 2022Q1 2022Q2 2022Q3
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.1
1.1
1.1
1.2
1.6
1.6
1.6
1.6
2.7
2.8
2.6
2.6
1.6
1.6
1.6
1.6
7
2022Q4
1.0
1.0
1.0
1.1
2.0
1.9
2023Q1
1.0
1.0
1.0
1.1
2.0
1.9
2023Q2
1.0
1.0
1.0
1.1
2.0
1.9
2022Q4
1.0
1.0
1.1
1.6
2.6
1.6
2023Q1
1.0
1.0
1.1
1.6
2.6
1.6
2023Q2
1.0
1.0
1.1
1.6
2.6
1.6
January 9, 2024
B
Analytics Office
Borrowings
Table 5: Aggregate Borrowings (Percent of Aggregate GAV)
As reported on Form PF, Questions 8, 12, and 43 (Third Month).
Fund Type
Securitized Asset Fund
Qualifying Hedge Fund
Hedge Fund
Real Estate Fund
Other Private Fund
Section 4 Private Equity Fund
Private Equity Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
2021Q3
49.8
44.6
41.3
14.0
3.9
4.9
4.7
0.5
0.0
0.0
2021Q4
52.4
45.6
42.1
13.2
3.5
5.4
5.5
0.7
0.0
0.0
2022Q1
49.7
43.2
39.8
12.3
3.6
5.5
5.5
0.7
0.0
0.0
2022Q2
49.3
43.3
39.7
12.2
3.5
5.4
5.5
0.7
0.0
0.0
2022Q3
49.4
43.4
39.9
12.5
3.7
5.4
5.5
0.7
0.0
0.0
2022Q4
56.5
44.4
40.7
14.0
5.6
5.7
5.7
0.6
0.0
0.0
2023Q1
53.7
46.9
43.2
13.2
5.8
5.8
5.6
0.6
0.0
0.0
2023Q2
53.7
48.0
44.1
13.2
5.9
5.8
5.6
0.6
0.0
0.0
Figure 3: Distribution of Total Borrowings
As reported on Form PF, Questions 12 and 43.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q3
0.0
0.0
0.0
0.3
0.6
0.6
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q3
0.0
0.1
0.4
1.3
4.1
3.0
All Private Funds ($ Billions)
2021Q4 2022Q1 2022Q2 2022Q3 2022Q4
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.3
0.3
0.3
0.3
0.3
0.6
0.6
0.6
0.6
0.6
0.5
0.5
0.5
0.5
0.5
Qualifying Hedge Funds ($ Billions)
2021Q4 2022Q1 2022Q2 2022Q3 2022Q4
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.4
0.3
0.3
0.3
0.3
1.3
1.2
1.1
1.0
1.0
3.8
3.7
3.3
3.3
3.2
2.9
2.8
2.7
2.6
2.7
8
2023Q1
0.0
0.0
0.0
0.3
0.6
0.5
2023Q2
0.0
0.0
0.0
0.3
0.6
0.5
2023Q1
0.0
0.1
0.3
1.1
3.5
3.0
2023Q2
0.0
0.1
0.3
1.1
3.8
3.2
January 9, 2024
Analytics Office
Figure 4: Ratio of Borrowings to NAV
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month).
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q3
0.0
0.0
0.2
0.9
7.1
2.6
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q3
0.0
0.1
0.3
0.9
2.5
0.9
All Private Funds
2021Q4 2022Q1 2022Q2 2022Q3
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.2
0.2
0.2
0.2
0.9
0.9
0.9
0.9
9.5
9.1
9.1
9.2
2.3
2.2
2.3
2.3
Qualifying Hedge Funds
2021Q4 2022Q1 2022Q2 2022Q3
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.3
0.3
0.3
0.3
0.9
0.9
0.8
0.8
2.3
2.4
2.2
2.0
0.9
0.8
0.8
0.8
2022Q4
0.0
0.0
0.2
0.9
10.0
3.7
2023Q1
0.0
0.0
0.2
0.9
9.9
3.7
2023Q2
0.0
0.0
0.2
1.0
9.8
3.6
2022Q4
0.0
0.1
0.3
0.8
2.1
0.8
2023Q1
0.0
0.1
0.3
0.8
2.2
0.8
2023Q2
0.0
0.1
0.3
0.9
2.2
0.9
Table 6: Aggregate Borrowing by Creditor Entity Type (Percent)
As reported on Form PF, Questions 12 and 43 (Third Month).
Creditor Type
US Financial
Non-US Financial
US Non-Financial
Non-US Non-Financial
2021Q3
67.0
30.6
2.3
0.9
2021Q4
67.1
29.3
2.8
1.0
2022Q1
66.5
30.4
3.1
0.9
9
2022Q2
66.7
30.2
3.0
0.9
2022Q3
67.7
28.8
3.3
1.0
2022Q4
66.8
29.0
3.3
0.9
2023Q1
66.8
30.1
3.2
0.8
2023Q2
66.8
30.3
3.0
0.7
January 9, 2024
C
Analytics Office
Fair Value Hierarchy
Table 7: Assets According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2021Q3
4,383
3,650
5,274
2,323
2021Q4
4,688
3,842
6,803
2,852
2022Q1
4,657
3,827
6,832
2,877
2022Q2
4,609
3,834
6,843
2,859
2022Q3
4,581
3,798
6,804
2,867
2022Q4
4,155
3,590
7,560
3,059
2023Q1
4,090
3,555
7,468
3,039
2023Q2
4,067
3,508
7,472
3,036
Table 8: Liabilities According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2021Q3
1,341
1,197
338
2,071
2021Q4
1,702
1,362
377
2,273
2022Q1
1,702
1,349
377
2,270
2022Q2
1,695
1,369
340
2,270
10
2022Q3
1,701
1,327
342
2,277
2022Q4
1,583
1,488
377
2,559
2023Q1
1,589
1,466
377
2,554
2023Q2
1,590
1,433
391
2,555
January 9, 2024
D
Analytics Office
Parallel Managed Accounts4
Table 9: Number of Funds with Parallel Managed Accounts
As reported on Form PF, Question 11.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Other Private Fund
Private Equity Fund
Qualifying Hedge Fund
Section 4 Private Equity Fund
Real Estate Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Total
2021Q3
560
485
312
208
115
73
17
***
***
***
1,460
2021Q4
571
504
303
210
137
89
30
***
***
***
1,509
2022Q1
580
503
303
211
137
89
30
***
***
***
1,517
2022Q2
578
502
315
202
137
89
30
***
***
***
1,526
2022Q3
576
498
314
208
137
89
30
***
***
***
1,519
2022Q4
566
478
331
214
146
67
39
***
***
***
1,491
2023Q1
562
481
407
207
146
68
39
***
***
***
1,567
2023Q2
559
458
413
203
152
68
39
***
***
***
1,547
Table 10: Aggregate Value in Parallel Managed Accounts ($ Billions)
As reported on Form PF, Question 11.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Other Private Fund
Private Equity Fund
Qualifying Hedge Fund
Section 4 Private Equity Fund
Real Estate Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Total
2021Q3
840
2,641
98
551
68
7
1
***
***
***
3,992
2021Q4
881
2,674
119
566
102
16
2
***
***
***
4,111
2022Q1
840
2,671
120
538
102
16
2
***
***
***
4,025
2022Q2
765
3,451
152
483
110
16
2
***
***
***
4,781
2022Q3
729
3,416
152
438
110
16
2
***
***
***
4,705
2022Q4
725
2,369
114
435
114
14
2
***
***
***
3,606
2023Q1
695
2,367
126
385
114
15
2
***
***
***
3,592
2023Q2
693
1,535
119
405
108
15
2
***
***
***
2,743
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
January 9, 2024
Analytics Office
Figure 5: Parallel Managed Account Value Distributions
As reported on Form PF, Question 11.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q3
0.0
0.0
0.3
1.5
5.0
2.7
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q3
0.1
0.2
0.6
2.0
6.2
2.6
All Private Funds ($ Billions)
2021Q4 2022Q1 2022Q2 2022Q3 2022Q4
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.3
0.3
0.3
0.3
0.2
1.5
1.4
1.5
1.4
1.1
5.3
5.3
5.4
5.3
3.9
2.7
2.7
3.1
3.1
2.4
Qualifying Hedge Funds ($ Billions)
2021Q4 2022Q1 2022Q2 2022Q3 2022Q4
0.1
0.1
0.1
0.1
0.1
0.2
0.3
0.2
0.2
0.2
0.6
0.6
0.6
0.6
0.6
2.0
2.0
1.9
1.8
1.6
6.0
5.8
5.5
4.8
4.9
2.7
2.6
2.4
2.1
2.0
12
2023Q1
0.0
0.0
0.2
1.0
3.8
2.3
2023Q2
0.0
0.0
0.2
1.0
3.4
1.8
2023Q1
0.1
0.2
0.6
1.7
4.6
1.9
2023Q2
0.1
0.2
0.7
1.8
4.9
2.0
January 9, 2024
III
Analytics Office
Fund Domiciles and Adviser Main Offices
Table 11: Fund Domicile (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
Cayman Islands
Luxembourg
Ireland
Bermuda
United Kingdom
Virgin Islands, British
Other
Country
Cayman Islands
United States
Luxembourg
Ireland
Virgin Islands, British
Bermuda
Other
Country
Ireland
United States
Cayman Islands
Other
Country
United States
Cayman Islands
Canada
United Kingdom
Bermuda
Other
All Private Funds
2021Q3 2021Q4 2022Q1 2022Q2 2022Q3
49.5
51.8
52.2
52.5
52.9
34.9
32.8
32.7
32.4
32.7
3.7
4.1
4.1
4.1
4.1
4.0
3.9
3.9
3.9
3.9
1.0
0.9
1.0
1.0
1.0
0.9
1.0
0.9
0.9
0.9
1.0
0.9
0.9
0.9
0.9
5.0
4.6
4.2
4.2
3.6
Qualifying Hedge Funds
2021Q3 2021Q4 2022Q1 2022Q2 2022Q3
51.8
51.8
51.1
52.4
53.2
33.9
34.2
34.9
35.7
34.9
2.5
2.4
2.4
2.4
2.3
3.2
3.2
3.1
3.0
2.8
2.7
2.6
2.8
3.1
3.1
1.5
1.5
1.7
1.7
1.9
4.4
4.2
4.1
1.8
1.7
Section 3 Liquidity Funds
2021Q3 2021Q4 2022Q1 2022Q2 2022Q3
***
***
***
***
***
26.6
27.6
28.5
27.3
25.5
***
***
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2021Q3 2021Q4 2022Q1 2022Q2 2022Q3
55.2
56.1
56.9
56.9
56.9
28.9
29.3
29.6
29.6
29.6
2.2
2.0
1.9
1.9
1.9
1.5
1.4
1.4
1.4
1.4
1.1
1.2
1.2
1.2
1.2
11.1
9.9
9.0
9.0
9.0
13
2022Q4
52.7
32.2
5.0
3.6
1.0
0.9
0.8
3.7
2023Q1
52.5
32.6
5.0
3.6
1.0
0.9
0.8
3.6
2023Q2
52.4
32.7
4.9
3.6
1.0
0.9
0.8
3.6
2022Q4
52.6
35.5
2.7
3.0
2.8
1.9
1.4
2023Q1
53.0
35.5
2.9
2.7
2.6
1.7
1.6
2023Q2
53.3
35.3
3.0
2.7
2.5
1.6
1.6
2022Q4
***
23.4
***
***
2023Q1
***
23.9
***
***
2023Q2
***
23.5
***
***
2022Q4
56.2
28.0
2.0
1.4
1.0
11.3
2023Q1
56.4
28.1
2.1
1.4
1.0
11.0
2023Q2
56.4
28.1
2.1
1.4
1.0
11.0
January 9, 2024
Analytics Office
Table 12: Adviser Main Office Location (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
United Kingdom
Other
2021Q3
89.6
4.6
5.8
Country
United States
United Kingdom
Australia
Hong Kong
Other
2021Q3
88.0
4.1
***
***
4.1
Country
United States
United Kingdom
2021Q3
***
***
Country
United States
Canada
Other
2021Q3
94.3
***
***
All Private Funds
2021Q4 2022Q1 2022Q2 2022Q3
91.2
90.9
91.8
91.9
3.9
4.0
3.9
3.9
4.9
5.1
4.3
4.2
Qualifying Hedge Funds
2021Q4 2022Q1 2022Q2 2022Q3
88.1
88.5
90.7
91.1
4.1
3.9
3.7
3.5
***
***
***
***
***
***
***
***
4.1
4.1
2.2
2.2
Section 3 Liquidity Funds
2021Q4 2022Q1 2022Q2 2022Q3
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2021Q4 2022Q1 2022Q2 2022Q3
95.6
95.6
95.6
95.6
***
***
***
***
***
***
***
***
14
2022Q4
92.3
3.7
4.0
2023Q1
91.9
4.0
4.1
2023Q2
91.8
4.1
4.1
2022Q4
90.5
4.1
***
***
3.0
2023Q1
90.7
3.9
***
***
3.1
2023Q2
91.6
4.0
***
***
2.1
2022Q4
***
***
2023Q1
***
***
2023Q2
***
***
2022Q4
95.5
***
***
2023Q1
95.4
***
***
2023Q2
95.5
***
***
January 9, 2024
IV
A
Analytics Office
Beneficial Ownership
All Private Funds
Table 13: Beneficial Ownership for All Private Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
State/Muni. Govt. Pension Plans
U.S. Individuals
Pension Plans
Non-Profits
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2021Q3
2,132
1,929
1,587
1,208
1,263
1,215
856
594
384
266
203
189
138
44
2021Q4
2,597
2,445
1,858
1,422
1,372
1,316
1,007
697
416
317
232
188
155
42
2022Q1
2,635
2,444
1,882
1,417
1,378
1,298
1,000
705
402
306
226
195
161
45
2022Q2
2,594
2,408
1,871
1,372
1,342
1,246
1,004
702
396
312
222
194
151
44
2022Q3
2,589
2,415
1,862
1,366
1,273
1,256
1,010
703
393
306
223
197
148
42
2022Q4
2,597
2,541
1,912
1,324
1,307
1,245
1,082
745
376
286
240
193
149
38
2023Q1
2,595
2,557
1,905
1,335
1,305
1,254
1,068
754
315
252
247
190
150
40
2023Q2
2,611
2,555
1,914
1,348
1,293
1,268
1,080
761
318
254
249
179
145
38
2023Q1
18.6
18.3
13.6
9.6
9.3
9.0
7.6
5.4
2.3
1.8
1.8
1.4
1.1
0.3
2023Q2
18.6
18.2
13.6
9.6
9.2
9.0
7.7
5.4
2.3
1.8
1.8
1.3
1.0
0.3
Table 14: Beneficial Ownership for All Private Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
State/Muni. Govt. Pension Plans
U.S. Individuals
Pension Plans
Non-Profits
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2021Q3
17.7
16.1
13.2
10.1
10.5
10.1
7.1
4.9
3.2
2.2
1.7
1.6
1.2
0.4
2021Q4
18.5
17.4
13.2
10.1
9.8
9.4
7.2
5.0
3.0
2.3
1.7
1.3
1.1
0.3
15
2022Q1
18.7
17.3
13.4
10.1
9.8
9.2
7.1
5.0
2.8
2.2
1.6
1.4
1.1
0.3
2022Q2
18.7
17.4
13.5
9.9
9.7
9.0
7.2
5.1
2.9
2.3
1.6
1.4
1.1
0.3
2022Q3
18.8
17.5
13.5
9.9
9.2
9.1
7.3
5.1
2.8
2.2
1.6
1.4
1.1
0.3
2022Q4
18.5
18.1
13.6
9.4
9.3
8.9
7.7
5.3
2.7
2.0
1.7
1.4
1.1
0.3
January 9, 2024
B
Analytics Office
Qualifying Hedge Funds
Table 15: Beneficial Ownership for Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
Non-Profits
State/Muni. Govt. Pension Plans
U.S. Individuals
Pension Plans
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
State/Muni. Govt. Entities
Unknown Non-U.S. Investors
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2021Q3
724
598
602
447
492
478
256
140
186
59
89
42
42
8
2021Q4
723
607
602
458
493
479
264
144
182
62
86
41
38
9
2022Q1
732
604
581
462
473
478
266
147
171
61
82
41
39
9
2022Q2
703
572
546
453
433
452
268
151
108
58
47
39
39
9
2022Q3
698
564
559
432
423
384
266
149
102
59
43
42
38
8
2022Q4
694
562
528
446
424
409
289
148
102
59
47
38
38
9
2023Q1
711
590
537
455
424
418
283
164
104
62
45
39
37
9
2023Q2
734
595
549
467
439
412
292
161
103
63
45
36
32
9
2023Q1
18.3
15.2
13.8
11.7
10.9
10.8
7.3
4.2
2.7
1.6
1.2
1.0
0.9
0.2
2023Q2
18.6
15.1
13.9
11.9
11.1
10.5
7.4
4.1
2.6
1.6
1.2
0.9
0.8
0.2
Table 16: Beneficial Ownership for Qualifying Hedge Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
Non-Profits
State/Muni. Govt. Pension Plans
U.S. Individuals
Pension Plans
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
State/Muni. Govt. Entities
Unknown Non-U.S. Investors
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2021Q3
17.4
14.4
14.4
10.7
11.8
11.5
6.1
3.4
4.5
1.4
2.1
1.0
1.0
0.2
2021Q4
17.2
14.5
14.4
10.9
11.8
11.4
6.3
3.4
4.3
1.5
2.1
1.0
0.9
0.2
16
2022Q1
17.6
14.6
14.0
11.1
11.4
11.5
6.4
3.5
4.1
1.5
2.0
1.0
0.9
0.2
2022Q2
18.1
14.7
14.1
11.7
11.2
11.6
6.9
3.9
2.8
1.5
1.2
1.0
1.0
0.2
2022Q3
18.5
15.0
14.8
11.4
11.2
10.2
7.1
4.0
2.7
1.6
1.1
1.1
1.0
0.2
2022Q4
18.3
14.8
13.9
11.7
11.2
10.8
7.6
3.9
2.7
1.5
1.3
1.0
1.0
0.2
January 9, 2024
C
Analytics Office
Section 3 Liquidity Funds
Table 17: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Other
Unknown Non-U.S. Investors
Private Funds
Banking/Thrift Inst.
