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 9, 2022

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 $14 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 allow the Commission to better monitor

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

Part III of this tenth 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 $14 trillion in reported net assets as of the fourth 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, 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, Fourth 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 note 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 access

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 note 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 supra note 6.

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 note 2, at Section II.E

11

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

3

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 Form 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 note 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, the Commission has recently proposed amendments to Form PF to

require new current reporting of certain events for large hedge fund advisers and advisers to private equity

funds, among other things. 17 In a joint rulemaking proposal with the CFTC, the Commission proposed

additional amendments to Form PF to enhance FSOC’s ability to monitor systemic risk as well as bolster

the SEC’s regulatory oversight of private fund advisers and investor protection efforts. 18 In a proposed

rulemaking to provide greater transparency through the publication of certain short sale related data, the

Commission utilized Form PF data on short selling in hedge funds. 19 The Commission used Form PF data

to show that certain hedge funds may engage in activities that fall under a new proposed rule that modifies

the definition of “dealer” and “Government Securities Dealer.” 20 Form PF data on private fund advisers

and the private fund space informed the Commission on a proposed rulemaking to enhance oversight on

private fund advisers and to further protect private fund investors. 21

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

See Amendments to Form PF to Require Current Reporting and Amend Reporting Requirements for Large

Private Equity Advisers and Large Liquidity Fund Advisers, Advisers Act Release No. 5950 (Jan. 26, 2022),

[87 FR 9106 (Feb. 17, 2022)], https://www.sec.gov/rules/proposed/2022/ia-5950.pdf.

18

See Form PF; Reporting Requirements for All Filers and Large Hedge Fund Advisers, Advisers Act Release

No. 6083 (Aug. 10, 2022), [87 FR 53832 (Sept. 1, 2022)], https://www.sec.gov/rules/proposed/2022/ia6083.pdf.

19

See Short Position and Short Activity Reporting by Institutional Investment Managers, Securities Exchange

Act Release No. 34-94313 (Feb. 25, 2022), [87 FR 14950 Mar. 16, 2022)],

https://www.sec.gov/rules/proposed/2022/34-94313.pdf.

20

See Further Definition of “As a Part of a Regular Business” in the Definition of Dealer and Government

Securities Dealer, Securities Exchange Act Release No. 34-94524 (Mar. 28, 2022), [87 FR 23054 (Apr. 18,

2022)], https://www.sec.gov/rules/proposed/2022/34-94524.pdf.

21

See Private Fund Advisers; Documentation of Registered Investment Adviser Compliance Reviews,

Advisers Act Release No. 5955 (Feb. 9, 2022), [87 FR 16886 (Mar. 24, 2022)],

https://www.sec.gov/rules/proposed/2022/ia-5955.pdf.

6

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. 22 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. 23 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

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

published. The Appendix contains the most recent report. 24

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.25 Staff understands that the financial

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

22

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

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

23

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.

24

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

25

See

Division

of

Investment

Management,

Money

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

7

Market

Fund

Statistics,

to assist investors with investment decisions. 26 In addition, the staff understands that other regulators and

organizations may also monitor these public reports for their own risk monitoring activities. 27

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

26

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.

27

See

IOSCO

investment

Funds

Statistics

https://www.iosco.org/library/pubdocs/pdf/IOSCOPD693.pdf.

8

Report,

Jan.

2022,

hedge funds. 28 Another staff white paper used Form PF data to characterize private liquidity funds and

compare them to registered money market funds. 29

Assisting the Examinations and Enforcement Programs 30

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.

28

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;

George O. Aragon, A. Tolga Ergun, Mila

Getmansky, and Giulio Girardi, Measuring Hedge Fund Liquidity Mismatch, (July 1, 2021), https://jai.pmresearch.com/content/iijaltinv/24/1/26.full.pdf., Aragon, George O. and Ergun, A. Tolga and Girardi, Giulio,

Hedge Fund Liquidity Management: Insights for Fund Performance

Mar. 22, 2022),

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3734596. These papers report analyses using data

reported on Form PF in quarterly filings from 2013 to 2017.

29

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.

30

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).

9

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

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.31 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.

31

See, e.g., Financial Stability Oversight Council 2021 Annual Report (updated Dec. 17,

2021),home.treasury.gov/system/files/261/FSOC2021AnnualReport.pdf. Section 3.5.2.5 of this report

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

alternative funds.

10

Appendix

(Private Funds Statistics, First Calendar Quarter 2022)

A-1

Division of Investment Management

Analytics Office

Private Funds Statistics

First Calendar Quarter 2022

October 14, 2022

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

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

findings, or conclusions contained herein.

October 14, 2022

Analytics Office

Introduction

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

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

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

information of individual Form PF filers.

This report reflects data from Second Calendar Quarter 2020 through First Calendar Quarter

2022 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 2022 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 2022-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.

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

October 14, 2022

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

October 14, 2022

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

Section 4 Private Equity Fund

Other Private Fund

Real Estate Fund

Securitized Asset Fund

Venture Capital Fund

Qualifying Hedge Fund

Liquidity Fund

Section 3 Liquidity Fund

Total

2020Q2

14,501

9,415

4,405

4,974

3,115

1,721

1,155

1,814

67

45

34,948

2020Q3

14,498

9,476

4,408

4,962

3,116

1,726

1,150

1,780

69

47

34,997

2020Q4

15,752

9,379

5,267

5,390

3,289

1,862

1,422

1,793

72

53

37,166

2021Q1

15,841

9,484

5,292

5,406

3,292

1,867

1,422

1,860

73

54

37,385

2021Q2

15,879

9,622

5,308

5,385

3,295

1,915

1,424

1,967

76

56

37,596

2021Q3

15,853

9,496

5,309

5,352

3,289

1,910

1,419

2,015

77

57

37,396

2021Q4

19,030

9,443

6,529

6,030

3,758

2,243

2,183

2,072

79

56

42,766

2022Q1

18,925

9,628

6,646

6,269

3,766

2,251

2,200

2,094

79

54

43,118

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

Section 4 Private Equity Fund

Other Private Fund

Real Estate Fund

Securitized Asset Fund

Venture Capital Fund

Qualifying Hedge Fund

Liquidity Fund

Section 3 Liquidity Fund

Total

2020Q2

1,365

1,727

325

644

372

160

153

540

37

22

3,241

2020Q3

1,368

1,728

326

642

373

161

152

530

38

23

3,238

2020Q4

1,450

1,760

366

691

388

165

178

545

37

24

3,387

2021Q1

1,456

1,760

367

693

388

165

177

568

37

24

3,392

2021Q2

1,459

1,765

369

691

389

166

176

590

37

24

3,396

2021Q3

1,457

1,761

369

682

388

165

176

594

37

24

3,387

2021Q4

1,629

1,855

433

734

424

176

229

618

39

24

3,659

2022Q1

1,628

1,853

435

734

426

175

231

608

39

23

3,659

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

October 14, 2022

Analytics Office

II

Gross and Net Assets

A

Aggregate Assets by Fund Type over Time

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

As reported on Form PF, Question 8.

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

because the rows are not mutually exclusive.

Fund Type

Hedge Fund

Qualifying Hedge Fund

Private Equity Fund

Section 4 Private Equity Fund

Other Private Fund

Real Estate Fund

Securitized Asset Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

Total

2020Q2

7,780

6,403

3,810

2,795

1,383

666

647

145

309

306

14,738

2020Q3

8,206

6,825

3,811

2,796

1,392

666

649

150

329

326

15,204

2020Q4

8,776

7,096

4,713

3,586

1,477

811

710

225

326

324

17,039

2021Q1

8,920

7,233

4,821

3,665

1,496

810

712

223

314

312

17,296

2021Q2

9,584

7,894

4,824

3,673

1,509

810

729

222

330

328

18,008

2021Q3

9,784

8,307

4,825

3,674

1,438

812

729

222

310

308

18,118

2021Q4

9,760

8,333

6,402

4,958

1,744

966

869

327

318

316

20,386

2022Q1

9,782

8,268

6,382

4,949

1,761

966

869

331

318

314

20,408

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

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

Total

2020Q2

4,092

3,215

3,374

2,493

1,216

507

202

138

303

300

9,833

2020Q3

4,300

3,401

3,375

2,493

1,229

507

204

144

323

320

10,082

2020Q4

4,664

3,574

4,161

3,203

1,300

615

218

218

322

320

11,498

5

2021Q1

4,813

3,740

4,264

3,276

1,318

613

216

215

304

302

11,744

2021Q2

5,133

4,057

4,269

3,283

1,341

613

219

214

319

317

12,108

2021Q3

5,116

4,166

4,269

3,283

1,274

615

220

215

302

300

12,010

2021Q4

5,132

4,191

5,740

4,485

1,555

742

264

307

313

311

14,053

2022Q1

5,151

4,150

5,726

4,483

1,577

743

265

311

313

309

14,086

October 14, 2022

Analytics Office

Figure 1: GAV and NAV Distributions

See Appendix C for an explanation of boxplots.

