Division of Investment Management
Agency decision
Ask Donna
What actually matters in this document.
Text
Division of Investment Management
Analytics Office
Private Funds Statistics
Third Calendar Quarter 2018
May 7, 2019
This is a report of the Staff of the Division of Investment Management’s Analytics Office of the U.S.
Securities and Exchange Commission. The Commission has expressed no view regarding the analysis,
findings, or conclusions contained herein.
May 7, 2019
Analytics Office
Introduction
This report provides a summary of recent private fund industry statistics and trends, reflecting
data collected through Form PF and Form ADV filings.1 Form PF information provided in this
report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary
information of individual Form PF filers.
This report reflects data from Fourth Calendar Quarter 2016 through Third Calendar Quarter
2018 as reported by Form PF filers.2 Please see the Appendix for information on the categories of
Form PF filers, the definitions of capitalized terms, a description of the boxplots used in several
figures, as well as other technical descriptions.
The Staff continues to work with data reported on Form PF and with filers to identify
and correct filing errors. Staff updates reported statistics based on amended filings and
also may make certain adjustments to the statistics presented to correct what appear to
be clear filing errors. Further, the Staff has employed certain assumptions in aggregating
the data. Future adjustments to these methodologies and amended filings that change
the underlying data could lead to changes in previously reported statistics.
If you have any questions or comments about Third Calendar Quarter 2018 Private
Funds Statistics, please contact:
Tim Dulaney, PhD, FRM or Tim Husson, PhD, FRM at FormPF@sec.gov with subject line “Third
Calendar Quarter 2018-Private Funds Statistics”.
1
Only SEC-registered advisers with at least $150 million in private fund assets under management must report to the
Commission on Form PF. SEC-registered investment advisers with less than $150 million in private fund assets under
management, SEC exempt reporting advisers, and state-registered investment advisers are not required to file Form PF,
but report general information about the private funds they manage on Form ADV.
2
The Commission began receiving Form PF filings from Large Hedge Fund Advisers in July 2012. A full data set was
not received until March 2013. This report relies upon the Form PF database constructed and maintained by the Office
of Research and Data Services in the Division of Economic and Risk Analysis.
1
May 7, 2019
Analytics Office
Contents
I
II
Number of Funds and Advisers
4
Gross and Net Assets
A Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . . . .
B Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5
5
8
10
11
III
Fund Domiciles and Adviser Main Offices
13
IV
Beneficial Ownership
15
V
Derivatives
19
VI
High Frequency Trading
20
VII
Hedge Fund Industry Concentration
21
VIII Information Reported by Large Hedge Fund Advisers
A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
23
23
25
26
27
IX
Qualifying Hedge Fund Specific Information
A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
F Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
G Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
H Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
I Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
29
29
31
33
34
35
37
40
41
42
X
Section 3 Liquidity Fund Specific Information
A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
43
43
43
46
46
2
May 7, 2019
Analytics Office
E Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
47
Section 4 Private Equity Fund Specific Information
A CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . .
48
48
49
50
XII Appendices
A Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1 All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2 Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3 Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4 Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . .
5 Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C How to Read a Boxplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
52
52
52
52
53
53
53
54
54
55
56
XI
3
May 7, 2019
I
Analytics Office
Number of Funds and Advisers3
Table 1: Number of Funds
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Private Equity Fund
Hedge Fund
Other Private Fund
Section 4 Private Equity Fund
Real Estate Fund
Qualifying Hedge Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2016Q4
10,365
8,928
4,449
3,002
2,453
1,649
1,451
761
69
44
28,476
2017Q1
10,383
9,083
4,473
3,006
2,451
1,671
1,463
759
70
45
28,682
2017Q2
10,363
9,121
4,495
3,009
2,449
1,717
1,475
769
69
47
28,741
2017Q3
10,272
9,161
4,454
2,989
2,440
1,727
1,477
755
69
46
28,628
2017Q4
11,493
9,028
4,525
3,482
2,648
1,800
1,504
848
70
48
30,116
2018Q1
11,532
9,182
4,595
3,494
2,658
1,770
1,510
848
69
46
30,394
2018Q2
11,562
9,297
4,568
3,494
2,652
1,803
1,510
833
68
45
30,490
2018Q3
11,513
9,354
4,530
3,495
2,630
1,816
1,507
816
68
45
30,418
Table 2: Number of Advisers Advising Each Fund Type
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Private Equity Fund
Hedge Fund
Other Private Fund
Section 4 Private Equity Fund
Real Estate Fund
Qualifying Hedge Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2016Q4
1,092
1,688
581
248
314
531
149
109
39
24
2,916
2017Q1
1,095
1,687
579
250
316
527
151
109
39
24
2,918
2017Q2
1,091
1,688
579
250
314
534
153
110
38
24
2,919
2017Q3
1,088
1,689
576
247
313
536
154
109
38
23
2,919
2017Q4
1,141
1,730
581
293
327
551
155
114
39
25
3,017
2018Q1
1,148
1,731
587
296
329
541
155
115
39
23
3,027
2018Q2
1,149
1,734
583
296
329
548
156
115
38
22
3,032
2018Q3
1,148
1,727
573
296
328
544
156
113
38
22
3,012
3
In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered
investment advisers that file a Form PF to report private funds. Please see Appendix E for definitions of other capitalized
terms used in this report.
4
May 7, 2019
Analytics Office
II
Gross and Net Assets
A
Aggregate Assets by Fund Type over Time
Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions)
As reported on Form PF, Question 8.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2016Q4
6,395
5,206
2,318
1,645
1,067
436
448
293
274
64
11,021
2017Q1
6,673
5,463
2,327
1,648
1,077
436
449
282
267
64
11,308
2017Q2
6,860
5,681
2,324
1,648
1,088
433
454
276
273
64
11,500
2017Q3
7,183
5,856
2,310
1,641
1,061
432
453
282
279
63
11,784
2017Q4
7,239
5,862
2,726
1,941
1,190
499
485
291
289
81
12,511
2018Q1
7,515
6,074
2,764
1,978
1,205
504
480
291
289
81
12,841
2018Q2
7,654
6,276
2,768
1,978
1,207
504
488
311
307
81
13,014
2018Q3
7,901
6,383
2,767
1,978
1,179
503
487
314
309
81
13,232
Table 4: Aggregate Private Fund Net Asset Value (NAV) ($ Billions)
As reported on Form PF, Question 9.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2016Q4
3,483
2,734
2,075
1,492
978
341
141
292
273
61
7,372
2017Q1
3,600
2,818
2,084
1,496
988
342
141
281
265
61
7,497
2017Q2
3,658
2,890
2,082
1,496
995
340
145
275
272
62
7,556
5
2017Q3
3,780
2,984
2,069
1,489
971
339
144
280
278
60
7,644
2017Q4
3,881
3,047
2,441
1,755
1,075
391
152
291
288
76
8,308
2018Q1
3,971
3,104
2,484
1,789
1,085
394
152
289
287
77
8,451
2018Q2
3,999
3,147
2,487
1,789
1,106
394
154
309
305
76
8,526
2018Q3
4,052
3,186
2,487
1,789
1,058
393
153
311
306
76
8,530
May 7, 2019
Analytics Office
Figure 1: GAV and NAV Distributions
See Appendix C for an explanation of boxplots.
20
20
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q
20 1
18
Q
20 2
18
Q3
NAV ($Billions)
Q4
8
7
6
5
4
3
2
1
0
16
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q
20 1
18
Q
20 2
18
Q3
17
20
20
16
Q4
GAV ($Billions)
As reported on Form PF, Questions 8 and 9.
8
7
6
5
4
3
2
1
0
1400
1200
1000
800
600
400
200
0
20
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q
20 1
18
Q
20 2
18
Q3
NAV ($Millions)
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q
20 1
18
Q
20 2
18
Q3
1400
1200
1000
800
600
400
200
0
(b) Qualifying Hedge Fund NAV
20
GAV ($Millions)
(a) Qualifying Hedge Fund GAV
(c) Section 4 Private Equity Fund GAV
(d) Section 4 Private Equity Fund NAV
6
May 7, 2019
Analytics Office
Figure 2: Ratio of GAV to NAV
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
2.0
1.5
1.0
0.5
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q
20 1
18
Q
20 2
18
Q3
0.0
3.0
2.5
2.0
1.5
1.0
0.5
0.0
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q
20 1
18
Q
20 2
18
Q3
Ratio of GAV to NAV
Winsorized (limits=[0%,98%])
2.5
20
20
16
Ratio of GAV to NAV
Winsorized (limits=[0%,98%])
As reported on Form PF, Questions 8, 9, and 10.
3.0
(a) All Private Funds
(b) Qualifying Hedge Funds
7
May 7, 2019
Borrowings
Table 5: Aggregate Borrowings (Percent of Aggregate GAV)
As reported on Form PF, Questions 8, 12, and 43 (Third Month).
Fund Type
Securitized Asset Fund
Qualifying Hedge Fund
Hedge Fund
Real Estate Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
2016Q4
50.7
39.7
37.4
13.9
5.1
4.0
2.8
0.4
0.0
0.0
2017Q1
49.5
41.2
38.5
12.9
5.0
4.0
2.7
0.4
0.0
0.0
2017Q2
48.8
42.3
39.3
12.7
5.0
4.0
2.7
0.5
0.0
0.0
2017Q3
48.4
41.8
39.6
12.8
5.0
4.1
2.7
0.5
0.0
0.0
2017Q4
51.9
41.5
39.4
13.2
5.2
4.6
2.2
0.6
0.0
0.0
2018Q1
51.2
42.9
40.4
13.5
4.9
4.6
2.7
0.5
0.0
0.0
2018Q2
51.2
45.1
41.6
13.3
4.9
4.6
2.7
0.5
0.0
0.0
2018Q3
50.4
44.6
41.4
13.3
4.9
4.6
2.7
0.6
0.0
0.0
Figure 3: Distribution of Total Borrowings for All Private Funds
and Qualifying Hedge Funds
See Appendix C for an explanation of boxplots.
Total Borrowings ($Billions)
700
600
500
400
300
200
100
0
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
20
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q
20 1
18
Q
20 2
18
Q3
Total Borrowings ($Millions)
As reported on Form PF, Questions 12 and 43 (Third Month).
20
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q
20 1
18
Q
20 2
18
Q3
B
Analytics Office
(a) All Private Funds
(b) Qualifying Hedge Funds
8
May 7, 2019
Analytics Office
Figure 4: Ratio of Borrowings to NAV
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q
20 1
18
Q
20 2
18
Q3
Ratio of Borrowings to NAV
Winsorized (limits=[0%,98%])
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q
20 1
18
Q
20 2
18
Q3
20
20
16
Q
Ratio of Borrowings to NAV
Winsorized (limits=[0%,98%])
As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month).
