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Division of Investment Management
Analytics Office
Private Funds Statistics
Third Calendar Quarter 2021
March 30, 2022
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.
March 30, 2022
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 2019 through Third Calendar Quarter
2021 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 2021 Private
Funds Statistics, please contact:
Tim Dulaney, PhD, FRM, Tim Husson, PhD, FRM, or Trevor Tatum at FormPF@sec.gov with subject
line “Third Calendar Quarter 2021-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
Contents
I
II
III
IV
V
VI
Number of Funds and Advisers
4
Gross and Net Assets
A
Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . .
B
Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Fund Domiciles and Adviser Main Offices
Beneficial Ownership
A
All Private Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Qualifying Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Section 3 Liquidity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Section 4 Private Equity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E
Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Derivatives
5
5
8
10
11
13
15
15
16
17
18
19
20
Additional Hedge Fund Industry Information
A
High Frequency Trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Single-Strategy US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . .
D
Single-Strategy Non-US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . .
21
21
22
24
26
VII Information Reported by Large Hedge Fund Advisers
A
Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
28
28
30
31
32
VIII Qualifying Hedge Fund Specific Information
A
Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E
Number of Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
F
Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
G
Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
H
Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
I
Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
34
34
36
38
39
41
42
44
47
48
2
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J
K
Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Stress Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
49
50
A
B
C
D
E
Section 3 Liquidity Fund Specific Information
Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
52
52
52
55
55
56
A
B
C
Section 4 Private Equity Fund Specific Information
CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . .
57
57
58
59
Appendices
Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3
Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . .
5
Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
How to Read a Boxplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E
Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
61
61
61
61
62
62
62
63
63
64
65
IX
X
XI
Analytics Office
A
3
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I
Analytics Office
Number of Funds and Advisers3
Table 1: Number of Funds
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Private Equity Fund
Hedge Fund
Other Private Fund
Section 4 Private Equity Fund
Real Estate Fund
Qualifying Hedge Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2019Q4
14,347
9,309
4,966
4,394
3,118
1,821
1,719
1,156
65
43
34,680
2020Q1
14,484
9,384
4,968
4,405
3,119
1,825
1,721
1,158
64
41
34,898
2020Q2
14,496
9,416
4,973
4,405
3,115
1,814
1,721
1,155
67
45
34,943
2020Q3
14,493
9,477
4,961
4,408
3,116
1,780
1,726
1,150
69
47
34,992
2020Q4
15,734
9,374
5,380
5,267
3,289
1,793
1,847
1,422
72
53
37,118
2021Q1
15,823
9,479
5,396
5,292
3,292
1,860
1,852
1,422
73
54
37,337
2021Q2
15,861
9,615
5,374
5,308
3,295
1,966
1,900
1,424
76
56
37,545
2021Q3
15,835
9,484
5,339
5,309
3,289
2,013
1,895
1,419
77
57
37,338
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
2019Q4
1,357
1,734
647
323
375
554
161
153
36
22
3,238
2020Q1
1,362
1,731
643
325
375
543
160
154
36
21
3,240
2020Q2
1,364
1,727
644
325
372
540
160
153
37
22
3,240
2020Q3
1,367
1,728
642
326
373
530
161
152
38
23
3,237
2020Q4
1,448
1,759
688
366
388
545
162
178
37
24
3,381
2021Q1
1,454
1,759
690
367
388
568
162
177
37
24
3,386
2021Q2
1,457
1,764
688
369
389
589
163
176
37
24
3,390
2021Q3
1,455
1,758
679
369
388
592
162
176
37
24
3,379
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
March 30, 2022
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
2019Q4
8,180
6,713
3,736
2,743
1,396
662
649
296
291
144
15,062
2020Q1
7,746
6,322
3,811
2,795
1,367
666
647
301
295
144
14,682
2020Q2
7,780
6,403
3,809
2,795
1,382
666
647
309
306
145
14,737
2020Q3
8,207
6,825
3,811
2,796
1,391
666
649
329
326
150
15,203
2020Q4
8,776
7,096
4,713
3,586
1,476
811
705
326
324
225
17,033
2021Q1
8,920
7,233
4,821
3,665
1,495
810
707
314
312
223
17,290
2021Q2
9,583
7,893
4,824
3,673
1,507
810
724
330
328
222
18,000
2021Q3
9,778
8,301
4,825
3,674
1,436
812
723
310
308
222
18,105
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
2019Q4
4,135
3,238
3,305
2,442
1,232
504
205
293
288
137
9,811
2020Q1
3,782
2,917
3,374
2,493
1,204
507
202
297
291
138
9,504
2020Q2
4,092
3,215
3,374
2,493
1,215
507
202
303
300
138
9,832
5
2020Q3
4,300
3,401
3,374
2,493
1,229
507
204
323
320
144
10,081
2020Q4
4,664
3,574
4,161
3,203
1,299
615
213
322
320
218
11,492
2021Q1
4,813
3,740
4,264
3,276
1,317
613
211
304
302
215
11,738
2021Q2
5,133
4,057
4,269
3,283
1,340
613
214
319
317
214
12,102
2021Q3
5,111
4,161
4,269
3,283
1,273
615
215
302
300
215
12,000
March 30, 2022
Analytics Office
Figure 1: GAV and NAV Distributions
See Appendix C for an explanation of boxplots.
8
6
6
NAV ($Billions)
4
2
(a) Qualifying Hedge Fund GAV
(b) Qualifying Hedge Fund NAV
NAV ($Millions)
500
1250
1000
750
500
250
0
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q3
(d) Section 4 Private Equity Fund NAV
19
20
(c) Section 4 Private Equity Fund GAV
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q3
0
20
GAV ($Millions)
1500
1000
0Q
20 1
20
Q
20 2
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q3
9Q
4
20
1
0Q
20 1
20
Q
20 2
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q3
20
2
20
1
2
0
9Q
4
0
4
20
2
GAV ($Billions)
As reported on Form PF, Questions 8 and 9.
8
6
March 30, 2022
Analytics Office
Figure 2: Ratio of GAV to NAV
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
2.0
1.5
1.0
0.5
20 4
20
Q
20 1
20
Q
20 2
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q3
0.0
2.5
2.0
1.5
1.0
0.5
0.0
20
20
3.0
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q3
Ratio of GAV to NAV
Winsorized (limits=[0%,98%])
2.5
19
Q
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
March 30, 2022
Borrowings
Table 5: Aggregate Borrowings (Percent of Aggregate GAV)
As reported on Form PF, Questions 8, 12, and 43 (Third Month).
Fund Type
Securitized Asset Fund
Qualifying Hedge Fund
Hedge Fund
Real Estate Fund
Section 4 Private Equity Fund
Private Equity Fund
Other Private Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
2019Q4
52.5
47.4
43.5
14.8
7.3
6.5
4.5
0.8
0.0
0.0
2020Q1
49.0
45.9
42.3
14.9
7.3
6.4
4.8
0.7
0.0
0.0
2020Q2
47.7
45.3
41.3
14.6
7.3
6.4
4.7
0.8
0.0
0.0
2020Q3
47.5
47.0
43.0
14.6
7.3
6.4
4.8
0.8
0.0
0.0
2020Q4
53.8
45.6
41.0
13.8
5.1
5.0
5.0
0.5
0.0
0.0
2021Q1
50.5
45.2
40.9
13.9
4.9
4.7
4.9
0.5
0.0
0.0
2021Q2
50.4
45.7
41.6
13.6
4.9
4.7
4.1
0.5
0.0
0.0
2021Q3
50.2
44.6
41.3
14.0
4.9
4.7
3.9
0.5
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.
1
(a) All Private Funds
20
Q
20 1
20
Q
20 2
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q3
0
20
0
2
19
200
3
20
400
4
Q4
Total Borrowings ($Billions)
600
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q3
Total Borrowings ($Millions)
As reported on Form PF, Questions 12 and 43 (Third Month).
20
B
Analytics Office
(b) Qualifying Hedge Funds
8
March 30, 2022
Analytics Office
Figure 4: Ratio of Borrowings to NAV
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month).
3
2
1
0
4
Ratio of Borrowings to NAV
Winsorized (limits=[0%,98%])
20
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q3
Ratio of Borrowings to NAV
Winsorized (limits=[0%,98%])
20
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q3
4
3
2
1
0
(a) All Private Funds
(b) Qualifying Hedge Funds
Table 6: Aggregate Borrowing by Creditor Entity Type (Percent)
As reported on Form PF, Questions 12 and 43 (Third Month).
Creditor Type
US Financial
Non-US Financial
US Non-Financial
Non-US Non-Financial
2019Q4
65.6
31.1
2.4
1.0
2020Q1
64.9
32.4
2.6
1.0
2020Q2
66.7
30.8
2.5
1.0
9
2020Q3
64.7
32.9
2.4
1.0
2020Q4
66.3
30.4
2.3
1.0
2021Q1
67.2
30.1
2.4
1.0
2021Q2
67.7
29.9
2.2
0.9
2021Q3
67.0
30.5
2.3
0.9
March 30, 2022
C
Analytics Office
Fair Value Hierarchy
Table 7: Assets According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2019Q4
3,849
3,486
4,061
2,369
2020Q1
3,816
3,510
4,113
2,354
2020Q2
3,825
3,500
4,118
2,345
2020Q3
3,836
3,519
4,128
2,342
2020Q4
4,249
3,651
5,070
2,333
2021Q1
4,279
3,633
5,171
2,339
2021Q2
4,315
3,642
5,202
2,333
2021Q3
4,383
3,644
5,273
2,323
Table 8: Liabilities According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2019Q4
1,284
1,033
264
2,231
2020Q1
1,298
1,068
268
2,238
2020Q2
1,289
1,059
268
2,228
2020Q3
1,299
1,066
267
2,228
10
2020Q4
1,344
1,197
294
2,067
2021Q1
1,336
1,175
296
2,080
2021Q2
1,340
1,179
303
2,075
2021Q3
1,342
1,197
338
2,071
March 30, 2022
D
Analytics Office
Parallel Managed Accounts4
Table 9: Number of Funds with Parallel Managed Accounts
As reported on Form PF, Question 11.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Section 4 Private Equity Fund
Private Equity Fund
Liquidity Fund
Section 3 Liquidity Fund
Real Estate Fund
Venture Capital Fund
Securitized Asset Fund
Total
2019Q4
614
222
505
136
332
12
11
95
***
***
1,565
2020Q1
628
232
501
136
331
12
11
95
***
***
1,574
2020Q2
610
227
500
135
330
11
11
95
***
***
1,553
2020Q3
601
221
493
135
330
11
11
95
***
***
1,537
2020Q4
597
210
478
103
311
***
11
73
17
***
1,489
2021Q1
581
199
475
103
311
***
11
73
17
***
1,470
2021Q2
574
199
487
115
312
***
11
73
17
***
1,477
2021Q3
558
206
486
115
312
***
***
73
17
***
1,459
Table 10: Aggregate Value in Parallel Managed Accounts ($ Billions)
As reported on Form PF, Question 11.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Section 4 Private Equity Fund
Private Equity Fund
Liquidity Fund
Section 3 Liquidity Fund
Real Estate Fund
Venture Capital Fund
Securitized Asset Fund
Total
2019Q4
717
477
2,068
38
58
317
316
10
***
***
3,171
2020Q1
637
433
2,052
38
58
378
377
10
***
***
3,135
2020Q2
638
434
2,044
38
58
366
366
10
***
***
3,117
2020Q3
634
414
2,028
38
58
383
383
10
***
***
3,113
2020Q4
764
473
2,583
44
98
***
391
7
1
***
3,845
2021Q1
768
470
2,620
44
98
***
411
7
1
***
3,905
2021Q2
808
512
2,647
68
98
***
396
7
1
***
3,970
2021Q3
840
550
2,642
68
98
***
***
7
1
***
3,993
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
March 30, 2022
Analytics Office
Figure 5: Parallel Managed Account Value Distributions
See Appendix C for an explanation of boxplots.
2
1
20 4
20
Q
20 1
20
Q
20 2
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q3
0
20
1
4
2
0
20 4
20
Q
20 1
20
Q
20 2
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q3
Parallel Managed Assets ($Billions)
3
9Q
4
6
20
1
5
9Q
Parallel Managed Assets ($Billions)
As reported on Form PF, Question 11.
