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Division of Investment Management
Risk and Examinations Office
Private Funds Statistics
Second Calendar Quarter 2015
December 30, 2015
This is a report of the Staff of the Division of Investment Management’s Risk and Examinations Office
(REO) of the U.S. Securities and Exchange Commission. The Commission has expressed no view
regarding the analysis, findings, or conclusions contained herein.
December 30, 2015
Risk and Examinations 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 2013 through Second Calendar Quarter
2015 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.
Form PF is still a relatively new reporting requirement for advisers to private funds.
The Staff continues to work with the data and filers to identify and correct filing errors.
In some instances, the Staff has made adjustments to the summary statistics presented
here to correct what appear to be clear filing errors. In addition, the Staff has employed
certain assumptions in aggregating the data. Future adjustments to these methodologies
could lead to changes in reported statistics.
If you have any questions or comments about Second Calendar Quarter
2015 Private Funds Statistics, please contact:
Tim Dulaney, PhD, FRM or Tim Husson, PhD, FRM at FormPF@sec.gov with subject line “Second
Calendar Quarter 2015-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
December 30, 2015
Risk and Examinations 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 Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5
5
7
8
III
Fund Domiciles and Adviser Main Offices
10
IV
Beneficial Ownership
12
V
Derivatives
16
VI
High Frequency Trading
17
VII Information Reported by Large Hedge Fund Advisers
A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
18
18
20
21
22
VIII Qualifying Hedge Fund Specific Information
A Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
24
24
26
27
28
IX
Section 3 Liquidity Fund Specific Information
A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
29
29
30
30
X
Section 4 Private Equity Fund Specific Information
A CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . .
31
31
32
33
XI
Appendices
A Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1 All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
35
35
35
2
December 30, 2015
Risk and Examinations Office
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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3
35
36
36
36
37
37
38
39
December 30, 2015
I
Risk and Examinations 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
Hedge Fund
Private Equity 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
2013Q3
7,906
7,078
3,556
1,889
1,400
1,320
1,012
379
74
46
21,319
2013Q4
8,414
7,603
3,709
2,201
1,547
1,369
1,172
434
71
46
22,884
2014Q1
8,497
7,632
3,753
2,197
1,546
1,415
1,191
435
71
46
23,054
2014Q2
8,608
7,664
3,758
2,201
1,546
1,462
1,208
435
70
44
23,190
2014Q3
8,680
7,629
3,752
2,209
1,534
1,471
1,196
438
70
44
23,173
2014Q4
8,643
8,235
4,241
2,387
1,792
1,541
1,327
508
69
45
24,751
2015Q1
8,840
8,303
4,233
2,393
1,790
1,560
1,348
505
68
42
24,998
2015Q2
8,857
8,337
4,215
2,390
1,792
1,591
1,349
506
67
42
25,050
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
Hedge Fund
Private Equity 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
2013Q3
1,496
826
530
175
242
461
137
66
37
24
2,480
2013Q4
1,596
863
524
195
245
469
138
68
35
24
2,573
2014Q1
1,595
862
527
195
245
470
141
69
35
24
2,576
2014Q2
1,595
866
525
196
245
494
143
69
34
23
2,582
2014Q3
1,599
867
526
195
244
503
141
70
34
23
2,583
2014Q4
1,654
918
557
210
261
525
152
85
35
24
2,704
2015Q1
1,661
920
558
209
261
525
155
85
34
22
2,708
2015Q2
1,659
923
557
209
263
527
155
85
34
22
2,709
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
December 30, 2015
Risk and Examinations 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
Securitized Asset Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2013Q3
5,093
4,135
1,628
1,107
779
338
301
249
241
24
8,383
2013Q4
5,393
4,357
1,842
1,271
935
351
334
248
241
30
9,113
2014Q1
5,656
4,583
1,835
1,265
950
356
334
250
247
30
9,397
2014Q2
5,892
4,827
1,845
1,270
955
362
334
274
262
30
9,667
2014Q3
6,116
4,941
1,838
1,274
957
357
334
286
281
30
9,878
2014Q4
6,061
4,925
1,886
1,352
992
377
350
274
272
39
9,959
2015Q1
6,466
5,312
1,894
1,357
988
382
350
290
287
39
10,381
2015Q2
6,387
5,274
1,892
1,351
976
383
350
265
263
39
10,279
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
Securitized Asset Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2013Q3
2,815
2,194
1,494
1,049
667
116
237
247
239
22
5,573
2013Q4
3,078
2,397
1,702
1,206
816
117
266
246
239
28
6,232
2014Q1
3,162
2,470
1,695
1,200
823
122
266
249
246
28
6,329
5
2014Q2
3,309
2,627
1,702
1,205
827
126
266
273
261
28
6,511
2014Q3
3,360
2,606
1,694
1,209
830
126
265
283
279
28
6,549
2014Q4
3,400
2,672
1,744
1,275
885
114
279
272
271
37
6,710
2015Q1
3,580
2,838
1,753
1,279
891
115
279
287
284
37
6,911
2015Q2
3,592
2,864
1,750
1,273
873
116
279
264
262
37
6,899
December 30, 2015
Risk and Examinations Office
Figure 1: GAV and NAV Distributions
See Appendix C for an explanation of boxplots.
13
20
13
20
Q
20 3
13
Q
20 4
14
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q2
1600
1400
1200
1000
800
600
400
200
0
20
13
13
Q
20 3
13
Q
20 4
14
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q2
NAV ($Millions)
(b) Qualifying Hedge Fund NAV
20
GAV ($Millions)
(a) Qualifying Hedge Fund GAV
1600
1400
1200
1000
800
600
400
200
0
Q
20 4
14
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q2
NAV ($Billions)
8
7
6
5
4
3
2
1
0
Q3
Q
20 4
14
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q2
13
20
20
13
Q3
GAV ($Billions)
As reported on Form PF, Questions 8 and 9.