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
(a) All Private Funds
(b) Qualifying Hedge Funds
9
May 7, 2019
C
Analytics Office
Fair Value Hierarchy
Table 6: Assets According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2016Q4
2,871
2,539
2,594
1,971
2017Q1
2,573
2,196
2,513
1,679
2017Q2
2,566
2,181
2,513
1,706
2017Q3
2,558
2,222
2,507
1,711
2017Q4
3,268
2,751
2,895
2,225
2018Q1
3,015
2,297
2,856
1,862
2018Q2
2,974
2,318
2,866
1,878
2018Q3
2,831
2,267
2,874
1,839
Table 7: Liabilities According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2016Q4
519
417
142
464
2017Q1
654
462
136
650
2017Q2
650
451
140
644
2017Q3
651
455
137
650
10
2017Q4
647
608
174
479
2018Q1
788
588
174
762
2018Q2
780
601
174
773
2018Q3
659
598
177
733
May 7, 2019
D
Analytics Office
Parallel Managed Accounts4
Table 8: Number of Funds with Parallel Managed Accounts
As reported on Form PF, Question 11.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Other Private Fund
Private Equity Fund
Qualifying Hedge Fund
Section 4 Private Equity Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Securitized Asset Fund
Total
2016Q4
664
486
239
233
88
77
15
15
***
***
1,521
2017Q1
654
502
240
224
88
77
16
16
***
***
1,529
2017Q2
661
501
239
220
88
77
16
16
***
***
1,534
2017Q3
668
499
272
227
88
77
16
16
***
***
1,571
2017Q4
669
513
292
238
98
71
16
16
***
***
1,575
2018Q1
674
517
292
233
98
71
16
16
***
***
1,584
2018Q2
678
513
290
234
98
71
16
16
***
***
1,582
2018Q3
685
491
257
236
98
71
16
16
***
***
1,534
Table 9: Aggregate Value in Parallel Managed Accounts ($ Billions)
As reported on Form PF, Question 11.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Other Private Fund
Private Equity Fund
Qualifying Hedge Fund
Section 4 Private Equity Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Securitized Asset Fund
Total
2016Q4
629
1,401
29
422
22
6
309
309
***
***
2,555
2017Q1
666
1,438
29
438
22
6
333
333
***
***
2,653
2017Q2
680
1,489
28
440
22
6
330
330
***
***
2,714
2017Q3
714
1,508
28
525
22
6
345
345
***
***
2,782
2017Q4
827
1,864
37
594
28
6
359
359
***
***
3,094
2018Q1
770
1,869
37
551
28
6
361
361
***
***
3,044
2018Q2
769
1,799
37
567
28
6
353
353
***
***
2,965
2018Q3
813
1,680
36
570
28
6
364
364
***
***
2,900
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
May 7, 2019
Analytics Office
Figure 5: Parallel Managed Account Value Distributions
See Appendix C for an explanation of boxplots.
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q
20 1
18
Q
20 2
18
Q3
Parallel Managed Assets ($Billions)
4.5
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
20
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q
20 1
18
Q
20 2
18
Q3
20
16
Parallel Managed Assets ($Billions)
As reported on Form PF, Question 11.
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
(a) All Private Funds
(b) Qualifying Hedge Funds
12
May 7, 2019
III
Analytics Office
Fund Domiciles and Adviser Main Offices
Table 10: Fund Domicile (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
Cayman Islands
Ireland
Luxembourg
Virgin Islands, British
United Kingdom
Bermuda
Other
Country
Cayman Islands
United States
Virgin Islands, British
Ireland
Luxembourg
Bermuda
Other
Country
Ireland
United States
Cayman Islands
Other
Country
United States
Cayman Islands
United Kingdom
Bermuda
Canada
Other
All Private Funds
2016Q4 2017Q1 2017Q2 2017Q3 2017Q4
51.3
51.4
51.5
51.0
51.4
36.4
36.4
36.4
36.6
35.4
4.3
4.2
4.2
4.3
4.4
1.4
1.5
1.6
1.6
1.9
2.2
2.2
2.0
2.0
1.8
1.1
1.1
1.1
1.1
1.3
1.3
1.3
1.3
1.3
1.2
2.1
2.0
2.0
2.1
2.6
Qualifying Hedge Funds
2016Q4 2017Q1 2017Q2 2017Q3 2017Q4
52.9
52.6
52.4
51.7
51.3
34.3
34.6
35.0
35.3
35.8
5.5
5.3
5.0
4.8
4.5
2.7
2.7
2.7
2.8
2.9
1.3
1.4
1.6
1.7
1.9
1.8
1.7
1.7
1.7
1.6
1.7
1.7
1.6
2.0
2.0
Section 3 Liquidity Funds
2016Q4 2017Q1 2017Q2 2017Q3 2017Q4
***
***
***
***
***
33.1
33.9
36.8
34.7
35.1
***
***
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2016Q4 2017Q1 2017Q2 2017Q3 2017Q4
63.8
63.8
63.8
63.7
60.7
29.5
29.4
29.4
29.5
30.4
1.9
1.9
1.9
2.0
2.7
1.1
1.1
1.1
1.1
1.0
0.9
0.9
0.9
0.9
1.0
2.9
2.9
2.9
2.9
4.2
13
2018Q1
51.0
35.3
4.4
2.0
1.8
1.3
1.2
2.9
2018Q2
50.9
35.2
4.5
2.2
1.8
1.3
1.2
2.9
2018Q3
50.6
35.3
4.6
2.2
1.8
1.3
1.2
3.0
2018Q1
51.0
35.6
4.4
3.1
2.0
1.7
2.1
2018Q2
50.9
35.5
4.4
3.2
2.4
1.8
2.0
2018Q3
50.8
35.0
4.2
3.3
2.7
1.8
2.2
2018Q1
***
35.8
***
***
2018Q2
***
36.9
***
***
2018Q3
***
36.0
***
***
2018Q1
59.5
29.8
2.9
1.1
1.0
5.7
2018Q2
59.5
29.8
2.9
1.1
1.0
5.7
2018Q3
59.5
29.8
2.9
1.1
1.0
5.7
May 7, 2019
Analytics Office
Table 11: Adviser Main Office Location (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
United Kingdom
Other
2016Q4
90.1
6.2
3.8
Country
United States
United Kingdom
Australia
Hong Kong
Other
2016Q4
89.7
5.6
***
***
2.3
Country
United States
United Kingdom
2016Q4
***
***
Country
United States
Canada
Other
2016Q4
95.1
***
***
All Private Funds
2017Q1 2017Q2 2017Q3 2017Q4
89.4
89.0
88.9
89.5
6.5
6.7
6.8
6.5
4.1
4.2
4.3
4.1
Qualifying Hedge Funds
2017Q1 2017Q2 2017Q3 2017Q4
89.5
89.3
89.0
88.6
5.8
6.2
6.3
6.6
***
***
***
***
***
***
***
***
2.3
2.3
2.3
2.2
Section 3 Liquidity Funds
2017Q1 2017Q2 2017Q3 2017Q4
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2017Q1 2017Q2 2017Q3 2017Q4
95.1
95.1
95.1
94.8
***
***
***
***
***
***
***
***
14
2018Q1
88.9
6.8
4.3
2018Q2
88.8
7.0
4.3
2018Q3
88.9
6.7
4.3
2018Q1
88.4
6.6
***
***
2.3
2018Q2
88.6
6.5
***
***
2.3
2018Q3
88.6
6.5
***
***
2.1
2018Q1
***
***
2018Q2
***
***
2018Q3
***
***
2018Q1
94.8
***
***
2018Q2
94.8
***
***
2018Q3
94.8
***
***
May 7, 2019
IV
Analytics Office
Beneficial Ownership
Table 12: Beneficial Ownership for All Private Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
State/Muni. Govt. Pension Plans
Pension Plans
Non-Profits
U.S. Individuals
Sov. Wealth Funds and For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
Banking/Thrift Inst.
State/Muni. Govt. Entities
SEC-Registered Investment Companies
Broker-Dealers
2016Q4
1,340
975
1,009
948
750
773
429
305
197
187
137
99
118
102
2017Q1
1,355
996
1,029
957
770
786
438
310
198
187
141
104
119
104
2017Q2
1,371
1,011
1,033
967
778
790
443
312
185
185
143
107
121
107
2017Q3
1,370
1,039
1,048
973
790
798
445
314
183
188
147
108
128
111
2017Q4
1,490
1,189
1,153
1,037
849
817
515
349
187
194
161
121
129
112
2018Q1
1,514
1,234
1,153
1,045
860
834
540
352
191
193
161
125
132
113
2018Q2
1,532
1,237
1,163
1,049
869
841
544
365
193
189
170
129
128
114
2018Q3
1,518
1,242
1,176
1,045
865
837
544
373
193
186
172
130
125
121
2018Q2
18.0
14.5
13.6
12.3
10.2
9.9
6.4
4.3
2.3
2.2
2.0
1.5
1.5
1.3
2018Q3
17.8
14.6
13.8
12.3
10.1
9.8
6.4
4.4
2.3
2.2
2.0
1.5
1.5
1.4
Table 13: Beneficial Ownership for All Private Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
State/Muni. Govt. Pension Plans
Pension Plans
Non-Profits
U.S. Individuals
Sov. Wealth Funds and For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
Banking/Thrift Inst.
State/Muni. Govt. Entities
SEC-Registered Investment Companies
Broker-Dealers
2016Q4
18.2
13.2
13.7
12.9
10.2
10.5
5.8
4.1
2.7
2.5
1.9
1.3
1.6
1.4
2017Q1
18.1
13.3
13.7
12.8
10.3
10.5
5.8
4.1
2.6
2.5
1.9
1.4
1.6
1.4
15
2017Q2
18.1
13.4
13.7
12.8
10.3
10.4
5.9
4.1
2.5
2.5
1.9
1.4
1.6
1.4
2017Q3
17.9
13.6
13.7
12.7
10.3
10.4
5.8
4.1
2.4
2.5
1.9
1.4
1.7
1.5
2017Q4
17.9
14.3
13.9
12.5
10.2
9.8
6.2
4.2
2.3
2.3
1.9
1.5
1.6
1.3
2018Q1
17.9
14.6
13.6
12.4
10.2
9.9
6.4
4.2
2.3
2.3
1.9
1.5
1.6
1.3
May 7, 2019
Analytics Office
Table 14: Beneficial Ownership for Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
Non-Profits
Pension Plans
U.S. Individuals
State/Muni. Govt. Pension Plans
Sov. Wealth Funds and For. Official Inst.
Insurance Companies
Broker-Dealers
Non-U.S. Individuals
SEC-Registered Investment Companies
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
2016Q4
488
356
383
369
318
304
143
67
68
65
64
41
35
29
2017Q1
493
375
395
379
324
310
152
69
72
68
63
45
40
31
2017Q2
503
385
404
386
331
314
158
73
75
68
62
52
42
33
2017Q3
508
409
418
398
340
331
160
74
79
70
65
56
42
33
2017Q4
503
409
428
414
345
352
166
78
79
73
65
58
42
35
2018Q1
514
435
428
415
341
342
193
78
80
76
66
55
47
33
2018Q2
517
442
442
415
351
342
197
83
81
77
61
52
49
36
2018Q3
526
446
442
417
356
348
195
91
84
79
59
53
50
38
2018Q2
16.4
14.0
14.0
13.2
11.2
10.9
6.2
2.6
2.6
2.5
2.0
1.7
1.6
1.1
2018Q3
16.5
14.0
13.9
13.1
11.2
10.9
6.1
2.9
2.6
2.5
1.8
1.6
1.6
1.2
Table 15: Beneficial Ownership for Qualifying Hedge Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
Non-Profits
Pension Plans
U.S. Individuals
State/Muni. Govt. Pension Plans
Sov. Wealth Funds and For. Official Inst.
Insurance Companies
Broker-Dealers
Non-U.S. Individuals
SEC-Registered Investment Companies
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
2016Q4
17.9
13.0
14.0
13.5
11.7
11.1
5.2
2.4
2.5
2.4
2.4
1.5
1.3
1.1
2017Q1
17.5
13.3
14.0
13.4
11.5
11.0
5.4
2.5
2.5
2.4
2.2
1.6
1.4
1.1
16
2017Q2
17.4
13.3
14.0
13.4
11.5
10.9
5.5
2.5
2.6
2.4
2.1
1.8
1.4
1.1
2017Q3
17.0
13.7
14.0
13.3
11.4
11.1
5.4
2.5
2.6
2.3
2.2
1.9
1.4
1.1
2017Q4
16.5
13.4
14.1
13.6
11.3
11.5
5.4
2.5
2.6
2.4
2.1
1.9
1.4
1.1
2018Q1
16.6
14.0
13.8
13.4
11.0
11.0
6.2
2.5
2.6
2.4
2.1
1.8
1.5
1.1
May 7, 2019
Analytics Office
Table 16: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
Unknown Non-U.S. Investors
Broker-Dealers
SEC-Registered Investment Companies
Banking/Thrift Inst.