(a) All Private Funds
(b) Qualifying Hedge Funds
12
March 30, 2022
III
Analytics Office
Fund Domiciles and Adviser Main Offices
Table 11: Fund Domicile (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
Cayman Islands
Ireland
Luxembourg
Virgin Islands, British
Bermuda
United Kingdom
Other
Country
Cayman Islands
United States
Ireland
Virgin Islands, British
Luxembourg
Bermuda
Other
Country
Ireland
United States
Cayman Islands
Other
Country
United States
Cayman Islands
Canada
United Kingdom
Bermuda
Other
All Private Funds
2019Q4 2020Q1 2020Q2 2020Q3 2020Q4
51.2
51.4
50.9
50.4
51.1
34.5
34.1
34.6
34.9
34.3
4.6
4.5
4.6
4.8
4.3
3.2
3.1
3.1
3.2
3.7
1.3
1.1
1.1
1.1
1.0
1.1
1.1
1.1
1.0
1.0
1.1
1.0
1.0
1.0
1.0
3.1
3.7
3.7
3.6
3.6
Qualifying Hedge Funds
2019Q4 2020Q1 2020Q2 2020Q3 2020Q4
51.4
52.4
52.5
53.2
53.4
35.1
34.9
35.1
34.6
34.1
3.1
2.9
3.1
3.1
3.2
3.6
3.2
3.0
2.9
2.8
2.7
2.6
2.5
2.6
2.7
2.1
2.2
2.0
1.9
1.8
1.9
1.7
1.8
1.8
2.0
Section 3 Liquidity Funds
2019Q4 2020Q1 2020Q2 2020Q3 2020Q4
***
***
***
***
***
22.1
25.1
24.1
22.9
25.5
***
***
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2019Q4 2020Q1 2020Q2 2020Q3 2020Q4
56.2
55.0
55.1
55.1
56.3
32.0
31.4
31.3
31.3
29.6
1.7
1.8
1.8
1.8
2.2
1.9
1.7
1.7
1.7
1.5
1.0
1.0
1.0
1.0
1.1
7.2
9.1
9.1
9.1
9.3
13
2021Q1
50.9
34.2
4.1
3.6
1.0
1.0
1.0
4.1
2021Q2
50.0
34.3
4.1
3.7
1.0
1.0
0.9
5.0
2021Q3
49.6
34.8
4.0
3.7
1.0
1.0
0.9
5.0
2021Q1
52.7
35.0
3.1
2.8
2.6
1.7
2.1
2021Q2
51.6
34.0
3.2
2.7
2.5
1.6
4.3
2021Q3
51.7
33.9
3.2
2.7
2.6
1.5
4.5
2021Q1
***
28.0
***
***
2021Q2
***
27.8
***
***
2021Q3
***
26.6
***
***
2021Q1
55.2
29.0
2.2
1.5
1.1
11.0
2021Q2
55.2
28.9
2.2
1.5
1.1
11.1
2021Q3
55.2
28.9
2.2
1.5
1.1
11.1
March 30, 2022
Analytics Office
Table 12: Adviser Main Office Location (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
United Kingdom
Other
2019Q4
89.8
5.5
4.7
Country
United States
United Kingdom
Australia
Hong Kong
Other
2019Q4
88.8
5.5
***
***
2.1
Country
United States
United Kingdom
2019Q4
***
***
Country
United States
Canada
Other
2019Q4
93.8
***
***
All Private Funds
2020Q1 2020Q2 2020Q3 2020Q4
90.1
90.1
90.0
90.4
5.4
5.3
5.4
4.6
4.5
4.6
4.6
4.9
Qualifying Hedge Funds
2020Q1 2020Q2 2020Q3 2020Q4
89.4
89.8
89.8
88.9
5.0
4.5
4.4
4.7
***
***
***
***
***
***
***
***
2.1
2.0
1.9
2.0
Section 3 Liquidity Funds
2020Q1 2020Q2 2020Q3 2020Q4
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2020Q1 2020Q2 2020Q3 2020Q4
93.8
93.8
93.8
94.2
***
***
***
***
***
***
***
***
14
2021Q1
90.3
4.8
4.9
2021Q2
89.4
4.8
5.9
2021Q3
89.6
4.6
5.8
2021Q1
89.6
4.4
***
***
1.8
2021Q2
87.6
4.3
***
***
4.0
2021Q3
88.0
4.1
***
***
4.1
2021Q1
***
***
2021Q2
***
***
2021Q3
***
***
2021Q1
94.3
***
***
2021Q2
94.3
***
***
2021Q3
94.3
***
***
March 30, 2022
IV
A
Analytics Office
Beneficial Ownership
All Private Funds
Table 13: Beneficial Ownership for All Private Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
State/Muni. Govt. Pension Plans
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
State/Muni. Govt. Entities
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2019Q4
1,677
1,469
1,336
1,169
995
958
658
461
234
243
174
183
137
114
2020Q1
1,644
1,455
1,301
1,106
931
914
648
462
231
231
169
175
127
106
2020Q2
1,674
1,511
1,331
1,142
992
966
670
470
248
238
173
173
130
112
2020Q3
1,713
1,563
1,343
1,164
1,018
999
690
476
258
260
175
172
129
115
2020Q4
2,041
1,823
1,534
1,248
1,142
1,164
803
553
296
277
192
169
134
111
2021Q1
2,073
1,856
1,557
1,266
1,170
1,196
844
566
310
269
199
176
143
110
2021Q2
2,128
1,943
1,576
1,278
1,208
1,226
855
583
387
263
205
190
144
110
2021Q3
2,131
1,922
1,586
1,263
1,214
1,207
856
593
384
266
203
189
138
44
2021Q2
17.6
16.1
13.0
10.6
10.0
10.1
7.1
4.8
3.2
2.2
1.7
1.6
1.2
0.9
2021Q3
17.8
16.0
13.2
10.5
10.1
10.1
7.1
4.9
3.2
2.2
1.7
1.6
1.2
0.4
Table 14: Beneficial Ownership for All Private Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
State/Muni. Govt. Pension Plans
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
State/Muni. Govt. Entities
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2019Q4
17.1
15.0
13.6
11.9
10.1
9.8
6.7
4.7
2.4
2.5
1.8
1.9
1.4
1.2
2020Q1
17.3
15.3
13.7
11.6
9.8
9.6
6.8
4.9
2.4
2.4
1.8
1.8
1.3
1.1
15
2020Q2
17.0
15.4
13.5
11.6
10.1
9.8
6.8
4.8
2.5
2.4
1.8
1.8
1.3
1.1
2020Q3
17.0
15.5
13.3
11.5
10.1
9.9
6.8
4.7
2.6
2.6
1.7
1.7
1.3
1.1
2020Q4
17.8
15.9
13.3
10.9
9.9
10.1
7.0
4.8
2.6
2.4
1.7
1.5
1.2
1.0
2021Q1
17.7
15.8
13.3
10.8
10.0
10.2
7.2
4.8
2.6
2.3
1.7
1.5
1.2
0.9
March 30, 2022
B
Analytics Office
Qualifying Hedge Funds
Table 15: Beneficial Ownership for Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Non-Profits
Other
U.S. Individuals
Pension Plans
State/Muni. Govt. Pension Plans
Sov. Wealth Funds And For. Official Inst.
Non-U.S. Individuals
Insurance Companies
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Sec-Registered Investment Companies
Banking/Thrift Inst.
Broker-Dealers
2019Q4
532
464
427
351
433
371
209
84
92
63
49
43
38
81
2020Q1
492
410
393
316
376
331
191
76
89
54
45
35
35
73
2020Q2
532
470
428
362
409
356
205
91
96
56
50
45
34
78
2020Q3
564
494
466
384
429
368
220
99
101
60
50
46
37
80
2020Q4
607
539
493
415
458
399
227
111
113
67
53
38
38
17
2021Q1
643
561
523
454
468
411
237
113
122
63
56
41
40
5
2021Q2
696
594
573
486
479
430
244
186
131
80
62
42
43
6
2021Q3
725
601
596
491
478
447
256
185
140
89
59
42
42
8
2021Q2
17.2
14.7
14.1
12.0
11.8
10.6
6.0
4.6
3.2
2.0
1.5
1.0
1.1
0.2
2021Q3
17.4
14.5
14.3
11.8
11.5
10.7
6.1
4.4
3.4
2.1
1.4
1.0
1.0
0.2
Table 16: Beneficial Ownership for Qualifying Hedge Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Non-Profits
Other
U.S. Individuals
Pension Plans
State/Muni. Govt. Pension Plans
Sov. Wealth Funds And For. Official Inst.
Non-U.S. Individuals
Insurance Companies
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Sec-Registered Investment Companies
Banking/Thrift Inst.
Broker-Dealers
2019Q4
16.4
14.3
13.2
10.8
13.4
11.5
6.5
2.6
2.8
1.9
1.5
1.3
1.2
2.5
2020Q1
16.9
14.1
13.5
10.8
12.9
11.3
6.6
2.6
3.0
1.8
1.5
1.2
1.2
2.5
16
2020Q2
16.5
14.6
13.3
11.3
12.7
11.1
6.4
2.8
3.0
1.8
1.5
1.4
1.1
2.4
2020Q3
16.6
14.5
13.7
11.3
12.6
10.8
6.5
2.9
3.0
1.8
1.5
1.3
1.1
2.3
2020Q4
17.0
15.1
13.8
11.6
12.8
11.2
6.3
3.1
3.2
1.9
1.5
1.1
1.1
0.5
2021Q1
17.2
15.0
14.0
12.1
12.5
11.0
6.3
3.0
3.3
1.7
1.5
1.1
1.1
0.1
March 30, 2022
C
Analytics Office
Section 3 Liquidity Funds
Table 17: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Other
Unknown Non-U.S. Investors
Private Funds
Sec-Registered Investment Companies
Banking/Thrift Inst.
Broker-Dealers
Insurance Companies
Pension Plans
Sov. Wealth Funds And For. Official Inst.
State/Muni. Govt. Entities
Non-Profits
Non-U.S. Individuals
State/Muni. Govt. Pension Plans
U.S. Individuals
2019Q4
74
63
62
14
***
***
8
4
***
***
2
4
***
***
2020Q1
76
61
72
12
***
***
10
***
***
***
2
4
***
***
2020Q2
92
59
57
17
***
***
11
***
***
***
2
3
***
***
2020Q3
93
77
55
18
11
***
10
5
***
***
2
3
1
***
2020Q4
89
81
59
20
***
***
10
9
***
***
3
***
1
***
2021Q1
83
73
55
24
***
***
11
7
***
***
3
***
1
***
2021Q2
105
57
52
25
24
***
11
8
***
***
3
4
1
***
2021Q3
101
50
50
27
***
***
9
7
***
***
3
3
1
***
2021Q2
33.1
18.0
16.5
7.8
7.4
***
3.5
2.4
***
***
1.0
1.1
0.3
***
2021Q3
33.8
16.7
16.5
8.9
***
***
3.2
2.4
***
***
1.1
0.9
0.4
***
Table 18: Beneficial Ownership for Section 3 Liquidity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Other
Unknown Non-U.S. Investors
Private Funds
Sec-Registered Investment Companies
Banking/Thrift Inst.
Broker-Dealers
Insurance Companies
Pension Plans
Sov. Wealth Funds And For. Official Inst.
State/Muni. Govt. Entities
Non-Profits
Non-U.S. Individuals
State/Muni. Govt. Pension Plans
U.S. Individuals
2019Q4
25.8
21.8
21.5
4.7
***
***
2.9
1.3
***
***
0.8
1.3
***
***
2020Q1
26.2
21.0
24.8
4.3
***
***
3.5
***
***
***
0.6
1.5
***
***
17
2020Q2
30.7
19.8
18.9
5.6
***
***
3.8
***
***
***
0.6
0.9
***
***
2020Q3
29.1
24.0
17.2
5.6
3.5
***
3.2
1.5
***
***
0.8
0.8
0.3
***
2020Q4
27.8
25.2
18.4
6.3
***
***
3.1
2.7
***
***
0.8
***
0.4
***
2021Q1
27.4
24.1
18.1
7.9
***
***
3.6
2.3
***
***
1.0
***
0.3
***
March 30, 2022
D
Analytics Office
Section 4 Private Equity Funds
Table 19: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
State/Muni. Govt. Pension Plans
Other
Sov. Wealth Funds And For. Official Inst.
Pension Plans
Insurance Companies
U.S. Individuals
Non-Profits
Non-U.S. Individuals
State/Muni. Govt. Entities
Banking/Thrift Inst.
Sec-Registered Investment Companies
Unknown Non-U.S. Investors
Broker-Dealers
2019Q4
467
514
369
278
199
152
132
139
51
56
36
28
19
1
2020Q1
468
526
392
286
201
154
132
140
54
56
37
28
19
1
2020Q2
468
526
392
285
201
154
132
140
54
56
37
28
19
1
2020Q3
468
526
392
285
201
154
132
140
54
56
37
28
19
1
2020Q4
656
652
513
361
246
189
186
180
65
63
38
27
25
3
2021Q1
659
654
544
387
246
190
187
180
71
63
38
27
25
3
2021Q2
662
655
544
388
247
190
187
180
71
63
38
27
25
3
2021Q3
662
655
544
388
247
190
187
180
71
63
38
27
25
3
Table 20: Beneficial Ownership for Section 4 Private Equity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
State/Muni. Govt. Pension Plans
Other
Sov. Wealth Funds And For. Official Inst.