Broker-Dealers
Sec-Registered Investment Companies
Insurance Companies
Sov. Wealth Funds And For. Official Inst.
Non-U.S. Individuals
Pension Plans
Non-Profits
State/Muni. Govt. Entities
U.S. Individuals
State/Muni. Govt. Pension Plans
2021Q3
101
50
50
***
***
27
9
***
3
7
3
***
***
1
2021Q4
96
60
57
***
***
23
9
***
***
7
4
3
***
1
2022Q1
103
51
58
***
***
24
8
***
***
5
3
***
***
1
2022Q2
100
64
65
***
***
16
9
***
***
5
3
***
***
***
2022Q3
106
68
64
***
***
15
8
***
***
***
3
***
***
***
2022Q4
108
65
56
***
***
14
10
***
***
***
2
***
***
1
2023Q1
106
63
50
***
***
17
12
***
***
***
3
***
***
***
2023Q2
114
64
49
***
***
16
11
***
***
5
3
***
***
***
2023Q1
34.1
20.2
15.9
***
***
5.4
3.9
***
***
***
0.9
***
***
***
2023Q2
35.8
20.1
15.5
***
***
5.0
3.6
***
***
1.5
0.8
***
***
***
Table 18: Beneficial Ownership for Section 3 Liquidity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Other
Unknown Non-U.S. Investors
Private Funds
Banking/Thrift Inst.
Broker-Dealers
Sec-Registered Investment Companies
Insurance Companies
Sov. Wealth Funds And For. Official Inst.
Non-U.S. Individuals
Pension Plans
Non-Profits
State/Muni. Govt. Entities
U.S. Individuals
State/Muni. Govt. Pension Plans
2021Q3
33.8
16.7
16.5
***
***
8.9
3.2
***
0.9
2.4
1.1
***
***
0.4
2021Q4
31.0
19.2
18.5
***
***
7.5
2.8
***
***
2.3
1.2
1.0
***
0.3
17
2022Q1
33.4
16.6
18.6
***
***
7.8
2.6
***
***
1.7
1.0
***
***
0.3
2022Q2
30.8
19.9
19.9
***
***
4.9
2.8
***
***
1.5
0.9
***
***
***
2022Q3
32.4
20.7
19.6
***
***
4.6
2.5
***
***
***
0.8
***
***
***
2022Q4
34.1
20.6
17.8
***
***
4.3
3.0
***
***
***
0.8
***
***
0.4
January 9, 2024
D
Analytics Office
Section 4 Private Equity Funds
Table 19: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
State/Muni. Govt. Pension Plans
Sov. Wealth Funds And For. Official Inst.
Pension Plans
Insurance Companies
Non-Profits
U.S. Individuals
State/Muni. Govt. Entities
Non-U.S. Individuals
Sec-Registered Investment Companies
Banking/Thrift Inst.
Unknown Non-U.S. Investors
Broker-Dealers
2021Q3
662
544
655
388
247
190
180
187
63
71
27
38
25
3
2021Q4
957
819
836
501
324
252
237
265
82
83
49
45
33
3
2022Q1
974
802
850
477
325
255
238
265
82
77
50
49
34
3
2022Q2
973
802
851
477
326
256
238
265
82
77
50
49
34
3
2022Q3
973
802
851
477
326
256
238
265
82
77
50
49
34
3
2022Q4
1,031
887
887
525
361
283
259
245
94
68
49
47
33
3
2023Q1
1,018
875
874
515
361
282
259
246
94
67
48
44
33
3
2023Q2
1,020
876
876
515
362
284
259
246
95
67
48
45
33
3
Table 20: Beneficial Ownership for Section 4 Private Equity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
State/Muni. Govt. Pension Plans
Sov. Wealth Funds And For. Official Inst.
Pension Plans
Insurance Companies
Non-Profits
U.S. Individuals
State/Muni. Govt. Entities
Non-U.S. Individuals
Sec-Registered Investment Companies
Banking/Thrift Inst.
Unknown Non-U.S. Investors
Broker-Dealers
2021Q3
20.2
16.6
20.0
11.8
7.5
5.8
5.5
5.7
1.9
2.2
0.8
1.2
0.8
0.1
2021Q4
21.3
18.2
18.6
11.2
7.2
5.6
5.3
5.9
1.8
1.9
1.1
1.0
0.7
0.1
18
2022Q1
21.7
17.9
19.0
10.6
7.3
5.7
5.3
5.9
1.8
1.7
1.1
1.1
0.8
0.1
2022Q2
21.7
17.9
19.0
10.6
7.3
5.7
5.3
5.9
1.8
1.7
1.1
1.1
0.8
0.1
2022Q3
21.7
17.9
19.0
10.6
7.3
5.7
5.3
5.9
1.8
1.7
1.1
1.1
0.8
0.1
2022Q4
21.6
18.6
18.6
11.0
7.6
5.9
5.4
5.1
2.0
1.4
1.0
1.0
0.7
0.1
2023Q1
21.6
18.5
18.5
10.9
7.6
6.0
5.5
5.2
2.0
1.4
1.0
0.9
0.7
0.1
2023Q2
21.6
18.5
18.5
10.9
7.7
6.0
5.5
5.2
2.0
1.4
1.0
1.0
0.7
0.1
January 9, 2024
E
Analytics Office
Concentration
Table 21: Weighted-Average Beneficial Ownership of Top 5 Owners (Percent)
As reported on Form PF, Questions 9 and 15.
Type
Other Private Fund
Real Estate Fund
Hedge Fund
Qualifying Hedge Fund
Venture Capital Fund
Private Equity Fund
Section 4 Private Equity Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Total
2021Q3
60.2
56.1
54.0
49.9
53.9
51.1
46.2
46.3
46.0
35.0
53.2
2021Q4
57.0
59.0
53.9
49.9
52.6
49.5
44.9
46.1
45.8
37.3
52.2
2022Q1
57.5
59.0
54.6
50.9
52.5
49.1
44.7
48.1
47.7
37.5
52.4
19
2022Q2
57.1
59.0
55.0
51.9
52.4
49.2
44.7
46.7
46.4
37.6
52.4
2022Q3
57.5
58.7
54.7
51.6
52.4
49.1
44.7
46.5
46.1
37.8
52.3
2022Q4
59.0
56.9
55.5
52.1
49.9
49.8
46.5
45.1
44.8
41.6
52.9
2023Q1
58.4
57.0
56.3
51.9
49.9
49.4
45.9
44.3
44.1
42.3
52.9
2023Q2
58.3
57.0
56.2
51.8
49.9
49.5
46.0
43.1
42.9
41.8
52.9
January 9, 2024
V
Analytics Office
Derivatives
Table 22: Aggregate Derivative Value ($ Billions)
As reported on Form PF, Questions 13 and 44 (Third Month).
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Other Private Fund
Real Estate Fund
Section 4 Private Equity Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2021Q3
15,878
14,471
66
133
18
34
3
***
***
***
16,084
2021Q4
15,521
14,163
70
118
41
52
5
***
***
***
15,783
2022Q1
15,633
14,282
69
110
41
54
5
***
***
***
15,817
2022Q2
14,545
13,289
69
110
41
54
5
***
***
0
14,777
2022Q3
14,016
12,454
71
112
41
54
5
***
***
0
14,257
2022Q4
14,759
12,890
158
105
72
73
***
0
***
0
15,139
2023Q1
15,271
13,005
159
103
76
72
6
0
0
0
15,618
2023Q2
14,986
13,594
159
104
78
72
4
0
0
0
15,344
Table 23: Aggregate Derivative Value (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 13, and 44 (Third Month).
Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Other Private Fund
Real Estate Fund
Section 4 Private Equity Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2021Q3
310.4
347.4
1.6
10.4
2.9
1.0
1.2
***
***
***
133.9
2021Q4
302.3
337.9
1.2
7.6
5.6
1.2
1.8
***
***
***
112.2
2022Q1
303.4
344.2
1.2
7.0
5.6
1.2
1.8
***
***
***
112.2
20
2022Q2
295.7
342.6
1.2
7.1
5.6
1.2
1.8
***
***
0.0
106.6
2022Q3
288.6
330.2
1.2
7.3
5.5
1.2
1.8
***
***
0.0
103.4
2022Q4
306.0
339.7
2.6
7.4
8.4
1.5
***
0.1
***
0.0
107.8
2023Q1
314.0
335.1
2.7
7.5
8.9
1.5
2.1
0.1
0.0
0.0
111.8
2023Q2
304.7
345.1
2.7
7.8
9.0
1.5
1.4
0.1
0.0
0.0
109.4
January 9, 2024
Analytics Office
Figure 6: Distribution of Derivative Values
As reported on Form PF, Questions 13 and 44 (Third Month).
VI
A
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q3
0.0
0.0
0.0
0.2
1.3
1.1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q3
0.0
0.0
0.3
1.6
10.2
6.1
All Private Funds ($ Billions)
2021Q4 2022Q1 2022Q2 2022Q3 2022Q4
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.2
0.2
0.2
0.2
0.2
1.4
1.3
1.2
1.1
1.2
1.1
1.1
1.1
1.0
1.0
Qualifying Hedge Funds ($ Billions)
2021Q4 2022Q1 2022Q2 2022Q3 2022Q4
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.3
0.3
0.3
0.3
0.3
1.7
1.6
1.7
1.6
1.6
10.4
9.4
9.5
8.5
8.2
5.5
5.8
5.4
5.0
5.6
2023Q1
0.0
0.0
0.0
0.2
1.1
1.1
2023Q2
0.0
0.0
0.0
0.2
1.1
1.1
2023Q1
0.0
0.0
0.3
1.6
8.5
5.1
2023Q2
0.0
0.0
0.3
1.6
8.9
5.3
Additional Hedge Fund Industry Information
High Frequency Trading
Table 24: Number of Hedge Funds Using
High Frequency Trading (HFT) Strategies
As reported on Form PF, Question 21.
Fraction of NAV
0%
Less than 100%
100% or More
2021Q3
8,214
49
6
2021Q4
8,389
49
8
2022Q1
8,527
52
8
2022Q2
8,615
53
8
2022Q3
8,674
50
8
2022Q4
8,695
56
5
2023Q1
8,776
56
5
2023Q2
8,862
54
5
Table 25: Hedge Fund Assets Managed Using HFT Strategies ($ Billions)
As reported on Form PF, Questions 9 and 21.
Fraction of NAV
0%
Less than 100%
100% or More
2021Q3
4,962
117
5
2021Q4
4,999
115
6
2022Q1
5,000
128
7
2022Q2
4,761
127
8
21
2022Q3
4,689
135
8
2022Q4
4,671
128
9
2023Q1
4,694
138
9
2023Q2
4,756
133
9
January 9, 2024
B
Analytics Office
Industry Concentration
Table 26: Percent of Aggregate Hedge Fund Net Asset Value
Reported by Top Hedge Funds Sorted by Net Asset Value
As reported on Form PF, Questions 9 and 10.
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2021Q3
7.3
13.3
19.4
27.8
42.7
56.2
2021Q4
7.3
13.3
19.3
27.6
42.2
55.7
2022Q1
7.6
13.5
19.5
27.6
41.9
55.5
2022Q2
7.8
13.5
19.4
27.3
41.5
54.9
2022Q3
8.1
13.7
19.6
27.5
41.6
54.9
2022Q4
7.8
13.3
19.1
27.0
41.2
54.6
2023Q1
7.9
13.4
19.3
27.3
41.6
54.8
2023Q2
7.8
13.2
19.4
27.3
41.5
54.7
Table 27: Percent of Aggregate Hedge Fund Gross Asset Value
Reported by Top Hedge Funds Sorted by Gross Asset Value
As reported on Form PF, Questions 8 and 10.
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2021Q3
16.2
25.2
33.5
42.3
55.4
66.8
2021Q4
16.2
25.3
33.4
41.9
54.9
66.3
2022Q1
15.8
25.6
33.6
42.0
54.5
66.1
2022Q2
16.7
26.1
34.1
42.4
54.6
66.0
2022Q3
16.9
25.7
33.8
42.4
54.7
65.9
2022Q4
17.7
26.3
34.5
43.0
55.1
66.3
2023Q1
17.7
26.7
34.8
43.3
55.5
66.6
2023Q2
18.9
28.0
36.2
44.6
56.5
67.3
Table 28: Percent of Aggregate Hedge Fund Borrowings
Reported by Top Hedge Funds Sorted by Borrowings
As reported on Form PF, Questions 12 and 43 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2021Q3
32.2
48.0
60.5
71.1
83.2
90.9
2021Q4
34.7
49.3
61.4
72.1
83.3
90.9
2022Q1
34.2
48.7
61.1
71.5
83.4
90.8
2022Q2
34.7
50.2
61.9
72.0
83.1
90.5
22
2022Q3
34.2
50.3
62.1
72.4
83.4
90.6
2022Q4
36.7
51.4
63.4
73.6
84.1
90.9
2023Q1
36.0
51.5
64.1
74.5
84.9
91.5
2023Q2
37.4
52.5
64.7
74.7
85.3
91.9
January 9, 2024
Analytics Office
Table 29: Percent of Aggregate Hedge Fund Derivative Value
Reported by Top Hedge Funds Sorted by Derivative Value
As reported on Form PF, Questions 13 and 44 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2021Q3
40.7
56.8
69.2
79.6
90.5
95.5
2021Q4
41.0
55.4
67.6
78.5
89.8
95.2
2022Q1
38.9
55.3
67.6
79.0
90.2
95.4
2022Q2
39.0
54.9
66.7
78.3
89.8
95.1
2022Q3
40.3
55.0
67.3
79.0
90.0
95.2
2022Q4
37.4
54.6
68.2
80.0
90.5
95.4
2023Q1
40.3
56.0
68.3
80.3
90.8
95.6
2023Q2
41.5
55.1
67.4
79.3
90.5
95.4
Table 30: Percent of Aggregate Hedge Fund Gross Notional Exposure
Reported by Top Hedge Funds Sorted by Gross Notional Exposure
As reported on Form PF, Questions 26 and 30 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2021Q3
35.0
49.6
60.7
70.9
83.4
91.1
2021Q4
35.4
48.5
59.7
70.2
82.7
90.7
2022Q1
34.7
48.7
60.0
70.8
82.9
90.8
2022Q2
34.6
49.1
60.5
70.8
82.8
90.5
23
2022Q3
34.8
49.2
60.3
71.2
83.0
90.6
2022Q4
34.0
49.5
61.0
72.3
83.8
91.0
2023Q1
36.2
50.8
61.9
73.3
84.3
91.4
2023Q2
37.5
50.5
61.4
72.7
84.1
91.2
January 9, 2024
C
Analytics Office
Single-Strategy US-Domiciled Hedge Funds
Table 31: Exposures of Single-Strategy US-Domiciled Hedge Funds ($ Billions)
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Other
Credit
Event Driven
Relative Value
Investment in other funds
Macro
Managed Futures/CTA
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
Asset Based Lending
Long/Short
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
F.I. Asset Backed
F.I. Corp.
F.I. Conv. Arb.
Volatility Arb.
F.I. Sov.
Subtotal
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Quantitative
Fundamental
Total
2021Q3
654
307
319
27
1
595
134
62
72
66
47
13
6
49
30
9
7
1
1
32
13
10
3
***
***
6
***
***
1,383
2021Q4
680
326
324
***
***
625
141
70
71
74
43
20
11
55
31
11
9
2
1
33
13
9
3
***
***
6
***
***
1,437
24
2022Q1
637
311
298
26
1
649
144
73
72
76
46
19
10
55
32
11
9
2
1
34
15
10
4
***
***
7
***
***
1,433
2022Q2
589
280
273
***
***
648
144
72
72
75
47
18
10
56
32
11
9
3
2
33
15
10
4
***
***
6
***
***
1,386
2022Q3
555
273
251
29
2
656
150
77
73
76
48
19
9
55
32
11
8
3
1
32
16
11
4
***
***
6
***
***
1,368
2022Q4
552
272
251
28
1
655
163
86
77
83
50
26
7
59
37
11
7
3
2
32
14
9
4
***
***
6
***
***
1,385
2023Q1
549
262
259
27
1
666
179
87
93
80
49
26
5
63
38
11
7
5
2
40
13
8
4
***
***
6
***
***
1,419
2023Q2
584
293
263
27
1
673
170
94
77
82
51
27
4
64
37
12
7
7
2
40
14
9
4
1
0
6
***
***
1,443
January 9, 2024
Analytics Office
Table 32: Number of Single-Strategy US-Domiciled Hedge Funds
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Other
Credit
Event Driven
Relative Value
Investment in other funds
Macro
Managed Futures/CTA
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
Asset Based Lending
Long/Short
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
F.I. Asset Backed
F.I. Corp.
F.I. Conv. Arb.
Volatility Arb.
F.I. Sov.