8

6

6

NAV ($Billions)

4

2

(a) Qualifying Hedge Fund GAV

(b) Qualifying Hedge Fund NAV

1500

NAV ($Millions)

500

1000

500

0

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q

20 1

21

Q

20 2

21

Q

20 3

21

Q

20 4

22

Q1

(d) Section 4 Private Equity Fund NAV

20

20

(c) Section 4 Private Equity Fund GAV

20

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q

20 1

21

Q

20 2

21

Q

20 3

21

Q

20 4

22

Q1

0

20

GAV ($Millions)

1500

1000

0Q

20 3

20

Q

20 4

21

Q

20 1

21

Q

20 2

21

Q

20 3

21

Q

20 4

22

Q1

0Q

2

20

2

0Q

20 3

20

Q

20 4

21

Q

20 1

21

Q

20 2

21

Q

20 3

21

Q

20 4

22

Q1

20

2

20

2

2

0

0Q

2

0

4

20

2

GAV ($Billions)

As reported on Form PF, Questions 8 and 9.

8

6

October 14, 2022

Analytics Office

Figure 2: Ratio of GAV to NAV

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

2.0

1.5

1.0

0.5

20 2

20

Q

20 3

20

Q

20 4

21

Q

20 1

21

Q

20 2

21

Q

20 3

21

Q

20 4

22

Q1

0.0

2.5

2.0

1.5

1.0

0.5

0.0

20

20

3.0

20

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q

20 1

21

Q

20 2

21

Q

20 3

21

Q

20 4

22

Q1

Ratio of GAV to NAV

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

2.5

20

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

October 14, 2022

Borrowings

Table 5: Aggregate Borrowings (Percent of Aggregate GAV)

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

Fund Type

Securitized Asset Fund

Qualifying Hedge Fund

Hedge Fund

Real Estate Fund

Private Equity Fund

Section 4 Private Equity Fund

Other Private Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

2020Q2

47.7

45.3

41.3

14.6

6.4

7.3

4.7

0.8

0.0

0.0

2020Q3

47.5

47.0

43.0

14.6

6.4

7.3

4.8

0.8

0.0

0.0

2020Q4

53.4

45.6

41.0

13.8

5.0

5.1

5.0

0.5

0.0

0.0

2021Q1

50.1

45.2

40.9

13.9

4.7

4.9

4.9

0.5

0.0

0.0

2021Q2

50.0

45.7

41.6

13.6

4.7

4.9

4.1

0.5

0.0

0.0

2021Q3

49.8

44.6

41.3

14.0

4.7

4.9

3.9

0.5

0.0

0.0

2021Q4

52.4

45.6

42.1

13.2

5.5

5.4

3.5

0.7

0.0

0.0

2022Q1

49.7

43.2

39.8

12.2

5.5

5.5

3.6

0.7

0.0

0.0

Figure 3: Distribution of Total Borrowings for All Private Funds

and Qualifying Hedge Funds

See Appendix C for an explanation of boxplots.

1

(a) All Private Funds

20

Q

20 3

20

Q

20 4

21

Q

20 1

21

Q

20 2

21

Q

20 3

21

Q

20 4

22

Q1

0

20

0

2

20

200

3

20

400

4

Q2

Total Borrowings ($Billions)

600

20

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q

20 1

21

Q

20 2

21

Q

20 3

21

Q

20 4

22

Q1

Total Borrowings ($Millions)

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

20

B

Analytics Office

(b) Qualifying Hedge Funds

8

October 14, 2022

Analytics Office

Figure 4: Ratio of Borrowings to NAV

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

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

3

2

1

0

4

Ratio of Borrowings to NAV

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

20

20

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q

20 1

21

Q

20 2

21

Q

20 3

21

Q

20 4

22

Q1

Ratio of Borrowings to NAV

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

20

20

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q

20 1

21

Q

20 2

21

Q

20 3

21

Q

20 4

22

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

2020Q2

66.7

30.8

2.5

1.0

2020Q3

64.7

32.9

2.4

1.0

2020Q4

66.3

30.4

2.3

1.0

9

2021Q1

67.2

30.1

2.4

1.0

2021Q2

67.7

29.9

2.2

0.9

2021Q3

67.0

30.5

2.3

0.9

2021Q4

67.1

29.3

2.8

1.0

2022Q1

66.4

30.5

3.1

0.9

October 14, 2022

C

Analytics Office

Fair Value Hierarchy

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

As reported on Form PF, Question 14.

Level One

Level Two

Level Three

Cost-Based

2020Q2

3,825

3,500

4,119

2,345

2020Q3

3,836

3,519

4,129

2,342

2020Q4

4,249

3,657

5,071

2,333

2021Q1

4,279

3,639

5,171

2,340

2021Q2

4,315

3,648

5,203

2,333

2021Q3

4,384

3,650

5,273

2,323

2021Q4

4,683

3,841

6,794

2,852

2022Q1

4,651

3,826

6,829

2,876

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

As reported on Form PF, Question 14.

Level One

Level Two

Level Three

Cost-Based

2020Q2

1,289

1,059

268

2,228

2020Q3

1,299

1,066

267

2,228

2020Q4

1,344

1,197

294

2,067

2021Q1

1,336

1,175

296

2,081

10

2021Q2

1,340

1,179

303

2,075

2021Q3

1,342

1,197

338

2,071

2021Q4

1,701

1,362

376

2,273

2022Q1

1,701

1,350

377

2,270

October 14, 2022

D

Analytics Office

Parallel Managed Accounts4

Table 9: Number of Funds with Parallel Managed Accounts

As reported on Form PF, Question 11.

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

because the rows are not mutually exclusive.

Type

Hedge Fund

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

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

2021Q2

575

487

312

200

115

73

17

***

11

***

1,478

2021Q3

559

486

312

207

115

73

17

***

***

***

1,460

2021Q4

569

505

301

207

137

81

30

***

***

***

1,498

2022Q1

578

505

302

210

137

89

30

***

***

***

1,516

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

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

2021Q2

808

2,647

98

512

68

7

1

***

396

***

3,970

2021Q3

840

2,642

98

551

68

7

1

***

***

***

3,993

2021Q4

880

2,675

112

565

102

15

2

***

***

***

4,103

2022Q1

839

2,672

112

538

102

16

2

***

***

***

4,018

4

Certain data points in the tables in this section and other sections may be masked to avoid possible disclosure of

proprietary information of individual Form PF filers.

11

October 14, 2022

Analytics Office

Figure 5: Parallel Managed Account Value Distributions

See Appendix C for an explanation of boxplots.

2

1

20 2

20

Q

20 3

20

Q

20 4

21

Q

20 1

21

Q

20 2

21

Q

20 3

21

Q

20 4

22

Q1

0

20

2

4

2

0

20 2

20

Q

20 3

20

Q

20 4

21

Q

20 1

21

Q

20 2

21

Q

20 3

21

Q

20 4

22

Q1

Parallel Managed Assets ($Billions)

3

0Q

4

6

20

2

5

0Q

Parallel Managed Assets ($Billions)

As reported on Form PF, Question 11.

(a) All Private Funds

(b) Qualifying Hedge Funds

12

October 14, 2022

III

Analytics Office

Fund Domiciles and Adviser Main Offices

Table 11: Fund Domicile (Percent of NAV)