8
7
6
5
4
3
2
1
0
(c) Section 4 Private Equity Fund GAV
(d) Section 4 Private Equity Fund NAV
6
December 30, 2015
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
Other Private Fund
Section 4 Private Equity Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
2013Q3
45.9
41.4
38.4
14.8
3.8
6.0
2.8
1.4
0.0
0.0
2013Q4
47.5
39.3
36.8
12.9
2.3
4.2
2.1
0.9
0.0
0.0
2014Q1
46.9
39.2
36.9
12.5
2.4
4.1
2.1
0.9
0.0
0.0
2014Q2
46.4
37.9
36.6
12.5
2.4
4.1
2.1
0.9
0.0
0.0
2014Q3
47.1
37.6
36.6
12.5
2.4
4.0
2.1
0.9
0.0
0.0
2014Q4
48.0
38.3
35.9
13.6
4.0
2.8
2.3
0.6
0.0
0.0
2015Q1
46.6
38.1
35.1
13.2
4.0
2.7
2.3
0.6
0.0
0.0
2015Q2
46.6
38.8
35.9
13.2
4.0
2.7
2.3
0.6
0.0
0.0
Figure 2: Distribution of Total Borrowings for All Private Funds
and Qualifying Hedge Funds
See Appendix C for an explanation of boxplots.
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
20 3
13
Q
20 4
14
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q2
Total Borrowings ($Billions)
700
600
500
400
300
200
100
0
20
1
3Q
3Q
20 3
13
Q
20 4
14
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q2
Total Borrowings ($Millions)
As reported on Form PF, Questions 12 and 43 (Third Month).
20
1
B
Risk and Examinations Office
(a) All Private Funds
(b) Qualifying Hedge Funds
7
December 30, 2015
C
Risk and Examinations Office
Parallel Managed Accounts4
Table 6: 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
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2013Q3
648
332
199
187
76
33
***
18
15
***
1,222
2013Q4
667
336
202
190
62
46
***
18
15
***
1,286
2014Q1
683
342
211
188
57
46
***
17
15
***
1,305
2014Q2
696
342
227
195
57
46
***
17
14
***
1,324
2014Q3
710
340
218
197
57
46
***
17
15
***
1,338
2014Q4
710
399
230
210
60
51
***
16
14
***
1,418
2015Q1
714
389
236
210
63
51
***
17
15
***
1,412
2015Q2
701
392
250
213
63
51
***
17
15
***
1,404
Table 7: 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
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2013Q3
600
1,132
418
115
23
8
***
384
327
***
2,237
2013Q4
620
1,446
451
123
18
11
***
392
335
***
2,656
2014Q1
612
1,455
431
122
17
11
***
334
330
***
2,596
2014Q2
910
1,450
737
124
17
11
***
326
321
***
2,880
2014Q3
834
1,272
441
124
17
11
***
339
335
***
2,638
2014Q4
754
1,417
532
107
16
11
***
349
345
***
2,731
2015Q1
798
1,387
569
106
16
11
***
363
359
***
2,748
2015Q2
724
1,386
552
106
16
11
***
347
343
***
2,656
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.
8
December 30, 2015
Risk and Examinations Office
Figure 3: Parallel Managed Account Value Distributions
See Appendix C for an explanation of boxplots.
20 3
13
Q
20 4
14
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q2
Parallel Managed Assets ($Billions)
4.5
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
20
13
Q
20 3
13
Q
20 4
14
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q2
20
13
Q
Parallel Managed Assets ($Billions)
As reported on Form PF, Question 11.
4.5
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
December 30, 2015
III
Risk and Examinations Office
Fund Domiciles and Adviser Main Offices
Table 8: Fund Domicile (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
Cayman Islands
Ireland
Virgin Islands, British
Luxembourg
Bermuda
United Kingdom
Other
Country
Cayman Islands
United States
Virgin Islands, British
Ireland
Bermuda
Luxembourg
Other
Country
Ireland
United States
Cayman Islands
Other
Country
United States
Cayman Islands
United Kingdom
Canada
Bermuda
Other
All Private Funds
2013Q3 2013Q4 2014Q1 2014Q2 2014Q3
49.5
51.3
50.5
50.1
50.1
37.4
36.8
37.3
37.6
37.6
4.1
4.1
4.2
4.4
4.6
2.8
2.7
2.7
2.7
2.7
1.2
1.2
1.2
1.2
1.2
1.2
1.2
1.2
1.2
1.2
1.1
0.7
0.7
0.7
0.7
2.6
2.1
2.1
2.1
2.0
Qualifying Hedge Funds
2013Q3 2013Q4 2014Q1 2014Q2 2014Q3
53.9
54.3
55.4
55.3
54.9
32.3
32.5
31.3
31.6
32.2
5.7
6.2
6.2
6.1
6.0
2.0
2.1
2.2
2.2
2.2
1.4
1.3
1.4
1.4
1.8
1.8
1.5
1.6
1.6
1.5
2.6
2.0
2.0
1.9
1.8
Section 3 Liquidity Funds
2013Q3 2013Q4 2014Q1 2014Q2 2014Q3
***
***
***
***
***
34.4
35.9
33.2
34.1
32.3
8.1
7.9
8.8
***
8.2
***
***
***
***
***
Section 4 Private Equity Funds
2013Q3 2013Q4 2014Q1 2014Q2 2014Q3
66.5
66.6
66.3
66.4
66.5
28.4
28.2
28.3
28.2
28.2
1.6
1.3
1.3
1.3
1.3
***
1.3
1.3
1.3
1.3
***
0.9
0.9
0.9
0.9
1.6
1.6
1.8
1.8
1.8
10
2014Q4
49.5
37.8
4.7
2.6
1.2
1.2
1.0
1.9
2015Q1
49.3
37.9
4.6
2.8
1.2
1.2
1.0
2.0
2015Q2
49.3
38.0
4.6
2.7
1.2
1.2
1.0
1.9
2014Q4
55.5
31.5
6.1
2.4
1.4
1.3
1.9
2015Q1
55.9
31.2
6.2
2.3
1.4
1.2
1.8
2015Q2
55.6
31.5
6.0
2.4
1.4
1.3
1.8
2014Q4
***
30.6
***
***
2015Q1
***
32.8
***
***
2015Q2
***
32.1
***
***
2014Q4
63.3
30.7
2.3
1.3
1.0
1.4
2015Q1
63.6
30.5
2.4
1.3
1.0
1.2
2015Q2
63.5
30.6
2.4
1.3
1.0
1.2
December 30, 2015
Risk and Examinations Office
Table 9: Adviser Main Office Location (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
United Kingdom
Other
2013Q3
89.3
6.9
3.8
Country
United States
United Kingdom
Hong Kong
Australia
Other
2013Q3
89.4
5.8
***
***
3.5
Country
United States
United Kingdom
France
2013Q3
66.9
***
***
Country
United States
Canada
Other
2013Q3
98.0
***
***
All Private Funds
2013Q4 2014Q1 2014Q2 2014Q3
89.9
89.2
88.9
88.7
6.4
6.7
7.0
7.3
3.7
4.1
4.1
4.0
Qualifying Hedge Funds
2013Q4 2014Q1 2014Q2 2014Q3
89.5
89.3
89.4
89.7
5.6
5.7
5.8
5.6
***
***
***
***
***
***
***
***
3.2
3.1
2.9
2.8
Section 3 Liquidity Funds
2013Q4 2014Q1 2014Q2 2014Q3
66.8
67.2
68.5
65.3
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2013Q4 2014Q1 2014Q2 2014Q3
97.3
97.4
97.4
97.4
***
***
***
***
***
***
***
***
11
2014Q4
89.8
6.4
3.7
2015Q1
89.9
6.4
3.7
2015Q2
89.8
6.4
3.8
2014Q4
89.9
5.0
***
***
2.7
2015Q1
90.8
4.9
***
***
2.0
2015Q2
90.5
4.8
***
***
2.1
2014Q4
63.6
***
***
2015Q1
65.6
***
***
2015Q2
64.0
***
***
2014Q4
97.8
***
***
2015Q1
97.8
***
***
2015Q2
97.8
***
***
December 30, 2015
IV
Risk and Examinations Office
Beneficial Ownership
Table 10: Beneficial Ownership for All Private Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Pension Plans
State/Muni. Govt. Pension Plans
Other
U.S. Individuals
Non-Profits
Sov. Wealth Funds and For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
Banking/Thrift Inst.