Subtotal
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Quantitative
Fundamental
Total
2021Q3
1,035
458
527
45
11
1,017
373
198
178
236
166
52
21
174
96
48
18
11
15
238
43
22
13
***
***
24
***
***
2,931
2021Q4
1,128
471
605
***
***
1,034
383
197
189
243
164
59
21
186
94
55
20
19
18
241
45
18
15
***
***
24
***
***
3,079
25
2022Q1
1,150
480
616
51
8
1,070
394
200
197
259
179
60
21
189
93
54
22
19
14
260
48
19
17
***
***
24
***
***
3,175
2022Q2
1,153
475
624
***
***
1,093
404
197
210
270
189
60
21
198
99
59
23
20
19
261
48
19
17
***
***
23
***
***
3,216
2022Q3
1,156
474
627
51
9
1,114
422
207
218
276
195
61
21
201
100
58
26
20
19
257
45
19
16
***
***
22
***
***
3,265
2022Q4
1,136
494
588
47
13
1,169
429
212
220
298
212
68
19
212
107
58
26
18
18
306
44
18
15
***
***
23
***
***
3,348
2023Q1
1,141
497
591
47
12
1,197
441
212
232
297
211
68
19
219
119
59
24
18
18
331
44
18
15
***
***
23
***
***
3,421
2023Q2
1,142
511
583
46
12
1,223
455
220
238
305
218
69
19
221
123
57
24
18
18
334
46
21
15
10
0
24
***
***
3,474
January 9, 2024
D
Analytics Office
Single-Strategy Non-US-Domiciled Hedge Funds
Table 33: Exposures of Single-Strategy Non-US-Domiciled Hedge Funds ($ Billions)
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Other
Relative Value
Macro
Credit
Managed Futures/CTA
Event Driven
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Asset Backed
Volatility Arb.
F.I. Corp.
F.I. Conv. Arb.
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Total
2021Q3
1,275
825
360
***
***
761
445
299
79
22
28
17
385
373
8
***
***
325
229
96
233
***
***
178
112
33
33
35
2,468
2021Q4
1,269
812
356
***
***
767
456
315
77
22
27
16
267
255
8
***
***
287
210
77
209
***
***
185
117
35
33
33
2,436
26
2022Q1
1,141
726
321
***
***
776
434
284
75
24
28
22
286
275
8
***
***
297
217
81
231
***
***
185
120
34
30
33
2,394
2022Q2
1,010
641
280
***
***
736
442
309
75
27
18
13
306
295
8
***
***
290
207
83
206
***
***
180
120
30
30
30
2,222
2022Q3
954
609
259
***
***
715
409
283
74
23
17
12
329
314
6
***
***
309
219
89
240
***
***
173
119
25
29
30
2,148
2022Q4
977
629
261
***
***
760
369
248
71
20
17
12
329
316
7
***
***
314
221
93
190
***
***
166
117
28
21
27
2,156
2023Q1
969
638
229
***
***
756
377
256
68
20
19
14
326
316
7
***
***
321
227
94
226
***
***
420
371
28
21
31
2,148
2023Q2
996
667
225
***
***
762
352
229
68
23
18
14
337
328
7
***
***
333
232
101
285
***
***
182
132
27
22
37
2,172
January 9, 2024
Analytics Office
Table 34: Number of Single-Strategy Non-US-Domiciled Hedge Funds
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Other
Relative Value
Macro
Credit
Managed Futures/CTA
Event Driven
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Asset Backed
Volatility Arb.
F.I. Corp.
F.I. Conv. Arb.
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Total
2021Q3
1,072
607
379
***
***
857
304
54
147
25
98
27
207
160
34
***
***
356
249
111
123
***
***
321
223
79
47
102
3,132
2021Q4
1,092
629
391
***
***
853
304
60
149
27
91
24
210
162
42
***
***
353
248
108
108
***
***
310
214
74
48
103
3,103
27
2022Q1
1,096
630
394
***
***
875
302
59
146
26
92
25
214
168
40
***
***
368
260
111
113
***
***
316
221
70
50
101
3,158
2022Q2
1,095
630
388
***
***
892
301
59
148
25
88
26
213
172
38
***
***
370
260
113
120
***
***
318
223
70
49
104
3,185
2022Q3
1,092
628
385
***
***
881
305
61
150
24
90
24
216
171
39
***
***
381
267
117
121
***
***
314
223
69
47
108
3,187
2022Q4
1,074
602
386
***
***
919
294
60
139
29
87
24
217
165
45
***
***
376
267
112
125
***
***
313
219
75
43
107
3,207
2023Q1
1,028
599
343
***
***
932
300
59
143
29
91
24
213
163
40
***
***
387
277
113
129
***
***
313
223
70
44
107
3,186
2023Q2
1,015
592
340
***
***
935
303
59
147
30
90
25
212
163
40
***
***
405
285
123
126
***
***
317
227
70
44
112
3,205
January 9, 2024
VII
A
Analytics Office
Information Reported by Large Hedge
Fund Advisers
Economic Leverage
Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 3(a) and 26.
3-0
3-0
202
202
202
3
3-0
0.9
1.1
1.8
3.5
9.2
4.0
6
5
0.9
1.2
1.8
3.5
8.6
3.8
202
202
3-0
1.0
1.1
1.8
3.2
8.1
3.6
202
3-0
202
1.0
1.1
1.8
3.5
8.6
3.8
202
3-0
4
1.0
1.2
1.8
3.6
8.9
3.8
3
1.0
1.1
1.8
3.3
7.6
3.7
3-0
2-1
202
1.0
1.2
1.8
3.5
8.6
4.1
202
2-1
2-1
0.9
1.1
1.8
3.4
8.7
3.8
202
0
202
2-1
9
2-0
1.0
1.1
1.8
3.1
7.7
3.5
3-0
1.0
1.2
1.9
3.4
7.7
3.7
202
8
2-0
2-0
202
202
1.0
1.2
1.9
3.2
8.4
3.7
-06
202
3-0
3
28
1.0
1.1
1.7
3.1
7.7
3.6
7
6
202
2-0
5
2-0
1.0
1.2
1.9
3.4
8.6
4.0
5
202
3-0
2
1.0
1.2
2.1
4.1
12.6
6.5
4
202
3-0
1
0.9
1.2
2.1
4.2
14.2
6.7
2
202
2-1
2
1.0
1.2
2.0
4.2
12.7
6.2
1
202
2-1
1
1.0
1.2
2.0
3.8
11.5
5.9
2
202
1.0
1.3
2.1
4.4
14.5
7.0
1
202
2-0
9
1.0
1.2
2.1
4.7
14.3
6.5
0
202
2-0
8
1.0
1.2
2.0
4.1
12.6
5.9
1.0
1.2
1.9
3.5
8.3
4.0
2-0
6
202
2-0
7
1.0
1.3
2.1
4.4
14.6
6.9
202
1.0
1.3
2.0
4.4
13.7
6.5
202
2-0
5
1.0
1.2
2.0
3.9
11.4
5.6
2-0
4
1.0
1.3
2.1
4.2
13.3
6.1
202
1.0
1.1
1.9
3.3
7.8
3.8
1.0
1.0
1.0
1.0
1.3
1.3
1.2
1.3
2.1
2.1
2.0
2.1
4.4
4.4
4.1
4.4
12.0 12.7 11.3 12.3
6.2
6.4
5.6
5.9
Excluding IRDs
202
3
1.0
1.2
1.9
3.6
8.5
3.9
202
202
2-0
1.0
1.2
1.9
3.5
8.2
4.0
2-0
2
1.0
1.2
1.9
3.3
8.2
3.9
202
2
1.0
1.2
1.9
3.5
8.7
4.1
1-1
2
1.0
1.2
1.9
3.6
8.9
4.1
202
-10
202
1-1
1.0
1.1
1.9
3.4
8.3
4.0
202
1
1-0
202
8
1-0
1-0
202
1.0
1.1
1.9
3.6
8.3
4.0
3
1.0
1.2
2.1
4.1
12.3
6.2
2-0
4
1.0
1.3
2.1
4.5
13.9
6.6
202
2
202
2-0
1.0
1.2
2.1
4.4
14.5
6.4
1.0
1.2
1.9
3.5
8.1
3.9
2-0
1
1.0
1.2
2.1
4.1
13.2
6.7
-01
202
2-0
2
202
1
1.0
1.3
2.1
4.5
14.3
7.3
1-1
202
1.0
1.3
2.1
4.5
14.3
7.2
1
202
1-1
9
1.0
1.2
2.1
4.1
13.3
6.8
202
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1-1
0
202
1.0
1.2
2.1
4.4
14.5
7.0
9
202
1-0
1-0
8
202
1.0
1.2
2.1
4.4
13.7
6.7
7
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
1
-07
Including Interest Rate Derivatives (IRDs)
1.0
1.1
1.8
3.3
8.6
3.9
January 9, 2024
Analytics Office
Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and Short Notional
Exposure (SNE) to Net Asset Value
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 3(a) and 26.
29
5
6
3-0
202
3 -0
0.0
0.2
0.5
1.4
4.1
1.7
0.0
0.2
0.5
1.5
4.4
1.8
0.0
0.1
0.5
1.3
4.0
1.6
-06
-06
5
5
0.1
0.2
0.7
2.2
8.6
3.2
0.9
1.1
1.5
2.2
4.8
2.5
0.1
0.2
0.7
2.0
8.5
3.2
202
3-0
6
5
0.1
0.2
0.6
2.1
7.7
3.0
202
3
3-0
3-0
0.0
0.2
0.7
1.9
7.1
2.9
0.9
1.1
1.6
2.5
6.3
3.7
202
3
4
3-0
202
4
3-0
202
3-0
4
0.9
1.0
1.4
2.3
5.0
2.5
202
3
202
202
0.9
1.1
1.4
2.3
4.6
2.4
202
202
3-0
3
0.9
1.1
1.5
2.6
7.1
3.7
202
3-0
0.0
0.2
0.5
1.4
4.6
1.7
0.9
1.1
1.5
2.6
6.8
3.5
202
3-0
4
0.0
0.2
0.5
1.5
4.4
1.7
0.0
0.1
0.5
1.4
4.2
1.6
3-0
3-0
2
202
3-0
3
2
0.1
0.2
0.7
2.1
8.5
3.3
202
3-0
0.1
0.2
0.7
2.1
8.0
3.1
0.9
1.1
1.4
2.2
4.7
2.3
202
-01
202
3-0
2
1
3-0
0.9
1.1
1.4
2.3
4.9
2.4
202
202
0.9
1.1
1.5
2.4
5.0
2.4
202
0.9
1.1
1.5
2.5
6.4
3.4
3-0
1
2-1
2
0.9
1.1
1.5
2.7
7.0
3.9
202
2
2-1
202
1
0.9
1.1
1.5
2.8
7.4
3.7
0.0
0.2
0.6
2.0
7.5
2.9
202
1
0.0
0.2
0.5
1.4
4.7
1.8
202
3
202
2
2-1
202
1
2-1
0.9
1.1
1.4
2.2
4.6
2.3
2-1
0.1
0.2
0.7
2.1
8.0
3.5
2-1
0
2-1
1
202
2-1
0
202
2-1
0
0.9
1.1
1.5
2.5
7.0
3.5
202
2-1
-10
0.0
0.2
0.5
1.5
4.1
1.7
0.9
1.1
1.5
2.3
4.8
2.6
202
9
202
9
202
202
9
2-0
0.0
0.2
0.5
1.3
3.7
1.5
0.1
0.2
0.6
2.1
7.5
3.1
202
2
2-0
202
8
0.1
0.2
0.6
2.0
6.7
2.6
202
0.0
0.2
0.5
1.4
3.8
1.6
0.9
1.1
1.4
2.3
4.8
2.4
9
2-0
8
2-0
2-0
0.9
1.0
1.4
2.1
4.3
2.3
0.9
1.1
1.5
2.7
8.1
4.1
3-0
3
0.0
0.2
0.5
1.4
4.1
1.5
0.9
1.1
1.5
2.6
7.4
3.8
202
3-0
2
0.0
0.2
0.5
1.4
4.0
1.5
202
2-0
7
2-0
6
5
4
2-0
202
0.0
0.2
0.5
1.4
4.2
1.7
202
2-0
8
2-0
8
2-0
202
2-0
7
6
202
2-0
5
-04
2-0
202
202
202
2-0
0.0
0.2
0.5
1.4
4.2
1.7
202
7
2-0
202
202
2-0
6
5
-04
2-0
202
202
2-0
3
202
2
202
2
2-0
3
0.0
0.2
0.5
1.4
3.7
1.6
202
2-0
3
0.1
0.1
0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.2
0.2
0.2
0.6
0.6
0.6
0.6
0.7
0.7
2.0
2.0
2.1
2.0
2.0
2.0
6.7
6.7
7.4
6.4
7.4
7.9
2.9
3.0
3.0
2.7
2.7
2.7
Short Exposure Excluding IRDs
0.9
1.1
1.5
2.4
7.1
3.3
202
7
2-0
202
202
6
5
2-0
2-0
202
-03
2-0
4
202
202
202
2
202
0.9
0.9
0.9
0.9
0.9
0.9
1.1
1.1
1.1
1.0
1.1
1.1
1.4
1.5
1.5
1.4
1.5
1.5
2.2
2.3
2.2
2.1
2.2
2.2
4.8
5.1
5.0
4.4
4.6
4.6
2.5
2.5
2.5
2.3
2.4
2.4
Short Exposure Including IRDs
202
-02
0.0
0.2
0.5
1.5
4.1
1.7
1.0
0.9
0.9
0.9
0.9
0.9
1.1
1.1
1.1
1.1
1.2
1.1
1.5
1.6
1.6
1.5
1.6
1.6
2.5
2.6
2.6
2.5
2.6
2.5
6.8
7.1
7.3
6.4
7.5
7.4
3.8
3.7
3.8
3.4
3.5
3.6
Long Exposure Excluding IRDs
202
2-0
2
2-0
2
0.1
0.2
0.6
2.1
7.2
3.2
2-0
2
2-0
1
-12
202
2
202
-01
0.0
0.2
0.5
1.5
4.2
1.8
0.9
1.1
1.5
2.3
4.7
2.5
202
-01
-01
0.1
0.2
0.6
2.0
8.1
3.1
0.9
1.1
1.6
2.7
7.4
3.9
202
202
202
2
202
2
1-1
2
1-1
2
0.0
0.1
0.5
1.3
4.2
1.7
0.9
1.1
1.5
2.3
4.6
2.5
202
2
202
202
0.0
0.2
0.6
2.0
7.3
3.4
0.9
1.1
1.6
2.6
7.4
3.7
202
3-0
1
0.0
0.1
0.5
1.5
4.4
1.8
1.0
1.1
1.5
2.2
4.5
2.6
202
1-1
1
1-1
1
0.1
0.2
0.7
2.0
8.3
3.8
1-1
2
202
1
-11
202
1
1-1
1
202
-10
0.0
0.2
0.5
1.5
4.3
1.8
0.9
1.1
1.5
2.3
4.9
2.6
202
-10
1-0
9
0.0
0.1
0.5
1.4
3.9
1.7
0
0.1
0.2
0.7
2.0
8.1
3.6
1.0
1.1
1.6
2.6
7.3
3.9
202
9
1-1
0
202
1-0
1-0
9
1-0
9
202
1
202
0.0
0.2
0.6
1.9
7.5
3.3
202
1-1
8
1-0
0.0
0.1
0.5
1.4
3.9
1.7
0.9
1.1
1.5
2.3
5.0
2.6
0.9
1.1
1.5
2.7
7.6
4.2
2-1
2
0.0
0.1
0.5
1.4
3.9
1.7
202
1-0
202
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.9
1.1
1.6
2.7
7.3
4.2
202
1
8
0.1
0.2
0.7
2.0
7.4
3.5
202
8
8
202
1-0
1-0
202
0.1
0.2
0.6
2.1
7.1
3.3
7
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.9
1.1
1.4
2.3
4.7
2.5
202
0.9
1.1
1.5
2.3
5.2
2.6
1.0
1.1
1.5
2.6
6.6
4.0
202
1-0
1-0
1-0
1-0
202
0.9
1.1
1.4
2.3
5.0
2.5
0.9
1.1
1.5
2.7
7.9
4.1
7
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
202
0.9
1.1
1.5
2.7
7.4
3.9
7
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
7
Long Exposure Including IRDs
0.0
0.2
0.6
1.4
4.5
1.8
January 9, 2024
B
Analytics Office
Industry Concentration
Table 35: Large Hedge Fund Adviser Asset and Exposure Concentration
(Percent of Total Reported)
As reported on Form PF, Questions 3(a) and 26.
Month
2021-07
2021-08
2021-09
2021-10
2021-11
2021-12
2022-01
2022-02
2022-03
2022-04
2022-05
2022-06
2022-07
2022-08
2022-09
2022-10
2022-11
2022-12
2023-01
2023-02
2023-03
2023-04
2023-05
2023-06
Top 10 Advisers (NAV)
16.3
17.0
17.0
17.1
17.1
17.1
17.5
16.8
16.8
17.1
17.2
17.2
17.5
17.5
17.5
17.4
17.4
17.4
17.5
17.5
17.5
17.7
17.7
17.7
Top 20 Advisers (NAV)
26.6
27.5
27.5
27.4
27.4
27.4
28.1
27.2
27.2
28.0
28.1
28.1
28.3
28.3
28.3
28.2
28.2
28.2
28.5
28.5
28.5
28.7
28.7
28.7
30
Top 10 Advisers (GNE)
40.6
39.2
38.7
38.3
38.4
38.1
38.9
38.4
38.3
42.8
42.8
39.0
40.1
40.1
39.8
39.2
39.6
38.9
39.7
39.8
40.9
42.0
42.2
41.9
Top 20 Advisers (GNE)
56.7
56.1
55.6
56.2
56.3
54.7
55.4
55.7
55.1
57.7
58.7
55.5
57.3
57.9
57.0
57.0
57.9
55.9
58.5
59.0
58.2
59.1
59.6
59.0
January 9, 2024
C
Analytics Office
Portfolio Turnover
Table 36: Aggregate Portfolio Turnover ($ Billions)
As reported on Form PF, Question 27.