Insurance Companies
Sov. Wealth Funds and For. Official Inst.
Pension Plans
Non-U.S. Individuals
State/Muni. Govt. Entities
State/Muni. Govt. Pension Plans
Non-Profits
U.S. Individuals
2016Q4
81
52
65
***
16
10
9
***
5
4
***
1
1
***
2017Q1
75
51
60
***
18
***
9
***
5
4
***
1
2
***
2017Q2
89
51
52
***
21
12
9
***
5
4
***
1
2
***
2017Q3
83
51
55
***
24
***
10
***
5
4
***
1
2
***
2017Q4
96
55
53
***
23
***
9
***
5
4
***
1
2
***
2018Q1
94
57
52
***
24
13
9
***
5
4
***
1
1
***
2018Q2
109
55
52
***
24
17
12
***
3
4
***
***
***
***
2018Q3
105
57
51
***
23
17
12
***
4
4
***
2
1
***
2018Q2
35.7
17.9
17.0
***
7.9
5.6
3.9
***
1.1
1.2
***
***
***
***
2018Q3
34.4
18.7
16.6
***
7.6
5.4
3.8
***
1.2
1.1
***
0.6
0.4
***
Table 17: Beneficial Ownership for Section 3 Liquidity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
Unknown Non-U.S. Investors
Broker-Dealers
SEC-Registered Investment Companies
Banking/Thrift Inst.
Insurance Companies
Sov. Wealth Funds and For. Official Inst.
Pension Plans
Non-U.S. Individuals
State/Muni. Govt. Entities
State/Muni. Govt. Pension Plans
Non-Profits
U.S. Individuals
2016Q4
29.6
19.2
23.7
***
5.9
3.6
3.3
***
1.7
1.4
***
0.4
0.5
***
2017Q1
28.3
19.3
22.7
***
6.9
***
3.4
***
1.8
1.5
***
0.6
0.6
***
17
2017Q2
32.6
18.7
19.2
***
7.6
4.3
3.3
***
1.8
1.5
***
0.4
0.6
***
2017Q3
30.0
18.5
19.8
***
8.6
***
3.7
***
1.9
1.4
***
0.4
0.6
***
2017Q4
33.3
19.1
18.4
***
7.8
***
3.0
***
1.8
1.3
***
0.4
0.5
***
2018Q1
32.6
19.7
18.1
***
8.3
4.7
3.3
***
1.7
1.4
***
0.3
0.5
***
May 7, 2019
Analytics Office
Table 18: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
State/Muni. Govt. Pension Plans
Private Funds
Other
Sov. Wealth Funds and For. Official Inst.
Pension Plans
Insurance Companies
Non-Profits
U.S. Individuals
Non-U.S. Individuals
Banking/Thrift Inst.
State/Muni. Govt. Entities
SEC-Registered Investment Companies
Unknown Non-U.S. Investors
Broker-Dealers
2016Q4
366
283
162
153
142
94
92
88
34
31
22
12
14
1
2017Q1
366
285
162
154
142
94
92
88
34
31
22
12
14
1
2017Q2
366
284
161
154
142
94
92
88
34
31
22
12
14
1
2017Q3
366
284
161
153
139
94
90
88
34
31
22
12
13
1
2017Q4
415
353
212
186
159
109
104
94
36
29
28
16
14
1
2018Q1
416
356
225
203
159
109
104
94
36
29
28
16
14
1
2018Q2
416
356
225
203
159
109
104
94
36
29
28
16
14
1
2018Q3
416
356
225
203
159
109
104
94
36
29
28
16
14
1
Table 19: Beneficial Ownership for Section 4 Private Equity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
State/Muni. Govt. Pension Plans
Private Funds
Other
Sov. Wealth Funds and For. Official Inst.
Pension Plans
Insurance Companies
Non-Profits
U.S. Individuals
Non-U.S. Individuals
Banking/Thrift Inst.
State/Muni. Govt. Entities
SEC-Registered Investment Companies
Unknown Non-U.S. Investors
Broker-Dealers
2016Q4
24.5
19.0
10.8
10.3
9.5
6.3
6.1
5.9
2.3
2.0
1.5
0.8
0.9
0.1
2017Q1
24.5
19.0
10.8
10.3
9.5
6.3
6.1
5.9
2.3
2.0
1.5
0.8
0.9
0.1
18
2017Q2
24.5
19.0
10.8
10.3
9.5
6.3
6.2
5.9
2.3
2.0
1.5
0.8
0.9
0.1
2017Q3
24.6
19.1
10.8
10.3
9.4
6.3
6.1
5.9
2.3
2.1
1.5
0.8
0.9
0.1
2017Q4
23.6
20.1
12.1
10.6
9.1
6.2
5.9
5.3
2.1
1.7
1.6
0.9
0.8
0.1
2018Q1
23.3
19.9
12.6
11.3
8.9
6.1
5.8
5.2
2.0
1.6
1.5
0.9
0.8
0.1
2018Q2
23.3
19.9
12.6
11.3
8.9
6.1
5.8
5.3
2.0
1.6
1.5
0.9
0.8
0.1
2018Q3
23.3
19.9
12.6
11.3
8.9
6.1
5.8
5.2
2.0
1.6
1.5
0.9
0.8
0.1
May 7, 2019
V
Analytics Office
Derivatives
Table 20: Aggregate Derivative Value ($ Billions)
As reported on Form PF, Questions 13 and 44 (Third Month).
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Liquidity Fund
Section 3 Liquidity Fund
Section 4 Private Equity Fund
Real Estate Fund
Securitized Asset Fund
Venture Capital Fund
Total
2016Q4
9,149
7,876
112
38
***
***
35
16
14
***
9,351
2017Q1
10,183
8,767
109
38
***
***
35
16
14
***
10,332
2017Q2
10,099
8,765
108
38
***
***
34
16
14
***
10,329
2017Q3
11,369
9,583
109
38
***
***
34
16
13
***
11,572
2017Q4
12,132
10,127
148
39
***
***
33
17
3
***
12,327
2018Q1
14,211
12,095
149
40
***
***
34
17
2
***
14,329
2018Q2
13,418
11,314
148
40
***
***
34
17
2
***
13,619
2018Q3
13,576
10,330
134
40
***
***
34
17
2
***
13,797
Table 21: Aggregate Derivative Value (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 13, and 44 (Third Month).
Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Liquidity Fund
Section 3 Liquidity Fund
Section 4 Private Equity Fund
Real Estate Fund
Securitized Asset Fund
Venture Capital Fund
Total
2016Q4
262.7
288.1
11.5
1.8
***
***
2.3
4.8
9.8
***
126.8
2017Q1
282.8
311.1
11.0
1.8
***
***
2.3
4.8
9.8
***
137.8
2017Q2
276.1
303.3
10.9
1.8
***
***
2.3
4.7
9.4
***
136.7
19
2017Q3
300.8
321.1
11.2
1.8
***
***
2.3
4.8
9.2
***
151.4
2017Q4
312.6
332.4
13.7
1.6
***
***
1.9
4.4
1.7
***
148.4
2018Q1
357.9
389.7
13.7
1.6
***
***
1.9
4.4
1.6
***
169.5
2018Q2
335.5
359.5
13.4
1.6
***
***
1.9
4.4
1.5
***
159.7
2018Q3
335.0
324.3
12.7
1.6
***
***
1.9
4.4
1.5
***
161.8
May 7, 2019
Analytics Office
Figure 6: Distribution of Derivative Values
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
12
10
8
6
4
2
0
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q
20 1
18
Q
20 2
18
Q3
Total Derivative Value ($Billions)
Winsorized (limits=[1%,99%])
20
20
16
Q
20 4
17
Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q
20 1
18
Q
20 2
18
Q3
Total Derivative Value ($Billions)
Winsorized (limits=[1%,99%])
As reported on Form PF, Questions 13 and 44 (Third Month).
1.8
1.6
1.4
1.2
1.0
0.8
0.6
0.4
0.2
0.0
(a) All Private Funds
VI
(b) Qualifying Hedge Funds
High Frequency Trading
Table 22: Number of Hedge Funds Using
High Frequency Trading (HFT) Strategies
As reported on Form PF, Question 21.
Fraction of NAV
0%
Less than 100%
100% or More
2016Q4
7,495
62
11
2017Q1
7,624
62
12
2017Q2
7,666
66
11
2017Q3
7,702
63
12
2017Q4
7,763
42
12
2018Q1
7,875
70
11
2018Q2
7,984
69
11
2018Q3
8,022
58
11
Table 23: Hedge Fund Assets Managed Using HFT Strategies ($ Billions)
As reported on Form PF, Questions 9 and 21.
Fraction of NAV
0%
Less than 100%
100% or More
2016Q4
3,369
78
2
2017Q1
3,487
79
3
2017Q2
3,551
78
3
2017Q3
3,652
43
37
20
2017Q4
3,770
41
37
2018Q1
3,842
46
38
2018Q2
3,891
42
38
2018Q3
3,933
43
38
May 7, 2019
VII
Analytics Office
Hedge Fund Industry Concentration
Table 24: Percent of Aggregate Hedge Fund Net Asset Value
Reported by Top Hedge Funds Sorted by Net Asset Value
As reported on Form PF, Questions 9 and 10.
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2016Q4
8.0
13.8
20.5
29.1
44.2
57.5
2017Q1
7.7
13.4
20.2
28.7
43.7
57.0
2017Q2
7.7
13.5
20.3
28.6
43.5
56.9
2017Q3
7.5
13.2
20.0
28.5
43.5
56.8
2017Q4
7.5
13.4
20.2
28.8
43.3
56.6
2018Q1
7.3
13.3
20.2
28.6
43.0
56.4
2018Q2
7.3
13.5
20.1
28.4
42.6
56.1
2018Q3
7.2
13.5
20.1
28.5
42.6
56.0
Table 25: Percent of Aggregate Hedge Fund Gross Asset Value
Reported by Top Hedge Funds Sorted by Gross Asset Value
As reported on Form PF, Questions 8 and 10.