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

Country

United States

Cayman Islands

Luxembourg

Ireland

Bermuda

United Kingdom

Virgin Islands, British

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

2020Q2 2020Q3 2020Q4 2021Q1 2021Q2

50.9

50.4

51.0

50.9

50.0

34.6

34.9

34.4

34.2

34.3

3.1

3.2

3.7

3.6

3.7

4.6

4.8

4.3

4.1

4.1

1.1

1.0

1.0

1.0

1.0

1.0

1.0

1.0

1.0

0.9

1.1

1.1

1.0

1.0

1.0

3.7

3.6

3.6

4.1

5.0

Qualifying Hedge Funds

2020Q2 2020Q3 2020Q4 2021Q1 2021Q2

52.5

53.2

53.4

52.7

51.6

35.1

34.6

34.1

35.0

34.1

3.1

3.1

3.2

3.1

3.2

3.0

2.9

2.8

2.8

2.7

2.5

2.6

2.7

2.6

2.5

2.0

1.9

1.8

1.7

1.6

1.8

1.8

2.0

2.1

4.3

Section 3 Liquidity Funds

2020Q2 2020Q3 2020Q4 2021Q1 2021Q2

***

***

***

***

***

24.1

22.9

25.5

28.0

27.8

***

***

***

***

***

***

***

***

***

***

Section 4 Private Equity Funds

2020Q2 2020Q3 2020Q4 2021Q1 2021Q2

55.1

55.1

56.3

55.2

55.2

31.3

31.3

29.6

29.0

28.9

1.8

1.8

2.2

2.2

2.2

1.7

1.7

1.5

1.5

1.5

1.0

1.0

1.1

1.1

1.1

9.1

9.1

9.3

11.0

11.1

13

2021Q3

49.5

34.8

3.7

4.0

1.0

0.9

1.0

5.0

2021Q4

51.7

32.8

4.1

3.9

0.9

1.0

0.9

4.6

2022Q1

52.2

32.8

4.1

3.9

1.0

0.9

0.9

4.2

2021Q3

51.8

33.9

3.2

2.7

2.5

1.5

4.5

2021Q4

51.8

34.2

3.2

2.6

2.4

1.5

4.2

2022Q1

51.0

34.9

3.1

2.8

2.4

1.7

4.2

2021Q3

***

26.6

***

***

2021Q4

***

27.6

***

***

2022Q1

***

28.5

***

***

2021Q3

55.2

28.9

2.2

1.5

1.1

11.1

2021Q4

56.2

29.3

2.0

1.4

1.2

9.9

2022Q1

56.9

29.6

1.9

1.4

1.2

9.0

October 14, 2022

Analytics Office

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

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

Country

United States

United Kingdom

Other

2020Q2

90.1

5.3

4.6

Country

United States

United Kingdom

Australia

Hong Kong

Other

2020Q2

89.8

4.5

***

***

2.0

Country

United States

United Kingdom

2020Q2

***

***

Country

United States

Canada

Other

2020Q2

93.8

***

***

All Private Funds

2020Q3 2020Q4 2021Q1 2021Q2

90.0

90.4

90.3

89.4

5.3

4.6

4.8

4.8

4.6

4.9

4.9

5.9

Qualifying Hedge Funds

2020Q3 2020Q4 2021Q1 2021Q2

89.8

88.9

89.6

87.6

4.4

4.7

4.4

4.3

***

***

***

***

***

***

***

***

1.9

2.0

1.8

4.0

Section 3 Liquidity Funds

2020Q3 2020Q4 2021Q1 2021Q2

***

***

***

***

***

***

***

***

Section 4 Private Equity Funds

2020Q3 2020Q4 2021Q1 2021Q2

93.8

94.2

94.3

94.3

***

***

***

***

***

***

***

***

14

2021Q3

89.6

4.6

5.8

2021Q4

91.2

3.9

4.9

2022Q1

90.9

4.0

5.1

2021Q3

88.0

4.1

***

***

4.1

2021Q4

88.1

4.1

***

***

4.1

2022Q1

88.5

3.9

***

***

4.1

2021Q3

***

***

2021Q4

***

***

2022Q1

***

***

2021Q3

94.3

***

***

2021Q4

95.6

***

***

2022Q1

95.6

***

***

October 14, 2022

IV

A

Analytics Office

Beneficial Ownership

All Private Funds

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

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Other

State/Muni. Govt. Pension Plans

U.S. Individuals

Pension Plans

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

2020Q2

1,674

1,511

1,331

966

1,142

992

670

470

248

238

173

173

130

112

2020Q3

1,713

1,563

1,343

999

1,164

1,018

690

476

258

260

175

172

129

115

2020Q4

2,041

1,828

1,534

1,164

1,248

1,142

803

554

296

277

192

169

134

111

2021Q1

2,073

1,861

1,557

1,196

1,266

1,170

844

567

309

269

199

176

143

110

2021Q2

2,129

1,948

1,576

1,226

1,278

1,208

855

584

387

263

205

190

144

110

2021Q3

2,132

1,929

1,586

1,208

1,262

1,215

856

594

384

266

203

189

138

44

2021Q4

2,595

2,442

1,857

1,421

1,370

1,312

1,006

696

416

317

232

188

154

42

2022Q1

2,635

2,443

1,881

1,416

1,376

1,294

1,000

704

401

305

226

195

160

45

2021Q4

18.5

17.4

13.2

10.1

9.8

9.3

7.2

5.0

3.0

2.3

1.7

1.3

1.1

0.3

2022Q1

18.7

17.3

13.4

10.1

9.8

9.2

7.1

5.0

2.8

2.2

1.6

1.4

1.1

0.3

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

U.S. Individuals

Pension Plans

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

2020Q2

17.0

15.4

13.5

9.8

11.6

10.1

6.8

4.8

2.5

2.4

1.8

1.8

1.3

1.1

2020Q3

17.0

15.5

13.3

9.9

11.5

10.1

6.8

4.7

2.6

2.6

1.7

1.7

1.3

1.1

15

2020Q4

17.8

15.9

13.3

10.1

10.9

9.9

7.0

4.8

2.6

2.4

1.7

1.5

1.2

1.0

2021Q1

17.7

15.8

13.3

10.2

10.8

10.0

7.2

4.8

2.6

2.3

1.7

1.5

1.2

0.9

2021Q2

17.6

16.1

13.0

10.1

10.6

10.0

7.1

4.8

3.2

2.2

1.7

1.6

1.2

0.9

2021Q3

17.8

16.1

13.2

10.1

10.5

10.1

7.1

4.9

3.2

2.2

1.7

1.6

1.2

0.4

October 14, 2022

B

Analytics Office

Qualifying Hedge Funds

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

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Other

Non-Profits

Pension Plans

U.S. Individuals

State/Muni. Govt. Pension Plans

Sov. Wealth Funds And For. Official Inst.

Non-U.S. Individuals

Insurance Companies

Unknown Non-U.S. Investors

State/Muni. Govt. Entities

Banking/Thrift Inst.

Sec-Registered Investment Companies

Broker-Dealers

2020Q2

532

428

470

409

362

356

205

91

96

56

50

34

45

78

2020Q3

564

466

494

429

384

368

220

99

101

60

50

37

46

80

2020Q4

607

493

539

458

415

399

227

111

113

67

53

38

38

17

2021Q1

643

523

561

468

454

411

237

113

122

63

56

40

41

5

2021Q2

696

573

594

479

486

430

244

186

131

80

62

43

42

6

2021Q3

725

598

601

478

492

447

256

186

140

89

59

42

42

8

2021Q4

724

607

602

479

492

458

264

182

144

86

62

41

38

9

2022Q1

733

603

581

478

473

462

266

171

147

82

61

41

39

9

2021Q4

17.3

14.5

14.4

11.4

11.7

10.9

6.3

4.3

3.4

2.1

1.5

1.0

0.9

0.2

2022Q1

17.7

14.5

14.0

11.5

11.4

11.1

6.4

4.1

3.5

2.0

1.5

1.0

0.9

0.2

Table 16: Beneficial Ownership for Qualifying Hedge Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

Other

Non-Profits

Pension Plans

U.S. Individuals

State/Muni. Govt. Pension Plans

Sov. Wealth Funds And For. Official Inst.

Non-U.S. Individuals

Insurance Companies

Unknown Non-U.S. Investors

State/Muni. Govt. Entities

Banking/Thrift Inst.

Sec-Registered Investment Companies

Broker-Dealers

2020Q2

16.5

13.3

14.6

12.7

11.3

11.1

6.4

2.8

3.0

1.8

1.5

1.1

1.4

2.4

2020Q3

16.6

13.7

14.5

12.6

11.3

10.8

6.5

2.9

3.0

1.8

1.5

1.1

1.3

2.3

16

2020Q4

17.0

13.8

15.1

12.8

11.6

11.2

6.3

3.1

3.2

1.9

1.5

1.1

1.1

0.5

2021Q1

17.2

14.0

15.0

12.5

12.1

11.0

6.3

3.0

3.3

1.7

1.5

1.1

1.1

0.1

2021Q2

17.2

14.1

14.7

11.8

12.0

10.6

6.0

4.6

3.2

2.0

1.5

1.1

1.0

0.2

2021Q3

17.4

14.4

14.4

11.5

11.8

10.7

6.1

4.5

3.4

2.1

1.4

1.0

1.0

0.2

October 14, 2022

C

Analytics Office

Section 3 Liquidity Funds

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

As reported on Form PF, Questions 9 and 16.

Type

Other

Private Funds

Unknown Non-U.S. Investors

Banking/Thrift Inst.

Sec-Registered Investment Companies

Broker-Dealers

Insurance Companies

Pension Plans

Sov. Wealth Funds And For. Official Inst.

