U.S. Securities and Exchange Commission

U.S. Securities and Exchange Commission

Annual Staff Report Relating to the Use of Form PF Data

This is a report of the Staff of the U.S. Securities and Exchange Commission.

The Commission has expressed no view regarding

the analysis, findings, or conclusions contained herein.

December 3, 2021

Executive Summary

Since July 2012, the Commission has collected data about hedge funds, private equity funds, and other

private funds reported by certain registered investment advisers to private funds on Form PF. This collection

is pursuant to amendments to the Investment Advisers Act of 1940 (“Advisers Act”), enacted in 2010, that

provide that the Commission require registered investment advisers to maintain records and file reports

regarding the private funds they advise, for use by the Commission and by the Financial Stability Oversight

Council (“FSOC”). The Commission is the primary regulator of advisers to private funds.

Private funds and their advisers play an important role in both private and public capital markets. These

funds, including hedge funds, private equity funds and liquidity funds (which operate, in certain respects,

similarly to money market funds), currently have approximately $11.7 trillion in net assets. Private funds

invest in large and small businesses and use strategies that range from long-term investments in equity to

rapid trading and investments in complex instruments. Their investors include individuals, institutions,

governmental and private pension funds, and non-profit organizations. The economic activity of private

funds is significant both to large portions of the capital markets and to many individual American investors.

Before Form PF was adopted, the Commission and other regulators had limited visibility into this economic

activity. With the significant increase in private fund advisers registered with the Commission in 2012,

Form PF represented an improvement in available data about private funds compared with the third party

data on which the Commission would otherwise rely. Form PF data allows the Commission to better

monitor and identify trends that may affect private funds, advisers and investors.

Part III of this ninth Annual Report Relating to the Use of Form PF Data highlights the uses of the Form

PF Data by the Commission and Commission staff. These include:

•

•

•

•

Informing Commission Policy. Commission staff uses data from Form PF to identify trends and

develop analyses that deepen staff understanding of private funds, private fund advisers and the

markets in which they participate, subject to a framework designed to maintain the security and

confidentiality of the data. The data set resulting from Form PF has provided a better perspective

of the trading strategies and other activities of private funds, and of how private funds and their

advisers may be affected by market and geopolitical events. This enhances the Commission’s

ability to evaluate and frame regulatory policy, inform policy discussions of private fund activity

and test with evidence assertions about private fund activity.

Informing the Public. Staff’s quarterly public report, Private Funds Statistics, provides analyses of

aggregated Form PF data, including information about industry trends. Staff also uses Form PF

data to conduct and publish research intended to deepen public understanding of private funds and

their market activities and risks.

Prioritizing and Informing Examination and Enforcement Efforts. Staff reviews and analyzes Form

PF data to identify potential compliance risk areas and assist in prioritizing the use of exam and

enforcement resources. Reports summarizing key information, which can be rapidly and

automatically generated, expedite staff’s preparation and conduct of focused exams by helping to

identify areas of inquiry.

Facilitating Coordination with Other Regulators. The Commission adopted Form PF in part to

obtain data that FSOC can use for the assessment of systemic risk in the U.S. financial markets.

Accordingly, the Commission makes Form PF data available to FSOC through the Office of

Financial Research (“OFR”) and to the Federal Reserve Board, subject to agreements regarding

appropriate use of and confidentiality protections for Form PF data. Staff also uses Form PF data

when coordinating with other federal regulators and international organizations in areas of mutual

interest, subject to protections designed to maintain data security.

1

I.

Introduction

Today’s U.S. private fund industry, including hedge funds, private equity and other private funds, with

approximately $11.7 trillion in reported net assets as of the first quarter of 2021 1 plays an active and

important role in the U.S. private and public capital markets. Important financial innovations, capital market

trends, and new investment strategies and structures have emerged first among private funds and private

fund advisers. As the primary U.S. regulator of advisers to private funds, 2 the Commission depends on

robust and reliable information to inform its understanding of private funds and private fund advisers,

including how private funds and advisers participate in financial markets, so that it can carry out its mission

of protecting investors, maintaining fair, orderly and efficient markets and facilitating capital formation.

Further, because of private funds’ important role in capital markets, the Commission can better identify

potential trends in the markets that it regulates by understanding new developments and trends in private

funds.

Form PF and Advisers Act rule 204(b)–1, adopted by the Commission in 2011, require certain registered

investment advisers to private funds (including hedge funds, private equity funds, private liquidity funds,

and other private funds) to file Form PF to report information about the private funds they manage. 3 Section

204(b) of the Advisers Act requires an annual report to Congress regarding how the Commission has used

the Form PF data to monitor markets for the protection of investors and the integrity of the markets.4 This

report is being submitted to Congress to satisfy that requirement. 5

This is a report of the staff of the Commission, and the Commission has expressed no view regarding any

analysis, findings, or conclusions contained herein.

1

Private Funds Statistics, First Calendar Quarter 2021, Table 4, at the Appendix. Reported net assets of

private funds have more than doubled since this data collection began, growing from about $5 trillion as of

the end of the first quarter of 2013. See Private Funds Statistics, Fourth Quarter 2014, Table 4.

2

Section 202(a)(29) defines a “private fund” as “an issuer that would be an investment company, as defined

by section 3 of the Investment Company Act, but for section 3(c)(1) or 3(c)(7) of that Act.” Some investment

advisers registered with the Commission are also registered with and regulated by the U.S. Commodity

Futures Trading Commission as commodity pool operators (“CPOs”) or commodity trading advisers

(“CTAs”). See Reporting by Investment Advisers to Private Funds and Certain Commodity Pool Operators

and Commodity Trading Advisors on Form PF, Investment Advisers Act Release No. 3308 (Oct. 31, 2011)

at n. 10 and text accompanying n. 49 [76 Fed. Reg. 71128, 71132 (Nov. 16, 2011)],

https://www.gpo.gov/fdsys/pkg/FR-2011-11-16/pdf/2011-28549.pdf (the “Adopting Release”).

3

See Adopting Release, supra footnote 2; see also Money Market Fund Reform; Amendments to Form PF,

Investment Advisers Act Release No. 3879 (July 23, 2014) [79 Fed. Reg. 47736 (Aug. 14, 2014)],

https://www.gpo.gov/fdsys/pkg/FR-2014-08-14/pdf/2014-17747.pdf (amending certain reporting required by

private

liquidity

funds)

(the

“Money

Market

Fund

Reform

Release”).

https://www.reginfo.gov/public/do/PRAOMBHistory?ombControlNumber=3235-0679.

4

Advisers Act Section 204(b)(11), 15 U.S.C. § 80b-4(b)(11).

5

See Division of Investment Management, U.S. Securities and Exchange Commission, Annual Staff Report

Relating to the Use of Form PF Data, https://www.sec.gov/reports.

2

II.

Overview of Form PF and Form PF Data Management at the Commission

Overview of Form PF

Form PF provides the Commission information that it uses in carrying out its mission. 6 Before Form PF

was adopted, the Commission and other regulators had more limited visibility into the economic activity of

private funds. With the significant increase in private fund advisers registered with the Commission in 2012,

Form PF represented an improvement in available data about private funds compared with the third party

data on which the Commission would otherwise rely. 7 The data set that is generated from information

reported by private fund advisers on Form PF is more reliable and complete when contrasted with private

vendor databases that cover only voluntarily-provided private fund data and are not representative of the

total population. The Commission adopted Form PF in part to obtain data that FSOC can use for the

assessment of systemic risk in the U.S. financial markets. 8 As required by statute, the Commission designed

Form PF in consultation with FSOC. 9

Generally, investment advisers registered (or required to be registered) with the Commission with at least

$150 million in private fund assets under management must file Form PF. Most private fund advisers file

annually to report general information such as the types of private funds advised (e.g., hedge funds, private

equity funds, or liquidity funds), fund size, use of borrowings and derivatives, strategy, and types of

investors. Certain larger advisers provide more information on a more frequent basis, including more

detailed information on particular hedge funds and liquidity funds.

How the Commission Secures and Manages Form PF Data

Advisers file Form PF using the Private Fund Reporting Depository (“PFRD”), an electronic filing system

maintained by the Financial Industry Regulatory Authority (“FINRA”). 10 Commission staff receives Form

PF data via a direct feed from FINRA and maintains the data on access-controlled internal data systems.

Consistent with provisions under the Advisers Act that provide heightened confidentiality protections for

any proprietary information of private fund advisers submitted on Form PF, 11 Commission staff has

implemented systems and controls designed to limit access to Form PF data and protect its confidentiality

within and outside the agency. This includes limits on access to FINRA’s PFRD system and to internal

data systems that contain PF Data to staff experts across the Commission who have been authorized to

6

Section 204(b) of the Advisers Act requires the Commission to implement recordkeeping and reporting

requirements for private fund advisers as necessary and appropriate in the public interest and for the

protection of investors, or for the assessment of systemic risk by FSOC. Section 204(b) was enacted as part

of the Dodd- Frank Wall Street Reform and Consumer Protection Act, Public Law No. 111-203, § 404, 124

Stat. 1376 (the “Dodd-Frank Act”).

7

Adopting Release, supra footnote 2, at 71129 n. 11 (describing transition period for registration by private

fund advisers that previously relied on the repealed exemption under section 203(b)(3) of the Advisers Act)

and 71130 n.19 (citing FSOC 2011 Annual Report, http://www.treasury.gov/initiatives/fsoc/Pages/annualreport.aspx).

8

See note 6, supra.

9

See Advisers Act section 204(b)(3) (requires the Commission to consult with FSOC).

10

The Commission developed PFRD to implement reporting requirements on Form PF. PFRD is operated

under a contract between the Commission and FINRA as an extension of the Investment Adviser Reporting

Depository system used by advisers to register with the Commission on Form ADV. See Adopting Release,

supra footnote 2, at Section II.E

11

Advisers Act Section 204(b)(10), 15 U.S.C. § 80b-4(b)(10).

3

access the data, and processes under which any Form PF data released to the public is reviewed before

release so that the data is aggregated and/or masked to avoid public disclosure of proprietary information

of private fund advisers. Senior staff members from various Divisions and Offices within the Commission

are members of the Form PF Steering Committee tasked with overseeing these systems and controls for

access, use, and security of Form PF data. The Committee, on an ongoing basis, monitors and updates

these systems and controls and meets regularly to address any new matters arising from time to time relating

to the access, use and security of the Form PF data.

Efforts to Improve the Quality of Form PF Data

Commission staff works with filers to improve the quality of data filed on Form PF. For example:

•

Staff responds to specific, factual inquiries about how to complete and file Form PF on an ongoing

basis. Staff maintains a separate email address that advisers and others can use to obtain answers

to questions about how to complete and file Form PF. Staff also issued and periodically updates a

series of “Frequently Asked Questions” that address specific, factual questions received from

advisers and other members of the public related to Form PF. 12

•

Staff regularly contacts individual filers when staff members identify anomalous and possibly

erroneous data as well as possibly delinquent or missing filings. Staff works with these individual

filers to determine steps for improving timeliness and accuracy of filings.

•

When delinquencies persist, the staff has taken further steps to ensure that information is

appropriately filed. 13

Analytical Tools Using Form PF Data

Commission staff has developed various analytical tools to use Form PF data in support of its monitoring

of private funds and private fund advisers, consistent with the systems and controls discussed above in

Section II.B. These tools enhance staff’s ability to assess large volumes of data, streamline analysis of the

data by automating certain analytical processes, and evaluate Form PF data alongside other relevant

datasets. As examples, these analytical tools have enhanced the staff’s ability to:

•

•

identify “outliers” among private funds and private fund advisers using factors such as

performance, investment exposures, and liquidity;

identify private funds based on one or more areas of policy interest, such as type of strategy, types

of investments, use of derivatives, and extent of leverage;

12

The

Form

PF

Frequently

Asked

Questions

(“PF

FAQs”),

https://www.sec.gov/divisions/investment/pfrd/pfrdfaq.shtml, represent the views of the staff of the Division

of Investment Management. The PF FAQs are not a rule, regulation or statement of the Commission, and

the Commission has neither approved nor disapproved the information therein. The public Form PF inquiry

email address as well as a phone number to reach staff with questions relating to Form PF is published at

https://www.sec.gov/divisions/investment/iard/iardhelp.shtml.

See also Division of Investment

Management: Electronic Filing of Form PF for Investment Advisers on PFRD (PFRD Home Page) at

https://www.sec.gov/divisions/investment/pfrd.shtml.

13

The Commission announced settlement orders with 13 registered investment advisers who repeatedly failed

to file Form PF providing information about the private funds that they advise. See SEC Charges 13 Private

Fund Advisers for Repeated Filing Failures, Press Release June 1, 2018, at https://www.sec.gov/news/pressrelease/2018-100.

4

•

•

•

III.

monitor changes and other trends in industry exposures, asset composition, and trading activity;

empirically test claims made in the financial press or other public sources regarding private funds

and the private fund industry; and

facilitate assessment of the operations and investment activities of private funds and private fund

advisers.

