Division of Investment Management
Agency decision
Ask Donna
What actually matters in this document.
Text
Division of Investment Management
Risk and Examinations Office
Private Funds Statistics
First Calendar Quarter 2017
October 23, 2017
This is a report of the Staff of the Division of Investment Management’s Risk and Examinations Office
(REO) of the U.S. Securities and Exchange Commission. The Commission has expressed no view
regarding the analysis, findings, or conclusions contained herein.
October 23, 2017
Risk and Examinations Office
Introduction
This report provides a summary of recent private fund industry statistics and trends, reflecting
data collected through Form PF and Form ADV filings.1 Form PF information provided in this
report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary
information of individual Form PF filers.
This report reflects data from Second Calendar Quarter 2015 through First Calendar Quarter
2017 as reported by Form PF filers.2 Please see the Appendix for information on the categories of
Form PF filers, the definitions of capitalized terms, a description of the boxplots used in several
figures, as well as other technical descriptions.
The Staff continues to work with data reported on Form PF and with filers to identify
and correct filing errors. Staff updates reported statistics based on amended filings and
also may make certain adjustments to the statistics presented to correct what appear to
be clear filing errors. Further, the Staff has employed certain assumptions in aggregating
the data. Future adjustments to these methodologies and amended filings that change
the underlying data could lead to changes in previously reported statistics.
If you have any questions or comments about First Calendar Quarter 2017 Private
Funds Statistics, please contact:
Tim Dulaney, PhD, FRM or Tim Husson, PhD, FRM at FormPF@sec.gov with subject line “First
Calendar Quarter 2017-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
October 23, 2017
Risk and Examinations Office
Contents
I
II
Number of Funds and Advisers
4
Gross and Net Assets
A Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . . . .
B Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5
5
8
10
11
III
Fund Domiciles and Adviser Main Offices
13
IV
Beneficial Ownership
15
V
Derivatives
19
VI
High Frequency Trading
20
VII
Hedge Fund Industry Concentration
21
VIII Information Reported by Large Hedge Fund Advisers
A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
23
23
25
26
27
IX
Qualifying Hedge Fund Specific Information
A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
F Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
G Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
H Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
I Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
29
29
31
33
34
35
37
39
40
41
X
Section 3 Liquidity Fund Specific Information
A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
42
42
42
44
44
2
October 23, 2017
Risk and Examinations Office
E Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
45
Section 4 Private Equity Fund Specific Information
A CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . .
46
46
47
48
XII Appendices
A Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1 All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2 Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3 Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4 Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . .
5 Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
50
50
50
50
51
51
51
52
52
53
XI
3
October 23, 2017
I
Risk and Examinations Office
Number of Funds and Advisers3
Table 1: Number of Funds
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
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
2015Q2
8,332
8,845
4,201
2,388
1,801
1,589
1,347
506
68
42
25,100
2015Q3
8,250
8,903
4,198
2,362
1,806
1,622
1,349
508
67
40
25,081
2015Q4
9,638
8,769
4,128
2,733
2,056
1,637
1,406
636
65
41
26,698
2016Q1
9,700
8,897
4,099
2,739
2,093
1,594
1,421
635
64
36
26,909
2016Q2
9,711
8,905
4,125
2,741
2,091
1,603
1,418
646
66
37
26,962
2016Q3
9,738
8,964
4,117
2,746
2,108
1,614
1,417
651
67
36
27,062
2016Q4
10,332
8,883
4,427
3,000
2,424
1,647
1,451
754
69
44
28,340
2017Q1
10,350
9,036
4,448
3,004
2,422
1,667
1,463
752
70
45
28,541
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
2015Q2
924
1,666
558
208
264
527
154
85
35
22
2,724
2015Q3
923
1,664
557
208
265
536
154
86
34
21
2,720
2015Q4
1,015
1,686
570
241
288
534
155
97
37
21
2,828
2016Q1
1,017
1,689
561
242
290
524
157
97
37
19
2,829
2016Q2
1,017
1,683
564
242
288
524
156
98
37
19
2,824
2016Q3
1,016
1,679
565
242
290
514
154
100
37
19
2,820
2016Q4
1,081
1,677
574
247
305
530
149
108
39
24
2,888
2017Q1
1,084
1,676
571
249
307
525
151
108
39
24
2,890
3
In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered
investment advisers that file a Form PF to report private funds. Please see Appendix D for definitions of other capitalized
terms used in this report.
4
October 23, 2017
Risk and Examinations Office
II
Gross and Net Assets
A
Aggregate Assets by Fund Type over Time
Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions)
As reported on Form PF, Question 8.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Securitized Asset Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2015Q2
6,213
5,144
1,884
1,350
984
384
352
265
263
39
10,121
2015Q3
6,109
5,061
1,844
1,336
974
382
353
274
267
39
9,976
2015Q4
5,944
4,865
2,057
1,471
978
416
397
286
283
55
10,132
2016Q1
6,043
4,876
2,058
1,472
974
420
405
273
247
55
10,227
2016Q2
6,204
4,980
2,060
1,472
979
420
405
287
258
56
10,411
2016Q3
6,327
5,110
2,062
1,472
983
420
407
292
249
55
10,546
2016Q4
6,259
5,074
2,312
1,644
1,066
448
434
293
274
62
10,874
2017Q1
6,537
5,331
2,320
1,648
1,076
449
434
282
267
62
11,161
Table 4: Aggregate Private Fund Net Asset Value (NAV) ($ Billions)
As reported on Form PF, Question 9.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Securitized Asset Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2015Q2
3,564
2,842
1,742
1,272
880
116
280
264
262
37
6,883
2015Q3
3,452
2,737
1,704
1,258
871
116
281
274
267
37
6,734
2015Q4
3,429
2,711
1,882
1,376
876
135
319
285
282
52
6,978
5
2016Q1
3,379
2,629
1,881
1,377
873
138
323
272
246
52
6,918
2016Q2
3,408
2,644
1,883
1,377
878
138
323
285
256
53
6,967
2016Q3
3,465
2,710
1,884
1,377
883
140
324
290
247
52
7,039
2016Q4
3,461
2,715
2,068
1,492
973
141
339
292
273
59
7,335
2017Q1
3,578
2,800
2,077
1,496
983
141
340
281
265
59
7,460
October 23, 2017
Risk and Examinations Office
Figure 1: GAV and NAV Distributions
As reported on Form PF, Questions 8 and 9.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Qualifying Hedge Fund GAV ($ Billions)
2015Q2 2015Q3 2015Q4 2016Q1 2016Q2 2016Q3
0.1
0.1
0.1
0.1
0.1
0.1
0.6
0.5
0.5
0.5
0.5
0.5
1.3
1.2
1.1
1.2
1.2
1.2
2.8
2.7
2.6
2.6
2.6
2.6
6.5
6.2
5.7
5.8
5.7
5.8
3.2
3.1
3.0
3.1
3.1
3.2
Qualifying Hedge Fund NAV ($ Billions)
2015Q2 2015Q3 2015Q4 2016Q1 2016Q2 2016Q3
0.1
0.1
0.1
0.1
0.1
0.1
0.4
0.4
0.4
0.4
0.4
0.4
0.9
0.9
0.8
0.9
0.9
0.9
1.9
1.8
1.8
1.7
1.7
1.7
4.1
3.8
3.7
3.7
3.7
3.7
1.8
1.7
1.7
1.6
1.6
1.7
Section 4 Private Equity Fund GAV ($ Billions)
2015Q2 2015Q3 2015Q4 2016Q1 2016Q2 2016Q3
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.1
0.4
0.4
0.4
0.4
0.4
0.4
1.5
1.5
1.3
1.3
1.3
1.3
0.6
0.6
0.5
0.5
0.5
0.5
Section 4 Private Equity Fund NAV ($ Billions)
2015Q2 2015Q3 2015Q4 2016Q1 2016Q2 2016Q3
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.1
0.4
0.4
0.4
0.3
0.4
0.4
1.4
1.4
1.2
1.2
1.2
1.2
0.5
0.5
0.5
0.5
0.5
0.5
6
2016Q4
0.1
0.5
1.1
2.5
5.9
3.1
2017Q1
0.1
0.5
1.2
2.5
5.9
3.2
2016Q4
0.1
0.4
0.8
1.7
3.6
1.6
2017Q1
0.1
0.4
0.8
1.7
3.7
1.7
2016Q4
0.0
0.0
0.1
0.4
1.3
0.5
2017Q1
0.0
0.0
0.1
0.4
1.3
0.5
2016Q4
0.0
0.0
0.1
0.4
1.2
0.5
2017Q1
0.0
0.0
0.1
0.4
1.2
0.5
October 23, 2017
Risk and Examinations Office
Figure 2: Ratio of GAV to NAV
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 8, 9, and 10.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2015Q2
1.0
1.0
1.0
1.1
2.0
1.6
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2015Q2
1.0
1.0
1.2
1.6
2.6
1.6
All Private Funds
2015Q3 2015Q4 2016Q1 2016Q2
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.1
1.1
1.1
1.1
1.9
1.9
1.9
1.9
1.5
1.6
1.6
1.6
Qualifying Hedge Funds
2015Q3 2015Q4 2016Q1 2016Q2
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.2
1.2
1.2
1.2
1.6
1.7
1.6
1.6
2.5
2.4
2.5
2.5
1.6
1.6
1.5
1.6
7
2016Q3
1.0
1.0
1.0
1.1
1.9
1.6
2016Q4
1.0
1.0
1.0
1.2
2.0
1.6
2017Q1
1.0
1.0
1.0
1.2
2.0
1.6
2016Q3
1.0
1.0
1.2
1.6
2.6
1.6
2016Q4
1.0
1.0
1.2
1.6
2.5
1.6
2017Q1
1.0
1.0
1.1
1.6
2.6
1.6
October 23, 2017
B
Risk and Examinations Office
Borrowings
Table 5: Aggregate Borrowings (Percent of Aggregate GAV)
As reported on Form PF, Questions 8, 12, and 43 (Third Month).
Fund Type
Securitized Asset Fund
Qualifying Hedge Fund
Hedge Fund
Real Estate Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
2015Q2
46.5
37.3
34.8
13.3
4.0
2.3
2.8
0.6
0.0
0.0
2015Q3
46.3
37.7
35.2
13.3
4.0
2.3
2.8
0.6
0.0
0.0
2015Q4
50.7
36.8
34.5
13.3
4.8
3.4
2.3
0.4
0.0
0.0
2016Q1
48.9
38.0
35.9
13.4
4.8
3.4
2.2
0.4
0.0
0.0
2016Q2
48.7
37.0
35.3
13.4
4.9
3.4
2.2
0.4
0.0
0.0
2016Q3
48.4
38.6
37.0
13.3
4.9
3.4
2.1
0.4
0.0
0.0
2016Q4
50.7
38.3
36.1
14.0
5.1
4.0
2.8
0.4
0.0
0.0
2017Q1
49.5
39.5
37.1
12.9
5.0
4.0
2.7
0.4
0.0
0.0
Figure 3: Distribution of Total Borrowings
As reported on Form PF, Questions 12 and 43.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2015Q2
0.0
0.0
0.0
0.2
0.6
0.4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2015Q2
0.0
0.1
0.3
1.2
3.4
1.8
All Private Funds ($ Billions)
2015Q3 2015Q4 2016Q1 2016Q2 2016Q3
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.2
0.2
0.2
0.2
0.2
0.6
0.6
0.6
0.6
0.6
0.4
0.4
0.4
0.4
0.4
Qualifying Hedge Funds ($ Billions)
2015Q3 2015Q4 2016Q1 2016Q2 2016Q3
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.3
0.3
0.3
0.3
0.3
1.1
1.1
1.0
1.1
1.0
3.3
3.0
3.1
2.8
3.1
1.8
1.7
1.7
1.8
1.9
8
2016Q4
0.0
0.0
0.0
0.2
0.6
0.4
2017Q1
0.0
0.0
0.0
0.2
0.6
0.4
2016Q4
0.0
0.1
0.3
1.0
3.1
1.8
2017Q1
0.0
0.1
0.3
1.1
3.2
2.0
October 23, 2017
Risk and Examinations Office
Figure 4: Ratio of Borrowings to NAV
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month).