SEC-Registered Investment Companies
Broker-Dealers
State/Muni. Govt. Entities
2013Q3
1,213
694
724
580
616
580
295
206
176
168
144
78
24
61
2013Q4
1,276
796
820
652
696
633
340
245
183
174
151
88
90
68
2014Q1
1,286
804
835
664
700
645
341
248
192
177
154
86
103
69
2014Q2
1,315
819
839
692
716
669
350
253
214
174
156
98
109
83
2014Q3
1,326
819
835
714
717
678
347
254
198
196
157
88
112
84
2014Q4
1,356
839
859
765
740
690
361
263
193
185
142
88
116
89
2015Q1
1,375
882
869
776
758
714
363
268
212
189
148
123
116
93
2015Q2
1,372
886
872
788
760
710
362
268
205
180
149
117
113
92
2015Q1
19.9
12.8
12.6
11.2
11.0
10.3
5.3
3.9
3.1
2.7
2.1
1.8
1.7
1.3
2015Q2
19.9
12.8
12.6
11.4
11.0
10.3
5.3
3.9
3.0
2.6
2.2
1.7
1.6
1.3
Table 11: Beneficial Ownership for All Private Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Pension Plans
State/Muni. Govt. Pension Plans
Other
U.S. Individuals
Non-Profits
Sov. Wealth Funds and For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
Banking/Thrift Inst.
SEC-Registered Investment Companies
Broker-Dealers
State/Muni. Govt. Entities
2013Q3
21.8
12.4
13.0
10.4
11.1
10.4
5.3
3.7
3.2
3.0
2.6
1.4
0.4
1.1
2013Q4
20.5
12.8
13.2
10.5
11.2
10.2
5.4
3.9
2.9
2.8
2.4
1.4
1.4
1.1
12
2014Q1
20.3
12.7
13.2
10.5
11.1
10.2
5.4
3.9
3.0
2.8
2.4
1.4
1.6
1.1
2014Q2
20.2
12.6
12.9
10.6
11.0
10.3
5.4
3.9
3.3
2.7
2.4
1.5
1.7
1.3
2014Q3
20.2
12.5
12.8
10.9
10.9
10.4
5.3
3.9
3.0
3.0
2.4
1.4
1.7
1.3
2014Q4
20.2
12.5
12.8
11.4
11.0
10.3
5.4
3.9
2.9
2.8
2.1
1.3
1.7
1.3
December 30, 2015
Risk and Examinations Office
Table 12: Beneficial Ownership for Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Non-Profits
Pension Plans
U.S. Individuals
Other
State/Muni. Govt. Pension Plans
Sov. Wealth Funds and For. Official Inst.
Broker-Dealers
SEC-Registered Investment Companies
Non-U.S. Individuals
Insurance Companies
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
2013Q3
504
305
276
283
209
224
118
7
39
57
57
55
23
34
2013Q4
509
322
293
307
238
242
127
71
49
60
59
58
25
34
2014Q1
526
323
308
303
242
253
129
85
48
62
61
61
26
36
2014Q2
547
349
323
322
271
254
137
89
58
68
65
66
38
36
2014Q3
554
358
312
321
268
242
133
91
50
69
65
68
38
36
2014Q4
558
357
334
321
300
256
133
93
49
68
65
61
41
33
2015Q1
581
379
366
340
322
264
134
91
81
71
68
56
44
38
2015Q2
581
382
374
341
339
269
134
90
76
70
68
57
44
37
2015Q1
20.5
13.4
12.9
12.0
11.4
9.3
4.7
3.2
2.9
2.5
2.4
2.0
1.6
1.3
2015Q2
20.3
13.3
13.1
11.9
11.8
9.4
4.7
3.1
2.7
2.4
2.4
2.0
1.5
1.3
Table 13: Beneficial Ownership for Qualifying Hedge Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Non-Profits
Pension Plans
U.S. Individuals
Other
State/Muni. Govt. Pension Plans
Sov. Wealth Funds and For. Official Inst.
Broker-Dealers
SEC-Registered Investment Companies
Non-U.S. Individuals
Insurance Companies
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
2013Q3
23.0
13.9
12.6
12.9
9.5
10.2
5.4
0.3
1.8
2.6
2.6
2.5
1.1
1.5
2013Q4
21.2
13.4
12.2
12.8
9.9
10.1
5.3
3.0
2.1
2.5
2.5
2.4
1.1
1.4
13
2014Q1
21.3
13.1
12.5
12.3
9.8
10.3
5.2
3.4
2.0
2.5
2.5
2.5
1.1
1.5
2014Q2
20.8
13.3
12.3
12.3
10.3
9.7
5.2
3.4
2.2
2.6
2.5
2.5
1.5
1.4
2014Q3
21.3
13.7
12.0
12.3
10.3
9.3
5.1
3.5
1.9
2.6
2.5
2.6
1.5
1.4
2014Q4
20.9
13.4
12.5
12.0
11.2
9.6
5.0
3.5
1.8
2.5
2.4
2.3
1.5
1.3
December 30, 2015
Risk and Examinations Office
Table 14: 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
Non-U.S. Individuals
SEC-Registered Investment Companies
Banking/Thrift Inst.