Non-Profits

Non-U.S. Individuals

State/Muni. Govt. Entities

U.S. Individuals

State/Muni. Govt. Pension Plans

2020Q2

92

57

59

***

17

***

11

***

***

2

3

***

***

***

2020Q3

93

55

77

11

18

***

10

5

***

2

3

***

***

1

2020Q4

89

59

81

***

20

***

10

9

***

3

***

***

***

1

2021Q1

83

55

73

***

24

***

11

7

***

3

***

***

***

1

2021Q2

105

52

57

24

25

***

11

8

***

3

4

***

***

1

2021Q3

101

50

50

***

27

***

9

7

***

3

3

***

***

1

2021Q4

96

57

60

***

23

***

9

7

***

4

***

3

***

1

2022Q1

103

58

51

***

24

***

8

5

***

3

***

***

***

1

2021Q4

31.0

18.5

19.2

***

7.5

***

2.8

2.3

***

1.2

***

1.0

***

0.3

2022Q1

33.4

18.6

16.6

***

7.8

***

2.6

1.7

***

1.0

***

***

***

0.3

Table 18: Beneficial Ownership for Section 3 Liquidity Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type

Other

Private Funds

Unknown Non-U.S. Investors

Banking/Thrift Inst.

Sec-Registered Investment Companies

Broker-Dealers

Insurance Companies

Pension Plans

Sov. Wealth Funds And For. Official Inst.

Non-Profits

Non-U.S. Individuals

State/Muni. Govt. Entities

U.S. Individuals

State/Muni. Govt. Pension Plans

2020Q2

30.7

18.9

19.8

***

5.6

***

3.8

***

***

0.6

0.9

***

***

***

2020Q3

29.1

17.2

24.0

3.5

5.6

***

3.2

1.5

***

0.8

0.8

***

***

0.3

17

2020Q4

27.8

18.4

25.2

***

6.3

***

3.1

2.7

***

0.8

***

***

***

0.4

2021Q1

27.4

18.1

24.1

***

7.9

***

3.6

2.3

***

1.0

***

***

***

0.3

2021Q2

33.1

16.5

18.0

7.4

7.8

***

3.5

2.4

***

1.0

1.1

***

***

0.3

2021Q3

33.8

16.5

16.7

***

8.9

***

3.2

2.4

***

1.1

0.9

***

***

0.4

October 14, 2022

D

Analytics Office

Section 4 Private Equity Funds

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

As reported on Form PF, Questions 9 and 16.

Type

Private Funds

State/Muni. Govt. Pension Plans

Other

Sov. Wealth Funds And For. Official Inst.

Pension Plans

U.S. Individuals

Insurance Companies

Non-Profits

State/Muni. Govt. Entities

Non-U.S. Individuals

Sec-Registered Investment Companies

Banking/Thrift Inst.

Unknown Non-U.S. Investors

Broker-Dealers

2020Q2

468

526

392

285

201

132

154

140

56

54

28

37

19

1

2020Q3

468

526

392

285

201

132

154

140

56

54

28

37

19

1

2020Q4

656

652

513

361

246

186

189

180

63

65

27

38

25

3

2021Q1

659

654

544

387

246

187

190

180

63

71

27

38

25

3

2021Q2

662

655

544

388

247

187

190

180

63

71

27

38

25

3

2021Q3

662

655

544

388

247

187

190

180

63

71

27

38

25

3

2021Q4

956

836

818

501

324

264

252

237

82

83

49

45

33

3

2022Q1

974

850

802

477

325

265

255

238

82

77

50

49

34

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

U.S. Individuals

Insurance Companies

Non-Profits

State/Muni. Govt. Entities

Non-U.S. Individuals

Sec-Registered Investment Companies

Banking/Thrift Inst.

Unknown Non-U.S. Investors

Broker-Dealers

2020Q2

18.8

21.1

15.7

11.4

8.1

5.3

6.2

5.6

2.3

2.2

1.1

1.5

0.7

0.1

2020Q3

18.8

21.1

15.7

11.4

8.1

5.3

6.2

5.6

2.3

2.2

1.1

1.5

0.7

0.1

18

2020Q4

20.5

20.3

16.0

11.3

7.7

5.8

5.9

5.6

2.0

2.0

0.8

1.2

0.8

0.1

2021Q1

20.1

20.0

16.6

11.8

7.5

5.7

5.8

5.5

1.9

2.2

0.8

1.2

0.8

0.1

2021Q2

20.2

20.0

16.6

11.8

7.5

5.7

5.8

5.5

1.9

2.2

0.8

1.2

0.8

0.1

2021Q3

20.2

20.0

16.6

11.8

7.5

5.7

5.8

5.5

1.9

2.2

0.8

1.2

0.8

0.1

2021Q4

21.3

18.6

18.2

11.2

7.2

5.9

5.6

5.3

1.8

1.9

1.1

1.0

0.7

0.1

2022Q1

21.7

19.0

17.9

10.6

7.3

5.9

5.7

5.3

1.8

1.7

1.1

1.1

0.8

0.1

October 14, 2022

E

Analytics Office

Concentration

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

As reported on Form PF, Questions 9 and 15.

Type

Real Estate Fund

Other Private Fund

Hedge Fund

Venture Capital Fund

Qualifying Hedge Fund

Private Equity Fund

Liquidity Fund

Section 3 Liquidity Fund

Section 4 Private Equity Fund

Securitized Asset Fund

Total

2020Q2

56.6

59.1

55.3

54.8

50.4

50.5

46.3

45.9

44.9

39.5

53.6

2020Q3

56.6

58.5

55.4

54.7

50.5

50.5

44.2

43.8

44.9

39.1

53.5

2020Q4

56.2

59.6

55.4

53.8

50.7

50.2

43.8

43.6

45.2

36.6

53.3

19

2021Q1

56.2

59.4

55.2

53.7

50.5

51.1

45.4

45.2

46.1

35.3

53.6

2021Q2

56.1

59.4

54.2

53.9

49.7

51.1

47.4

47.1

46.2

35.0

53.3

2021Q3

56.1

60.2

54.0

53.9

49.9

51.1

46.3

46.0

46.2

35.0

53.2

2021Q4

59.0

56.9

53.9

52.5

49.9

49.4

46.1

45.8

44.8

37.3

52.2

2022Q1

59.0

57.4

54.6

52.5

50.9

49.1

48.1

47.7

44.7

37.5

52.4

October 14, 2022

V

Analytics Office

Derivatives

Table 22: Aggregate Derivative Value ($ Billions)

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

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

because the rows are not mutually exclusive.

Type

Hedge Fund

Qualifying Hedge Fund

Other Private Fund

Private Equity Fund

Section 4 Private Equity Fund

Real Estate Fund

Securitized Asset Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

Total

2020Q2

11,057

9,544

1,613

96

37

18

3

***

***

***

12,823

2020Q3

13,752

11,771

1,611

97

37

18

3

***

***

***

15,508

2020Q4

14,161

11,893

134

66

34

19

3

***

***

***

14,476

2021Q1

15,235

13,460

138

66

34

18

3

***

***

***

15,504

2021Q2

16,304

14,415

134

66

34

18

3

***

***

***

16,552

2021Q3

15,881

14,474

133

66

34

18

3

***

***

***

16,087

2021Q4

15,523

14,166

118

70

52

41

5

***

***

***

15,785

2022Q1

15,943

14,347

110

69

54

41

5

***

***

***

16,127

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

Securitized Asset Fund

Venture Capital Fund

Liquidity Fund

Section 3 Liquidity Fund

Total

2020Q2

270.2

296.9

132.7

2.9

1.5

3.6

1.5

***

***

***

130.4

2020Q3

319.8

346.1

131.0

2.9

1.5

3.6

1.5

***

***

***

153.8

2020Q4

303.6

332.8

10.3

1.6

1.1

3.1

1.2

***

***

***

125.9

20

2021Q1

316.5

359.9

10.5

1.5

1.0

2.9

1.3

***

***

***

132.0

2021Q2

317.6

355.3

10.0

1.6

1.0

2.9

1.2

***

***

***

136.7

2021Q3

310.4

347.4

10.4

1.6

1.0

2.9

1.2

***

***

***

133.9

2021Q4

302.5

338.0

7.6

1.2

1.2

5.6

1.8

***

***

***

112.3

2022Q1

309.5

345.7

7.0

1.2

1.2

5.6

1.8

***

***

***

114.5

October 14, 2022

Analytics Office

Figure 6: Distribution of Derivative Values

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

Total Derivative Value ($Billions)

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

1.0

0.5

7.5

5.0

2.5

0.0

20

20

10.0

20

Q

20 2

20

Q

20 3

20

Q

20 4

21

Q

20 1

21

Q

20 2

21

Q

20 3

21

Q

20 4

22

Q1

20 2

20

Q

20 3

20

Q

20 4

21

Q

20 1

21

Q

20 2

21

Q

20 3

21

Q

20 4

22

Q1

0.0

20

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

2020Q2

8,069

51

8

2020Q3

8,132

49

7

2020Q4

8,150

46

6

2021Q1

8,200

45

6

2021Q2

8,310

49

6

2021Q3

8,210

49

6

2021Q4

8,373

49

8

2022Q1

8,507

52

8

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

2020Q2

3,969

95

2

2020Q3

4,175

99

2

2020Q4

4,533

99

3

2021Q1

4,675

103

4

21

2021Q2

4,989

112

4

2021Q3

4,963

117

5

2021Q4

4,997

115

6

2022Q1

4,997

128

7

October 14, 2022

B

Analytics Office

Industry Concentration

Table 26: Percent of Aggregate Hedge Fund Net Asset Value

Reported by Top Hedge Funds Sorted by Net Asset Value

As reported on Form PF, Questions 9 and 10.