Month
2021-07
2021-08
2021-09
2021-10
2021-11
2021-12
2022-01
2022-02
2022-03
2022-04
2022-05
2022-06
2022-07
2022-08
2022-09
2022-10
2022-11
2022-12
2023-01
2023-02
2023-03
2023-04
2023-05
2023-06
Futures
12,043
13,973
16,020
19,432
17,055
14,329
16,735
21,395
23,132
16,025
19,479
22,129
19,117
23,968
29,032
20,479
25,693
25,184
19,016
30,530
35,960
18,521
26,490
23,309
Sov. and muni. bonds
5,110
5,438
5,485
5,666
6,210
4,672
5,340
6,355
6,016
4,574
5,143
4,903
4,389
5,152
4,931
4,372
5,199
4,522
5,313
6,510
7,330
5,689
7,479
7,088
Listed equities
3,159
3,101
3,438
3,409
3,779
3,843
3,951
3,793
4,527
3,677
4,253
3,893
3,024
3,436
3,534
4,303
4,376
4,028
4,127
4,085
4,937
3,841
4,700
4,717
Corporate bonds
142
140
168
183
164
121
188
292
255
223
339
312
318
236
205
185
201
149
231
239
253
164
244
215
Convertible bonds
29
39
54
38
53
38
40
35
36
27
30
24
17
29
25
32
29
19
33
50
39
30
43
41
Total
20,483
22,691
25,165
28,729
27,262
23,002
26,254
31,871
33,966
24,526
29,243
31,262
26,865
32,821
37,726
29,372
35,498
33,903
28,719
41,415
48,518
28,244
38,957
35,370
Figure 9: Distributions of Portfolio Turnover
(Winsorized, limits=[1%,99%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 3(a) and 27.
0.0
0.1
0.3
1.6
11.6
5.7
0.0
0.1
0.4
2.0
13.7
6.9
0.0
0.1
0.4
2.1
14.5
7.9
0.0
0.1
0.4
2.0
12.9
6.9
0.0
0.1
0.4
2.1
16.7
8.5
0.0
0.1
0.3
1.7
13.8
9.3
0.0
0.1
0.4
2.0
14.2
7.2
0.0
0.1
0.4
2.1
16.3
9.9
0.0
0.1
0.5
2.9
23.0
12.6
0.0
0.1
0.3
1.6
11.0
6.3
0.0
0.1
0.4
2.1
15.5
8.1
0.0
0.1
0.4
2.0
15.5
8.5
3-0
3-0
2-1
2-0
1-0
-06
0.0
0.1
0.4
2.1
14.4
10.5
5
202
3
3-0
6
5
202
4
3-0
0.0
0.1
0.5
2.2
14.8
7.6
4
202
3-0
202
3
202
202
3-0
202
202
3-0
3
-02
202
3
2
3-0
202
0.0
0.1
0.4
2.0
13.0
7.0
-12
202
0.0
0.1
0.5
2.5
16.2
8.9
31
3-0
1
2-1
2
202
3-0
1
1
202
2
202
202
2
0.0
0.1
0.5
2.3
14.1
8.3
-11
202
2-1
-10
202
2-0
9
0.0
0.1
0.4
2.0
14.1
7.0
0
202
2-0
8
202
9
2-0
7
202
0.0
0.1
0.4
1.7
13.6
6.4
2-0
6
0.0
0.1
0.4
1.9
16.7
7.9
-05
0.0
0.1
0.3
1.6
14.3
7.3
4
0.0
0.1
0.4
1.6
15.3
7.2
2
0.0
0.1
0.3
1.7
12.5
7.0
9
0.0
0.1
0.3
1.6
13.7
6.4
-08
202
202
2
8
0.1
0.2
0.9
5.0
45.9
50.9
202
2
2-0
0.0
0.3
1.0
5.5
42.3
54.4
202
2-0
0.0
0.2
0.8
4.0
36.9
43.9
202
2-0
3
202
0.1
0.3
1.3
7.6
81.2
74.4
-01
202
0.0
0.2
1.0
6.0
50.7
56.8
202
2-0
2
202
0.0
0.3
1.0
5.6
49.7
43.1
202
2
0.0
0.2
0.8
5.1
42.1
43.8
1
0.0
0.2
1.0
6.1
47.6
43.7
202
1-1
0.0
0.2
0.9
5.1
47.9
39.9
0
0.0
0.2
0.9
5.5
54.5
52.4
202
1-1
202
6
0.1
0.0
0.1
0.0
0.0
0.0
0.3
0.2
0.3
0.2
0.2
0.2
1.4
1.0
1.2
1.0
0.9
1.1
7.1
5.6
6.6
5.5
4.6
5.3
56.8 38.9 45.2 52.4 38.7 50.1
48.9 35.9 42.5 45.2 38.6 46.5
Total Turnover to NAV Ratio
2-0
0.1
0.3
1.1
6.7
53.8
49.1
1-1
202
2-0
7
202
2-0
3
4
202
2-0
2
0.1
0.2
1.1
6.2
46.5
38.8
2-0
-01
202
2
0.1
0.2
1.0
5.9
44.8
31.8
202
202
2-0
5
1
202
1-1
0.1
0.3
1.1
6.7
46.5
38.5
202
2
0
202
1-1
9
1-1
0.0
0.2
0.9
5.2
48.7
39.9
1-0
202
0.1
0.2
1.0
5.6
48.5
36.9
7
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
-08
202
0.0
0.2
0.9
5.2
46.0
34.2
202
1
7
202
1
0.1
0.2
0.8
5.0
42.5
30.9
202
1-0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
1-0
Total Turnover ($ Billions)
January 9, 2024
D
Analytics Office
Region and Country Exposure
Table 37: Large Hedge Fund Adviser Hedge Fund
Region Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.
Region
North America
Europe EEA
Asia
Europe Other
South America
Supranational
Middle East
Africa
2021Q3
5,849
1,595
800
314
87
51
31
33
2021Q4
5,944
1,482
768
306
86
48
30
27
2022Q1
5,865
1,637
718
418
93
42
27
29
2022Q2
5,581
1,480
713
324
81
38
26
22
2022Q3
5,426
1,433
737
336
81
32
46
21
2022Q4
5,547
1,658
750
356
86
27
26
24
2023Q1
5,855
1,530
732
372
83
34
26
21
2023Q2
6,179
1,455
753
393
90
36
31
23
Table 38: Large Hedge Fund Adviser Hedge Fund
Region Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.
Region
North America
Europe EEA
Asia
Europe Other
South America
Supranational
Middle East
Africa
2021Q3
128.5
35.1
17.6
6.9
1.9
1.1
0.7
0.7
2021Q4
131.0
32.7
16.9
6.7
1.9
1.1
0.7
0.6
2022Q1
132.2
36.9
16.2
9.4
2.1
0.9
0.6
0.7
2022Q2
132.0
35.0
16.9
7.7
1.9
0.9
0.6
0.5
32
2022Q3
131.4
34.7
17.9
8.1
2.0
0.8
1.1
0.5
2022Q4
133.9
40.0
18.1
8.6
2.1
0.7
0.6
0.6
2023Q1
136.7
35.7
17.1
8.7
1.9
0.8
0.6
0.5
2023Q2
143.0
33.7
17.4
9.1
2.1
0.8
0.7
0.5
January 9, 2024
Analytics Office
Table 39: Large Hedge Fund Adviser Hedge Fund
Country Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.
Country
United States
Japan
China (Inc. Hong Kong)
India
Brazil
Russia
2021Q3
5,479
233
251
53
33
16
2021Q4
5,548
217
239
51
33
16
2022Q1
5,549
213
204
48
39
5
2022Q2
5,287
240
198
47
34
5
2022Q3
5,148
266
174
49
34
5
2022Q4
5,276
337
171
44
34
3
2023Q1
5,556
332
171
44
31
3
2023Q2
5,887
354
138
50
40
3
2023Q1
129.8
7.8
4.0
1.0
0.7
0.1
2023Q2
136.2
8.2
3.2
1.2
0.9
0.1
Table 40: Large Hedge Fund Adviser Hedge Fund
Country Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.
Country
United States
Japan
China (Inc. Hong Kong)
India
Brazil
Russia
2021Q3
120.4
5.1
5.5
1.2
0.7
0.3
2021Q4
122.3
4.8
5.3
1.1
0.7
0.3
2022Q1
125.1
4.8
4.6
1.1
0.9
0.1
33
2022Q2
125.0
5.7
4.7
1.1
0.8
0.1
2022Q3
124.7
6.4
4.2
1.2
0.8
0.1
2022Q4
127.3
8.1
4.1
1.1
0.8
0.1
January 9, 2024
VIII
A
Analytics Office
Qualifying Hedge Fund Specific Information
Economic Leverage
Figure 10: Ratio of Qualifying Hedge Fund Gross Notional Exposure to Net Asset Value
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 9, 10, 26, and 30.
-0 6
202
3
3-0
202
1.0
1.1
1.7
3.2
8.3
3.6
202
3
3-0
202
1.0
1.1
1.7
3.2
8.1
3.4
-06
3-0
202
5
3-0
202
1.0
1.1
1.6
2.8
6.8
3.2
5
202
3 -0
3
202
2
3-0
1.0
1.1
1.6
3.1
7.8
3.4
4
202
3 -0
2
1.0
1.1
1.6
3.1
7.5
3.4
202
3-0
2-1
202
1.0
1.1
1.6
2.9
6.6
3.2
202
2-1
202
1.0
1.1
1.6
2.9
7.1
3.3
4
202
3-0
1
1.0
1.1
1.7
2.9
7.6
3.3
1
0
202
2-1
9
2-0
1.0
1.1
1.6
2.7
6.2
3.0
3-0
3
202
2-1
2
1.0
1.1
1.7
2.8
6.7
3.2
202
2-0
2-0
202
2-0
1.0
1.2
1.7
2.8
6.9
3.2
202
6
5
2-0
202
34
1.0
1.1
1.6
2.7
6.6
3.1
1
202
2-1
1
1.0
1.2
1.9
3.7
11.7
5.3
2
202
1.1
1.3
2.0
4.3
13.5
5.9
1.0
1.1
1.7
2.9
6.9
3.2
0
202
2 -0
9
1.1
1.3
2.0
4.2
12.8
5.4
2-1
202
2 -0
8
1.0
1.2
1.9
3.5
10.2
4.9
8
1.1
1.3
2.0
4.0
11.7
5.8
7
1.1
1.2
1.9
4.0
11.2
5.5
202
2 -0
6
202
2-0
7
1.0
1.2
1.9
3.6
10.0
4.9
202
1.1
1.3
1.9
3.9
11.0
5.4
1.0
1.1
1.7
2.9
6.6
3.1
202
2-0
5
1.1
1.3
2.0
4.2
12.0
5.5
2-0
4
1.0
1.2
1.9
3.6
9.4
4.8
202
3
3
1.0
1.1
1.6
2.9
6.9
3.2
1.1
1.3
1.9
3.9
10.5
5.2
2-0
4
202
2-0
1.0
1.1
1.7
3.2
7.7
3.4
1.1
1.1
1.0
1.1
1.3
1.3
1.2
1.3
2.0
2.0
1.9
2.0
3.8
3.9
3.7
4.0
9.9 10.7 10.1 10.7
5.2
5.4
5.1
5.1
Excluding IRDs
202
2
202
2-0
2-0
2
1.0
1.1
1.8
3.2
7.5
3.5
202
2-0
1
202
2-0
1.0
1.1
1.7
2.9
6.8
3.2
202
2
1-1
2
202
1-1
1.0
1.2
1.7
3.3
7.6
3.5
202
1-1
0
1.0
1.1
1.7
3.2
7.9
3.5
202
9
1-0
1-0
202
202
1.0
1.1
1.6
3.1
7.1
3.3
-01
1.0
1.2
1.9
3.6
9.7
5.2
1.0
1.1
1.6
3.1
7.4
3.3
2
202
1.1
1.3
2.0
4.1
11.8
5.8
1.0
1.1
1.7
3.2
7.1
3.4
1
202
1.1
1.3
2.0
4.1
11.5
5.7
1-1
202
1-1
1.0
1.2
1.9
3.5
10.9
5.2
1
1.1
1.3
2.0
4.2
12.2
6.4
202
1-0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
9
1.1
1.3
1.9
4.0
11.8
6.2
1-1
0
202
1.0
1.3
1.9
3.7
10.9
5.4
8
202
1-0
7
202
1.1
1.2
1.9
3.8
11.7
5.7
1-0
202
1.1
1.3
1.9
3.9
11.4
5.6
7
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1-0
8
Including Interest Rate Derivatives (IRDs)
1.0
1.1
1.6
2.9
7.7
3.3
January 9, 2024
Analytics Office
Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and
Short Notional Exposure (SNE) to Net Asset Value
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 9, 10, 26, and 30.
35
5
6
3-0
202
3 -0
0.0
0.1
0.4
1.4
4.3
1.5
0.0
0.1
0.4
1.5
4.6
1.6
0.0
0.1
0.4
1.2
3.9
1.4
-06
-06
5
5
0.0
0.2
0.6
2.0
7.6
2.9
1.0
1.0
1.3
2.1
4.3
2.2
0.0
0.2
0.5
1.8
7.1
2.7
202
3-0
6
5
0.0
0.2
0.6
1.9
7.0
2.7
202
3
3-0
3-0
0.0
0.2
0.5
1.7
5.5
2.3
1.0
1.1
1.5
2.5
6.0
3.2
202
3
4
3-0
202
4
3-0
202
3-0
4
1.0
1.1
1.4
2.2
4.7
2.3
202
3
202
202
1.0
1.1
1.4
2.3
4.6
2.3
202
202
3-0
3
1.0
1.2
1.6
2.7
7.3
3.5
202
3-0
0.0
0.1
0.4
1.4
4.0
1.4
1.0
1.1
1.5
2.6
7.1
3.3
202
3-0
4
0.0
0.1
0.4
1.3
4.2
1.4
0.0
0.1
0.4
1.4
3.7
1.4
3-0
3-0
2
202
3-0
3
2
0.0
0.2
0.6
1.9
6.6
2.8
202
3-0
0.0
0.2
0.6
1.9
6.1
2.6
1.0
1.0
1.3
2.1
4.1
2.2
202
-01
202
3-0
2
1
3-0
1.0
1.1
1.4
2.2
4.5
2.3
202
202
1.0
1.1
1.4
2.2
4.5
2.3
202
1.0
1.1
1.5
2.4
5.7
3.1
3-0
1
2-1
2
1.0
1.1
1.5
2.6
5.9
3.5
202
2
2-1
202
1
1.0
1.1
1.5
2.6
6.0
3.4
0.0
0.2
0.5
1.8
6.0
2.4
202
1
0.0
0.1
0.4
1.4
4.0
1.5
202
3
202
2
2-1
202
1
2-1
1.0
1.0
1.3
2.1
4.0
2.1
2-1
0.0
0.2
0.6
1.9
6.3
2.7
2-1
0
2-1
1
202
2-1
0
202
2-1
0
1.0
1.1
1.5
2.4
5.5
3.0
202
2-1
-10
0.0
0.1
0.4
1.5
3.8
1.4
1.0
1.1
1.4
2.1
4.1
2.2
202
9
202
9
202
202
9
2-0
0.0
0.1
0.4
1.3
3.3
1.3
0.0
0.2
0.6
2.0
6.3
2.5
202
2
2-0
202
8
0.0
0.2
0.6
1.7
5.4
2.2
202
0.0
0.1
0.4
1.3
3.5
1.3
1.0
1.1
1.4
2.2
4.2
2.2
9
2-0
8
2-0
2-0
1.0
1.0
1.3
2.0
3.8
2.0
1.0
1.1
1.5
2.5
6.1
3.3
3-0
3
0.0
0.1
0.4
1.3
3.5
1.3
1.0
1.2
1.5
2.6
6.5
3.4
202
3-0
2
0.0
0.1
0.4
1.3
3.5
1.3
202
2-0
7
2-0
6
5
4
2-0
202
0.0
0.1
0.4
1.4
3.8
1.4
202
2-0
8
2-0
8
2-0
202
2-0
7
6
202
2-0
5
-04
2-0
202
202
202
2-0
0.0
0.1
0.4
1.3
3.6
1.3
202
7
2-0
202
202
2-0
6
5
-04
2-0
202
202
2-0
3
202
2
202
2
2-0
3
0.0
0.1
0.4
1.4
3.6
1.4
202
2-0
3
0.0
0.0
0.0
0.0
0.0
0.0
0.2
0.2
0.2
0.2
0.2
0.2
0.5
0.6
0.5
0.5
0.6
0.6
1.7
1.8
1.9
1.8
1.9
1.9
6.4
6.1
6.2
5.8
5.9
6.3
2.6
2.4
2.5
2.4
2.4
2.6
Short Exposure Excluding IRDs
1.0
1.1
1.5
2.4
5.1
2.9
202
7
2-0
202
202
6
5
2-0
2-0
202
-03
2-0
4
202
202
202
2
202
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.1
1.1
1.0
1.1
1.1
1.3
1.4
1.4
1.3
1.4
1.4
2.1
2.1
2.1
2.0
2.1
2.1
3.9
4.0
4.0
3.8
4.0
3.9
2.1
2.1
2.2
2.1
2.2
2.1
Short Exposure Including IRDs
202
-02
0.0
0.1
0.5
1.5
3.8
1.5
1.0
1.0
1.0
1.0
1.0
1.0
1.1
1.1
1.1
1.1
1.2
1.1
1.4
1.5
1.5
1.5
1.5
1.5
2.4
2.5
2.5
2.4
2.6
2.5
5.5
5.7
6.0
5.3
5.9
5.6
3.1
3.2
3.2
3.0
3.2
3.2
Long Exposure Excluding IRDs
202
2-0
2
2-0
2
0.0
0.2
0.6
1.9
7.1
2.8
2-0
2
2-0
1
-12
202
2
202
-01
0.0
0.1
0.5
1.5
3.9
1.6
1.0
1.1
1.4
2.2
4.4
2.2
202
-01
-01
0.0
0.2
0.6
1.8
7.3
2.7
1.0
1.1
1.5
2.6
6.3
3.4
202
202
202
2
202
2
1-1
2
1-1
2
0.0
0.1
0.4
1.3
3.8
1.4
1.0
1.1
1.4
2.2
4.3
2.3
202
2
202
202
0.0
0.2
0.5
1.7
6.4
2.7
1.0
1.1
1.5
2.7
6.2
3.4
202
3-0
1
0.0
0.1
0.5
1.5
4.0
1.5
1.0
1.1
1.3
2.1
4.0
2.1
202
1-1
1
1-1
1
0.0
0.2
0.6
1.9
7.1
3.1
1-1
2
202
1
-11
202
1
1-1
1
202
-10
0.0
0.1
0.5
1.6
4.1
1.6
1.0
1.1
1.4
2.2
4.3
2.3
202
-10
1-0
9
0.0
0.1
0.4
1.3
3.8
1.4
0
0.0
0.2
0.6
1.9
7.1
3.1
1.0
1.1
1.5
2.5
5.9
3.2
202
9
1-1
0
202
1-0
1-0
9
1-0
9
202
1
202
0.0
0.1
0.5
1.7
6.0
2.5
202
1-1
8
1-0
0.0
0.1
0.4
1.3
3.9
1.4
1.0
1.1
1.4
2.2
4.5
2.3
1.0
1.1
1.5
2.7
6.2
3.7
2-1
2
0.0
0.1
0.4
1.3
3.9
1.5
202
1-0
202
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1.0
1.1
1.5
2.7
6.6
3.7
202
1
8
0.0
0.2
0.5
1.7
6.3
2.6
202
8
8
202
1-0
1-0
202
0.0
0.2
0.6
1.7
6.8
2.5
7
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1.0
1.0
1.3
2.2
4.3
2.2
202
1.0
1.1
1.3
2.1
4.4
2.3
1.0
1.1
1.5
2.5
5.8
3.2
202
1-0
1-0
1-0
1-0
202
1.0
1.1
1.4
2.2
4.4
2.3
1.0
1.1
1.5
2.5
6.3
3.5
7
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
202
1.0
1.1
1.5
2.7
6.5
3.5
7
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
7
Long Exposure Including IRDs
0.0
0.1
0.4
1.5
4.2
1.5
January 9, 2024
B
Analytics Office
Gross Exposure by Strategy5
Table 41: Exposures of Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Other
Relative Value
Macro
Credit
Event Driven
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Conv. Arb.