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2016Q4
14.7
23.2
31.4
41.1
55.1
66.8
2017Q1
14.7
23.6
32.1
41.5
55.2
66.7
2017Q2
14.9
23.3
31.6
41.3
55.1
66.8
2017Q3
15.5
24.2
32.6
42.2
56.0
67.4
2017Q4
15.1
23.8
31.8
41.4
55.4
66.6
2018Q1
15.5
24.2
32.6
42.0
55.5
66.9
2018Q2
15.5
23.8
32.0
41.7
55.2
66.7
2018Q3
15.4
24.4
33.0
42.5
56.0
67.2
Table 26: Percent of Aggregate Hedge Fund Borrowings
Reported by Top Hedge Funds Sorted by Borrowings
As reported on Form PF, Questions 12 and 43 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2016Q4
31.5
44.4
56.1
68.5
81.6
90.0
2017Q1
31.9
45.1
56.7
68.8
81.5
89.9
2017Q2
33.3
46.2
57.4
69.2
81.8
90.1
2017Q3
35.0
47.5
58.7
70.2
82.6
90.5
21
2017Q4
34.5
47.5
59.0
70.8
82.6
90.2
2018Q1
35.2
49.1
60.0
71.1
82.8
90.4
2018Q2
34.5
48.3
59.6
70.7
82.9
90.6
2018Q3
34.7
48.4
60.1
71.0
83.0
90.6
May 7, 2019
Analytics Office
Table 27: Percent of Aggregate Hedge Fund Derivative Value
Reported by Top Hedge Funds Sorted by Derivative Value
As reported on Form PF, Questions 13 and 44 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2016Q4
34.8
48.7
60.3
73.3
86.1
93.3
2017Q1
34.3
48.3
60.8
73.5
86.3
93.2
2017Q2
32.4
46.7
59.5
72.1
85.8
92.7
2017Q3
32.6
49.4
61.7
73.7
86.5
93.3
2017Q4
32.6
47.9
60.3
72.8
86.0
93.1
2018Q1
31.8
49.7
62.2
73.9
87.0
93.8
2018Q2
30.8
49.6
62.1
73.3
86.3
93.2
2018Q3
30.4
48.5
61.4
73.1
86.4
93.3
Table 28: Percent of Aggregate Hedge Fund Gross Notional Exposure
Reported by Top Hedge Funds Sorted by Gross Notional Exposure
As reported on Form PF, Questions 26 and 30 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2016Q4
31.7
45.5
57.0
68.8
82.3
91.3
2017Q1
31.1
44.7
56.9
69.0
82.6
91.4
2017Q2
30.4
43.5
55.7
67.7
82.0
90.7
2017Q3
30.4
45.2
57.1
68.8
82.6
91.1
22
2017Q4
30.5
45.1
56.6
68.6
82.6
91.1
2018Q1
29.6
46.3
59.2
70.5
84.0
92.0
2018Q2
28.4
44.7
58.1
69.6
82.9
91.3
2018Q3
27.6
44.1
57.8
69.4
82.8
91.2
May 7, 2019
VIII
A
Analytics Office
Information Reported by Large Hedge
Fund Advisers
Economic Leverage
Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
14
12
10
8
6
4
2
0
20
20
1
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-0
20 3
18
-0
20 6
18
-09
Ratio of GNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
14
12
10
8
6
4
2
0
6-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-0
20 3
18
-0
20 6
18
-09
Ratio of GNE to NAV
Winsorized (limits=[0%,98%])
As reported on Form PF, Questions 3(a) and 26.
(a) Gross Exposure with Interest Rate Derivatives (IRDs)
23
(b) Gross Exposure without IRDs
(a) Long Exposure with IRDs
8
6
4
2
0
(c) Short Exposure with IRDs
24
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-0
20 3
18
-0
20 6
18
-09
0
16
-1
2
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-0
20 3
18
-0
20 6
18
-09
4
20
6
Ratio of LNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
8
16
-1
10
Ratio of SNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
6-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-0
20 3
18
-0
20 6
18
-09
20
1
Ratio of LNE to NAV
Winsorized (limits=[0%,98%])
10
20
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-0
20 3
18
-0
20 6
18
-09
17
20
-12
16
20
Ratio of SNE to NAV
Winsorized (limits=[0%,98%])
May 7, 2019
Analytics Office
Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and
Short Notional Exposure (SNE) to Net Asset Value Distribution
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
As reported on Form PF, Questions 3(a) and 26.
10
8
6
4
2
0
(b) Long Exposure without IRDs
10
8
6
4
2
0
(d) Short Exposure without IRDs
May 7, 2019
B
Analytics Office
Industry Concentration
Table 29: Large Hedge Fund Adviser Asset and Exposure Concentration
(Percent of Total Reported)
As reported on Form PF, Questions 3(a) and 26.
Month
2016-10
2016-11
2016-12
2017-01
2017-02
2017-03
2017-04
2017-05
2017-06
2017-07
2017-08
2017-09
2017-10
2017-11
2017-12
2018-01
2018-02
2018-03
2018-04
2018-05
2018-06
2018-07
2018-08
2018-09
Top 10 Advisers (NAV)
18.1
18.1
18.1
18.6
18.6
18.6
18.5
18.5
18.5
18.6
18.6
18.6
18.4
18.4
18.4
18.5
18.5
18.5
18.1
18.1
18.1
18.2
18.3
18.4
Top 20 Advisers (NAV)
27.9
27.9
27.9
28.2
28.2
28.2
28.1
28.1
28.1
28.1
28.1
28.1
27.7
27.7
27.7
27.7
27.7
27.7
27.3
27.2
27.2
27.4
27.6
27.7
25
Top 10 Advisers (GNE)
39.6
40.0
36.8
38.4
39.0
37.3
36.1
36.5
36.3
36.6
37.4
36.2
36.0
36.3
36.5
37.5
41.0
40.0
41.0
40.3
38.1
35.4
34.1
34.4
Top 20 Advisers (GNE)
53.2
53.4
50.8
52.2
52.8
51.1
50.1
50.5
50.5
51.1
52.5
50.8
51.3
52.0
51.8
53.6
56.3
55.4
56.5
56.0
53.7
51.2
50.0
49.6
May 7, 2019
Portfolio Turnover
Table 30: Aggregate Portfolio Turnover ($ Billions)
As reported on Form PF, Question 27.
Month
2016-10
2016-11
2016-12
2017-01
2017-02
2017-03
2017-04
2017-05
2017-06
2017-07
2017-08
2017-09
2017-10
2017-11
2017-12
2018-01
2018-02
2018-03
2018-04
2018-05
2018-06
2018-07
2018-08
2018-09
Futures
8,490
13,314
11,026
11,361
12,255
14,639
10,971
11,955
16,994
11,133
10,809
13,460
8,761
10,364
13,350
16,685
18,500
18,023
10,382
15,734
15,104
8,406
18,814
16,440
Sov. and muni. bonds
2,434
3,481
2,265
2,596
2,750
2,735
1,992
3,001
2,963
2,673
2,932
2,997
2,646
2,857
2,459
3,164
3,516
3,238
2,733
3,727
3,080
3,178
3,280
2,953
Listed equities
1,887
2,235
1,785
1,855
1,869
2,043
1,846
2,189
2,187
2,099
2,385
2,259
2,220
2,399
2,081
2,448
2,446
2,273
2,437
2,498
2,581
2,272
2,416
2,110
Corporate bonds
97
95
70
123
105
125
85
131
115
101
92
109
107
210
70
142
132
153
119
132
119
92
96
114
Convertible bonds
24
19
17
20
21
25
16
25
23
17
21
24
29
25
15
33
27
33
22
31
29
17
20
32
Total
12,932
19,143
15,164
15,955
17,001
19,567
14,910
17,300
22,282
16,023
16,239
18,849
13,763
15,856
17,976
22,471
24,620
23,720
15,693
22,121
20,913
13,966
24,625
21,649
Figure 9: Distributions of Portfolio Turnover
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
As reported on Form PF, Questions 3(a) and 27.
25
20
15
10
5
0
20
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-0
20 3
18
-0
20 6
18
-09
Ratio of Turnover to NAV
Winsorized (limits=[1%,99%])
70
60
50
40
30
20
10
0
20
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-0
20 3
18
-0
20 6
18
-09
Total Turnover ($Billions)
Winsorized (limits=[1%,99%])
C
Analytics Office
(a) Total Turnover
(b) Total Turnover to NAV Ratio
26
May 7, 2019
D
Analytics Office
Region and Country Exposure
Table 31: Large Hedge Fund Adviser Hedge Fund
Region Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.
Region
North America
Europe EEA
Asia
South America
Europe Other
Supranational
Africa
Middle East
2016Q4
4,077
1,223
531
87
64
46
18
18
2017Q1
4,406
1,709
596
95
80
60
19
20
2017Q2
4,500
1,669
600
102
78
68
23
23
2017Q3
5,089
1,708
713
108
77
67
24
23
2017Q4
4,527
1,663
673
133
91
75
31
26
2018Q1
4,808
1,989
734
114
86
72
37
30
2018Q2
4,921
1,821
698
112
74
59
33
36
2018Q3
5,111
1,749
678
101
72
60
31
26
Table 32: Large Hedge Fund Adviser Hedge Fund
Region Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.
Region
North America
Europe EEA
Asia
South America
Europe Other
Supranational
Africa
Middle East
2016Q4
136.3
40.9
17.7
2.9
2.1
1.5
0.6
0.6
2017Q1
141.7
55.0
19.2
3.1
2.6
1.9
0.6
0.6
2017Q2
142.9
53.0
19.0
3.2
2.5
2.2
0.7
0.7
2017Q3
155.9
52.3
21.8
3.3
2.4
2.0
0.7
0.7
27
2017Q4
135.4
49.7
20.1
4.0
2.7
2.2
0.9
0.8
2018Q1
140.6
58.2
21.5
3.3
2.5
2.1
1.1
0.9
2018Q2
141.5
52.4
20.1
3.2
2.1
1.7
0.9
1.0
2018Q3
147.3
50.4
19.5
2.9
2.1
1.7
0.9
0.7
May 7, 2019
Analytics Office
Table 33: Large Hedge Fund Adviser Hedge Fund
Country Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.
Country
United States
Japan
China (Inc. Hong Kong)
Brazil
India
Russia
2016Q4
3,866
219
129
37
30
14
2017Q1
4,182
231
130
40
32
17
2017Q2
4,246
229
144
42
35
13
2017Q3
4,824
233
152
45
37
16
2017Q4
4,312
245
164
60
47
18
2018Q1
4,548
269
178
47
38
16
2018Q2
4,681
244
184
50
36
12
2018Q3
4,868
250
165
42
36
11
2018Q2
134.6
7.0
5.3
1.4
1.0
0.3
2018Q3
140.3
7.2
4.8
1.2
1.0
0.3
Table 34: Large Hedge Fund Adviser Hedge Fund
Country Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.
Country
United States
Japan
China (Inc. Hong Kong)
Brazil
India
Russia
2016Q4
129.3
7.3
4.3
1.2
1.0
0.5
2017Q1
134.5
7.4
4.2
1.3
1.0
0.5
2017Q2
134.9
7.3
4.6
1.3
1.1
0.4
28
2017Q3
147.8
7.1
4.7
1.4
1.1
0.5
2017Q4
129.0
7.3
4.9
1.8
1.4
0.5
2018Q1
132.9
7.9
5.2
1.4
1.1
0.5
May 7, 2019
Economic Leverage
Figure 10: Ratio of Qualifying Hedge Fund Gross Notional Exposure to Net Asset Value
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
14
12
10
8
6
4
2
0
20
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-0
20 3
18
-0
20 6
18
-09
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-0
20 3
18
-0
20 6
18
-09
14
12
10
8
6
4
2
0
Ratio of GNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
As reported on Form PF, Questions 9, 10, 26, and 30.
20
A
Qualifying Hedge Fund Specific Information
Ratio of GNE to NAV
Winsorized (limits=[0%,98%])
IX
Analytics Office
(a) Including IRDs
(b) Excluding IRDs
29
-12
16
(c) SNE Including IRDs
30
(a) LNE Including IRDs
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-0
20 3
18
-0
20 6
18
-09
17
20
-12
16
7
6
5
4
3
2
1
0
Ratio of SNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-0
20 3
18
-0
20 6
18
-09
16
20
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-0
20 3
18
-0
20 6
18
-09
20
Ratio of LNE to NAV
Winsorized (limits=[0%,98%])
Ratio of LNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
7
6
5
4
3
2
1
0
20
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-0
20 3
18
-0
20 6
18
-09
20
20
Ratio of SNE to NAV
Winsorized (limits=[0%,98%])
May 7, 2019
Analytics Office
Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and
Short Notional Exposure (SNE) to Net Asset Value
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
As reported on Form PF, Questions 9, 10, 26, and 30.
