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Division of Investment Management
Analytics Office
Private Funds Statistics
First Calendar Quarter 2021
November 1, 2021
This is a report of the Staff of the Division of Investment Management’s Analytics Office of the U.S.
Securities and Exchange Commission. The Commission has expressed no view regarding the analysis,
findings, or conclusions contained herein.
November 1, 2021
Analytics Office
Introduction
This report provides a summary of recent private fund industry statistics and trends, reflecting
data collected through Form PF and Form ADV filings.1 Form PF information provided in this
report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary
information of individual Form PF filers.
This report reflects data from Second Calendar Quarter 2019 through First Calendar Quarter
2021 as reported by Form PF filers.2 Please see the Appendix for information on the categories of
Form PF filers, the definitions of capitalized terms, a description of the boxplots used in several
figures, as well as other technical descriptions.
The Staff continues to work with data reported on Form PF and with filers to identify
and correct filing errors. Staff updates reported statistics based on amended filings and
also may make certain adjustments to the statistics presented to correct what appear to
be clear filing errors. Further, the Staff has employed certain assumptions in aggregating
the data. Future adjustments to these methodologies and amended filings that change
the underlying data could lead to changes in previously reported statistics.
If you have any questions or comments about First Calendar Quarter 2021 Private
Funds Statistics, please contact:
Tim Dulaney, PhD, FRM, Tim Husson, PhD, FRM, or Trevor Tatum at FormPF@sec.gov with subject
line “First Calendar Quarter 2021-Private Funds Statistics”.
1
Only SEC-registered advisers with at least $150 million in private fund assets under management must report to the
Commission on Form PF. SEC-registered investment advisers with less than $150 million in private fund assets under
management, SEC exempt reporting advisers, and state-registered investment advisers are not required to file Form PF,
but report general information about the private funds they manage on Form ADV.
2
The Commission began receiving Form PF filings from Large Hedge Fund Advisers in July 2012. A full data set was
not received until March 2013. This report relies upon the Form PF database constructed and maintained by the Office
of Research and Data Services in the Division of Economic and Risk Analysis.
1
Contents
I
II
III
IV
V
VI
Number of Funds and Advisers
4
Gross and Net Assets
A
Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . .
B
Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Fund Domiciles and Adviser Main Offices
Beneficial Ownership
A
All Private Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Qualifying Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Section 3 Liquidity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Section 4 Private Equity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E
Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Derivatives
5
5
8
10
11
13
15
15
16
17
18
19
20
Additional Hedge Fund Industry Information
A
High Frequency Trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Single-Strategy US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . .
D
Single-Strategy Non-US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . .
21
21
22
24
26
VII Information Reported by Large Hedge Fund Advisers
A
Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
28
28
30
31
32
VIII Qualifying Hedge Fund Specific Information
A
Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B
Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C
Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E
Number of Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
F
Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
G
Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
H
Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
I
Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
34
34
36
38
39
41
42
44
46
47
2
November 1, 2021
J
K
Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Stress Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
48
49
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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
51
51
51
53
53
54
A
B
C
Section 4 Private Equity Fund Specific Information
CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . .
55
55
56
57
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
Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D
Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
59
59
59
59
60
60
60
61
61
62
IX
X
XI
Analytics Office
A
3
November 1, 2021
I
Analytics Office
Number of Funds and Advisers3
Table 1: Number of Funds
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Private Equity Fund
Hedge Fund
Other Private Fund
Section 4 Private Equity Fund
Real Estate Fund
Qualifying Hedge Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2019Q2
13,035
9,484
4,714
3,932
2,851
1,772
1,577
971
71
43
32,703
2019Q3
13,043
9,494
4,701
3,932
2,839
1,790
1,579
969
71
41
32,696
2019Q4
14,347
9,296
4,965
4,394
3,118
1,808
1,719
1,156
64
42
34,665
2020Q1
14,481
9,369
4,967
4,405
3,119
1,812
1,721
1,158
63
40
34,878
2020Q2
14,493
9,401
4,972
4,405
3,115
1,800
1,721
1,155
66
44
34,923
2020Q3
14,490
9,462
4,960
4,408
3,116
1,766
1,726
1,150
68
46
34,972
2020Q4
15,623
9,355
5,358
5,266
3,288
1,779
1,837
1,413
71
52
36,945
2021Q1
15,712
9,457
5,374
5,291
3,291
1,845
1,842
1,413
72
53
37,161
Table 2: Number of Advisers Advising Each Fund Type
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Private Equity Fund
Hedge Fund
Other Private Fund
Section 4 Private Equity Fund
Real Estate Fund
Qualifying Hedge Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total
2019Q2
1,267
1,740
627
307
350
535
154
134
38
21
3,159
2019Q3
1,269
1,733
624
307
349
546
154
133
38
20
3,152
2019Q4
1,357
1,733
646
323
375
552
161
153
35
21
3,236
2020Q1
1,361
1,730
642
325
375
541
160
154
35
20
3,237
2020Q2
1,363
1,726
643
325
372
538
160
153
36
21
3,237
2020Q3
1,366
1,727
641
326
373
528
161
152
37
22
3,234
2020Q4
1,443
1,756
684
365
387
543
161
176
36
23
3,366
2021Q1
1,449
1,756
686
366
387
565
161
175
36
23
3,371
3
In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered
investment advisers that file a Form PF to report private funds. Please see Appendix D for definitions of other capitalized
terms used in this report.