Volatility Arb.
F.I. Corp.
Subtotal
Global Macro
Commodity
Currency
Active Trading
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Quantitative
Fundamental
Subtotal
Total
2021Q3
2,229
1,201
649
***
***
1,427
1,035
691
100
126
57
61
893
790
66
34
4
453
348
105
449
202
141
107
246
***
***
57
6,789
2021Q4
2,250
1,211
643
396
0
1,456
1,063
709
102
123
65
63
794
704
54
***
***
479
359
119
458
205
145
108
222
***
***
65
6,787
2022Q1
2,029
1,098
577
***
***
1,483
1,043
676
110
112
74
70
856
745
73
***
***
485
359
127
429
202
136
91
238
***
***
75
6,637
2022Q2
1,773
969
467
***
***
1,441
1,028
684
113
89
79
62
874
744
88
39
2
482
350
132
403
201
112
90
215
***
***
69
6,284
2022Q3
1,676
930
414
***
***
1,427
969
638
115
84
72
60
886
748
92
44
2
507
367
140
394
201
101
93
258
***
***
68
6,185
2022Q4
1,757
980
438
***
***
1,458
950
627
121
82
54
66
999
902
58
37
2
527
378
149
371
203
96
72
196
***
***
71
6,330
2023Q1
1,793
995
448
***
***
1,487
1,035
706
103
88
76
61
897
820
44
***
***
543
390
154
382
201
106
75
195
***
***
84
6,416
2023Q2
1,887
1,064
453
***
***
1,512
1,091
722
129
94
85
61
995
924
40
***
***
538
369
168
397
210
102
85
287
***
***
86
6,793
5
Form PF Question 20 requires advisers to indicate which strategies best describe the reporting fund’s strategies
including a good faith estimate of the reporting fund’s allocation among strategies, and provides a list of investment
strategies for this purpose. Form PF does not define the investment strategies listed by Question 20.
36
January 9, 2024
Analytics Office
Table 42: Exposures of Hedge Funds (Percent of NAV)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Other
Relative Value
Macro
Credit
Event Driven
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Conv. Arb.
Volatility Arb.
F.I. Corp.
Subtotal
Global Macro
Commodity
Currency
Active Trading
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Quantitative
Fundamental
Subtotal
Total
2021Q3
53.5
28.8
15.6
***
***
34.2
24.9
16.6
2.4
3.0
1.4
1.5
21.4
19.0
1.6
0.8
0.1
10.9
8.4
2.5
10.8
4.8
3.4
2.6
5.9
***
***
1.4
163.0
2021Q4
53.7
28.9
15.4
9.4
0.0
34.8
25.4
16.9
2.4
2.9
1.5
1.5
18.9
16.8
1.3
***
***
11.4
8.6
2.9
10.9
4.9
3.5
2.6
5.3
***
***
1.6
162.0
37
2022Q1
48.9
26.5
13.9
***
***
35.7
25.1
16.3
2.7
2.7
1.8
1.7
20.6
18.0
1.8
***
***
11.7
8.7
3.0
10.3
4.9
3.3
2.2
5.7
***
***
1.8
160.0
2022Q2
45.7
25.0
12.0
***
***
37.1
26.5
17.6
2.9
2.3
2.0
1.6
22.5
19.2
2.3
1.0
0.1
12.4
9.0
3.4
10.4
5.2
2.9
2.3
5.5
***
***
1.8
162.0
2022Q3
44.4
24.7
11.0
***
***
37.8
25.7
16.9
3.0
2.2
1.9
1.6
23.5
19.8
2.4
1.2
0.1
13.5
9.7
3.7
10.5
5.3
2.7
2.5
6.8
***
***
1.8
164.0
2022Q4
46.3
25.8
11.6
***
***
38.5
25.1
16.5
3.2
2.2
1.4
1.7
26.3
23.8
1.5
1.0
0.1
13.9
10.0
3.9
9.8
5.4
2.5
1.9
5.2
***
***
1.9
166.9
2023Q1
46.2
25.6
11.6
***
***
38.3
26.7
18.2
2.7
2.3
2.0
1.6
23.1
21.1
1.1
***
***
14.0
10.0
4.0
9.8
5.2
2.7
1.9
5.0
***
***
2.2
165.3
2023Q2
47.9
27.0
11.5
***
***
38.4
27.7
18.3
3.3
2.4
2.2
1.6
25.3
23.4
1.0
***
***
13.7
9.4
4.3
10.1
5.3
2.6
2.2
7.3
***
***
2.2
172.4
January 9, 2024
C
Analytics Office
Leverage by Strategy
Table 43: Asset Weighted-Average Ratio of GAV to NAV
by Strategy
As reported on Form PF, Questions 8, 9, 10, and 20.
Strategy
Relative Value
Macro
Multi-Strategy
Credit
Equity
Managed Futures/CTA
Other
Investment in other funds
Event Driven
2021Q3
7.0
4.8
3.3
1.5
1.5
1.5
1.5
1.3
1.4
2021Q4
7.0
4.2
3.4
1.6
1.5
1.4
1.5
1.3
1.4
2022Q1
6.0
4.5
3.1
1.6
1.6
1.5
1.4
1.2
1.4
2022Q2
6.5
4.3
3.0
1.6
1.6
1.9
1.4
1.5
1.4
2022Q3
6.2
4.5
2.9
1.7
1.6
1.6
1.5
1.4
1.3
2022Q4
5.9
4.9
3.5
1.7
1.6
1.5
1.5
1.3
1.3
2023Q1
5.8
5.0
3.6
1.7
1.6
1.6
1.5
1.3
1.3
2023Q2
6.2
5.6
3.9
1.8
1.7
1.5
1.4
1.4
1.3
Table 44: Asset Weighted-Average Ratio of GNE to NAV
by Strategy
As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month).
Strategy
Macro
Relative Value
Managed Futures/CTA
Multi-Strategy
Investment in other funds
Credit
Equity
Other
Event Driven
2021Q3
34.6
26.4
22.9
16.2
3.3
3.0
2.9
3.2
2.0
2021Q4
32.9
27.1
16.9
16.0
3.3
3.1
3.1
3.1
1.9
2022Q1
33.0
25.4
15.0
14.9
2.8
3.2
2.9
3.1
1.9
2022Q2
29.2
24.8
16.5
13.2
4.1
3.1
2.9
2.9
2.0
2022Q3
29.6
23.8
14.0
11.0
3.9
3.2
2.9
2.9
1.8
2022Q4
34.9
21.3
14.3
14.5
3.0
3.2
2.9
2.9
1.8
2023Q1
37.3
23.1
12.1
14.1
5.8
3.4
3.0
2.8
2.1
2023Q2
36.8
25.5
17.1
14.8
3.6
3.5
3.1
2.7
2.1
Table 45: Asset Weighted-Average Percent of Unencumbered Cash
by Strategy
As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month).
Strategy
Macro
Managed Futures/CTA
Relative Value
Multi-Strategy
Investment in other funds
Equity
Other
Event Driven
Credit
2021Q3
42.3
42.7
21.1
25.4
1.6
8.1
11.6
7.7
8.8
2021Q4
42.8
48.2
21.8
26.1
8.2
8.5
11.8
8.1
8.3
2022Q1
44.1
51.0
23.3
23.9
4.9
10.3
11.3
10.7
6.8
38
2022Q2
44.1
56.0
23.8
27.7
6.8
12.7
11.5
9.6
8.3
2022Q3
42.2
54.2
25.0
27.9
5.5
13.6
12.3
10.0
7.3
2022Q4
45.7
49.3
23.5
30.5
6.1
13.8
11.5
9.8
8.9
2023Q1
43.1
39.9
25.9
27.3
7.5
12.4
9.6
8.1
8.5
2023Q2
41.3
38.8
26.6
25.7
11.3
11.1
9.0
8.4
7.4
January 9, 2024
D
Analytics Office
Investment Exposures
Table 46: Aggregate Qualifying Hedge Fund Gross Notional Exposure
by Asset Type ($ Billions)
As reported on Form PF, Questions 26 and 30.
Interest Rate Derivatives
Foreign Exchange Derivatives
Repurchase Agreements
Non-Financial Listed Equities
U.S. Treasury Securities
Non-Financial Equity Derivatives
Sovereign Bonds - Non-U.S. G10
Credit Derivatives
Non-Financial Unlisted Equities
Cash/Cash Equivalents - Other
Commodity Derivatives
Financial Listed Equities
Leveraged Loans
Non-Financial Corporate Bonds
Non-U.S. Currency Holdings
Cash/Cash Equivalents - Deposits
Sovereign Bonds - Other
Other Derivatives
MBS
Physical Real Estate
Other Private Funds
Cash/Cash Equivalents - MMFs
Other ABS/Structured Products
Other Loans (Excluding Repo)
Non-Financial Convertible Bonds
Other
Financial Equity Derivatives
Financial Corporate Bonds
U.S. Agency and GSE Securities
CDO/CLO
Financial Unlisted Equities
U.S. State and Local Bonds
Registered Investment Companies
Financial Convertible Bonds
Physical Commodities
2021Q3
7,640
4,077
2,270
2,712
1,735
1,595
1,472
783
416
534
455
361
247
272
254
240
332
188
212
146
175
181
60
133
178
98
105
73
52
38
27
21
16
9
7
2021Q4
7,476
3,973
2,221
2,751
1,760
1,578
1,412
759
465
573
393
376
261
280
216
218
308
207
205
166
183
208
59
141
173
112
105
71
46
39
29
22
16
9
6
2022Q1
7,770
3,819
2,197
2,488
1,690
1,775
1,373
750
477
854
424
348
274
272
231
216
267
215
170
176
184
199
63
144
154
110
101
76
47
39
30
19
17
8
9
39
2022Q2
7,165
3,415
2,167
2,120
1,523
1,482
1,377
809
478
527
399
307
277
248
261
224
209
219
189
186
186
228
55
149
125
118
93
71
56
36
27
17
15
7
9
2022Q3
6,606
3,407
2,074
2,020
1,493
1,459
1,311
740
478
509
374
285
281
246
220
221
181
210
183
171
184
218
57
151
119
112
84
68
46
36
26
18
14
6
3
2022Q4
7,256
3,068
2,136
2,092
1,671
1,465
1,471
683
483
519
360
307
295
254
220
240
197
242
180
186
175
215
56
155
118
113
87
79
60
40
37
16
15
6
6
2023Q1
7,238
3,354
2,349
2,200
1,814
1,496
1,386
739
498
469
387
312
310
265
225
301
208
220
179
191
175
187
56
153
123
114
93
75
41
41
39
16
16
8
4
2023Q2
7,159
3,676
2,513
2,321
2,176
1,587
1,399
848
509
493
374
338
323
281
257
248
221
218
208
203
177
174
161
160
128
120
107
80
69
41
35
18
16
7
4
January 9, 2024
Analytics Office
Table 47: Percent of Qualifying Hedge Fund Gross Notional Exposure
Representing Long Notional Exposure
As reported on Form PF, Questions 26 and 30.
Interest Rate Derivatives
Foreign Exchange Derivatives
Repurchase Agreements
Non-Financial Listed Equities
U.S. Treasury Securities
Non-Financial Equity Derivatives
Sovereign Bonds - Non-U.S. G10
Credit Derivatives
Non-Financial Unlisted Equities
Cash/Cash Equivalents - Other
Commodity Derivatives
Financial Listed Equities
Leveraged Loans
Non-Financial Corporate Bonds
Non-U.S. Currency Holdings
Cash/Cash Equivalents - Deposits
Sovereign Bonds - Other
Other Derivatives
MBS
Physical Real Estate
Other Private Funds
Cash/Cash Equivalents - MMFs
Other ABS/Structured Products
Other Loans (Excluding Repo)
Non-Financial Convertible Bonds
Other
Financial Equity Derivatives
Financial Corporate Bonds
U.S. Agency and GSE Securities
CDO/CLO
Financial Unlisted Equities
U.S. State and Local Bonds
Registered Investment Companies
Financial Convertible Bonds
Physical Commodities
2021Q3
48.5
57.0
46.8
71.4
57.2
51.4
48.5
47.0
99.8
73.3
63.8
73.5
98.0
79.1
56.8
72.8
70.2
61.9
71.9
***
99.9
***
85.3
91.7
97.7
96.0
60.1
87.1
65.0
***
99.7
***
97.9
95.0
98.4
2021Q4
47.8
55.2
48.5
71.8
56.9
51.9
48.5
44.5
99.9
71.9
65.2
73.1
98.0
74.5
62.5
74.9
64.2
51.6
70.0
***
99.9
***
84.2
90.7
97.9
94.8
55.5
86.4
62.8
***
99.7
98.6
97.8
96.2
***
2022Q1
48.1
56.0
49.0
70.3
59.2
56.9
47.9
43.0
99.7
67.2
64.3
71.4
98.2
77.2
61.7
71.9
63.4
50.5
78.4
***
99.9
***
80.7
91.4
97.3
93.4
54.2
86.5
55.3
***
99.7
98.9
98.1
96.7
99.8
40
2022Q2
47.4
55.2
48.5
68.2
62.8
50.6
48.2
40.2
99.8
77.3
59.9
69.5
98.7
75.4
60.8
67.3
58.6
44.8
81.7
***
99.9
99.9
83.5
91.6
97.2
90.7
55.6
87.0
52.8
86.3
99.9
***
98.8
96.3
99.4
2022Q3
47.0
54.6
47.2
67.8
60.0
48.3
49.7
41.1
99.9
78.5
55.4
68.6
97.6
76.4
62.1
63.6
60.7
41.9
83.6
***
99.9
***
82.3
89.4
97.5
90.0
55.5
86.3
61.7
86.7
99.9
99.2
98.3
96.3
***
2022Q4
50.6
53.0
46.5
67.4
59.2
51.5
48.2
47.7
99.6
77.4
59.1
68.1
97.5
76.8
66.1
64.5
63.5
40.8
83.6
***
100.0
99.9
86.5
91.3
97.7
86.4
59.0
88.6
58.8
88.1
99.9
98.8
98.5
98.1
93.9
2023Q1
48.3
53.8
43.2
66.8
61.5
50.4
48.9
45.9
99.8
81.7
57.5
67.5
97.8
76.2
59.1
65.0
69.0
58.7
84.3
***
***
***
86.2
90.3
98.4
85.7
56.9
82.2
70.5
87.5
99.9
99.3
99.0
98.5
96.9
2023Q2
46.8
55.6
40.0
66.7
56.2
51.4
46.6
47.3
99.8
80.2
55.9
66.7
97.6
75.9
60.7
69.6
69.2
51.5
84.0
***
100.0
***
91.1
90.1
98.5
83.4
58.3
80.7
59.7
87.6
99.9
***
98.8
97.8
98.2
January 9, 2024
E
Analytics Office
Number of Positions
Figure 12: Number of Positions Reported by Qualifying Hedge Funds
202
3-0
2
202
202
3 -0
202
202
3-0
6
3-0
5
202
3 -0
1
4
202
3 -0
3
202
2
202
2 -1
0
13
50
171
620
2,172
2,850
12
50
173
626
2,204
2,926
12
49
164
592
2,027
2,825
13
49
170
609
2,219
2,999
13
49
166
607
2,249
3,034
13
49
158
558
1,930
2,877
12
49
168
594
2,092
3,000
12
50
164
591
2,129
3,109
12
48
157
557
1,884
2,994
12
49
164
570
2,128
2,845
12
49
162
582
2,179
2,912
12
48
150
553
1,942
2,820
2-1
202
12
47
157
564
2,012
2,688
2-0
2 -1
1
2-0
202
12
49
165
622
2,321
2,790
1-0
9
202
2-0
7
12
49
169
605
2,082
2,674
41
8
202
202
2-0
6
2-0
202
13
47
164
575
2,010
2,365
1-0
5
202
13
50
176
623
2,048
2,490
2-0
202
13
50
177
624
2,009
2,403
2-0
3
202
14
47
162
575
1,925
2,291
2-0
2
202
1-1
14
51
170
627
2,053
2,440
2-0
1
-11
202
1
14
51
173
617
2,033
2,397
2
202
1-1
13
48
159
587
1,888
2,315
0
9
1-0
202
14
51
167
613
2,010
2,393
8
202
14
51
168
593
1,950
2,377
7
202
Month
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
4
As reported on Form PF, Question 34.