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2015Q2
0.0
0.0
0.2
0.9
2.9
1.4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2015Q2
0.0
0.1
0.4
0.9
2.1
0.8
All Private Funds
2015Q3 2015Q4 2016Q1 2016Q2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.2
0.2
0.2
0.2
0.9
0.8
0.8
0.8
2.8
3.0
2.8
3.0
1.4
1.8
1.8
1.7
Qualifying Hedge Funds
2015Q3 2015Q4 2016Q1 2016Q2
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.4
0.4
0.3
0.4
0.9
0.9
0.9
0.9
1.9
1.8
1.8
1.9
0.8
0.7
0.7
0.7
9
2016Q3
0.0
0.0
0.2
0.8
3.0
1.8
2016Q4
0.0
0.0
0.2
0.9
3.6
1.8
2017Q1
0.0
0.0
0.2
0.9
3.8
1.8
2016Q3
0.0
0.1
0.4
0.9
1.9
0.8
2016Q4
0.0
0.1
0.3
0.9
1.9
0.7
2017Q1
0.0
0.1
0.4
0.9
2.1
0.8
October 23, 2017
C
Risk and Examinations Office
Fair Value Hierarchy
Table 6: Assets According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2015Q2
2,265
2,327
2,161
1,222
2015Q3
2,208
2,333
2,144
1,208
2015Q4
2,675
2,433
2,337
1,712
2016Q1
2,408
2,123
2,265
1,543
2016Q2
2,392
2,054
2,258
1,501
2016Q3
2,412
2,046
2,256
1,500
2016Q4
2,802
2,518
2,588
1,928
2017Q1
2,510
2,176
2,507
1,647
Table 7: Liabilities According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2015Q2
543
476
79
536
2015Q3
534
483
89
524
2015Q4
564
329
110
461
2016Q1
604
471
111
640
10
2016Q2
617
419
107
662
2016Q3
614
422
106
663
2016Q4
441
404
142
441
2017Q1
586
449
136
636
October 23, 2017
D
Risk and Examinations Office
Parallel Managed Accounts4
Table 8: Number of Funds with Parallel Managed Accounts
As reported on Form PF, Question 11.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Other Private Fund
Private Equity Fund
Qualifying Hedge Fund
Section 4 Private Equity Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2015Q2
701
391
210
245
63
51
***
17
15
***
1,405
2015Q3
708
386
208
245
63
51
***
15
12
***
1,403
2015Q4
697
409
249
245
82
49
***
14
13
***
1,453
2016Q1
691
411
249
232
82
52
***
16
15
***
1,454
2016Q2
694
409
249
235
82
52
***
14
14
***
1,453
2016Q3
689
412
248
231
82
52
***
15
15
***
1,451
2016Q4
657
484
237
231
88
77
***
15
15
***
1,510
2017Q1
645
499
238
222
88
77
***
16
16
***
1,515
Table 9: Aggregate Value in Parallel Managed Accounts ($ Billions)
As reported on Form PF, Question 11.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Other Private Fund
Private Equity Fund
Qualifying Hedge Fund
Section 4 Private Equity Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2015Q2
697
1,411
94
528
16
11
***
347
343
***
2,658
2015Q3
664
1,399
94
489
16
11
***
278
271
***
2,543
2015Q4
654
1,329
96
477
19
10
***
250
245
***
2,495
2016Q1
612
1,325
96
437
19
11
***
321
316
***
2,521
2016Q2
597
1,307
96
416
19
11
***
305
305
***
2,472
2016Q3
598
1,361
96
436
19
11
***
312
312
***
2,533
2016Q4
576
1,491
29
410
22
6
***
309
309
***
2,592
2017Q1
597
1,529
29
425
22
6
***
333
333
***
2,675
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
October 23, 2017
Risk and Examinations Office
Figure 5: Parallel Managed Account Value Distributions
As reported on Form PF, Question 11.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2015Q2
0.0
0.0
0.2
0.9
4.0
1.9
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2015Q2
0.1
0.1
0.4
1.5
3.6
2.2
All Private Funds ($ Billions)
2015Q3 2015Q4 2016Q1 2016Q2 2016Q3
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.2
0.2
0.2
0.2
0.2
1.0
0.9
0.9
0.9
0.9
4.0
3.6
3.5
3.4
3.5
1.8
1.7
1.7
1.7
1.7
Qualifying Hedge Funds ($ Billions)
2015Q3 2015Q4 2016Q1 2016Q2 2016Q3
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.2
0.4
0.4
0.4
0.3
0.4
1.4
1.3
1.2
1.2
1.4
3.4
3.0
2.8
2.9
3.4
2.0
1.9
1.9
1.8
1.9
12
2016Q4
0.0
0.0
0.2
0.8
3.4
1.7
2017Q1
0.0
0.0
0.2
0.9
3.5
1.8
2016Q4
0.1
0.2
0.4
1.3
3.2
1.8
2017Q1
0.1
0.2
0.5
1.6
3.4
1.9
October 23, 2017
III
Risk and Examinations Office
Fund Domiciles and Adviser Main Offices
Table 10: Fund Domicile (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
Cayman Islands
Ireland
Virgin Islands, British
Luxembourg
Bermuda
United Kingdom
Other
Country
Cayman Islands
United States
Virgin Islands, British
Ireland
Bermuda
Luxembourg
Other
Country
Ireland
United States
Cayman Islands
Other
Country
United States
Cayman Islands
United Kingdom
Bermuda
Canada
Other
All Private Funds
2015Q2 2015Q3 2015Q4 2016Q1 2016Q2
49.6
49.6
50.3
51.0
50.9
37.9
37.9
37.7
37.2
37.2
4.6
4.6
3.9
3.8
3.9
2.6
2.5
2.2
2.2
2.2
1.2
1.2
1.3
1.4
1.5
1.2
1.3
1.3
1.3
1.3
1.0
1.1
1.0
1.1
1.1
1.9
1.9
2.2
2.1
2.1
Qualifying Hedge Funds
2015Q2 2015Q3 2015Q4 2016Q1 2016Q2
55.5
55.5
55.6
54.5
54.4
31.8
31.8
32.2
33.0
33.4
5.8
5.7
5.1
5.4
5.4
2.4
2.5
2.5
2.6
2.6
1.4
1.5
1.5
1.4
1.4
1.2
1.2
1.2
1.2
1.2
1.8
1.9
1.9
1.8
1.7
Section 3 Liquidity Funds
2015Q2 2015Q3 2015Q4 2016Q1 2016Q2
***
***
***
***
***
32.1
32.2
35.0
36.5
34.2
***
***
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2015Q2 2015Q3 2015Q4 2016Q1 2016Q2
63.5
63.2
62.3
62.3
62.3
30.6
30.9
30.0
30.0
30.0
2.4
2.4
2.5
2.6
2.6
1.0
1.0
1.3
1.3
1.3
1.3
1.3
1.2
1.2
1.2
1.2
1.2
2.6
2.6
2.6
13
2016Q3
51.0
37.0
3.9
2.2
1.5
1.3
1.1
2.1
2016Q4
51.4
36.3
4.3
2.1
1.4
1.3
1.1
2.1
2017Q1
51.5
36.4
4.2
2.1
1.5
1.3
1.1
2.0
2016Q3
53.6
34.0
5.3
2.6
1.4
1.3
1.7
2016Q4
52.8
34.6
5.2
2.7
1.8
1.3
1.7
2017Q1
52.5
34.9
5.1
2.7
1.7
1.4
1.7
2016Q3
***
34.1
***
***
2016Q4
***
33.1
***
***
2017Q1
***
33.9
***
***
2016Q3
62.3
30.0
2.6
1.3
1.2
2.6
2016Q4
63.8
29.4
1.9
1.1
0.9
2.9
2017Q1
63.8
29.4
1.9
1.1
0.9
2.9
October 23, 2017
Risk and Examinations Office
Table 11: Adviser Main Office Location (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
United Kingdom
Other
2015Q2
89.4
6.4
4.1
Country
United States
United Kingdom
Hong Kong
Australia
Other
2015Q2
90.0
4.9
***
***
2.5
Country
United States
United Kingdom
France
2015Q2
64.0
***
***
Country
United States
Canada
Other
2015Q2
97.8
***
***
All Private Funds
2015Q3 2015Q4 2016Q1 2016Q2
89.4
89.8
89.5
89.5
6.6
6.4
6.6
6.6
4.0
3.8
3.9
3.9
Qualifying Hedge Funds
2015Q3 2015Q4 2016Q1 2016Q2
90.0
89.1
89.2
89.4
5.1
5.7
5.8
5.6
***
***
***
***
***
***
***
***
2.4
2.6
2.5
2.5
Section 3 Liquidity Funds
2015Q3 2015Q4 2016Q1 2016Q2
64.9
57.4
58.4
59.4
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2015Q3 2015Q4 2016Q1 2016Q2
97.7
97.2
97.2
97.2
***
***
***
***
***
***
***
***
14
2016Q3
89.6
6.6
3.8
2016Q4
90.1
6.2
3.8
2017Q1
89.3
6.6
4.1
2016Q3
89.3
5.7
***
***
2.4
2016Q4
89.5
5.8
***
***
2.4
2017Q1
89.3
6.0
***
***
2.3
2016Q3
64.1
***
***
2016Q4
62.5
***
***
2017Q1
64.2
***
***
2016Q3
97.2
***
***
2016Q4
95.1
***
***
2017Q1
95.1
***
***
October 23, 2017
IV
Risk and Examinations Office
Beneficial Ownership
Table 12: Beneficial Ownership for All Private Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
State/Muni. Govt. Pension Plans
Other
Pension Plans
U.S. Individuals
Non-Profits
Sov. Wealth Funds and For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
Banking/Thrift Inst.
SEC-Registered Investment Companies
Broker-Dealers
State/Muni. Govt. Entities
2015Q2
1,365
871
787
889
758
709
360
267
204
179
148
117
113
92
2015Q3
1,337
853
766
864
740
689
360
263
203
179
143
109
113
92
2015Q4
1,353
895
893
888
756
709
379
277
201
168
146
105
112
99
2016Q1
1,320
908
878
878
764
704
378
273
196
162
143
122
107
87
2016Q2
1,316
916
891
889
767
702
382
276
198
170
148
120
104
89
2016Q3
1,315
931
915
905
774
722
382
274
199
169
144
119
97
90
2016Q4
1,331
1,006
971
943
766
742
425
304
196
185
136
125
102
99
2017Q1
1,347
1,027
990
953
779
763
434
309
197
185
140
126
104
104
2016Q4
18.1
13.7
13.2
12.9
10.4
10.1
5.8
4.1
2.7
2.5
1.9
1.7
1.4
1.4
2017Q1
18.1
13.8
13.3
12.8
10.4
10.2
5.8
4.1
2.6
2.5
1.9
1.7
1.4
1.4
Table 13: Beneficial Ownership for All Private Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
State/Muni. Govt. Pension Plans
Other
Pension Plans
U.S. Individuals
Non-Profits
Sov. Wealth Funds and For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
Banking/Thrift Inst.
SEC-Registered Investment Companies
Broker-Dealers
State/Muni. Govt. Entities
2015Q2
19.8
12.7
11.4
12.9
11.0
10.3
5.2
3.9
3.0
2.6
2.2
1.7
1.6
1.3
2015Q3
19.9
12.7
11.4
12.8
11.0
10.2
5.3
3.9
3.0
2.7
2.1
1.6
1.7
1.4
15
2015Q4
19.4
12.8
12.8
12.7
10.8
10.2
5.4
4.0
2.9
2.4
2.1
1.5
1.6
1.4
2016Q1
19.1
13.1
12.7
12.7
11.0
10.2
5.5
4.0
2.8
2.3
2.1
1.8
1.5
1.3
2016Q2
18.9
13.2
12.8
12.8
11.0
10.1
5.5
4.0
2.8
2.4
2.1
1.7
1.5
1.3
2016Q3
18.7
13.2
13.0
12.9
11.0
10.3
5.4
3.9
2.8
2.4
2.1
1.7
1.4
1.3
October 23, 2017
Risk and Examinations Office
Table 14: Beneficial Ownership for Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Non-Profits
Pension Plans
Other
U.S. Individuals
State/Muni. Govt. Pension Plans
Sov. Wealth Funds and For. Official Inst.
Broker-Dealers
SEC-Registered Investment Companies
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
2015Q2
576
381
371
336
338
268
131
90
75
68
69
56
43
37
2015Q3
550
369
359
324
321
260
131
86
68
66
66
54
44
34
2015Q4
543
369
356
330
313
265
133
83
63
67
66
50
42
31
2016Q1
506
362
344
319
303
271
133
77
77
63
63
47
31
29
2016Q2
502
358
349
329
305
278
133
76
76
64
64
45
32
31
2016Q3
496
377
361
352
316
291
136
69
74
64
65
45
33
29
2016Q4
482
381
366
352
315
303
140
68
71
66
64
40
35
28
2017Q1
486
394
376
370
321
310
148
72
70
69
67
44
41
29
2016Q4
17.8
14.0
13.5
13.0
11.6
11.2
5.1
2.5
2.6
2.4
2.4
1.5
1.3
1.0
2017Q1
17.4
14.1
13.4
13.2
11.5
11.1
5.3
2.6
2.5
2.4
2.4
1.6
1.4
1.1
Table 15: Beneficial Ownership for Qualifying Hedge Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Non-Profits
Pension Plans
Other
U.S. Individuals
State/Muni. Govt. Pension Plans
Sov. Wealth Funds and For. Official Inst.
Broker-Dealers
SEC-Registered Investment Companies
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
2015Q2
20.3
13.4
13.1
11.8
11.9
9.4
4.6
3.2
2.7
2.4
2.4
2.0
1.5
1.3
2015Q3
20.1
13.5
13.1
11.8
11.7
9.5
4.8
3.2
2.5
2.4
2.4
2.0
1.6
1.2
16
2015Q4
20.0
13.6
13.1
12.2
11.6
9.8
4.9
3.0
2.3
2.5
2.4
1.8
1.5
1.1
2016Q1
19.3
13.8
13.1
12.1
11.5
10.3
5.1
2.9
2.9
2.4
2.4
1.8
1.2
1.1
2016Q2
19.0
13.5
13.2
12.4
11.6
10.5
5.0
2.9
2.9
2.4
2.4
1.7
1.2
1.2
2016Q3
18.3
13.9
13.3
13.0
11.7
10.7
5.0
2.5
2.7
2.4
2.4
1.7
1.2
1.1
October 23, 2017
Risk and Examinations Office
Table 16: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Unknown Non-U.S. Investors
Other
Broker-Dealers
SEC-Registered Investment Companies
Banking/Thrift Inst.
Insurance Companies
Pension Plans
Non-U.S. Individuals
Sov. Wealth Funds and For. Official Inst.
Non-Profits
State/Muni. Govt. Pension Plans
State/Muni. Govt. Entities
U.S. Individuals
2015Q2
77
36
44
***
17
***
9
5
31
***
***
***
***
0
2015Q3
86
43
42
***
13
***
8
6
29
***
***
***
***
***
2015Q4
82
45
51
***
16
***
8
5
28
***
***
***
***
***
2016Q1
79
***
38
***
17
***
7
5
17
***
***
***
***
***
2016Q2
79
***
38
***
17
***
8
5
17
***
***
***
***
***
2016Q3
80
60
40
***
18
***
8
***
4
***
***
***
***
***
2016Q4
81
65
52
***
16
10
9
5
4
***
1
1
***
***
2017Q1
75
60
51
***
18
***
9
5
4
***
2
1
***
***
2016Q4
29.6
23.7
19.2
***
5.9
3.6
3.3
1.7
1.4
***
0.5
0.4
***
***
2017Q1
28.3
22.7
19.3
***
6.9
***
3.4
1.8
1.5
***
0.6
0.6
***
***
Table 17: Beneficial Ownership for Section 3 Liquidity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Unknown Non-U.S. Investors
Other
Broker-Dealers
SEC-Registered Investment Companies
Banking/Thrift Inst.
Insurance Companies
Pension Plans
Non-U.S. Individuals
Sov. Wealth Funds and For. Official Inst.
Non-Profits
State/Muni. Govt. Pension Plans
State/Muni. Govt. Entities
U.S. Individuals
2015Q2
29.5
13.6
16.9
***
6.5
***
3.3
2.0
11.7
***
***
***
***
0.0
2015Q3
32.2
16.1
15.8
***
4.7
***
3.0
2.1
10.8
***
***
***
***
***
17
2015Q4
29.0
15.8
17.9
***
5.8
***
2.9
1.9
10.0
***
***
***
***
***
2016Q1
32.2
***
15.5
***
7.1
***
2.9
1.9
6.9
***
***
***
***
***
2016Q2
30.9
***
14.7
***
6.5
***
3.3
1.8
6.8
***
***
***
***
***
2016Q3
32.3
24.2
16.2
***
7.1
***
3.2
***
1.6
***
***
***
***
***
October 23, 2017
Risk and Examinations Office
Table 18: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
State/Muni. Govt. Pension Plans
Private Funds
Other
Sov. Wealth Funds and For. Official Inst.
Pension Plans
Insurance Companies
Non-Profits
U.S. Individuals
Non-U.S. Individuals
Banking/Thrift Inst.
State/Muni. Govt. Entities
Unknown Non-U.S. Investors
SEC-Registered Investment Companies
Broker-Dealers
2015Q2
300
277
110
124
123
76
80
79
32
35
16
11
2
1
2015Q3
296
276
108
123
119
75
79
79
32
35
16
11
2
1
2015Q4
325
270
140
132
137
84
87
95
35
32
19
15
5
1
2016Q1
326
270
140
132
138
84
87
95
35
32
19
15
5
1
2016Q2
326
270
140
132
137
84
87
95
35
32
19
15
5
1
2016Q3
326
270
140
131
138
84
86
95
35
32
19
15
5
1
2016Q4
366
283
162
153
141
94
92
88
34
31
22
14
12
1
2017Q1
366
285
162
154
142
94
92
88
34
31
22
14
12
1
Table 19: Beneficial Ownership for Section 4 Private Equity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
State/Muni. Govt. Pension Plans
Private Funds
Other
Sov. Wealth Funds and For. Official Inst.
Pension Plans
Insurance Companies
Non-Profits
U.S. Individuals
Non-U.S. Individuals
Banking/Thrift Inst.