How the Commission Uses Form PF Data

The Commission staff in the various Divisions and Offices use Form PF data in mission-focused activities,

including to inform policy by identifying and monitoring private fund trends, inform the public, conduct

focused exams, and pursue potential wrongdoing. Additionally, consistent with the Advisers Act, the

Commission makes the Form PF database available to FSOC through OFR. 14 Staff also makes the Form

PF database available to the Federal Reserve Board and uses Form PF data when coordinating with other

federal regulators and international organizations in areas of mutual interest involving private fund advisers,

subject to appropriate protections for data security. The following provides more detail on how the

Commission staff uses Form PF data.

Informing Commission Policy

The Commission staff analyzes Form PF data to identify trends and possible emerging risks among private

funds and private fund advisers and to develop analyses that deepen the Commission’s understanding of

private funds, private fund advisers, and the markets in which they participate. As compared to third-party

sources, Form PF provides the Commission with a broader perspective and more complete view of the

financial markets in general and the private fund industry in particular. Using data collected on Form PF

promotes the ability of the Commission staff to analyze information related to private fund activity, evaluate

existing regulatory policies and programs directed to private fund advisers, evaluate the impact of policy

choices on private funds’ activities, and consider whether activities of private funds may involve any

potential wrongdoing that indicates a need for regulatory action. The Commission and its staff use this

insight in support of the Commission’s mission to protect investors, maintain fair, orderly and efficient

markets, and facilitate capital formation.

Some examples of how the Commission and staff use PF Data to inform policy are as follows:

Assess Private Funds Activities and Trends. Staff uses Form PF data to identify and monitor the

activities of private funds, trends in the private funds industry and the possible effects on the broader

financial markets. Through this analysis, staff may consider persistent questions and test perceptions – and

in some cases, misconceptions – about the activities of private funds and the effects of these activities in

the markets the Commission regulates. For example, staff uses Form PF data to assess funds’ use of

borrowing and leverage based on multiple metrics, including gross notional exposure to net asset value

(economic leverage), long and short notional exposures, gross and net exposure by investment strategy,

aggregate borrowings and posted collateral. Staff also uses Form PF data to consider liquidity trends,

including funds’ portfolio, investor and financing liquidity, funds’ usage of derivatives and high frequency

trading (among other strategies), and how private fund advisers use risk management tools such as stress

tests and value at risk (VaR) reporting in the management of private funds. 15

14

OFR was established under the Dodd-Frank Act to support FSOC in fulfilling FSOC’s purpose and duties.

See Section 152 of the Dodd-Frank Act, supra footnote 7.

15

Staff makes some of this analysis publicly available in Private Funds Statistics, its quarterly report. See

Appendix and Section III.B, infra.

5

Assess Effects of Market and Geopolitical Events. Staff analyzes Form PF data to determine how

private funds and private fund advisers might be affected by market and geopolitical events. Staff has

assessed the exposure of private funds to various types of assets and financial markets.. This type of

assessment, aggregated with other industry information that may be available to staff, facilitates

development of a broader understanding of the potential effects of certain market or global events for private

funds and the financial markets regulated by the Commission in which private funds participate.

Identify New Developments in Broader Financial Markets. Form PF data has the potential to

capture new developments and trends among private funds and private fund advisers. This provides the

Commission and staff with a window into potential new developments and trends in the broader public

markets regulated by the Commission. For example, it is well-known that certain “alternative” investment

strategies first offered in hedge funds have more recently been developed and modified to be offered by

mutual funds. 16 Staff has also used Form PF data to monitor trends in hedge fund exposures to leveraged

loans and collateralized loan obligations.

Assess Effects of Rulemaking. The Commission and staff also are using information from Form PF

to assess the potential impact of rulemaking proposals and analyze impacts of its rulemaking on markets

and market participants. For example, data from Form PF is informing the staff in its consideration to

recommend that the Commission propose amendments to Form PF. 17

Informing the Public about the Private Fund Industry

The Commission seeks to provide the public with more transparency into and an understanding of the

private funds industry by publishing aggregated information and analysis from Form PF, subject to its

systems and controls designed to preserve the confidentiality of proprietary information of individual

advisers. Following are two examples.

Private Funds Statistics. Since October 2015, Commission staff has published a quarterly report,

Private Funds Statistics, which contains aggregated private fund industry statistics derived from Form PF

data. 18 As supplemented with new data and analysis in May 2017, and more recently in December 2020,

the report includes more than 100 separate tables and figures that offer analyses of hedge fund industry

practices. 19 To avoid public disclosure of proprietary information of private fund advisers, the Form PF

data provided in these reports is aggregated, rounded and/or masked under processes that are reviewed

16

See,

e.g.,

FINRA,

Alternative

Funds

Are

Not

Your

Typical

Mutual

Funds,

(describing

http://www.finra.org/investors/alerts/alternative-funds-are-not-your-typical-mutual-funds

“alternative mutual funds” as funds that seek to accomplish the fund’s objectives through non-traditional

investments and trading strategies that “may bring to mind” the strategies and investments of hedge funds).

17

The Division of Investment Management is considering recommending that the Commission propose

amendments to Form PF, which is included in the Regulatory Flexibility Agenda available at Office of

Management

and

Budget

Agency

Rule

List

–

Spring

2021,

(last visited

https://www.reginfo.gov/public/do/eAgendaViewRule?pubId=202104&RIN=3235-AM75

Nov. 10, 2021).

18

See SEC Staff Publishes Private Funds Statistics Report, Press Release (Oct. 16, 2015),

https://www.sec.gov/news/pressrelease/2015-240.html.

19

See SEC Staff Supplements Quarterly Private Funds Statistics, Press Release (Dec. 10, 2020),

https://www.sec.gov/news/press-release/2020-313; SEC Staff Supplements Quarterly Private Funds

Statistics, Press Release (May 3, 2017), https://www.sec.gov/news/press-release/2017-92.

6

periodically for effectiveness. Information included in the reports is typically at least six months old when

published. The Appendix contains the most recent report. 20

Private Funds Statistics is designed to enhance public understanding of the private fund industry

and facilitate Commission and staff participation in meetings and discussions with industry professionals,

investors, and other regulators. Statistics that are published quarterly in Private Funds Statistics, include,

for example, statistics describing numbers and assets of private funds; the extent of private funds’

borrowing and derivatives holdings; comparisons of investor, portfolio and financing liquidity; use of

financial and economic leverage by certain hedge funds; and categories of investment exposures. The report

also includes information about the characteristics of private liquidity funds that may facilitate comparisons

with data published by staff relating to registered money market funds. 21 Staff understands that the financial

industry press monitors the release of these quarterly reports and industry participants may use the report

to assist investors with investment decisions. 22

Staff Research Publications. Commission staff has used Form PF data to contribute to the

Commission’s and investors’ understanding of the economic forces and dynamics underlying the private

funds market by conducting and publishing research on various topics, such as characteristics of leverage

used by hedge funds and consideration of self-reporting bias in commercial hedge fund databases. Research

is aggregated and/or masked under processes that are reviewed periodically for effectiveness to avoid public

disclosure of proprietary information of private fund advisers before any publication. Published staff

research and white papers have used Form PF data to describe liquidity and other characteristics of certain

20

Historical reports can be found at: https://www.sec.gov/divisions/investment/private-funds-statistics.shtml.

21

See

Division

of

Investment

Management,

Money

https://www.sec.gov/divisions/investment/mmf-statistics.shtml.

22

See, e.g. Finadium, “SEC publishes expanded analysis of hedge funds from forms PF and ADV” (Dec. 10,

2020); Graham Bippart, Private Funds CFO Blog, A CFO’s 2020 Outlook (Feb. 12, 2020),

https://www.privatefundscfo.com/a-cfos-2020-outlook-part-one-us-steadily-losing-fund-domicile-marketshare/, Andy Jones, PEI Blog, Private Equity Firms – Form PF Data (Nov. 10, 2018),

http://blog.privateequityinfo.com/index.php/2018/11/10/private-equity-firms-form-pf-data/, ICS Group,

Summary of the 2017 Q2 Private Fund Statistics (Feb. 23, 2018), https://www.i-csolutions.net/updates/2018/02/23/2017-private-fund-statistics/, Marc Gorfinkle, SS&C Technologies, SEC

releases expanded private fund statistics (Dec. 11, 2017), https://www.ssctech.com/blog/sec-releasesexpanded-private-fund-statistics; Crane Data, Prime Streak Ends; Still UP 20% YTD; SEC: Private Funds

Drop in Q’17 (Oct. 27, 2017), https://cranedata.com/archives/all-articles/6890/; Lance Pan, Capital Advisors

Group, Demystifying Private Liquidity Funds: Reaffirming Advantages of Separately Management Accounts

(Mar. 14, 2017), https://www.capitaladvisors.com/research/demystifying-private-liquidity-funds/; Judy

Gross, SEC Releases Data on Private Funds: Big Picture of US Private Fund Industry Emerges, Forbes (Oct.

26, 2015), https://www.forbes.com/sites/judygross/2015/10/26/sec-releases-data-on-private-funds-bigpicture-of-us-private-fund-industry-emerges/#6b77bbb393e5.

7

Market

Fund

Statistics,

hedge funds. 23 Another staff white paper used Form PF data to characterize private liquidity funds and

compare them to registered money market funds. 24

Assisting the Examinations and Enforcement Programs 25

Form PF data allows Commission staff to more efficiently prioritize its examinations and enforcement

activities. Commission staff’s analyses of Form PF data include risk-based analysis and monitoring

initiatives that facilitate the identification of potential compliance risks and assist in prioritizing the use of

exam and enforcement resources. For example, Commission staff may use Form PF data to identify private

fund advisers whose activities involve areas of specific examination focus or that may present heightened

compliance risks.

Before beginning an examination of an investment adviser, staff reviews applicable regulatory filings, such

as Form ADV. For advisers that manage private funds, Form PF filings may also be reviewed as part of a

routine pre-examination evaluation for risk identification and scoping. This review, in conjunction with

other data sources, provides staff with an understanding of an adviser’s current business, operations, and

investment strategy as well as an analysis of how this strategy has evolved or changed over different

reporting periods.

Commission staff has developed automated analyses and risk metrics that summarize and combine Form

PF data with Form ADV data about an adviser’s private funds and advisory business. These reports

expedite staff preparation for examinations of a private fund adviser and its private funds and are designed

to make exams more efficient by helping to focus areas of inquiry. These reports also assist staff in

identifying potential reporting errors, compliance issues, or other issues of interest for the examination team

to consider in their examination scope. Developed based on examiner insight and experiences, these reports

distribute knowledge gained from exams and analysis to relevant staff on a need-to-know basis, which in

turn informs monitoring programs. Generated from analytical tools that use custom code developed by

staff to automate report production, these reports deliver intuitive and timely output to examiners, using the

most recently filed Form PF and Form ADV data.

Commission staff also obtains and reviews Form PF information to focus its enforcement investigations,

including investigations of private fund advisers. For example, Commission staff used Form PF data

23

See George O. Aragon, A. Tolga Ergun, Mila Getmansky, and Giulio Girardi, Division of Economic Risk

and Analysis, Hedge Fund Liquidity Management (May 17, 2017), https://www.sec.gov/dera/staffpapers/working-papers/aragon-ergun-getmansky-girardi_HF-Liquidity-Management; George O. Aragon, A.

Tolga Ergun, Mila Getmansky, and Giulio Girardi, Division of Economic Risk and Analysis, Hedge Funds:

Portfolio, Investor and Financing Liquidity (May 17, 2017), https://www.sec.gov/dera/staff-papers/whitepapers/aragon-ergun-getmansky-girardi_HF-Liquidity; Aragon, George O. and Ergun, A. Tolga and Girardi,

Giulio, Hedge Fund Liquidity Management: Insights for Fund Performance and Systemic Risk Oversight

(April 22, 2021), https://ssrn.com/abstract=3734596. These papers report analyses using data reported on

Form PF in quarterly filings from 2013 to 2017.

24

See Daniel Hiltgen, Division of Economic Risk and Analysis, Private Liquidity Funds: Characteristics and

https://www.sec.gov/dera/staff-papers/whiteRisk

Indicators

(Jan.

27,

2017),

papers/27jan17_hiltgen_private-liquidity-funds.html. The observations of the white paper indicate that,

while most private liquidity funds and their parallel accounts did not formally commit to comply with the

rule 2a-7 risk limits that apply to registered money market funds, the vast majority held portfolios that were

consistent with those limits during the period studied.

25

Because examination and enforcement matters are generally non-public, this report only summarizes

generally how Form PF data has been integrated into exam and enforcement matters. See Advisers Act

Section 210(b).

8

together with other information to identify hedge fund advisers whose reported data ― such as returns,

exposures, liquidity ― appear inconsistent with the funds’ investment strategies or other benchmarks.

These reviews have, in certain cases, led to examinations and enforcement investigations.

Coordination and Consultation with Other Financial Regulators

As required by statute, and as described above, the Commission adopted Form PF in part to obtain

information about the operations and investment activities of private funds for FSOC to use in the

assessment of systemic risk in the U.S. financial markets. The Commission has made the Form PF data

available to FSOC through OFR since 2013, subject to agreements regarding appropriate use of and

confidentiality protections for Form PF data. Beginning in July 2018, the Commission also makes Form PF

data available to the Federal Reserve Board under agreements regarding appropriate use of and

confidentiality protections for the Form PF data, which are similar to those provided under applicable

agreements with OFR.