Pension Plans
Insurance Companies
U.S. Individuals
Non-Profits
Non-U.S. Individuals
State/Muni. Govt. Entities
Banking/Thrift Inst.
Sec-Registered Investment Companies
Unknown Non-U.S. Investors
Broker-Dealers
2019Q4
19.1
21.1
15.1
11.4
8.2
6.2
5.4
5.7
2.1
2.3
1.5
1.1
0.8
0.1
2020Q1
18.8
21.1
15.7
11.5
8.1
6.2
5.3
5.6
2.2
2.3
1.5
1.1
0.7
0.1
18
2020Q2
18.8
21.1
15.7
11.4
8.1
6.2
5.3
5.6
2.2
2.3
1.5
1.1
0.7
0.1
2020Q3
18.8
21.1
15.7
11.4
8.1
6.2
5.3
5.6
2.2
2.3
1.5
1.1
0.7
0.1
2020Q4
20.5
20.3
16.0
11.3
7.7
5.9
5.8
5.6
2.0
2.0
1.2
0.8
0.8
0.1
2021Q1
20.1
20.0
16.6
11.8
7.5
5.8
5.7
5.5
2.2
1.9
1.2
0.8
0.8
0.1
2021Q2
20.2
20.0
16.6
11.8
7.5
5.8
5.7
5.5
2.2
1.9
1.2
0.8
0.8
0.1
2021Q3
20.2
20.0
16.6
11.8
7.5
5.8
5.7
5.5
2.2
1.9
1.2
0.8
0.8
0.1
March 30, 2022
E
Analytics Office
Concentration
Table 21: Weighted-Average Beneficial Ownership of Top 5 Owners (Percent)
As reported on Form PF, Questions 9 and 15.
Type
Private Equity Fund
Section 4 Private Equity Fund
Venture Capital Fund
Other Private Fund
Hedge Fund
Qualifying Hedge Fund
Liquidity Fund
Section 3 Liquidity Fund
Real Estate Fund
Securitized Asset Fund
Total
2019Q4
50.5
45.0
54.7
58.6
55.9
51.2
45.6
44.6
56.7
39.4
53.8
2020Q1
50.5
45.0
54.7
59.0
55.5
50.5
49.3
48.2
56.6
39.4
53.7
2020Q2
50.5
44.9
54.8
59.1
55.3
50.4
46.3
45.9
56.6
39.5
53.6
19
2020Q3
50.5
44.9
54.7
58.4
55.4
50.5
44.2
43.8
56.6
39.1
53.5
2020Q4
50.2
45.2
53.8
59.6
55.4
50.7
43.8
43.6
56.2
37.5
53.3
2021Q1
51.1
46.1
53.7
59.4
55.2
50.5
45.4
45.2
56.2
36.2
53.6
2021Q2
51.1
46.2
53.9
59.4
54.2
49.7
47.4
47.1
56.1
35.9
53.3
2021Q3
51.1
46.2
53.9
60.2
54.0
49.9
46.3
46.0
56.1
35.8
53.2
March 30, 2022
V
Analytics Office
Derivatives
Table 22: Aggregate Derivative Value ($ Billions)
As reported on Form PF, Questions 13 and 44 (Third Month).
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Section 4 Private Equity Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Venture Capital Fund
Total
2019Q4
12,771
11,168
111
95
37
18
***
***
3
***
12,915
2020Q1
11,977
10,540
108
96
37
18
***
***
3
***
12,221
2020Q2
11,057
9,544
108
96
37
18
***
***
3
***
11,318
2020Q3
13,752
11,771
106
97
37
18
***
***
3
***
14,003
2020Q4
14,161
11,893
134
66
34
19
***
***
3
***
14,475
2021Q1
15,237
13,460
138
66
34
18
***
***
3
***
15,505
2021Q2
16,306
14,415
134
66
34
18
***
***
3
***
16,554
2021Q3
15,883
14,474
133
66
34
18
***
***
3
***
16,089
Table 23: Aggregate Derivative Value (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 13, and 44 (Third Month).
Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Section 4 Private Equity Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Venture Capital Fund
Total
2019Q4
308.8
344.9
9.0
2.9
1.5
3.6
***
***
1.5
***
131.6
2020Q1
316.7
361.3
9.0
2.9
1.5
3.6
***
***
1.5
***
128.6
2020Q2
270.2
296.9
8.9
2.9
1.5
3.6
***
***
1.5
***
115.1
20
2020Q3
319.8
346.1
8.6
2.9
1.5
3.6
***
***
1.5
***
138.9
2020Q4
303.6
332.8
10.3
1.6
1.1
3.1
***
***
1.3
***
126.0
2021Q1
316.6
359.9
10.5
1.5
1.0
2.9
***
***
1.3
***
132.1
2021Q2
317.7
355.3
10.0
1.6
1.0
2.9
***
***
1.3
***
136.8
2021Q3
310.8
347.8
10.4
1.6
1.0
2.9
***
***
1.3
***
134.1
March 30, 2022
Analytics Office
Figure 6: Distribution of Derivative Values
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
Total Derivative Value ($Billions)
Winsorized (limits=[1%,99%])
1.5
1.0
0.5
7.5
5.0
2.5
0.0
20
20
10.0
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q3
20 4
20
Q
20 1
20
Q
20 2
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q3
0.0
19
Q
Total Derivative Value ($Billions)
Winsorized (limits=[1%,99%])
As reported on Form PF, Questions 13 and 44 (Third Month).
(a) All Private Funds
VI
A
(b) Qualifying Hedge Funds
Additional Hedge Fund Industry Information
High Frequency Trading
Table 24: Number of Hedge Funds Using
High Frequency Trading (HFT) Strategies
As reported on Form PF, Question 21.
Fraction of NAV
0%
Less than 100%
100% or More
2019Q4
7,973
51
10
2020Q1
8,057
50
9
2020Q2
8,070
51
8
2020Q3
8,133
49
7
2020Q4
8,151
46
6
2021Q1
8,201
45
6
2021Q2
8,309
49
6
2021Q3
8,208
49
6
Table 25: Hedge Fund Assets Managed Using HFT Strategies ($ Billions)
As reported on Form PF, Questions 9 and 21.
Fraction of NAV
0%
Less than 100%
100% or More
2019Q4
4,038
81
3
2020Q1
3,678
84
2
2020Q2
3,969
95
2
2020Q3
4,175
99
2
21
2020Q4
4,534
99
3
2021Q1
4,675
103
4
2021Q2
4,989
112
4
2021Q3
4,958
117
5
March 30, 2022
B
Analytics Office
Industry Concentration
Table 26: Percent of Aggregate Hedge Fund Net Asset Value
Reported by Top Hedge Funds Sorted by Net Asset Value
As reported on Form PF, Questions 9 and 10.
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2019Q4
7.4
13.6
19.6
27.7
42.1
55.5
2020Q1
7.5
14.0
20.1
28.1
42.3
55.5
2020Q2
7.5
14.0
20.1
28.2
42.7
56.1
2020Q3
7.5
14.0
20.4
28.7
43.4
56.7
2020Q4
7.1
13.5
19.9
28.3
43.0
56.4
2021Q1
7.1
13.3
19.5
27.8
42.6
56.1
2021Q2
7.0
13.0
19.1
27.5
42.2
55.9
2021Q3
7.3
13.3
19.4
27.9
42.7
56.2
Table 27: Percent of Aggregate Hedge Fund Gross Asset Value
Reported by Top Hedge Funds Sorted by Gross Asset Value
As reported on Form PF, Questions 8 and 10.
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2019Q4
15.3
24.5
33.2
42.3
55.7
67.0
2020Q1
17.0
25.9
34.5
43.5
56.5
67.5
2020Q2
14.8
23.8
32.4
41.6
55.1
66.5
2020Q3
15.3
24.6
33.3
42.4
56.0
67.2
2020Q4
14.9
23.7
32.5
41.5
55.3
66.5
2021Q1
14.1
22.8
31.5
40.4
54.1
65.8
2021Q2
14.8
23.7
32.2
40.7
54.1
65.7
2021Q3
16.2
25.2
33.5
42.3
55.4
66.8
Table 28: Percent of Aggregate Hedge Fund Borrowings
Reported by Top Hedge Funds Sorted by Borrowings
As reported on Form PF, Questions 12 and 43 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2019Q4
35.5
50.5
62.2
72.9
84.5
91.6
2020Q1
38.5
52.5
63.5
73.5
84.3
91.0
2020Q2
35.0
50.3
62.5
73.5
84.4
91.4
2020Q3
34.6
51.0
62.7
73.9
84.9
91.8
22
2020Q4
33.4
48.8
61.0
72.2
84.1
91.3
2021Q1
32.4
47.1
59.7
71.0
83.1
90.7
2021Q2
31.7
47.5
60.2
70.7
83.0
90.8
2021Q3
32.2
48.0
60.5
71.1
83.2
90.9
March 30, 2022
Analytics Office
Table 29: Percent of Aggregate Hedge Fund Derivative Value
Reported by Top Hedge Funds Sorted by Derivative Value
As reported on Form PF, Questions 13 and 44 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2019Q4
28.9
47.3
60.1
72.1
86.5
93.7
2020Q1
34.0
52.3
65.0
76.2
88.1
94.3
2020Q2
32.6
48.8
61.5
73.3
87.2
93.9
2020Q3
39.2
53.8
66.1
76.6
89.0
94.9
2020Q4
40.7
55.1
66.8
77.0
89.1
94.8
2021Q1
41.4
56.3
67.6
77.9
89.2
94.9
2021Q2
39.4
54.9
67.1
78.1
89.3
95.0
2021Q3
40.7
56.8
69.2
79.5
90.4
95.5
Table 30: Percent of Aggregate Hedge Fund Gross Notional Exposure
Reported by Top Hedge Funds Sorted by Gross Notional Exposure
As reported on Form PF, Questions 26 and 30 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2019Q4
29.1
46.3
58.5
70.1
83.3
91.6
2020Q1
33.2
50.8
62.1
72.5
84.6
92.2
2020Q2
31.9
48.1
59.3
70.2
83.0
91.3
2020Q3
35.7
50.6
61.4
71.7
84.1
92.0
23
2020Q4
35.6
49.2
60.2
70.8
83.4
91.7
2021Q1
36.6
50.1
60.5
71.2
83.4
91.3
2021Q2
34.8
48.4
59.4
70.0
82.8
90.9
2021Q3
35.0
49.6
60.7
70.9
83.4
91.2
March 30, 2022
C
Analytics Office
Single-Strategy US-Domiciled Hedge Funds
Table 31: Exposures of Single-Strategy US-Domiciled Hedge Funds ($ Billions)
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Other
Credit
Event Driven
Relative Value
Investment in other funds
Macro
Managed Futures/CTA
Total
Strategy
Subtotal
Long Bias
Long/Short
Market Neutral
Short Bias
Subtotal
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
F.I. Asset Backed
F.I. Corp.
F.I. Conv. Arb.
F.I. Sov.
Volatility Arb.
Subtotal
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Quantitative
Fundamental
Total
2019Q4
562
276
245
40
2
473
98
50
47
45
30
10
5
43
27
8
5
***
***
31
15
12
1
***
***
5
***
***
1,089
2020Q1
485
235
207
40
2
441
96
48
48
43
31
8
4
40
27
7
3
***
***
36
11
9
2
***
***
5
***
***
1,002
24
2020Q2
547
269
239
38
2
481
98
52
46
47
32
11
4
43
27
8
5
1
1
30
11
8
2
***
***
5
***
***
1,095
2020Q3
567
282
251
33
1
490
103
56
47
47
31
11
5
48
29
9
7
1
1
31
12
9
2
***
***
5
***
***
1,140
2020Q4
615
318
266
30
1
537
119
63
56
51
34
12
5
48
28
11
7
2
1
29
11
8
***
***
***
6
***
***
1,251
2021Q1
642
329
288
25
1
561
122
67
55
56
37
12
6
49
29
9
8
1
1
31
13
10
***
***
***
6
***
***
1,314
2021Q2
666
327
309
28
1
589
126
68
57
61
41
14
6
48
28
9
8
1
1
32
13
9
***
***
***
6
***
***
1,369
2021Q3
653
319
306
27
1
595
134
72
62
66
47
13
6
49
30
9
7
1
1
32
13
10
3
***
***
6
***
***
1,383
March 30, 2022
Analytics Office
Table 32: Number of Single-Strategy US-Domiciled Hedge Funds
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Other
Credit
Event Driven
Relative Value
Investment in other funds
Macro
Managed Futures/CTA
Total
Strategy
Subtotal
Long Bias
Long/Short
Market Neutral
Short Bias
Subtotal
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
F.I. Asset Backed
F.I. Corp.