State/Muni. Govt. Entities
Unknown Non-U.S. Investors
SEC-Registered Investment Companies
Broker-Dealers
2015Q2
23.6
21.8
8.7
9.7
9.7
5.9
6.3
6.2
2.5
2.8
1.2
0.9
0.2
0.1
2015Q3
23.5
21.9
8.6
9.8
9.4
6.0
6.3
6.2
2.5
2.8
1.2
0.9
0.2
0.1
18
2015Q4
23.7
19.6
10.2
9.6
10.0
6.1
6.3
6.9
2.6
2.3
1.4
1.1
0.4
0.0
2016Q1
23.7
19.6
10.2
9.6
10.0
6.1
6.3
6.9
2.6
2.3
1.4
1.1
0.4
0.0
2016Q2
23.7
19.6
10.2
9.6
10.0
6.1
6.3
6.9
2.6
2.3
1.4
1.1
0.4
0.0
2016Q3
23.6
19.6
10.2
9.6
10.0
6.1
6.3
6.9
2.6
2.3
1.4
1.1
0.4
0.0
2016Q4
24.5
19.0
10.8
10.3
9.5
6.3
6.1
5.9
2.3
2.0
1.5
0.9
0.8
0.1
2017Q1
24.5
19.0
10.8
10.3
9.5
6.3
6.1
5.9
2.3
2.0
1.5
0.9
0.8
0.1
October 23, 2017
V
Risk and Examinations Office
Derivatives5
Table 20: Aggregate Derivative Notional ($ Billions)
As reported on Form PF, Questions 13 and 44 (Third Month).
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Section 4 Private Equity Fund
Liquidity Fund
Section 3 Liquidity Fund
Real Estate Fund
Securitized Asset Fund
Venture Capital Fund
Total
2015Q2
10,112
8,865
106
71
60
***
***
13
29
***
10,332
2015Q3
10,283
9,025
107
73
60
***
***
13
28
***
10,504
2015Q4
9,058
7,936
103
54
42
***
***
21
12
***
9,247
2016Q1
9,690
8,480
103
54
42
***
***
21
11
***
9,875
2016Q2
10,409
9,045
103
54
42
***
***
21
11
***
10,598
2016Q3
10,480
9,178
106
53
42
***
***
21
10
***
10,672
2016Q4
10,107
8,736
115
38
35
***
***
16
14
***
10,302
2017Q1
11,182
9,718
111
39
35
***
***
16
14
***
11,387
Table 21: Aggregate Derivative Notional (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 13, and 44 (Third Month).
Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Section 4 Private Equity Fund
Liquidity Fund
Section 3 Liquidity Fund
Real Estate Fund
Securitized Asset Fund
Venture Capital Fund
Total
2015Q2
283.7
311.9
12.1
4.1
4.7
***
***
4.6
25.1
***
150.1
2015Q3
297.9
329.8
12.3
4.3
4.7
***
***
4.6
24.6
***
156.0
2015Q4
264.1
292.7
11.8
2.9
3.1
***
***
6.7
8.6
***
132.5
2016Q1
286.8
322.6
11.8
2.9
3.1
***
***
6.7
8.2
***
142.7
2016Q2
305.5
342.1
11.8
2.8
3.1
***
***
6.7
7.7
***
152.1
2016Q3
302.4
338.6
12.0
2.8
3.1
***
***
6.6
7.4
***
151.6
2016Q4
292.0
321.7
11.8
1.8
2.3
***
***
4.8
9.8
***
140.4
2017Q1
312.5
347.1
11.3
1.9
2.3
***
***
4.8
9.8
***
152.7
5
Staff periodically updates reported statistics based on past identified filing errors that may materially change previously
reported values (e.g. this table). The Staff notes that filers should report interest rate derivatives in terms of 10-year
bond equivalents — see Form PF FAQ 26.4.
19
October 23, 2017
Risk and Examinations Office
Figure 6: Distribution of Derivative Notional Values
As reported on Form PF, Questions 13 and 44 (Third Month).
VI
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2015Q2
0.0
0.0
0.0
0.3
1.6
1.1
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2015Q2
0.0
0.1
0.6
2.6
11.3
5.3
All Private Funds ($ Billions)
2015Q3 2015Q4 2016Q1 2016Q2 2016Q3
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.3
0.3
0.3
0.3
0.3
1.5
1.5
1.5
1.5
1.5
1.0
1.0
1.0
1.1
1.0
Qualifying Hedge Funds ($ Billions)
2015Q3 2015Q4 2016Q1 2016Q2 2016Q3
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.5
0.5
0.5
0.5
0.5
2.3
2.4
2.3
2.5
2.4
10.0
9.6
9.9
10.1
10.3
5.7
4.7
5.1
5.1
4.7
2016Q4
0.0
0.0
0.0
0.3
1.4
1.1
2017Q1
0.0
0.0
0.0
0.3
1.5
1.1
2016Q4
0.0
0.1
0.5
2.3
9.2
4.7
2017Q1
0.0
0.1
0.5
2.5
9.9
5.3
High Frequency Trading
Table 22: Number of Hedge Funds Using
High Frequency Trading (HFT) Strategies
As reported on Form PF, Question 21.
Fraction of NAV
0%
Less than 100%
100% or More
2015Q2
7,339
39
27
2015Q3
7,405
33
13
2015Q4
7,373
40
11
2016Q1
7,450
63
9
2016Q2
7,473
64
10
2016Q3
7,512
70
9
2016Q4
7,465
62
11
2017Q1
7,592
62
12
Table 23: Hedge Fund Assets Managed Using HFT Strategies ($ Billions)
As reported on Form PF, Questions 9 and 21.
Fraction of NAV
0%
Less than 100%
100% or More
2015Q2
3,455
43
36
2015Q3
3,340
43
34
2015Q4
3,312
77
2
2016Q1
3,259
84
2
20
2016Q2
3,295
83
2
2016Q3
3,350
84
2
2016Q4
3,349
78
2
2017Q1
3,466
79
3
October 23, 2017
VII
Risk and Examinations Office
Hedge Fund Industry Concentration
Table 24: Percent of Aggregate Hedge Fund Net Asset Value
Reported by Top Hedge Funds Sorted by Net Asset Value
As reported on Form PF, Questions 9 and 10.
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2015Q2
8.2
14.4
20.9
29.7
45.2
59.1
2015Q3
8.0
14.1
20.6
29.2
44.5
58.3
2015Q4
8.0
14.1
20.7
29.4
44.7
58.4
2016Q1
8.0
13.8
20.5
29.1
44.2
57.8
2016Q2
7.8
13.6
20.4
29.0
44.0
57.5
2016Q3
7.9
13.8
20.5
29.1
44.1
57.5
2016Q4
8.0
13.7
20.4
28.9
44.0
57.4
2017Q1
7.7
13.3
20.1
28.5
43.5
56.9
Table 25: Percent of Aggregate Hedge Fund Gross Asset Value
Reported by Top Hedge Funds Sorted by Gross Asset Value
As reported on Form PF, Questions 8 and 10.
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2015Q2
13.1
21.1
28.6
38.4
53.7
66.5
2015Q3
14.1
22.4
29.7
39.3
54.1
66.6
2015Q4
12.9
20.7
28.1
38.2
53.1
65.6
2016Q1
14.8
22.9
30.0
39.5
53.8
66.0
2016Q2
14.8
23.2
30.7
40.2
54.3
66.3
2016Q3
14.1
22.4
30.7
40.3
54.6
66.4
2016Q4
14.2
22.6
30.7
40.2
54.3
66.3
2017Q1
14.1
22.8
31.3
40.6
54.4
66.2
Table 26: Percent of Aggregate Hedge Fund Borrowings
Reported by Top Hedge Funds Sorted by Borrowings
As reported on Form PF, Questions 12 and 43 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2015Q2
29.4
40.2
51.3
63.7
79.3
89.2
2015Q3
30.4
41.3
52.8
65.0
80.2
89.5
2015Q4
28.4
39.1
50.6
63.4
78.8
88.6
2016Q1
31.7
42.7
53.5
65.3
79.9
89.1
21
2016Q2
31.7
44.2
54.9
66.4
79.9
89.1
2016Q3
31.7
44.4
55.4
67.5
81.0
89.7
2016Q4
30.2
43.3
54.8
67.2
80.8
89.5
2017Q1
30.3
43.5
55.2
67.4
80.5
89.4
October 23, 2017
Risk and Examinations Office
Table 27: Percent of Aggregate Hedge Fund Derivative Notional Value
Reported by Top Hedge Funds Sorted by Derivative Notional Value
As reported on Form PF, Questions 13 and 44 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2015Q2
30.0
45.1
57.8
71.2
85.4
92.9
2015Q3
31.5
48.7
61.4
73.2
86.3
93.4
2015Q4
30.3
45.0
57.8
70.1
84.6
92.6
2016Q1
31.8
46.7
59.4
71.2
85.3
92.9
2016Q2
36.1
49.5
61.0
73.0
86.2
93.3
2016Q3
38.4
51.1
61.8
73.4
86.6
93.6
2016Q4
35.6
49.1
60.5
73.2
86.4
93.5
2017Q1
33.9
48.0
60.7
73.4
86.5
93.6
Table 28: Percent of Aggregate Hedge Fund Gross Notional Exposure
Reported by Top Hedge Funds Sorted by Gross Notional Exposure
As reported on Form PF, Questions 26 and 30 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2015Q2
27.4
40.4
51.6
63.9
79.9
90.4
2015Q3
28.2
43.4
54.8
66.1
81.1
90.9
2015Q4
27.5
40.7
52.5
64.6
80.2
90.5
2016Q1
29.2
43.0
54.7
66.3
81.1
91.0
22
2016Q2
32.0
43.8
54.6
66.5
81.1
90.8
2016Q3
33.0
45.0
55.5
66.8
81.2
90.6
2016Q4
32.0
45.0
55.9
67.9
81.7
91.0
2017Q1
31.0
44.1
55.7
68.0
82.0
91.1
October 23, 2017
VIII
A
Risk and Examinations Office
Information Reported by Large Hedge
Fund Advisers
Economic Leverage
Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 3(a) and 26.
7-0
7-0
201
201
201
7
7-0
1.0
1.3
2.1
3.7
8.5
4.1
3
2
201
7-0
1.0
1.3
2.1
3.6
8.1
4.0
201
201
7-0
1
1.0
1.3
2.0
3.4
7.8
3.7
201
6-1
201
1.0
1.3
2.1
3.6
8.2
4.0
-03
201
6-1
2
1.0
1.3
2.1
3.7
7.9
4.0
2
1.0
1.3
2.0
3.6
7.6
3.7
6-1
6-0
201
1.0
1.3
2.0
3.7
7.2
3.8
201
6-0
6-0
1.0
1.3
2.0
3.6
7.0
3.8
201
7
201
6-0
6
6-0
1.0
1.3
2.0
3.6
6.9
3.5
6-1
1.0
1.4
2.0
3.7
7.4
3.6
201
5
6-0
6-0
201
201
1.0
1.4
2.0
3.7
7.2
3.6
2
201
6-1
1
23
1.0
1.3
2.0
3.4
7.0
3.4
4
3
201
6-0
2
6-0
201
1.0
1.3
2.1
3.4
6.7
3.4
1
201
6-1
0
1.0
1.5
2.4
5.1
11.3
6.2
1
201
6-0
9
1.0
1.5
2.4
5.3
11.9
6.3
0
201
6-0
8
1.0
1.5
2.4
5.1
11.7
6.2
9
201
1.0
1.5
2.3
4.6
10.5
5.7
8
201
6-0
6
1.0
1.5
2.3
4.8
12.2
6.3
7
201
6-0
5
1.0
1.5
2.4
4.9
12.7
6.1
0.9
1.3
2.0
3.4
6.8
3.4
6-0
3
201
6-0
4
1.0
1.5
2.3
4.8
10.8
5.6
201
1.0
1.5
2.3
4.9
11.6
6.0
201
6-0
2
1.0
1.5
2.3
4.8
11.5
5.8
6-0
1
1.0
1.5
2.3
4.8
11.4
5.6
201
2
2
1.0
1.3
2.0
3.3
6.8
3.1
1.0
1.6
2.4
4.9
12.0
5.9
6-0
1
201
5-1
1.0
1.4
2.1
3.4
7.1
3.5
1.0
1.4
2.1
3.5
7.1
3.4
1.0
1.0
1.0
1.0
1.5
1.5
1.5
1.5
2.4
2.3
2.3
2.3
4.7
4.8
4.7
4.8
11.1 11.7 11.1 11.6
5.4
5.8
5.8
5.8
Excluding IRDs
201
1
201
5-1
5-1
1
5-1
0
201
5-1
1.0
1.5
2.3
4.2
9.6
4.9
-10
1.1
1.5
2.4
4.7
10.8
6.0
201
9
201
1.0
1.3
2.0
3.3
6.8
3.2
1.1
1.5
2.5
4.6
10.3
5.7
201
5
8
5-0
201
5-0
9
1.0
1.4
2.1
3.4
6.7
3.3
1.0
1.5
2.2
4.4
9.5
5.7
201
201
5-0
1.1
1.4
2.1
3.5
7.0
3.4
1.0
1.3
2.1
3.3
6.3
3.3
8
-07
201
5-0
6
1.1
1.6
2.4
4.6
10.6
5.8
201
5
5-0
7
201
1.1
1.6
2.4
4.7
10.0
5.7
6
5
5-0
1.0
1.4
2.1
3.5
6.8
3.6
201
5-0
1.0
1.4
2.1
3.4
7.0
3.6
201
5-0
201
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1.0
1.5
2.3
4.5
8.8
4.9
5-0
5-0
5
201
1.0
1.6
2.4
4.7
9.8
5.5
201
1.0
1.6
2.4
4.6
9.4
5.4
4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
201
5
-04
Including Interest Rate Derivatives (IRDs)
1.0
1.3
2.1
3.6
7.9
4.0
October 23, 2017
Risk and Examinations Office
Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and Short Notional
Exposure (SNE) to Net Asset Value
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 3(a) and 26.