January 9, 2024
F
Analytics Office
Liquidity
Table 48: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 50.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2021Q3
7.5
11.1
23.1
40.2
52.3
63.5
2021Q4
7.5
11.0
23.1
42.9
50.3
62.8
2022Q1
7.5
10.9
23.4
39.8
50.1
62.2
2022Q2
5.8
8.6
19.9
36.7
47.0
60.4
2022Q3
5.5
8.2
18.9
35.6
47.4
59.1
2022Q4
5.6
8.2
18.5
37.8
45.6
58.5
2023Q1
5.4
7.5
18.6
34.5
45.4
56.7
2023Q2
5.6
7.8
17.9
34.1
44.3
56.5
Table 49: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 26, 30, and 32.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2021Q3
33.3
53.2
66.1
73.0
77.3
82.2
2021Q4
33.7
52.9
65.7
72.5
77.0
81.9
2022Q1
35.4
53.5
64.9
71.1
75.5
80.5
2022Q2
33.6
51.5
62.3
68.4
73.5
79.3
2022Q3
33.6
50.4
61.3
67.6
72.8
78.6
2022Q4
32.3
49.4
60.3
66.4
71.8
77.9
2023Q1
31.5
49.0
59.1
65.2
70.8
76.5
2023Q2
31.3
49.1
59.6
65.7
70.7
76.7
Figure 13: Asset Weighted-Average Qualifying Hedge Fund
Investor and Portfolio Liquidity
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of Second Calendar Quarter 2023
Statistic
Port. Liquidity
Inv. Liquidity
At most 1 day
31.3
5.6
At most 7 days
49.1
7.8
At most 30 days
59.6
17.9
At most 90 days
65.7
34.1
At most 180 days
70.7
44.3
At most 365 days
76.7
56.5
Table 50: Restrictions on Qualifying Hedge Fund Assets ($ Billions)
As reported on Form PF, Questions 48 and 49.
Type
May Suspend
May Have Gates
Side-Pocketed
Gated
Suspended
2021Q3
2,981
1,926
110
84
18
2021Q4
2,924
1,885
114
84
18
2022Q1
2,884
1,878
104
74
17
2022Q2
2,660
1,847
97
74
14
42
2022Q3
2,534
1,754
96
75
13
2022Q4
2,499
1,728
90
81
20
2023Q1
2,562
1,757
87
80
22
2023Q2
2,574
1,762
90
81
23
January 9, 2024
Analytics Office
Figure 14: Percentage of Qualifying Hedge Fund NAV
Subject to a Side-Pocket Arrangement
As reported on Form PF, Questions 9 and 48.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2021Q3
2.0
4.0
12.0
25.2
48.0
19.6
2021Q4
2.0
5.0
13.5
28.3
50.0
20.6
2022Q1
2.0
5.0
14.0
30.0
55.0
21.9
2022Q2
2.0
5.5
13.0
31.0
55.0
21.5
43
2022Q3
2.0
6.0
13.0
31.0
59.0
21.6
2022Q4
2.0
6.0
12.0
26.0
44.0
19.3
2023Q1
2.0
5.0
10.0
24.0
47.0
18.6
2023Q2
1.0
5.0
11.5
27.8
44.0
19.4
January 9, 2024
G
Analytics Office
Borrowings
Table 51: Borrowings of Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Question 43 (Third Month).
Type
Secured
Unsecured
Total
Subtype
Subtotal
Reverse Repo
Prime Broker
Other Secured
Subtotal
Total
2021Q3
3,671
1,205
1,919
547
32
3,704
2021Q4
3,747
1,151
1,964
633
49
3,796
2022Q1
3,531
1,090
1,842
599
39
3,570
2022Q2
3,397
1,150
1,659
588
34
3,431
2022Q3
3,300
1,143
1,590
567
36
3,336
2022Q4
3,431
1,215
1,634
582
39
3,470
2023Q1
3,709
1,432
1,706
570
40
3,748
2023Q2
4,008
1,636
1,824
547
38
4,046
Table 52: Aggregate Borrowing by Creditor Entity Type (Percent)
As reported on Form PF, Question 43 (Third Month).
Creditor Type
US Financial
Non-US Financial
US Non-Financial
Non-US Non-Financial
2021Q3
64.5
34.8
0.6
0.1
2021Q4
65.3
33.9
0.7
0.2
2022Q1
63.7
35.4
0.9
0.0
2022Q2
63.9
35.4
0.7
0.0
2022Q3
65.1
33.8
1.1
0.0
2022Q4
64.1
34.8
1.0
0.1
2023Q1
63.6
35.5
0.8
0.0
2023Q2
64.2
35.1
0.7
0.0
Table 53: Aggregate Collateral for Secured Borrowings
of Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Question 43 (Third Month).
Borrowing Type
Prime Broker
Reverse Repo
Other Secured
Total
Collateral Type
Subtotal
Other
Cash
Subtotal
Other
Cash
Subtotal
Other
Cash
Total
2021Q3
2,433
1,582
852
1,271
908
363
709
522
186
4,413
2021Q4
2,408
1,586
822
1,204
826
378
755
520
235
4,367
2022Q1
2,236
1,471
765
1,141
766
375
727
528
199
4,103
44
2022Q2
1,971
1,321
650
1,196
815
381
734
561
173
3,902
2022Q3
1,921
1,277
644
1,185
786
399
723
562
161
3,829
2022Q4
2,025
1,353
672
1,262
788
473
729
535
194
4,016
2023Q1
2,123
1,423
700
1,475
940
535
727
566
161
4,325
2023Q2
2,239
1,504
734
1,677
1,028
649
721
561
160
4,637
January 9, 2024
Analytics Office
Figure 15: Ratio of Collateral Posted to Secured Borrowing
for Qualifying Hedge Funds (Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Question 43 (Third Month).
1.0
1.0
1.1
1.4
2.0
1.3
1.0
1.0
1.1
1.4
1.9
1.3
1.0
1.0
1.1
1.4
1.9
1.3
1.0
1.0
1.1
1.4
1.8
1.2
45
***
***
***
***
***
***
1.0
1.0
1.1
1.5
1.9
1.2
1.0
1.0
1.1
1.4
1.8
1.2
1.0
1.0
1.1
1.5
1.9
1.3
***
***
***
***
***
***
0.9
1.0
1.1
1.5
1.9
1.3
1.0
1.0
1.1
1.5
1.8
1.3
0.9
1.0
1.1
1.5
2.0
1.3
-0 6
202
3
-0 6
0.9
1.0
1.3
2.2
5.1
4.5
-06
5
5
5
3-0
202
1.0
1.0
1.1
1.5
1.9
1.2
202
3
3-0
3-0
4
0.9
1.0
1.2
2.3
5.1
5.6
0.9
1.0
1.3
2.3
5.0
2.8
202
3
3-0
4
3-0
202
0.9
1.0
1.3
2.3
5.2
9.4
202
3-0
202
2
3-0
202
3-0
2-1
202
1
2-1
202
1.0
1.0
1.1
1.4
1.8
1.3
202
202
2-1
2-1
202
1.0
1.0
1.0
1.4
1.7
1.2
202
0.9
1.0
1.3
2.2
5.5
4.8
202
202
3 -0
3
1.0
1.0
1.3
2.3
6.0
11.5
4
202
3 -0
2
0.9
1.0
1.3
2.2
5.4
7.4
3-0
202
3 -0
3
202
3-0
1
0.9
1.0
1.3
2.3
5.7
4.5
0.9
1.0
1.3
2.2
4.8
3.4
202
202
3 -0
2
202
2-1
2
0.9
1.0
1.4
2.4
7.0
14.2
0.9
1.0
1.3
2.3
5.0
4.6
3
202
3-0
1
202
2-1
1
0.9
1.0
1.3
2.3
7.0
14.8
1
202
2-1
2
0.9
1.0
1.4
2.3
4.8
3.2
2
0.9
1.0
1.4
2.3
5.6
5.9
0
0
0.9
1.0
1.4
2.3
5.5
4.7
2-1
202
2-1
1
0.9
1.0
1.4
2.3
5.2
3.1
9
2-0
202
8
2-0
7
2-0
1.0
1.0
1.1
1.5
1.9
1.3
202
202
202
2-0
6
5
2-0
202
-04
202
2
2-0
3
1.0
1.0
1.1
1.4
1.8
1.3
0.8
1.0
1.4
2.3
5.8
4.6
202
202
2 -0
9
202
2 -0
8
202
2-0
7
2 -0
6
202
202
2-0
5
3
2-0
4
202
202
2-0
2
1.0
1.0
1.1
1.4
1.8
1.2
202
2-0
2
0.9
0.9
0.9
0.9
0.9
0.9
0.9
0.9
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.4
1.3
1.3
1.3
1.3
1.3
1.3
1.3
2.4
2.4
2.4
2.3
2.3
2.1
2.2
2.3
6.0
6.2
7.2
8.0
6.9
5.5
6.0
7.1
6.4
5.8
9.3
9.9
6.2
4.6
8.2
6.8
Ratio of Collateral/Reverse Repo Borrowing
0.8
1.0
1.3
2.2
5.6
5.8
0
202
2 -0
9
202
2 -0
8
2 -0
6
202
2-0
7
202
202
2-0
5
3
2-0
4
202
2
202
2-0
202
2-0
2
2-0
1
1.0
1.0
1.1
1.4
1.9
1.2
202
2-0
2-0
1
-01
1.0
1.0
1.4
2.5
6.6
6.5
0.9
0.9
0.9
0.9
0.9
0.8
0.8
0.9
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.3
1.4
1.4
1.3
1.3
1.3
1.3
1.4
2.3
2.3
2.4
2.2
2.2
2.2
2.1
2.2
5.5
5.6
6.3
5.7
5.6
5.5
5.5
5.8
3.5
3.7
4.1
3.7
3.3
4.0
4.3
4.5
Ratio of Collateral/Prime Broker Borrowing
202
202
202
2
1.0
1.0
1.1
1.4
1.8
1.2
0.9
1.0
1.4
2.3
5.2
4.1
202
2
1-1
202
1-1
202
1.0
1.0
1.3
2.4
5.8
4.4
1-1
2
1
1.0
1.0
1.1
1.4
1.9
1.2
0.9
1.0
1.3
2.3
5.3
3.4
202
1-1
1
-10
1.0
1.0
1.1
1.4
1.9
1.3
1.0
1.0
1.3
2.5
5.8
3.9
202
0.9
1.0
1.3
2.4
5.1
4.3
1
202
1-1
202
1-1
1-1
0
1-1
0
202
0.9
1.0
1.3
2.3
4.7
3.2
202
9
1-0
9
202
8
1.0
1.0
1.1
1.5
1.9
1.3
0.9
1.0
1.3
2.3
5.0
3.5
202
1
0.9
1.0
1.3
2.5
5.6
8.2
9
202
1-0
202
1-0
1-0
8
8
1-0
202
0.9
1.0
1.3
2.5
5.6
7.3
1-0
1-0
202
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.8
1.0
1.3
2.4
5.3
4.4
202
202
1
0.9
1.0
1.3
2.4
5.5
3.9
7
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.8
1.0
1.3
2.5
5.8
5.0
202
0.8
1.0
1.3
2.5
5.5
4.2
-07
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
202
1
-07
Ratio of Total Collateral/Total Secured Borrowing
1.0
1.0
1.1
1.5
2.0
1.3
January 9, 2024
Analytics Office
Table 54: Financing Liquidity for Qualifying Hedge Funds
(Percent of Available Financing)
As reported on Form PF, Question 46.
Financing Available
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2021Q3
36.4
47.7
64.8
76.6
94.4
95.5
2021Q4
26.4
42.7
63.0
77.3
93.9
95.5
2022Q1
35.5
46.2
63.6
76.6
93.9
95.1
2022Q2
36.7
47.0
64.7
76.2
92.9
94.3
2022Q3
27.1
47.0
62.2
75.5
92.8
94.2
2022Q4
25.3
41.4
61.7
75.3
91.8
94.0
2023Q1
28.4
47.8
63.6
76.3
92.8
94.6
2023Q2
27.8
48.4
63.7
77.3
92.8
94.6
Figure 16: Weighted-Average Qualifying Hedge Fund
Financing Liquidity (Percent of Available Financing)
As reported on Form PF, Question 46 as of Second Calendar Quarter 2023.
Statistic
Financing Liquidity
H
At most 1 day
27.8
At most 7 days
48.4
At most 30 days
63.7
At most 90 days
77.3
At most 180 days
92.8
At most 365 days
94.6
Central Clearing
Figure 17: Qualifying Hedge Funds Using Central Clearing
As reported on Form PF, Question 39.
Statistic
Percent of Funds
Percent of NAV
2021Q3
15.4
15.1
2021Q4
15.7
14.1
2022Q1
15.9
14.7
2022Q2
14.2
13.6
46
2022Q3
13.5
13.2
2022Q4
12.9
12.3
2023Q1
12.9
12.4
2023Q2
14.0
13.2
January 9, 2024
I
Analytics Office
Value-at-Risk (“VaR”) Reporting
Table 55: Number of Qualifying Hedge Funds Using VaR
As reported on Form PF, Question 40.
VaR Method
VaR (Any Method)
Historical Simulation
Monte Carlo Simulation
Parametric
Other
VaR Not Used
2021Q3
663
266
199
193
53
1,353
2021Q4
678
268
201
201
55
1,396
2022Q1
685
268
210
202
52
1,409
2022Q2
653
275
193
181
52
1,408
2022Q3
694
284
186
220
50
1,346
2022Q4
651
280
181
181
53
1,421
2023Q1
625
271
181
167
47
1,419
2023Q2
646
284
180
171
51
1,442
Table 56: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions)
As reported on Form PF, Questions 8 and 40.
VaR Method
VaR (Any Method)
Historical Simulation
Monte Carlo Simulation
Parametric
Other
VaR Not Used
2021Q3
4,590
2,322
984
735
1,127
3,718
2021Q4
4,467
2,198
1,014
721
1,119
3,866
2022Q1
4,449
2,154
1,029
695
1,124
3,817
2022Q2
4,317
2,146
966
625
1,114
3,605
2022Q3
4,266
2,146
916
641
1,095
3,428
2022Q4
4,326
2,174
945
556
1,220
3,501
2023Q1
4,436
2,263
938
560
1,233
3,564
2023Q2
4,770
2,500
907
577
1,389
3,668
Table 57: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions)
As reported on Form PF, Questions 9 and 40.
VaR Method
VaR (Any Method)
Historical Simulation
Monte Carlo Simulation
Parametric
Other
VaR Not Used
2021Q3
1,542
619
443
437
185
2,624
2021Q4
1,549
608
448
441
182
2,642
2022Q1
1,550
613
460
422
191
2,599
47
2022Q2
1,418
604
391
368
192
2,461
2022Q3
1,425
620
372
373
200
2,347
2022Q4
1,357
593
373
330
191
2,437
2023Q1
1,352
595
367
325
199
2,529
2023Q2
1,363
607
352
329
209
2,577
January 9, 2024
J
Analytics Office
Stress Testing and VaR
Table 58: Number of Qualifying Hedge Funds Managed Using
VaR or Market Factor Change Testing (“Stress Testing”)
As reported on Form PF, Questions 40 and 42.
Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither
2021Q3
556
472
107
881
2021Q4
562
478
116
918
2022Q1
571
479
114
930
2022Q2
581
465
72
943
2022Q3
589
458
105
888
2022Q4
578
466
73
955
2023Q1
556
469
69
950
2023Q2
576
467
70
975
Table 59: Aggregate Qualifying Hedge Fund GAV Managed
Using VaR or Stress Testing ($ Billions)
As reported on Form PF, Questions 8, 40, and 42.
Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither
2021Q3
4,226
1,538
364
2,181
2021Q4
4,076
1,555
391
2,311
2022Q1
4,108
1,548
341
2,269
2022Q2
4,084
1,450
234
2,155
2022Q3
4,001
1,384
264
2,045
2022Q4
4,099
1,398
227
2,104
2023Q1
4,216
1,386
221
2,178
2023Q2
4,528
1,427
241
2,241
Table 60: Aggregate Qualifying Hedge Fund NAV Managed
Using VaR or Stress Testing ($ Billions)
As reported on Form PF, Questions 9, 40, and 42.
Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither
2021Q3
1,288
936
254
1,688
2021Q4
1,287
922
261
1,720
2022Q1
1,302
904
248
1,695
2022Q2
1,274
850
144
1,611
48
2022Q3
1,266
821
159
1,526
2022Q4
1,220
843
138
1,594
2023Q1
1,216
860
136
1,669
2023Q2
1,226
872
137
1,705
January 9, 2024
K
Analytics Office
Stress Testing
Table 61: Number of Qualifying Hedge Funds Stressing Each Market Factor
As reported on Form PF, Question 42.
Market Factor
Equity Prices
Currency Rates
Risk Free Rates
Credit Spreads
Implied Volatilities
Commodity Prices
Bond Default Rates
ABS Default Rates
2021Q3
844
748
708
610
501
428
268
228
2021Q4
860
746
708
622
499
425
270
227
2022Q1
876
766
722
650
530
443
291
252
2022Q2
864
771
736
657
526
455
287
252
2022Q3
859
778
735
656
523
451
286
247
2022Q4
857
768
732
657
524
447
288
253
2023Q1
839
751
718
655
512
429
296
258
2023Q2
856
770
733
662
525
440
293
261
Table 62: Aggregate GAV of Qualifying Hedge Funds
Stressing Each Market Factor ($ Billions)
As reported on Form PF, Questions 8 and 42.
Market Factor
Equity Prices
Currency Rates
Risk Free Rates
Credit Spreads
Implied Volatilities
Commodity Prices
Bond Default Rates
ABS Default Rates
2021Q3
5,194
4,646
4,927
4,228
3,909
3,883
1,136
882
2021Q4
5,042
4,527
4,758
4,235
3,713
3,742
1,134
899
2022Q1
5,087
4,562
4,870
4,359
3,796
3,846
1,184
970
2022Q2
5,086
4,489
4,808
4,341
3,787
3,975
1,123
936
2022Q3
4,940
4,392
4,707
4,225
3,707
3,867
1,139
901
2022Q4
5,062
4,519
4,801
4,352
3,842
4,002
1,102
938
2023Q1
5,179
4,610
4,883
4,479
3,873
4,078
1,132
1,093
2023Q2
5,523
4,917
5,210
4,774
4,428
4,385
1,239
1,238
Table 63: Aggregate NAV of Qualifying Hedge Funds
Stressing Each Market Factor ($ Billions)
As reported on Form PF, Questions 9 and 42.
Market Factor
Equity Prices
Currency Rates
Risk Free Rates
Credit Spreads
Implied Volatilities
Commodity Prices
Bond Default Rates
ABS Default Rates
2021Q3
1,989
1,675
1,623
1,377
1,167
1,123
482
379
2021Q4
1,972
1,655
1,599
1,385
1,128
1,108
467
374
2022Q1
1,967
1,691
1,654
1,459
1,192
1,151
504
422
49
2022Q2
1,894
1,639
1,629
1,448
1,176
1,169
484
409
2022Q3
1,858
1,634
1,625
1,443
1,166
1,159
471
382
2022Q4
1,833
1,590
1,586
1,416
1,140
1,115
427
390
2023Q1
1,846
1,601
1,593
1,436
1,124
1,123
443
401
2023Q2
1,870
1,596
1,607
1,447
1,192
1,145
437
415
January 9, 2024
Analytics Office
Table 64: Number of Qualifying Hedge Funds Stressing Market Factors
As reported on Form PF, Question 42.
Factors Tested
0
1
2
3
4
5
6
7
8
2021Q3
988
214
130
83
101
137
155
71
137
2021Q4
1,034
223
130
84
103
127
165
79
129
2022Q1
1,044
212
129
83
101
126
167
81
151
2022Q2
1,015
208
126
80
100
131
168
79
154
2022Q3
993
208
128
78
108
127
166
82
150
2022Q4
1,028
206
129
82
100
128
167
82
150
2023Q1
1,019
207
123
81
94
126
159
78
157
2023Q2
1,045
206
123
82
101
134
164
80
153
Table 65: Aggregate GAV of Qualifying Hedge Funds
Stressing Market Factors ($ Billions)
As reported on Form PF, Questions 8 and 42.
Factors Tested
0
1
2
3
4
5
6
7
8
2021Q3
2,545
444
629
324
363
929
2,101
360
613
2021Q4
2,702
485
618
314
353
747
2,159
348
606
2022Q1
2,611
432
568
306
352
871
2,123
341
662
2022Q2
2,389
412
431
279
425
811
2,193
335
647
2022Q3
2,309
385
407
267
471
738
2,127
373
616
2022Q4
2,330
374
406
305
394
778
2,263
346
632
2023Q1
2,399
377
412
308
404
809
2,133
527
632
2023Q2
2,482
385
426
331
406
627
2,458
597
724
Table 66: Aggregate NAV of Qualifying Hedge Funds
Stressing Market Factors ($ Billions)
As reported on Form PF, Questions 9 and 42.
Factors Tested
0
1
2
3
4
5
6
7
8
2021Q3
1,942
300
322
231
176
321
477
170
227
2021Q4
1,982
319
312
215
189
291
502
169
212
2022Q1
1,944
276
294
212
187
302
509
174
252
2022Q2
1,755
255
269
190
176
281
543
160
249
50
2022Q3
1,685
234
259
183
198
267
544
169
233
2022Q4
1,732
241
256
214
175
264
540
142
232
2023Q1
1,805
246
258
212
168
281
524
149
238
2023Q2
1,842
246
259
217
158
272
553
155
237
January 9, 2024
IX
A
Analytics Office
Section 3 Liquidity Fund Specific Information
Liquidity
Table 67: Investor Liquidity For Section 3 Liquidity Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 64.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2021Q3
68.6
92.6
97.3
97.8
98.8
99.8
2021Q4
68.9
92.4
96.6
97.8
99.0
99.8
2022Q1
69.5
91.6
96.0
97.9
99.5
99.8
2022Q2
66.4
91.8
96.5
98.5
99.6
99.8
2022Q3
68.1
92.7
97.2
98.5
99.5
99.6
2022Q4
70.7
93.1
97.2
98.3
99.5
99.7
2023Q1
71.1
92.9
97.3
98.2
99.3
99.7
2023Q2
71.0
92.6
97.0
97.9
99.1
99.8
Table 68: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Question 63.
Type
May Suspend
May Have Gates
Suspended
Gated
2021Q4
291
260
0
0
2022Q1
290
261
0
0
2022Q2
310
281
0
0
2022Q3
313
281
0
0
2022Q4
302
275
0
0
2023Q1
294
266
0
0
2023Q2
301
274
0
0
Portfolio Characteristics
Figure 18: Weighted-Average Maturity of Section 3 Liquidity Funds (Days)
5
3-0
6
4
202
202
202
202
202
202
3-0
202
3-0
202
3-0
2
3
1
3-0
202
2-1
202
3-0
2
1
0
2-1
202
2-0
202
2-1
9
8
7
2-0
6
202
2-0
202
2-0
5
4
2-0
3
202
2-0
2
202
2-0
1
202
2-0
202
2-0
1
2
202
1-1
0
202
1-1
9
202
1-1
202
1-0
1-0
202
Statistic
Average WAM
Asset-Weighted WAM
202
1-0
7
8
As reported on Form PF, Questions 55.
36.8
48.7
36.7
47.7
43.0
49.2
48.1
50.9
46.3
49.8
41.7
45.4
40.6
35.8
38.8
37.5
37.1
42.2
39.0
39.7
35.0
30.5
31.2
30.6
30.7
30.3
21.2
25.5
21.3
29.3
24.1
25.0
30.1
27.7
26.7
25.4
29.1
26.1
27.7
29.0
25.9
24.4
28.1
24.1
29.5
26.2
29.8
30.0
Figure 19: Weighted-Average Life of Section 3 Liquidity Funds (Days)
6
5
202
202
3-0
202
3-0
4
202
3-0
202
3-0
3
2
1
202
3-0
2
202
3-0
202
2-1
202
2-1
1
0
202
2-1
9
8
202
2-0
7
202
2-0
6
202
2-0
202
2-0
2-0
202
2-0
5
3
4
2
2-0
202
2-0
202
52.0
63.3
58.3
65.5
62.0
66.2
59.8
64.0
54.7
59.0
52.7
51.9
52.3
55.8
51.4
61.1
54.2
59.3
51.6
50.4
47.8
52.2
47.6
50.5
38.1
45.4
38.5
48.1
41.8
47.6
49.5
50.0
45.6
46.6
47.2
45.6
44.4
46.4
42.8
42.4
45.7
41.6
47.9
45.4
46.7
49.6
2-0
202
1
2
1-1
202
1
0
1-1
202
1-1
202
9
8
51.7
63.4
1-0
202
1-0
1-0
202
Statistic
Average WAL
Asset-Weighted WAL
202
7
As reported on Form PF, Questions 55.
Figure 20: Seven-Day Gross Yield Section 3 Liquidity Funds (Percent)
4
1
6
3.62
3.95
3-0
3.26
3.53
202
2.39
2.87
5
2.55
2.73
3-0
2.06
2.14
202
1.88
1.67
3
1.33
1.30
3-0
0.87
0.78
3-0
0.52
0.45
202
0.47
0.36
2
0.29
0.14
3-0
0.25
0.09
202
0.20
0.06
3-0
0.19
0.06
202
0.17
0.05
202
2
2-1
202
1
2-1
202
0
2-1
9
202
2-0
202
2-0
202
8
7
2-0
202
6
202
0.17
0.05
51
2-0
5
2-0
202
2-0
4
3
202
2-0
202
2
2-0
202
1
2
0.14
0.05
1-1
202
2-0
1
1-1
202
0
202
1-1
202
9
1-0
8
0.14
0.06
1-0
202
Statistic
Average Gross Yield
Asset-Weighted Gross Yield
202
1-0
7
As reported on Form PF, Questions 55.
202
B
2021Q3
278
245
0
0
4.33
4.09
4.57
4.34
4.74
4.52
4.82
4.59
5.01
4.82
5.07
4.90
January 9, 2024
Analytics Office
Figure 21: Ratio of Daily Liquid Assets to Net Asset Value
for Section 3 Liquidity Funds (Percent)
5
202
3-0
6
4
48.85
54.85
48.90
52.03
52.36
57.88
49.63
57.74
48.54
51.62
50.27
55.87
51.23
56.66
51.18
51.75
51.03
53.15
52.10
55.01
53.21
58.88
53.48
58.10
52.81
57.74
52.06
52.32
3-0
202
3
202
3-0
2
49.47
51.29
3-0
202
1
202
49.29
47.89
3-0
202
3-0
2
2-1
202
1
0
2-1
202
9
2-1
202
8
202
2-0
202
2-0
7
6
2-0
202
2-0
5
2-0
202
2-0
202
4
3
202
2
2-0
202
1
49.76
48.49
2-0
202
2
49.49
46.66
2-0
202
50.42
41.71
1-1
49.13
43.06
1-1
202
1
0
48.17
44.29
1-1
202
9
202
49.72
45.16
1-0
202
51.53
44.78
1-0
202
52.42
43.97
1-0
202
Statistic
Average DLA
Asset-Weighted DLA
8
7
As reported on Form PF, Questions 55.
Figure 22: Ratio of Weekly Liquid Assets to Net Asset Value
for Section 3 Liquidity Funds (Percent)
-06
5
202
3
4
202
3-0
3
202
3-0
2
62.53
70.93
61.63
66.93
61.60
66.79
61.02
68.16
60.76
67.78
63.36
71.25
63.44
73.02
60.87
68.95
60.99
64.84
3-0
202
3-0
1
60.25
65.95
3-0
202
59.89
70.12
2-1
202
62.88
69.17
2-1
202
60.24
64.11
2-1
202
2
1
0
9
202
8
202
2-0
7
59.72
66.04
2-0
202
62.38
64.01
52
2-0
6
2-0
202
5
2-0
202
4
60.89
60.09
2-0
202
3
2-0
202
2
202
60.03
58.19
2-0
202
1
2
60.23
59.46
2-0
62.00
57.18
1-1
202
1
59.67
56.56
1-1
202
0
59.45
59.17
1-1
202
9
202
60.76
60.48
1-0
202
61.81
58.10
1-0
202
62.05
58.49
1-0
202
Statistic
Average WLA
Asset-Weighted WLA
8
7
As reported on Form PF, Questions 55.
January 9, 2024
C
Analytics Office
Rule 2a-7 Compliance
Table 69: Rule 2a-7 Compliance (Percent of Funds)
As reported on Form PF, Questions 9 and 54.
Compliance Type
None
Credit Quality
Diversification
Maturity
Liquidity
Fully
2021Q3
50.9
49.1
45.6
45.6
42.1
38.6
2021Q4
51.8
48.2
44.6
44.6
41.1
37.5
2022Q1
51.9
48.1
44.4
44.4
40.7
37.0
2022Q2
53.8
46.2
42.3
42.3
36.5
34.6
2022Q3
52.9
47.1
43.1
39.2
37.3
35.3
2022Q4
52.0
48.0
44.0
44.0
38.0
36.0
2023Q1
52.0
48.0
44.0
44.0
38.0
36.0
2023Q2
52.0
48.0
44.0
44.0
38.0
36.0
Table 70: Rule 2a-7 Compliance (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 54.
Compliance Type
None
Credit Quality
Diversification
Maturity
Liquidity
Fully
D
2021Q3
80.9
19.1
17.4
17.4
17.2
15.0
2021Q4
82.1
17.9
16.5
16.5
16.3
14.2
2022Q1
81.3
18.7
17.2
17.2
17.0
15.0
2022Q2
83.9
16.1
14.6
14.6
13.4
12.5
2022Q3
84.3
15.7
14.4
14.3
13.2
12.3
2022Q4
84.1
15.9
14.6
14.6
13.3
12.7
2023Q1
83.6
16.4
15.1
15.1
13.7
12.9
2023Q2
84.2
15.8
14.5
14.5
13.2
12.5
Methods of Calculating NAV
Table 71: NAV Calculation Method (Percent of Funds)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2021Q3
77.2
22.8
2021Q4
75.0
25.0
2022Q1
74.1
25.9
2022Q2
71.2
28.8
2022Q3
64.7
35.3
2022Q4
72.0
28.0
2023Q1
72.0
28.0
2023Q2
72.0
28.0
Table 72: NAV Calculation Method (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2021Q3
66.7
33.3
2021Q4
64.4
35.6
2022Q1
67.2
32.8
2022Q2
61.2
38.8
53
2022Q3
62.1
37.9
2022Q4
65.9
34.1
2023Q1
68.8
31.2
2023Q2
69.1
30.9
January 9, 2024
Aggregate Portfolio Holdings
Table 73: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2
6
38.1
80.5
81.5
48.2
13.5
24.7
9.1
1.7
1.0
48.0
62.8
91.4
46.6
16.4
26.0
9.9
2.3
1.0
52.2
73.4
84.3
44.2
11.7
24.1
10.7
2.1
1.1
69.2
78.9
63.4
46.4
13.4
18.9
10.5
2.5
1.0
67.1
72.0
78.4
53.6
15.7
20.8
9.3
1.9
1.0
2-0
44.1
73.5
69.9
51.9
18.4
25.2
8.0
1.6
1.1
2-0
202
5
4
202
47.2
60.8
88.7
48.2
26.0
24.4
10.1
1.5
1.1
2-0
202
-03
202
2
2
31.6
82.0
88.8
50.5
21.0
24.5
10.6
1.6
1.0
2-0
202
1
31.3
83.1
88.7
53.1
18.9
23.9
7.7
1.3
1.1
2-0
2
202
40.2
69.7
73.1
51.4
26.0
23.0
12.1
1.4
1.1
1-1
202
1
202
35.2
75.5
80.2
51.7
21.0
21.0
11.6
1.2
0.9
1-1
202
1-1
0
1-0
9
8
202
Product Type
Repo - Govt. Collateral
Deposits
U.S. Treasuries
Commercial Paper
Other
Asset-Backed Securities
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
1-0
202
26.0
83.1
86.4
52.3
24.0
20.9
12.4
1.3
0.9
1-0
202
7
As reported on Form PF, Question 63.
Table 74: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2
6
202
3-0
202
3-0
5
4
202
3-0
3
202
3-0
202
3-0
2
1
202
3-0
202
2-1
2
202
2
-11
0
2-1
202
2-0
9
-08
202
Product Type
Repo - Govt. Collateral
Deposits
U.S. Treasuries
Commercial Paper
Other
Asset-Backed Securities
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
202
2
2-0
7
As reported on Form PF, Question 63.
202
E
Analytics Office
80.9
85.0
57.2
46.5
11.3
20.4
10.4
3.3
0.9
86.3
88.8
59.9
42.1
10.0
20.2
9.1
5.2
1.0
78.8
73.9
69.2
45.3
16.6
20.6
8.7
5.2
1.0
85.2
91.4
48.8
49.5
14.1
20.1
10.4
5.7
0.9
78.4
88.9
53.8
53.0
13.7
17.7
10.9
5.4
0.9
84.2
70.4
49.7
52.9
17.9
18.6
9.7
8.7
0.8
82.0
78.3
43.0
52.7
13.8
19.2
7.7
7.7
0.7
84.3
78.0
47.5
47.6
10.1
20.1
9.4
7.5
0.7
103.7
69.4
32.7
45.1
14.5
16.9
10.9
13.9
0.7
105.4
75.3
25.6
47.8
21.8
17.7
11.2
13.1
1.0
104.9
81.7
27.2
47.0
15.3
17.8
10.0
10.7
1.0
75.3
75.3
58.5
47.7
21.0
18.2
11.1
6.3
0.9
54
January 9, 2024
Analytics Office
X
Section 4 Private Equity Fund Specific Information
A
CPC Industry Concentration
Table 75: Gross Assets in CPC Industries (Percent of Total)
As reported on Form PF, Questions 8 and 77.