F.I. Conv. Arb.
F.I. Sov.
Volatility Arb.
Subtotal
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Quantitative
Fundamental
Total
2019Q4
1,013
521
434
48
17
924
297
155
146
215
153
47
23
151
72
48
16
***
***
211
44
24
9
***
***
26
***
***
2,687
2020Q1
1,007
511
438
47
18
931
303
159
147
220
159
45
23
149
69
47
17
***
***
215
45
24
14
***
***
27
***
***
2,721
25
2020Q2
993
504
433
45
18
943
313
165
151
227
165
45
24
160
81
49
16
11
12
213
44
22
13
***
***
27
***
***
2,746
2020Q3
1,017
522
443
45
17
957
318
168
153
220
156
46
23
172
88
53
17
16
12
219
44
21
13
***
***
28
***
***
2,775
2020Q4
1,013
525
437
48
11
950
354
173
184
217
151
50
21
174
93
53
18
16
14
238
44
24
***
***
***
26
***
***
2,788
2021Q1
1,024
534
441
46
11
979
357
175
185
230
161
52
21
177
95
50
18
17
13
239
46
24
***
***
***
27
***
***
2,852
2021Q2
1,031
528
450
47
11
1,003
366
176
193
239
165
56
22
173
95
44
19
16
12
233
46
24
***
***
***
27
***
***
2,907
2021Q3
1,035
527
457
46
11
1,018
373
178
198
236
166
52
21
173
96
47
18
15
11
238
43
22
13
***
***
24
***
***
2,930
March 30, 2022
D
Analytics Office
Single-Strategy Non-US-Domiciled Hedge Funds
Table 33: Exposures of Single-Strategy Non-US-Domiciled Hedge Funds ($ Billions)
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Relative Value
Macro
Other
Credit
Managed Futures/CTA
Event Driven
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Corp.
Volatility Arb.
F.I. Conv. Arb.
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Distressed/Restruct.
Risk Arb./Merger Arb.
Equity
Subtotal
Total
2019Q4
907
601
211
***
***
359
224
88
19
17
10
357
346
8
***
***
560
202
153
49
172
***
***
121
81
18
21
30
1,805
2020Q1
779
512
190
***
***
390
248
99
18
16
9
353
344
6
***
***
529
206
150
56
153
***
***
111
72
21
18
28
1,653
26
2020Q2
902
608
224
***
***
377
256
74
24
12
11
343
332
6
***
***
538
212
152
61
110
***
***
117
81
17
19
29
1,820
2020Q3
994
670
249
***
***
375
252
76
24
12
11
434
425
6
***
***
565
220
155
65
132
***
***
136
93
22
21
28
1,938
2020Q4
1,179
803
293
***
***
408
272
79
29
14
13
379
368
7
***
***
616
235
175
61
151
***
***
147
95
28
24
30
2,159
2021Q1
1,160
779
296
***
***
410
274
80
24
17
15
379
369
7
***
***
655
248
186
62
167
***
***
168
103
35
29
35
2,208
2021Q2
1,279
830
357
***
***
423
283
78
27
19
16
404
392
9
***
***
744
304
238
66
201
***
***
182
110
41
31
34
2,418
2021Q3
1,275
825
360
***
***
445
299
79
28
22
17
385
373
8
***
***
755
326
229
96
233
***
***
178
112
33
33
35
2,463
March 30, 2022
Analytics Office
Table 34: Number of Single-Strategy Non-US-Domiciled Hedge Funds
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Relative Value
Macro
Other
Credit
Managed Futures/CTA
Event Driven
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Corp.
Volatility Arb.
F.I. Conv. Arb.
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Distressed/Restruct.
Risk Arb./Merger Arb.
Equity
Subtotal
Total
2019Q4
1,055
623
317
***
***
296
57
130
91
34
28
216
161
44
***
***
790
334
241
95
122
***
***
285
195
52
75
130
3,029
2020Q1
1,059
632
317
***
***
303
56
129
97
34
27
216
163
44
***
***
828
333
237
99
132
***
***
295
206
47
78
127
3,078
27
2020Q2
1,029
620
312
***
***
300
58
134
97
28
27
209
158
40
***
***
811
340
244
99
124
***
***
300
215
44
74
130
3,047
2020Q3
1,030
618
315
***
***
297
57
138
94
26
26
213
163
41
***
***
808
345
246
101
121
***
***
306
223
43
72
126
3,066
2020Q4
1,075
636
342
***
***
306
60
151
94
26
24
213
163
38
***
***
839
343
244
102
115
***
***
305
214
43
77
113
3,119
2021Q1
1,050
609
342
***
***
305
57
149
92
26
27
213
163
40
***
***
823
343
243
103
118
***
***
313
218
43
82
130
3,101
2021Q2
1,082
610
375
***
***
308
55
151
99
25
25
212
162
38
***
***
878
359
255
107
120
***
***
318
220
48
80
104
3,178
2021Q3
1,070
605
379
***
***
305
54
147
99
25
27
207
160
34
***
***
853
357
250
111
123
***
***
321
223
47
79
102
3,128
March 30, 2022
VII
A
Analytics Office
Information Reported by Large Hedge
Fund Advisers
Economic Leverage
Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
12.5
10.0
7.5
5.0
2.5
0.0
12.5
10.0
7.5
5.0
2.5
0.0
20
20
19
19
15.0
-1
20 2
20
-0
20 3
20
-0
20 6
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-09
Ratio of GNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
15.0
-1
20 2
20
-0
20 3
20
-0
20 6
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-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)
28
(b) Gross Exposure without IRDs
10
8
6
4
2
0
Ratio of SNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
2
0
(a) Long Exposure with IRDs
(c) Short Exposure with IRDs
29
20 2
20
-0
20 3
20
-0
20 6
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-09
4
19
-1
6
Ratio of LNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
8
20
-1
20 2
20
-0
20 3
20
-0
20 6
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-09
19
20
Ratio of LNE to NAV
Winsorized (limits=[0%,98%])
10
20
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-09
-0
20 3
20
-0
20 6
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-09
20
20
-12
19
20
Ratio of SNE to NAV
Winsorized (limits=[0%,98%])
March 30, 2022
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
March 30, 2022
B
Analytics Office
Industry Concentration
Table 35: Large Hedge Fund Adviser Asset and Exposure Concentration
(Percent of Total Reported)
As reported on Form PF, Questions 3(a) and 26.
Month
2019-10
2019-11
2019-12
2020-01
2020-02
2020-03
2020-04
2020-05
2020-06
2020-07
2020-08
2020-09
2020-10
2020-11
2020-12
2021-01
2021-02
2021-03
2021-04
2021-05
2021-06
2021-07
2021-08
2021-09
Top 10 Advisers (NAV)
19.5
19.5
19.5
19.1
19.1
19.1
18.3
18.3
18.3
18.4
18.4
18.5
16.8
16.8
16.8
16.2
16.2
16.2
16.3
16.3
16.3
16.3
17.0
17.0
Top 20 Advisers (NAV)
29.3
29.3
29.3
29.6
29.6
29.6
29.0
29.0
29.0
29.1
29.1
29.3
26.4
26.4
26.4
26.2
26.2
26.2
26.5
26.4
26.4
26.6
27.5
27.5
30
Top 10 Advisers (GNE)
37.6
37.3
36.9
37.9
38.6
40.9
40.6
40.4
39.7
42.0
40.5
40.2
39.8
39.1
39.2
40.2
42.1
41.3
40.6
40.4
40.0
40.6
39.2
38.8
Top 20 Advisers (GNE)
54.0
54.0
53.5
55.2
55.8
56.5
56.6
56.0
55.5
57.1
56.5
55.9
55.6
56.1
54.4
55.7
57.4
55.8
55.4
55.6
54.6
56.7
56.2
55.6
March 30, 2022
Portfolio Turnover
Table 36: Aggregate Portfolio Turnover ($ Billions)
As reported on Form PF, Question 27.
Month
2019-10
2019-11
2019-12
2020-01
2020-02
2020-03
2020-04
2020-05
2020-06
2020-07
2020-08
2020-09
2020-10
2020-11
2020-12
2021-01
2021-02
2021-03
2021-04
2021-05
2021-06
2021-07
2021-08
2021-09
Futures
12,752
14,105
13,352
13,069
19,150
25,073
9,351
12,203
12,862
7,968
10,052
11,043
9,346
12,519
17,703
10,690
17,637
18,604
9,445
13,934
16,641
12,043
13,973
16,020
Sov. and muni. bonds
3,679
3,877
3,367
3,799
4,625
6,465
4,464
4,189
4,038
3,345
3,829
3,738
4,159
4,665
4,408
4,430
5,568
5,505
4,030
4,419
5,182
5,110
5,438
5,485
Listed equities
2,566
2,280
2,302
2,719
2,916
4,071
2,658
2,677
3,201
2,928
2,552
2,866
2,756
3,227
2,993
3,454
3,460
4,131
3,210
3,376
3,678
3,157
3,100
3,437
Corporate bonds
152
134
95
176
167
230
226
211
220
164
165
207
189
171
125
176
176
189
173
157
151
142
140
168
Convertible bonds
19
27
21
36
31
36
39
44
51
40
39
38
44
55
56
58
63
63
51
44
48
29
39
54
Total
19,168
20,422
19,137
19,798
26,890
35,875
16,738
19,324
20,372
14,444
16,638
17,891
16,493
20,637
25,285
18,807
26,904
28,491
16,910
21,929
25,701
20,481
22,690
25,164
Figure 9: Distributions of Portfolio Turnover
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
80
60
40
20
20
10
0
20
20
19
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-09
0
30
-1
20 2
20
-0
20 3
20
-0
20 6
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-09
Ratio of Turnover to NAV
Winsorized (limits=[1%,99%])
As reported on Form PF, Questions 3(a) and 27.
Total Turnover ($Billions)
Winsorized (limits=[1%,99%])
C
Analytics Office
(a) Total Turnover
(b) Total Turnover to NAV Ratio
31
March 30, 2022
D
Analytics Office
Region and Country Exposure
Table 37: Large Hedge Fund Adviser Hedge Fund
Region Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.
Region
North America
Europe EEA
Asia
Europe Other
South America
Supranational
Africa
Middle East
2019Q4
5,410
1,619
770
85
122
54
33
29
2020Q1
4,940
1,443
658
93
87
42
30
40
2020Q2
4,943
1,419
674
94
86
54
37
28
2020Q3
5,422
1,639
815
126
98
35
40
35
2020Q4
5,096
1,533
803
107
93
33
40
29
2021Q1
5,275
1,353
782
291
85
45
34
29
2021Q2
5,586
1,491
816
313
91
47
38
55
2021Q3
5,848
1,595
800
314
87
47
33
31
Table 38: Large Hedge Fund Adviser Hedge Fund
Region Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.
Region
North America
Europe EEA
Asia
Europe Other
South America
Supranational
Africa
Middle East
2019Q4
151.8
45.5
21.6
2.4
3.4
1.5
0.9
0.8
2020Q1
151.8
44.4
20.2
2.8
2.7
1.3
0.9
1.2
2020Q2
138.8
39.9
18.9
2.6
2.4
1.5
1.0
0.8
2020Q3
143.4
43.3
21.6
3.3
2.6
0.9
1.1
0.9
32
2020Q4
129.8
39.0
20.5
2.7
2.4
0.8
1.0
0.7
2021Q1
127.9
32.8
19.0
7.1
2.1
1.1
0.8
0.7
2021Q2
127.7
34.1
18.7
7.2
2.1
1.1
0.9
1.3
2021Q3
128.7
35.1
17.6
6.9
1.9
1.0
0.7
0.7
March 30, 2022
Analytics Office
Table 39: Large Hedge Fund Adviser Hedge Fund
Country Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.
Country
United States
China (Inc. Hong Kong)
Japan
India
Brazil
Russia
2019Q4
5,074
199
264
37
50
15
2020Q1
4,716
181
221
29
32
15
2020Q2
4,721
221
191
30
33
17
2020Q3
5,159
271
214
32
36
17
2020Q4
4,858
285
215
36
38
18
2021Q1
5,018
280
209
46
33
16
2021Q2
5,287
284
219
52
43
18
2021Q3
5,478
251
233
53
33
16
2021Q2
120.9
6.5
5.0
1.2
1.0
0.4
2021Q3
120.5
5.5
5.1
1.2
0.7
0.3
Table 40: Large Hedge Fund Adviser Hedge Fund
Country Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.