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2020Q2

7.5

14.0

20.1

28.2

42.7

56.1

2020Q3

7.5

14.0

20.4

28.7

43.4

56.7

2020Q4

7.1

13.5

19.9

28.3

43.0

56.4

2021Q1

7.1

13.3

19.5

27.8

42.6

56.1

2021Q2

7.0

13.0

19.1

27.5

42.2

55.9

2021Q3

7.3

13.3

19.4

27.8

42.7

56.2

2021Q4

7.3

13.3

19.3

27.6

42.2

55.7

2022Q1

7.6

13.5

19.5

27.6

42.0

55.5

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

2020Q2

14.8

23.8

32.4

41.6

55.1

66.5

2020Q3

15.3

24.6

33.3

42.4

56.0

67.2

2020Q4

14.9

23.7

32.5

41.5

55.3

66.5

2021Q1

14.1

22.8

31.5

40.4

54.1

65.8

2021Q2

14.8

23.7

32.2

40.7

54.1

65.7

2021Q3

16.2

25.2

33.5

42.3

55.4

66.8

2021Q4

16.2

25.3

33.5

41.9

54.9

66.3

2022Q1

15.8

25.6

33.5

41.9

54.5

66.1

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

2020Q2

35.0

50.3

62.5

73.5

84.4

91.4

2020Q3

34.6

51.0

62.7

73.9

84.9

91.8

2020Q4

33.4

48.8

61.0

72.2

84.1

91.3

2021Q1

32.4

47.1

59.7

71.0

83.1

90.7

22

2021Q2

31.7

47.5

60.2

70.7

83.0

90.8

2021Q3

32.2

48.0

60.5

71.1

83.2

90.9

2021Q4

34.7

49.3

61.4

72.1

83.3

90.9

2022Q1

34.1

48.6

61.0

71.5

83.4

90.8

October 14, 2022

Analytics Office

Table 29: Percent of Aggregate Hedge Fund Derivative Value

Reported by Top Hedge Funds Sorted by Derivative Value

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

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2020Q2

32.6

48.8

61.5

73.3

87.2

93.9

2020Q3

39.2

53.8

66.1

76.6

89.0

94.9

2020Q4

40.7

55.1

66.8

77.0

89.1

94.8

2021Q1

41.4

56.3

67.6

77.9

89.2

94.9

2021Q2

39.4

54.9

67.1

78.1

89.3

95.1

2021Q3

40.7

56.8

69.2

79.6

90.4

95.5

2021Q4

41.0

55.4

67.6

78.4

89.8

95.2

2022Q1

38.2

55.1

67.7

79.2

90.4

95.4

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

2020Q2

31.9

48.1

59.3

70.2

83.0

91.3

2020Q3

35.7

50.6

61.4

71.7

84.1

92.0

2020Q4

35.6

49.2

60.2

70.8

83.4

91.7

2021Q1

36.6

50.1

60.5

71.2

83.4

91.3

23

2021Q2

34.8

48.4

59.4

70.0

82.8

90.9

2021Q3

35.0

49.6

60.6

70.9

83.4

91.1

2021Q4

35.3

48.5

59.7

70.2

82.7

90.7

2022Q1

34.6

48.5

59.9

70.8

83.0

90.8

October 14, 2022

C

Analytics Office

Single-Strategy US-Domiciled Hedge Funds

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

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

Category

Equity

Other

Credit

Event Driven

Relative Value

Investment in other funds

Macro

Managed Futures/CTA

Total

Strategy

Subtotal

Long/Short

Long Bias

Market Neutral

Short Bias

Subtotal

Subtotal

Asset Based Lending

Long/Short

Subtotal

Distressed/Restruct.

Equity

Risk Arb./Merger Arb.

Subtotal

F.I. Asset Backed

F.I. Corp.

F.I. Conv. Arb.

Volatility Arb.

F.I. Sov.

Subtotal

Subtotal

Global Macro

Commodity

Active Trading

Currency

Subtotal

Quantitative

Fundamental

Total

2020Q2

547

239

269

38

2

481

98

46

52

47

32

11

4

43

27

8

5

1

1

30

11

8

2

***

***

5

***

***

1,095

2020Q3

567

251

282

33

1

490

103

47

56

47

31

11

5

48

29

9

7

1

1

31

12

9

2

***

***

5

***

***

1,140

24

2020Q4

615

266

318

30

1

537

119

56

63

51

34

12

5

48

28

11

7

1

2

29

11

8

***

***

***

6

***

***

1,251

2021Q1

642

288

329

25

1

561

122

55

67

56

37

12

6

49

29

9

8

1

1

31

13

10

***

***

***

6

***

***

1,314

2021Q2

666

310

327

28

1

589

126

57

68

61

41

14

6

48

28

9

8

1

1

32

13

9

***

***

***

6

***

***

1,369

2021Q3

654

307

319

27

1

595

134

62

72

66

47

13

6

49

30

9

7

1

1

32

13

10

3

***

***

6

***

***

1,384

2021Q4

681

327

324

***

***

628

140

69

71

75

44

20

11

55

32

11

9

2

1

34

13

9

3

***

***

6

***

***

1,441

2022Q1

638

312

298

26

1

652

144

72

72

76

47

19

10

56

33

11

9

2

1

34

15

10

4

***

***

7

***

***

1,437

October 14, 2022

Analytics Office

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

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

Category

Equity

Other

Credit

Event Driven

Relative Value

Investment in other funds

Macro

Managed Futures/CTA

Total

Strategy

Subtotal

Long/Short

Long Bias

Market Neutral

Short Bias

Subtotal

Subtotal

Asset Based Lending

Long/Short

Subtotal

Distressed/Restruct.

Equity

Risk Arb./Merger Arb.

Subtotal

F.I. Asset Backed

F.I. Corp.

F.I. Conv. Arb.

Volatility Arb.

F.I. Sov.

Subtotal

Subtotal

Global Macro

Commodity

Active Trading

Currency

Subtotal

Quantitative

Fundamental

Total

2020Q2

993

433

504

45

18

943

313

151

165

227

165

45

24

160

81

49

16

12

11

213

44

22

13

***

***

27

***

***

2,746

2020Q3

1,017

443

522

45

17

957

318

153

168

220

156

46

23

172

88

53

17

12

16

219

44

21

13

***

***

28

***

***

2,775

25

2020Q4

1,013

437

525

48

11

950

354

184

173

217

151

50

21

174

93

53

18

14

16

238

44

24

***

***

***

26

***

***

2,788

2021Q1

1,024

441

534

46

11

979

357

185

175

230

161

52

21

177

95

50

18

13

17

239

46

24

***

***

***

27

***

***

2,852

2021Q2

1,031

451

528

46

11

1,003

366

193

176

239

165

56

22

173

95

44

19

12

16

233

46

24

***

***

***

27

***

***

2,907

2021Q3

1,035

458

527

45

11

1,018

373

198

178

236

166

52

21

173

96

47

18

11

15

238

43

22

13

***

***

24

***

***

2,930

2021Q4

1,133

474

607

***

***

1,044

384

197

190

248

168

60

21

192

100

53

20

19

20

242

45

18

15

***

***

24

***

***

3,095

2022Q1

1,152

483

615

51

8

1,080

394

200

197

264

183

61

21

193

99

52

22

19

14

261

48

19

17

***

***

24

***

***

3,187

October 14, 2022

D

Analytics Office

Single-Strategy Non-US-Domiciled Hedge Funds

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

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

Category

Equity

Relative Value

Other

Credit

Macro

Managed Futures/CTA

Event Driven

Investment in other funds

Total

Strategy

Subtotal

Long/Short

Long Bias

Market Neutral

Short Bias

Subtotal

F.I. Sov.

F.I. Asset Backed

F.I. Corp.

Volatility Arb.

F.I. Conv. Arb.

Subtotal

Subtotal

Long/Short

Asset Based Lending

Subtotal

Global Macro

Commodity

Active Trading

Currency

Subtotal

Quantitative

Fundamental

Subtotal

Distressed/Restruct.

Equity

Risk Arb./Merger Arb.