4
November 1, 2021
Analytics Office
II
Gross and Net Assets
A
Aggregate Assets by Fund Type over Time
Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions)
As reported on Form PF, Question 8.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2019Q2
8,196
6,690
3,260
2,364
1,234
575
575
289
285
112
14,240
2019Q3
8,034
6,588
3,259
2,364
1,248
575
576
295
288
112
14,099
2019Q4
8,113
6,647
3,736
2,743
1,396
662
649
289
284
144
14,989
2020Q1
7,680
6,260
3,811
2,795
1,367
666
647
295
288
144
14,609
2020Q2
7,707
6,334
3,809
2,795
1,382
666
647
301
297
145
14,656
2020Q3
8,124
6,744
3,811
2,796
1,391
666
649
322
319
150
15,112
2020Q4
8,689
7,014
4,713
3,587
1,475
811
701
318
315
225
16,932
2021Q1
8,795
7,111
4,821
3,666
1,494
810
703
306
304
222
17,152
Table 4: Aggregate Private Fund Net Asset Value (NAV) ($ Billions)
As reported on Form PF, Question 9.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total
2019Q2
4,073
3,161
2,896
2,116
1,092
448
172
286
283
98
9,066
2019Q3
4,046
3,169
2,895
2,116
1,107
448
172
293
286
99
9,060
2019Q4
4,116
3,219
3,305
2,442
1,232
504
205
287
281
137
9,785
5
2020Q1
3,763
2,900
3,374
2,493
1,203
507
202
291
284
138
9,478
2020Q2
4,072
3,195
3,373
2,493
1,215
507
202
295
292
138
9,803
2020Q3
4,279
3,380
3,374
2,493
1,229
507
204
315
312
144
10,051
2020Q4
4,641
3,552
4,160
3,203
1,299
615
213
313
311
217
11,457
2021Q1
4,793
3,719
4,263
3,275
1,317
613
210
296
293
215
11,707
November 1, 2021
Analytics Office
Figure 1: GAV and NAV Distributions
As reported on Form PF, Questions 8 and 9.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Qualifying Hedge Fund GAV ($ Billions)
2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3
0.2
0.2
0.2
0.2
0.2
0.2
0.6
0.6
0.6
0.5
0.5
0.6
1.2
1.2
1.2
1.0
1.2
1.2
2.8
2.8
2.7
2.5
2.7
2.9
6.4
6.4
6.3
6.0
6.2
6.6
3.8
3.7
3.7
3.5
3.5
3.8
Qualifying Hedge Fund NAV ($ Billions)
2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3
0.1
0.2
0.1
0.1
0.1
0.1
0.5
0.5
0.5
0.4
0.4
0.5
0.9
0.9
0.9
0.8
0.8
0.9
1.8
1.8
1.8
1.6
1.8
1.9
3.7
3.7
3.7
3.4
3.9
4.2
1.8
1.8
1.8
1.6
1.8
1.9
Section 4 Private Equity Fund GAV ($ Billions)
2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.1
0.4
0.4
0.5
0.5
0.5
0.5
1.3
1.3
1.4
1.4
1.4
1.4
0.6
0.6
0.6
0.6
0.6
0.6
Section 4 Private Equity Fund NAV ($ Billions)
2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.1
0.4
0.4
0.4
0.4
0.4
0.4
1.2
1.2
1.2
1.2
1.2
1.2
0.5
0.5
0.6
0.6
0.6
0.6
6
2020Q4
0.2
0.6
1.3
3.0
7.0
3.9
2021Q1
0.2
0.6
1.3
3.0
6.7
3.9
2020Q4
0.2
0.5
0.9
2.0
4.4
2.0
2021Q1
0.2
0.5
1.0
1.9
4.5
2.0
2020Q4
0.0
0.0
0.1
0.5
1.5
0.7
2021Q1
0.0
0.0
0.1
0.5
1.5
0.7
2020Q4
0.0
0.0
0.1
0.4
1.3
0.6
2021Q1
0.0
0.0
0.1
0.4
1.3
0.6
November 1, 2021
Analytics Office
Figure 2: Ratio of GAV to NAV
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization. As reported on Form PF, Questions 8, 9, and 10.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2019Q2
1.0
1.0
1.0
1.1
2.0
1.7
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2019Q2
1.0
1.0
1.2
1.6
2.7
1.7
All Private Funds
2019Q3 2019Q4 2020Q1 2020Q2
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.1
1.1
1.2
1.1
2.0
2.1
2.1
2.1
1.7
1.8
1.8
1.8
Qualifying Hedge Funds
2019Q3 2019Q4 2020Q1 2020Q2
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.2
1.2
1.2
1.2
1.6
1.6
1.7
1.6
2.7
2.6
2.6
2.6
1.7
1.7
1.7
1.6
7
2020Q3
1.0
1.0
1.0
1.1
2.1
1.8
2020Q4
1.0
1.0
1.0
1.1
2.1
1.8
2021Q1
1.0
1.0
1.0
1.1
2.1
1.8
2020Q3
1.0
1.0
1.1
1.6
2.5
1.6
2020Q4
1.0
1.0
1.2
1.6
2.6
1.6
2021Q1
1.0
1.0
1.1
1.6
2.6
1.6
November 1, 2021
B
Analytics Office
Borrowings
Table 5: Aggregate Borrowings (Percent of Aggregate GAV)
As reported on Form PF, Questions 8, 12, and 43 (Third Month).
Fund Type
Securitized Asset Fund
Qualifying Hedge Fund
Hedge Fund
Real Estate Fund
Section 4 Private Equity Fund
Other Private Fund
Private Equity Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
2019Q2
52.1
47.2
43.3
14.6
5.2
3.4
5.1
0.9
0.0
0.0
2019Q3
52.2
46.7
43.1
14.6
5.2
3.4
5.1
0.9
0.0
0.0
2019Q4
52.5
47.4
43.5
14.8
7.3
4.5
6.5
0.8
0.0
0.0
2020Q1
49.0
46.1
42.4
14.9
7.3
4.8
6.4
0.7
0.0
0.0
2020Q2
47.7
45.3
41.3
14.6
7.3
4.7
6.4
0.8
0.0
0.0
2020Q3
47.5
47.0
42.9
14.6
7.3
4.8
6.4
0.8
0.0
0.0
2020Q4
53.6
45.5
40.9
13.8
5.1
5.0
5.0
0.5
0.0
0.0
2021Q1
50.2
44.9
40.6
13.9
4.9
4.9
4.7
0.5
0.0
0.0
Figure 3: Distribution of Total Borrowings
As reported on Form PF, Questions 12 and 43.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2019Q2
0.0
0.0
0.0
0.2
0.6
0.6
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2019Q2
0.0
0.0
0.3
1.1
4.0
2.8
All Private Funds ($ Billions)
2019Q3 2019Q4 2020Q1 2020Q2 2020Q3
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.2
0.2
0.2
0.2
0.2
0.6
0.6
0.6
0.6
0.6
0.6
0.5
0.5
0.5
0.5
Qualifying Hedge Funds ($ Billions)
2019Q3 2019Q4 2020Q1 2020Q2 2020Q3
0.0
0.0
0.0
0.0
0.0
0.1
0.0
0.1
0.0
0.0
0.3
0.3
0.3
0.3
0.3
1.1
1.1
0.9
1.0
1.1
3.4
3.6
3.0
3.0
3.5
2.7
2.7
2.4
2.5
2.8
8
2020Q4
0.0
0.0
0.0
0.2
0.6
0.5
2021Q1
0.0
0.0
0.0
0.2
0.6
0.5
2020Q4
0.0
0.1
0.3
1.2
3.9
2.8
2021Q1
0.0
0.1
0.3
1.3
3.9
2.7
November 1, 2021
Analytics Office
Figure 4: Ratio of Borrowings to NAV
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 9, 10, 12, and 43 (Third Month).