Country
United States
China (Inc. Hong Kong)
Japan
India
Brazil
Russia
2019Q4
142.4
5.6
7.4
1.0
1.4
0.4
2020Q1
144.9
5.6
6.8
0.9
1.0
0.5
2020Q2
132.6
6.2
5.4
0.8
0.9
0.5
33
2020Q3
136.4
7.2
5.7
0.9
1.0
0.4
2020Q4
123.7
7.3
5.5
0.9
1.0
0.5
2021Q1
121.6
6.8
5.1
1.1
0.8
0.4
March 30, 2022
VIII
Qualifying Hedge Fund Specific Information
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.
7.5
5.0
2.5
7.5
5.0
2.5
0.0
20
20
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-09
0.0
10.0
20 2
20
-0
20 3
20
-0
20 6
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-09
10.0
12.5
19
-1
12.5
Ratio of GNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
As reported on Form PF, Questions 9, 10, 26, and 30.
Ratio of GNE to NAV
Winsorized (limits=[0%,98%])
A
Analytics Office
(a) Including IRDs
(b) Excluding IRDs
34
-12
(a) LNE Including IRDs
(c) SNE Including IRDs
35
-0
20 3
20
-0
20 6
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-09
0
20
2
20
4
-1
20 2
20
-0
20 3
20
-0
20 6
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-09
19
20
0
-12
2
Ratio of LNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
4
19
6
Ratio of SNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
19
-1
20 2
20
-0
20 3
20
-0
20 6
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-09
20
Ratio of LNE to NAV
Winsorized (limits=[0%,98%])
6
20
-0
20 3
20
-0
20 6
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-09
20
20
19
20
Ratio of SNE to NAV
Winsorized (limits=[0%,98%])
March 30, 2022
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.
6
4
2
0
(b) LNE Excluding IRDs
6
4
2
0
(d) SNE Excluding IRDs
March 30, 2022
B
Analytics Office
Gross Exposure by Strategy5
Table 41: Exposures of Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Other
Relative Value
Macro
Credit
Event Driven
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Conv. Arb.
F.I. Asset Backed
F.I. Corp.
Volatility Arb.
Subtotal
Global Macro
Commodity
Currency
Active Trading
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Quantitative
Fundamental
Subtotal
Total
2019Q4
1,723
880
443
397
3
1,134
1,030
714
60
177
61
18
666
579
39
44
5
315
233
82
311
163
79
69
193
***
***
48
5,420
2020Q1
1,379
713
373
***
***
1,106
1,106
836
55
129
53
32
644
577
28
36
4
327
240
87
271
140
65
65
159
158
1
50
5,041
2020Q2
1,641
867
443
329
1
1,126
983
700
80
116
62
26
641
572
25
***
***
358
265
93
281
159
64
59
126
***
***
42
5,198
2020Q3
1,757
957
485
***
***
1,128
1,023
689
101
135
72
26
797
725
28
40
4
370
272
98
307
162
71
74
149
145
4
43
5,574
2020Q4
1,975
1,090
548
***
***
1,189
997
676
121
112
56
32
746
681
31
30
4
393
295
98
366
169
96
101
165
***
***
43
5,873
2021Q1
2,036
1,114
574
***
***
1,247
981
647
129
103
58
43
741
670
34
***
***
415
317
98
408
180
116
111
169
***
***
51
6,048
2021Q2
2,243
1,204
649
390
0
1,365
1,031
692
133
95
63
48
818
740
44
***
***
448
346
102
452
186
138
129
215
***
***
54
6,626
2021Q3
2,228
1,200
649
***
***
1,422
1,035
691
126
100
61
57
893
790
66
34
4
453
348
105
449
202
141
107
246
***
***
57
6,783
5
Form PF Question 20 requires advisers to indicate which strategies best describe the reporting fund’s strategies
including a good faith estimate of the reporting fund’s allocation among strategies, and provides a list of investment
strategies for this purpose. Form PF does not define the investment strategies listed by Question 20.
36
March 30, 2022
Analytics Office
Table 42: Exposures of Hedge Funds (Percent of NAV)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Other
Relative Value
Macro
Credit
Event Driven
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Conv. Arb.
F.I. Asset Backed
F.I. Corp.
Volatility Arb.
Subtotal
Global Macro
Commodity
Currency
Active Trading
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Quantitative
Fundamental
Subtotal
Total
2019Q4
53.2
27.2
13.7
12.3
0.1
35.0
31.8
22.0
1.8
5.5
1.9
0.6
20.6
17.9
1.2
1.3
0.2
9.7
7.2
2.5
9.6
5.0
2.5
2.1
5.9
***
***
1.5
167.4
2020Q1
47.3
24.5
12.8
***
***
37.9
37.9
28.7
1.9
4.4
1.8
1.1
22.1
19.8
1.0
1.2
0.1
11.2
8.2
3.0
9.3
4.8
2.2
2.2
5.5
5.4
0.1
1.7
172.8
37
2020Q2
51.0
27.0
13.8
10.2
0.0
35.0
30.6
21.8
2.5
3.6
1.9
0.8
19.9
17.8
0.8
***
***
11.1
8.2
2.9
8.7
4.9
2.0
1.8
3.9
***
***
1.3
161.7
2020Q3
51.7
28.1
14.3
***
***
33.2
30.1
20.3
3.0
4.0
2.1
0.8
23.4
21.3
0.8
1.2
0.1
10.9
8.0
2.9
9.0
4.8
2.1
2.2
4.4
4.3
0.1
1.3
163.9
2020Q4
55.3
30.5
15.3
***
***
33.3
27.9
18.9
3.4
3.1
1.6
0.9
20.9
19.1
0.9
0.8
0.1
11.0
8.3
2.7
10.2
4.7
2.7
2.8
4.6
***
***
1.2
164.3
2021Q1
54.4
29.8
15.3
***
***
33.4
26.2
17.3
3.5
2.8
1.6
1.2
19.8
17.9
0.9
***
***
11.1
8.5
2.6
10.9
4.8
3.1
3.0
4.5
***
***
1.4
161.7
2021Q2
55.3
29.7
16.0
9.6
0.0
33.6
25.4
17.1
3.3
2.3
1.6
1.2
20.2
18.2
1.1
***
***
11.0
8.5
2.5
11.2
4.6
3.4
3.2
5.3
***
***
1.3
163.3
2021Q3
53.5
28.8
15.6
***
***
34.2
24.9
16.6
3.0
2.4
1.5
1.4
21.5
19.0
1.6
0.8
0.1
10.9
8.4
2.5
10.8
4.9
3.4
2.6
5.9
***
***
1.4
163.0
March 30, 2022
C
Analytics Office
Leverage by Strategy
Table 43: Asset Weighted-Average Ratio of GAV to NAV
by Strategy
As reported on Form PF, Questions 8, 9, 10, and 20.
Strategy
Relative Value
Macro
Multi-Strategy
Credit
Equity
Managed Futures/CTA
Other
Event Driven
Investment in other funds
2019Q4
5.6
4.3
2.3
1.6
1.6
1.4
1.7
1.3
1.2
2020Q1
6.3
4.4
2.3
1.7
1.5
1.4
1.7
1.4
1.2
2020Q2
5.0
3.7
2.0
1.6
1.6
1.4
1.6
1.4
1.3
2020Q3
4.8
4.6
2.5
1.5
1.6
1.5
1.5
1.3
1.3
2020Q4
5.7
4.5
3.0
1.5
1.6
1.5
1.5
1.3
1.2
2021Q1
5.6
4.5
3.1
1.5
1.6
1.5
1.4
1.4
1.2
2021Q2
5.7
4.8
3.2
1.6
1.5
1.5
1.4
1.4
1.3
2021Q3
7.0
4.8
3.3
1.5
1.5
1.5
1.5
1.4
1.3
Table 44: Asset Weighted-Average Ratio of GNE to NAV
by Strategy
As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month).
Strategy
Macro
Relative Value
Managed Futures/CTA
Multi-Strategy
Investment in other funds
Other
Credit
Equity
Event Driven
2019Q4
27.6
24.2
18.5
11.5
1.9
4.3
2.8
3.1
1.9
2020Q1
26.7
25.5
14.6
10.3
1.8
4.6
3.1
2.7
1.9
2020Q2
20.2
22.5
17.4
9.4
2.0
4.1
2.8
3.0
1.8
2020Q3
32.5
19.6
20.9
10.3
2.0
3.4
2.8
3.0
1.8
2020Q4
33.1
23.6
19.7
12.4
2.1
3.2
2.8
2.9
1.9
2021Q1
37.3
24.9
19.2
14.7
1.9
3.1
3.0
3.0
2.0
2021Q2
36.9
23.3
21.4
16.1
2.9
3.2
3.2
3.0
2.1
2021Q3
34.6
26.4
22.9
16.2
3.3
3.2
3.0
2.9
2.0
Table 45: Asset Weighted-Average Percent of Unencumbered Cash
by Strategy
As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month).
Strategy
Managed Futures/CTA
Macro
Multi-Strategy
Relative Value
Other
Credit
Equity
Event Driven
Investment in other funds
2019Q4
43.4
39.7
22.7
22.6
14.9
7.7
9.3
10.4
6.6
2020Q1
58.6
43.2
25.0
26.3
16.2
8.3
15.2
12.3
4.7
2020Q2
46.1
40.1
28.5
24.0
16.2
7.4
10.5
10.0
5.1
38
2020Q3
47.7
38.2
30.1
26.2
13.4
7.9
8.3
8.0
6.0
2020Q4
40.4
40.2
26.4
25.7
12.4
9.7
7.9
8.5
7.2
2021Q1
38.7
41.9
24.9
21.9
12.5
9.4
8.0
7.5
1.1
2021Q2
34.0
42.9
25.4
20.9
12.2
8.9
7.5
7.2
3.0
2021Q3
42.7
42.3
25.4
21.1
11.6
8.8
8.1
7.7
1.6
March 30, 2022
D
Analytics Office
Investment Exposures
Table 46: Aggregate Qualifying Hedge Fund Gross Notional Exposure
by Asset Type ($ Billions)
As reported on Form PF, Questions 26 and 30.
Interest Rate Derivatives
Foreign Exchange Derivatives
Non-Financial Listed Equities
Repurchase Agreements
U.S. Treasury Securities
Non-Financial Equity Derivatives
Sovereign Bonds - Non-U.S. G10
Credit Derivatives
Cash/Cash Equivalents - Other
Commodity Derivatives
Non-Financial Unlisted Equities
Financial Listed Equities
Sovereign Bonds - Other
Non-Financial Corporate Bonds
Non-U.S. Currency Holdings
Leveraged Loans
Cash/Cash Equivalents - Deposits
MBS
Other Derivatives
Cash/Cash Equivalents - MMFs
Non-Financial Convertible Bonds
Other Private Funds
Physical Real Estate
Other Loans (Excluding Repo)
Financial Equity Derivatives
Other
Financial Corporate Bonds
Other ABS/Structured Products
U.S. Agency and GSE Securities
CDO/CLO
Financial Unlisted Equities
U.S. State and Local Bonds
Registered Investment Companies
Financial Convertible Bonds
Physical Commodities
2019Q4
5,736
2,941
2,141
1,922
2,192
1,452
1,194
659
464
345
269
295
291
223
202
166
205
308
411
171
90
123
106
107
107
96
67
56
43
42
24
20
14
10
3
2020Q1
5,625
3,187
1,551
2,010
1,957
1,137
928
536
491
227
238
196
235
203
172
168
212
219
236
209
86
113
102
100
83
103
64
45
36
31
22
20
12
8
3
2020Q2
5,287
2,836
1,945
1,800
1,768
1,132
962
488
409
266
255
237
275
246
215
181
190
246
204
186
117
115
99
109
90
100
67
48
35
35
22
20
23
9
4
39
2020Q3
6,390
3,164
2,142
2,069
1,740
1,168
1,155
534
389
309
288
244
348
246
180
198
190
254
235
170
140
123
100
117
88
85
69
51
39
35
24
19
20
8
5
2020Q4
6,282
3,216
2,495
1,908
1,595
1,273
1,272
586
425
341
317
272
327
221
188
202
184
216
226
168
174
134
112
115
93
89
68
50
42
33
26
19
17
8
8
2021Q1
6,781
3,756
2,551
1,895
1,672
1,622
1,302
736
506
367
385
314
278
240
208
223
196
184
213
173
182
145
120
118
99
95
67
52
39
35
27
19
18
9
5
2021Q2
7,509
4,076
2,836
2,073
1,727
1,558
1,416
715
576
417
433
347
321
273
223
230
205
203
218
172
200
157
130
123
110
88
71
62
43
37
30
19
17
10
5
2021Q3
7,640
4,077
2,711
2,270
1,735
1,598
1,472
783
534
455
417
359
332
272
255
247
240
212
188
181
178
175
146
133
105
93
73
60
52
38
27
21
16
9
7
March 30, 2022
Analytics Office
Table 47: Percent of Qualifying Hedge Fund Gross Notional Exposure
Representing Long Notional Exposure
As reported on Form PF, Questions 26 and 30.