24
2
3
7-0
201
7 -0
0.1
0.3
0.6
1.5
3.9
1.7
0.1
0.3
0.6
1.5
3.9
1.7
0.1
0.2
0.6
1.4
3.7
1.6
-03
-03
2
2
0.1
0.4
0.8
2.3
6.6
2.9
0.9
1.1
1.6
2.4
4.7
2.6
0.1
0.3
0.8
2.2
6.4
2.9
201
7-0
3
2
0.1
0.3
0.8
2.2
6.1
2.8
201
7
7-0
7-0
0.1
0.3
0.8
2.0
6.0
2.8
1.0
1.2
1.7
3.0
6.3
3.6
201
7
1
7-0
201
1
7-0
201
7-0
1
0.9
1.1
1.5
2.6
4.9
2.6
201
2
201
201
0.9
1.1
1.5
2.4
4.8
2.5
201
201
6-1
2
0.9
1.2
1.7
3.2
7.0
3.7
201
7-0
0.1
0.3
0.6
1.5
3.8
1.7
0.9
1.1
1.6
3.0
6.6
3.7
201
7-0
1
0.1
0.3
0.6
1.5
3.6
1.7
0.1
0.2
0.6
1.3
3.4
1.5
6-1
6-1
1
201
6-1
2
1
0.1
0.4
0.8
2.2
6.2
3.1
201
6-1
0.1
0.4
0.8
2.1
5.9
2.9
0.9
1.1
1.5
2.4
4.6
2.4
201
-10
201
6-1
1
0
6-1
1.0
1.1
1.6
2.4
4.8
2.5
201
201
0.9
1.1
1.6
2.5
4.7
2.5
201
1.0
1.2
1.6
2.8
6.0
3.4
6-1
0
6-0
9
1.0
1.2
1.7
2.9
6.5
3.6
201
9
6-0
201
8
0.9
1.2
1.7
2.9
6.7
3.6
0.1
0.3
0.7
2.0
5.5
2.6
201
8
0.1
0.2
0.6
1.4
3.5
1.6
201
6
201
9
6-0
201
8
6-0
0.9
1.1
1.5
2.4
4.7
2.4
6-0
0.1
0.3
0.8
2.1
5.9
2.8
6-0
7
6-0
8
201
6-0
7
201
6-0
7
1.0
1.2
1.7
3.0
6.2
3.4
201
6-0
-07
0.1
0.2
0.6
1.3
3.3
1.5
1.0
1.1
1.5
2.4
4.5
2.4
201
6
201
6
201
201
6
6-0
0.1
0.2
0.6
1.3
3.4
1.4
0.1
0.3
0.7
2.0
5.8
2.7
201
6
6-0
201
5
0.1
0.3
0.8
2.0
5.2
2.5
201
0.1
0.2
0.6
1.3
3.6
1.5
0.9
1.1
1.5
2.4
4.5
2.4
6
6-0
5
6-0
6-0
1.0
1.1
1.5
2.3
4.7
2.3
1.0
1.2
1.7
2.9
6.4
3.5
6-1
2
0.0
0.2
0.6
1.3
3.5
1.4
0.9
1.1
1.6
2.9
6.4
3.5
201
6-1
1
0.0
0.2
0.6
1.4
3.1
1.4
201
6-0
4
6-0
3
2
1
6-0
201
0.1
0.2
0.6
1.3
3.0
1.4
201
6-0
5
6-0
5
6-0
201
6-0
4
3
201
6-0
2
-01
6-0
201
201
201
6-0
0.1
0.2
0.6
1.3
3.3
1.3
201
4
6-0
201
201
6-0
3
2
-01
6-0
201
201
5-1
2
201
6
201
6
5-1
2
0.0
0.2
0.6
1.3
3.1
1.3
201
5-1
2
0.1
0.1
0.1
0.1
0.1
0.1
0.3
0.3
0.3
0.3
0.3
0.3
0.8
0.8
0.8
0.8
0.8
0.8
1.8
1.9
2.0
2.0
2.1
2.1
4.7
5.9
5.6
5.4
5.4
5.5
2.3
2.4
2.7
2.7
2.7
2.7
Short Exposure Excluding IRDs
1.0
1.2
1.7
2.9
6.3
3.4
201
4
6-0
201
201
3
2
6-0
6-0
201
-12
6-0
1
201
201
201
5
201
0.9
0.9
0.9
0.9
1.0
1.0
1.1
1.1
1.1
1.1
1.1
1.1
1.5
1.5
1.5
1.5
1.5
1.5
2.2
2.2
2.2
2.2
2.5
2.5
3.9
4.2
4.1
4.4
4.7
4.7
2.0
2.2
2.2
2.3
2.3
2.4
Short Exposure Including IRDs
201
-11
0.1
0.2
0.6
1.3
3.5
1.5
1.0
0.9
0.9
1.0
1.0
1.0
1.2
1.2
1.1
1.2
1.2
1.2
1.6
1.6
1.6
1.6
1.7
1.7
2.5
2.8
2.9
2.8
3.0
3.0
5.2
6.1
6.7
6.1
6.1
6.4
2.9
3.3
3.4
3.4
3.4
3.5
Long Exposure Excluding IRDs
201
5-1
1
5-1
1
0.1
0.3
0.8
2.0
5.6
2.8
5-1
1
5-1
0
-09
201
5
201
-10
0.0
0.2
0.6
1.3
3.4
1.4
1.0
1.1
1.5
2.2
4.1
2.2
201
-10
-10
0.1
0.3
0.8
1.9
5.3
2.5
1.0
1.2
1.7
2.7
6.0
3.4
201
201
201
5
201
5
5-0
9
5-0
9
0.0
0.2
0.6
1.2
3.0
1.3
1.0
1.1
1.5
2.3
4.1
2.2
201
5
201
201
0.1
0.3
0.8
1.8
4.3
2.4
1.0
1.2
1.7
2.7
5.9
3.4
201
6-1
0
0.1
0.2
0.6
1.3
3.0
1.3
1.0
1.1
1.4
2.1
3.9
2.1
201
5-0
8
5-0
8
0.1
0.3
0.8
1.9
5.1
2.4
5-0
9
201
5
-08
201
5
5-0
8
201
-07
0.1
0.2
0.7
1.3
3.0
1.3
1.0
1.2
1.5
2.2
4.0
2.2
201
-07
5-0
6
0.1
0.2
0.6
1.3
3.1
1.3
7
0.1
0.3
0.8
2.0
5.0
2.3
1.0
1.2
1.6
2.6
5.2
3.3
201
6
5-0
7
201
5-0
5-0
6
5-0
6
201
5
201
0.1
0.3
0.8
2.0
4.2
2.1
201
5-0
5
5-0
0.0
0.3
0.6
1.3
3.2
1.4
1.0
1.2
1.6
2.3
4.2
2.2
1.0
1.3
1.7
2.7
5.8
3.5
6-0
9
0.0
0.3
0.6
1.3
2.9
1.4
201
5-0
201
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1.0
1.3
1.7
2.9
5.8
3.5
201
5
5
0.1
0.4
0.8
2.0
4.8
2.3
201
5
5
201
5-0
5-0
201
0.1
0.4
0.8
1.9
4.5
2.4
4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1.0
1.1
1.5
2.2
3.9
2.1
201
1.0
1.1
1.5
2.2
3.9
2.3
1.0
1.2
1.6
2.8
4.9
3.1
201
5-0
5-0
5-0
5-0
201
1.0
1.1
1.5
2.2
4.1
2.2
1.0
1.2
1.7
2.8
5.3
3.4
4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
201
201
1.0
1.2
1.6
2.8
5.5
3.3
4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
201
4
Long Exposure Including IRDs
0.1
0.3
0.6
1.5
3.8
1.7
October 23, 2017
B
Risk and Examinations Office
Industry Concentration
Table 29: Large Hedge Fund Adviser Asset and Exposure Concentration
(Percent of Total Reported)
As reported on Form PF, Questions 3(a) and 26.
Month
2015-04
2015-05
2015-06
2015-07
2015-08
2015-09
2015-10
2015-11
2015-12
2016-01
2016-02
2016-03
2016-04
2016-05
2016-06
2016-07
2016-08
2016-09
2016-10
2016-11
2016-12
2017-01
2017-02
2017-03
Top 10 Advisers (NAV)
17.5
17.5
17.5
16.9
16.9
16.9
17.1
17.1
17.2
17.6
17.4
17.4
17.9
18.0
18.0
18.0
18.0
18.0
18.1
18.1
18.1
18.6
18.6
18.7
Top 20 Advisers (NAV)
26.8
26.8
26.8
26.6
26.6
26.6
26.8
26.8
26.9
27.5
27.3
27.3
27.8
28.0
28.0
27.9
27.9
27.9
27.9
27.9
27.9
28.2
28.2
28.3
25
Top 10 Advisers (GNE)
37.8
39.0
37.2
39.4
40.1
39.9
40.6
41.5
37.0
39.5
41.6
38.6
39.1
40.2
37.9
41.0
42.0
42.1
44.6
45.5
42.4
44.7
49.8
48.0
Top 20 Advisers (GNE)
52.3
53.0
51.6
53.7
54.0
54.4
54.7
55.7
51.3
53.2
54.5
51.6
53.3
53.7
52.0
55.0
55.7
55.8
57.2
58.3
55.4
57.6
61.4
59.9
October 23, 2017
C
Risk and Examinations Office
Portfolio Turnover
Table 30: Aggregate Portfolio Turnover ($ Billions)
As reported on Form PF, Question 27.
Month
2015-04
2015-05
2015-06
2015-07
2015-08
2015-09
2015-10
2015-11
2015-12
2016-01
2016-02
2016-03
2016-04
2016-05
2016-06
2016-07
2016-08
2016-09
2016-10
2016-11
2016-12
2017-01
2017-02
2017-03
Futures
7,521
9,177
12,231
8,270
10,121
10,025
7,499
8,896
9,844
8,762
10,272
11,639
8,476
9,577
12,915
7,647
9,563
11,717
8,569
13,406
11,117
11,430
12,331
14,738
Sov. and muni. bonds
2,673
2,460
2,837
2,035
2,293
2,437
2,200
2,136
2,046
2,264
2,441
2,105
2,074
2,590
2,795
2,346
2,514
3,111
2,433
3,481
2,265
2,595
2,749
2,733
Listed equities
1,993
1,916
1,957
2,112
2,103
1,876
7,583
6,658
7,098
2,190
2,239
2,036
1,972
1,969
2,108
1,823
1,874
1,937
1,880
2,230
1,785
1,855
1,868
2,042
Corporate bonds
112
104
90
99
74
91
100
85
70
110
101
119
111
110
99
89
90
104
97
95
70
123
105
124
Convertible bonds
23
23
22
15
14
17
20
16
19
15
15
18
22
17
21
14
19
20
24
19
17
20
21
25
Total
12,321
13,679
17,136
12,531
14,605
14,446
17,403
17,792
19,077
13,341
15,066
15,917
12,655
14,263
17,938
11,919
14,060
16,889
13,003
19,230
15,254
16,022
17,074
19,663
Figure 9: Distributions of Portfolio Turnover
(Winsorized, limits=[1%,99%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 3(a) and 27.
0.0
0.1
0.5
1.9
12.7
6.8
0.0
0.1
0.5
2.1
13.5
7.9
0.0
0.2
0.5
2.2
19.0
9.1
0.0
0.1
0.4
1.8
12.5
6.6
0.0
0.1
0.4
1.9
12.3
7.1
0.0
0.1
0.5
2.1
18.3
8.2
0.0
0.1
0.4
2.0
14.3
7.7
0.1
0.2
0.7
2.9
18.6
10.2
0.0
0.2
0.5
2.4
16.7
8.7
0.0
0.2
0.5
2.2
14.6
7.9
0.0
0.1
0.5
2.6
17.8
8.5
0.0
0.2
0.6
2.9
19.5
9.4
7-0
7-0
6-0
6-0
5-0
-03
0.0
0.2
0.5
2.3
12.7
7.6
2
201
7
7-0
3
2
201
1
7-0
0.0
0.2
0.6
2.3
10.6
7.5
1
201
7-0
201
2
201
201
6-1
201
201
6-1
2
-11
201
6
1
6-1
201
0.0
0.1
0.5
2.1
10.2
7.4
-09
201
0.0
0.1
0.5
1.7
9.3
7.6
26
6-1
0
6-0
9
201
6-1
0
8
201
6
201
201
6
0.0
0.2
0.4
1.7
8.1
6.4
-08
201
6-0
-07
201
6-0
6
0.0
0.2
0.5
1.9
9.1
6.4
7
201
6-0
5
201
6
6-0
4
201
0.0
0.2
0.5
2.2
9.7
6.3
6-0
3
0.0
0.2
0.6
2.2
11.0
6.6
-02
0.1
0.2
0.6
1.8
10.4
6.3
1
0.0
0.2
0.5
2.1
11.9
7.4
9
0.0
0.1
0.5
1.8
9.3
6.2
6
0.0
0.1
0.5
1.7
9.7
5.5
-05
201
201
6
5
0.1
0.4
1.4
7.0
55.7
34.0
201
6
6-0
0.1
0.3
1.3
6.1
43.3
29.7
201
6-0
0.1
0.3
1.2
5.5
42.0
25.7
201
5-1
2
201
0.1
0.3
1.1
5.6
44.5
26.0
-10
201
0.1
0.4
1.5
6.8
51.6
32.9
201
5-1
1
201
0.1
0.3
1.1
5.1
35.3
22.3
201
5
0.1
0.4
1.2
6.2
46.5
29.8
8
0.1
0.3
1.1
5.5
35.0
24.1
201
5-0
0.1
0.3
1.1
4.7
30.1
19.7
7
0.1
0.4
1.3
6.2
39.1
29.1
201
5-0
201
3
0.1
0.0
0.1
0.1
0.1
0.1
0.3
0.3
0.3
0.3
0.3
0.3
1.2
1.3
1.3
1.4
1.2
1.2
4.8
5.4
6.6
5.9
4.8
5.1
30.9 28.2 28.3 32.6 30.5 31.0
24.8 23.0 24.9 26.3 20.4 24.5
Total Turnover to NAV Ratio
6-0
0.1
0.3
1.1
4.7
21.3
23.1
5-0
201
6-0
4
201
5-1
2
1
201
5-1
1
0.1
0.3
1.2
4.7
23.7
20.5
6-0
-10
201
5
0.1
0.3
1.2
5.5
31.2
24.1
201
201
6-0
2
8
201
5-0
0.1
0.3
1.3
5.8
27.5
22.5
201
9
7
201
5-0
6
5-0
0.1
0.3
1.3
5.2
24.3
19.7
5-0
201
0.1
0.4
1.3
5.9
34.7
29.3
4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
-05
201
0.1
0.3
1.2
4.9
24.2
23.7
201
5
4
201
5
0.1
0.3
1.2
4.7
24.8
19.8
201
5-0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
201
5-0
Total Turnover ($ Billions)
October 23, 2017
D
Risk and Examinations Office
Region and Country Exposure
Table 31: Large Hedge Fund Adviser Hedge Fund
Region Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.
Region
North America
Europe EEA
Asia
South America
Europe Other
Supranational
Middle East
Africa
2015Q2
3,965
1,197
611
91
73
34
16
19
2015Q3
3,867
1,186
575
95
69
35
18
22
2015Q4
3,767
1,095
578
90
66
33
23
21
2016Q1
3,878
1,216
619
101
61
30
22
21
2016Q2
3,942
1,198
601
91
62
30
22
21
2016Q3
4,110
1,219
611
91
67
33
20
19
2016Q4
4,082
1,222
530
87
64
46
18
18
2017Q1
4,408
1,704
595
95
79
60
20
19
Table 32: Large Hedge Fund Adviser Hedge Fund
Region Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.
Region
North America
Europe EEA
Asia
South America
Europe Other
Supranational
Middle East
Africa
2015Q2
130.5
39.4
20.1
3.0
2.4
1.1
0.5
0.6
2015Q3
132.2
40.5
19.7
3.2
2.4
1.2
0.6
0.8
2015Q4
129.0
37.5
19.8
3.1
2.3
1.1
0.8
0.7
2016Q1
134.2
42.1
21.4
3.5
2.1
1.0
0.8
0.7
27
2016Q2
136.4
41.4
20.8
3.2
2.1
1.0
0.8
0.7
2016Q3
138.6
41.1
20.6
3.1
2.3
1.1
0.7
0.6
2016Q4
136.6
40.9
17.8
2.9
2.1
1.5
0.6
0.6
2017Q1
142.0
54.9
19.2
3.1
2.5
1.9
0.6
0.6
October 23, 2017
Risk and Examinations Office
Table 33: Large Hedge Fund Adviser Hedge Fund
Country Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.