Subtotal

Total

2020Q2

902

608

224

***

***

377

256

74

24

12

11

538

212

152

61

343

332

6

***

***

110

***

***

117

81

19

17

29

1,820

2020Q3

994

670

249

***

***

375

252

76

24

12

11

565

220

155

65

434

425

6

***

***

132

***

***

136

93

21

22

28

1,938

26

2020Q4

1,179

803

293

***

***

408

272

79

29

14

13

616

235

175

61

379

368

7

***

***

151

***

***

147

95

24

28

30

2,159

2021Q1

1,160

779

296

***

***

410

274

80

24

17

15

655

247

185

62

379

369

7

***

***

167

***

***

168

103

29

35

35

2,208

2021Q2

1,280

830

357

***

***

423

283

78

27

19

16

744

303

238

66

404

392

9

***

***

201

***

***

182

110

31

41

34

2,418

2021Q3

1,275

825

360

***

***

445

299

79

28

22

17

760

325

229

96

385

373

8

***

***

233

***

***

178

112

33

33

35

2,468

2021Q4

1,268

813

355

***

***

456

315

76

27

22

16

763

287

210

77

265

255

7

***

***

209

***

***

185

117

35

33

33

2,430

2022Q1

1,141

728

321

***

***

434

284

75

28

24

22

771

298

217

81

285

275

7

***

***

231

***

***

184

120

34

30

32

2,389

October 14, 2022

Analytics Office

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

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

Category

Equity

Relative Value

Other

Credit

Macro

Managed Futures/CTA

Event Driven

Investment in other funds

Total

Strategy

Subtotal

Long/Short

Long Bias

Market Neutral

Short Bias

Subtotal

F.I. Sov.

F.I. Asset Backed

F.I. Corp.

Volatility Arb.

F.I. Conv. Arb.

Subtotal

Subtotal

Long/Short

Asset Based Lending

Subtotal

Global Macro

Commodity

Active Trading

Currency

Subtotal

Quantitative

Fundamental

Subtotal

Distressed/Restruct.

Equity

Risk Arb./Merger Arb.

Subtotal

Total

2020Q2

1,029

620

312

***

***

300

58

134

97

28

27

811

339

243

99

209

158

40

***

***

124

***

***

300

215

74

44

130

3,046

2020Q3

1,030

618

315

***

***

297

57

138

94

26

26

808

344

245

101

213

163

41

***

***

121

***

***

306

223

72

43

126

3,065

27

2020Q4

1,075

636

342

***

***

306

60

151

94

26

24

839

342

243

102

213

163

38

***

***

115

***

***

305

214

77

43

113

3,118

2021Q1

1,050

609

342

***

***

305

57

149

92

26

27

823

342

242

103

213

163

40

***

***

118

***

***

313

218

82

43

130

3,100

2021Q2

1,084

612

375

***

***

307

55

151

98

25

25

878

358

254

107

212

162

38

***

***

120

***

***

318

220

80

48

104

3,178

2021Q3

1,072

607

379

***

***

304

54

147

98

25

27

854

356

249

111

207

160

34

***

***

123

***

***

321

223

79

47

102

3,129

2021Q4

1,084

627

386

***

***

297

58

143

92

27

24

838

352

247

108

205

162

37

***

***

108

***

***

305

210

73

48

101

3,072

2022Q1

1,089

628

390

***

***

297

59

140

93

26

25

860

368

260

111

209

168

35

***

***

113

***

***

311

217

69

50

99

3,129

October 14, 2022

VII

A

Analytics Office

Information Reported by Large Hedge

Fund Advisers

Economic Leverage

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

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

12.5

10.0

7.5

5.0

2.5

0.0

12.5

10.0

7.5

5.0

2.5

0.0

20

20

20

20

15.0

-0

20 6

20

-0

20 9

20

-1

20 2

21

-0

20 3

21

-0

20 6

21

-0

20 9

21

-1

20 2

22

-03

Ratio of GNE (w/o IRDs) to NAV

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

15.0

-0

20 6

20

-0

20 9

20

-1

20 2

21

-0

20 3

21

-0

20 6

21

-0

20 9

21

-1

20 2

22

-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

20

-0

20 9

20

-1

20 2

21

-0

20 3

21

-0

20 6

21

-0

20 9

21

-1

20 2

22

-03

4

20

-0

6

Ratio of LNE (w/o IRDs) to NAV

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

8

20

-0

20 6

20

-0

20 9

20

-1

20 2

21

-0

20 3

21

-0

20 6

21

-0

20 9

21

-1

20 2

22

-03

20

20

Ratio of LNE to NAV

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

10

20

20

-0

20 6

20

-0

20 9

20

-1

20 2

21

-0

20 3

21

-0

20 6

21

-0

20 9

21

-1

20 2

22

-03

-0

20 9

20

-1

20 2

21

-0

20 3

21

-0

20 6

21

-0

20 9

21

-1

20 2

22

-03

20

20

-06

20

20

Ratio of SNE to NAV

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

October 14, 2022

Analytics Office

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

Short Notional Exposure (SNE) to Net Asset Value Distribution

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

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

10

8

6

4

2

0

(b) Long Exposure without IRDs

10

8

6

4

2

0

(d) Short Exposure without IRDs

October 14, 2022

B

Analytics Office

Industry Concentration

Table 35: Large Hedge Fund Adviser Asset and Exposure Concentration

(Percent of Total Reported)

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

Month

2020-04

2020-05

2020-06

2020-07

2020-08

2020-09

2020-10

2020-11

2020-12

2021-01

2021-02

2021-03

2021-04

2021-05

2021-06

2021-07

2021-08

2021-09

2021-10

2021-11

2021-12

2022-01

2022-02

2022-03

Top 10 Advisers (NAV)

18.3

18.3

18.3

18.4

18.4

18.5

16.8

16.8

16.8

16.2

16.2

16.2

16.3

16.3

16.3

16.3

17.0

17.0

17.1

17.1

17.1

17.5

16.8

16.8

Top 20 Advisers (NAV)

29.0

29.0

29.0

29.1

29.1

29.3

26.4

26.4

26.4

26.2

26.2

26.2

26.5

26.4

26.4

26.6

27.5

27.5

27.4

27.4

27.4

28.2

27.2

27.2

30

Top 10 Advisers (GNE)

40.6

40.4

39.7

42.0

40.5

40.2

39.8

39.1

39.2

40.2

42.1

41.3

40.6

40.4

40.0

40.6

39.2

38.7

38.3

38.4

38.1

38.8

38.3

38.2

Top 20 Advisers (GNE)

56.6

56.0

55.5

57.1

56.5

55.9

55.6

56.1

54.4

55.7

57.4

55.8

55.4

55.6

54.6

56.7

56.1

55.6

56.3

56.3

54.7

55.2

55.5

55.0

October 14, 2022

Portfolio Turnover

Table 36: Aggregate Portfolio Turnover ($ Billions)

As reported on Form PF, Question 27.

Month

2020-04

2020-05

2020-06

2020-07

2020-08

2020-09

2020-10

2020-11

2020-12

2021-01

2021-02

2021-03

2021-04

2021-05

2021-06

2021-07

2021-08

2021-09

2021-10

2021-11

2021-12

2022-01

2022-02

2022-03

Futures

9,351

12,203

12,862

7,968

10,052

11,043

9,346

12,519

17,703

10,690

17,637

18,604

9,445

13,934

16,641

12,043

13,973

16,020

19,432

17,055

14,329

16,735

21,395

23,132

Sov. and muni. bonds

4,464

4,189

4,038

3,345

3,829

3,738

4,159

4,665

4,408

4,430

5,568

5,505

4,030

4,419

5,182

5,110

5,438

5,485

5,666

6,210

4,672

5,340

6,355

6,016

Listed equities

2,658

2,677

3,201

2,928

2,552

2,866

2,756

3,227

2,993

3,454

3,460

4,131

3,211

3,376

3,679

3,158

3,101

3,437

3,408

3,779

3,842

3,950

3,793

4,526

Corporate bonds

226

211

220

164

165

207

189

171

125

176

176

189

173

157

151

142

140

168

183

164

121

188

292

255

Convertible bonds

39

44

51

40

39

38

44

55

56

58

63

63

51

44

48

29

39

54

38

53

38

40

35

36

Total

16,738

19,324

20,372

14,444

16,638

17,891

16,493

20,637

25,285

18,807

26,904

28,491

16,911

21,930

25,702

20,482

22,691

25,165

28,728

27,261

23,001

26,253

31,870

33,966

Figure 9: Distributions of Portfolio Turnover

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

40

20

15

10

5

0

20

20

20

20

-0

20 6

20

-0

20 9

20

-1

20 2

21

-0

20 3

21

-0

20 6

21

-0

20 9

21

-1

20 2

22

-03

0

20

-0

20 6

20

-0

20 9

20

-1

20 2

21

-0

20 3

21

-0

20 6

21

-0

20 9

21

-1

20 2

22

-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

October 14, 2022

D

Analytics Office

Region and Country Exposure

Table 37: Large Hedge Fund Adviser Hedge Fund

Region Exposure ($ Billions)