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2019Q2
0.0
0.0
0.2
0.9
4.5
2.5
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2019Q2
0.0
0.1
0.3
0.9
2.3
0.9
All Private Funds
2019Q3 2019Q4 2020Q1 2020Q2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.2
0.2
0.2
0.2
0.9
0.9
0.9
0.9
4.5
5.7
5.6
5.2
2.5
2.3
2.3
2.3
Qualifying Hedge Funds
2019Q3 2019Q4 2020Q1 2020Q2
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.3
0.3
0.3
0.3
0.9
0.9
0.8
0.8
2.2
2.2
1.9
2.0
0.9
0.9
0.8
0.8
2020Q3
0.0
0.0
0.2
0.9
5.1
2.3
2020Q4
0.0
0.0
0.2
0.9
6.1
2.6
2021Q1
0.0
0.0
0.2
0.8
6.2
2.6
2020Q3
0.0
0.1
0.3
0.8
2.3
0.8
2020Q4
0.0
0.1
0.3
0.8
2.3
0.9
2021Q1
0.0
0.1
0.3
0.8
2.3
0.9
Table 6: Aggregate Borrowing by Creditor Entity Type (Percent)
As reported on Form PF, Questions 12 and 43 (Third Month).
Creditor Type
US Financial
Non-US Financial
US Non-Financial
Non-US Non-Financial
2019Q2
66.0
31.4
2.2
0.9
2019Q3
66.2
31.2
2.3
0.8
2019Q4
65.7
31.0
2.4
1.0
9
2020Q1
64.9
32.3
2.6
1.0
2020Q2
66.7
30.7
2.5
1.0
2020Q3
64.9
32.7
2.4
1.0
2020Q4
66.4
30.3
2.3
1.0
2021Q1
67.3
30.0
2.4
1.0
November 1, 2021
C
Analytics Office
Fair Value Hierarchy
Table 7: Assets According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2019Q2
3,272
3,023
3,475
2,531
2019Q3
3,234
3,025
3,469
2,525
2019Q4
3,827
3,453
4,060
2,342
2020Q1
3,793
3,477
4,112
2,327
2020Q2
3,802
3,468
4,117
2,317
2020Q3
3,814
3,486
4,127
2,314
2020Q4
4,223
3,603
5,076
2,315
2021Q1
4,253
3,586
5,175
2,316
Table 8: Liabilities According to Fair Value Hierarchy ($ Billions)
As reported on Form PF, Question 14.
Level One
Level Two
Level Three
Cost-Based
2019Q2
1,228
1,056
200
2,102
2019Q3
1,221
1,046
202
2,097
2019Q4
1,265
1,015
264
2,223
2020Q1
1,279
1,050
268
2,229
10
2020Q2
1,270
1,042
268
2,219
2020Q3
1,280
1,049
267
2,220
2020Q4
1,332
1,165
295
2,060
2021Q1
1,324
1,144
297
2,071
November 1, 2021
D
Analytics Office
Parallel Managed Accounts4
Table 9: Number of Funds with Parallel Managed Accounts
As reported on Form PF, Question 11.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Other Private Fund
Private Equity Fund
Qualifying Hedge Fund
Section 4 Private Equity Fund
Real Estate Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Total
2019Q2
648
504
315
221
112
78
***
14
12
***
1,568
2019Q3
652
503
294
227
112
78
***
15
12
***
1,551
2019Q4
614
505
332
222
136
95
***
12
11
***
1,565
2020Q1
628
501
331
232
136
95
***
12
11
***
1,574
2020Q2
610
500
330
227
135
95
***
11
11
***
1,553
2020Q3
601
493
330
221
135
95
***
11
11
***
1,537
2020Q4
597
478
311
210
103
73
17
***
11
***
1,489
2021Q1
581
475
311
199
103
73
17
***
11
***
1,470
Table 10: Aggregate Value in Parallel Managed Accounts ($ Billions)
As reported on Form PF, Question 11.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Other Private Fund
Private Equity Fund
Qualifying Hedge Fund
Section 4 Private Equity Fund
Real Estate Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Total
2019Q2
713
1,832
48
466
33
5
***
264
263
***
2,863
2019Q3
712
1,832
48
470
33
5
***
294
292
***
2,891
2019Q4
717
2,068
58
477
38
10
***
317
316
***
3,171
2020Q1
637
2,052
58
433
38
10
***
378
377
***
3,135
2020Q2
638
2,044
58
434
38
10
***
366
366
***
3,117
2020Q3
634
2,028
58
414
38
10
***
383
383
***
3,113
2020Q4
764
2,583
98
473
44
7
1
***
391
***
3,845
2021Q1
768
2,620
98
470
44
7
1
***
411
***
3,905
4
Certain data points in the tables in this section and other sections may be masked to avoid possible disclosure of
proprietary information of individual Form PF filers.
11
November 1, 2021
Analytics Office
Figure 5: Parallel Managed Account Value Distributions
As reported on Form PF, Question 11.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2019Q2
0.0
0.0
0.2
0.9
3.3
1.8
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2019Q2
0.1
0.2
0.5
1.5
3.8
2.1
All Private Funds ($ Billions)
2019Q3 2019Q4 2020Q1 2020Q2 2020Q3
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.2
0.2
0.2
0.2
0.2
1.0
1.1
1.0
1.0
1.0
3.4
3.5
3.4
3.3
3.4
1.9
2.0
2.0
2.0
2.0
Qualifying Hedge Funds ($ Billions)
2019Q3 2019Q4 2020Q1 2020Q2 2020Q3
0.1
0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.2
0.2
0.4
0.5
0.5
0.5
0.5
1.7
1.6
1.4
1.6
1.6
4.1
4.4
3.9
3.9
4.3
2.1
2.2
1.9
1.9
1.9
12
2020Q4
0.0
0.0
0.3
1.3
4.9
2.6
2021Q1
0.0
0.0
0.3
1.3
5.0
2.7
2020Q4
0.1
0.2
0.5
1.9
5.1
2.3
2021Q1
0.1
0.2
0.6
1.9
6.0
2.4
November 1, 2021
III
Analytics Office
Fund Domiciles and Adviser Main Offices
Table 11: Fund Domicile (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
Cayman Islands