Country
United States
Japan
China (Inc. Hong Kong)
Brazil
India
Russia
2015Q2
3,786
254
161
39
33
9
2015Q3
3,680
250
138
45
31
7
2015Q4
3,597
259
145
41
30
8
2016Q1
3,637
290
139
42
28
11
2016Q2
3,658
264
128
35
30
13
2016Q3
3,923
263
136
36
35
15
2016Q4
3,871
218
129
37
30
14
2017Q1
4,186
230
130
40
32
17
2016Q4
129.5
7.3
4.3
1.2
1.0
0.5
2017Q1
134.8
7.4
4.2
1.3
1.0
0.5
Table 34: Large Hedge Fund Adviser Hedge Fund
Country Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.
Country
United States
Japan
China (Inc. Hong Kong)
Brazil
India
Russia
2015Q2
124.6
8.3
5.3
1.3
1.1
0.3
2015Q3
125.8
8.5
4.7
1.5
1.0
0.2
2015Q4
123.2
8.9
5.0
1.4
1.0
0.3
28
2016Q1
125.8
10.0
4.8
1.4
1.0
0.4
2016Q2
126.6
9.1
4.4
1.2
1.0
0.4
2016Q3
132.3
8.9
4.6
1.2
1.2
0.5
October 23, 2017
IX
A
Risk and Examinations Office
Qualifying Hedge Fund Specific Information
Economic Leverage
Figure 10: Ratio of Qualifying Hedge Fund Gross Notional Exposure to Net Asset Value
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 9, 10, 26, and 30.
1.0
1.3
1.9
3.3
6.4
3.2
1.0
1.2
1.9
3.2
6.2
3.0
1.0
1.3
1.9
3.5
6.5
3.2
1.0
1.3
1.9
3.4
6.7
3.2
1.0
1.2
1.9
3.3
6.0
3.0
1.0
1.3
2.0
3.4
6.7
3.2
-0 3
201
7
-03
2
2
7-0
1.0
1.3
2.0
3.4
6.7
3.2
1.1
1.4
2.3
4.4
9.4
4.4
201
7
7-0
201
1
7-0
201
1
1.1
1.5
2.3
4.6
9.8
4.5
201
201
1
6-1
201
6-1
201
6-0
201
8
6-0
201
1.0
1.3
1.9
3.3
6.4
3.1
1.1
1.6
2.3
4.5
9.6
4.5
7-0
201
6 -1
2
1.1
1.5
2.2
4.3
8.2
4.1
201
201
6 -1
1
1.1
1.6
2.3
4.6
9.5
4.5
6-1
2
201
6-1
0
1.1
1.5
2.3
4.6
9.2
4.5
0
201
6-0
9
1.1
1.5
2.2
4.3
8.5
4.1
9
7
6-0
201
6-0
8
201
6-0
201
6-0
1.0
1.2
1.9
3.2
5.8
3.0
1.1
1.6
2.3
4.5
9.0
4.6
7
1.1
1.6
2.3
4.6
9.1
4.5
6
201
6 -0
6
1.0
1.3
1.9
3.3
6.3
3.1
201
6-0
201
6-0
1.0
1.3
1.9
3.3
6.4
3.2
5
201
6 -0
5
29
1.0
1.2
1.9
3.1
5.7
2.9
4
6 -0
3
1.0
1.3
1.9
3.2
6.2
3.1
201
6-0
201
201
6-0
3
2
201
201
6-0
4
1.0
1.3
1.9
3.3
6.1
3.1
201
6-0
2
1.1
1.5
2.2
4.3
8.5
4.3
6-0
1
1.1
1.6
2.3
4.6
8.7
4.6
201
2
2
1.0
1.2
1.9
3.1
5.6
2.8
1.1
1.5
2.3
4.5
8.7
4.6
6-0
1
201
5-1
1.0
1.3
1.9
3.3
6.2
3.2
1.2
1.1
1.1
1.6
1.6
1.5
2.3
2.3
2.2
4.5
4.6
4.2
8.4
8.5
8.1
4.8
4.8
4.2
Excluding IRDs
201
1
201
5-1
1.1
1.5
2.3
4.1
7.7
4.1
5-1
1
5-1
0
201
5-1
-10
1.1
1.3
1.9
3.4
6.3
3.2
1.1
1.6
2.4
4.5
8.4
4.7
201
201
9
1.0
1.2
1.8
3.1
5.8
2.9
1.1
1.6
2.4
4.5
8.2
4.7
201
5
8
5-0
201
5-0
9
1.0
1.2
1.9
3.2
6.0
3.0
1.1
1.5
2.2
4.1
7.7
4.2
201
201
5-0
1.1
1.3
2.0
3.3
6.3
3.1
8
201
5-0
6
5-0
7
201
1.1
1.5
2.3
4.4
8.1
4.6
201
201
5-0
5-0
1.0
1.2
1.9
3.2
6.0
3.0
1.1
1.5
2.3
4.3
8.4
4.4
5-0
7
1.0
1.3
2.0
3.2
6.3
3.1
6
5
1.1
1.5
2.2
4.1
8.0
4.3
201
5-0
4
1.0
1.3
1.9
3.3
6.3
3.1
201
5-0
201
5-0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1.1
1.5
2.3
4.3
8.7
4.5
201
201
1.1
1.5
2.3
4.3
8.8
4.6
4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
5-0
5
Including Interest Rate Derivatives (IRDs)
1.0
1.2
2.0
3.3
6.8
3.2
October 23, 2017
Risk and Examinations Office
Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and
Short Notional Exposure (SNE) to Net Asset Value
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 9, 10, 26, and 30.
30
2
3
7-0
201
7 -0
0.0
0.2
0.6
1.3
3.0
1.2
0.0
0.2
0.6
1.3
3.1
1.2
0.0
0.2
0.5
1.4
2.7
1.2
-03
-03
2
2
0.1
0.3
0.8
2.0
4.7
2.0
1.0
1.1
1.5
2.2
4.1
2.1
0.1
0.3
0.8
2.0
5.0
2.0
201
7-0
3
2
0.1
0.3
0.7
2.0
4.5
1.9
201
7
7-0
7-0
0.1
0.3
0.7
1.8
4.1
1.8
1.0
1.2
1.7
2.8
5.3
2.7
201
7
1
7-0
201
1
7-0
201
7-0
1
1.0
1.1
1.5
2.3
4.1
2.1
201
2
201
201
1.0
1.1
1.5
2.3
4.0
2.2
201
201
6-1
2
1.0
1.2
1.7
2.9
5.5
2.8
201
7-0
0.0
0.2
0.5
1.4
3.0
1.3
1.0
1.2
1.7
2.9
5.5
2.8
201
7-0
1
0.0
0.2
0.6
1.4
3.0
1.2
0.0
0.2
0.5
1.2
2.8
1.1
6-1
6-1
1
201
6-1
2
1
0.1
0.3
0.7
2.0
4.4
1.9
201
6-1
0.1
0.3
0.8
2.0
4.4
1.9
1.0
1.1
1.5
2.2
3.8
2.1
201
-10
201
6-1
1
0
6-1
1.0
1.1
1.5
2.3
4.0
2.2
201
201
1.0
1.1
1.5
2.3
3.9
2.2
201
1.0
1.2
1.6
2.7
4.8
2.5
6-1
0
6-0
9
1.0
1.2
1.7
2.8
5.3
2.8
201
9
6-0
201
8
1.0
1.2
1.7
2.8
5.2
2.8
0.0
0.3
0.7
1.8
3.9
1.7
201
8
0.0
0.2
0.5
1.3
2.8
1.2
201
6
201
9
6-0
201
8
6-0
1.0
1.1
1.5
2.2
3.8
2.1
6-0
0.1
0.3
0.8
1.8
4.2
1.9
6-0
7
6-0
8
201
6-0
7
201
6-0
7
1.0
1.2
1.6
2.7
5.0
2.6
201
6-0
-07
0.0
0.2
0.6
1.3
2.8
1.2
1.0
1.1
1.4
2.3
3.9
2.1
201
6
201
6
201
201
6
6-0
0.0
0.2
0.5
1.2
2.7
1.1
0.1
0.3
0.8
1.8
4.2
1.9
201
6
6-0
201
5
0.1
0.3
0.7
1.8
3.9
1.8
201
0.0
0.2
0.5
1.2
2.9
1.2
1.0
1.1
1.5
2.3
3.9
2.1
6
6-0
5
6-0
6-0
1.0
1.1
1.5
2.2
3.6
2.1
1.0
1.2
1.6
2.8
5.3
2.8
6-1
2
0.0
0.2
0.6
1.2
3.0
1.2
1.0
1.2
1.6
2.8
5.1
2.8
201
6-1
1
0.0
0.2
0.5
1.2
2.6
1.1
201
6-0
4
6-0
3
2
1
6-0
201
0.0
0.2
0.6
1.2
2.7
1.1
201
6-0
5
6-0
5
6-0
201
6-0
4
3
201
6-0
2
-01
6-0
201
201
201
6-0
0.0
0.2
0.6
1.2
2.7
1.2
201
4
6-0
201
201
6-0
3
2
-01
6-0
201
201
5-1
2
201
6
201
6
5-1
2
0.0
0.2
0.5
1.2
2.6
1.1
201
5-1
2
0.1
0.1
0.1
0.0
0.1
0.1
0.3
0.3
0.3
0.3
0.3
0.3
0.8
0.8
0.8
0.7
0.8
0.8
1.7
1.9
1.9
1.8
1.8
1.8
3.8
4.1
4.1
4.0
4.4
4.1
1.8
2.1
2.0
1.8
2.0
2.0
Short Exposure Excluding IRDs
1.0
1.2
1.6
2.7
4.9
2.7
201
4
6-0
201
201
3
2
6-0
6-0
201
-12
6-0
1
201
201
201
5
201
1.0
1.0
1.0
1.0
1.0
1.0
1.1
1.1
1.1
1.1
1.1
1.1
1.4
1.5
1.5
1.4
1.4
1.5
2.1
2.2
2.2
2.1
2.2
2.2
3.4
3.6
3.6
3.4
3.7
3.8
1.9
2.1
2.0
2.0
2.1
2.1
Short Exposure Including IRDs
201
-11
0.0
0.2
0.5
1.3
3.0
1.2
1.0
1.0
1.0
1.0
1.0
1.0
1.2
1.2
1.2
1.2
1.2
1.2
1.6
1.7
1.7
1.6
1.7
1.7
2.4
2.7
2.7
2.6
2.7
2.7
4.3
4.7
4.9
4.5
5.2
5.0
2.6
2.9
2.9
2.6
2.8
2.8
Long Exposure Excluding IRDs
201
5-1
1
5-1
1
0.1
0.3
0.8
1.9
4.1
2.0
5-1
1
5-1
0
-09
201
5
201
-10
0.0
0.2
0.5
1.3
2.9
1.2
1.0
1.1
1.5
2.2
3.7
2.1
201
-10
-10
0.1
0.3
0.8
1.9
4.1
2.0
1.0
1.2
1.7
2.6
4.7
2.8
201
201
201
5
201
5
5-0
9
5-0
9
0.0
0.2
0.5
1.2
2.7
1.1
1.0
1.1
1.5
2.3
3.7
2.1
201
5
201
201
0.1
0.3
0.7
1.6
3.8
1.8
1.1
1.2
1.7
2.6
4.8
2.8
201
6-1
0
0.0
0.2
0.6
1.3
2.9
1.1
1.0
1.1
1.4
2.1
3.5
1.9
201
5-0
8
5-0
8
0.1
0.3
0.8
1.8
4.0
1.9
5-0
9
201
5
-08
201
5
5-0
8
201
-07
0.0
0.2
0.6
1.3
3.0
1.2
1.0
1.1
1.5
2.2
3.5
2.0
201
-07
5-0
6
0.0
0.2
0.5
1.2
3.0
1.1
7
0.1
0.3
0.8
1.8
4.1
1.9
1.0
1.2
1.6
2.5
4.5
2.6
201
6
5-0
7
201
5-0
5-0
6
5-0
6
201
5
201
0.1
0.3
0.7
1.8
4.1
1.9
201
5-0
5
5-0
0.0
0.2
0.6
1.3
3.0
1.2
1.0
1.2
1.5
2.2
3.7
2.1
1.0
1.2
1.7
2.6
4.7
2.8
6-0
9
0.0
0.2
0.6
1.3
3.0
1.2
201
5-0
201
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1.1
1.2
1.7
2.6
4.7
2.8
201
5
5
0.1
0.3
0.7
1.9
4.5
2.0
201
5
5
201
5-0
5-0
201
0.1
0.3
0.7
1.7
4.4
2.0
4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1.0
1.1
1.5
2.2
3.5
2.0
201
1.0
1.1
1.5
2.2
3.6
2.0
1.0
1.2
1.6
2.5
4.5
2.6
201
5-0
5-0
5-0
5-0
201
1.0
1.1
1.5
2.2
3.7
2.1
1.0
1.2
1.6
2.6
4.7
2.7
4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
201
201
1.0
1.2
1.6
2.6
4.8
2.8
4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
201
4
Long Exposure Including IRDs
0.0
0.2
0.6
1.3
3.1
1.3
October 23, 2017
B
Risk and Examinations Office
Gross Exposure by Strategy6
Table 35: Exposures of Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Other
Relative Value
Macro
Event Driven
Credit
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Conv. Arb.
F.I. Corp.
Volatility Arb.
Subtotal
Global Macro
Currency
Commodity
Active Trading
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Total
2015Q2
1,510
1,004
285
214
7
714
787
524
144
48
49
23
506
434
32
39
1
417
182
151
84
302
269
33
91
***
***
49
4,375
2015Q3
1,430
935
268
221
6
687
782
536
139
39
45
24
550
479
33
36
2
381
179
126
76
286
251
35
94
***
***
48
4,259
2015Q4
1,442
925
278
232
6
688
722
491
129
38
41
23
538
468
34
33
2
374
173
111
90
279
249
30
98
***
***
45
4,186
2016Q1
1,351
866
268
212
5
757
785
548
127
38
45
28
553
481
36
***
***
361
172
97
92
356
315
41
106
***
***
40
4,309
2016Q2
1,362
851
274
231
6
768
783
542
129
35
42
34
593
518
***
35
***
326
166
85
75
364
328
36
123
117
6
42
4,361
2016Q3
1,426
879
284
258
5
774
765
518
130
38
43
36
667
594
***
35
***
336
173
91
73
267
227
40
132
***
***
41
4,409
2016Q4
1,400
842
288
264
6
782
703
470
124
39
41
28
695
609
46
***
***
325
174
80
71
274
231
43
130
***
***
43
4,351
2017Q1
1,482
881
310
***
***
807
719
489
115
44
41
30
702
616
47
36
3
344
172
95
77
284
241
43
149
140
9
42
4,529
6
Form PF Question 20 requires advisers to indicate which strategies best describe the reporting fund’s strategies
including a good faith estimate of the reporting fund’s allocation among strategies, and provides a list of investment
strategies for this purpose. Form PF does not define the investment strategies listed by Question 20.
31
October 23, 2017
Risk and Examinations Office
Table 36: Exposures of Hedge Funds (Percent of NAV)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Other
Relative Value
Macro
Event Driven
Credit
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Conv. Arb.