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

Region

North America

Europe EEA

Asia

Europe Other

South America

Supranational

Africa

Middle East

2020Q2

4,943

1,419

674

94

86

54

37

28

2020Q3

5,422

1,639

815

126

98

35

40

35

2020Q4

5,096

1,533

803

107

93

33

40

29

2021Q1

5,275

1,353

782

291

85

45

34

29

2021Q2

5,587

1,491

816

313

91

47

38

55

2021Q3

5,847

1,595

800

314

87

51

33

31

2021Q4

5,943

1,482

768

306

86

48

27

30

2022Q1

5,865

1,637

718

417

93

42

29

27

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

2020Q2

138.8

39.9

18.9

2.6

2.4

1.5

1.0

0.8

2020Q3

143.4

43.3

21.6

3.3

2.6

0.9

1.1

0.9

2020Q4

129.8

39.0

20.5

2.7

2.4

0.8

1.0

0.7

2021Q1

127.9

32.8

19.0

7.1

2.1

1.1

0.8

0.7

32

2021Q2

127.7

34.1

18.7

7.2

2.1

1.1

0.9

1.3

2021Q3

128.5

35.1

17.6

6.9

1.9

1.1

0.7

0.7

2021Q4

131.0

32.7

16.9

6.7

1.9

1.1

0.6

0.7

2022Q1

132.2

36.9

16.2

9.4

2.1

0.9

0.7

0.6

October 14, 2022

Analytics Office

Table 39: Large Hedge Fund Adviser Hedge Fund

Country Exposure ($ Billions)

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

Country

United States

Japan

China (Inc. Hong Kong)

India

Brazil

Russia

2020Q2

4,721

191

221

30

33

17

2020Q3

5,159

214

271

32

36

17

2020Q4

4,858

215

285

36

38

18

2021Q1

5,018

209

280

46

33

16

2021Q2

5,288

219

284

52

43

18

2021Q3

5,477

233

251

53

33

16

2021Q4

5,547

217

239

51

33

16

2022Q1

5,549

213

204

48

39

5

2021Q4

122.3

4.8

5.3

1.1

0.7

0.3

2022Q1

125.1

4.8

4.6

1.1

0.9

0.1

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

Japan

China (Inc. Hong Kong)

India

Brazil

Russia

2020Q2

132.6

5.4

6.2

0.8

0.9

0.5

2020Q3

136.4

5.7

7.2

0.9

1.0

0.4

2020Q4

123.7

5.5

7.3

0.9

1.0

0.5

33

2021Q1

121.6

5.1

6.8

1.1

0.8

0.4

2021Q2

120.9

5.0

6.5

1.2

1.0

0.4

2021Q3

120.4

5.1

5.5

1.2

0.7

0.3

October 14, 2022

VIII

Qualifying Hedge Fund Specific Information

Economic Leverage

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

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

7.5

5.0

2.5

7.5

5.0

2.5

0.0

20

20

20

-0

20 6

20

-0

20 9

20

-1

20 2

21

-0

20 3

21

-0

20 6

21

-0

20 9

21

-1

20 2

22

-03

0.0

10.0

20 6

20

-0

20 9

20

-1

20 2

21

-0

20 3

21

-0

20 6

21

-0

20 9

21

-1

20 2

22

-03

10.0

12.5

20

-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

20

-1

20 2

21

-0

20 3

21

-0

20 6

21

-0

20 9

21

-1

20 2

22

-03

0

20

2

20

4

-0

20 6

20

-0

20 9

20

-1

20 2

21

-0

20 3

21

-0

20 6

21

-0

20 9

21

-1

20 2

22

-03

20

20

0

-06

2

Ratio of LNE (w/o IRDs) to NAV

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

4

20

6

Ratio of SNE (w/o IRDs) to NAV

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

20

-0

20 6

20

-0

20 9

20

-1

20 2

21

-0

20 3

21

-0

20 6

21

-0

20 9

21

-1

20 2

22

-03

20

Ratio of LNE to NAV

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

6

20

-0

20 9

20

-1

20 2

21

-0

20 3

21

-0

20 6

21

-0

20 9

21

-1

20 2

22

-03

20

20

20

20

Ratio of SNE to NAV

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

October 14, 2022

Analytics Office

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

Short Notional Exposure (SNE) to Net Asset Value

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

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

6

4

2

0

(b) LNE Excluding IRDs

6

4

2

0

(d) SNE Excluding IRDs

October 14, 2022

B

Analytics Office

Gross Exposure by Strategy5

Table 41: Exposures of Hedge Funds ($ Billions)

As reported on Form PF, Questions 9 and 20.

Category

Equity

Other

Relative Value

Macro

Credit

Event Driven

Managed Futures/CTA

Investment in other funds

Total

Strategy

Subtotal

Long/Short

Long Bias

Market Neutral

Short Bias

Subtotal

Subtotal

F.I. Sov.

F.I. Conv. Arb.

F.I. Asset Backed

Volatility Arb.

F.I. Corp.

Subtotal

Global Macro

Commodity

Currency

Active Trading

Subtotal

Long/Short

Asset Based Lending

Subtotal

Distressed/Restruct.

Equity

Risk Arb./Merger Arb.

Subtotal

Quantitative

Fundamental

Subtotal

Total

2020Q2

1,641

867

443

329

1

1,126

983

700

80

116

26

62

641

572

25

***

***

358

265

93

281

159

64

59

126

***

***

42

5,198

2020Q3

1,757

957

485

***

***

1,128

1,023

689

101

135

26

72

797

725

28

***

***

370

272

98

307

162

71

74

149

145

4

43

5,574

2020Q4

1,975

1,090

548

***

***

1,189

997

676

121

112

32

56

746

681

31

***

***

393

295

98

366

169

96

101

165

***

***

43

5,873

2021Q1

2,036

1,114

574

***

***

1,247

981

647

129

103

43

58

741

670

34

***

***

415

317

98

408

180

116

111

169

***

***

51

6,048

2021Q2

2,244

1,205

649

390

0

1,365

1,031

692

133

95

48

63

818

740

44

***

***

448

346

102

452

186

138

129

215

***

***

54

6,627

2021Q3

2,229

1,201

649

***

***

1,427

1,035

691

126

100

57

61

893

790

66

***

***

453

348

105

449

202

141

107

246

***

***

57

6,789

2021Q4

2,251

1,212

643

396

0

1,456

1,063

709

123

102

65

63

794

704

54

***

***

479

359

119

458

205

145

108

222

***

***

65

6,788

2022Q1

2,031

1,100

577

***

***

1,483

1,043

676

112

110

74

70

856

745

73

***

***

485

359

127

429

202

136

91

238

***

***

75

6,638

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

October 14, 2022

Analytics Office

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

As reported on Form PF, Questions 9 and 20.

Category

Equity

Other

Relative Value

Macro

Credit

Event Driven

Managed Futures/CTA

Investment in other funds

Total

Strategy

Subtotal

Long/Short

Long Bias

Market Neutral

Short Bias

Subtotal

Subtotal

F.I. Sov.

F.I. Conv. Arb.

F.I. Asset Backed

Volatility Arb.

F.I. Corp.

Subtotal

Global Macro

Commodity

Currency

Active Trading

Subtotal

Long/Short

Asset Based Lending

Subtotal

Distressed/Restruct.

Equity

Risk Arb./Merger Arb.