Broker-Dealers
Sov. Wealth Funds and For. Official Inst.
Insurance Companies
Pension Plans
State/Muni. Govt. Entities
Non-Profits
State/Muni. Govt. Pension Plans
U.S. Individuals
2013Q3
68
39
47
***
18
9
***
10
8
8
***
***
***
***
2013Q4
68
35
46
***
18
13
***
10
9
8
***
***
***
***
2014Q1
67
37
46
22
17
16
***
***
9
7
***
***
***
0
2014Q2
75
37
37
38
18
17
***
11
7
***
***
***
***
0
2014Q3
80
43
58
20
17
19
***
***
9
6
***
***
***
0
2014Q4
75
63
40
20
15
14
***
11
10
5
***
***
***
0
2015Q1
86
45
44
35
17
***
***
***
9
6
***
***
***
0
2015Q2
77
44
36
31
17
***
***
***
9
5
***
***
***
0
2015Q1
30.5
15.7
15.6
12.3
5.9
***
***
***
3.2
2.0
***
***
***
0.0
2015Q2
29.5
16.9
13.6
11.7
6.5
***
***
***
3.3
2.0
***
***
***
0.0
Table 15: 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
Non-U.S. Individuals
SEC-Registered Investment Companies
Banking/Thrift Inst.
Broker-Dealers
Sov. Wealth Funds and For. Official Inst.
Insurance Companies
Pension Plans
State/Muni. Govt. Entities
Non-Profits
State/Muni. Govt. Pension Plans
U.S. Individuals
2013Q3
28.5
16.2
19.6
***
7.4
3.8
***
4.4
3.3
3.3
***
***
***
***
2013Q4
28.5
14.7
19.3
***
7.4
5.6
***
4.4
3.6
3.4
***
***
***
***
14
2014Q1
27.4
15.0
18.6
9.0
6.8
6.4
***
***
3.7
2.9
***
***
***
0.0
2014Q2
28.8
14.2
14.3
14.7
7.0
6.5
***
4.1
2.8
***
***
***
***
0.0
2014Q3
28.7
15.5
20.9
7.3
6.2
6.8
***
***
3.3
2.1
***
***
***
0.0
2014Q4
27.7
23.4
14.9
7.3
5.6
5.2
***
4.1
3.5
1.9
***
***
***
0.0
December 30, 2015
Risk and Examinations Office
Table 16: 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
Sov. Wealth Funds and For. Official Inst.
Pension Plans
Other
Non-Profits
U.S. Individuals
Insurance Companies
Banking/Thrift Inst.
Non-U.S. Individuals
State/Muni. Govt. Entities
Unknown Non-U.S. Investors
SEC-Registered Investment Companies
Broker-Dealers
2013Q3
247
230
91
107
83
68
63
61
45
23
14
16
3
1
2013Q4
285
266
112
119
95
78
72
72
46
31
15
14
2
1
2014Q1
283
266
112
116
95
77
72
71
45
33
15
14
2
1
2014Q2
284
266
113
118
95
77
72
71
45
33
15
14
2
1
2014Q3
286
268
113
119
96
76
72
72
45
33
15
14
2
1
2014Q4
300
277
124
123
110
80
79
75
35
33
16
11
3
1
2015Q1
302
278
124
125
110
80
79
76
35
32
16
11
3
1
2015Q2
301
277
124
123
110
80
79
76
35
32
16
11
3
1
Table 17: 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
Sov. Wealth Funds and For. Official Inst.
Pension Plans
Other
Non-Profits
U.S. Individuals
Insurance Companies
Banking/Thrift Inst.
Non-U.S. Individuals
State/Muni. Govt. Entities
Unknown Non-U.S. Investors
SEC-Registered Investment Companies
Broker-Dealers
2013Q3
23.5
22.0
8.7
10.2
7.9
6.5
6.0
5.8
4.3
2.2
1.3
1.5
0.2
0.1
2013Q4
23.6
22.1
9.3
9.9
7.9
6.4
6.0
5.9
3.8
2.6
1.3
1.1
0.2
0.1
15
2014Q1
23.6
22.1
9.4
9.6
7.9
6.4
6.0
5.9
3.8
2.8
1.2
1.1
0.2
0.1
2014Q2
23.6
22.1
9.4
9.8
7.9
6.4
6.0
5.9
3.8
2.7
1.2
1.1
0.2
0.1
2014Q3
23.7
22.1
9.3
9.8
8.0
6.3
5.9
5.9
3.7
2.7
1.2
1.1
0.2
0.1
2014Q4
23.6
21.8
9.7
9.6
8.6
6.3
6.2
5.9
2.8
2.6
1.2
0.9
0.2
0.1
2015Q1
23.6
21.7
9.7
9.8
8.6
6.3
6.2
5.9
2.7
2.5
1.2
0.9
0.2
0.1
2015Q2
23.6
21.8
9.7
9.7
8.6
6.3
6.2
5.9
2.8
2.5
1.2
0.9
0.2
0.1
December 30, 2015
V
Risk and Examinations Office
Derivatives
Table 18: Aggregate Derivative Notional ($ Billions)
As reported on Form PF, Questions 13 and 44 (Third Month).
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Section 4 Private Equity Fund
Securitized Asset Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2013Q3
13,885
12,669
76
49
45
70
12
***
***
0
14,090
2013Q4
13,151
11,995
88
47
43
45
12
***
***
0
13,341
2014Q1
14,382
13,264
101
47
43
45
12
***
***
0
14,583
2014Q2
16,984
15,889
102
47
43
45
12
***
***
0
17,185
2014Q3
15,929
14,713
101
48
43
45
12
***
***
0
16,114
2014Q4
14,592
13,316
127
66
60
27
13
***
***
0
14,808
2015Q1
14,473
13,383
121
69
60
29
13
***
***
0
14,689
2015Q2
13,786
12,743
106
71
60
29
13
***
***
0
14,006
Table 19: Aggregate Derivative Notional (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 13, and 44 (Third Month).
Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Section 4 Private Equity Fund
Securitized Asset Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2013Q3
493.3
577.5
11.4
3.3
4.2
60.8
5.0
***
***
0.3
252.8
2013Q4
427.2
500.4
10.8
2.8
3.5
38.8
4.4
***
***
0.2
214.1
2014Q1
454.9
536.9
12.2
2.8
3.6
37.3
4.4
***
***
0.2
230.4
16
2014Q2
513.3
604.9
12.3
2.8
3.5
35.9
4.4
***
***
0.2
263.9
2014Q3
474.1
564.6
12.2
2.8
3.5
35.6
4.4
***
***
0.2
246.1
2014Q4
429.1
498.4
14.4
3.8
4.7
23.4
4.6
***
***
0.1
220.7
2015Q1
404.3
471.6
13.5
3.9
4.7
25.4
4.6
***
***
0.1
212.5
2015Q2
383.7
444.9
12.2
4.0
4.7
25.1
4.6
***
***
0.1
203.0
December 30, 2015
Risk and Examinations Office
Figure 4: Distribution of Derivative Notional Values
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
12
10
8
6
4
2
0
Q
20 3
13
Q
20 4
14
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q2
Total Derivative Value ($Billions)
Winsorized (limits=[1%,99%])
20
20
1
13
3Q
20 3
13
Q
20 4
14
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q2
Total Derivative Value ($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 20: Number of Hedge Funds Using
High Frequency Trading (HFT) Strategies
As reported on Form PF, Questions 9 and 21.
Fraction of NAV
0%
Less than 100%
100% or More
2013Q3
6,257
54
15
2013Q4
6,716
59
13
2014Q1
6,797
57
27
2014Q2
6,930
55
24
2014Q3
6,996
53
28
2014Q4
7,162
45
28
2015Q1
7,311
39
25
2015Q2
7,328
39
24
Table 21: Hedge Fund Assets Managed Using HFT Strategies ($ Billions)
As reported on Form PF, Question 21.
Fraction of NAV
0%
Less than 100%
100% or More
2013Q3
2,705
67
16
2013Q4
2,946
65
35
2014Q1
3,045
78
19
2014Q2
3,205
54
31
17
2014Q3
3,258
37
30
2014Q4
3,299
35
32
2015Q1
3,469
41
34
2015Q2
3,478
43
36
December 30, 2015
VII
A
Risk and Examinations Office
Information Reported by Large Hedge
Fund Advisers
Economic Leverage
Figure 5: 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
13
-0
20 9
13
-1
20 2
14
-0
20 3
14
-0
20 6
14
-0
20 9
14
-1
20 2
15
-0
20 3
15
-06
Ratio of GNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
14
12
10
8
6
4
2
0
13
-0
20 9
13
-1
20 2
14
-0
20 3
14
-0
20 6
14
-0
20 9
14
-1
20 2
15
-0
20 3
15
-06
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)
18
(b) Gross Exposure without IRDs
3-0
10
8
6
4
2
0
Ratio of SNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
4
2
0
(c) Short Exposure with IRDs
19
-0
20 9
13
-1
20 2
14
-0
20 3
14
-0
20 6
14
-0
20 9
14
-1
20 2
15
-0
20 3
15
-06
13
6
20
8
Ratio of LNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
-0
20 9
13
-1
20 2
14
-0
20 3
14
-0
20 6
14
-0
20 9
14
-1
20 2
15
-0
20 3
15
-06
13
20
Ratio of LNE to NAV
Winsorized (limits=[0%,98%])
10
20
13
-0
20 9
13
-1
20 2
14
-0
20 3
14
-0
20 6
14
-0
20 9
14
-1
20 2
15
-0
20 3
15
-06
20 9
13
-1
20 2
14
-0
20 3
14
-0
20 6
14
-0
20 9
14
-1
20 2
15
-0
20 3
15
-06
20
1
Ratio of SNE to NAV
Winsorized (limits=[0%,98%])
December 30, 2015
Risk and Examinations Office
Figure 6: 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
(a) Long Exposure with IRDs
(b) Long Exposure without IRDs
10
8
6
4
2
0
(d) Short Exposure without IRDs
December 30, 2015
B
Risk and Examinations Office
Industry Concentration
Table 22: Large Hedge Fund Adviser Asset and Exposure Concentration
(Percent of Total Reported)
As reported on Form PF, Questions 3(a) and 26.
Month
2013-07
2013-08
2013-09
2013-10
2013-11
2013-12
2014-01
2014-02
2014-03
2014-04
2014-05
2014-06
2014-07
2014-08
2014-09
2014-10
2014-11
2014-12
2015-01
2015-02
2015-03
2015-04
2015-05
2015-06
Top 10 Advisers (NAV)
18.4
17.1
17.1
17.9
17.6
17.6
17.8
18.0
18.0
17.7
17.7
17.7
16.4
16.4
16.4
20.6
20.6
20.6
17.3
17.2
17.2
17.5
17.5
17.6
Top 20 Advisers (NAV)
28.0
26.8
26.8
27.8
27.5
27.5
27.6
27.9
27.9
27.1
27.1
27.1
25.9
25.9
25.9
30.0
30.0
30.0
26.8
26.7
26.7
26.8
26.8
27.0
20
Top 10 Advisers (GNE)
47.2
46.7
45.3
43.9
45.5
43.0
45.4
45.8
43.3
40.7
41.7
40.3
41.0
42.2
41.4
41.6
42.1
41.1
40.0
40.1
37.9
37.8
39.0
37.8
Top 20 Advisers (GNE)
59.3
59.1
58.6
56.9
58.5
56.4
57.7
58.0
56.2
54.0
54.7
53.4
54.0
55.0
53.7
54.2
54.5
53.4
53.1
53.2
51.8
52.3
53.0
52.2
December 30, 2015
Portfolio Turnover
Table 23: Aggregate Portfolio Turnover ($ Billions)
As reported on Form PF, Question 27.
Month
2013-07
2013-08
2013-09
2013-10
2013-11
2013-12
2014-01
2014-02
2014-03
2014-04
2014-05
2014-06
2014-07
2014-08
2014-09
2014-10
2014-11
2014-12
2015-01
2015-02
2015-03
2015-04
2015-05
2015-06
Futures
8,136
8,340
12,356
8,299
8,852
11,533
10,957
9,985
17,827
9,899
11,116
20,520
9,105
9,177
12,784
12,662
8,427
11,353
9,726
10,042
11,429
7,521
9,177
12,224
Sov. and muni. bonds
2,025
2,043
2,157
2,171
1,942
1,934
2,357
2,190
2,395
2,319
2,276
2,341
2,347
2,220
2,572
2,760
1,983
2,210
2,339
2,304
2,375
2,673
2,460
2,781
Listed equities
1,563
4,956
1,461
1,826
1,553
1,443
1,968
1,886
1,860
2,357
2,077
2,200
1,720
1,430
1,509
2,304
1,534
1,656
1,812
1,712
1,858
1,993
1,916
1,955
Corporate bonds
62
46
94
97
91
66
99
92
109
108
100
100
89
66
107
118
88
74
92
109
124
112
104
89
Convertible bonds
16
17
21
33
28
22
30
29
55
20
23
29
19
14
23
20
17
17
17
23
25
23
23
22
Total
11,725
15,314
15,979
12,322
12,356
14,898
15,248
14,077
22,094
14,613
15,546
25,126
13,205
12,840
16,899
17,766
12,019
15,266
13,961
14,156
15,773
12,285
13,643
17,019
Figure 7: 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.