Ireland
Luxembourg
Virgin Islands, British
Bermuda
Other
Country
Cayman Islands
United States
Ireland
Virgin Islands, British
Luxembourg
Bermuda
Other
Country
Ireland
United States
Cayman Islands
Other
Country
United States
Cayman Islands
Canada
United Kingdom
Bermuda
Other
All Private Funds
2019Q2 2019Q3 2019Q4 2020Q1 2020Q2
50.5
50.5
51.2
51.4
50.9
34.8
34.6
34.5
34.1
34.6
4.5
4.7
4.6
4.5
4.6
3.0
2.9
3.1
3.1
3.1
1.5
1.5
1.3
1.1
1.1
1.1
1.2
1.1
1.1
1.1
4.6
4.6
4.1
4.7
4.6
Qualifying Hedge Funds
2019Q2 2019Q3 2019Q4 2020Q1 2020Q2
52.0
51.6
51.5
52.5
52.5
34.5
34.7
35.0
34.9
35.1
3.2
3.1
3.2
2.9
3.1
3.9
3.9
3.6
3.3
3.1
2.7
2.7
2.7
2.6
2.4
1.9
2.1
2.1
2.2
2.0
1.9
1.8
1.9
1.7
1.8
Section 3 Liquidity Funds
2019Q2 2019Q3 2019Q4 2020Q1 2020Q2
***
***
***
***
***
30.3
26.9
22.6
25.7
24.8
***
***
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2019Q2 2019Q3 2019Q4 2020Q1 2020Q2
56.0
56.0
56.2
55.0
55.1
30.1
30.1
32.0
31.4
31.3
1.1
1.1
1.7
1.8
1.8
2.3
2.3
1.9
1.7
1.7
0.9
0.9
1.0
1.0
1.0
9.6
9.6
7.2
9.1
9.1
13
2020Q3
50.4
34.9
4.8
3.1
1.1
1.0
4.5
2020Q4
51.0
34.2
4.6
3.7
1.0
1.0
4.5
2021Q1
50.9
34.1
4.3
3.7
1.0
1.0
5.0
2020Q3
53.2
34.5
3.1
2.9
2.6
1.9
1.8
2020Q4
53.4
34.1
3.3
2.8
2.8
1.8
1.9
2021Q1
52.7
34.9
3.1
2.8
2.7
1.7
2.0
2020Q3
***
23.4
***
***
2020Q4
***
26.2
***
***
2021Q1
***
28.8
***
***
2020Q3
55.1
31.3
1.8
1.7
1.0
9.1
2020Q4
56.3
29.6
2.2
1.5
1.1
9.3
2021Q1
55.2
29.0
2.2
1.5
1.1
11.0
November 1, 2021
Analytics Office
Table 12: Adviser Main Office Location (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
United States
United Kingdom
Other
2019Q2
89.4
6.1
4.5
Country
United States
United Kingdom
Hong Kong
Australia
Other
2019Q2
89.2
5.7
***
***
2.0
Country
United States
United Kingdom
2019Q2
***
***
Country
United States
Canada
Other
2019Q2
94.1
***
***
All Private Funds
2019Q3 2019Q4 2020Q1 2020Q2
89.3
89.8
90.2
90.2
6.2
5.4
5.3
5.2
4.5
4.7
4.5
4.7
Qualifying Hedge Funds
2019Q3 2019Q4 2020Q1 2020Q2
89.5
88.9
89.4
89.8
5.4
5.4
4.9
4.5
***
***
***
***
***
***
***
***
2.0
2.1
2.1
2.1
Section 3 Liquidity Funds
2019Q3 2019Q4 2020Q1 2020Q2
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2019Q3 2019Q4 2020Q1 2020Q2
94.1
93.8
93.8
93.8
***
***
***
***
***
***
***
***
14
2020Q3
90.1
5.2
4.6
2020Q4
90.5
4.5
5.0
2021Q1
90.4
4.7
4.9
2020Q3
89.9
4.3
***
***
1.9
2020Q4
88.9
4.7
***
***
2.0
2021Q1
89.6
4.4
***
***
1.8
2020Q3
***
***
2020Q4
***
***
2021Q1
***
***
2020Q3
93.8
***
***
2020Q4
94.2
***
***
2021Q1
94.3
***
***
November 1, 2021
IV
A
Analytics Office
Beneficial Ownership
All Private Funds
Table 13: Beneficial Ownership for All Private Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
State/Muni. Govt. Pension Plans
Pension Plans
U.S. Individuals
Non-Profits
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2019Q2
1,566
1,381
1,248
1,085
885
902
609
415
218
221
130
171
124
109
2019Q3
1,559
1,392
1,243
1,081
887
900
608
414
217
223
135
166
124
109
2019Q4
1,676
1,466
1,333
1,167
958
993
657
460
232
242
171
178
135
114
2020Q1
1,643
1,451
1,299
1,103
914
930
648
460
229
230
167
169
127
106
2020Q2
1,671
1,508
1,328
1,139
965
990
669
468
246
236
170
167
129
112
2020Q3
1,711
1,560
1,340
1,161
998
1,017
689
474
256
258
172
166
128
115
2020Q4
2,038
1,819
1,531
1,245
1,163
1,140
802
550
294
275
189
164
133
111
2021Q1
2,072
1,852
1,553
1,263
1,194
1,167
844
563
308
268
196
171
142
110
2020Q4
17.8
15.9
13.4
10.9
10.2
9.9
7.0
4.8
2.6
2.4
1.6
1.4
1.2
1.0
2021Q1
17.7
15.8
13.3
10.8
10.2
10.0
7.2
4.8
2.6
2.3
1.7
1.5
1.2
0.9
Table 14: Beneficial Ownership for All Private Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Other
State/Muni. Govt. Pension Plans
Pension Plans
U.S. Individuals
Non-Profits
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.
Sec-Registered Investment Companies
Broker-Dealers
2019Q2
17.3
15.2
13.8
12.0
9.8
9.9
6.7
4.6
2.4
2.4
1.4
1.9
1.4
1.2
2019Q3
17.2
15.4
13.7
11.9
9.8
9.9
6.7
4.6
2.4
2.5
1.5
1.8
1.4
1.2
15
2019Q4
17.1
15.0
13.6
11.9
9.8
10.2
6.7
4.7
2.4
2.5
1.8
1.8
1.4
1.2
2020Q1
17.3
15.3
13.7
11.6
9.6
9.8
6.8
4.9
2.4
2.4
1.8
1.8
1.3
1.1
2020Q2
17.0
15.4
13.5
11.6
9.8
10.1
6.8
4.8
2.5
2.4
1.7
1.7
1.3
1.1
2020Q3
17.0
15.5
13.3
11.5
9.9
10.1
6.9
4.7
2.5
2.6
1.7
1.7
1.3
1.1
November 1, 2021
B
Analytics Office
Qualifying Hedge Funds
Table 15: Beneficial Ownership for Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Non-Profits
Other
Pension Plans
U.S. Individuals
State/Muni. Govt. Pension Plans
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Sec-Registered Investment Companies
Banking/Thrift Inst.