The Commission staff also uses Form PF data in its collaborations with other federal regulators on areas of

mutual interest, such as on matters affecting the integrity of the financial markets and in communications

with international organizations on areas of mutual interest regarding private funds and their investment

advisers. For example, the staff regularly discusses information and analysis of Form PF data with OFR.

The staff has also used reports of data from Form PF in connection with its participation in FSOC’s review

of asset management products and activities.26 Commission staff from time to time also may provide certain

Form PF data to other federal regulators in connection with compliance and enforcement matters. In every

instance where staff shares information with an external regulatory entity, staff seeks to limit the type and

amount of data that may be shared consistent with the purpose for sharing, and the information is either

subject to assurances of confidentiality or aggregated to prevent disclosure of any proprietary information

of private fund advisers.

IV.

Conclusion

During the past year, the Commission staff has continued to use Form PF data to enhance the Commission’s

efforts to protect investors and the integrity of our markets, including through our work with other federal

regulators and international organizations.

26

See, e.g., Financial Stability Oversight Council 2020 Annual Report (updated Dec. 3,

2020),home.treasury.gov/system/files/261/FSOC2020AnnualReport.pdf. Section 4.13.5 of this report

includes data from the SEC’s Private Funds Statistics in describing recent developments relating to

alternative funds.

9

Appendix

(Private Funds Statistics, First Calendar Quarter 2021)

A-1

Division of Investment Management

Analytics Office

Private Funds Statistics

First Calendar Quarter 2021

November 1, 2021

This is a report of the Staff of the Division of Investment Management’s Analytics Office of the U.S.

Securities and Exchange Commission. The Commission has expressed no view regarding the analysis,

findings, or conclusions contained herein.

November 1, 2021

Analytics Office

Introduction

This report provides a summary of recent private fund industry statistics and trends, reflecting

data collected through Form PF and Form ADV filings.1 Form PF information provided in this

report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary

information of individual Form PF filers.

This report reflects data from Second Calendar Quarter 2019 through First Calendar Quarter

2021 as reported by Form PF filers.2 Please see the Appendix for information on the categories of

Form PF filers, the definitions of capitalized terms, a description of the boxplots used in several

figures, as well as other technical descriptions.

The Staff continues to work with data reported on Form PF and with filers to identify

and correct filing errors. Staff updates reported statistics based on amended filings and

also may make certain adjustments to the statistics presented to correct what appear to

be clear filing errors. Further, the Staff has employed certain assumptions in aggregating

the data. Future adjustments to these methodologies and amended filings that change

the underlying data could lead to changes in previously reported statistics.

If you have any questions or comments about First Calendar Quarter 2021 Private

Funds Statistics, please contact:

Tim Dulaney, PhD, FRM, Tim Husson, PhD, FRM, or Trevor Tatum at FormPF@sec.gov with subject

line “First Calendar Quarter 2021-Private Funds Statistics”.

1

Only SEC-registered advisers with at least $150 million in private fund assets under management must report to the

Commission on Form PF. SEC-registered investment advisers with less than $150 million in private fund assets under

management, SEC exempt reporting advisers, and state-registered investment advisers are not required to file Form PF,

but report general information about the private funds they manage on Form ADV.

2

The Commission began receiving Form PF filings from Large Hedge Fund Advisers in July 2012. A full data set was

not received until March 2013. This report relies upon the Form PF database constructed and maintained by the Office

of Research and Data Services in the Division of Economic and Risk Analysis.

1

Contents

I

II

III

IV

V

VI

Number of Funds and Advisers

4

Gross and Net Assets

A

Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . .

B

Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

C

Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

D

Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Fund Domiciles and Adviser Main Offices

Beneficial Ownership

A

All Private Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

B

Qualifying Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

C

Section 3 Liquidity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

D

Section 4 Private Equity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

E

Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Derivatives

5

5

8

10

11

13

15

15

16

17

18

19

20

Additional Hedge Fund Industry Information

A

High Frequency Trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

B

Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

C

Single-Strategy US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . .

D

Single-Strategy Non-US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . .

21

21

22

24

26

VII Information Reported by Large Hedge Fund Advisers

A

Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

B

Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

C

Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

D

Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

28

28

30

31

32

VIII Qualifying Hedge Fund Specific Information

A

Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

B

Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

C

Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

D

Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

E

Number of Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

F

Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

G

Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

H

Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

I

Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

34

34

36

38

39

41

42

44

47

48

2

November 1, 2021

J

K

Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Stress Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

49

50

A

B

C

D

E

Section 3 Liquidity Fund Specific Information

Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

52

52

52

55

55

56

A

B

C

Section 4 Private Equity Fund Specific Information

CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . .

57

57

58

59

Appendices

Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1

All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2

Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3

Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . .

4

Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . .

5

Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . .

B

Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . .

C

How to Read a Boxplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

D

Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

E

Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

61

61

61

61

62

62

62

63

63

64

65

IX

X

XI

Analytics Office

A

3

November 1, 2021

I

Analytics Office

Number of Funds and Advisers3

Table 1: Number of Funds

The “Total” row shows the total reported, and will not equal the sum of the preceding rows,

because the rows are not mutually exclusive.

Fund Type

Private Equity Fund

Hedge Fund

Other Private Fund

Section 4 Private Equity Fund

Real Estate Fund

Qualifying Hedge Fund

Securitized Asset Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

Total

2019Q2

13,035

9,484

4,714

3,932

2,851

1,772

1,577

971

71

43

32,703

2019Q3

13,043

9,494

4,701

3,932

2,839

1,790

1,579

969

71

41

32,696

2019Q4

14,347

9,296

4,965

4,394

3,118

1,808

1,719

1,156

64

42

34,665

2020Q1

14,481

9,369

4,967

4,405

3,119

1,812

1,721

1,158

63

40

34,878

2020Q2

14,493

9,401

4,972

4,405

3,115

1,800

1,721

1,155

66

44

34,923

2020Q3

14,490

9,462

4,960

4,408

3,116

1,766

1,726

1,150

68

46

34,972

2020Q4

15,623

9,355

5,358

5,266

3,288

1,779

1,837

1,413

71

52

36,945

2021Q1

15,712

9,457

5,374

5,291

3,291

1,845

1,842

1,413

72

53

37,161

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

2019Q2

1,267

1,740

627

307

350

535

154

134

38

21

3,159

2019Q3

1,269

1,733

624

307

349

546

154

133

38

20

3,152

2019Q4

1,357

1,733

646

323

375

552

161

153

35

21

3,236

2020Q1

1,361

1,730

642

325

375

541

160

154

35

20

3,237

2020Q2

1,363

1,726

643

325

372

538

160

153

36

21

3,237

2020Q3

1,366

1,727

641

326

373

528

161

152

37

22

3,234

2020Q4

1,443

1,756

684

365

387

543

161

176

36

23

3,366

2021Q1

1,449

1,756

686

366

387

565

161

175

36

23

3,371

3

In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered

investment advisers that file a Form PF to report private funds. Please see Appendix E for definitions of other capitalized

terms used in this report.

4

November 1, 2021

Analytics Office

II

Gross and Net Assets

A

Aggregate Assets by Fund Type over Time

Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions)

As reported on Form PF, Question 8.

The “Total” row shows the total reported, and will not equal the sum of the preceding rows,

because the rows are not mutually exclusive.

Fund Type

Hedge Fund

Qualifying Hedge Fund

Private Equity Fund

Section 4 Private Equity Fund

Other Private Fund

Real Estate Fund

Securitized Asset Fund

Liquidity Fund

Section 3 Liquidity Fund

Venture Capital Fund

Total

2019Q2

8,196

6,690

3,260

2,364

1,234

575

575

289

285

112

14,240

2019Q3

8,034

6,588

3,259

2,364

1,248

575

576

295

288

112

14,099

2019Q4

8,113

6,647

3,736

2,743

1,396

662

649

289

284

144

14,989

2020Q1

7,680

6,260

3,811

2,795

1,367

666

647

295

288

144

14,609

2020Q2

7,707

6,334

3,809

2,795

1,382

666

647

301

297

145

14,656

2020Q3

8,124

6,744

3,811

2,796

1,391

666

649

322

319

150

15,112

2020Q4

8,689

7,014

4,713

3,587

1,475

811

701

318

315

225

16,932

2021Q1

8,795

7,111

4,821

3,666

1,494

810

703

306

304

222

17,152

Table 4: Aggregate Private Fund Net Asset Value (NAV) ($ Billions)

As reported on Form PF, Question 9.

The “Total” row shows the total reported, and will not equal the sum of the preceding rows,

because the rows are not mutually exclusive.

Fund Type

Hedge Fund

Qualifying Hedge Fund

Private Equity Fund

Section 4 Private Equity Fund

Other Private Fund

Real Estate Fund

Securitized Asset Fund

Liquidity Fund

Section 3 Liquidity Fund

Venture Capital Fund

Total

2019Q2

4,073

3,161

2,896

2,116

1,092

448

172

286

283

98

9,066

2019Q3

4,046

3,169

2,895

2,116

1,107

448

172

293

286

99

9,060

2019Q4

4,116

3,219

3,305

2,442

1,232

504

205

287

281

137

9,785

5

2020Q1

3,763

2,900

3,374

2,493

1,203

507

202

291

284

138

9,478

2020Q2

4,072

3,195

3,373

2,493

1,215

507

202

295

292

138

9,803

2020Q3

4,279

3,380

3,374

2,493

1,229

507

204

315

312

144

10,051

2020Q4

4,641

3,552

4,160

3,203

1,299

615

213

313

311

217

11,457

2021Q1

4,793

3,719

4,263

3,275

1,317

613

210

296

293

215

11,707

November 1, 2021

Analytics Office

Figure 1: GAV and NAV Distributions

See Appendix C for an explanation of boxplots.

8

6

6

NAV ($Billions)

4

2

(a) Qualifying Hedge Fund GAV

(b) Qualifying Hedge Fund NAV

NAV ($Millions)

500

1250

1000

750

500

250

0

Q

20 2

19

Q

20 3

19

Q

20 4

20

Q

20 1

20

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q1

(d) Section 4 Private Equity Fund NAV

19

20

(c) Section 4 Private Equity Fund GAV

19

Q

20 2

19

Q

20 3

19

Q

20 4

20

Q

20 1

20

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q1

0

20

GAV ($Millions)

1500

1000

9Q

20 3

19

Q

20 4

20

Q

20 1

20

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q1

9Q

2

20

1

9Q

20 3

19

Q

20 4

20

Q

20 1

20

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q1

20

1

20

1

2

0

9Q

2

0

4

20

1

GAV ($Billions)

As reported on Form PF, Questions 8 and 9.

8

6

November 1, 2021

Analytics Office

Figure 2: Ratio of GAV to NAV

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

2.0

1.5

1.0

0.5

20 2

19

Q

20 3

19

Q

20 4

20

Q

20 1

20

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q1

0.0

2.5

2.0

1.5

1.0

0.5

0.0

20

20

3.0

19

Q

20 2

19

Q

20 3

19

Q

20 4

20

Q

20 1

20

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q1

Ratio of GAV to NAV

Winsorized (limits=[0%,98%])

2.5

19

Q

Ratio of GAV to NAV

Winsorized (limits=[0%,98%])

As reported on Form PF, Questions 8, 9, and 10.

3.0

(a) All Private Funds

(b) Qualifying Hedge Funds

7

November 1, 2021

Borrowings

Table 5: Aggregate Borrowings (Percent of Aggregate GAV)

As reported on Form PF, Questions 8, 12, and 43 (Third Month).

Fund Type

Securitized Asset Fund

Qualifying Hedge Fund

Hedge Fund

Real Estate Fund

Section 4 Private Equity Fund

Other Private Fund

Private Equity Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

2019Q2

52.1

47.2

43.3

14.6

5.2

3.4

5.1

0.9

0.0

0.0

2019Q3

52.2

46.7

43.1

14.6

5.2

3.4

5.1

0.9

0.0

0.0

2019Q4

52.5

47.4

43.5

14.8

7.3

4.5

6.5

0.8

0.0

0.0

2020Q1

49.0

46.1

42.4

14.9

7.3

4.8

6.4

0.7

0.0

0.0

2020Q2

47.7

45.3

41.3

14.6

7.3

4.7

6.4

0.8

0.0

0.0

2020Q3

47.5

47.0

42.9

14.6

7.3

4.8

6.4

0.8

0.0

0.0

2020Q4

53.6

45.5

40.9

13.8

5.1

5.0

5.0

0.5

0.0

0.0

2021Q1

50.2

44.9

40.6

13.9

4.9

4.9

4.7

0.5

0.0

0.0

Figure 3: Distribution of Total Borrowings for All Private Funds

and Qualifying Hedge Funds

See Appendix C for an explanation of boxplots.

1

(a) All Private Funds

19

Q

20 3

19

Q

20 4

20

Q

20 1

20

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q1

0

20

0

2

19

200

3

20

400

4

Q2

Total Borrowings ($Billions)

600

19

Q

20 2

19

Q

20 3

19

Q

20 4

20

Q

20 1

20

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q1

Total Borrowings ($Millions)

As reported on Form PF, Questions 12 and 43 (Third Month).