7
6
5
4
3
2
1
0
(b) LNE Excluding IRDs
7
6
5
4
3
2
1
0
(d) SNE Excluding IRDs
May 7, 2019
B
Analytics Office
Gross Exposure by Strategy5
Table 35: Exposures of Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Other
Macro
Relative Value
Event Driven
Credit
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
Global Macro
Currency
Commodity
Active Trading
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Corp.
F.I. Conv. Arb.
Volatility Arb.
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Total
2016Q4
1,397
841
288
262
6
848
689
606
***
38
***
701
469
123
41
39
28
324
173
80
71
274
231
43
117
***
***
43
4,393
2017Q1
1,482
880
310
***
***
880
694
612
44
35
3
717
488
115
41
44
30
342
172
94
77
283
240
43
131
121
9
42
4,571
2017Q2
1,547
906
330
***
***
935
652
570
***
35
***
750
507
120
48
47
29
353
167
100
86
285
240
45
137
134
3
48
4,706
2017Q3
1,635
926
369
***
***
968
699
617
***
38
***
815
566
119
50
49
31
359
170
100
89
289
240
49
136
134
2
49
4,951
2017Q4
1,664
945
371
***
***
999
660
575
***
40
***
719
477
119
46
50
27
353
167
101
86
287
235
51
142
139
3
49
4,872
2018Q1
1,646
925
371
342
8
983
784
698
***
39
***
739
496
121
49
51
22
363
165
97
101
286
248
38
138
136
2
44
4,983
2018Q2
1,713
950
390
365
8
984
760
670
45
40
5
786
537
127
52
49
21
360
162
100
98
297
238
59
141
139
2
42
5,082
2018Q3
1,760
956
413
383
8
1,004
819
729
45
41
4
774
506
137
56
53
22
350
165
98
88
307
247
60
157
***
***
48
5,218
5
Form PF Question 20 requires advisers to indicate which strategies best describe the reporting fund’s strategies
including a good faith estimate of the reporting fund’s allocation among strategies, and provides a list of investment
strategies for this purpose. Form PF does not define the investment strategies listed by Question 20.
31
May 7, 2019
Analytics Office
Table 36: Exposures of Hedge Funds (Percent of NAV)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Other
Macro
Relative Value
Event Driven
Credit
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
Global Macro
Currency
Commodity
Active Trading
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Corp.
F.I. Conv. Arb.
Volatility Arb.
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Total
2016Q4
51.1
30.8
10.5
9.6
0.2
31.0
25.2
22.2
***
1.4
***
25.6
17.2
4.5
1.5
1.4
1.0
11.9
6.3
2.9
2.6
10.0
8.4
1.6
4.3
***
***
1.6
160.7
2017Q1
52.6
31.2
11.0
***
***
31.2
24.6
21.7
1.6
1.3
0.1
25.4
17.3
4.1
1.4
1.6
1.1
12.1
6.1
3.3
2.7
10.0
8.5
1.5
4.6
4.3
0.3
1.5
162.2
32
2017Q2
53.5
31.4
11.4
***
***
32.3
22.5
19.7
***
1.2
***
26.0
17.5
4.2
1.7
1.6
1.0
12.2
5.8
3.5
3.0
9.8
8.3
1.6
4.7
4.7
0.1
1.6
162.9
2017Q3
54.8
31.0
12.4
***
***
32.4
23.4
20.7
***
1.3
***
27.3
19.0
4.0
1.7
1.7
1.1
12.0
5.7
3.4
3.0
9.7
8.1
1.6
4.6
4.5
0.1
1.6
165.9
2017Q4
54.6
31.0
12.2
***
***
32.8
21.7
18.9
***
1.3
***
23.6
15.7
3.9
1.5
1.6
0.9
11.6
5.5
3.3
2.8
9.4
7.7
1.7
4.6
4.6
0.1
1.6
159.9
2018Q1
53.0
29.8
11.9
11.0
0.3
31.7
25.3
22.5
***
1.3
***
23.8
16.0
3.9
1.6
1.6
0.7
11.7
5.3
3.1
3.3
9.2
8.0
1.2
4.5
4.4
0.1
1.4
160.5
2018Q2
54.4
30.2
12.4
11.6
0.3
31.3
24.1
21.3
1.4
1.3
0.1
25.0
17.1
4.0
1.6
1.6
0.7
11.4
5.1
3.2
3.1
9.4
7.6
1.9
4.5
4.4
0.1
1.3
161.5
2018Q3
55.2
30.0
13.0
12.0
0.2
31.5
25.7
22.9
1.4
1.3
0.1
24.3
15.9
4.3
1.8
1.7
0.7
11.0
5.2
3.1
2.8
9.6
7.8
1.9
4.9
***
***
1.5
163.8
May 7, 2019
C
Analytics Office
Leverage by Strategy
Table 37: Asset Weighted-Average Ratio of GAV to NAV
by Strategy
As reported on Form PF, Questions 8, 9, 10, and 20.
Strategy
Relative Value
Macro
Multi-Strategy
Other
Equity
Credit
Managed Futures/CTA
Event Driven
Investment in other funds
2016Q4
4.1
3.3
2.4
1.6
1.6
1.5
1.2
1.3
1.1
2017Q1
4.6
3.7
2.2
1.6
1.6
1.6
1.2
1.3
1.1
2017Q2
5.0
3.6
2.2
1.6
1.6
1.6
1.9
1.3
1.0
2017Q3
5.0
3.9
2.3
1.6
1.6
1.5
1.2
1.3
***
2017Q4
4.7
3.7
2.2
1.7
1.6
1.5
1.2
1.3
1.0
2018Q1
5.0
3.9
2.2
1.6
1.7
1.5
1.2
1.3
1.3
2018Q2
5.1
4.1
2.2
1.6
1.6
1.5
1.3
1.3
1.1
2018Q3
4.7
4.4
2.3
1.7
1.7
1.5
1.3
1.3
1.1
Table 38: Asset Weighted-Average Ratio of GNE to NAV
by Strategy
As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month).
Strategy
Macro
Relative Value
Managed Futures/CTA
Multi-Strategy
Other
Equity
Investment in other funds
Credit
Event Driven
2016Q4
13.6
16.4
7.3
10.1
4.7
3.1
1.4
2.7
2.0
2017Q1
16.8
19.1
8.0
7.9
5.0
3.2
1.7
3.3
2.2
2017Q2
18.1
17.6
9.5
7.9
5.3
3.2
1.6
3.0
2.0
2017Q3
20.6
18.5
8.4
9.0
5.4
3.2
***
3.1
2.0
2017Q4
21.5
18.2
10.0
8.6
5.4
3.2
1.7
3.2
2.0
2018Q1
26.8
20.9
8.4
9.7
5.0
4.0
2.6
3.3
2.0
2018Q2
27.7
19.9
10.5
8.4
4.4
3.3
2.4
2.9
1.9
2018Q3
23.8
19.0
14.0
8.4
4.7
3.6
3.6
2.8
1.9
Table 39: Asset Weighted-Average Percent of Unencumbered Cash
by Strategy
As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month).
Strategy
Managed Futures/CTA
Macro
Multi-Strategy
Other
Relative Value
Equity
Event Driven
Credit
Investment in other funds
2016Q4
67.7
41.4
28.1
25.6
22.5
12.2
11.5
11.7
5.5
2017Q1
65.5
37.9
25.3
21.5
22.7
10.6
8.0
9.8
3.4
2017Q2
61.2
40.6
22.4
20.6
19.9
11.5
11.1
10.9
6.2
33
2017Q3
59.0
40.3
24.9
21.3
21.0
9.8
10.0
9.9
***
2017Q4
58.0
40.2
24.8
21.0
19.3
10.2
9.7
9.8
9.4
2018Q1
60.6
37.0
24.7
18.5
20.9
9.7
8.1
8.3
4.2
2018Q2
55.5
36.4
27.1
18.9
18.7
11.5
8.6
7.0
6.6
2018Q3
47.5
36.8
30.6
19.2
18.5
11.3
9.6
7.3
3.6
May 7, 2019
D
Analytics Office
Investment Exposures
Table 40: Aggregate Qualifying Hedge Fund Gross Notional Exposure
by Asset Type ($ Billions)
As reported on Form PF, Questions 26 and 30.
Cash/Cash Equivalents
Securities - Equities
Securities - Treasuries
Securities - G10 (non-US)
Securities - Other Bonds
Securities - Corp. Bonds
Securities - MBS
Securities - Conv. Bonds
Securities - ABS (non-MBS)
Derivatives - IR
Derivatives - FX
Derivatives - Equity
Derivatives - Credit
Derivatives - Commodity
Derivatives - Other
Repurchase Agreements
Other
2016Q4
672
2,114
1,139
971
190
252
227
69
76
3,532
2,429
1,105
594
324
136
1,156
678
2017Q1
679
2,299
1,142
1,017
203
268
246
82
75
4,149
2,634
1,182
636
329
132
1,314
697
2017Q2
682
2,393
1,107
1,037
233
269
241
89
77
3,824
2,711
1,215
683
331
273
1,374
725
2017Q3
677
2,521
1,156
1,138
263
259
254
82
75
4,125
3,051
1,283
798
368
267
1,348
775
2017Q4
681
2,599
1,158
1,179
254
253
266
82
77
4,446
3,149
1,331
716
378
412
1,280
748
2018Q1
726
3,035
1,196
1,321
289
264
264
94
80
5,699
3,738
1,364
733
366
568
1,452
764
2018Q2
740
2,709
1,342
1,277
286
272
252
97
88
5,390
3,245
1,307
684
381
580
1,533
791
2018Q3
747
2,738
1,477
1,241
299
278
276
93
87
5,512
2,470
1,317
669
380
339
1,553
783
Table 41: Percent of Qualifying Hedge Fund Gross Notional Exposure
Representing Long Notional Exposure
As reported on Form PF, Questions 26 and 30.
Cash/Cash Equivalents
Securities - Equities
Securities - Treasuries
Securities - G10 (non-US)
Securities - Other Bonds
Securities - Corp. Bonds
Securities - MBS
Securities - Conv. Bonds
Securities - ABS (non-MBS)
Derivatives - IR
Derivatives - FX
Derivatives - Equity
Derivatives - Credit
Derivatives - Commodity
Derivatives - Other
Repurchase Agreements
Other
2016Q4
86.9
70.1
68.1
49.7
74.6
81.7
76.0
95.2
98.7
51.0
48.6
55.2
48.3
63.4
58.5
48.7
89.1
2017Q1
85.0
70.2
65.3
49.3
77.5
80.9
74.1
95.2
98.0
48.3
50.9
56.3
47.3
64.2
60.2
50.0
87.8
2017Q2
86.8
70.0
63.2
50.2
77.7
79.9
73.6
95.6
98.0
47.3
50.1
55.6
47.7
58.9
53.3
49.5
90.3
34
2017Q3
88.0
70.3
62.3
50.3
70.8
81.2
71.9
94.1
96.7
47.7
49.8
56.8
47.4
64.1
51.2
52.0
87.0
2017Q4
85.9
71.9
62.9
50.5
73.6
81.6
71.2
93.4
96.8
49.4
49.9
57.0
47.8
64.5
53.7
52.2
89.9
2018Q1
80.8
75.5
60.4
52.5
72.8
81.9
73.2
88.2
98.2
51.2
56.8
51.5
44.8
65.7
46.6
52.0
88.9
2018Q2
79.8
70.7
62.7
51.4
72.9
82.6
74.2
88.0
95.5
52.2
53.5
51.6
45.3
62.7
41.6
47.1
88.1
2018Q3
82.0
70.8
63.1
49.4
71.0
82.8
71.0
87.8
95.0
49.3
55.6
52.2
45.2
59.6
34.4
47.3
87.9
May 7, 2019
Liquidity
Table 42: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 50.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2016Q4
7.9
13.9
26.4
49.5
58.7
74.1
2017Q1
8.2
14.3
28.5
47.5
59.7
74.1
2017Q2
8.1
14.4
27.1
46.6
59.3
73.9
2017Q3
8.3
14.6
27.5
48.2
61.6
73.6
2017Q4
8.5
15.0
28.1
50.9
60.0
73.8
2018Q1
8.9
15.5
30.0
48.9
60.3
74.1
2018Q2
9.0
15.3
27.8
47.6
58.9
73.6
2018Q3
8.8
14.9
27.8
47.9
61.3
73.7
Table 43: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 26, 30, and 32.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2016Q4
40.1
63.2
76.7
83.0
86.3
89.8
2017Q1
38.3
61.5
76.0
82.1
85.8
89.6
2017Q2
38.6
62.2
76.4
82.5
86.1
89.7
2017Q3
38.0
61.8
76.0
82.4
85.8
89.2
2017Q4
38.7
62.5
76.2
82.5
86.1
89.6
2018Q1
39.6
63.0
76.2
82.7
86.1
89.5
2018Q2
39.3
62.6
75.8
82.3
85.8
89.3
Figure 12: Asset Weighted-Average Qualifying Hedge Fund
Investor and Portfolio Liquidity
s
65
mo
At
st 3
80
mo
st 1
day
s
day
ays
35
At
mo
st 9
At
0d
mo
st 3
At
0d
ays
7d
ost
At
m
mo
st 1
Investor Liquidity
ays
Portfolio Liquidity
90
80
70
60
50
40
30
20
10
0
day
Percent of Fund Net Assets (%)
As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of Third Calendar Quarter 2018.