50
40
30
20
10
20
13
-0
20 9
13
-1
20 2
14
-0
20 3
14
-0
20 6
14
-0
20 9
14
-1
20 2
15
-0
20 3
15
-06
0
18
16
14
12
10
8
6
4
2
0
13
-0
20 9
13
-1
20 2
14
-0
20 3
14
-0
20 6
14
-0
20 9
14
-1
20 2
15
-0
20 3
15
-06
Ratio of Turnover to NAV
Winsorized (limits=[1%,99%])
60
20
Total Turnover ($Billions)
Winsorized (limits=[1%,99%])
C
Risk and Examinations Office
(a) Total Turnover
(b) Total Turnover to NAV Ratio
21
December 30, 2015
D
Risk and Examinations Office
Region and Country Exposure
Table 24: Large Hedge Fund Adviser Hedge Fund
Region Exposure ($ 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
2013Q3
3,323
1,128
619
69
81
27
21
10
2013Q4
3,537
1,243
605
76
78
27
17
10
2014Q1
3,539
1,323
557
76
71
41
22
13
2014Q2
3,840
1,354
687
90
86
42
26
12
2014Q3
3,970
1,290
632
100
83
41
25
13
2014Q4
3,954
1,129
612
92
71
39
20
14
2015Q1
3,969
1,234
605
86
73
41
24
17
2015Q2
3,965
1,197
611
91
73
34
19
16
Table 25: 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
2013Q3
142.2
48.2
26.5
3.0
3.4
1.2
0.9
0.4
2013Q4
135.0
47.4
23.1
2.9
3.0
1.0
0.7
0.4
2014Q1
132.5
49.5
20.8
2.8
2.7
1.5
0.8
0.5
2014Q2
134.3
47.4
24.0
3.1
3.0
1.5
0.9
0.4
22
2014Q3
140.8
45.8
22.4
3.6
2.9
1.5
0.9
0.5
2014Q4
129.9
37.1
20.1
3.0
2.3
1.3
0.7
0.5
2015Q1
131.6
40.9
20.0
2.9
2.4
1.4
0.8
0.6
2015Q2
130.5
39.4
20.1
3.0
2.4
1.1
0.6
0.5
December 30, 2015
Risk and Examinations Office
Table 26: 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
2013Q3
3,091
282
119
29
20
22
2013Q4
3,330
258
90
29
20
18
2014Q1
3,360
234
112
31
22
14
2014Q2
3,635
266
202
43
27
17
2014Q3
3,769
244
134
39
25
16
2014Q4
3,757
237
142
41
27
10
2015Q1
3,762
230
149
41
33
9
2015Q2
3,786
254
161
39
33
9
2015Q1
124.7
7.6
5.0
1.4
1.1
0.3
2015Q2
124.6
8.3
5.3
1.3
1.1
0.3
Table 27: 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
2013Q3
132.2
12.1
5.1
1.2
0.8
1.0
2013Q4
127.1
9.9
3.4
1.1
0.8
0.7
2014Q1
125.8
8.8
4.2
1.2
0.8
0.5
23
2014Q2
127.1
9.3
7.1
1.5
0.9
0.6
2014Q3
133.7
8.7
4.8
1.4
0.9
0.6
2014Q4
123.4
7.8
4.7
1.3
0.9
0.3
December 30, 2015
VIII
A
Risk and Examinations Office
Qualifying Hedge Fund Specific Information
Gross Exposure by Strategy5
Table 28: Exposures of Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Relative Value
Other
Macro
Event Driven
Credit
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Market Neutral
Long Bias
Short Bias
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Corp.
F.I. Conv. Arb.
Volatility Arb.
Subtotal
Subtotal
Global Macro
Commodity
Currency
Active Trading
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Total
2013Q3
1,164
752
222
187
3
442
229
105
45
43
20
584
509
412
65
31
1
298
179
69
50
244
220
24
51
***
***
28
3,318
2013Q4
1,306
854
239
209
5
628
387
112
54
48
28
646
384
275
65
42
1
343
188
93
62
266
243
23
63
***
***
45
3,681
2014Q1
1,338
867
254
209
8
654
414
114
54
46
25
667
403
291
65
46
1
365
196
109
60
278
254
24
58
***
***
47
3,810
2014Q2
1,453
909
275
263
5
689
433
128
59
48
21
712
438
306
79
53
1
412
192
140
80
299
273
25
67
***
***
49
4,119
2014Q3
1,432
904
294
232
2
774
520
133
54
47
19
728
384
297
40
***
***
427
185
145
97
291
264
27
70
***
***
52
4,158
2014Q4
1,508
924
309
270
5
717
470
128
51
49
19
750
441
333
59
48
1
403
178
138
88
299
272
27
90
***
***
49
4,256
2015Q1
1,609
983
***
265
***
841
578
139
53
50
21
764
476
380
47
48
1
417
185
150
82
291
261
29
96
***
***
50
4,544
2015Q2
1,643
1,001
349
285
7
787
524
144
49
48
23
755
515
440
43
32
1
430
182
151
97
301
269
33
91
***
***
49
4,572
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.
24
December 30, 2015
Risk and Examinations Office
Table 29: Exposures of Hedge Funds (Percent of NAV)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Relative Value
Other
Macro
Event Driven
Credit
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Market Neutral
Long Bias
Short Bias
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Corp.
F.I. Conv. Arb.
Volatility Arb.