Broker-Dealers
2019Q2
518
448
436
426
340
355
205
89
78
57
44
53
30
79
2019Q3
523
445
429
420
342
365
207
89
81
57
47
54
30
80
2019Q4
530
463
426
431
350
369
208
91
83
62
49
42
32
81
2020Q1
490
409
391
374
315
329
190
88
75
53
45
35
29
73
2020Q2
530
469
427
406
362
354
203
95
89
56
49
44
28
78
2020Q3
563
493
465
426
383
366
219
100
97
60
50
45
31
80
2020Q4
605
538
492
455
414
397
225
112
109
66
53
37
32
17
2021Q1
641
560
522
465
453
409
236
121
112
63
56
40
35
5
2020Q4
17.0
15.1
13.9
12.8
11.7
11.2
6.3
3.1
3.1
1.9
1.5
1.0
0.9
0.5
2021Q1
17.2
15.1
14.0
12.5
12.2
11.0
6.3
3.2
3.0
1.7
1.5
1.1
0.9
0.1
Table 16: Beneficial Ownership for Qualifying Hedge Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
Non-Profits
Other
Pension Plans
U.S. Individuals
State/Muni. Govt. Pension Plans
Sov. Wealth Funds And For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Sec-Registered Investment Companies
Banking/Thrift Inst.
Broker-Dealers
2019Q2
16.4
14.2
13.8
13.5
10.8
11.2
6.5
2.8
2.5
1.8
1.4
1.7
1.0
2.5
2019Q3
16.5
14.0
13.5
13.2
10.8
11.5
6.5
2.8
2.6
1.8
1.5
1.7
1.0
2.5
16
2019Q4
16.5
14.4
13.2
13.4
10.9
11.5
6.5
2.8
2.6
1.9
1.5
1.3
1.0
2.5
2020Q1
16.9
14.1
13.5
12.9
10.9
11.3
6.6
3.0
2.6
1.8
1.5
1.2
1.0
2.5
2020Q2
16.6
14.7
13.4
12.7
11.3
11.1
6.4
3.0
2.8
1.8
1.5
1.4
0.9
2.4
2020Q3
16.6
14.6
13.8
12.6
11.3
10.8
6.5
3.0
2.9
1.8
1.5
1.3
0.9
2.4
November 1, 2021
C
Analytics Office
Section 3 Liquidity Funds
Table 17: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Other
Unknown Non-U.S. Investors
Private Funds
Sec-Registered Investment Companies
Broker-Dealers
Banking/Thrift Inst.
Insurance Companies
Pension Plans
Sov. Wealth Funds And For. Official Inst.
Non-Profits
Non-U.S. Individuals
State/Muni. Govt. Pension Plans
U.S. Individuals
State/Muni. Govt. Entities
2019Q2
57
59
84
19
***
***
9
***
***
***
3
***
***
***
2019Q3
74
63
69
19
***
***
8
***
***
1
4
***
***
***
2019Q4
73
62
62
14
***
***
7
4
***
2
4
***
***
***
2020Q1
74
60
72
12
***
***
9
***
***
1
4
***
***
***
2020Q2
90
58
57
17
***
***
10
***
***
1
3
***
***
***
2020Q3
92
76
55
18
***
***
9
5
***
2
3
***
***
***
2020Q4
87
79
59
20
***
***
8
9
***
2
***
1
***
***
2021Q1
80
72
54
24
***
***
9
7
***
2
***
1
***
***
2020Q4
28.0
25.5
18.8
6.5
***
***
2.6
2.7
***
0.7
***
0.3
***
***
2021Q1
27.3
24.5
18.5
8.1
***
***
3.1
2.4
***
0.8
***
0.2
***
***
Table 18: Beneficial Ownership for Section 3 Liquidity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Other
Unknown Non-U.S. Investors
Private Funds
Sec-Registered Investment Companies
Broker-Dealers
Banking/Thrift Inst.
Insurance Companies
Pension Plans
Sov. Wealth Funds And For. Official Inst.
Non-Profits
Non-U.S. Individuals
State/Muni. Govt. Pension Plans
U.S. Individuals
State/Muni. Govt. Entities
2019Q2
20.0
20.8
29.6
6.7
***
***
3.2
***
***
***
1.1
***
***
***
2019Q3
25.8
22.1
24.2
6.8
***
***
2.7
***
***
0.3
1.2
***
***
***
17
2019Q4
25.8
22.1
22.0
4.8
***
***
2.6
1.3
***
0.6
1.3
***
***
***
2020Q1
26.1
21.1
25.3
4.4
***
***
3.3
***
***
0.4
1.5
***
***
***
2020Q2
30.9
19.9
19.4
5.8
***
***
3.6
***
***
0.4
0.9
***
***
***
2020Q3
29.3
24.2
17.6
5.8
***
***
2.9
1.6
***
0.6
0.8
***
***
***
November 1, 2021
D
Analytics Office
Section 4 Private Equity Funds
Table 19: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
State/Muni. Govt. Pension Plans
Other
Sov. Wealth Funds And For. Official Inst.
Pension Plans
Insurance Companies
U.S. Individuals
Non-Profits
Non-U.S. Individuals
State/Muni. Govt. Entities
Banking/Thrift Inst.
Sec-Registered Investment Companies
Unknown Non-U.S. Investors
Broker-Dealers
2019Q2
397
454
336
244
175
127
117
116
48
36
31
17
17
1
2019Q3
397
454
336
244
175
127
117
116
48
36
31
17
17
1
2019Q4
467
514
369
278
199
152
132
139
51
56
36
28
19
1
2020Q1
468
526
392
286
201
154
132
140
54
56
37
28
19
1
2020Q2
468
526
392
285
201
154
132
140
54
56
37
28
19
1
2020Q3
468
526
392
285
201
154
132
140
54
56
37
28
19
1
2020Q4
656
652
513
361
246
189
186
180
65
63
38
27
25
3
2021Q1
659
654
544
387
246
190
187
180
71
63
38
27
25
3
Table 20: Beneficial Ownership for Section 4 Private Equity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
Private Funds
State/Muni. Govt. Pension Plans
Other
Sov. Wealth Funds And For. Official Inst.
Pension Plans
Insurance Companies
U.S. Individuals
Non-Profits
Non-U.S. Individuals
State/Muni. Govt. Entities
Banking/Thrift Inst.