20

B

Analytics Office

(b) Qualifying Hedge Funds

8

November 1, 2021

Analytics Office

Figure 4: Ratio of Borrowings to NAV

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month).

3

2

1

0

4

Ratio of Borrowings to NAV

Winsorized (limits=[0%,98%])

20

19

Q

20 2

19

Q

20 3

19

Q

20 4

20

Q

20 1

20

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q1

Ratio of Borrowings to NAV

Winsorized (limits=[0%,98%])

20

19

Q

20 2

19

Q

20 3

19

Q

20 4

20

Q

20 1

20

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q1

4

3

2

1

0

(a) All Private Funds

(b) Qualifying Hedge Funds

Table 6: Aggregate Borrowing by Creditor Entity Type (Percent)

As reported on Form PF, Questions 12 and 43 (Third Month).

Creditor Type

US Financial

Non-US Financial

US Non-Financial

Non-US Non-Financial

2019Q2

66.0

31.4

2.2

0.9

2019Q3

66.2

31.2

2.3

0.8

2019Q4

65.7

31.0

2.4

1.0

9

2020Q1

64.9

32.3

2.6

1.0

2020Q2

66.7

30.7

2.5

1.0

2020Q3

64.9

32.7

2.4

1.0

2020Q4

66.4

30.3

2.3

1.0

2021Q1

67.3

30.0

2.4

1.0

November 1, 2021

C

Analytics Office

Fair Value Hierarchy

Table 7: Assets According to Fair Value Hierarchy ($ Billions)

As reported on Form PF, Question 14.

Level One

Level Two

Level Three

Cost-Based

2019Q2

3,272

3,023

3,475

2,531

2019Q3

3,234

3,025

3,469

2,525

2019Q4

3,827

3,453

4,060

2,342

2020Q1

3,793

3,477

4,112

2,327

2020Q2

3,802

3,468

4,117

2,317

2020Q3

3,814

3,486

4,127

2,314

2020Q4

4,223

3,603

5,076

2,315

2021Q1

4,253

3,586

5,175

2,316

Table 8: Liabilities According to Fair Value Hierarchy ($ Billions)

As reported on Form PF, Question 14.

Level One

Level Two

Level Three

Cost-Based

2019Q2

1,228

1,056

200

2,102

2019Q3

1,221

1,046

202

2,097

2019Q4

1,265

1,015

264

2,223

2020Q1

1,279

1,050

268

2,229

10

2020Q2

1,270

1,042

268

2,219

2020Q3

1,280

1,049

267

2,220

2020Q4

1,332

1,165

295

2,060

2021Q1

1,324

1,144

297

2,071

November 1, 2021

D

Analytics Office

Parallel Managed Accounts4

Table 9: Number of Funds with Parallel Managed Accounts

As reported on Form PF, Question 11.

The “Total” row shows the total reported, and will not equal the sum of the preceding rows,

because the rows are not mutually exclusive.

Type

Hedge Fund

Other Private Fund

Private Equity Fund

Qualifying Hedge Fund

Section 4 Private Equity Fund

Real Estate Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

Securitized Asset Fund

Total

2019Q2

648

504

315

221

112

78

***

14

12

***

1,568

2019Q3

652

503

294

227

112

78

***

15

12

***

1,551

2019Q4

614

505

332

222

136

95

***

12

11

***

1,565

2020Q1

628

501

331

232

136

95

***

12

11

***

1,574

2020Q2

610

500

330

227

135

95

***

11

11

***

1,553

2020Q3

601

493

330

221

135

95

***

11

11

***

1,537

2020Q4

597

478

311

210

103

73

17

***

11

***

1,489

2021Q1

581

475

311

199

103

73

17

***

11

***

1,470

Table 10: Aggregate Value in Parallel Managed Accounts ($ Billions)

As reported on Form PF, Question 11.

The “Total” row shows the total reported, and will not equal the sum of the preceding rows,

because the rows are not mutually exclusive.

Type

Hedge Fund

Other Private Fund

Private Equity Fund

Qualifying Hedge Fund

Section 4 Private Equity Fund

Real Estate Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

Securitized Asset Fund

Total

2019Q2

713

1,832

48

466

33

5

***

264

263

***

2,863

2019Q3

712

1,832

48

470

33

5

***

294

292

***

2,891

2019Q4

717

2,068

58

477

38

10

***

317

316

***

3,171

2020Q1

637

2,052

58

433

38

10

***

378

377

***

3,135

2020Q2

638

2,044

58

434

38

10

***

366

366

***

3,117

2020Q3

634

2,028

58

414

38

10

***

383

383

***

3,113

2020Q4

764

2,583

98

473

44

7

1

***

391

***

3,845

2021Q1

768

2,620

98

470

44

7

1

***

411

***

3,905

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

November 1, 2021

Analytics Office

Figure 5: Parallel Managed Account Value Distributions

See Appendix C for an explanation of boxplots.

2

1

20 2

19

Q

20 3

19

Q

20 4

20

Q

20 1

20

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q1

0

20

1

4

2

0

20 2

19

Q

20 3

19

Q

20 4

20

Q

20 1

20

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q1

Parallel Managed Assets ($Billions)

3

9Q

4

6

20

1

5

9Q

Parallel Managed Assets ($Billions)

As reported on Form PF, Question 11.

(a) All Private Funds

(b) Qualifying Hedge Funds

12

November 1, 2021

III

Analytics Office

Fund Domiciles and Adviser Main Offices

Table 11: Fund Domicile (Percent of NAV)

As reported on Form PF, Question 9 and Form ADV.

Country

United States

Cayman Islands

Ireland

Luxembourg

Virgin Islands, British

Bermuda

Other

Country

Cayman Islands

United States

Ireland

Virgin Islands, British

Luxembourg

Bermuda

Other

Country

Ireland

United States

Cayman Islands

Other

Country

United States

Cayman Islands

Canada

United Kingdom

Bermuda

Other

All Private Funds

2019Q2 2019Q3 2019Q4 2020Q1 2020Q2

50.5

50.5

51.2

51.4

50.9

34.8

34.6

34.5

34.1

34.6

4.5

4.7

4.6

4.5

4.6

3.0

2.9

3.1

3.1

3.1

1.5

1.5

1.3

1.1

1.1

1.1

1.2

1.1

1.1

1.1

4.6

4.6

4.1

4.7

4.6

Qualifying Hedge Funds

2019Q2 2019Q3 2019Q4 2020Q1 2020Q2

52.0

51.6

51.5

52.5

52.5

34.5

34.7

35.0

34.9

35.1

3.2

3.1

3.2

2.9

3.1

3.9

3.9

3.6

3.3

3.1

2.7

2.7

2.7

2.6

2.4

1.9

2.1

2.1

2.2

2.0

1.9

1.8

1.9

1.7

1.8

Section 3 Liquidity Funds

2019Q2 2019Q3 2019Q4 2020Q1 2020Q2

***

***

***

***

***

30.3

26.9

22.6

25.7

24.8

***

***

***

***

***

***

***

***

***

***

Section 4 Private Equity Funds

2019Q2 2019Q3 2019Q4 2020Q1 2020Q2

56.0

56.0

56.2

55.0

55.1

30.1

30.1

32.0

31.4

31.3

1.1

1.1

1.7

1.8

1.8

2.3

2.3

1.9

1.7

1.7

0.9

0.9

1.0

1.0

1.0

9.6

9.6

7.2

9.1

9.1

13

2020Q3

50.4

34.9

4.8

3.1

1.1

1.0

4.5

2020Q4

51.0

34.2

4.6

3.7

1.0

1.0

4.5

2021Q1

50.9

34.1

4.3

3.7

1.0

1.0

5.0

2020Q3

53.2

34.5

3.1

2.9

2.6

1.9

1.8

2020Q4

53.4

34.1

3.3

2.8

2.8

1.8

1.9

2021Q1

52.7

34.9

3.1

2.8

2.7

1.7

2.0

2020Q3

***

23.4

***

***

2020Q4

***

26.2

***

***

2021Q1

***

28.8

***

***

2020Q3

55.1

31.3

1.8

1.7

1.0

9.1

2020Q4

56.3

29.6

2.2

1.5

1.1

9.3

2021Q1

55.2

29.0

2.2

1.5

1.1

11.0

November 1, 2021

Analytics Office

Table 12: Adviser Main Office Location (Percent of NAV)

As reported on Form PF, Question 9 and Form ADV.

Country

United States

United Kingdom

Other

2019Q2

89.4

6.1

4.5

Country

United States

United Kingdom

Hong Kong

Australia

Other

2019Q2

89.2

5.7

***

***

2.0

Country

United States

United Kingdom

2019Q2

***

***

Country

United States

Canada

Other

2019Q2

94.1

***

***

All Private Funds

2019Q3 2019Q4 2020Q1 2020Q2

89.3

89.8

90.2

90.2

6.2

5.4

5.3

5.2

4.5

4.7

4.5

4.7

Qualifying Hedge Funds

2019Q3 2019Q4 2020Q1 2020Q2

89.5

88.9

89.4

89.8

5.4

5.4

4.9

4.5

***

***

***

***

***

***

***

***

2.0

2.1

2.1

2.1

Section 3 Liquidity Funds

2019Q3 2019Q4 2020Q1 2020Q2

***

***

***

***

***

***

***

***

Section 4 Private Equity Funds

2019Q3 2019Q4 2020Q1 2020Q2

94.1

93.8

93.8

93.8

***

***

***

***

***

***

***

***

14

2020Q3

90.1

5.2

4.6

2020Q4

90.5

4.5

5.0

2021Q1

90.4

4.7

4.9

2020Q3

89.9

4.3

***

***

1.9

2020Q4

88.9

4.7

***

***

2.0

2021Q1

89.6

4.4

***

***

1.8

2020Q3

***

***

2020Q4

***

***

2021Q1

***

***

2020Q3

93.8

***

***

2020Q4

94.2

***

***

2021Q1

94.3

***

***

November 1, 2021

IV

A

Analytics Office

Beneficial Ownership

All Private Funds

Table 13: Beneficial Ownership for All Private Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Other

State/Muni. Govt. Pension Plans

Pension Plans

U.S. Individuals

Non-Profits

Sov. Wealth Funds And For. Official Inst.

Insurance Companies

Non-U.S. Individuals

Unknown Non-U.S. Investors

State/Muni. Govt. Entities

Banking/Thrift Inst.

Sec-Registered Investment Companies

Broker-Dealers

2019Q2

1,566

1,381

1,248

1,085

885

902

609

415

218

221

130

171

124

109

2019Q3

1,559

1,392

1,243

1,081

887

900

608

414

217

223

135

166

124

109

2019Q4

1,676

1,466

1,333

1,167

958

993

657

460

232

242

171

178

135

114

2020Q1

1,643

1,451

1,299

1,103

914

930

648

460

229

230

167

169

127

106

2020Q2

1,671

1,508

1,328

1,139

965

990

669

468

246

236

170

167

129

112

2020Q3

1,711

1,560

1,340

1,161

998

1,017

689

474

256

258

172

166

128

115

2020Q4

2,038

1,819

1,531

1,245

1,163

1,140

802

550

294

275

189

164

133

111

2021Q1

2,072

1,852

1,553

1,263

1,194

1,167

844

563

308

268

196

171

142

110

2020Q4

17.8

15.9

13.4

10.9

10.2

9.9

7.0

4.8

2.6

2.4

1.6

1.4

1.2

1.0

2021Q1

17.7

15.8

13.3

10.8

10.2

10.0

7.2

4.8

2.6

2.3

1.7

1.5

1.2

0.9

Table 14: Beneficial Ownership for All Private Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Other

State/Muni. Govt. Pension Plans

Pension Plans

U.S. Individuals

Non-Profits

Sov. Wealth Funds And For. Official Inst.

Insurance Companies

Non-U.S. Individuals

Unknown Non-U.S. Investors

State/Muni. Govt. Entities

Banking/Thrift Inst.

Sec-Registered Investment Companies

Broker-Dealers

2019Q2

17.3

15.2

13.8

12.0

9.8

9.9

6.7

4.6

2.4

2.4

1.4

1.9

1.4

1.2

2019Q3

17.2

15.4

13.7

11.9

9.8

9.9

6.7

4.6

2.4

2.5

1.5

1.8

1.4

1.2

15

2019Q4

17.1

15.0

13.6

11.9

9.8

10.2

6.7

4.7

2.4

2.5

1.8

1.8

1.4

1.2

2020Q1

17.3

15.3

13.7

11.6

9.6

9.8

6.8

4.9

2.4

2.4

1.8

1.8

1.3

1.1

2020Q2

17.0

15.4

13.5

11.6

9.8

10.1

6.8

4.8

2.5

2.4

1.7

1.7

1.3

1.1

2020Q3

17.0

15.5

13.3

11.5

9.9

10.1

6.9

4.7

2.5

2.6

1.7

1.7

1.3

1.1

November 1, 2021

B

Analytics Office

Qualifying Hedge Funds

Table 15: Beneficial Ownership for Qualifying Hedge Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Non-Profits

Other

Pension Plans

U.S. Individuals

State/Muni. Govt. Pension Plans

Sov. Wealth Funds And For. Official Inst.