Subtotal
Subtotal
Global Macro
Commodity
Currency
Active Trading
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Total
2013Q3
51.2
33.1
9.7
8.2
0.1
19.5
10.1
4.6
2.0
1.9
0.9
25.7
22.4
18.1
2.9
1.4
0.0
13.1
7.9
3.0
2.2
10.7
9.7
1.0
2.2
***
***
1.2
146.0
2013Q4
52.0
34.0
9.5
8.3
0.2
25.0
15.4
4.4
2.1
1.9
1.1
25.7
15.3
10.9
2.6
1.7
0.1
13.7
7.5
3.7
2.5
10.6
9.7
0.9
2.5
***
***
1.8
146.4
25
2014Q1
51.5
33.4
9.8
8.0
0.3
25.2
15.9
4.4
2.1
1.8
1.0
25.7
15.5
11.2
2.5
1.8
0.0
14.1
7.6
4.2
2.3
10.7
9.8
0.9
2.2
***
***
1.8
146.7
2014Q2
52.6
33.0
10.0
9.5
0.2
25.0
15.7
4.6
2.1
1.8
0.8
25.8
15.9
11.1
2.9
1.9
0.0
14.9
7.0
5.1
2.9
10.8
9.9
0.9
2.4
***
***
1.8
149.3
2014Q3
52.4
33.0
10.8
8.5
0.1
28.3
19.0
4.9
2.0
1.7
0.7
26.6
14.0
10.8
1.5
***
***
15.6
6.8
5.3
3.5
10.6
9.6
1.0
2.5
***
***
1.9
152.0
2014Q4
53.9
33.0
11.1
9.6
0.2
25.6
16.8
4.6
1.8
1.7
0.7
26.8
15.8
11.9
2.1
1.7
0.0
14.4
6.3
4.9
3.1
10.7
9.7
1.0
3.2
***
***
1.8
152.0
2015Q1
53.7
32.8
***
8.8
***
28.1
19.3
4.6
1.8
1.7
0.7
25.5
15.9
12.7
1.6
1.6
0.0
13.9
6.2
5.0
2.7
9.7
8.7
1.0
3.2
***
***
1.7
151.7
2015Q2
55.5
33.8
11.8
9.6
0.2
26.6
17.7
4.9
1.7
1.6
0.8
25.5
17.4
14.9
1.4
1.1
0.0
14.5
6.1
5.1
3.3
10.2
9.1
1.1
3.1
***
***
1.7
154.5
December 30, 2015
Liquidity
Table 30: 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
2013Q3
6.5
8.7
22.3
44.0
59.8
74.8
2013Q4
7.7
11.3
24.5
48.5
57.9
75.5
2014Q1
9.9
11.9
26.2
44.8
59.5
76.0
2014Q2
7.8
11.0
24.3
44.2
58.4
75.6
2014Q3
6.0
9.7
23.7
44.9
61.4
75.3
2014Q4
7.6
11.4
25.9
49.8
59.0
75.5
2015Q1
6.9
13.0
27.3
46.7
60.5
75.3
2015Q2
7.1
13.3
26.0
45.8
60.1
74.8
Table 31: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 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
2013Q3
28.3
56.2
74.5
82.7
86.5
90.4
2013Q4
28.6
57.0
75.1
83.4
87.1
90.8
2014Q1
29.4
58.1
75.5
83.2
87.1
90.5
2014Q2
29.7
57.9
75.1
82.8
86.7
90.4
2014Q3
29.0
57.3
74.7
83.0
87.4
90.8
2014Q4
29.2
56.6
74.3
83.3
87.5
90.8
2015Q1
30.1
58.0
74.9
83.5
87.4
90.9
2015Q2
30.1
57.9
74.3
82.8
86.8
90.5
Figure 8: Asset Weighted-Average Qualifying Hedge Fund
Investor and Portfolio Liquidity Reported on Form PF as of Second Calendar Quarter 2015
As reported on Form PF, Questions 9, 32, and 50.
Portfolio Liquidity
1 d Percent of Fund Net Assets (%)
ay
100
Investor Liquidity
80
60
40
20
26
day
s
mo
At
st 3
65
day
s
mo
At
st 1
80
0d
ays
mo
At
st 9
0d
ays
st 3
mo
At
7d
ays
ost
At
m
mo
st
0
At
B
Risk and Examinations Office
December 30, 2015
Risk and Examinations Office
Table 32: Restrictions on Qualifying Hedge Fund Assets ($ Billions)
As reported on Form PF, Questions 48 and 49.
Type
May Suspend
May Have Gates
Gated
Side Pocketed
Suspended
2013Q3
1,747
1,144
34
39
19
2013Q4
1,919
1,229
28
37
10
2014Q1
1,987
1,279
29
37
10
2014Q2
2,105
1,365
32
42
9
2014Q3
2,087
1,395
30
39
8
2014Q4
2,143
1,409
41
39
13
2015Q1
2,320
1,476
43
37
12
2015Q2
2,340
1,472
41
38
12
Figure 9: Distribution of the Ratio of Qualifying Hedge Fund
Assets Held in Side Pockets to NAV
35
30
25
20
15
10
5
0
As reported on Form PF, Questions 9 and 48.
20
13
Q
20 3
13
Q
20 4
14
Q
20 1
14
Q
20 2
14
Q
20 3
14
Q
20 4
15
Q
20 1
15
Q2
NAV in Side-Pocket (%)
See Appendix C for an explanation of boxplots.
C
Borrowings
Table 33: 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
2013Q3
1,700
846
598
256
7
1,706
2013Q4
1,698
926
508
265
7
1,705
2014Q1
1,777
997
500
279
10
1,787
27
2014Q2
1,807
990
547
270
11
1,818
2014Q3
1,847
985
576
286
11
1,858
2014Q4
1,874
1,039
555
280
9
1,883
2015Q1
2,014
1,078
660
276
8
2,022
2015Q2
2,035
1,131
649
255
11
2,046
December 30, 2015
Central Clearing
Figure 10: Qualifying Hedge Funds Using Central Clearing
As reported on Form PF, Question 39.
Percent of Funds
30
Percent of NAV
25
20
15
10
5
28
Q2
15
20
Q1
15
20
Q4
14
20
Q3
14
20
Q2
14
20
Q1
14
20
Q4
13
20
13
Q3
0
20
D
Risk and Examinations Office
December 30, 2015
IX
A
Risk and Examinations Office
Section 3 Liquidity Fund Specific Information
Liquidity
Table 34: 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
2013Q3
70.2
91.0
99.6
100.0
100.0
100.0
2013Q4
72.3
91.5
99.7
100.0
100.0
100.0
2014Q1
70.3
91.0
99.6
100.0
100.0
100.0
2014Q2
68.7
90.6
99.2
100.0
100.0
100.0
2014Q3
70.8
91.4
99.3
100.0
100.0
100.0
2014Q4
71.9
91.4
99.3
100.0
100.0
100.0
2015Q1
73.2
92.0
99.4
100.0
100.0
100.0
2015Q2
73.8
92.1
99.4
100.0
100.0
100.0
Table 35: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Question 63.