Sec-Registered Investment Companies
Unknown Non-U.S. Investors
Broker-Dealers
2019Q2
18.8
21.4
15.9
11.5
8.3
6.0
5.5
5.5
2.3
1.7
1.5
0.8
0.8
0.1
2019Q3
18.8
21.4
15.9
11.5
8.3
6.0
5.5
5.5
2.3
1.7
1.5
0.8
0.8
0.1
18
2019Q4
19.1
21.1
15.1
11.4
8.2
6.2
5.4
5.7
2.1
2.3
1.5
1.1
0.8
0.1
2020Q1
18.8
21.1
15.7
11.5
8.1
6.2
5.3
5.6
2.2
2.3
1.5
1.1
0.7
0.1
2020Q2
18.8
21.1
15.7
11.4
8.1
6.2
5.3
5.6
2.2
2.3
1.5
1.1
0.7
0.1
2020Q3
18.8
21.1
15.7
11.4
8.1
6.2
5.3
5.6
2.2
2.3
1.5
1.1
0.7
0.1
2020Q4
20.5
20.3
16.0
11.3
7.7
5.9
5.8
5.6
2.0
2.0
1.2
0.8
0.8
0.1
2021Q1
20.1
20.0
16.6
11.8
7.5
5.8
5.7
5.5
2.2
1.9
1.2
0.8
0.8
0.1
November 1, 2021
E
Analytics Office
Concentration
Table 21: Weighted-Average Beneficial Ownership of Top 5 Owners (Percent)
As reported on Form PF, Questions 9 and 15.
Type
Other Private Fund
Real Estate Fund
Hedge Fund
Venture Capital Fund
Private Equity Fund
Qualifying Hedge Fund
Liquidity Fund
Section 3 Liquidity Fund
Section 4 Private Equity Fund
Securitized Asset Fund
Total
2019Q2
58.1
57.7
55.4
59.2
50.8
50.6
52.8
52.2
44.5
34.6
54.0
2019Q3
58.6
57.7
55.6
59.1
50.8
50.9
49.4
48.4
44.5
34.8
54.0
2019Q4
58.6
56.7
55.7
54.7
50.5
51.0
46.2
45.2
45.0
39.4
53.7
19
2020Q1
59.0
56.6
55.4
54.7
50.5
50.3
49.9
48.9
45.0
39.4
53.7
2020Q2
59.1
56.6
55.2
54.8
50.5
50.2
47.1
46.7
44.9
39.5
53.6
2020Q3
58.4
56.6
55.3
54.7
50.5
50.4
44.8
44.4
44.9
39.1
53.5
2020Q4
59.6
56.2
55.3
53.7
50.2
50.5
44.3
44.1
45.2
37.4
53.3
2021Q1
59.3
56.2
55.1
53.7
51.1
50.4
45.9
45.7
46.1
36.0
53.6
November 1, 2021
V
Analytics Office
Derivatives
Table 22: Aggregate Derivative Value ($ Billions)
As reported on Form PF, Questions 13 and 44 (Third Month).
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Section 4 Private Equity Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Venture Capital Fund
Total
2019Q2
12,975
11,346
134
37
31
17
***
***
3
***
13,199
2019Q3
13,447
11,371
135
37
31
17
***
***
3
***
13,468
2019Q4
12,638
11,035
111
95
37
18
***
***
3
***
12,782
2020Q1
11,895
10,460
108
96
37
18
***
***
3
***
12,140
2020Q2
10,935
9,424
108
96
37
18
***
***
3
***
11,196
2020Q3
13,563
11,593
106
97
37
18
***
***
3
***
13,813
2020Q4
13,905
11,665
134
66
34
19
***
***
3
***
14,220
2021Q1
14,929
13,185
138
66
34
18
***
***
3
***
15,198
Table 23: Aggregate Derivative Value (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 13, and 44 (Third Month).
Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Section 4 Private Equity Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Securitized Asset Fund
Venture Capital Fund
Total
2019Q2
318.6
358.9
12.3
1.3
1.5
3.7
***
***
1.6
***
145.6
2019Q3
332.3
358.8
12.2
1.3
1.5
3.7
***
***
1.6
***
148.7
2019Q4
307.0
342.8
9.0
2.9
1.5
3.6
***
***
1.5
***
130.6
20
2020Q1
316.1
360.7
9.0
2.9
1.5
3.6
***
***
1.5
***
128.1
2020Q2
268.5
295.0
8.9
2.9
1.5
3.6
***
***
1.5
***
114.2
2020Q3
317.0
343.0
8.6
2.9
1.5
3.6
***
***
1.5
***
137.4
2020Q4
299.6
328.4
10.3
1.6
1.1
3.1
***
***
1.3
***
124.1
2021Q1
311.5
354.6
10.5
1.6
1.0
2.9
***
***
1.3
***
129.8
November 1, 2021
Analytics Office
Figure 6: Distribution of Derivative Values
As reported on Form PF, Questions 13 and 44 (Third Month).
VI
A
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2019Q2
0.0
0.0
0.0
0.3
1.5
1.2
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2019Q2
0.0
0.1
0.4
2.2
11.2
6.6
All Private Funds ($ Billions)
2019Q3 2019Q4 2020Q1 2020Q2 2020Q3
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.3
0.3
0.2
0.2
0.2
1.5
1.5
1.3
1.3
1.3
1.2
1.2
1.0
1.0
1.1
Qualifying Hedge Funds ($ Billions)
2019Q3 2019Q4 2020Q1 2020Q2 2020Q3
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.4
0.4
0.3
0.3
0.4
2.0
2.0
1.6
1.8
2.0
10.7
11.5
8.2
9.0
10.7
6.0
6.2
5.7
5.0
5.6
2020Q4
0.0
0.0
0.0
0.2
1.3
1.0
2021Q1
0.0
0.0
0.0
0.2
1.4
1.1
2020Q4
0.0
0.0
0.4
2.0
11.2
5.5
2021Q1
0.0
0.0
0.3
1.9
10.8
5.7
Additional Hedge Fund Industry Information
High Frequency Trading
Table 24: Number of Hedge Funds Using
High Frequency Trading (HFT) Strategies
As reported on Form PF, Question 21.
Fraction of NAV
0%
Less than 100%
100% or More
2019Q2
8,054
62
8
2019Q3
8,061
63
8
2019Q4
7,962
49
10
2020Q1
8,044
48
9
2020Q2
8,057
49
8
2020Q3
8,120
47
7
2020Q4
8,134
44
6
2021Q1
8,180
44
6
Table 25: Hedge Fund Assets Managed Using HFT Strategies ($ Billions)
As reported on Form PF, Questions 9 and 21.
Fraction of NAV
0%
Less than 100%
100% or More
2019Q2
3,975
82
2
2019Q3
3,940
83
2
2019Q4
4,023
77
3
2020Q1
3,663
81
2
21
2020Q2
3,953
91
2
2020Q3
4,158
95
2
2020Q4
4,514
95
3
2021Q1
4,657
101
4
November 1, 2021
B
Analytics Office
Industry Concentration
Table 26: Percent of Aggregate Hedge Fund Net Asset Value
Reported by Top Hedge Funds Sorted by Net Asset Value
As reported on Form PF, Questions 9 and 10.