F.I. Corp.
Volatility Arb.
Subtotal
Global Macro
Currency
Commodity
Active Trading
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Total
2015Q2
52.2
34.7
9.9
7.4
0.2
24.7
27.2
18.1
5.0
1.6
1.7
0.8
17.5
15.0
1.1
1.3
0.0
14.4
6.3
5.2
2.9
10.4
9.3
1.1
3.1
***
***
1.7
151.3
2015Q3
51.2
33.5
9.6
7.9
0.2
24.6
28.0
19.2
5.0
1.4
1.6
0.8
19.7
17.2
1.2
1.3
0.1
13.6
6.4
4.5
2.7
10.3
9.0
1.3
3.4
***
***
1.7
152.5
32
2015Q4
51.9
33.3
10.0
8.4
0.2
24.8
26.0
17.7
4.6
1.4
1.5
0.8
19.3
16.8
1.2
1.2
0.1
13.5
6.2
4.0
3.3
10.0
8.9
1.1
3.5
***
***
1.6
150.6
2016Q1
50.0
32.0
9.9
7.8
0.2
28.0
29.1
20.3
4.7
1.4
1.7
1.0
20.4
17.8
1.3
***
***
13.3
6.4
3.6
3.4
13.2
11.7
1.5
3.9
***
***
1.5
159.4
2016Q2
50.3
31.4
10.1
8.5
0.2
28.3
28.9
20.0
4.8
1.3
1.5
1.3
21.9
19.1
***
1.3
***
12.0
6.1
3.1
2.8
13.4
12.1
1.3
4.6
4.3
0.2
1.6
160.9
2016Q3
51.1
31.5
10.2
9.2
0.2
27.8
27.4
18.6
4.6
1.4
1.6
1.3
23.9
21.3
***
1.2
***
12.1
6.2
3.3
2.6
9.6
8.1
1.4
4.7
***
***
1.5
158.0
2016Q4
50.1
30.1
10.3
9.5
0.2
28.0
25.1
16.8
4.4
1.4
1.5
1.0
24.9
21.8
1.7
***
***
11.6
6.2
2.8
2.5
9.8
8.3
1.5
4.6
***
***
1.5
155.7
2017Q1
51.5
30.6
10.8
***
***
28.0
25.0
17.0
4.0
1.5
1.4
1.0
24.4
21.4
1.6
1.2
0.1
11.9
6.0
3.3
2.7
9.9
8.4
1.5
5.2
4.9
0.3
1.5
157.4
October 23, 2017
C
Risk and Examinations Office
Leverage by Strategy
Table 37: Asset Weighted-Average Ratio of GAV to NAV
by Strategy
As reported on Form PF, Questions 8, 9, 10, and 20.
Strategy
Relative Value
Macro
Multi-Strategy
Equity
Credit
Other
Event Driven
Managed Futures/CTA
Investment in other funds
2015Q2
4.2
2.3
2.2
1.6
1.6
1.3
1.4
1.2
1.1
2015Q3
4.6
2.5
2.2
1.6
1.6
1.4
1.4
1.2
1.1
2015Q4
4.3
2.5
1.7
1.6
1.6
1.3
1.4
1.2
1.1
2016Q1
4.5
2.8
1.9
1.6
1.5
1.4
1.4
1.2
1.1
2016Q2
4.8
3.1
1.8
1.6
1.5
1.4
1.4
1.2
1.1
2016Q3
4.1
3.1
2.4
1.6
1.6
1.4
1.3
1.2
1.1
2016Q4
4.1
3.3
2.4
1.6
1.5
1.4
1.3
1.2
1.1
2017Q1
4.6
3.6
2.3
1.6
1.6
1.4
1.3
1.2
1.1
Table 38: Asset Weighted-Average Ratio of GNE to NAV
by Strategy
As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month).
Strategy
Relative Value
Macro
Multi-Strategy
Managed Futures/CTA
Other
Credit
Equity
Event Driven
Investment in other funds
2015Q2
13.4
14.8
7.2
10.2
3.0
5.3
3.2
2.3
1.7
2015Q3
15.3
15.7
7.3
13.5
3.2
4.9
3.1
2.2
1.4
2015Q4
15.0
13.7
6.0
10.6
3.2
4.1
3.2
2.1
1.5
2016Q1
16.2
14.7
6.9
9.6
3.5
4.1
3.4
2.1
1.9
2016Q2
17.1
14.5
7.1
7.2
3.8
4.0
3.2
2.1
1.4
2016Q3
16.8
10.9
11.0
8.0
3.7
2.9
3.1
2.0
1.5
2016Q4
16.5
12.9
10.1
7.3
3.8
2.7
3.1
2.0
1.4
2017Q1
19.6
16.0
8.0
8.0
4.0
3.3
3.2
2.2
1.7
Table 39: Asset Weighted-Average Percent of Unencumbered Cash
by Strategy
As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month).
Strategy
Managed Futures/CTA
Macro
Multi-Strategy
Relative Value
Other
Equity
Credit
Event Driven
Investment in other funds
2015Q2
64.0
46.1
23.1
23.3
25.3
11.7
14.4
8.7
18.8
2015Q3
57.5
46.2
28.7
22.0
24.5
12.0
13.2
8.7
17.7
2015Q4
68.6
45.0
26.3
27.1
23.7
13.1
14.0
10.8
12.1
33
2016Q1
57.2
44.7
25.6
27.8
23.4
13.0
12.0
10.0
10.3
2016Q2
68.1
43.9
26.4
27.3
25.3
14.0
14.1
11.5
8.4
2016Q3
68.7
41.7
26.9
21.3
25.7
11.3
10.9
11.7
6.2
2016Q4
67.7
40.8
28.1
22.3
24.8
12.4
11.7
11.6
5.5
2017Q1
65.5
37.1
25.5
22.7
20.5
10.7
9.8
8.0
3.4
October 23, 2017
D
Risk and Examinations Office
Investment Exposures
Table 40: Aggregate Qualifying Hedge Fund Gross Notional Exposure
by Asset Type ($ Billions)
As reported on Form PF, Questions 26 and 30.
Cash/Cash Equivalents
Securities - Equities
Securities - Treasuries
Securities - G10 (non-US)
Securities - Corp. Bonds
Securities - MBS
Securities - Other Bonds
Securities - ABS (non-MBS)
Securities - Conv. Bonds
Derivatives - IR
Derivatives - FX
Derivatives - Equity
Derivatives - Credit
Derivatives - Commodity
Derivatives - Other
Repurchase Agreements
Other
2015Q2
660
2,223
995
728
257
250
197
88
70
3,200
2,416
1,008
826
252
146
1,038
639
2015Q3
671
2,038
1,012
692
245
259
206
90
97
3,438
2,497
861
758
209
137
1,101
652
2015Q4
687
2,062
897
673
231
237
204
82
55
3,115
2,269
874
669
201
123
956
606
2016Q1
704
1,969
945
711
240
225
205
79
59
3,397
2,513
941
707
230
133
1,014
632
2016Q2
716
1,925
994
696
237
236
229
73
55
3,510
2,445
993
589
272
120
1,049
633
2016Q3
677
2,050
1,048
764
243
241
207
76
62
3,538
2,336
1,068
612
291
138
1,103
652
2016Q4
660
2,033
1,060
917
241
216
187
75
61
3,336
2,318
1,103
579
304
137
1,135
657
2017Q1
668
2,209
1,038
971
257
233
200
74
73
3,979
2,516
1,178
616
311
148
1,276
679
Table 41: Percent of Qualifying Hedge Fund Gross Notional Exposure
Representing Long Notional Exposure
As reported on Form PF, Questions 26 and 30.
Cash/Cash Equivalents
Securities - Equities
Securities - Treasuries
Securities - G10 (non-US)
Securities - Corp. Bonds
Securities - MBS
Securities - Other Bonds
Securities - ABS (non-MBS)
Securities - Conv. Bonds
Derivatives - IR
Derivatives - FX
Derivatives - Equity
Derivatives - Credit
Derivatives - Commodity
Derivatives - Other
Repurchase Agreements
Other
2015Q2
87.1
72.1
72.6
52.4
84.9
80.4
73.8
99.1
94.1
45.7
48.3
55.4
44.1
57.4
57.2
45.0
89.4
2015Q3
88.1
71.0
72.3
58.2
83.6
78.9
74.5
99.3
96.0
51.0
49.5
51.5
42.1
55.5
58.1
43.1
88.4
2015Q4
88.4
70.7
71.6
55.9
81.8
80.4
71.1
99.1
94.1
51.7
48.6
53.5
44.0
53.2
53.4
44.2
90.1
34
2016Q1
86.7
69.9
70.0
57.0
80.9
79.6
75.0
99.1
92.6
49.6
50.5
53.7
46.1
59.3
57.1
43.0
90.6
2016Q2
87.8
69.9
67.3
55.8
81.2
77.4
72.1
99.4
94.8
50.7
52.8
55.3
44.4
62.2
58.2
43.2
90.8
2016Q3
86.9
70.6
66.4
53.9
83.5
75.9
78.3
99.0
95.2
53.1
51.8
55.6
47.4
63.7
60.3
45.4
89.6
2016Q4
86.6
70.9
68.9
49.6
82.5
76.9
76.2
98.7
95.0
51.1
48.6
55.4
48.3
63.9
58.6
48.4
89.0
2017Q1
84.7
71.0
66.4
48.9
81.5
75.1
79.2
98.0
95.0
48.3
50.8
56.5
47.2
65.0
62.3
49.7
87.6
October 23, 2017
E
Risk and Examinations Office
Liquidity
Table 42: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 50.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2015Q2
7.2
13.4
26.2
45.9
60.0
74.7
2015Q3
7.2
13.7
26.7
46.9
62.5
74.6
2015Q4
7.2
13.4
25.6
45.5
58.2
72.7
2016Q1
7.8
14.1
27.6
47.1
60.2
75.2
2016Q2
8.0
14.2
27.5
46.8
59.9
75.5
2016Q3
8.3
14.4
26.7
47.4
61.7
74.5
2016Q4
8.2
14.2
26.8
49.4
58.7
74.0
2017Q1
8.4
14.6
28.8
47.8
59.6
74.0
Table 43: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 26, 30, and 32.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2015Q2
39.4
63.2
77.4
84.9
88.5
91.9
2015Q3
40.7
63.6
77.0
84.3
87.8
91.3
2015Q4
40.0
63.3
76.7
83.5
87.2
90.6
2016Q1
40.4
64.3
76.8
83.1
86.5
90.1
2016Q2
40.4
63.8
76.4
82.4
86.1
89.9
2016Q3
39.2
62.8
76.0
82.4
85.9
89.6
2016Q4
39.4
62.4
75.5
81.7
85.2
89.0
2017Q1
37.9
61.2
75.4
81.4
85.0
89.0
Figure 12: Asset Weighted-Average Qualifying Hedge Fund
Investor and Portfolio Liquidity
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of First Calendar Quarter 2017
Statistic
Port. Liquidity
Inv. Liquidity
At most 1 day
37.9
8.4
At most 7 days
61.2
14.6
At most 30 days
75.4
28.8
At most 90 days
81.4
47.8
At most 180 days
85.0
59.6
At most 365 days
89.0
74.0
Table 44: Restrictions on Qualifying Hedge Fund Assets ($ Billions)
As reported on Form PF, Questions 48 and 49.
Type
May Suspend
May Have Gates
Side-Pocketed
Suspended
Gated
2015Q2
2,318
1,450
38
12
35
2015Q3
2,213
1,378
35
12
33
2015Q4
2,175
1,353
37
13
33
2016Q1
2,097
1,272
38
14
29
35
2016Q2
2,116
1,290
37
16
27
2016Q3
2,152
1,311
38
16
30
2016Q4
2,128
1,271
38
19
27
2017Q1
2,195
1,318
39
27
27
October 23, 2017
Risk and Examinations Office
Figure 13: Percentage of Qualifying Hedge Fund NAV
Subject to a Side-Pocket Arrangement
As reported on Form PF, Questions 9 and 48.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2015Q2
1.0
2.0
6.0
15.0
29.0
12.3
2015Q3
1.0
2.0
7.0
16.0
26.0
12.6
2015Q4
1.0
2.0
6.0
18.0
27.0
13.0
2016Q1
1.0
2.0
6.0
16.5
28.0
12.9
36
2016Q2
1.0
3.0
6.0
19.0
28.0
13.7
2016Q3
1.0
3.0
6.5
20.8
31.0
15.6
2016Q4
1.0
3.0
7.0
20.0
31.0
15.7
2017Q1
1.0
3.0
8.5
21.8
32.0
16.8
October 23, 2017
F
Risk and Examinations Office
Borrowings
Table 45: Borrowings of Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Question 43 (Third Month).
Type
Secured
Unsecured
Total
Subtype
Subtotal
Prime Broker
Reverse Repo
Other Secured
Subtotal
Total
2015Q2
1,906
1,074
624
209
11
1,917
2015Q3
1,897
1,000
688
208
11
1,908
2015Q4
1,781
984
577
220
10
1,791
2016Q1
1,844
950
667
227
10
1,853
2016Q2
1,833
948
666
219
9
1,843
2016Q3
1,960
1,045
695
220
11
1,971
2016Q4
1,930
1,050
653
227
12
1,942
2017Q1
2,090
1,140
710
239
14
2,103
Table 46: Aggregate Borrowing by Creditor Entity Type (Percent)
As reported on Form PF, Question 43 (Third Month).
Creditor Type
US Financial
Non-US Financial
US Non-Financial
Non-US Non-Financial
2015Q2
65.3
34.1
***
***
2015Q3
64.6
34.9
***
***
2015Q4
64.7
34.7
***
***
2016Q1
63.7
35.7
0.4
0.1
2016Q2
62.9
36.7
0.3
0.1
2016Q3
65.3
34.2
0.3
0.2
2016Q4
64.2
35.3
0.3
0.2
2017Q1
61.8
37.8
***
***
Table 47: Aggregate Collateral for Secured Borrowings
of Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Question 43 (Third Month).
Borrowing Type
Prime Broker
Reverse Repo
Other Secured
Total
Collateral Type
Subtotal
Other
Cash
Subtotal
Other
Cash
Subtotal
Other
Cash
Total
2015Q2
1,395
917
478
667
496
170
232
180
52
2,295
2015Q3
1,313
843
470
721
544
177
242
196
46
2,277
2015Q4
1,289
816
473
603
447
156
267
224
43
2,159
37
2016Q1
1,235
785
449
688
517
171
274
228
47
2,197
2016Q2
1,207
758
449
685
491
194
255
216
39
2,147
2016Q3
1,314
839
475
740
540
200
261
221
40
2,316
2016Q4
1,310
837
472
669
428
241
271
196
75
2,250
2017Q1
1,434
920
514
753
488
266
296
232
63
2,483
October 23, 2017
Risk and Examinations Office
Figure 14: Ratio of Collateral Posted to Secured Borrowing
for Qualifying Hedge Funds (Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Question 43 (Third Month).