Type
May Suspend
May Have Gates
Suspended
Gated
2013Q3
221
198
0
0
2013Q4
220
198
0
0
2014Q1
229
202
0
0
2014Q2
243
214
0
0
29
2014Q3
265
234
0
0
2014Q4
255
223
0
0
2015Q1
268
233
0
0
2015Q2
248
215
0
0
December 30, 2015
B
Risk and Examinations Office
Rule 2a-7 Compliance
Table 36: Rule 2a-7 Compliance (Percent of Funds)
As reported on Form PF, Questions 9 and 54.
Compliance Type
Credit Quality
Diversification
Liquidity
Maturity
Fully
None
2013Q3
60.9
58.7
58.7
58.7
52.2
37.0
2013Q4
60.9
58.7
58.7
58.7
52.2
37.0
2014Q1
63.0
60.9
60.9
60.9
54.3
34.8
2014Q2
63.6
61.4
61.4
61.4
56.8
34.1
2014Q3
65.9
63.6
63.6
63.6
56.8
31.8
2014Q4
60.0
57.8
57.8
57.8
51.1
37.8
2015Q1
61.9
59.5
59.5
59.5
54.8
35.7
2015Q2
61.9
59.5
59.5
59.5
54.8
35.7
Table 37: Rule 2a-7 Compliance (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 54.
Compliance Type
Credit Quality
Diversification
Liquidity
Maturity
Fully
None
C
2013Q3
27.9
27.9
27.5
27.5
26.4
71.9
2013Q4
27.3
27.3
26.9
26.9
26.0
72.5
2014Q1
28.1
28.0
27.6
27.6
26.6
71.8
2014Q2
27.6
27.5
27.0
27.0
26.2
72.3
2014Q3
24.9
24.9
24.5
24.5
23.8
74.9
2014Q4
24.7
24.7
24.3
24.3
23.8
75.2
2015Q1
23.8
23.8
23.4
23.4
22.9
76.1
2015Q2
23.6
23.6
23.5
23.5
22.7
76.2
Methods of Calculating NAV
Table 38: NAV Calculation Method (Percent of Funds)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2013Q3
84.8
15.2
2013Q4
84.8
15.2
2014Q1
84.8
15.2
2014Q2
***
***
2014Q3
***
***
2014Q4
84.4
15.6
2015Q1
***
***
2015Q2
***
***
Table 39: NAV Calculation Method (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2013Q3
71.7
28.3
2013Q4
71.0
29.0
2014Q1
72.4
27.6
2014Q2
***
***
30
2014Q3
***
***
2014Q4
71.9
28.1
2015Q1
***
***
2015Q2
***
***
December 30, 2015
Risk and Examinations Office
X
Section 4 Private Equity Fund Specific Information
A
CPC Industry Concentration
Table 40: Gross Assets in CPC Industries (Percent of Total)
As reported on Form PF, Questions 8 and 77.
Type
Oil & Gas Extraction
Electric Power Generation, Transmission & Distribution
Software Publishers
Pipeline Transportation
Telecommunications Data Processing Services
Data Processing, Hosting, & Related Services
Other Information Services
Other Financial Investment Activities
Support Activities for Mining
Electronic Shopping & Mail-Order Houses
Limited-Service Eating Places
Water Transportation
Pharmaceutical & Medicine Mfg
Medical Equipment & Supplies Mfg
Activities Related to Credit Intermediation
Management, Scientific, & Technical Consulting Services
Commercial Banking
Educational Services
Special Food Services
31
2013Q4
7.8
3.8
2.8
2.4
2.6
2.8
2.0
1.9
1.3
0.8
1.0
1.1
1.0
1.1
1.2
1.0
1.8
1.1
1.3
2014Q4
7.5
3.7
3.7
2.5
2.4
2.2
2.0
1.7
1.5
1.4
1.4
1.3
1.3
1.2
1.2
1.2
1.1
1.0
1.0
December 30, 2015
CPC Financial Leverage
Figure 11: 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
20
20
14
Q4
0
13
Ratio of Portfolio Company Current
Liabilities to Total Liabilities (%)
As reported on Form PF, Questions 71 and 72.
Figure 12: Distribution of CPC Payment-in-Kind or
Zero Coupon Borrowings to Total Borrowings Ratio
See Appendix C for an explanation of boxplots.
Q4
20
14
Q4
As reported on Form PF, Question 73.
13
40
35
30
25
20
15
10
5
0
20
CPC Payment-in-Kind Borrowings
to Total Borrowings Ratio (%)
B
Risk and Examinations Office
32
December 30, 2015
C
Risk and Examinations Office
CPC Investments by Region and Country
Table 41: 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
Supranational
Middle East
Africa
Europe Other
2013Q4
5,275
1,423
571
75
65
8
20
25
2014Q4
4,501
1,259
462
85
67
12
12
9
Table 42: 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
Supranational
Middle East
Africa
Europe Other
2013Q4
70.7
19.1
7.6
1.0
0.9
0.1
0.3
0.3
33
2014Q4
70.2
19.6
7.2
1.3
1.0
0.2
0.2
0.1
December 30, 2015
Risk and Examinations Office
Table 43: 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
Japan
India
Brazil
Russia
2013Q4
5,035
171
233
63
45
3
2014Q4
4,300
186
98
83
58
2
Table 44: 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
Japan
India
Brazil
Russia
34
2013Q4
67.5
2.3
3.1
0.8
0.6
0.0
2014Q4
67.1
2.9
1.5
1.3
0.9
0.0
December 30, 2015
XI
A
Risk and Examinations 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.
35
December 30, 2015
3
Risk and Examinations 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.
36
December 30, 2015
B
Risk and Examinations 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 13 for
an explanation of each feature.
Figure 13: 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.
37
December 30, 2015
D
Risk and Examinations Office
Mitigating the Effects of Outliers
Form PF data occasionally contains spurious outliers. While REO 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.
38
December 30, 2015
E
Risk and Examinations 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 borrow
ings, 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 invest
ment 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 unre
alized 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 hedg
ing 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.
39
December 30, 2015
Risk and Examinations 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 in
vestment 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 credi
tor, “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.
40
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.