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2019Q2
7.3
13.6
19.9
28.2
42.7
56.3
2019Q3
7.4
13.7
20.0
28.3
42.7
56.1
2019Q4
7.4
13.6
19.7
27.9
42.3
55.6
2020Q1
7.6
14.1
20.2
28.2
42.5
55.6
2020Q2
7.6
14.0
20.2
28.3
42.9
56.3
2020Q3
7.5
14.1
20.5
28.8
43.5
56.9
2020Q4
7.2
13.6
20.0
28.4
43.2
56.6
2021Q1
7.1
13.3
19.5
27.9
42.8
56.3
Table 27: Percent of Aggregate Hedge Fund Gross Asset Value
Reported by Top Hedge Funds Sorted by Gross Asset Value
As reported on Form PF, Questions 8 and 10.
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2019Q2
16.3
25.6
33.9
43.4
56.9
68.0
2019Q3
15.5
25.1
33.7
42.9
56.4
67.6
2019Q4
15.5
24.7
33.5
42.5
55.8
67.0
2020Q1
17.2
26.1
34.8
43.8
56.6
67.5
2020Q2
15.0
24.0
32.7
41.8
55.2
66.5
2020Q3
15.5
24.8
33.6
42.6
56.0
67.2
2020Q4
15.0
23.9
32.8
41.7
55.4
66.6
2021Q1
14.3
23.1
31.7
40.3
54.0
65.7
Table 28: Percent of Aggregate Hedge Fund Borrowings
Reported by Top Hedge Funds Sorted by Borrowings
As reported on Form PF, Questions 12 and 43 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2019Q2
35.5
50.3
62.4
73.2
85.0
91.8
2019Q3
34.4
50.4
62.3
73.3
84.9
91.7
2019Q4
35.8
51.0
62.8
73.2
84.6
91.6
2020Q1
38.7
52.8
63.9
73.9
84.5
91.1
22
2020Q2
35.4
50.8
63.1
73.8
84.5
91.4
2020Q3
35.0
51.6
63.4
74.1
85.0
91.8
2020Q4
33.9
49.4
61.7
72.5
84.2
91.4
2021Q1
33.1
47.9
60.1
71.1
83.0
90.7
November 1, 2021
Analytics Office
Table 29: Percent of Aggregate Hedge Fund Derivative Value
Reported by Top Hedge Funds Sorted by Derivative Value
As reported on Form PF, Questions 13 and 44 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2019Q2
29.4
47.4
60.2
72.8
86.4
93.3
2019Q3
30.8
48.8
61.8
73.9
87.2
93.9
2019Q4
29.2
47.8
60.6
72.5
86.7
93.7
2020Q1
34.2
52.6
65.4
76.6
88.3
94.4
2020Q2
32.9
49.4
62.1
73.8
87.3
93.9
2020Q3
39.7
54.5
66.7
77.1
89.2
95.0
2020Q4
41.4
55.9
67.5
77.4
89.2
94.9
2021Q1
42.3
57.1
68.1
78.2
89.3
94.9
Table 30: Percent of Aggregate Hedge Fund Gross Notional Exposure
Reported by Top Hedge Funds Sorted by Gross Notional Exposure
As reported on Form PF, Questions 26 and 30 (Month 3).
Top 10
Top 25
Top 50
Top 100
Top 250
Top 500
2019Q2
28.5
45.3
58.3
69.7
83.1
91.6
2019Q3
29.0
46.5
58.8
70.0
83.2
91.5
2019Q4
29.5
46.9
59.1
70.5
83.5
91.7
2020Q1
33.5
51.4
62.6
72.9
84.8
92.3
23
2020Q2
32.3
48.7
59.8
70.5
83.2
91.4
2020Q3
36.2
51.4
61.9
72.1
84.2
92.1
2020Q4
36.2
50.0
60.7
71.0
83.5
91.7
2021Q1
37.3
51.0
61.2
71.5
83.5
91.4
November 1, 2021
C
Analytics Office
Single-Strategy US-Domiciled Hedge Funds
Table 31: Exposures of Single-Strategy US-Domiciled Hedge Funds ($ Billions)
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Other
Credit
Event Driven
Relative Value
Investment in other funds
Macro
Managed Futures/CTA
Total
Strategy
Subtotal
Long Bias
Long/Short
Market Neutral
Short Bias
Subtotal
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
F.I. Asset Backed
F.I. Corp.
F.I. Conv. Arb.
F.I. Sov.
Volatility Arb.
Subtotal
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Quantitative
Fundamental
Total
2019Q2
512
239
236
34
2
464
91
48
42
47
30
10
8
43
25
9
6
1
1
22
22
19
3
***
***
6
***
***
1,047
2019Q3
524
252
234
36
2
466
94
50
44
47
30
10
7
45
27
9
6
1
2
25
18
15
3
***
***
6
***
***
1,049
24
2019Q4
562
276
245
40
2
465
98
50
47
45
30
10
5
43
27
8
5
***
***
31
15
12
1
***
***
5
***
***
1,081
2020Q1
485
235
207
40
2
433
96
48
48
43
31
8
4
40
27
7
3
***
***
36
11
9
2
***
***
5
***
***
994
2020Q2
547
269
239
38
2
473
98
52
46
47
32
11
4
43
27
8
5
1
1
30
11
8
2
***
***
5
***
***
1,088
2020Q3
567
282
251
33
1
482
103
56
47
47
31
11
5
48
29
9
7
1
1
31
12
9
2
***
***
5
***
***
1,133
2020Q4
617
319
268
30
1
530
119
63
56
51
34
12
5
48
28
11
7
2
1
29
11
8
2
***
***
6
***
***
1,245
2021Q1
644
329
289
25
1
553
122
67
55
56
37
12
6
49
29
9
8
1
1
31
13
10
2
***
***
6
***
***
1,308
November 1, 2021
Analytics Office
Table 32: Number of Single-Strategy US-Domiciled Hedge Funds
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Other
Credit
Event Driven
Relative Value
Investment in other funds
Macro
Managed Futures/CTA
Total
Strategy
Subtotal
Long Bias
Long/Short
Market Neutral
Short Bias
Subtotal
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
F.I. Asset Backed
F.I. Corp.
F.I. Conv. Arb.
F.I. Sov.
Volatility Arb.