At
E
Analytics Office
2018Q3
38.9
62.1
75.5
81.5
85.0
88.5
May 7, 2019
Analytics Office
Table 44: Restrictions on Qualifying Hedge Fund Assets ($ Billions)
As reported on Form PF, Questions 48 and 49.
2016Q4
2,145
1,287
38
27
19
2017Q1
2,212
1,335
39
27
27
2017Q2
2,263
1,359
38
28
27
2017Q3
2,325
1,392
39
30
22
2017Q4
2,363
1,405
39
38
17
2018Q1
2,410
1,457
42
39
***
2018Q2
2,428
1,487
41
32
13
Figure 13: Percentage of Qualifying Hedge Fund NAV
Subject to a Side-Pocket Arrangement
As reported on Form PF, Questions 9 and 48.
20
1
7Q
20 1
17
Q
20 2
17
Q
20 3
17
Q
20 4
18
Q
20 1
18
Q
20 2
18
Q3
70
60
50
40
30
20
10
0
6Q
4
NAV in Side-Pocket (%)
See Appendix C for an explanation of boxplots.
20
1
Type
May Suspend
May Have Gates
Side-Pocketed
Gated
Suspended
36
2018Q3
2,469
1,510
39
34
12
May 7, 2019
F
Analytics Office
Borrowings
Table 45: Borrowings of Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Question 43 (Third Month).
Type
Secured
Unsecured
Total
Subtype
Subtotal
Prime Broker
Reverse Repo
Other Secured
Subtotal
Total
2016Q4
2,057
1,087
675
295
12
2,069
2017Q1
2,238
1,185
739
313
14
2,252
2017Q2
2,391
1,265
795
331
11
2,402
2017Q3
2,437
1,371
721
345
12
2,448
2017Q4
2,419
1,379
685
356
14
2,433
2018Q1
2,592
1,418
780
394
14
2,606
2018Q2
2,813
1,526
894
392
14
2,827
2018Q3
2,830
1,591
862
377
12
2,842
Table 46: Aggregate Borrowing by Creditor Entity Type (Percent)
As reported on Form PF, Question 43 (Third Month).
Creditor Type
US Financial
Non-US Financial
US Non-Financial
Non-US Non-Financial
2016Q4
63.2
36.3
0.3
0.1
2017Q1
61.3
38.3
***
***
2017Q2
61.1
38.5
0.3
0.1
2017Q3
61.4
38.3
***
***
2017Q4
61.7
37.9
***
***
2018Q1
60.5
39.1
***
***
2018Q2
63.3
36.4
***
***
2018Q3
63.6
36.1
***
***
Table 47: Aggregate Collateral for Secured Borrowings
of Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Question 43 (Third Month).
Borrowing Type
Prime Broker
Reverse Repo
Other Secured
Total
Collateral Type
Subtotal
Other
Cash
Subtotal
Other
Cash
Subtotal
Other
Cash
Total
2016Q4
1,333
857
476
691
451
241
349
210
139
2,374
2017Q1
1,466
949
517
783
517
266
384
254
130
2,633
2017Q2
1,544
1,022
521
786
506
281
407
251
156
2,737
37
2017Q3
1,672
1,151
522
734
478
256
423
265
158
2,830
2017Q4
1,685
1,183
502
718
455
263
426
262
165
2,829
2018Q1
1,751
1,225
526
781
513
268
447
296
152
2,979
2018Q2
1,839
1,270
568
909
569
340
468
308
159
3,215
2018Q3
2,148
1,557
591
885
573
312
436
298
138
3,468
(b) Prime Broker Borrowing
38
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-0
20 3
18
-0
20 6
18
-09
16
20
8
7
6
5
4
3
2
1
0
Collateral/Reverse Repo Borrowing
Winsorized (limits=[0%,98%])
16
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-0
20 3
18
-0
20 6
18
-09
20
Collateral/Prime Broker Borrowing
Winsorized (limits=[0%,98%])
-1
20 2
17
-0
20 3
17
-0
20 6
17
-0
20 9
17
-1
20 2
18
-0
20 3
18
-0
20 6
18
-09
16
20
Collateral/Total Secured Borrowing
Winsorized (limits=[0%,98%])
May 7, 2019
Analytics Office
Figure 14: Ratio of Collateral Posted to Secured Borrowing
for Qualifying Hedge Funds
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
As reported on Form PF, Question 43.
8
7
6
5
4
3
2
1
0
(a) Total Secured Borrowing
8
7
6
5
4
3
2
1
0
(c) Reverse Repo Borrowing
May 7, 2019
Analytics Office
Table 48: Financing Liquidity for Qualifying Hedge Funds
(Percent of Available Financing)
As reported on Form PF, Question 46.
Financing Available
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2016Q4
35.8
48.1
64.0
81.1
95.9
97.3
2017Q1
36.3
52.9
65.0
80.2
96.0
97.3
2017Q2
34.6
53.4
65.4
80.8
96.2
97.4
2017Q3
35.4
51.7
64.1
79.3
96.0
97.3
2017Q4
34.2
49.5
64.7
80.3
95.9
97.2
2018Q1
31.6
51.5
64.9
80.6
95.8
96.9
2018Q2
32.9
52.7
66.7
80.6
95.8
97.1
Figure 15: Weighted-Average Qualifying Hedge Fund
Financing Liquidity (Percent of Available Financing)
As reported on Form PF, Question 46 as of Third Calendar Quarter 2018.
Financing Liquidity
st 1 Percent of Available Financing (%)
day
100
80
60
40
20
s
mo
st 3
At
65
day
s
mo
st 1
80
day
ays
39
At
mo
At
st 9
0d
mo
At
st 3
0d
ays
s
day
st 7
mo
At
At
mo
0
2018Q3
35.8
51.8
66.0
79.9
96.0
97.2
May 7, 2019
Central Clearing
Figure 16: Qualifying Hedge Funds Using Central Clearing
As reported on Form PF, Question 39.
Percent of Funds
20
Percent of NAV
15
10
5
40
3
18
Q
20
2
18
Q
20
1
18
Q
20
4
17
Q
20
3
17
Q
20
2
17
Q
20
1
17
Q
20
16
Q
4
0
20
G
Analytics Office
May 7, 2019
H
Analytics Office
Value-at-Risk (“VaR”) Reporting
Table 49: Number of Qualifying Hedge Funds Using VaR
As reported on Form PF, Question 40.
VaR Method
VaR (Any Method)
Historical Simulation
Parametric
Monte Carlo Simulation
Other
VaR Not Used
2016Q4
628
234
196
194
41
1,021
2017Q1
637
238
190
200
43
1,034
2017Q2
649
249
190
205
44
1,068
2017Q3
649
271
186
188
42
1,078
2017Q4
663
278
193
186
47
1,137
2018Q1
660
286
185
175
51
1,110
2018Q2
672
287
193
178
52
1,131
2018Q3
682
298
194
182
52
1,134
Table 50: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions)
As reported on Form PF, Questions 8 and 40.
VaR Method
VaR (Any Method)
Historical Simulation
Parametric
Monte Carlo Simulation
Other
VaR Not Used
2016Q4
3,212
1,700
731
637
368
1,994
2017Q1
3,397
1,829
737
854
402
2,066
2017Q2
3,480
1,798
760
938
431
2,201
2017Q3
3,586
1,900
767
930
461
2,269
2017Q4
3,546
1,882
806
835
495
2,316
2018Q1
3,661
1,969
817
854
496
2,412
2018Q2
3,779
2,027
837
838
522
2,497
2018Q3
3,841
2,017
842
670
759
2,543
Table 51: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions)
As reported on Form PF, Questions 9 and 40.
VaR Method
VaR (Any Method)
Historical Simulation
Parametric
Monte Carlo Simulation
Other
VaR Not Used
2016Q4
1,293
479
459
345
91
1,441
2017Q1
1,334
491
465
395
92
1,484
2017Q2
1,366
504
474
416
90
1,524
41
2017Q3
1,394
561
477
386
90
1,590
2017Q4
1,397
562
490
377
89
1,649
2018Q1
1,423
580
494
375
91
1,681
2018Q2
1,430
570
500
379
96
1,718
2018Q3
1,434
575
496
353
130
1,752
May 7, 2019
I
Analytics Office
Stress Testing and VaR
Table 52: Number of Qualifying Hedge Funds Managed Using
VaR or Market Factor Change Testing (“Stress Testing”)
As reported on Form PF, Questions 40 and 42.
Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither
2016Q4
552
453
76
568
2017Q1
545
451
92
583
2017Q2
555
457
94
611
2017Q3
555
467
94
611
2017Q4
589
498
74
639
2018Q1
593
494
67
616
2018Q2
599
489
73
642
2018Q3
613
496
69
638
Table 53: Aggregate Qualifying Hedge Fund GAV Managed
Using VaR or Stress Testing ($ Billions)
As reported on Form PF, Questions 8, 40, and 42.
Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither
2016Q4
3,033
1,001
179
993
2017Q1
3,158
1,076
240
990
2017Q2
3,209
1,114
271
1,086
2017Q3
3,350
1,178
236
1,091
2017Q4
3,386
1,190
160
1,126
2018Q1
3,499
1,269
162
1,143
2018Q2
3,612
1,291
168
1,205
2018Q3
3,675
1,300
165
1,243
Table 54: Aggregate Qualifying Hedge Fund NAV Managed
Using VaR or Stress Testing ($ Billions)
As reported on Form PF, Questions 9, 40, and 42.
Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither
2016Q4
1,176
661
117
780
2017Q1
1,189
683
146
801
2017Q2
1,219
673
147
850
2017Q3
1,236
712
158
878
42
2017Q4
1,289
736
108
914
2018Q1
1,313
746
110
935
2018Q2
1,318
743
112
974
2018Q3
1,320
757
114
995
May 7, 2019
Analytics Office
X
Section 3 Liquidity Fund Specific Information
A
Liquidity
Table 55: Investor Liquidity For Section 3 Liquidity Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 64.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2016Q4
80.9
97.3
99.6
99.8
99.9
100.0
2017Q1
78.0
95.5
99.7
100.0
100.0
100.0
2017Q2
79.6
95.2
99.5
99.8
99.9
99.9
2017Q3
79.1
95.5
99.5
99.7
99.8
99.9
2017Q4
80.5
95.5
99.5
99.7
99.8
99.9
2018Q1
78.9
95.5
99.7
99.9
99.9
100.0
2018Q2
79.1
96.1
99.7
99.9
100.0
100.0
2018Q3
78.8
96.0
99.5
99.8
99.9
100.0
Table 56: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Question 63.