Insurance Companies

Non-U.S. Individuals

Unknown Non-U.S. Investors

State/Muni. Govt. Entities

Sec-Registered Investment Companies

Banking/Thrift Inst.

Broker-Dealers

2019Q2

518

448

436

426

340

355

205

89

78

57

44

53

30

79

2019Q3

523

445

429

420

342

365

207

89

81

57

47

54

30

80

2019Q4

530

463

426

431

350

369

208

91

83

62

49

42

32

81

2020Q1

490

409

391

374

315

329

190

88

75

53

45

35

29

73

2020Q2

530

469

427

406

362

354

203

95

89

56

49

44

28

78

2020Q3

563

493

465

426

383

366

219

100

97

60

50

45

31

80

2020Q4

605

538

492

455

414

397

225

112

109

66

53

37

32

17

2021Q1

641

560

522

465

453

409

236

121

112

63

56

40

35

5

2020Q4

17.0

15.1

13.9

12.8

11.7

11.2

6.3

3.1

3.1

1.9

1.5

1.0

0.9

0.5

2021Q1

17.2

15.1

14.0

12.5

12.2

11.0

6.3

3.2

3.0

1.7

1.5

1.1

0.9

0.1

Table 16: Beneficial Ownership for Qualifying Hedge Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Non-Profits

Other

Pension Plans

U.S. Individuals

State/Muni. Govt. Pension Plans

Sov. Wealth Funds And For. Official Inst.

Insurance Companies

Non-U.S. Individuals

Unknown Non-U.S. Investors

State/Muni. Govt. Entities

Sec-Registered Investment Companies

Banking/Thrift Inst.

Broker-Dealers

2019Q2

16.4

14.2

13.8

13.5

10.8

11.2

6.5

2.8

2.5

1.8

1.4

1.7

1.0

2.5

2019Q3

16.5

14.0

13.5

13.2

10.8

11.5

6.5

2.8

2.6

1.8

1.5

1.7

1.0

2.5

16

2019Q4

16.5

14.4

13.2

13.4

10.9

11.5

6.5

2.8

2.6

1.9

1.5

1.3

1.0

2.5

2020Q1

16.9

14.1

13.5

12.9

10.9

11.3

6.6

3.0

2.6

1.8

1.5

1.2

1.0

2.5

2020Q2

16.6

14.7

13.4

12.7

11.3

11.1

6.4

3.0

2.8

1.8

1.5

1.4

0.9

2.4

2020Q3

16.6

14.6

13.8

12.6

11.3

10.8

6.5

3.0

2.9

1.8

1.5

1.3

0.9

2.4

November 1, 2021

C

Analytics Office

Section 3 Liquidity Funds

Table 17: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type

Other

Unknown Non-U.S. Investors

Private Funds

Sec-Registered Investment Companies

Broker-Dealers

Banking/Thrift Inst.

Insurance Companies

Pension Plans

Sov. Wealth Funds And For. Official Inst.

Non-Profits

Non-U.S. Individuals

State/Muni. Govt. Pension Plans

U.S. Individuals

State/Muni. Govt. Entities

2019Q2

57

59

84

19

***

***

9

***

***

***

3

***

***

***

2019Q3

74

63

69

19

***

***

8

***

***

1

4

***

***

***

2019Q4

73

62

62

14

***

***

7

4

***

2

4

***

***

***

2020Q1

74

60

72

12

***

***

9

***

***

1

4

***

***

***

2020Q2

90

58

57

17

***

***

10

***

***

1

3

***

***

***

2020Q3

92

76

55

18

***

***

9

5

***

2

3

***

***

***

2020Q4

87

79

59

20

***

***

8

9

***

2

***

1

***

***

2021Q1

80

72

54

24

***

***

9

7

***

2

***

1

***

***

2020Q4

28.0

25.5

18.8

6.5

***

***

2.6

2.7

***

0.7

***

0.3

***

***

2021Q1

27.3

24.5

18.5

8.1

***

***

3.1

2.4

***

0.8

***

0.2

***

***

Table 18: Beneficial Ownership for Section 3 Liquidity Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type

Other

Unknown Non-U.S. Investors

Private Funds

Sec-Registered Investment Companies

Broker-Dealers

Banking/Thrift Inst.

Insurance Companies

Pension Plans

Sov. Wealth Funds And For. Official Inst.

Non-Profits

Non-U.S. Individuals

State/Muni. Govt. Pension Plans

U.S. Individuals

State/Muni. Govt. Entities

2019Q2

20.0

20.8

29.6

6.7

***

***

3.2

***

***

***

1.1

***

***

***

2019Q3

25.8

22.1

24.2

6.8

***

***

2.7

***

***

0.3

1.2

***

***

***

17

2019Q4

25.8

22.1

22.0

4.8

***

***

2.6

1.3

***

0.6

1.3

***

***

***

2020Q1

26.1

21.1

25.3

4.4

***

***

3.3

***

***

0.4

1.5

***

***

***

2020Q2

30.9

19.9

19.4

5.8

***

***

3.6

***

***

0.4

0.9

***

***

***

2020Q3

29.3

24.2

17.6

5.8

***

***

2.9

1.6

***

0.6

0.8

***

***

***

November 1, 2021

D

Analytics Office

Section 4 Private Equity Funds

Table 19: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

State/Muni. Govt. Pension Plans

Other

Sov. Wealth Funds And For. Official Inst.

Pension Plans

Insurance Companies

U.S. Individuals

Non-Profits

Non-U.S. Individuals

State/Muni. Govt. Entities

Banking/Thrift Inst.

Sec-Registered Investment Companies

Unknown Non-U.S. Investors

Broker-Dealers

2019Q2

397

454

336

244

175

127

117

116

48

36

31

17

17

1

2019Q3

397

454

336

244

175

127

117

116

48

36

31

17

17

1

2019Q4

467

514

369

278

199

152

132

139

51

56

36

28

19

1

2020Q1

468

526

392

286

201

154

132

140

54

56

37

28

19

1

2020Q2

468

526

392

285

201

154

132

140

54

56

37

28

19

1

2020Q3

468

526

392

285

201

154

132

140

54

56

37

28

19

1

2020Q4

656

652

513

361

246

189

186

180

65

63

38

27

25

3

2021Q1

659

654

544

387

246

190

187

180

71

63

38

27

25

3

Table 20: Beneficial Ownership for Section 4 Private Equity Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

State/Muni. Govt. Pension Plans

Other

Sov. Wealth Funds And For. Official Inst.

Pension Plans

Insurance Companies

U.S. Individuals

Non-Profits

Non-U.S. Individuals

State/Muni. Govt. Entities

Banking/Thrift Inst.

Sec-Registered Investment Companies

Unknown Non-U.S. Investors

Broker-Dealers

2019Q2

18.8

21.4

15.9

11.5

8.3

6.0

5.5

5.5

2.3

1.7

1.5

0.8

0.8

0.1

2019Q3

18.8

21.4

15.9

11.5

8.3

6.0

5.5

5.5

2.3

1.7

1.5

0.8

0.8

0.1

18

2019Q4

19.1

21.1

15.1

11.4

8.2

6.2

5.4

5.7

2.1

2.3

1.5

1.1

0.8

0.1

2020Q1

18.8

21.1

15.7

11.5

8.1

6.2

5.3

5.6

2.2

2.3

1.5

1.1

0.7

0.1

2020Q2

18.8

21.1

15.7

11.4

8.1

6.2

5.3

5.6

2.2

2.3

1.5

1.1

0.7

0.1

2020Q3

18.8

21.1

15.7

11.4

8.1

6.2

5.3

5.6

2.2

2.3

1.5

1.1

0.7

0.1

2020Q4

20.5

20.3

16.0

11.3

7.7

5.9

5.8

5.6

2.0

2.0

1.2

0.8

0.8

0.1

2021Q1

20.1

20.0

16.6

11.8

7.5

5.8

5.7

5.5

2.2

1.9

1.2

0.8

0.8

0.1

November 1, 2021

E

Analytics Office

Concentration

Table 21: Weighted-Average Beneficial Ownership of Top 5 Owners (Percent)

As reported on Form PF, Questions 9 and 15.

Type

Other Private Fund

Real Estate Fund

Hedge Fund

Venture Capital Fund

Private Equity Fund

Qualifying Hedge Fund

Liquidity Fund

Section 3 Liquidity Fund

Section 4 Private Equity Fund

Securitized Asset Fund

Total

2019Q2

58.1

57.7

55.4

59.2

50.8

50.6

52.8

52.2

44.5

34.6

54.0

2019Q3

58.6

57.7

55.6

59.1

50.8

50.9

49.4

48.4

44.5

34.8

54.0

2019Q4

58.6

56.7

55.7

54.7

50.5

51.0

46.2

45.2

45.0

39.4

53.7

19

2020Q1

59.0

56.6

55.4

54.7

50.5

50.3

49.9

48.9

45.0

39.4

53.7

2020Q2

59.1

56.6

55.2

54.8

50.5

50.2

47.1

46.7

44.9

39.5

53.6

2020Q3

58.4

56.6

55.3

54.7

50.5

50.4

44.8

44.4

44.9

39.1

53.5

2020Q4

59.6

56.2

55.3

53.7

50.2

50.5

44.3

44.1

45.2

37.4

53.3

2021Q1

59.3

56.2

55.1

53.7

51.1

50.4

45.9

45.7

46.1

36.0

53.6

November 1, 2021

V

Analytics Office

Derivatives

Table 22: Aggregate Derivative Value ($ Billions)

As reported on Form PF, Questions 13 and 44 (Third Month).

The “Total” row shows the total reported, and will not equal the sum of the preceding rows,

because the rows are not mutually exclusive.

Type

Hedge Fund

Qualifying Hedge Fund

Other Private Fund

Private Equity Fund

Section 4 Private Equity Fund

Real Estate Fund

Liquidity Fund

Section 3 Liquidity Fund

Securitized Asset Fund

Venture Capital Fund

Total

2019Q2

12,975

11,346

134

37

31

17

***

***

3

***

13,199

2019Q3

13,447

11,371

135

37

31

17

***

***

3

***

13,468

2019Q4

12,638

11,035

111

95

37

18

***

***

3

***

12,782

2020Q1

11,895

10,460

108

96

37

18

***

***

3

***

12,140

2020Q2

10,935

9,424

108

96

37

18

***

***

3

***

11,196

2020Q3

13,563

11,593

106

97

37

18

***

***

3

***

13,813

2020Q4

13,905

11,665

134

66

34

19

***

***

3

***

14,220

2021Q1

14,929

13,185

138

66

34

18

***

***

3

***

15,198

Table 23: Aggregate Derivative Value (Percent of Aggregate NAV)

As reported on Form PF, Questions 9, 13, and 44 (Third Month).

Type

Hedge Fund

Qualifying Hedge Fund

Other Private Fund

Private Equity Fund

Section 4 Private Equity Fund

Real Estate Fund

Liquidity Fund

Section 3 Liquidity Fund

Securitized Asset Fund

Venture Capital Fund

Total

2019Q2

318.6

358.9

12.3

1.3

1.5

3.7

***

***

1.6

***

145.6

2019Q3

332.3

358.8

12.2

1.3

1.5

3.7

***

***

1.6

***

148.7

2019Q4

307.0

342.8

9.0

2.9

1.5

3.6

***

***

1.5

***

130.6

20

2020Q1

316.1

360.7

9.0

2.9

1.5

3.6

***

***

1.5

***

128.1

2020Q2

268.5

295.0

8.9

2.9

1.5

3.6

***

***

1.5

***

114.2

2020Q3

317.0

343.0

8.6

2.9

1.5

3.6

***

***

1.5

***

137.4

2020Q4

299.6

328.4

10.3

1.6

1.1

3.1

***

***

1.3

***

124.1

2021Q1

311.5

354.6

10.5

1.6

1.0

2.9

***

***

1.3

***

129.8

November 1, 2021

Analytics Office

Figure 6: Distribution of Derivative Values

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

Total Derivative Value ($Billions)

Winsorized (limits=[1%,99%])

1.5

1.0

0.5

7.5

5.0

2.5

0.0

20

20

10.0

19

Q

20 2

19

Q

20 3

19

Q

20 4

20

Q

20 1

20

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q1

20 2

19

Q

20 3

19

Q

20 4

20

Q

20 1

20

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q1

0.0

19

Q

Total Derivative Value ($Billions)

Winsorized (limits=[1%,99%])

As reported on Form PF, Questions 13 and 44 (Third Month).

(a) All Private Funds

VI

A

(b) Qualifying Hedge Funds

Additional Hedge Fund Industry Information

High Frequency Trading

Table 24: Number of Hedge Funds Using

High Frequency Trading (HFT) Strategies

As reported on Form PF, Question 21.

Fraction of NAV

0%

Less than 100%

100% or More

2019Q2

8,054

62

8

2019Q3

8,061

63

8

2019Q4

7,962

49

10

2020Q1

8,044

48

9

2020Q2

8,057

49

8

2020Q3

8,120

47

7

2020Q4

8,134

44

6

2021Q1

8,180

44

6

Table 25: Hedge Fund Assets Managed Using HFT Strategies ($ Billions)

As reported on Form PF, Questions 9 and 21.