Subtotal

Quantitative

Fundamental

Subtotal

Total

2020Q2

51.0

27.0

13.8

10.2

0.0

35.0

30.6

21.8

2.5

3.6

0.8

1.9

19.9

17.8

0.8

***

***

11.1

8.2

2.9

8.7

4.9

2.0

1.8

3.9

***

***

1.3

161.7

2020Q3

51.7

28.1

14.3

***

***

33.2

30.1

20.3

3.0

4.0

0.8

2.1

23.4

21.3

0.8

***

***

10.9

8.0

2.9

9.0

4.8

2.1

2.2

4.4

4.3

0.1

1.3

163.9

37

2020Q4

55.3

30.5

15.3

***

***

33.3

27.9

18.9

3.4

3.1

0.9

1.6

20.9

19.1

0.9

***

***

11.0

8.3

2.7

10.2

4.7

2.7

2.8

4.6

***

***

1.2

164.3

2021Q1

54.4

29.8

15.3

***

***

33.4

26.2

17.3

3.5

2.8

1.2

1.6

19.8

17.9

0.9

***

***

11.1

8.5

2.6

10.9

4.8

3.1

3.0

4.5

***

***

1.4

161.7

2021Q2

55.3

29.7

16.0

9.6

0.0

33.6

25.4

17.1

3.3

2.3

1.2

1.6

20.2

18.2

1.1

***

***

11.0

8.5

2.5

11.2

4.6

3.4

3.2

5.3

***

***

1.3

163.3

2021Q3

53.5

28.8

15.6

***

***

34.2

24.8

16.6

3.0

2.4

1.4

1.5

21.4

19.0

1.6

***

***

10.9

8.4

2.5

10.8

4.8

3.4

2.6

5.9

***

***

1.4

163.0

2021Q4

53.7

28.9

15.4

9.4

0.0

34.7

25.4

16.9

2.9

2.4

1.5

1.5

18.9

16.8

1.3

***

***

11.4

8.6

2.9

10.9

4.9

3.5

2.6

5.3

***

***

1.6

162.0

2022Q1

48.9

26.5

13.9

***

***

35.7

25.1

16.3

2.7

2.7

1.8

1.7

20.6

18.0

1.8

***

***

11.7

8.7

3.0

10.3

4.9

3.3

2.2

5.7

***

***

1.8

160.0

October 14, 2022

C

Analytics Office

Leverage by Strategy

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

by Strategy

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

Strategy

Relative Value

Macro

Multi-Strategy

Credit

Equity

Managed Futures/CTA

Other

Event Driven

Investment in other funds

2020Q2

5.0

3.7

2.0

1.6

1.6

1.4

1.6

1.4

1.3

2020Q3

4.8

4.6

2.5

1.5

1.6

1.5

1.5

1.3

1.3

2020Q4

5.7

4.5

3.0

1.5

1.6

1.5

1.5

1.3

1.2

2021Q1

5.6

4.5

3.1

1.5

1.6

1.5

1.4

1.4

1.2

2021Q2

5.7

4.8

3.2

1.6

1.5

1.5

1.4

1.4

1.3

2021Q3

7.0

4.8

3.3

1.5

1.5

1.5

1.5

1.4

1.3

2021Q4

7.0

4.2

3.4

1.6

1.5

1.4

1.5

1.4

1.3

2022Q1

6.0

4.5

3.1

1.6

1.6

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

Credit

Other

Equity

Investment in other funds

Event Driven

2020Q2

20.2

22.5

17.4

9.4

2.8

4.1

3.0

2.0

1.8

2020Q3

32.5

19.6

20.9

10.3

2.8

3.4

3.0

2.0

1.8

2020Q4

33.1

23.6

19.7

12.4

2.8

3.2

2.9

2.1

1.9

2021Q1

37.3

24.9

19.2

14.7

3.0

3.1

3.0

1.9

2.0

2021Q2

36.9

23.3

21.4

16.1

3.2

3.2

3.0

2.9

2.1

2021Q3

34.6

26.4

22.9

16.2

3.0

3.2

2.9

3.3

2.0

2021Q4

32.9

27.1

16.9

16.0

3.1

3.1

3.1

3.3

1.9

2022Q1

33.3

25.4

15.0

14.9

3.2

3.1

2.9

2.8

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

Managed Futures/CTA

Macro

Multi-Strategy

Relative Value

Other

Event Driven

Equity

Credit

Investment in other funds

2020Q2

46.1

40.1

28.5

24.0

16.2

10.0

10.5

7.4

5.1

2020Q3

47.7

38.2

30.1

26.2

13.4

8.0

8.3

7.9

6.0

2020Q4

40.4

40.2

26.4

25.7

12.4

8.5

7.9

9.7

7.2

38

2021Q1

38.7

41.9

24.9

21.9

12.5

7.5

8.0

9.4

1.1

2021Q2

34.0

42.9

25.4

20.9

12.2

7.2

7.5

8.9

3.0

2021Q3

42.7

42.3

25.4

21.1

11.6

7.7

8.1

8.8

1.6

2021Q4

48.2

42.8

26.1

21.8

11.8

8.1

8.5

8.3

8.2

2022Q1

51.0

44.1

23.9

23.3

11.3

10.7

10.2

6.8

4.9

October 14, 2022

D

Analytics Office

Investment Exposures

Table 46: Aggregate Qualifying Hedge Fund Gross Notional Exposure

by Asset Type ($ Billions)

As reported on Form PF, Questions 26 and 30.

Interest Rate Derivatives

Foreign Exchange Derivatives

Non-Financial Listed Equities

Repurchase Agreements

Non-Financial Equity Derivatives

U.S. Treasury Securities

Sovereign Bonds - Non-U.S. G10

Cash/Cash Equivalents - Other

Credit Derivatives

Non-Financial Unlisted Equities

Commodity Derivatives

Financial Listed Equities

Leveraged Loans

Non-Financial Corporate Bonds

Sovereign Bonds - Other

Non-U.S. Currency Holdings

Cash/Cash Equivalents - Deposits

Other Derivatives

Cash/Cash Equivalents - MMFs

Other Private Funds

Physical Real Estate

MBS

Non-Financial Convertible Bonds

Other Loans (Excluding Repo)

Other

Financial Equity Derivatives

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

Physical Commodities

Financial Convertible Bonds

2020Q2

5,287

2,836

1,945

1,800

1,132

1,768

962

409

488

255

266

237

181

246

275

215

190

204

186

115

99

246

117

109

100

90

67

48

35

35

22

20

23

4

9

2020Q3

6,390

3,164

2,142

2,069

1,168

1,740

1,155

389

534

288

309

244

198

246

348

180

190

235

170

123

100

254

140

117

85

88

69

51

39

35

24

19

20

5

8

2020Q4

6,282

3,216

2,495

1,908

1,273

1,595

1,272

425

586

317

341

272

202

221

327

188

184

226

168

134

112

216

174

115

89

93

68

50

42

33

26

19

17

8

8

39

2021Q1

6,781

3,756

2,551

1,895

1,622

1,672

1,302

506

736

385

367

314

223

240

278

208

196

213

173

145

120

184

182

118

95

99

67

52

39

35

27

19

18

5

9

2021Q2

7,509

4,076

2,836

2,073

1,558

1,727

1,416

576

715

433

417

348

230

273

321

223

205

218

172

157

130

203

200

123

88

110

71

62

43

37

30

19

17

5

10

2021Q3

7,640

4,077

2,711

2,270

1,598

1,735

1,472

535

783

417

455

361

247

272

332

255

240

188

181

175

146

212

178

133

98

105

73

60

52

38

27

21

16

7

9

2021Q4

7,477

3,974

2,750

2,221

1,580

1,760

1,412

578

759

467

393

376

261

280

308

217

218

207

207

183

166

205

173

141

112

106

71

59

46

39

29

22

16

6

9

2022Q1

7,831

3,823

2,493

2,199

1,778

1,692

1,373

857

746

480

424

349

274

272

267

232

216

216

199

185

176

170

154

144

110

102

76

63

47

39

30

19

17

9

8

October 14, 2022

Analytics Office

Table 47: Percent of Qualifying Hedge Fund Gross Notional Exposure

Representing Long Notional Exposure

As reported on Form PF, Questions 26 and 30.

Interest Rate Derivatives

Foreign Exchange Derivatives

Non-Financial Listed Equities

Repurchase Agreements

Non-Financial Equity Derivatives

U.S. Treasury Securities

Sovereign Bonds - Non-U.S. G10

Cash/Cash Equivalents - Other

Credit Derivatives

Non-Financial Unlisted Equities

Commodity Derivatives

Financial Listed Equities

Leveraged Loans

Non-Financial Corporate Bonds

Sovereign Bonds - Other

Non-U.S. Currency Holdings

Cash/Cash Equivalents - Deposits

Other Derivatives

Cash/Cash Equivalents - MMFs

Other Private Funds

Physical Real Estate

MBS

Non-Financial Convertible Bonds

Other Loans (Excluding Repo)

Other

Financial Equity Derivatives

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

Physical Commodities

Financial Convertible Bonds

2020Q2

44.5

60.3

69.0

38.3

50.6

61.4

52.3

79.4

41.9

99.8

63.3

69.4

98.2

86.3

77.9

51.5

70.9

49.8

***

99.7

***

84.1

99.2

90.9

94.4

54.9

91.5

94.6

86.7

***

99.8

***

92.8

99.1

96.8

2020Q3

52.4

58.4

69.7

38.1

51.2

62.2

51.9

78.4

42.5

99.1

67.1

70.2

99.4

85.2

75.5

49.0

72.3

65.5

***

99.7

***

82.4

98.7

91.0

95.0

55.1

91.5

92.4

85.0

***

99.9

***

97.3

99.3

97.1

2020Q4

51.5

58.5

70.7

38.4

50.8

60.9

49.8

74.9

45.3