Type
May Suspend
May Have Gates
Suspended
Gated
2017Q1
246
215
0
0
2017Q2
255
224
0
0
2017Q3
261
226
0
0
2017Q4
273
237
0
0
2018Q1
269
232
0
0
2018Q2
284
245
0
0
2018Q3
291
255
0
0
Portfolio Characteristics
Figure 17: Weighted-Average Maturity Reported by Section 3 Liquidity Funds
As reported on Form PF, Question 55.
Average WAM
50
Asset-Weighted WAM
40
30
20
10
43
8-0
9
20
1
8-0
6
20
1
8-0
3
20
1
7-1
2
20
1
7-0
9
20
1
7-0
6
20
1
7-0
3
20
1
6-1
2
0
20
1
Weighted Average Maturity (WAM) in Days
B
2016Q4
253
220
0
0
May 7, 2019
Analytics Office
Figure 18: Weighted-Average Life Reported by Section 3 Liquidity Funds
-09
18
20
18
20
-06
18
20
-03
17
20
-12
17
20
-09
17
20
17
20
-03
16
20
Asset-Weighted WAL
-06
Average WAL
90
80
70
60
50
40
30
20
10
0
-12
Weighted Average Life (WAL) in Days
As reported on Form PF, Question 55.
Figure 19: Seven-Day Gross Yield Reported by Section 3 Liquidity Funds
As reported on Form PF, Question 55.
Average Yield
Asset-Weighted Yield
2.5
2.0
1.5
1.0
0.5
44
-09
18
20
-06
18
20
-03
18
20
-12
20
17
-09
17
20
-06
17
20
-03
17
20
16
-12
0.0
20
Seven-Day Gross Yield (%)
3.0
May 7, 2019
Analytics Office
Figure 20: Ratio of Daily Liquid Assets to Net Asset Value of Section 3 Liquidity Funds
As reported on Form PF, Question 55.
Average DLA
Asset-Weighted DLA
80
60
40
20
-09
18
20
-06
18
20
-03
18
20
-12
17
20
-09
17
20
-06
17
20
17
20
16
20
-03
0
-12
Ratio of Daily Liquid Assets (DLA)
to Net Asset Value (%)
100
Figure 21: Ratio of Weekly Liquid Assets to Net Asset Value of Section 3 Liquidity Funds
Average WLA
100
Asset-Weighted WLA
80
60
40
20
45
-09
18
20
-06
18
20
-03
18
20
-12
17
20
-09
17
20
-06
17
20
-03
17
20
16
-12
0
20
Ratio of Weekly Liquid Assets (WLA)
to Net Asset Value (%)
As reported on Form PF, Question 55.
May 7, 2019
C
Analytics Office
Rule 2a-7 Compliance
Table 57: Rule 2a-7 Compliance (Percent of Funds)
As reported on Form PF, Questions 9 and 54.
Compliance Type
Credit Quality
Diversification
Maturity
Liquidity
Fully
None
2016Q4
59.1
56.8
56.8
56.8
50.0
38.6
2017Q1
57.8
55.6
55.6
55.6
48.9
40.0
2017Q2
59.6
55.3
55.3
55.3
48.9
38.3
2017Q3
56.5
52.2
52.2
52.2
45.7
41.3
2017Q4
56.2
52.1
52.1
52.1
45.8
41.7
2018Q1
58.7
54.3
54.3
50.0
45.7
41.3
2018Q2
60.0
55.6
55.6
51.1
46.7
40.0
2018Q3
60.0
55.6
55.6
51.1
46.7
40.0
Table 58: Rule 2a-7 Compliance (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 54.
Compliance Type
Credit Quality
Diversification
Maturity
Liquidity
Fully
None
D
2016Q4
14.4
13.8
13.6
13.6
11.8
85.5
2017Q1
15.5
14.9
14.8
14.8
12.8
84.3
2017Q2
15.9
14.9
14.7
14.7
12.8
84.1
2017Q3
15.9
14.9
15.0
15.0
12.8
83.9
2017Q4
14.7
13.7
13.7
13.7
11.8
85.2
2018Q1
15.9
14.9
14.9
14.5
12.7
84.1
2018Q2
14.6
13.7
13.7
13.4
11.7
85.4
2018Q3
14.5
13.5
13.5
13.3
11.5
85.5
Methods of Calculating NAV
Table 59: NAV Calculation Method (Percent of Funds)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2016Q4
81.8
18.2
2017Q1
80.0
20.0
2017Q2
78.7
21.3
2017Q3
78.3
21.7
2017Q4
79.2
20.8
2018Q1
80.4
19.6
2018Q2
80.0
20.0
2018Q3
77.8
22.2
Table 60: NAV Calculation Method (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2016Q4
69.9
30.1
2017Q1
71.4
28.6
2017Q2
68.3
31.7
2017Q3
70.2
29.8
46
2017Q4
69.1
30.9
2018Q1
70.3
29.7
2018Q2
68.4
31.6
2018Q3
68.0
32.0
May 7, 2019
Aggregate Portfolio Holdings
Table 61: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2
9
72.2
50.4
44.5
37.6
27.2
22.8
16.3
5.0
1.1
69.1
47.5
44.3
36.2
27.5
19.8
16.6
5.7
0.9
74.3
50.9
43.9
39.6
28.6
19.1
16.9
4.3
0.9
73.9
48.5
42.7
37.7
29.0
18.6
16.7
4.0
0.9
69.7
47.0
43.5
39.4
30.2
21.4
15.2
5.5
0.9
7-0
73.5
55.9
39.8
34.0
21.0
23.4
17.2
4.6
0.9
7-0
201
8
7
201
65.7
56.3
38.4
40.2
18.3
21.6
14.9
4.9
0.9
7-0
201
-06
201
7
5
67.7
59.1
42.2
37.1
21.2
21.0
13.6
3.8
1.3
7-0
201
4
68.2
56.3
43.2
35.2
26.9
23.1
14.2
3.7
1.3
7-0
3
201
60.7
66.4
35.4
35.3
33.4
22.1
8.5
4.0
1.6
7-0
201
2
201
62.4
66.0
27.2
32.0
39.8
22.4
10.1
4.2
1.7
7-0
201
7-0
1
6-1
2
1
201
Product Type
Deposits
U.S. Treasuries
Other
Commercial Paper
Repo - Govt. Collateral
Asset-Backed Securities
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
6-1
201
56.8
63.2
28.5
32.4
42.5
22.5
7.9
5.1
1.9
6-1
201
0
As reported on Form PF, Question 63.
Table 62: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2
61.5
53.3
47.3
50.5
43.9
21.9
17.6
5.1
1.0
59.0
54.5
49.9
47.0
45.3
22.0
17.2
4.5
1.0
64.1
53.6
47.9
45.8
44.8
20.2
17.8
4.8
1.2
8-0
201
9
8
201
64.6
61.9
48.6
42.8
35.1
23.1
16.2
5.7
1.1
8-0
201
7
201
60.8
54.5
48.1
44.1
39.0
22.6
19.7
5.2
1.0
8-0
201
8-0
6
8-0
4
201
64.2
56.7
45.8
42.6
40.6
21.9
17.1
4.6
1.2
8-0
201
8-0
54.3
60.9
45.1
42.2
34.2
21.4
15.8
5.4
1.0
47
5
8-0
2
201
69.3
54.2
47.5
41.2
30.5
21.3
16.8
5.6
1.0
-01
201
8
72.3
54.2
48.7
42.9
37.3
21.7
16.8
4.8
0.9
-12
201
7
66.6
58.2
46.9
37.5
29.6
19.8
15.3
5.6
0.9
7-1
1
201
73.2
56.4
41.9
41.9
31.0
19.6
16.2
5.6
1.2
0
73.6
50.6
41.6
41.8
32.1
20.6
16.7
5.4
1.2
7-1
Product Type
Deposits
U.S. Treasuries
Other
Commercial Paper
Repo - Govt. Collateral
Asset-Backed Securities
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
3
As reported on Form PF, Question 63.
201
E
Analytics Office
May 7, 2019
XI
A
Analytics Office
Section 4 Private Equity Fund Specific Information
CPC Industry Concentration
Table 63: Gross Assets in CPC Industries (Percent of Total)
As reported on Form PF, Questions 8 and 77.
Type
Oil & Gas Extraction
Software Publishers
Electric Power Generation, Transmission & Distribution
Data Processing, Hosting, & Related Services
Telecommunications Data Processing Services
Other Information Services
Pipeline Transportation
Other Financial Vehicles
Management, Scientific, & Technical Consulting Services
Pharmaceutical & Medicine Mfg
Custom Computer Programming Services
Educational Services
Other Financial Investment Activities
Investigation & Security Services
Activities Related to Credit Intermediation
Other Insurance Related Activities
Utility System Construction
Insurance Agencies & Brokerages
Natural Gas Distribution
Support Activities for Mining
Fruit & Vegetable Preserving & Specialty Food Mfg
48
2013Q4
7.9
2.8
3.8
2.9
2.6
2.0
2.4
0.4
1.0
1.0
0.9
1.4
2.0
0.5
1.2
0.9
0.4
0.9
0.5
1.3
0.2
2014Q4
7.8
3.8
3.8
2.3
2.5
2.1
2.6
0.4
1.2
1.3
1.0
1.3
1.8
0.5
1.2
1.0
0.5
1.0
0.4
1.6
0.1
2015Q4
5.8
4.9
3.7
1.8
2.7
1.9
2.4
0.6
1.1
1.5
1.5
1.3
1.8
0.7
1.4
1.0
0.8
1.0
0.6
1.2
0.0
2016Q4
6.7
6.1
4.1
2.0
2.3
1.8
2.2
1.8
1.3
1.4
1.5
1.2
1.7
1.2
1.0
2.0
0.8
1.2
0.7
1.0
0.1
2017Q4
6.2
6.0
4.2
2.3
2.2
2.0
1.9
1.6
1.6
1.5
1.5
1.4
1.4
1.4
1.2
1.2
1.2
1.1
1.0
1.0
1.0
May 7, 2019
CPC Financial Leverage
Figure 22: Distribution of Ratio of Aggregate CPC Current Liabilities
to Total Liabilities of Section 4 Private Equity Funds
See Appendix C for an explanation of boxplots.
60
50
40
30
20
10
Q4
17
20
Q4
16
20
Q4
15
20
Q4
14
20
20
Q4
0
13
Ratio of Portfolio Company Current
Liabilities to Total Liabilities (%)
As reported on Form PF, Questions 71 and 72.
Figure 23: Distribution of CPC Payment-in-Kind or
Zero Coupon Borrowings to Total Borrowings Ratio
See Appendix C for an explanation of boxplots.
50
As reported on Form PF, Question 73.
40
30
20
10
49
Q4
17
20
Q4
16
20
Q4
15
20
Q4
14
20
20
Q4
0
13
CPC Payment-in-Kind Borrowings
to Total Borrowings Ratio (%)
B
Analytics Office
May 7, 2019
C
Analytics Office
CPC Investments by Region and Country
Table 64: Aggregate Gross Value of Private Equity
Investments by Region ($ Billions)
As reported on Form PF, Questions 70 and 78.