1.0
1.0
1.1
1.4
1.7
1.2
1.0
1.0
1.1
1.4
1.6
1.2
1.0
1.0
1.1
1.4
1.6
1.2
1.0
1.0
1.1
1.4
1.6
1.2
38
1.0
1.0
1.1
1.5
1.7
1.2
1.0
1.0
1.1
1.5
1.7
1.2
1.0
1.0
1.1
1.4
1.7
1.2
1.0
1.0
1.1
1.4
1.7
1.3
1.0
1.0
1.0
1.4
1.7
1.2
1.0
1.0
1.0
1.4
1.6
1.2
***
***
***
***
***
***
1.0
1.0
1.0
1.3
1.6
1.2
-0 3
201
7
-0 3
0.7
1.0
1.2
2.1
4.5
4.1
-03
2
2
2
7-0
201
1.0
1.0
1.0
1.3
1.6
1.2
201
7
7-0
7-0
1
0.7
1.0
1.2
2.1
4.5
3.7
0.8
1.0
1.3
2.1
4.3
2.7
201
7
7-0
1
7-0
201
201
0.7
1.0
1.3
2.3
5.7
5.0
201
6-1
201
1
6-1
201
6-1
6-0
201
8
6-0
201
1.0
1.0
1.1
1.4
1.7
1.2
201
201
6-0
6-0
201
1.0
1.0
1.1
1.5
1.7
1.3
201
201
6 -1
2
0.7
1.0
1.3
2.2
5.1
3.6
1
201
6 -1
1
0.7
1.0
1.3
2.0
4.6
3.3
7-0
201
6 -1
2
201
6-1
0
0.8
1.0
1.2
2.0
4.4
2.8
0.8
1.0
1.2
2.0
4.2
2.6
201
201
6 -1
1
201
6-0
9
0.7
1.0
1.2
1.9
4.1
2.8
0.8
1.0
1.3
2.1
4.8
4.3
2
201
6-1
0
201
6-0
8
0.7
1.0
1.2
2.0
4.3
2.6
0.7
1.0
1.2
2.0
4.0
2.2
0
201
6-0
9
0.8
1.0
1.2
2.0
4.3
2.7
9
0.8
1.0
1.2
1.9
3.7
2.5
7
7
0.8
1.0
1.2
1.9
3.6
2.2
6-0
201
6-0
8
0.8
1.0
1.2
1.9
4.1
2.3
6
6-0
201
5
6-0
4
6-0
1.0
1.0
1.1
1.5
1.7
1.2
201
201
201
6-0
3
2
6-0
201
-01
201
6
5-1
2
1.0
1.0
1.1
1.4
1.6
1.2
0.8
1.0
1.2
1.9
3.8
2.2
201
201
6 -0
6
201
6 -0
5
201
6-0
4
6 -0
3
201
201
6-0
2
2
6-0
1
201
201
5-1
1
1.0
1.0
1.1
1.4
1.6
1.2
201
5-1
1
0.8
0.8
0.8
0.8
0.8
0.8
0.7
0.7
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.3
1.3
1.3
1.2
1.2
1.2
1.2
1.2
2.2
2.2
2.1
2.1
2.1
2.2
2.2
2.1
5.0
4.5
4.7
4.8
4.4
4.3
4.4
4.5
2.5
2.4
2.5
2.5
2.5
2.5
2.6
2.4
Ratio of Collateral/Reverse Repo Borrowing
0.8
1.0
1.2
1.9
3.5
2.0
7
201
6 -0
6
201
6 -0
5
6 -0
3
201
6-0
4
201
201
6-0
2
2
6-0
1
201
1
201
5-1
201
5-1
9
5-1
0
1.0
1.0
1.1
1.4
1.6
1.2
201
5-1
5-1
0
-10
0.8
1.0
1.3
2.2
4.9
2.8
0.8
0.9
0.9
0.8
0.9
0.9
0.8
0.8
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.3
1.3
1.2
1.2
1.2
1.2
1.3
1.3
2.0
2.0
1.9
1.9
1.9
1.9
1.9
1.9
4.1
4.1
4.1
4.0
3.9
3.7
3.5
4.0
2.3
2.6
2.3
2.2
2.3
2.1
2.1
2.2
Ratio of Collateral/Prime Broker Borrowing
201
201
201
9
1.0
1.0
1.1
1.4
1.6
1.2
0.9
1.0
1.3
1.9
4.0
2.4
201
5
5-0
201
5-0
201
0.8
1.0
1.3
2.3
5.1
2.8
5-0
9
8
1.0
1.0
1.1
1.4
1.6
1.2
0.9
1.0
1.3
2.0
4.3
2.6
201
5-0
8
-07
1.0
1.0
1.1
1.4
1.6
1.2
0.9
1.0
1.3
2.4
5.0
3.3
201
0.8
1.0
1.3
2.3
5.3
3.0
8
201
5-0
201
5-0
5-0
7
5-0
7
201
1.0
1.0
1.3
2.1
4.3
2.7
201
6
5-0
6
201
5
1.0
1.0
1.1
1.4
1.6
1.2
0.9
1.0
1.3
2.0
4.2
2.5
201
5
0.8
1.0
1.3
2.3
5.3
3.0
6
201
5-0
201
5-0
5-0
5
5
5-0
201
0.9
1.0
1.3
2.3
5.2
3.0
5-0
5-0
201
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.9
1.0
1.3
2.1
4.5
2.6
201
201
5
0.8
1.0
1.3
2.3
5.0
2.9
4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.9
1.0
1.3
2.0
4.3
2.6
201
0.9
1.0
1.3
2.0
4.0
2.7
-04
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
201
5
-04
Ratio of Total Collateral/Total Secured Borrowing
1.0
1.0
1.1
1.4
1.6
1.2
October 23, 2017
Risk and Examinations Office
Table 48: Financing Liquidity for Qualifying Hedge Funds
(Percent of Available Financing)
As reported on Form PF, Question 46.
Financing Available
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2015Q2
44.8
53.0
64.6
80.3
94.7
97.6
2015Q3
45.3
54.1
66.2
80.7
95.1
97.5
2015Q4
31.0
38.5
66.5
78.1
88.7
98.3
2016Q1
43.7
52.9
66.5
82.0
96.1
97.4
2016Q2
44.5
53.3
65.9
82.0
95.9
97.3
2016Q3
36.8
53.8
65.3
81.2
96.0
97.4
2016Q4
36.0
48.7
64.1
81.3
95.8
97.1
2017Q1
37.2
53.9
65.4
80.6
95.9
97.2
Figure 15: Weighted-Average Qualifying Hedge Fund
Financing Liquidity (Percent of Available Financing)
As reported on Form PF, Question 46 as of First Calendar Quarter 2017.
Statistic
Financing Liquidity
G
At most 1 day
37.2
At most 7 days
53.9
At most 30 days
65.4
At most 90 days
80.6
At most 180 days
95.9
At most 365 days
97.2
Central Clearing
Figure 16: Qualifying Hedge Funds Using Central Clearing
As reported on Form PF, Question 39.
Statistic
Percent of Funds
Percent of NAV
2015Q2
19.9
19.8
2015Q3
18.2
19.0
2015Q4
17.8
18.2
2016Q1
18.0
17.8
39
2016Q2
17.3
16.8
2016Q3
16.2
17.1
2016Q4
17.4
16.2
2017Q1
16.2
16.8
October 23, 2017
H
Risk and Examinations Office
Value-at-Risk (“VaR”) Reporting
Table 49: Number of Qualifying Hedge Funds Using VaR
As reported on Form PF, Question 40.
VaR Method
VaR (Any Method)
Historical Simulation
Monte Carlo Simulation
Parametric
Other
VaR Not Used
2015Q2
609
229
206
188
32
980
2015Q3
617
232
205
191
36
1,005
2015Q4
620
232
203
194
36
1,017
2016Q1
619
239
196
192
36
975
2016Q2
623
236
188
190
39
980
2016Q3
619
238
185
193
44
995
2016Q4
628
233
196
196
40
1,019
2017Q1
637
237
202
190
42
1,030
Table 50: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions)
As reported on Form PF, Questions 8 and 40.
VaR Method
VaR (Any Method)
Historical Simulation
Monte Carlo Simulation
Parametric
Other
VaR Not Used
2015Q2
3,049
1,650
686
809
191
2,095
2015Q3
3,067
1,655
688
816
186
1,994
2015Q4
2,895
1,543
633
729
219
1,970
2016Q1
2,964
1,586
648
729
218
1,912
2016Q2
3,084
1,670
628
756
218
1,896
2016Q3
3,134
1,743
640
746
230
1,976
2016Q4
3,082
1,680
645
731
249
1,992
2017Q1
3,268
1,808
862
737
285
2,063
Table 51: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions)
As reported on Form PF, Questions 9 and 40.
VaR Method
VaR (Any Method)
Historical Simulation
Monte Carlo Simulation
Parametric
Other
VaR Not Used
2015Q2
1,336
511
372
493
57
1,506
2015Q3
1,291
490
369
463
61
1,446
2015Q4
1,280
474
356
468
74
1,431
40
2016Q1
1,245
455
346
457
71
1,384
2016Q2
1,267
475
336
449
73
1,376
2016Q3
1,282
494
340
462
75
1,428
2016Q4
1,276
471
352
459
74
1,439
2017Q1
1,318
484
403
465
75
1,482
October 23, 2017
I
Risk and Examinations Office
Stress Testing and VaR
Table 52: Number of Qualifying Hedge Funds Managed Using
VaR or Market Factor Change Testing (“Stress Testing”)
As reported on Form PF, Questions 40 and 42.
Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither
2015Q2
525
428
84
552
2015Q3
532
462
85
543
2015Q4
538
456
82
561
2016Q1
535
444
84
531
2016Q2
542
454
81
526
2016Q3
544
447
75
548
2016Q4
552
453
76
566
2017Q1
545
451
92
579
Table 53: Aggregate Qualifying Hedge Fund GAV Managed
Using VaR or Stress Testing ($ Billions)
As reported on Form PF, Questions 8, 40, and 42.
Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither
2015Q2
2,837
1,085
212
1,010
2015Q3
2,852
1,065
215
930
2015Q4
2,674
1,032
221
938
2016Q1
2,746
1,011
218
901
2016Q2
2,880
1,008
204
888
2016Q3
2,955
1,030
179
946
2016Q4
2,903
1,001
179
992
2017Q1
3,028
1,076
240
987
Table 54: Aggregate Qualifying Hedge Fund NAV Managed
Using VaR or Stress Testing ($ Billions)
As reported on Form PF, Questions 9, 40, and 42.
Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither
2015Q2
1,198
712
138
793
2015Q3
1,150
713
141
733
2015Q4
1,141
694
140
736
2016Q1
1,119
669
125
715
41
2016Q2
1,136
666
131
710
2016Q3
1,165
666
117
762
2016Q4
1,159
661
117
779
2017Q1
1,172
683
146
798
October 23, 2017
Risk and Examinations Office
X
Section 3 Liquidity Fund Specific Information
A
Liquidity
Table 55: Investor Liquidity For Section 3 Liquidity Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 64.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2015Q2
73.8
92.1
99.4
100.0
100.0
100.0
2015Q3
74.1
92.3
99.4
100.0
100.0
100.0
2015Q4
74.4
92.2
99.4
100.0
100.0
100.0
2016Q1
81.2
96.0
99.7
100.0
100.0
100.0
2016Q2
77.4
96.0
99.7
100.0
100.0
100.0
2016Q3
80.1
98.3
99.9
100.0
100.0
100.0
2016Q4
80.9
97.3
99.6
99.8
99.9
100.0
2017Q1
78.0
95.5
99.7
100.0
100.0
100.0
Table 56: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Question 63.
Type
May Suspend
May Have Gates
Suspended
Gated
2015Q3
252
222
0
0
2015Q4
268
235
0
0
2016Q1
232
200
0
0
2016Q2
241
207
0
0
2016Q3
232
199
0
0
2016Q4
253
220
0
0
2017Q1
246
215
0
0
Portfolio Characteristics
Figure 17: Weighted-Average Maturity of Section 3 Liquidity Funds (Days)
2
7-0
3
1
201
201
201
201
201
201
7-0
201
6-1
201
7-0
1
2
0
6-1
201
6-0
201
6-1
9
8
7
6-0
201
6-0
201
6-0
6
5
4
6-0
3
201
6-0
201
6-0
2
1
6-0
2
201
6-0
1
201
5-1
0
201
5-1
201
5-1
8
9
201
5-0
7
201
5-0
6
201
5-0
201
5-0
5-0
201
Statistic
Average WAM
Asset-Weighted WAM
201
5-0
4
5
As reported on Form PF, Questions 55.
35.4
40.1
34.9
38.9
33.3
40.3
33.3
38.4
29.1
38.3
30.3
39.6
33.7
39.1
32.2
40.2
30.9
42.4
33.4
43.5
34.5
49.3
36.3
49.6
33.1
45.6
30.2
41.6
30.5
42.1
29.0
41.2
28.3
44.8
30.7
44.8
28.9
42.2
28.3
43.0
29.0
39.3
34.5
42.9
32.0
42.1
31.7
40.3
Figure 18: Weighted-Average Life of Section 3 Liquidity Funds (Days)
3
2
201
201
7-0
201
7-0
1
201
6-1
201
7-0
2
1
0
201
6-1
9
201
6-1
201
6-0
201
6-0
8
7
201
6-0
6
5
201
6-0
4
201
6-0
3
201
6-0
201
6-0
6-0
201
6-0
2
2
1
1
5-1
201
5-1
201
60.6
63.1
59.3
66.0
61.2
64.8
56.0
64.1
57.5
65.1
60.1
64.6
59.7
69.1
55.4
68.7
61.4
70.8
61.7
73.6
63.3
74.0
81.9
81.1
79.6
76.7
80.1
78.8
78.2
78.3
77.8
85.6
74.5
82.6
62.0
78.9
61.1
78.4
61.5
70.4
67.5
74.3
65.1
76.8
65.2
77.5
5-1
201
0
9
5-0
201
8
7
5-0
201
5-0
201
6
5
60.9
63.5
5-0
201
5-0
5-0
201
Statistic
Average WAL
Asset-Weighted WAL
201
4
As reported on Form PF, Questions 55.
Figure 19: Seven-Day Gross Yield Section 3 Liquidity Funds (Percent)
1
0
3
0.54
0.49
7-0
0.46
0.44
201
0.47
0.43
2
0.50
0.43
7-0
0.49
0.43
201
0.45
0.43
2
0.42
0.42
7-0
0.41
0.39
6-1
0.38
0.36
201
0.32
0.31
1
0.22
0.22
6-1
0.20
0.19
201
0.20
0.18
6-1
0.20
0.18
201
0.21
0.17
201
9
6-0
201
8
6-0
201
7
6-0
6
201
6-0
201
6-0
201
5
4
6-0
201
3
201
0.19
0.17
42
6-0
2
6-0
201
6-0
1
2
201
5-1
201
1
5-1
201
0
9
0.19
0.16
5-0
201
5-1
8
5-0
201
7
201
5-0
201
6
5-0
5
0.18
0.16
5-0
201
Statistic
Average Gross Yield
Asset-Weighted Gross Yield
201
5-0
4
As reported on Form PF, Questions 55.