Interest Rate Derivatives
Foreign Exchange Derivatives
Non-Financial Listed Equities
Repurchase Agreements
U.S. Treasury Securities
Non-Financial Equity Derivatives
Sovereign Bonds - Non-U.S. G10
Credit Derivatives
Cash/Cash Equivalents - Other
Commodity Derivatives
Non-Financial Unlisted Equities
Financial Listed Equities
Sovereign Bonds - Other
Non-Financial Corporate Bonds
Non-U.S. Currency Holdings
Leveraged Loans
Cash/Cash Equivalents - Deposits
MBS
Other Derivatives
Cash/Cash Equivalents - MMFs
Non-Financial Convertible Bonds
Other Private Funds
Physical Real Estate
Other Loans (Excluding Repo)
Financial Equity Derivatives
Other
Financial Corporate Bonds
Other ABS/Structured Products
U.S. Agency and GSE Securities
CDO/CLO
Financial Unlisted Equities
U.S. State and Local Bonds
Registered Investment Companies
Financial Convertible Bonds
Physical Commodities
2019Q4
47.8
58.3
68.7
36.1
60.6
57.7
54.3
49.6
80.4
64.2
99.9
68.5
75.7
82.1
52.6
99.5
61.0
81.5
42.1
98.9
94.5
99.8
***
90.4
55.3
96.3
92.0
93.9
75.4
***
99.4
99.5
97.5
95.8
***
2020Q1
48.0
57.7
69.8
37.2
61.1
50.9
54.4
43.5
77.5
60.8
99.9
69.7
77.3
86.8
56.2
99.5
73.9
85.9
42.3
***
93.5
99.8
***
88.2
54.6
94.3
92.7
94.7
87.8
***
99.8
99.1
96.6
96.7
99.1
2020Q2
44.5
60.3
69.0
38.3
61.4
50.6
52.3
41.9
79.4
63.3
99.8
69.4
77.9
86.3
51.5
98.2
70.9
84.1
49.8
***
99.2
99.7
***
90.9
54.9
94.4
91.5
94.6
86.7
***
99.8
***
92.8
96.8
99.1
40
2020Q3
52.4
58.4
69.7
38.1
62.2
51.2
51.9
42.5
78.4
67.1
99.1
70.2
75.5
85.2
49.0
99.4
72.3
82.4
65.5
***
98.7
99.7
***
91.0
55.1
95.0
91.5
92.4
85.0
***
99.9
98.6
97.3
97.1
99.3
2020Q4
51.5
58.5
70.7
38.4
60.9
50.8
49.8
45.3
74.9
68.8
99.8
73.3
75.9
84.4
54.9
99.5
73.9
80.8
42.6
***
98.4
***
***
88.8
57.7
94.9
90.0
92.7
78.5
***
99.8
98.4
***
97.4
99.4
2021Q1
49.7
58.5
70.9
44.9
55.3
57.0
48.6
46.8
71.4
67.1
99.7
72.4
75.6
81.9
53.3
98.3
72.9
82.2
44.1
***
97.9
***
***
93.5
59.8
94.6
89.5
86.7
72.5
***
99.7
98.3
***
97.3
99.6
2021Q2
48.5
57.7
70.2
46.5
56.7
53.7
50.0
46.6
75.1
67.0
99.7
72.4
69.5
81.0
53.3
99.4
75.4
73.6
48.9
***
97.8
99.5
***
93.1
60.6
95.3
88.3
84.5
59.3
***
99.8
97.9
96.2
95.8
***
2021Q3
48.5
57.0
71.4
46.8
57.2
51.4
48.5
47.0
73.2
63.8
99.8
73.4
70.2
79.1
56.8
98.0
72.8
71.9
61.9
***
97.7
99.9
***
91.7
60.1
96.1
87.1
85.3
65.0
***
99.7
98.2
97.9
95.0
98.4
March 30, 2022
Number of Positions
Figure 12: Number of Positions Reported by Qualifying Hedge Funds
2500
As reported on Form PF, Question 34.
2000
1500
1000
500
0
20
19
-12
20
20
-03
20
20
-06
20
20
-09
20
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-09
Number of Positions
E
Analytics Office
41
March 30, 2022
Liquidity
Table 48: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 50.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2019Q4
7.7
13.1
26.5
46.3
56.9
68.9
2020Q1
7.8
12.9
25.8
44.5
55.4
67.6
2020Q2
7.6
13.1
24.7
42.9
53.5
66.9
2020Q3
7.7
13.2
24.6
42.8
54.7
66.1
2020Q4
6.8
10.1
22.7
43.7
51.7
64.7
2021Q1
6.2
9.5
22.4
39.8
51.1
63.8
2021Q2
7.8
11.7
23.6
40.4
51.3
64.6
2021Q3
7.5
11.2
23.1
40.3
52.3
63.5
Table 49: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 26, 30, and 32.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2019Q4
34.8
57.0
70.1
76.4
80.3
85.2
2020Q1
39.5
59.6
70.6
75.9
79.5
83.8
2020Q2
37.9
59.0
70.4
76.4
80.5
84.7
2020Q3
35.5
56.9
69.7
75.9
80.1
84.6
2020Q4
32.6
55.1
68.5
75.1
79.4
84.2
2021Q1
33.4
54.8
67.7
74.2
78.3
83.5
2021Q2
33.8
54.8
67.6
74.1
78.2
83.2
Figure 13: Asset Weighted-Average Qualifying Hedge Fund
Investor and Portfolio Liquidity
As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of Third Calendar Quarter 2021.
60
40
20
s
65
mo
At
st 3
mo
st 1
80
day
s
day
ays
42
At
mo
At
st 9
mo
At
st 3
0d
day
st 7
mo
0d
s
ays
0
At
st 1
mo
Investor Liquidity
80
day
Percent of Fund Net Assets (%)
Portfolio Liquidity
At
F
Analytics Office
2021Q3
33.3
53.4
66.1
73.0
77.3
82.2
March 30, 2022
Analytics Office
Table 50: Restrictions on Qualifying Hedge Fund Assets ($ Billions)
As reported on Form PF, Questions 48 and 49.
2019Q4
2,430
1,553
47
42
15
2020Q1
2,162
1,386
47
47
22
2020Q2
2,375
1,521
54
56
18
2020Q3
2,500
1,608
61
50
15
2020Q4
2,622
1,732
73
64
20
2021Q1
2,720
1,809
89
76
19
2021Q2
2,955
1,908
100
78
18
Figure 14: Percentage of Qualifying Hedge Fund NAV
Subject to a Side-Pocket Arrangement
See Appendix C for an explanation of boxplots.
NAV in Side-Pocket (%)
50
As reported on Form PF, Questions 9 and 48.
40
30
20
10
19
Q
20 4
20
Q
20 1
20
Q
20 2
20
Q
20 3
20
Q
20 4
21
Q
20 1
21
Q
20 2
21
Q3
0
20
Type
May Suspend
May Have Gates
Side-Pocketed
Gated
Suspended
43
2021Q3
2,975
1,921
108
84
18
March 30, 2022
G
Analytics Office
Borrowings
Table 51: Borrowings of Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Question 43 (Third Month).
Type
Secured
Unsecured
Total
Subtype
Subtotal
Prime Broker
Reverse Repo
Other Secured
Subtotal
Total
2019Q4
3,163
1,410
1,302
450
18
3,180
2020Q1
2,879
1,067
1,371
440
20
2,899
2020Q2
2,885
1,302
1,169
415
14
2,899
2020Q3
3,192
1,415
1,330
447
13
3,205
2020Q4
3,220
1,616
1,201
403
14
3,234
2021Q1
3,255
1,709
1,066
480
16
3,271
2021Q2
3,586
1,930
1,113
542
17
3,603
2021Q3
3,669
1,918
1,205
547
32
3,701
Table 52: Aggregate Borrowing by Creditor Entity Type (Percent)
As reported on Form PF, Question 43 (Third Month).
Creditor Type
US Financial
Non-US Financial
US Non-Financial
Non-US Non-Financial
2019Q4
63.0
36.4
***
***
2020Q1
61.2
38.1
0.6
0.1
2020Q2
63.4
36.0
***
***
2020Q3
61.0
38.3
0.6
0.1
2020Q4
64.5
34.8
***
***
2021Q1
65.2
34.1
0.6
0.1
2021Q2
65.8
33.6
0.5
0.1
2021Q3
64.5
34.8
0.6
0.1
Table 53: Aggregate Collateral for Secured Borrowings
of Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Question 43 (Third Month).
Borrowing Type
Prime Broker
Reverse Repo
Other Secured
Total
Collateral Type
Subtotal
Other
Cash
Subtotal
Other
Cash
Subtotal
Other
Cash
Total
2019Q4
1,771
1,222
549
1,316
801
515
498
344
154
3,584
2020Q1
1,411
956
455
1,475
877
599
512
353
159
3,398
2020Q2
1,716
1,183
533
1,203
773
431
486
344
142
3,405
44
2020Q3
1,861
1,293
568
1,362
912
451
513
379
134
3,736
2020Q4
2,134
1,508
626
1,273
866
407
497
389
108
3,904
2021Q1
2,230
1,556
673
1,090
742
348
594
435
159
3,913
2021Q2
2,453
1,658
795
1,166
811
355
658
476
182
4,277
2021Q3
2,433
1,581
851
1,271
908
363
707
521
186
4,410
4
2
0
(b) Prime Broker Borrowing
45
-1
20 2
20
-0
20 3
20
-0
20 6
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-09
19
6
20
8
Collateral/Reverse Repo Borrowing
Winsorized (limits=[0%,98%])
-1
20 2
20
-0
20 3
20
-0
20 6
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-09
19
20
Collateral/Prime Broker Borrowing
Winsorized (limits=[0%,98%])
-1
20 2
20
-0
20 3
20
-0
20 6
20
-0
20 9
20
-1
20 2
21
-0
20 3
21
-0
20 6
21
-09
19
20
Collateral/Total Secured Borrowing
Winsorized (limits=[0%,98%])
March 30, 2022
Analytics Office
Figure 15: 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
6
4
2
0
(a) Total Secured Borrowing
8
6
4
2
0
(c) Reverse Repo Borrowing
March 30, 2022
Analytics Office
Table 54: Financing Liquidity for Qualifying Hedge Funds
(Percent of Available Financing)
As reported on Form PF, Question 46.
Financing Available
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2019Q4
29.1
47.9
67.4
82.8
94.9
96.0
2020Q1
37.1
50.5
70.0
83.9
94.3
95.3
2020Q2
39.2
50.7
66.7
81.2
94.5
95.9
2020Q3
39.0
51.1
67.5
80.9
94.7
96.0
2020Q4
27.8
44.5
65.4
79.3
94.9
96.1
2021Q1
37.4
45.0
65.3
78.7
94.4
95.5
2021Q2
36.5
46.9
64.9
76.9
94.5
95.8
Figure 16: Weighted-Average Qualifying Hedge Fund
Financing Liquidity (Percent of Available Financing)
Financing Liquidity
100
80
60
40
20
ays
36
At
m
ost
18
ost
At
m
mo
At
46
5d
ays
0d
ays
0d
0d
st 3
mo
At
st 9
s
day
st 7
mo
At
st 1
mo
At
ays
0
day
Percent of Available Financing (%)
As reported on Form PF, Question 46 as of Third Calendar Quarter 2021.
2021Q3
36.5
47.8
64.9
76.6
94.5
95.5
March 30, 2022
Central Clearing
Figure 17: Qualifying Hedge Funds Using Central Clearing
As reported on Form PF, Question 39.
Percent of Funds
20
Percent of NAV
15
10
5
47
Q3
21
20
Q2
21
20
Q1
21
20
Q4
20
20
Q3
20
20
Q2
20
20
Q1
20
20
19
Q4
0
20
H
Analytics Office
March 30, 2022
I
Analytics Office
Value-at-Risk (“VaR”) Reporting
Table 55: Number of Qualifying Hedge Funds Using VaR
As reported on Form PF, Question 40.