Fraction of NAV

0%

Less than 100%

100% or More

2019Q2

3,975

82

2

2019Q3

3,940

83

2

2019Q4

4,023

77

3

2020Q1

3,663

81

2

21

2020Q2

3,953

91

2

2020Q3

4,158

95

2

2020Q4

4,514

95

3

2021Q1

4,657

101

4

November 1, 2021

B

Analytics Office

Industry Concentration

Table 26: Percent of Aggregate Hedge Fund Net Asset Value

Reported by Top Hedge Funds Sorted by Net Asset Value

As reported on Form PF, Questions 9 and 10.

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2019Q2

7.3

13.6

19.9

28.2

42.7

56.3

2019Q3

7.4

13.7

20.0

28.3

42.7

56.1

2019Q4

7.4

13.6

19.7

27.9

42.3

55.6

2020Q1

7.6

14.1

20.2

28.2

42.5

55.6

2020Q2

7.6

14.0

20.2

28.3

42.9

56.3

2020Q3

7.5

14.1

20.5

28.8

43.5

56.9

2020Q4

7.2

13.6

20.0

28.4

43.2

56.6

2021Q1

7.1

13.3

19.5

27.9

42.8

56.3

Table 27: Percent of Aggregate Hedge Fund Gross Asset Value

Reported by Top Hedge Funds Sorted by Gross Asset Value

As reported on Form PF, Questions 8 and 10.

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2019Q2

16.3

25.6

33.9

43.4

56.9

68.0

2019Q3

15.5

25.1

33.7

42.9

56.4

67.6

2019Q4

15.5

24.7

33.5

42.5

55.8

67.0

2020Q1

17.2

26.1

34.8

43.8

56.6

67.5

2020Q2

15.0

24.0

32.7

41.8

55.2

66.5

2020Q3

15.5

24.8

33.6

42.6

56.0

67.2

2020Q4

15.0

23.9

32.8

41.7

55.4

66.6

2021Q1

14.3

23.1

31.7

40.3

54.0

65.7

Table 28: Percent of Aggregate Hedge Fund Borrowings

Reported by Top Hedge Funds Sorted by Borrowings

As reported on Form PF, Questions 12 and 43 (Month 3).

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2019Q2

35.5

50.3

62.4

73.2

85.0

91.8

2019Q3

34.4

50.4

62.3

73.3

84.9

91.7

2019Q4

35.8

51.0

62.8

73.2

84.6

91.6

2020Q1

38.7

52.8

63.9

73.9

84.5

91.1

22

2020Q2

35.4

50.8

63.1

73.8

84.5

91.4

2020Q3

35.0

51.6

63.4

74.1

85.0

91.8

2020Q4

33.9

49.4

61.7

72.5

84.2

91.4

2021Q1

33.1

47.9

60.1

71.1

83.0

90.7

November 1, 2021

Analytics Office

Table 29: Percent of Aggregate Hedge Fund Derivative Value

Reported by Top Hedge Funds Sorted by Derivative Value

As reported on Form PF, Questions 13 and 44 (Month 3).

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2019Q2

29.4

47.4

60.2

72.8

86.4

93.3

2019Q3

30.8

48.8

61.8

73.9

87.2

93.9

2019Q4

29.2

47.8

60.6

72.5

86.7

93.7

2020Q1

34.2

52.6

65.4

76.6

88.3

94.4

2020Q2

32.9

49.4

62.1

73.8

87.3

93.9

2020Q3

39.7

54.5

66.7

77.1

89.2

95.0

2020Q4

41.4

55.9

67.5

77.4

89.2

94.9

2021Q1

42.3

57.1

68.1

78.2

89.3

94.9

Table 30: Percent of Aggregate Hedge Fund Gross Notional Exposure

Reported by Top Hedge Funds Sorted by Gross Notional Exposure

As reported on Form PF, Questions 26 and 30 (Month 3).

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2019Q2

28.5

45.3

58.3

69.7

83.1

91.6

2019Q3

29.0

46.5

58.8

70.0

83.2

91.5

2019Q4

29.5

46.9

59.1

70.5

83.5

91.7

2020Q1

33.5

51.4

62.6

72.9

84.8

92.3

23

2020Q2

32.3

48.7

59.8

70.5

83.2

91.4

2020Q3

36.2

51.4

61.9

72.1

84.2

92.1

2020Q4

36.2

50.0

60.7

71.0

83.5

91.7

2021Q1

37.3

51.0

61.2

71.5

83.5

91.4

November 1, 2021

C

Analytics Office

Single-Strategy US-Domiciled Hedge Funds

Table 31: Exposures of Single-Strategy US-Domiciled Hedge Funds ($ Billions)

As reported on Form PF, Questions 9, 19, and 20.

Category

Equity

Other

Credit

Event Driven

Relative Value

Investment in other funds

Macro

Managed Futures/CTA

Total

Strategy

Subtotal

Long Bias

Long/Short

Market Neutral

Short Bias

Subtotal

Subtotal

Long/Short

Asset Based Lending

Subtotal

Distressed/Restruct.

Equity

Risk Arb./Merger Arb.

Subtotal

F.I. Asset Backed

F.I. Corp.

F.I. Conv. Arb.

F.I. Sov.

Volatility Arb.

Subtotal

Subtotal

Global Macro

Commodity

Active Trading

Currency

Subtotal

Quantitative

Fundamental

Total

2019Q2

512

239

236

34

2

464

91

48

42

47

30

10

8

43

25

9

6

1

1

22

22

19

3

***

***

6

***

***

1,047

2019Q3

524

252

234

36

2

466

94

50

44

47

30

10

7

45

27

9

6

1

2

25

18

15

3

***

***

6

***

***

1,049

24

2019Q4

562

276

245

40

2

465

98

50

47

45

30

10

5

43

27

8

5

***

***

31

15

12

1

***

***

5

***

***

1,081

2020Q1

485

235

207

40

2

433

96

48

48

43

31

8

4

40

27

7

3

***

***

36

11

9

2

***

***

5

***

***

994

2020Q2

547

269

239

38

2

473

98

52

46

47

32

11

4

43

27

8

5

1

1

30

11

8

2

***

***

5

***

***

1,088

2020Q3

567

282

251

33

1

482

103

56

47

47

31

11

5

48

29

9

7

1

1

31

12

9

2

***

***

5

***

***

1,133

2020Q4

617

319

268

30

1

530

119

63

56

51

34

12

5

48

28

11

7

2

1

29

11

8

2

***

***

6

***

***

1,245

2021Q1

644

329

289

25

1

553

122

67

55

56

37

12

6

49

29

9

8

1

1

31

13

10

2

***

***

6

***

***

1,308

November 1, 2021

Analytics Office

Table 32: Number of Single-Strategy US-Domiciled Hedge Funds

As reported on Form PF, Questions 9, 19, and 20.

Category

Equity

Other

Credit

Event Driven

Relative Value

Investment in other funds

Macro

Managed Futures/CTA

Total

Strategy

Subtotal

Long Bias

Long/Short

Market Neutral

Short Bias

Subtotal

Subtotal

Long/Short

Asset Based Lending

Subtotal

Distressed/Restruct.

Equity

Risk Arb./Merger Arb.

Subtotal

F.I. Asset Backed

F.I. Corp.

F.I. Conv. Arb.

F.I. Sov.

Volatility Arb.

Subtotal

Subtotal

Global Macro

Commodity

Active Trading

Currency

Subtotal

Quantitative

Fundamental

Total

2019Q2

1,053

519

468

56

16

890

285

153

134

206

145

37

33

153

72

48

16

10

14

193

60

38

15

***

***

34

***

***

2,707

2019Q3

1,055

524

467

54

16

920

289

155

136

221

157

44

30

159

74

51

15

15

16

203

57

35

15

***

***

32

***

***

2,730

25

2019Q4

1,013

521

434

48

17

920

297

155

146

215

153

47

23

151

72

48

16

***

***

211

44

24

9

***

***

26

***

***

2,683

2020Q1

1,007

511

438

47

18

927

303

159

147

220

159

45

23

149

69

47

17

***

***

215

45

24

14

***

***

27

***

***

2,717

2020Q2

993

504

433

45

18

939

313

165

151

227

165

45

24

160

81

49

16

11

12

213

44

22

13

***

***

27

***

***

2,742

2020Q3

1,017

522

443

45

17

953

318

168

153

220

156

46

23

172

88

53

17

16

12

219

44

21

13

***

***

28

***

***

2,771

2020Q4

1,019

525

443

48

11

950

354

173

184

217

151

50

21

174

93

53

18

16

14

239

45

24

11

***

***

26

***

***

2,797

2021Q1

1,030

533

447

47

11

979

357

175

185

230

161

52

21

177

95

50

18

17

13

240

47

24

13

***

***

27

***

***

2,861

November 1, 2021

D

Analytics Office

Single-Strategy Non-US-Domiciled Hedge Funds

Table 33: Exposures of Single-Strategy Non-US-Domiciled Hedge Funds ($ Billions)

As reported on Form PF, Questions 9, 19, and 20.

Category

Equity

Relative Value

Macro

Other

Credit

Event Driven

Managed Futures/CTA

Investment in other funds

Total

Strategy

Subtotal

Long/Short

Long Bias

Market Neutral

Short Bias

Subtotal

F.I. Sov.

F.I. Asset Backed

F.I. Corp.

Volatility Arb.

F.I. Conv. Arb.

Subtotal

Global Macro

Commodity

Active Trading

Currency

Subtotal

Subtotal

Long/Short

Asset Based Lending

Subtotal

Distressed/Restruct.

Risk Arb./Merger Arb.

Equity

Subtotal

Quantitative

Fundamental

Subtotal

Total

2019Q2

890

613

185

91

1

355

220

90

17

20

8

383

372

7

***

***

507

180

137

43

133

83

27

23

168

***

***

27

1,757

2019Q3

868

595

178

95

1

358

222

91

18

19

8

390

380

7

***

***

531

183

137

46

122

80

20

22

173

***

***

31

1,742

26

2019Q4

907

601

211

***

***

359

224

88

19

17

10

356

345

7

***

***

553

202

153

49

121

81

18

21

172

***

***

30

1,797

2020Q1

779

512

190

***

***

390

248

99

18

16

9

351

343

5

***

***

522

206

150

56

111

72

21

18

153

***

***

28

1,646

2020Q2

902

608

224

***

***

377

256

74

24

12

11

341

331

5

***

***

531

212

152

61

117

81

17

19

110

***

***

29

1,812

2020Q3

994

670

249

***

***

375

252

76

24

12

11

432

424

5

***

***

557

220

155

65

136

93

22

21

132

***

***

28

1,929

2020Q4

1,176

801

292

***

***

408

272

79

29

14

13

377

368

6

***

***

608

235

175

61

147

95

28

24

151

***

***

30

2,146

2021Q1

1,157

777

295

***

***

410

274

80

24

17

15

380

370

6

***

***

648

248

186

62

168

103

35

29

167

***

***

35

2,199

November 1, 2021

Analytics Office

Table 34: Number of Single-Strategy Non-US-Domiciled Hedge Funds

As reported on Form PF, Questions 9, 19, and 20.

Category

Equity

Relative Value

Macro

Other

Credit

Event Driven

Managed Futures/CTA

Investment in other funds

Total

Strategy

Subtotal

Long/Short

Long Bias

Market Neutral

Short Bias

Subtotal

F.I. Sov.

F.I. Asset Backed

F.I. Corp.

Volatility Arb.

F.I. Conv. Arb.

Subtotal

Global Macro

Commodity

Active Trading

Currency

Subtotal

Subtotal

Long/Short

Asset Based Lending

Subtotal

Distressed/Restruct.

Risk Arb./Merger Arb.

Equity

Subtotal

Quantitative

Fundamental

Subtotal

Total

2019Q2

1,099

644

327

124

7

297

54

131

88

37

29

254

196

45

***

***

776

344

254

98

311

209

60

71

131

***

***

107

3,101

2019Q3

1,078

633

317

124

7

291

55

123

85

35

29

244

186

45

***

***

792

337

246

94

314

216

57

72

129

***

***

107

3,085

27

2019Q4

1,055

623

317

***

***

296

57

130

91

34

28

214

160

43

***

***

785

334

241

95

285

195

52

75

122

***

***

130

3,022

2020Q1

1,059

632

317

***

***

303

56

129

97

34

27

214

162

43

***

***

822

333

237

99

295

206

47

78

132

***

***

127

3,070

2020Q2

1,029

620

312

***

***

300

58

134

97

28

27

207

157

39

***

***

805

340

244

99

300

215

44

74

124

***

***

130

3,039

2020Q3

1,030

618

315

***

***

297

57

138

94

26

26

211

162

40

***

***

802

345

246

101

306

223

43

72

121

***

***

126

3,058

2020Q4

1,065

630

339

***

***

306

60

151

94

26

24

210

162

36

***

***

829

343

244

102

305

214

43

77

115

***

***

112

3,094

2021Q1

1,040

603

340

***

***

305

57

149

92

26

27

209

161

38

***

***

811

343

243

103

313

218

43

82

118

***

***

130

3,073

November 1, 2021

VII

A

Analytics Office

Information Reported by Large Hedge

Fund Advisers

Economic Leverage

Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

12.5

10.0

7.5

5.0

2.5

0.0

12.5

10.0

7.5

5.0

2.5

0.0

20

20

19

19

15.0

-0

20 6

19

-0

20 9

19

-1

20 2

20

-0

20 3

20

-0

20 6

20

-0

20 9

20

-1

20 2

21

-03

Ratio of GNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

15.0

-0

20 6

19

-0

20 9

19

-1

20 2

20

-0

20 3

20

-0

20 6

20

-0

20 9

20

-1

20 2

21

-03

Ratio of GNE to NAV

Winsorized (limits=[0%,98%])

As reported on Form PF, Questions 3(a) and 26.