201
B
2015Q2
248
215
0
0
0.47
0.53
0.48
0.54
0.66
0.63
0.88
0.69
0.90
0.70
1.07
0.83
October 23, 2017
Risk and Examinations Office
Figure 20: Ratio of Daily Liquid Assets to Net Asset Value
for Section 3 Liquidity Funds (Percent)
2
201
7-0
3
1
47.72
56.74
45.91
53.39
45.79
50.43
46.28
52.78
45.16
51.56
47.42
55.51
46.80
51.92
49.53
52.41
43.19
49.64
43.06
51.95
45.35
53.09
45.84
51.00
45.96
48.27
45.05
46.95
7-0
201
2
201
7-0
1
45.12
53.51
6-1
201
0
201
46.75
49.69
6-1
201
6-1
9
6-0
201
8
7
6-0
201
6
6-0
201
5
201
6-0
201
6-0
4
3
6-0
201
6-0
2
6-0
201
6-0
201
1
2
201
1
5-1
201
0
48.63
53.32
5-1
201
9
46.94
50.41
5-1
201
47.87
52.59
5-0
48.43
52.88
5-0
201
8
7
44.49
48.64
5-0
201
6
201
45.60
49.37
5-0
201
43.63
47.66
5-0
201
41.45
45.75
5-0
201
Statistic
Average DLA
Asset-Weighted DLA
5
4
As reported on Form PF, Questions 55.
Figure 21: Ratio of Weekly Liquid Assets to Net Asset Value
for Section 3 Liquidity Funds (Percent)
-03
2
201
7
1
201
7-0
2
201
7-0
1
57.02
63.11
57.95
60.07
61.64
60.22
57.37
57.65
57.36
60.37
59.88
62.29
59.29
60.06
59.10
56.93
60.73
58.18
6-1
201
6-1
0
55.00
59.26
6-1
201
56.13
60.48
6-0
201
54.48
57.80
6-0
201
53.86
59.62
6-0
201
9
8
7
6
201
5
201
6-0
4
56.31
61.85
6-0
201
53.45
60.12
43
6-0
3
6-0
201
2
6-0
201
1
56.34
56.58
6-0
201
2
5-1
201
1
201
58.12
58.96
5-1
201
0
9
56.97
57.72
5-1
57.13
58.77
5-0
201
8
58.47
58.81
5-0
201
7
57.57
55.95
5-0
201
6
201
54.86
56.47
5-0
201
52.99
55.51
5-0
201
53.35
54.42
5-0
201
Statistic
Average WLA
Asset-Weighted WLA
5
4
As reported on Form PF, Questions 55.
October 23, 2017
C
Risk and Examinations Office
Rule 2a-7 Compliance
Table 57: Rule 2a-7 Compliance (Percent of Funds)
As reported on Form PF, Questions 9 and 54.
Compliance Type
Credit Quality
Diversification
Liquidity
Maturity
Fully
None
2015Q2
61.9
59.5
59.5
59.5
54.8
35.7
2015Q3
60.0
57.5
57.5
57.5
52.5
37.5
2015Q4
63.4
61.0
61.0
61.0
56.1
34.1
2016Q1
61.1
58.3
52.8
58.3
47.2
36.1
2016Q2
64.9
62.2
54.1
62.2
48.6
32.4
2016Q3
61.1
58.3
55.6
58.3
50.0
36.1
2016Q4
59.1
56.8
56.8
56.8
50.0
38.6
2017Q1
57.8
55.6
55.6
55.6
48.9
40.0
Table 58: Rule 2a-7 Compliance (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 54.
Compliance Type
Credit Quality
Diversification
Liquidity
Maturity
Fully
None
D
2015Q2
23.6
23.6
23.5
23.5
22.7
76.2
2015Q3
21.8
21.8
21.5
21.5
20.8
78.1
2015Q4
22.4
22.4
22.3
22.3
21.5
77.4
2016Q1
16.2
16.2
10.8
16.0
10.0
83.6
2016Q2
17.9
17.9
11.3
17.7
10.4
82.0
2016Q3
13.5
13.5
12.2
13.5
11.0
86.1
2016Q4
14.4
13.8
13.6
13.6
11.8
85.5
2017Q1
15.5
14.9
14.8
14.8
12.8
84.3
Methods of Calculating NAV
Table 59: NAV Calculation Method (Percent of Funds)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2015Q2
***
***
2015Q3
***
***
2015Q4
***
***
2016Q1
***
***
2016Q2
***
***
2016Q3
***
***
2016Q4
81.8
18.2
2017Q1
80.0
20.0
Table 60: NAV Calculation Method (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2015Q2
***
***
2015Q3
***
***
2015Q4
***
***
2016Q1
***
***
44
2016Q2
***
***
2016Q3
***
***
2016Q4
69.9
30.1
2017Q1
71.4
28.6
October 23, 2017
Aggregate Portfolio Holdings
Table 61: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2
As reported on Form PF, Question 56.
Product Type
U.S. Treasuries
Other
Deposits
Repo - Govt. Collateral
Commercial Paper
Asset-Backed Securities
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
2015Q2
61.7
49.6
40.8
38.9
41.1
14.0
10.2
5.7
0.4
2015Q3
***
53.6
37.3
44.2
37.3
12.3
9.2
6.4
***
2015Q4
80.5
51.3
42.7
33.1
34.1
13.9
7.4
8.7
0.5
2016Q1
79.7
39.2
32.6
30.9
22.8
12.8
***
5.5
***
Table 62: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2
3
73.3
73.4
42.4
38.8
15.5
37.2
24.0
4.2
3.0
65.0
65.6
62.9
34.6
19.0
26.7
21.8
3.7
1.0
63.4
68.8
60.6
36.7
18.4
19.1
20.0
3.3
1.0
75.0
64.2
53.7
45.5
30.3
24.2
23.6
4.9
0.8
7-0
59.1
71.2
29.3
32.4
10.3
41.0
21.4
3.9
1.1
7-0
201
2
1
201
55.1
65.9
29.9
33.5
7.6
43.8
21.7
4.9
1.0
7-0
201
-12
201
6
1
55.3
64.8
33.7
26.9
6.4
35.9
22.8
5.9
1.1
6-1
201
0
58.1
67.2
31.6
26.0
***
41.7
20.2
5.0
***
6-1
61.7
70.3
29.3
27.1
***
36.6
19.0
5.9
***
45
9
201
55.3
69.9
30.4
25.5
***
35.6
16.8
5.2
***
6-0
201
8
201
62.1
67.1
28.0
26.6
***
40.8
14.0
4.2
***
6-0
201
6-0
7
6-0
6
5
201
Product Type
Deposits
U.S. Treasuries
Other
Commercial Paper
Repo - Other Collateral
Repo - Govt. Collateral
Asset-Backed Securities
U.S. Govt. Debt
Municipal Debt
6-0
55.7
66.8
24.0
28.0
***
42.8
12.8
4.4
***
6-0
201
4
As reported on Form PF, Question 63.
201
E
Risk and Examinations Office
October 23, 2017
XI
A
Risk and Examinations Office
Section 4 Private Equity Fund Specific Information
CPC Industry Concentration
Table 63: Gross Assets in CPC Industries (Percent of Total)
As reported on Form PF, Questions 8 and 77.
Type
Oil & Gas Extraction
Software Publishers
Electric Power Generation, Transmission & Distribution
Telecommunications Data Processing Services
Pipeline Transportation
Other Insurance Related Activities
Data Processing, Hosting, & Related Services
Other Information Services
Other Financial Vehicles
Other Financial Investment Activities
Custom Computer Programming Services
Pharmaceutical & Medicine Mfg
Management, Scientific, & Technical Consulting Services
Investigation & Security Services
Educational Services
Insurance Agencies & Brokerages
Activities Related to Credit Intermediation
Computer Systems Design Services
46
2013Q4
7.9
2.9
3.8
2.6
2.5
0.9
2.9
2.0
0.4
2.0
0.9
1.0
1.0
0.5
1.1
0.9
1.2
0.5
2014Q4
7.8
3.8
3.9
2.5
2.6
1.0
2.3
2.1
0.4
1.8
1.0
1.3
1.2
0.5
1.1
1.0
1.2
0.8
2015Q4
5.8
4.9
3.7
2.7
2.4
1.0
1.8
1.9
0.6
1.8
1.5
1.5
1.1
0.7
1.3
1.0
1.4
0.6
2016Q4
6.7
6.1
4.1
2.3
2.2
2.0
2.0
1.8
1.8
1.7
1.5
1.4
1.3
1.2
1.2
1.2
1.0
1.0
October 23, 2017
B
Risk and Examinations Office
CPC Financial Leverage
Figure 22: Ratio of Portfolio Company Current to Total Liabilities (Percent)
As reported on Form PF, Questions 71 and 72.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2013Q4
0.7
1.8
5.8
20.0
49.4
17.2
2014Q4
0.6
1.4
5.4
18.1
51.0
16.4
2015Q4
0.7
1.7
6.0
20.0
49.9
16.7
2016Q4
0.8
1.9
6.9
20.7
54.3
17.5
Figure 23: CPC Payment-in-Kind Borrowings to Total Borrowings (Percent)
As reported on Form PF, Questions 73.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2013Q4
1.0
4.0
9.0
18.0
33.0
14.8
2014Q4
2.0
3.0
9.0
23.0
40.0
17.0
47
2015Q4
2.0
4.0
9.0
22.0
48.0
18.3
2016Q4
2.0
4.0
9.0
22.0
48.0
18.6
October 23, 2017
C
Risk and Examinations Office
CPC Investments by Region and Country
Table 64: Aggregate Gross Value of Private Equity
Investments by Region ($ Billions)
As reported on Form PF, Questions 70 and 78.
Region
North America
Europe EEA
Asia
South America
Supranational
Europe Other
Africa
Middle East
2013Q4
5,274
1,423
571
75
65
25
20
8
2014Q4
4,501
1,259
462
85
67
9
12
12
2015Q4
4,132
941
447
58
23
21
12
9
2016Q4
3,942
848
406
111
37
22
18
14
Table 65: Private Equity CPC Investments by Region
(Percent of Aggregate CPC Gross Asset Value)
As reported on Form PF, Questions 70 and 78.
Region
North America
Europe EEA
Asia
South America
Supranational
Europe Other
Africa
Middle East
2013Q4
70.7
19.1
7.6
1.0
0.9
0.3
0.3
0.1
2014Q4
70.2
19.6
7.2
1.3
1.0
0.1
0.2
0.2
48
2015Q4
73.2
16.7
7.9
1.0
0.4
0.4
0.2
0.2
2016Q4
73.0
15.7
7.5
2.0
0.7
0.4
0.3
0.3
October 23, 2017
Risk and Examinations Office
Table 66: Aggregate Gross Asset Value of Private Equity
CPC Investments by Country ($ Billions)
As reported on Form PF, Questions 70 and 78.
Country
United States
China and Hong Kong
India
Brazil
Japan
Russia
2013Q4
5,035
171
63
45
233
3
2014Q4
4,300
186
83
58
98
2
2015Q4
3,943
173
89
41
85
5
2016Q4
3,776
114
92
88
79
4
Table 67: Private Equity CPC Investments by Country
(Percent of Aggregate CPC Gross Asset Value)
As reported on Form PF, Questions 70 and 78.
Country
United States
China and Hong Kong
India
Brazil
Japan
Russia
2013Q4
67.5
2.3
0.8
0.6
3.1
0.0
49
2014Q4
67.1
2.9
1.3
0.9
1.5
0.0
2015Q4
69.9
3.1
1.6
0.7
1.5
0.1
2016Q4
69.9
2.1
1.7
1.6
1.5
0.1
October 23, 2017
XII
A
Risk and Examinations Office
Appendices
Form PF Filer Categories
The amount of information an adviser must report and the frequency with which it must report
on Form PF depends on the amount of the adviser’s private fund assets and the types of private
funds managed. Reporting advisers must identify the types of private funds they manage on Form
PF.
1
All Private Fund Advisers
SEC-registered investment advisers with at least $150 million in private fund assets under
management are required to file Form PF. Registered investment advisers with less than $150 million
in private funds assets under management, exempt reporting advisers, and state-registered advisers
report general private fund data on Form ADV, but do not file Form PF.7 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.8 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.9
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.
7
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.
8
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.
9
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.
50
October 23, 2017
3
Risk and Examinations Office
Large Liquidity Fund Advisers
Large Liquidity Fund Advisers have at least $1 billion in combined liquidity fund and money
market fund assets under management. On a quarterly basis, such advisers report on Form PF data
about the liquidity funds they managed during the reporting period (irrespective of the size of the
fund). This report contains information about all liquidity funds reported by Large Liquidity Fund
Advisers (referred to in this report as “Section 3 Liquidity Funds”).
4
Large Private Equity Fund Advisers
Large Private Equity Fund Advisers have at least a $2 billion in private equity fund assets
under management. These advisers are required to file Form PF annually in connection with the
private equity funds they managed during the reporting period. Smaller Private Equity Fund
Advisers must file annually as well, but provide less detail regarding the private equity funds they
manage. This report provides information about private equity funds managed by Large Private
Equity Fund Advisers (referred to in this report as “Section 4 Private Equity Funds”).
5
Other Private Fund Advisers
All advisers required to file Form PF that are not Large Hedge Fund Advisers or Large
Liquidity Fund Advisers must file Form PF annually to report data about each private fund
managed by the adviser.10 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.
10
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.
51
October 23, 2017
B
Risk and Examinations Office
Handling Annual and Quarterly Data
Only a subset of filers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are
required to file Form PF quarterly; all other filings are made annually. Annual filings are typically,
but not always, made at the end of the calendar year, as Form PF allows filings to be made at the
end of an adviser’s fiscal year. In order to present the most complete and recent data possible, while
accounting for differences in filing dates, we use the following procedure for determining which data
to consider in any given quarter:
First, filings are grouped by their report date within their reported year:
• (Q1): February 15 to May 14
• (Q2): May 15 to August 14
• (Q3): August 15 to November 14
• (Q4): November 15 to February 14
Then, responses for funds that have no information are ‘filled forward’ — essentially, copied
from last reported values — up to a maximum of three quarters. Any fund that has no data four
quarters after its most recent date is no longer counted or included in any calculations.11
C
Mitigating the Effects of Outliers
Form PF data occasionally contains spurious outliers. While REO staff actively engages in
outreach to identify and correct such values, not all aberrant values have been corrected as of this
writing. To reduce the effect of these outliers on the aggregate measures reported here, we have
chosen to winsorize or trim some data sets.
Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest
and smallest values in a distribution.12 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
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.
12
Such techniques are known as ‘robust statistics’, reviewed for example in Wilcox (2012), Introduction to Robust
Estimation & Hypothesis Testing, 3rd Edition.
52
October 23, 2017
D
Risk and Examinations Office
Definitions
Included by reference are all definitions included in the glossary of Form PF.
Aggregate Exposure
A dollar value for long and short positions as of the last day in each
month of the reporting period, by sub-asset class, including all exposure
whether held physically, synthetically or through derivatives. Includes
closed out and OTC forward positions that have not expired, as well as
positions in side-pockets.
Borrowing
In Form PF, borrowings include secured borrowings, unsecured 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.
53
October 23, 2017
Risk and Examinations Office
Large Liquidity Fund Adviser
An adviser that has at least $1 billion in combined liquidity fund and
money market fund assets under management.
Large Private Equity Fund Adviser
An adviser that has at least a $2 billion in private equity fund assets
under management.
Parallel Managed Account
An account advised by an adviser that pursues substantially the same 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.
54
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.