VaR Method
VaR (Any Method)
Historical Simulation
Monte Carlo Simulation
Parametric
Other
VaR Not Used
2019Q4
673
317
174
182
43
1,148
2020Q1
669
311
176
178
48
1,156
2020Q2
665
311
169
181
46
1,149
2020Q3
628
285
167
175
43
1,152
2020Q4
613
278
168
162
43
1,180
2021Q1
597
269
171
158
45
1,263
2021Q2
657
272
194
186
50
1,309
2021Q3
663
266
199
193
53
1,350
Table 56: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions)
As reported on Form PF, Questions 8 and 40.
VaR Method
VaR (Any Method)
Historical Simulation
Monte Carlo Simulation
Parametric
Other
VaR Not Used
2019Q4
3,938
2,062
736
797
913
2,775
2020Q1
3,784
1,955
704
739
868
2,538
2020Q2
3,685
1,838
804
742
807
2,719
2020Q3
3,918
1,979
836
769
845
2,906
2020Q4
3,886
2,009
883
633
898
3,210
2021Q1
3,808
1,992
871
632
846
3,424
2021Q2
4,267
2,247
988
698
905
3,626
2021Q3
4,590
2,322
984
735
1,127
3,711
Table 57: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions)
As reported on Form PF, Questions 9 and 40.
VaR Method
VaR (Any Method)
Historical Simulation
Monte Carlo Simulation
Parametric
Other
VaR Not Used
2019Q4
1,378
560
351
452
121
1,861
2020Q1
1,232
507
318
382
131
1,685
2020Q2
1,334
548
341
422
140
1,881
48
2020Q3
1,374
564
351
434
147
2,027
2020Q4
1,345
578
361
376
145
2,229
2021Q1
1,355
586
368
373
156
2,384
2021Q2
1,518
619
432
432
170
2,539
2021Q3
1,542
619
443
437
185
2,619
March 30, 2022
J
Analytics Office
Stress Testing and VaR
Table 58: Number of Qualifying Hedge Funds Managed Using
VaR or Market Factor Change Testing (“Stress Testing”)
As reported on Form PF, Questions 40 and 42.
Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither
2019Q4
596
448
77
700
2020Q1
600
428
69
728
2020Q2
598
433
67
716
2020Q3
568
430
60
722
2020Q4
555
400
58
780
2021Q1
535
435
62
828
2021Q2
565
450
92
859
2021Q3
556
472
107
878
Table 59: Aggregate Qualifying Hedge Fund GAV Managed
Using VaR or Stress Testing ($ Billions)
As reported on Form PF, Questions 8, 40, and 42.
Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither
2019Q4
3,750
1,299
188
1,476
2020Q1
3,594
1,148
190
1,390
2020Q2
3,332
1,237
353
1,482
2020Q3
3,692
1,302
226
1,604
2020Q4
3,524
1,383
362
1,827
2021Q1
3,545
1,435
263
1,989
2021Q2
3,955
1,496
312
2,130
2021Q3
4,226
1,538
364
2,173
Table 60: Aggregate Qualifying Hedge Fund NAV Managed
Using VaR or Stress Testing ($ Billions)
As reported on Form PF, Questions 9, 40, and 42.
Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither
2019Q4
1,254
741
124
1,120
2020Q1
1,122
651
111
1,034
2020Q2
1,194
732
140
1,149
2020Q3
1,243
781
130
1,246
49
2020Q4
1,189
819
156
1,411
2021Q1
1,206
846
150
1,538
2021Q2
1,314
887
204
1,653
2021Q3
1,288
936
254
1,683
March 30, 2022
K
Analytics Office
Stress Testing
Table 61: Number of Qualifying Hedge Funds Stressing Each Market Factor
As reported on Form PF, Question 42.
Market Factor
Equity Prices
Currency Rates
Risk Free Rates
Credit Spreads
Implied Volatilities
Commodity Prices
Bond Default Rates
ABS Default Rates
2019Q4
881
776
753
664
555
484
266
225
2020Q1
866
765
741
653
535
461
256
205
2020Q2
862
762
749
652
535
476
266
218
2020Q3
836
730
717
630
518
459
258
214
2020Q4
796
690
666
584
473
413
229
188
2021Q1
789
710
669
575
463
399
241
202
2021Q2
826
741
700
616
485
419
253
225
2021Q3
844
748
708
610
501
428
268
228
Table 62: Aggregate GAV of Qualifying Hedge Funds
Stressing Each Market Factor ($ Billions)
As reported on Form PF, Questions 8 and 42.
Market Factor
Equity Prices
Currency Rates
Risk Free Rates
Credit Spreads
Implied Volatilities
Commodity Prices
Bond Default Rates
ABS Default Rates
2019Q4
4,393
4,016
4,335
3,666
3,550
3,311
984
871
2020Q1
4,137
3,822
4,130
3,527
3,320
3,204
937
832
2020Q2
3,877
3,621
3,873
3,133
3,079
2,851
876
762
2020Q3
4,407
4,021
4,229
3,582
3,471
3,371
914
789
2020Q4
4,395
3,917
4,062
3,486
3,196
3,186
872
738
2021Q1
4,461
3,972
4,210
3,512
3,250
3,254
882
752
2021Q2
4,880
4,375
4,628
3,912
3,624
3,605
1,001
852
2021Q3
5,194
4,646
4,927
4,228
3,909
3,883
1,136
882
Table 63: Aggregate NAV of Qualifying Hedge Funds
Stressing Each Market Factor ($ Billions)
As reported on Form PF, Questions 9 and 42.
Market Factor
Equity Prices
Currency Rates
Risk Free Rates
Credit Spreads
Implied Volatilities
Commodity Prices
Bond Default Rates
ABS Default Rates
2019Q4
1,773
1,551
1,507
1,338
1,128
1,098
392
347
2020Q1
1,563
1,387
1,345
1,180
1,001
982
339
294
2020Q2
1,704
1,496
1,446
1,269
1,074
1,057
396
348
50
2020Q3
1,799
1,571
1,496
1,333
1,144
1,115
403
358
2020Q4
1,779
1,520
1,415
1,247
1,043
1,019
376
329
2021Q1
1,826
1,553
1,508
1,266
1,071
1,037
387
340
2021Q2
1,948
1,679
1,620
1,388
1,152
1,114
424
380
2021Q3
1,989
1,675
1,623
1,377
1,167
1,123
482
379
March 30, 2022
Analytics Office
Table 64: Number of Qualifying Hedge Funds Stressing Market Factors
As reported on Form PF, Question 42.
Factors Tested
0
1
2
3
4
5
6
7
8
2019Q4
777
181
118
95
105
131
206
73
135
2020Q1
797
182
115
94
107
124
217
74
115
2020Q2
783
183
112
107
100
119
204
75
131
2020Q3
782
183
110
98
100
108
196
75
128
2020Q4
838
178
118
98
103
113
169
68
108
2021Q1
890
202
117
90
105
117
157
61
121
2021Q2
951
210
121
96
107
127
155
60
139
2021Q3
985
214
130
83
101
137
155
71
137
Table 65: Aggregate GAV of Qualifying Hedge Funds
Stressing Market Factors ($ Billions)
As reported on Form PF, Questions 8 and 42.
Factors Tested
0
1
2
3
4
5
6
7
8
2019Q4
1,665
416
544
339
277
776
1,860
243
595
2020Q1
1,581
365
475
290
276
763
1,784
203
584
2020Q2
1,834
414
493
431
270
740
1,461
250
511
2020Q3
1,830
424
510
336
266
841
1,810
260
547
2020Q4
2,189
466
528
315
313
849
1,665
275
497
2021Q1
2,253
414
596
302
341
831
1,722
263
511
2021Q2
2,441
425
638
342
346
926
1,890
279
605
2021Q3
2,538
444
629
324
363
929
2,101
360
613
Table 66: Aggregate NAV of Qualifying Hedge Funds
Stressing Market Factors ($ Billions)
As reported on Form PF, Questions 9 and 42.
Factors Tested
0
1
2
3
4
5
6
7
8
2019Q4
1,244
269
212
189
162
271
567
122
202
2020Q1
1,144
240
191
170
145
237
503
119
168
2020Q2
1,288
267
214
199
142
254
509
123
218
2020Q3
1,376
278
230
208
148
266
546
126
222
51
2020Q4
1,566
308
264
229
146
273
463
127
198
2021Q1
1,688
272
307
217
166
282
480
120
207
2021Q2
1,856
284
328
247
163
318
491
124
246
2021Q3
1,937
300
322
231
176
321
477
170
227
March 30, 2022
IX
A
Analytics Office
Section 3 Liquidity Fund Specific Information
Liquidity
Table 67: Investor Liquidity For Section 3 Liquidity Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 64.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2019Q4
73.7
95.7
99.7
99.8
99.9
99.9
2020Q1
75.6
95.9
99.7
99.9
99.9
100.0
2020Q2
73.4
95.2
99.1
99.6
99.9
100.0
2020Q3
72.9
95.4
99.1
99.5
99.9
99.9
2020Q4
72.9
94.8
98.6
99.3
99.7
100.0
2021Q1
72.2
93.6
98.1
98.9
99.4
99.9
2021Q2
70.3
92.8
97.2
98.2
99.0
99.7
2021Q3
68.6
92.6
97.3
97.8
98.8
99.8
Table 68: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Question 63.
Type
May Suspend
May Have Gates
Suspended
Gated
2020Q1
275
239
0
0
2020Q2
282
251
0
0
2020Q3
303
273
0
0
2020Q4
303
270
0
0
2021Q1
280
247
0
0
2021Q2
296
263
0
0
2021Q3
278
245
0
0
Portfolio Characteristics
Figure 18: 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
52
-09
21
20
-06
21
20
-03
21
20
-12
20
20
-09
20
20
-06
20
20
-03
20
20
19
-12
0
20
Weighted Average Maturity (WAM) in Days
B
2019Q4
274
241
0
0
March 30, 2022
Analytics Office
Figure 19: Weighted-Average Life Reported by Section 3 Liquidity Funds
As reported on Form PF, Question 55.
Asset-Weighted WAL
80
60
40
20
-09
21
20
-06
21
20
-03
20
21
-12
20
20
-09
20
20
-06
20
20
20
20
19
20
-03
0
-12
Weighted Average Life (WAL) in Days
Average WAL
Figure 20: Seven-Day Gross Yield Reported by Section 3 Liquidity Funds
As reported on Form PF, Question 55.
Average Yield
Asset-Weighted Yield
1.5
1.0
0.5
53
1-0
9
20
2
1-0
6
20
2
1-0
3
20
2
0-1
2
20
2
0-0
9
20
2
0-0
6
20
2
0-0
3
20
2
9-1
2
0.0
20
1
Seven-Day Gross Yield (%)
2.0
March 30, 2022
Analytics Office
Figure 21: Ratio of Daily Liquid Assets to Net Asset Value of Section 3 Liquidity Funds
Average DLA
100
Asset-Weighted DLA
80
60
40
20
-09
21
20
-06
21
20
-03
21
20
-12
20
20
-09
20
20
-06
20
20
20
20
19
20
-03
0
-12
Ratio of Daily Liquid Assets (DLA)
to Net Asset Value (%)
As reported on Form PF, Question 55.
Figure 22: Ratio of Weekly Liquid Assets to Net Asset Value of Section 3 Liquidity Funds
Average WLA
100
Asset-Weighted WLA
80
60
40
20
54
21
-09
20
21
-06
20
21
-03
20
20
-12
20
20
-09
20
20
-06
20
20
-03
20
19
-12
0
20
Ratio of Weekly Liquid Assets (WLA)
to Net Asset Value (%)
As reported on Form PF, Question 55.
March 30, 2022
C
Analytics Office
Rule 2a-7 Compliance
Table 69: Rule 2a-7 Compliance (Percent of Funds)
As reported on Form PF, Questions 9 and 54.
Compliance Type
None
Credit Quality
Diversification
Maturity
Liquidity
Fully
2019Q4
37.2
62.8
58.1
58.1
53.5
48.8
2020Q1
39.0
61.0
56.1
56.1
51.2
46.3
2020Q2
37.8
62.2
57.8
57.8
53.3
48.9
2020Q3
38.3
61.7
57.4
57.4
53.2
48.9
2020Q4
45.3
54.7
50.9
50.9
47.2
43.4
2021Q1
46.3
53.7
50.0
50.0
46.3
42.6
2021Q2
48.2
51.8
48.2
48.2
44.6
39.3
2021Q3
50.9
49.1
45.6
45.6
42.1
38.6
Table 70: Rule 2a-7 Compliance (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 54.