(a) Gross Exposure with Interest Rate Derivatives (IRDs)

28

(b) Gross Exposure without IRDs

10

8

6

4

2

0

Ratio of SNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

2

0

(a) Long Exposure with IRDs

(c) Short Exposure with IRDs

29

20 6

19

-0

20 9

19

-1

20 2

20

-0

20 3

20

-0

20 6

20

-0

20 9

20

-1

20 2

21

-03

4

19

-0

6

Ratio of LNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

8

20

-0

20 6

19

-0

20 9

19

-1

20 2

20

-0

20 3

20

-0

20 6

20

-0

20 9

20

-1

20 2

21

-03

19

20

Ratio of LNE to NAV

Winsorized (limits=[0%,98%])

10

20

19

-0

20 6

19

-0

20 9

19

-1

20 2

20

-0

20 3

20

-0

20 6

20

-0

20 9

20

-1

20 2

21

-03

-0

20 9

19

-1

20 2

20

-0

20 3

20

-0

20 6

20

-0

20 9

20

-1

20 2

21

-03

19

20

-06

19

20

Ratio of SNE to NAV

Winsorized (limits=[0%,98%])

November 1, 2021

Analytics Office

Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and

Short Notional Exposure (SNE) to Net Asset Value Distribution

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

As reported on Form PF, Questions 3(a) and 26.

10

8

6

4

2

0

(b) Long Exposure without IRDs

10

8

6

4

2

0

(d) Short Exposure without IRDs

November 1, 2021

B

Analytics Office

Industry Concentration

Table 35: Large Hedge Fund Adviser Asset and Exposure Concentration

(Percent of Total Reported)

As reported on Form PF, Questions 3(a) and 26.

Month

2019-04

2019-05

2019-06

2019-07

2019-08

2019-09

2019-10

2019-11

2019-12

2020-01

2020-02

2020-03

2020-04

2020-05

2020-06

2020-07

2020-08

2020-09

2020-10

2020-11

2020-12

2021-01

2021-02

2021-03

Top 10 Advisers (NAV)

18.9

18.9

18.9

19.3

19.3

19.4

19.5

19.5

19.5

19.1

19.1

19.1

18.3

18.3

18.3

18.4

18.4

18.5

16.8

16.8

16.8

16.2

16.2

16.2

Top 20 Advisers (NAV)

28.5

28.5

28.5

28.8

28.8

28.9

29.3

29.3

29.3

29.6

29.6

29.6

29.0

29.0

29.0

29.1

29.1

29.3

26.4

26.4

26.4

26.2

26.2

26.2

30

Top 10 Advisers (GNE)

37.7

37.5

36.4

36.8

36.8

37.4

37.8

37.4

37.0

38.1

38.7

41.1

40.7

40.6

39.9

42.1

40.6

40.3

40.0

39.3

39.4

40.3

42.2

41.5

Top 20 Advisers (GNE)

54.1

54.1

52.7

53.9

54.1

54.2

54.2

54.2

53.7

55.4

56.0

56.7

56.8

56.3

55.7

57.2

56.7

56.1

55.8

56.3

54.7

55.8

57.6

56.0

November 1, 2021

Portfolio Turnover

Table 36: Aggregate Portfolio Turnover ($ Billions)

As reported on Form PF, Question 27.

Month

2019-04

2019-05

2019-06

2019-07

2019-08

2019-09

2019-10

2019-11

2019-12

2020-01

2020-02

2020-03

2020-04

2020-05

2020-06

2020-07

2020-08

2020-09

2020-10

2020-11

2020-12

2021-01

2021-02

2021-03

Futures

9,911

18,298

16,327

10,900

15,837

15,755

12,744

14,093

13,345

13,058

19,136

25,062

9,351

12,203

12,862

7,951

10,039

11,031

9,339

12,508

17,695

10,675

17,631

18,591

Sov. and muni. bonds

3,391

3,798

3,832

3,454

4,353

3,897

3,627

3,835

3,311

3,762

4,578

6,430

4,426

4,146

4,003

3,305

3,777

3,696

4,086

4,598

4,356

4,367

5,493

5,419

Listed equities

2,263

2,528

2,188

2,278

2,400

2,226

2,566

2,280

2,302

2,719

2,916

4,071

2,658

2,677

3,201

2,928

2,552

2,866

2,756

3,227

2,993

3,454

3,460

4,131

Corporate bonds

127

134

134

136

116

144

152

134

95

176

167

230

226

211

220

164

165

207

189

171

125

176

175

189

Convertible bonds

18

22

25

21

26

34

19

27

21

36

31

36

39

44

51

40

39

38

44

55

56

58

63

63

Total

15,709

24,779

22,506

16,789

22,731

22,056

19,108

20,369

19,074

19,750

26,829

35,828

16,700

19,280

20,337

14,388

16,573

17,837

16,413

20,559

25,224

18,730

26,823

28,393

Figure 9: Distributions of Portfolio Turnover

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

80

60

40

20

20

10

0

20

20

19

19

-0

20 6

19

-0

20 9

19

-1

20 2

20

-0

20 3

20

-0

20 6

20

-0

20 9

20

-1

20 2

21

-03

0

30

-0

20 6

19

-0

20 9

19

-1

20 2

20

-0

20 3

20

-0

20 6

20

-0

20 9

20

-1

20 2

21

-03

Ratio of Turnover to NAV

Winsorized (limits=[1%,99%])

As reported on Form PF, Questions 3(a) and 27.

Total Turnover ($Billions)

Winsorized (limits=[1%,99%])

C

Analytics Office

(a) Total Turnover

(b) Total Turnover to NAV Ratio

31

November 1, 2021

D

Analytics Office

Region and Country Exposure

Table 37: Large Hedge Fund Adviser Hedge Fund

Region Exposure ($ Billions)

As reported on Form PF, Questions 3(a) and 28.

Region

North America

Europe EEA

Asia

Europe Other

South America

Supranational

Africa

Middle East

2019Q2

5,522

1,764

840

82

119

38

33

28

2019Q3

5,325

1,717

723

82

100

68

29

26

2019Q4

5,367

1,603

759

85

121

53

33

29

2020Q1

4,902

1,426

649

92

87

42

30

39

2020Q2

4,912

1,398

665

93

86

54

37

28

2020Q3

5,376

1,616

804

125

97

35

40

35

2020Q4

5,065

1,521

793

105

93

33

40

29

2021Q1

5,244

1,348

779

289

85

45

34

29

Table 38: Large Hedge Fund Adviser Hedge Fund

Region Exposure (Percent of Aggregate NAV)

As reported on Form PF, Questions 3(a) and 28.

Region

North America

Europe EEA

Asia

Europe Other

South America

Supranational

Africa

Middle East

2019Q2

156.5

50.0

23.8

2.3

3.4

1.1

0.9

0.8

2019Q3

153.7

49.6

20.9

2.4

2.9

2.0

0.8

0.8

2019Q4

150.7

45.0

21.3

2.4

3.4

1.5

0.9

0.8

2020Q1

150.7

43.8

20.0

2.8

2.7

1.3

0.9

1.2

32

2020Q2

138.0

39.3

18.7

2.6

2.4

1.5

1.0

0.8

2020Q3

142.2

42.7

21.3

3.3

2.6

0.9

1.1

0.9

2020Q4

129.0

38.7

20.2

2.7

2.4

0.8

1.0

0.7

2021Q1

127.2

32.7

18.9

7.0

2.1

1.1

0.8

0.7

November 1, 2021

Analytics Office

Table 39: Large Hedge Fund Adviser Hedge Fund

Country Exposure ($ Billions)

As reported on Form PF, Questions 3(a) and 28.

Country

United States

China (Inc. Hong Kong)

Japan

India

Brazil

Russia

2019Q2

5,233

186

239

32

46

11

2019Q3

5,121

175

286

34

40

11

2019Q4

5,034

198

263

37

50

14

2020Q1

4,681

180

220

29

32

15

2020Q2

4,692

221

190

30

33

17

2020Q3

5,117

270

213

32

36

16

2020Q4

4,830

285

214

36

38

18

2021Q1

4,992

280

208

46

33

16

2020Q4

123.0

7.3

5.4

0.9

1.0

0.5

2021Q1

121.1

6.8

5.0

1.1

0.8

0.4

Table 40: Large Hedge Fund Adviser Hedge Fund

Country Exposure (Percent of Aggregate NAV)

As reported on Form PF, Questions 3(a) and 28.

Country

United States

China (Inc. Hong Kong)

Japan

India

Brazil

Russia

2019Q2

148.3

5.3

6.8

0.9

1.3

0.3

2019Q3

147.9

5.1

8.3

1.0

1.2

0.3

2019Q4

141.3

5.6

7.4

1.0

1.4

0.4

33

2020Q1

143.9

5.5

6.8

0.9

1.0

0.5

2020Q2

131.8

6.2

5.3

0.8

0.9

0.5

2020Q3

135.3

7.2

5.6

0.9

1.0

0.4

November 1, 2021

VIII

Qualifying Hedge Fund Specific Information

Economic Leverage

Figure 10: Ratio of Qualifying Hedge Fund Gross Notional Exposure to Net Asset Value

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

7.5

5.0

2.5

7.5

5.0

2.5

0.0

20

20

19

-0

20 6

19

-0

20 9

19

-1

20 2

20

-0

20 3

20

-0

20 6

20

-0

20 9

20

-1

20 2

21

-03

0.0

10.0

20 6

19

-0

20 9

19

-1

20 2

20

-0

20 3

20

-0

20 6

20

-0

20 9

20

-1

20 2

21

-03

10.0

12.5

19

-0

12.5

Ratio of GNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

As reported on Form PF, Questions 9, 10, 26, and 30.

Ratio of GNE to NAV

Winsorized (limits=[0%,98%])

A

Analytics Office

(a) Including IRDs

(b) Excluding IRDs

34

-06

(a) LNE Including IRDs

(c) SNE Including IRDs

35

-0

20 9

19

-1

20 2

20

-0

20 3

20

-0

20 6

20

-0

20 9

20

-1

20 2

21

-03

0

19

2

20

4

-0

20 6

19

-0

20 9

19

-1

20 2

20

-0

20 3

20

-0

20 6

20

-0

20 9

20

-1

20 2

21

-03

19

20

0

-06

2

Ratio of LNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

4

19

6

Ratio of SNE (w/o IRDs) to NAV

Winsorized (limits=[0%,98%])

19

-0

20 6

19

-0

20 9

19

-1

20 2

20

-0

20 3

20

-0

20 6

20

-0

20 9

20

-1

20 2

21

-03

20

Ratio of LNE to NAV

Winsorized (limits=[0%,98%])

6

20

-0

20 9

19

-1

20 2

20

-0

20 3

20

-0

20 6

20

-0

20 9

20

-1

20 2

21

-03

19

20

19

20

Ratio of SNE to NAV

Winsorized (limits=[0%,98%])

November 1, 2021

Analytics Office

Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and

Short Notional Exposure (SNE) to Net Asset Value

See Appendix C and Appendix D for an explanation of boxplots and winsorization.

As reported on Form PF, Questions 9, 10, 26, and 30.

6

4

2

0

(b) LNE Excluding IRDs

6

4

2

0

(d) SNE Excluding IRDs

November 1, 2021

B

Analytics Office

Gross Exposure by Strategy5

Table 41: Exposures of Hedge Funds ($ Billions)

As reported on Form PF, Questions 9 and 20.

Category

Equity

Other

Relative Value

Macro

Credit

Event Driven

Managed Futures/CTA

Investment in other funds

Total

Strategy

Subtotal

Long/Short

Long Bias

Market Neutral

Short Bias

Subtotal

Subtotal

F.I. Sov.

F.I. Conv. Arb.

F.I. Asset Backed

F.I. Corp.

Volatility Arb.

Subtotal

Global Macro

Currency

Commodity

Active Trading

Subtotal

Long/Short

Asset Based Lending

Subtotal

Distressed/Restruct.

Equity

Risk Arb./Merger Arb.