Region
North America
Europe EEA
Asia
South America
Europe Other
Supranational
Middle East
Africa
2013Q4
5,279
1,423
571
75
25
65
8
20
2014Q4
4,506
1,259
462
85
9
67
12
12
2015Q4
4,132
941
447
58
21
23
9
12
2016Q4
3,942
848
406
111
22
37
15
18
2017Q4
4,274
1,543
379
258
98
49
23
14
Table 65: Private Equity CPC Investments by Region
(Percent of Aggregate CPC Gross Asset Value)
As reported on Form PF, Questions 70 and 78.
Region
North America
Europe EEA
Asia
South America
Europe Other
Supranational
Middle East
Africa
2013Q4
70.7
19.1
7.6
1.0
0.3
0.9
0.1
0.3
2014Q4
70.2
19.6
7.2
1.3
0.1
1.0
0.2
0.2
50
2015Q4
73.2
16.7
7.9
1.0
0.4
0.4
0.2
0.2
2016Q4
73.0
15.7
7.5
2.0
0.4
0.7
0.3
0.3
2017Q4
64.4
23.2
5.7
3.9
1.5
0.7
0.3
0.2
May 7, 2019
Analytics Office
Table 66: Aggregate Gross Asset Value of Private Equity
CPC Investments by Country ($ Billions)
As reported on Form PF, Questions 70 and 78.
Country
United States
China and Hong Kong
Brazil
India
Japan
Russia
2013Q4
5,039
171
45
63
233
3
2014Q4
4,305
186
58
83
98
2
2015Q4
3,943
173
41
89
85
5
2016Q4
3,776
114
88
92
79
4
2017Q4
3,794
147
131
73
52
4
Table 67: Private Equity CPC Investments by Country
(Percent of Aggregate CPC Gross Asset Value)
As reported on Form PF, Questions 70 and 78.
Country
United States
China and Hong Kong
Brazil
India
Japan
Russia
2013Q4
67.5
2.3
0.6
0.8
3.1
0.0
2014Q4
67.1
2.9
0.9
1.3
1.5
0.0
51
2015Q4
69.9
3.1
0.7
1.6
1.5
0.1
2016Q4
69.9
2.1
1.6
1.7
1.5
0.1
2017Q4
57.1
2.2
2.0
1.1
0.8
0.1
May 7, 2019
XII
A
Analytics Office
Appendices
Form PF Filer Categories
The amount of information an adviser must report and the frequency with which it must report
on Form PF depends on the amount of the adviser’s private fund assets and the types of private
funds managed. Reporting advisers must identify the types of private funds they manage on Form
PF.
1
All Private Fund Advisers
SEC-registered investment advisers with at least $150 million in private fund assets under
management are required to file Form PF. Registered investment advisers with less than $150 million
in private funds assets under management, exempt reporting advisers, and state-registered advisers
report general private fund data on Form ADV, but do not file Form PF.6 Not all Form PF filers
report on a quarterly basis. Smaller private fund advisers and all private equity fund advisers file
Form PF on an annual basis, while larger hedge fund advisers and larger liquidity fund advisers file
the form quarterly.7 As a result of the difference in reporting frequency, information in this report
related to funds that are reported annually may be dated by several months.8
2
Large Hedge Fund Advisers
Large Hedge Fund Advisers have at least $1.5 billion in hedge fund assets under management.
A Large Hedge Fund Adviser is required to file Form PF quarterly and provide data about each
hedge fund it managed during the reporting period (irrespective of the size of the fund).
Large Hedge Fund Advisers must report more information on Form PF about Qualifying Hedge
Funds than other hedge funds they manage during the reporting period. A Qualifying Hedge Fund is
any hedge fund advised by a Large Hedge Fund Adviser that had a NAV (individually or in
combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of
at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the
adviser’s most recently completed fiscal quarter. This report provides information about all hedge
funds reported by Large Hedge Fund Advisers, including Qualifying Hedge Funds and smaller hedge
funds. This report also provides an overview of certain data reported solely for Qualifying Hedge
Funds.
6
Note that these thresholds are on a gross basis. Exempt reporting advisers are advisers that rely on the exemptions
from SEC registration in Advisers Act section 203(l) for venture capital fund advisers and section 203(m) for advisers
managing less than $150 million in private fund assets in the U.S.
7
An adviser may be a large hedge fund adviser that must file quarterly to report data about the hedge funds it manages
as well as a private equity fund adviser that must file only annually to report data about the private equity funds it
manages.
8
In addition, because some Form PF filers have fiscal year ends that are not December 31, not all Form PF data is filed
as of a single date.
52
May 7, 2019
3
Analytics Office
Large Liquidity Fund Advisers
Large Liquidity Fund Advisers have at least $1 billion in combined liquidity fund and money
market fund assets under management. On a quarterly basis, such advisers report on Form PF data
about the liquidity funds they managed during the reporting period (irrespective of the size of the
fund). This report contains information about all liquidity funds reported by Large Liquidity Fund
Advisers (referred to in this report as “Section 3 Liquidity Funds”).
4
Large Private Equity Fund Advisers
Large Private Equity Fund Advisers have at least a $2 billion in private equity fund assets
under management. These advisers are required to file Form PF annually in connection with the
private equity funds they managed during the reporting period. Smaller Private Equity Fund
Advisers must file annually as well, but provide less detail regarding the private equity funds they
manage. This report provides information about private equity funds managed by Large Private
Equity Fund Advisers (referred to in this report as “Section 4 Private Equity Funds”).
5
Other Private Fund Advisers
All advisers required to file Form PF that are not Large Hedge Fund Advisers or Large
Liquidity Fund Advisers must file Form PF annually to report data about each private fund
managed by the adviser.9 These “annual filing advisers” include smaller fund advisers, Large Private
Equity Fund advisers, and venture capital fund advisers. Annual filers must provide specific
information about each of the private funds they manage on an annual basis.
9
This includes “other private funds,” which are private funds that do not meet the Form PF definition of hedge fund,
liquidity fund, private equity fund, real estate fund, securitized asset fund, or venture capital fund.
53
May 7, 2019
B
Analytics Office
Handling Annual and Quarterly Data
Only a subset of filers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are
required to file Form PF quarterly; all other filings are made annually. Annual filings are typically,
but not always, made at the end of the calendar year, as Form PF allows filings to be made at the
end of an adviser’s fiscal year. In order to present the most complete and recent data possible, while
accounting for differences in filing dates, we use the following procedure for determining which data
to consider in any given quarter:
First, filings are grouped by their report date within their reported year:
• (Q1): February 15 to May 14
• (Q2): May 15 to August 14
• (Q3): August 15 to November 14
• (Q4): November 15 to February 14
Then, responses for funds that have no information are ‘filled forward’ — essentially, copied
from last reported values — up to a maximum of three quarters. Any fund that has no data four
quarters after its most recent date is no longer counted or included in any calculations.10
C
How to Read a Boxplot
In these figures, the boxes extend from the twenty-fifth percentile to the seventy-fifth percentile,
while the levels (the dashed vertical lines) extend from the tenth to the twenty-fifth percentile as well
as the seventy-fifth to the ninetieth percentile. Also shown as a red line within the box is the median
(the fiftieth percentile) and the horizontal dashed line is mean of the distribution. See Figure 24 for
an explanation of each feature.
Figure 24: How to Read a Boxplot
10
Form PF has no requirement to inform the SEC if a fund liquidates or otherwise terminates operations. Therefore,
liquidations or terminations may not be reflected on this report for up to one year after ceasing operations.
54
May 7, 2019
D
Analytics Office
Mitigating the Effects of Outliers
Form PF data occasionally contains spurious outliers. While Analytics Office staff actively
engages in outreach to identify and correct such values, not all aberrant values have been corrected
as of this writing. To reduce the effect of these outliers on the aggregate measures reported here, we
have chosen to winsorize or trim some data sets.
Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest
and smallest values in a distribution.11 For example, to calculate a 95%/5% winsorized data set, all
the values above the ninety-fifth percentile are set to the value of the ninety-fifth percentile, and all
the values below the fifth percentile are set to the value of the fifth percentile. Effectively, this
procedure makes the very largest values smaller (but still large), and all the smallest values larger
(but still small). This approach can be more effective than trimming (simply removing the largest
and/or smallest values) because it does not change the number of data points and does not change
the median or other percentile values within the 95%/5% range. All instances of winsorization or
trimming have been noted and include the affected percentiles.
11
Such techniques are known as ‘robust statistics’, reviewed for example in Wilcox (2012), Introduction to Robust
Estimation & Hypothesis Testing, 3rd Edition.
55
May 7, 2019
E
Analytics Office
Definitions
Included by reference are all definitions included in the glossary of Form PF.
Aggregate Exposure
A dollar value for long and short positions as of the last day in each
month of the reporting period, by sub-asset class, including all exposure
whether held physically, synthetically or through derivatives. Includes
closed out and OTC forward positions that have not expired, as well as
positions in side-pockets.
Borrowing
In Form PF, borrowings include secured borrowings, unsecured borrowings, as well as synthetic borrowings (e.g., total return swaps that meet
the failed sale accounting requirements).
CPC
Controlled portfolio company, as defined in Form PF.
Gross Notional Exposure (GNE)
The gross nominal or notional value of all transactions that have been
entered into but not yet settled as of the data reporting date. For
contracts with variable nominal or notional principal amounts, the basis
for reporting is the nominal or notional principal amounts as of the data
reporting date.
Hedge Fund
Any private fund (other than a securitized asset fund): (a) with respect
to which one or more investment advisers (or related persons of investment advisers) may be paid a performance fee or allocation calculated
by taking into account unrealized gains (other than a fee or allocation
the calculation of which may take into account unrealized gains solely
for the purpose of reducing such fee or allocation to reflect net unrealized losses); (b) that may borrow an amount in excess of one-half of
its net asset value (including any committed capital) or may have gross
notional exposure in excess of twice its net asset value (including any
committed capital); or (c) that may sell securities or other assets short
or enter into similar transactions (other than for the purpose of hedging currency exposure or managing duration). The definition of a hedge
fund for Form PF purposes also includes any commodity pool an adviser
reports on Form PF.
IRDs
Interest rate derivatives, including foreign exchange derivatives used for
either investment or hedging.
Large Hedge Fund Adviser
An adviser that has at least $1.5 billion in hedge fund assets under
management.
56
May 7, 2019
Analytics Office
Large Liquidity Fund Adviser
An adviser that has at least $1 billion in combined liquidity fund and
money market fund assets under management.
Large Private Equity Fund Adviser
An adviser that has at least a $2 billion in private equity fund assets
under management.
Parallel Managed Account
An account advised by an adviser that pursues substantially the same investment objective and strategy and invests side by side in substantially
the same positions as the reporting fund.
Qualifying Hedge Fund
A hedge fund advised by a Large Hedge Fund Adviser that has a net asset
value (individually or in combination with any feeder funds, parallel
funds, and/or dependent parallel managed accounts) of at least $500
million as of the last day of any month in the fiscal quarter immediately
preceding the adviser’s most recently completed fiscal quarter.
Section 3 Liquidity Fund
A liquidity fund advised by a Large Liquidity Fund Adviser.
Section 4 Private Equity Fund
A private equity fund advised by a Large Private Equity Fund Adviser.
Value
For derivatives (other than options), “value” means gross notional value;
for options, “value” means delta adjusted notional value; for all other
investments and for all borrowings where the reporting fund is the creditor, “value” means market value or, where there is not a readily available
market value, fair value; for borrowings where the reporting fund is the
debtor, “value” means the value you report internally and to current
and prospective investors.
57
This is a copy of a public record, reproduced as it was published. It is not legal advice, and it may not be the version a court would rely on. Check the official source before you cite it.