Compliance Type
None
Credit Quality
Diversification
Maturity
Liquidity
Fully
D
2019Q4
87.2
12.8
12.2
12.2
12.0
10.1
2020Q1
86.9
13.1
12.4
12.4
12.1
10.2
2020Q2
86.3
13.7
12.9
12.9
12.6
10.6
2020Q3
86.9
13.1
12.1
12.1
11.8
9.9
2020Q4
86.4
13.6
12.3
12.3
12.1
10.1
2021Q1
83.7
16.3
14.9
14.9
14.7
12.7
2021Q2
81.6
18.4
17.1
17.1
16.9
14.3
2021Q3
80.9
19.1
17.4
17.4
17.2
15.0
Methods of Calculating NAV
Table 71: NAV Calculation Method (Percent of Funds)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2019Q4
74.4
25.6
2020Q1
75.6
24.4
2020Q2
73.3
26.7
2020Q3
74.5
25.5
2020Q4
73.6
26.4
2021Q1
75.9
24.1
2021Q2
75.0
25.0
2021Q3
77.2
22.8
Table 72: NAV Calculation Method (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2019Q4
64.8
35.2
2020Q1
68.4
31.6
2020Q2
68.2
31.8
2020Q3
70.1
29.9
55
2020Q4
66.6
33.4
2021Q1
69.0
31.0
2021Q2
66.1
33.9
2021Q3
66.7
33.3
March 30, 2022
Aggregate Portfolio Holdings
Table 73: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2
9
101.2
65.4
38.6
25.2
28.3
20.1
9.9
2.9
1.0
107.0
59.2
34.8
28.1
30.8
21.3
12.0
2.3
1.1
108.4
55.0
37.7
30.7
37.0
20.3
14.4
2.4
1.3
102.1
62.1
38.7
35.0
39.9
21.4
15.5
2.3
1.5
101.2
55.4
43.6
44.4
32.2
21.0
15.8
1.9
1.4
108.5
54.2
40.8
42.3
30.7
19.6
16.5
2.2
1.3
0-0
0-0
202
8
86.1
59.9
32.2
46.1
31.0
14.2
9.1
2.3
0.9
0-0
202
41.1
78.8
49.3
44.7
32.9
17.8
8.7
2.0
0.7
0-0
202
7
6
42.4
81.7
44.6
43.7
37.0
18.4
8.7
1.8
0.7
0-0
202
5
202
-04
202
0
3
202
60.0
66.3
41.9
45.9
40.4
16.8
8.3
1.8
0.7
0-0
202
0-0
2
-01
202
0
9-1
2
201
55.3
71.2
42.6
46.8
40.2
17.6
9.6
1.9
0.7
9-1
201
49.8
65.4
43.8
51.7
42.1
18.2
10.0
1.9
0.7
9-1
201
Product Type
U.S. Treasuries
Deposits
Commercial Paper
Repo - Govt. Collateral
Other
Asset-Backed Securities
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
1
0
As reported on Form PF, Question 63.
Table 74: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2
202
1-0
9
8
202
1-0
7
202
1-0
6
202
1-0
5
202
1-0
4
202
1-0
202
1
-03
2
202
1-0
202
1-0
1
2
0-1
-11
202
Product Type
U.S. Treasuries
Deposits
Commercial Paper
Repo - Govt. Collateral
Other
Asset-Backed Securities
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
202
0
0-1
0
As reported on Form PF, Question 63.
202
E
Analytics Office
107.3
58.3
34.7
33.0
32.5
17.3
17.0
1.7
0.9
103.1
61.8
36.9
31.7
36.6
19.6
19.9
1.9
0.8
104.1
52.8
37.7
39.0
38.7
20.9
18.0
1.8
0.9
97.2
63.7
45.2
27.7
34.6
20.0
18.3
1.9
0.9
89.5
69.1
45.3
25.8
36.2
20.3
17.9
1.6
0.9
91.9
59.5
48.8
23.9
36.9
22.8
13.3
1.4
1.1
82.7
76.0
50.0
23.8
33.4
21.8
13.2
1.5
1.2
86.1
80.0
53.4
26.1
29.1
22.3
12.4
1.3
1.2
94.8
69.9
51.2
32.1
27.9
21.7
15.1
1.4
1.1
86.4
83.1
52.3
26.0
24.0
20.9
12.4
1.3
0.9
80.2
75.5
51.7
35.2
21.0
21.0
11.6
1.2
0.9
73.1
69.7
51.4
40.2
26.0
23.0
12.1
1.4
1.1
56
March 30, 2022
Analytics Office
X
Section 4 Private Equity Fund Specific Information
A
CPC Industry Concentration
Table 75: Gross Assets in CPC Industries (Percent of Total)
As reported on Form PF, Questions 8 and 77.
Type
Software Publishers
Electric Power Generation,...
Telecommunications Data Processing...
Data Processing, Hosting, &...
Other Financial Investment...
Other Information Services
Pharmaceutical & Medicine Mfg
Oil & Gas Extraction
Custom Computer Programming...
All Other Professional,...
Other Financial Vehicles
Insurance Agencies & Brokerages
Management, Scientific, &...
Scientific Research & Development...
Pipeline Transportation
Educational Services
Other Computer Related Services
Activities Related to Credit...
2014Q4
3.8
3.8
2.5
2.3
1.8
2.1
1.3
7.8
1.0
0.6
0.4
1.0
1.2
0.9
2.6
1.3
0.4
1.2
2015Q4
4.9
3.7
2.7
1.8
1.8
1.9
1.5
5.8
1.5
0.6
0.6
1.0
1.1
1.0
2.4
1.3
0.5
1.4
57
2016Q4
6.1
4.1
2.3
2.0
1.7
1.8
1.4
6.7
1.5
0.9
1.8
1.2
1.3
0.7
2.2
1.2
0.9
1.0
2017Q4
6.0
4.2
2.2
2.3
1.4
2.0
1.5
6.2
1.5
0.8
1.6
1.1
1.6
1.0
1.9
1.4
0.9
1.2
2018Q4
8.0
4.5
2.4
3.5
2.1
1.7
2.4
4.9
1.8
1.4
1.3
1.0
1.4
1.0
1.8
1.2
1.0
1.3
2019Q4
10.6
4.3
2.6
4.2
2.1
1.9
2.0
3.6
2.1
1.4
1.2
1.1
1.6
1.7
1.7
1.1
0.8
1.4
2020Q4
9.7
4.8
3.7
3.6
2.8
2.5
2.1
1.9
1.9
1.9
1.8
1.5
1.4
1.3
1.3
1.3
1.2
1.2
March 30, 2022
CPC Financial Leverage
Figure 23: 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.
50
40
30
20
10
Q4
20
20
Q4
19
20
Q4
18
20
Q4
17
20
Q4
16
20
Q4
15
20
20
Q4
0
14
Ratio of Portfolio Company Current
Liabilities to Total Liabilities (%)
As reported on Form PF, Questions 71 and 72.
Figure 24: Distribution of CPC Payment-in-Kind or
Zero Coupon Borrowings to Total Borrowings Ratio
See Appendix C for an explanation of boxplots.
As reported on Form PF, Question 73.
60
40
20
58
Q4
20
20
Q4
19
20
Q4
18
20
Q4
17
20
Q4
16
20
Q4
15
20
20
Q4
0
14
CPC Payment-in-Kind Borrowings
to Total Borrowings Ratio (%)
B
Analytics Office
March 30, 2022
C
Analytics Office
CPC Investments by Region and Country
Table 76: Aggregate Gross Value of Private Equity
Investments by Region ($ Billions)
As reported on Form PF, Questions 70 and 78.
Region
North America
Europe EEA
Asia
Europe Other
South America
Supranational
Middle East
Africa
2014Q4
4,506
1,259
462
9
85
67
12
12
2015Q4
4,132
941
447
21
58
23
9
12
2016Q4
3,942
848
406
22
111
37
15
18
2017Q4
3,961
963
379
40
184
49
23
14
2018Q4
4,211
1,256
435
46
140
55
16
10
2019Q4
5,163
1,547
561
69
149
60
18
15
2020Q4
6,633
2,155
1,028
158
141
78
44
9
Table 77: Private Equity CPC Investments by Region
(Percent of Aggregate CPC Gross Asset Value)
As reported on Form PF, Questions 70 and 78.
Region
North America
Europe EEA
Asia
Europe Other
South America
Supranational
Middle East
Africa
2014Q4
70.2
19.6
7.2
0.1
1.3
1.0
0.2
0.2
2015Q4
73.2
16.7
7.9
0.4
1.0
0.4
0.2
0.2
2016Q4
73.0
15.7
7.5
0.4
2.0
0.7
0.3
0.3
59
2017Q4
70.5
17.1
6.8
0.7
3.3
0.9
0.4
0.3
2018Q4
68.2
20.3
7.0
0.7
2.3
0.9
0.3
0.2
2019Q4
68.0
20.4
7.4
0.9
2.0
0.8
0.2
0.2
2020Q4
64.7
21.0
10.0
1.5
1.4
0.8
0.4
0.1
March 30, 2022
Analytics Office
Table 78: Aggregate Gross Asset Value of Private Equity
CPC Investments by Country ($ Billions)
As reported on Form PF, Questions 70 and 78.
Country
United States
Japan
China and Hong Kong
India
Brazil
Russia
2014Q4
4,305
98
186
83
58
2
2015Q4
3,943
85
173
89
41
5
2016Q4
3,776
79
114
92
88
4
2017Q4
3,794
52
147
73
131
4
2018Q4
4,015
52
154
104
96
2
2019Q4
4,803
78
149
128
93
1
2020Q4
6,243
283
235
229
78
1
2019Q4
63.3
1.0
2.0
1.7
1.2
0.0
2020Q4
60.9
2.8
2.3
2.2
0.8
0.0
Table 79: Private Equity CPC Investments by Country
(Percent of Aggregate CPC Gross Asset Value)
As reported on Form PF, Questions 70 and 78.
Country
United States
Japan
China and Hong Kong
India
Brazil
Russia
2014Q4
67.1
1.5
2.9
1.3
0.9
0.0
2015Q4
69.9
1.5
3.1
1.6
0.7
0.1
2016Q4
69.9
1.5
2.1
1.7
1.6
0.1
60
2017Q4
67.6
0.9
2.6
1.3
2.3
0.1
2018Q4
65.1
0.8
2.5
1.7
1.6
0.0
March 30, 2022
XI
A
Analytics Office
Appendices
Form PF Filer Categories
The amount of information an adviser must report and the frequency with which it must report
on Form PF depends on the amount of the adviser’s private fund assets and the types of private
funds managed. Reporting advisers must identify the types of private funds they manage on Form
PF.
1
All Private Fund Advisers
SEC-registered investment advisers with at least $150 million in private fund assets under
management are required to file Form PF. Registered investment advisers with less than $150 million
in private funds assets under management, exempt reporting advisers, and state-registered advisers
report general private fund data on Form ADV, but do not file Form PF.6 Not all Form PF filers
report on a quarterly basis. Smaller private fund advisers and all private equity fund advisers file
Form PF on an annual basis, while larger hedge fund advisers and larger liquidity fund advisers file
the form quarterly.7 As a result of the difference in reporting frequency, information in this report
related to funds that are reported annually may be dated by several months.8
2
Large Hedge Fund Advisers
Large Hedge Fund Advisers have at least $1.5 billion in hedge fund assets under management.
A Large Hedge Fund Adviser is required to file Form PF quarterly and provide data about each
hedge fund it managed during the reporting period (irrespective of the size of the fund).
Large Hedge Fund Advisers must report more information on Form PF about Qualifying Hedge
Funds than other hedge funds they manage during the reporting period. A Qualifying Hedge Fund is
any hedge fund advised by a Large Hedge Fund Adviser that had a NAV (individually or in
combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of
at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the
adviser’s most recently completed fiscal quarter. This report provides information about all hedge
funds reported by Large Hedge Fund Advisers, including Qualifying Hedge Funds and smaller hedge
funds. This report also provides an overview of certain data reported solely for Qualifying Hedge
Funds.
6
Note that these thresholds are on a gross basis. Exempt reporting advisers are advisers that rely on the exemptions
from SEC registration in Advisers Act section 203(l) for venture capital fund advisers and section 203(m) for advisers
managing less than $150 million in private fund assets in the U.S.
7
An adviser may be a large hedge fund adviser that must file quarterly to report data about the hedge funds it manages
as well as a private equity fund adviser that must file only annually to report data about the private equity funds it
manages.
8
In addition, because some Form PF filers have fiscal year ends that are not December 31, not all Form PF data is filed
as of a single date.
61
March 30, 2022
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.
62
March 30, 2022
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 25 for
an explanation of each feature.
Figure 25: 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.
63
March 30, 2022
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.
64
March 30, 2022
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.
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March 30, 2022
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.
66
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.