Subtotal

Quantitative

Fundamental

Subtotal

Total

2019Q2

1,627

867

392

363

5

1,073

1,054

774

59

134

69

18

752

666

***

37

***

314

246

68

337

165

86

86

191

***

***

41

5,389

2019Q3

1,600

833

404

360

4

1,082

1,021

723

57

159

64

19

707

629

***

33

***

305

234

71

308

160

78

71

191

***

***

48

5,263

2019Q4

1,698

880

443

371

3

1,120

1,030

714

60

177

61

18

664

578

44

38

5

315

233

82

311

163

79

69

192

***

***

48

5,378

2020Q1

1,370

713

373

***

***

1,093

1,106

836

55

129

53

32

643

576

36

27

4

327

240

87

271

140

65

65

159

157

1

50

5,017

2020Q2

1,619

867

443

307

1

1,111

983

700

80

116

62

26

640

572

***

24

***

358

265

93

281

159

64

59

126

***

***

42

5,159

2020Q3

1,730

957

485

***

***

1,112

1,023

689

101

135

72

26

796

724

40

27

4

370

272

98

307

162

71

74

149

145

4

43

5,529

2020Q4

1,952

1,090

548

***

***

1,173

997

676

121

112

56

32

745

680

30

30

4

393

295

98

366

169

96

101

164

***

***

43

5,832

2021Q1

1,987

1,114

574

***

***

1,233

981

647

129

103

58

43

736

666

***

33

***

414

315

98

408

180

116

111

169

***

***

51

5,977

5

Form PF Question 20 requires advisers to indicate which strategies best describe the reporting fund’s strategies

including a good faith estimate of the reporting fund’s allocation among strategies, and provides a list of investment

strategies for this purpose. Form PF does not define the investment strategies listed by Question 20.

36

November 1, 2021

Analytics Office

Table 42: Exposures of Hedge Funds (Percent of NAV)

As reported on Form PF, Questions 9 and 20.

Category

Equity

Other

Relative Value

Macro

Credit

Event Driven

Managed Futures/CTA

Investment in other funds

Total

Strategy

Subtotal

Long/Short

Long Bias

Market Neutral

Short Bias

Subtotal

Subtotal

F.I. Sov.

F.I. Conv. Arb.

F.I. Asset Backed

F.I. Corp.

Volatility Arb.

Subtotal

Global Macro

Currency

Commodity

Active Trading

Subtotal

Long/Short

Asset Based Lending

Subtotal

Distressed/Restruct.

Equity

Risk Arb./Merger Arb.

Subtotal

Quantitative

Fundamental

Subtotal

Total

2019Q2

51.5

27.4

12.4

11.5

0.1

33.9

33.3

24.5

1.9

4.2

2.2

0.6

23.8

21.1

***

1.2

***

9.9

7.8

2.1

10.7

5.2

2.7

2.7

6.0

***

***

1.3

170.5

2019Q3

50.5

26.3

12.7

11.3

0.1

34.1

32.2

22.8

1.8

5.0

2.0

0.6

22.3

19.8

***

1.0

***

9.6

7.4

2.2

9.7

5.0

2.5

2.2

6.0

***

***

1.5

166.1

37

2019Q4

52.7

27.3

13.8

11.5

0.1

34.8

32.0

22.2

1.9

5.5

1.9

0.6

20.6

18.0

1.4

1.2

0.2

9.8

7.2

2.5

9.7

5.1

2.5

2.1

6.0

***

***

1.5

167.1

2020Q1

47.2

24.6

12.9

***

***

37.7

38.1

28.8

1.9

4.5

1.8

1.1

22.2

19.9

1.2

0.9

0.1

11.3

8.3

3.0

9.3

4.8

2.3

2.2

5.5

5.4

0.1

1.7

173.0

2020Q2

50.7

27.1

13.9

9.6

0.0

34.8

30.8

21.9

2.5

3.6

1.9

0.8

20.0

17.9

***

0.8

***

11.2

8.3

2.9

8.8

5.0

2.0

1.8

3.9

***

***

1.3

161.5

2020Q3

51.2

28.3

14.4

***

***

32.9

30.3

20.4

3.0

4.0

2.1

0.8

23.5

21.4

1.2

0.8

0.1

11.0

8.0

2.9

9.1

4.8

2.1

2.2

4.4

4.3

0.1

1.3

163.6

2020Q4

55.0

30.7

15.4

***

***

33.0

28.1

19.0

3.4

3.2

1.6

0.9

21.0

19.1

0.8

0.9

0.1

11.1

8.3

2.7

10.3

4.8

2.7

2.8

4.6

***

***

1.2

164.2

2021Q1

53.4

30.0

15.4

***

***

33.1

26.4

17.4

3.5

2.8

1.6

1.2

19.8

17.9

***

0.9

***

11.1

8.5

2.6

11.0

4.8

3.1

3.0

4.5

***

***

1.4

160.7

November 1, 2021

C

Analytics Office

Leverage by Strategy

Table 43: Asset Weighted-Average Ratio of GAV to NAV

by Strategy

As reported on Form PF, Questions 8, 9, 10, and 20.

Strategy

Relative Value

Macro

Multi-Strategy

Equity

Credit

Managed Futures/CTA

Event Driven

Other

Investment in other funds

2019Q2

6.0

4.5

2.5

1.6

1.5

1.4

1.3

1.8

1.2

2019Q3

5.7

4.1

1.9

1.6

1.5

1.5

1.3

1.6

3.9

2019Q4

5.6

4.2

2.3

1.6

1.6

1.4

1.3

1.7

1.2

2020Q1

6.3

4.3

2.3

1.5

1.7

1.4

1.4

1.7

1.2

2020Q2

5.0

3.6

2.0

1.6

1.6

1.4

1.4

1.6

1.3

2020Q3

4.8

4.5

2.5

1.6

1.5

1.5

1.3

1.5

1.3

2020Q4

5.7

4.4

3.0

1.6

1.5

1.5

1.3

1.5

1.2

2021Q1

5.6

4.3

3.1

1.5

1.5

1.5

1.4

1.4

1.2

Table 44: Asset Weighted-Average Ratio of GNE to NAV

by Strategy

As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month).

Strategy

Macro

Relative Value

Managed Futures/CTA

Multi-Strategy

Other

Credit

Equity

Event Driven

Investment in other funds

2019Q2

29.1

24.0

19.9

9.8

4.7

2.6

3.2

2.0

2.4

2019Q3

25.5

23.0

19.8

10.1

4.3

2.4

3.2

1.9

10.3

2019Q4

27.2

24.2

18.5

11.5

4.3

2.8

3.0

1.9

1.9

2020Q1

26.4

25.5

14.6

10.3

4.6

3.1

2.6

1.9

1.8

2020Q2

19.8

22.5

17.4

9.4

4.1

2.8

2.9

1.8

2.0

2020Q3

32.4

19.6

20.9

10.3

3.4

2.8

2.8

1.8

2.0

2020Q4

32.8

23.6

19.7

12.4

3.2

2.8

2.7

1.9

2.1

2021Q1

37.1

24.9

19.2

14.6

3.1

3.0

2.8

2.0

1.9

Table 45: Asset Weighted-Average Percent of Unencumbered Cash

by Strategy

As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month).

Strategy

Macro

Managed Futures/CTA

Multi-Strategy

Relative Value

Other

Credit

Equity

Event Driven

Investment in other funds

2019Q2

38.8

48.5

25.7

18.6

18.8

6.8

9.6

7.2

5.8

2019Q3

37.7

45.2

22.3

22.5

17.1

7.1

10.8

10.0

13.0

2019Q4

39.8

43.4

22.7

22.6

14.9

7.7

9.4

10.4

6.6

38

2020Q1

43.2

58.6

25.0

26.3

16.1

8.3

15.3

12.3

4.7

2020Q2

40.2

46.1

28.5

24.0

16.2

7.4

10.5

10.0

5.1

2020Q3

38.3

47.7

30.1

26.2

13.4

7.9

8.3

8.0

6.0

2020Q4

40.3

40.4

26.4

25.7

12.4

9.7

7.9

8.5

7.2

2021Q1

42.0

38.7

24.9

21.9

12.5

9.4

8.0

7.5

1.1

November 1, 2021

D

Analytics Office

Investment Exposures

Table 46: Aggregate Qualifying Hedge Fund Gross Notional Exposure

by Asset Type ($ Billions)

As reported on Form PF, Questions 26 and 30.

Interest Rate Derivatives

Foreign Exchange Derivatives

Non-Financial Listed Equities

Repurchase Agreements

U.S. Treasury Securities

Non-Financial Equity Derivatives

Sovereign Bonds - Non-U.S. G10

Credit Derivatives

Cash/Cash Equivalents - Other

Non-Financial Unlisted Equities

Commodity Derivatives

Financial Listed Equities

Sovereign Bonds - Other

Non-Financial Corporate Bonds

Leveraged Loans

Other Derivatives

Non-U.S. Currency Holdings

Cash/Cash Equivalents - Deposits

Non-Financial Convertible Bonds

MBS

Cash/Cash Equivalents - MMFs

Other Private Funds

Physical Real Estate

Other Loans (Excluding Repo)

Financial Equity Derivatives

Other

Financial Corporate Bonds

Other ABS/Structured Products

U.S. Agency and GSE Securities

CDO/CLO

Financial Unlisted Equities

U.S. State and Local Bonds

Registered Investment Companies

Financial Convertible Bonds

Physical Commodities

2019Q2

6,707

2,496

2,101

1,936

2,188

1,165

1,275

717

448

232

279

280

277

236

152

274

178

194

79

222

154

125

97

107

92

120

64

48

42

44

21

21

27

11

10

2019Q3

6,029

3,120

1,995

1,869

2,112

1,310

1,123

682

448

236

282

272

270

224

157

214

183

202

86

264

161

121

107

99

98

111

69

47

45

43

26

20

25

10

3

2019Q4

5,662

2,932

2,123

1,898

2,180

1,433

1,187

651

445

268

313

292

286

221

166

403

182

205

90

295

171

123

106

107

106

96

66

49

43

42

24

20

13

10

3

39

2020Q1

5,568

3,176

1,547

1,986

1,941

1,128

923

533

468

238

205

195

229

201

168

229

151

212

86

207

209

113

102

100

82

103

63

41

36

31

22

20

11

8

2

2020Q2

5,225

2,829

1,937

1,772

1,754

1,117

952

485

393

255

234

236

269

244

181

197

187

190

117

236

186

114

99

109

89

100

66

41

35

35

22

20

22

9

3

2020Q3

6,285

3,154

2,134

2,031

1,723

1,146

1,143

531

373

288

272

242

342

243

197

228

174

190

140

243

169

122

100

117

86

85

68

43

39

35

24

19

19

8

4

2020Q4

6,147

3,177

2,484

1,875

1,574

1,248

1,260

582

391

317

304

270

321

217

202

226

170

184

174

205

168

133

112

115

92

89

66

42

42

33

26

19

16

8

7

2021Q1

6,666

3,698

2,537

1,825

1,638

1,571

1,278

729

482

385

328

312

272

234

223

211

201

196

182

174

173

145

120

118

97

95

65

43

39

35

27

18

16

9

4

November 1, 2021

Analytics Office

Table 47: Percent of Qualifying Hedge Fund Gross Notional Exposure

Representing Long Notional Exposure

As reported on Form PF, Questions 26 and 30.

Interest Rate Derivatives

Foreign Exchange Derivatives

Non-Financial Listed Equities

Repurchase Agreements

U.S. Treasury Securities

Non-Financial Equity Derivatives

Sovereign Bonds - Non-U.S. G10

Credit Derivatives

Cash/Cash Equivalents - Other

Non-Financial Unlisted Equities

Commodity Derivatives

Financial Listed Equities

Sovereign Bonds - Other

Non-Financial Corporate Bonds

Leveraged Loans

Other Derivatives

Non-U.S. Currency Holdings

Cash/Cash Equivalents - Deposits

Non-Financial Convertible Bonds

MBS

Cash/Cash Equivalents - MMFs

Other Private Funds

Physical Real Estate

Other Loans (Excluding Repo)

Financial Equity Derivatives

Other

Financial Corporate Bonds

Other ABS/Structured Products

U.S. Agency and GSE Securities

CDO/CLO

Financial Unlisted Equities

U.S. State and Local Bonds

Registered Investment Companies

Financial Convertible Bonds

Physical Commodities

2019Q2

51.7

54.8

67.7

37.1

60.0

54.3

52.3

42.2

79.2

99.8

59.3

69.9

77.0

80.9

99.2

63.5

56.3

69.4

93.7

82.4

***

99.8

***

89.7

57.3

92.2

90.4

99.3

82.5

***

99.8

99.3

97.7

95.7

99.0

2019Q3

49.7

59.4

67.8

35.1

61.2

54.4

55.2

45.2

81.2

99.8

58.8

68.9

78.0

81.0

99.5

56.2

58.3

64.0

92.6

82.6

***

99.5

***

89.5

55.5

96.1

91.6

99.3

79.9

***

99.6

***

98.0

96.0

97.7

2019Q4

47.8

58.3

68.7

35.9

60.6

57.8

54.4

49.7

81.6

99.9

64.8

68.7

75.5

82.1

99.5

41.5

52.9

61.0

94.5

81.6

98.9

99.8

***

90.4

55.3

96.3

92.0

99.3

75.4

***

99.4

99.5

97.3

95.8

***

40

2020Q1

47.9

57.8

69.9

37.1