Type
Software Publishers
Computing Infrastructure...
Other Financial Vehicles
Custom Computer Programming...
Insurance Agencies and Brokerages
All Other Professional,...
Computer Systems Design Services
Other Computer Related Services
Engineering Services
Offices of Physicians
Natural Gas Distribution
Other Activities Related to Real...
Consumer Lending
Commercial Banking
Hotels and Motels
Lessors of Nonresidential Buildings
Full-Service Restaurants
Offices of Other Holding Companies
Home Health Care Services
Offices of Dentists
Commercial and Service Industry...
Lessors of Residential Buildings...
Marketing Research and Public...
Supermarkets and Other Grocery...
Electric Power Generation,...
Semiconductor & Other Electronic...
Facilities Support Services
Real Estate Credit
Support Activities for Water...
2014Q4
3.8
2.3
0.4
1.0
1.0
0.6
0.8
0.4
0.2
0.2
0.4
0.5
0.6
1.1
0.7
0.8
0.9
0.3
0.3
0.2
0.1
0.4
0.2
0.5
3.8
0.7
0.1
0.4
0.6
2015Q4
4.9
1.8
0.6
1.5
1.0
0.6
0.6
0.5
0.4
0.3
0.6
0.3
0.8
0.9
0.6
0.8
0.7
0.6
0.3
0.2
0.3
0.4
0.2
0.5
3.7
0.6
0.2
0.9
0.5
2016Q4
6.1
2.0
1.8
1.5
1.2
0.9
1.0
0.9
0.3
0.4
0.7
0.4
0.9
0.8
0.7
0.7
0.5
0.3
0.3
0.2
0.3
0.4
0.2
0.5
4.1
0.4
0.2
0.6
0.6
55
2017Q4
6.0
2.3
1.6
1.5
1.1
0.8
0.8
0.9
0.3
0.3
1.0
0.4
0.8
0.7
0.4
0.7
0.5
0.4
0.3
0.3
0.3
0.3
0.2
0.3
4.2
0.3
0.3
0.5
0.7
2018Q4
8.0
3.5
1.3
1.8
1.0
1.4
0.6
1.0
0.3
0.3
1.0
0.3
0.6
0.3
0.2
0.6
0.3
0.5
0.4
0.3
0.4
0.3
0.1
0.3
4.5
0.5
0.1
0.4
0.7
2019Q4
10.6
4.2
1.2
2.1
1.1
1.4
0.6
0.8
0.3
0.5
0.7
0.3
0.6
0.3
0.4
1.1
0.4
0.4
0.5
0.3
0.3
0.3
0.2
0.2
4.3
0.5
0.1
0.4
0.5
2020Q4
9.7
3.6
1.8
1.9
1.5
1.9
1.0
1.2
0.3
0.5
0.8
0.3
0.7
0.4
0.4
0.6
0.3
0.4
0.6
0.3
0.2
0.2
0.2
0.2
4.8
0.6
0.2
0.4
0.4
2021Q4
11.7
3.4
2.2
2.5
1.7
1.4
1.6
1.5
0.4
0.7
0.6
0.4
0.6
0.4
0.4
0.4
0.2
0.4
0.4
0.3
0.2
0.3
0.2
0.2
3.7
0.5
0.2
0.2
0.3
2022Q4
12.0
4.2
2.9
2.8
1.8
1.4
1.1
1.0
0.7
0.7
0.6
0.6
0.5
0.5
0.5
0.5
0.4
0.4
0.4
0.3
0.2
0.2
0.2
0.2
***
***
0.2
0.1
***
January 9, 2024
B
Analytics Office
CPC Financial Leverage
Figure 23: Ratio of Portfolio Company Current to Total Liabilities (Percent)
As reported on Form PF, Questions 71 and 72.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2014Q4
0.6
1.4
5.3
17.9
50.0
16.2
2015Q4
0.7
1.7
6.0
20.0
49.9
16.7
2016Q4
0.8
1.9
6.9
20.7
54.3
17.5
2017Q4
0.8
2.1
7.3
21.5
51.8
17.7
2018Q4
0.7
1.5
6.0
17.8
49.3
15.4
2019Q4
0.7
1.3
5.2
16.8
48.7
15.5
2020Q4
0.7
1.4
5.9
18.2
46.8
16.0
2021Q4
0.6
1.1
4.6
16.4
40.5
14.4
2022Q4
0.7
1.3
5.4
18.1
45.4
15.3
Figure 24: CPC Payment-in-Kind Borrowings to Total Borrowings (Percent)
As reported on Form PF, Questions 73.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2014Q4
1.0
3.0
8.0
22.0
40.0
16.8
2015Q4
2.0
4.0
9.0
22.0
48.0
18.3
2016Q4
2.0
4.0
9.0
22.0
48.0
18.6
2017Q4
1.0
3.0
8.0
17.0
42.0
16.5
56
2018Q4
1.0
3.0
9.0
22.2
56.0
19.5
2019Q4
2.0
4.0
11.0
27.0
61.0
21.8
2020Q4
2.0
4.0
11.0
32.0
65.0
23.1
2021Q4
1.0
4.0
9.0
31.0
88.0
24.2
2022Q4
2.0
4.0
11.0
30.0
66.0
22.8
January 9, 2024
C
Analytics Office
CPC Investments by Region and Country
Table 76: Aggregate Gross Value of Private Equity
Investments by Region ($ Billions)
As reported on Form PF, Questions 70 and 78.
Region
North America
Europe EEA
Asia
Europe Other
South America
Middle East
Supranational
Africa
2014Q4
4,506
1,259
462
9
85
12
67
12
2015Q4
4,132
941
447
21
58
9
23
12
2016Q4
3,942
848
406
22
111
15
37
18
2017Q4
3,961
963
379
40
184
23
49
14
2018Q4
4,211
1,256
435
46
140
16
55
10
2019Q4
5,163
1,547
561
69
149
18
60
15
2020Q4
6,633
2,155
1,028
158
141
44
78
9
2021Q4
9,558
3,576
881
409
171
124
82
12
2022Q4
10,956
3,072
1,079
613
216
151
77
14
2021Q4
64.6
24.2
6.0
2.8
1.2
0.8
0.6
0.1
2022Q4
67.7
19.0
6.7
3.8
1.3
0.9
0.5
0.1
Table 77: Private Equity CPC Investments by Region
(Percent of Aggregate CPC Gross Asset Value)
As reported on Form PF, Questions 70 and 78.
Region
North America
Europe EEA
Asia
Europe Other
South America
Middle East
Supranational
Africa
2014Q4
70.2
19.6
7.2
0.1
1.3
0.2
1.0
0.2
2015Q4
73.2
16.7
7.9
0.4
1.0
0.2
0.4
0.2
2016Q4
73.0
15.7
7.5
0.4
2.0
0.3
0.7
0.3
2017Q4
70.5
17.1
6.8
0.7
3.3
0.4
0.9
0.3
57
2018Q4
68.2
20.3
7.0
0.7
2.3
0.3
0.9
0.2
2019Q4
68.0
20.4
7.4
0.9
2.0
0.2
0.8
0.2
2020Q4
64.7
21.0
10.0
1.5
1.4
0.4
0.8
0.1
January 9, 2024
Analytics Office
Table 78: Aggregate Gross Asset Value of Private Equity
CPC Investments by Country ($ Billions)
As reported on Form PF, Questions 70 and 78.
Country
United States
India
China and Hong Kong
Japan
Brazil
Russia
2014Q4
4,305
83
186
98
58
2
2015Q4
3,943
89
173
85
41
5
2016Q4
3,776
92
114
79
88
4
2017Q4
3,794
73
147
52
131
4
2018Q4
4,015
104
154
52
96
2
2019Q4
4,803
128
149
78
93
1
2020Q4
6,243
229
235
283
78
1
2021Q4
8,364
277
210
128
55
6
2022Q4
10,298
280
279
201
96
27
2021Q4
56.5
1.9
1.4
0.9
0.4
0.0
2022Q4
63.6
1.7
1.7
1.2
0.6
0.2
Table 79: Private Equity CPC Investments by Country
(Percent of Aggregate CPC Gross Asset Value)
As reported on Form PF, Questions 70 and 78.
Country
United States
India
China and Hong Kong
Japan
Brazil
Russia
2014Q4
67.1
1.3
2.9
1.5
0.9
0.0
2015Q4
69.9
1.6
3.1
1.5
0.7
0.1
2016Q4
69.9
1.7
2.1
1.5
1.6
0.1
2017Q4
67.6
1.3
2.6
0.9
2.3
0.1
58
2018Q4
65.1
1.7
2.5
0.8
1.6
0.0
2019Q4
63.3
1.7
2.0
1.0
1.2
0.0
2020Q4
60.9
2.2
2.3
2.8
0.8
0.0
January 9, 2024
XI
A
Analytics Office
Appendices
Form PF Filer Categories
The amount of information an adviser must report and the frequency with which it must report
on Form PF depends on the amount of the adviser’s private fund assets and the types of private
funds managed. Reporting advisers must identify the types of private funds they manage on Form
PF.
1
All Private Fund Advisers
SEC-registered investment advisers with at least $150 million in private fund assets under
management are required to file Form PF. Registered investment advisers with less than $150 million
in private funds assets under management, exempt reporting advisers, and state-registered advisers
report general private fund data on Form ADV, but do not file Form PF.6 Not all Form PF filers
report on a quarterly basis. Smaller private fund advisers and all private equity fund advisers file
Form PF on an annual basis, while larger hedge fund advisers and larger liquidity fund advisers file
the form quarterly.7 As a result of the difference in reporting frequency, information in this report
related to funds that are reported annually may be dated by several months.8
2
Large Hedge Fund Advisers
Large Hedge Fund Advisers have at least $1.5 billion in hedge fund assets under management.
A Large Hedge Fund Adviser is required to file Form PF quarterly and provide data about each
hedge fund it managed during the reporting period (irrespective of the size of the fund).
Large Hedge Fund Advisers must report more information on Form PF about Qualifying Hedge
Funds than other hedge funds they manage during the reporting period. A Qualifying Hedge Fund is
any hedge fund advised by a Large Hedge Fund Adviser that had a NAV (individually or in
combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of
at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the
adviser’s most recently completed fiscal quarter. This report provides information about all hedge
funds reported by Large Hedge Fund Advisers, including Qualifying Hedge Funds and smaller hedge
funds. This report also provides an overview of certain data reported solely for Qualifying Hedge
Funds.
6
Note that these thresholds are on a gross basis. Exempt reporting advisers are advisers that rely on the exemptions
from SEC registration in Advisers Act section 203(l) for venture capital fund advisers and section 203(m) for advisers
managing less than $150 million in private fund assets in the U.S.
7
An adviser may be a large hedge fund adviser that must file quarterly to report data about the hedge funds it manages
as well as a private equity fund adviser that must file only annually to report data about the private equity funds it
manages.
8
In addition, because some Form PF filers have fiscal year ends that are not December 31, not all Form PF data is filed
as of a single date.
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January 9, 2024
3
Analytics Office
Large Liquidity Fund Advisers
Large Liquidity Fund Advisers have at least $1 billion in combined liquidity fund and money
market fund assets under management. On a quarterly basis, such advisers report on Form PF data
about the liquidity funds they managed during the reporting period (irrespective of the size of the
fund). This report contains information about all liquidity funds reported by Large Liquidity Fund
Advisers (referred to in this report as “Section 3 Liquidity Funds”).
4
Large Private Equity Fund Advisers
Large Private Equity Fund Advisers have at least a $2 billion in private equity fund assets
under management. These advisers are required to file Form PF annually in connection with the
private equity funds they managed during the reporting period. Smaller Private Equity Fund
Advisers must file annually as well, but provide less detail regarding the private equity funds they
manage. This report provides information about private equity funds managed by Large Private
Equity Fund Advisers (referred to in this report as “Section 4 Private Equity Funds”).
5
Other Private Fund Advisers
All advisers required to file Form PF that are not Large Hedge Fund Advisers or Large
Liquidity Fund Advisers must file Form PF annually to report data about each private fund
managed by the adviser.9 These “annual filing advisers” include smaller fund advisers, Large Private
Equity Fund advisers, and venture capital fund advisers. Annual filers must provide specific
information about each of the private funds they manage on an annual basis.
9
This includes “other private funds,” which are private funds that do not meet the Form PF definition of hedge fund,
liquidity fund, private equity fund, real estate fund, securitized asset fund, or venture capital fund.
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January 9, 2024
B
Analytics Office
Handling Annual and Quarterly Data
Only a subset of filers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are
required to file Form PF quarterly; all other filings are made annually. Annual filings are typically,
but not always, made at the end of the calendar year, as Form PF allows filings to be made at the
end of an adviser’s fiscal year. In order to present the most complete and recent data possible, while
accounting for differences in filing dates, we use the following procedure for determining which data
to consider in any given quarter:
First, filings are grouped by their report date within their reported year:
• (Q1): February 15 to May 14
• (Q2): May 15 to August 14
• (Q3): August 15 to November 14
• (Q4): November 15 to February 14
Then, responses for funds that have no information are ‘filled forward’ — essentially, copied
from last reported values — up to a maximum of three quarters. Any fund that has no data four
quarters after its most recent date is no longer counted or included in any calculations.10
C
Mitigating the Effects of Outliers
Form PF data occasionally contains spurious outliers. While Analytics Office staff actively
engages in outreach to identify and correct such values, not all aberrant values have been corrected
as of this writing. To reduce the effect of these outliers on the aggregate measures reported here, we
have chosen to winsorize or trim some data sets.
Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest
and smallest values in a distribution.11 For example, to calculate a 95%/5% winsorized data set, all
the values above the ninety-fifth percentile are set to the value of the ninety-fifth percentile, and all
the values below the fifth percentile are set to the value of the fifth percentile. Effectively, this
procedure makes the very largest values smaller (but still large), and all the smallest values larger
(but still small). This approach can be more effective than trimming (simply removing the largest
and/or smallest values) because it does not change the number of data points and does not change
the median or other percentile values within the 95%/5% range. All instances of winsorization or
trimming have been noted and include the affected percentiles.
10
Form PF has no requirement to inform the SEC if a fund liquidates or otherwise terminates operations. Therefore,
liquidations or terminations may not be reflected on this report for up to one year after ceasing operations.
11
Such techniques are known as ‘robust statistics’, reviewed for example in Wilcox (2012), Introduction to Robust
Estimation & Hypothesis Testing, 3rd Edition.
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January 9, 2024
D
Analytics Office
Definitions
Included by reference are all definitions included in the glossary of Form PF.
Aggregate Exposure
A dollar value for long and short positions as of the last day in each
month of the reporting period, by sub-asset class, including all exposure
whether held physically, synthetically or through derivatives. Includes
closed out and OTC forward positions that have not expired, as well as
positions in side-pockets.
Borrowing
In Form PF, borrowings include secured borrowings, unsecured borrowings, as well as synthetic borrowings (e.g., total return swaps that meet
the failed sale accounting requirements).
CPC
Controlled portfolio company, as defined in Form PF.
Gross Notional Exposure (GNE)
The gross nominal or notional value of all transactions that have been
entered into but not yet settled as of the data reporting date. For
contracts with variable nominal or notional principal amounts, the basis
for reporting is the nominal or notional principal amounts as of the data
reporting date.
Hedge Fund
Any private fund (other than a securitized asset fund): (a) with respect
to which one or more investment advisers (or related persons of investment advisers) may be paid a performance fee or allocation calculated
by taking into account unrealized gains (other than a fee or allocation
the calculation of which may take into account unrealized gains solely
for the purpose of reducing such fee or allocation to reflect net unrealized losses); (b) that may borrow an amount in excess of one-half of
its net asset value (including any committed capital) or may have gross
notional exposure in excess of twice its net asset value (including any
committed capital); or (c) that may sell securities or other assets short
or enter into similar transactions (other than for the purpose of hedging currency exposure or managing duration). The definition of a hedge
fund for Form PF purposes also includes any commodity pool an adviser
reports on Form PF.
IRDs
Interest rate derivatives, including foreign exchange derivatives used for
either investment or hedging.
Large Hedge Fund Adviser
An adviser that has at least $1.5 billion in hedge fund assets under
management.
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January 9, 2024
Analytics Office
Large Liquidity Fund Adviser
An adviser that has at least $1 billion in combined liquidity fund and
money market fund assets under management.
Large Private Equity Fund Adviser
An adviser that has at least a $2 billion in private equity fund assets
under management.
Parallel Managed Account
An account advised by an adviser that pursues substantially the same
investment objective and strategy and invests side by side in substantially the same positions as the reporting fund.
Qualifying Hedge Fund
A hedge fund advised by a Large Hedge Fund Adviser that has a net asset
value (individually or in combination with any feeder funds, parallel
funds, and/or dependent parallel managed accounts) of at least $500
million as of the last day of any month in the fiscal quarter immediately
preceding the adviser’s most recently completed fiscal quarter.
Section 3 Liquidity Fund
A liquidity fund advised by a Large Liquidity Fund Adviser.
Section 4 Private Equity Fund
A private equity fund advised by a Large Private Equity Fund Adviser.
Value
For derivatives (other than options), “value” means gross notional value;
for options, “value” means delta adjusted notional value; for all other
investments and for all borrowings where the reporting fund is the creditor, “value” means market value or, where there is not a readily available
market value, fair value; for borrowings where the reporting fund is the
debtor, “value” means the value you report internally and to current
and prospective investors.
63
This is a copy of a public record, reproduced as it was published. It is not legal advice, and it may not be the version a court would rely on. Check the official source before you cite it.