Subtotal
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Quantitative
Fundamental
Total
2019Q2
1,053
519
468
56
16
890
285
153
134
206
145
37
33
153
72
48
16
10
14
193
60
38
15
***
***
34
***
***
2,707
2019Q3
1,055
524
467
54
16
920
289
155
136
221
157
44
30
159
74
51
15
15
16
203
57
35
15
***
***
32
***
***
2,730
25
2019Q4
1,013
521
434
48
17
920
297
155
146
215
153
47
23
151
72
48
16
***
***
211
44
24
9
***
***
26
***
***
2,683
2020Q1
1,007
511
438
47
18
927
303
159
147
220
159
45
23
149
69
47
17
***
***
215
45
24
14
***
***
27
***
***
2,717
2020Q2
993
504
433
45
18
939
313
165
151
227
165
45
24
160
81
49
16
11
12
213
44
22
13
***
***
27
***
***
2,742
2020Q3
1,017
522
443
45
17
953
318
168
153
220
156
46
23
172
88
53
17
16
12
219
44
21
13
***
***
28
***
***
2,771
2020Q4
1,019
525
443
48
11
950
354
173
184
217
151
50
21
174
93
53
18
16
14
239
45
24
11
***
***
26
***
***
2,797
2021Q1
1,030
533
447
47
11
979
357
175
185
230
161
52
21
177
95
50
18
17
13
240
47
24
13
***
***
27
***
***
2,861
November 1, 2021
D
Analytics Office
Single-Strategy Non-US-Domiciled Hedge Funds
Table 33: Exposures of Single-Strategy Non-US-Domiciled Hedge Funds ($ Billions)
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Relative Value
Macro
Other
Credit
Event Driven
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Corp.
Volatility Arb.
F.I. Conv. Arb.
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Risk Arb./Merger Arb.
Equity
Subtotal
Quantitative
Fundamental
Subtotal
Total
2019Q2
890
613
185
91
1
355
220
90
17
20
8
383
372
7
***
***
507
180
137
43
133
83
27
23
168
***
***
27
1,757
2019Q3
868
595
178
95
1
358
222
91
18
19
8
390
380
7
***
***
531
183
137
46
122
80
20
22
173
***
***
31
1,742
26
2019Q4
907
601
211
***
***
359
224
88
19
17
10
356
345
7
***
***
553
202
153
49
121
81
18
21
172
***
***
30
1,797
2020Q1
779
512
190
***
***
390
248
99
18
16
9
351
343
5
***
***
522
206
150
56
111
72
21
18
153
***
***
28
1,646
2020Q2
902
608
224
***
***
377
256
74
24
12
11
341
331
5
***
***
531
212
152
61
117
81
17
19
110
***
***
29
1,812
2020Q3
994
670
249
***
***
375
252
76
24
12
11
432
424
5
***
***
557
220
155
65
136
93
22
21
132
***
***
28
1,929
2020Q4
1,176
801
292
***
***
408
272
79
29
14
13
377
368
6
***
***
608
235
175
61
147
95
28
24
151
***
***
30
2,146
2021Q1
1,157
777
295
***
***
410
274
80
24
17
15
380
370
6
***
***
648
248
186
62
168
103
35
29
167
***
***
35
2,199
November 1, 2021
Analytics Office
Table 34: Number of Single-Strategy Non-US-Domiciled Hedge Funds
As reported on Form PF, Questions 9, 19, and 20.
Category
Equity
Relative Value
Macro
Other
Credit
Event Driven
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Corp.
Volatility Arb.
F.I. Conv. Arb.
Subtotal
Global Macro
Commodity
Active Trading
Currency
Subtotal
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Risk Arb./Merger Arb.
Equity
Subtotal
Quantitative
Fundamental
Subtotal
Total
2019Q2
1,099
644
327
124
7
297
54
131
88
37
29
254
196
45
***
***
776
344
254
98
311
209
60
71
131
***
***
107
3,101
2019Q3
1,078
633
317
124
7
291
55
123
85
35
29
244
186
45
***
***
792
337
246
94
314
216
57
72
129
***
***
107
3,085
27
2019Q4
1,055
623
317
***
***
296
57
130
91
34
28
214
160
43
***
***
785
334
241
95
285
195
52
75
122
***
***
130
3,022
2020Q1
1,059
632
317
***
***
303
56
129
97
34
27
214
162
43
***
***
822
333
237
99
295
206
47
78
132
***
***
127
3,070
2020Q2
1,029
620
312
***
***
300
58
134
97
28
27
207
157
39
***
***
805
340
244
99
300
215
44
74
124
***
***
130
3,039
2020Q3
1,030
618
315
***
***
297
57
138
94
26
26
211
162
40
***
***
802
345
246
101
306
223
43
72
121
***
***
126
3,058
2020Q4
1,065
630
339
***
***
306
60
151
94
26
24
210
162
36
***
***
829
343
244
102
305
214
43
77
115
***
***
112
3,094
2021Q1
1,040
603
340
***
***
305
57
149
92
26
27
209
161
38
***
***
811
343
243
103
313
218
43
82
118
***
***
130
3,073
November 1, 2021
VII
A
Analytics Office
Information Reported by Large Hedge
Fund Advisers
Economic Leverage
Figure 7: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 3(a) and 26.
1-0
1-0
202
202
202
1
1-0
1.0
1.2
1.9
3.4
8.4
3.9
3
2
0.9
1.1
1.8
3.3
8.1
3.7
202
202
1-0
1.0
1.2
1.9
3.5
7.6
3.9
202
0-1
202
0.9
1.1
1.9
3.6
7.8
4.1
202
1-0
1
0.8
1.1
1.8
3.3
7.3
3.7
2
1.0
1.2
1.9
3.3
7.7
3.8
0-1
0-0
202
1.0
1.2
1.9
3.5
8.2
4.0
202
0-0
0-0
0.9
1.2
1.9
3.4
7.6
3.9
202
7
202
0-0
6
0-0
0.9
1.1
1.9
3.4
7.0
4.0
0-1
0.9
1.2
1.9
3.4
7.4
4.1
202
5
0-0
0-0
202
202
0.9
1.2
1.8
3.4
7.8
4.1
-03
202
0-1
2
28
1.0
1.2
1.9
3.3
7.0
4.2
4
3
202
0-0
2
0-0
1.1
1.4
2.2
4.3
9.4
5.5
2
202
0-1
1
1.0
1.3
2.0
4.3
11.6
6.0
1
202
0-1
0
1.0
1.3
2.1
4.6
12.4
6.4
1
202
0-0
9
0.9
1.2
2.0
4.2
11.8
6.0
0
202
0-0
8
1.0
1.3
2.1
4.5
12.2
6.2
9
202
0.9
1.3
2.1
4.6
13.5
6.9
8
202
0-0
6
0.9
1.2
1.9
4.6
12.2
6.3
7
202
0-0
5
1.0
1.3
2.1
4.5
12.4
6.4
1.1
1.5
2.3
4.5
9.5
5.3
0-0
3
202
0-0
4
1.0
1.3
2.2
4.8
12.9
7.2
202
1.0
1.3
2.1
4.5
12.6
6.7
202
0-0
2
1.0
1.3
2.1
4.1
11.5
6.3
0-0
1
1.0
1.3
2.2
4.5
14.2
6.8
202
1.0
1.2
1.9
3.6
7.9
4.4
1.1
1.1
1.0
0.9
1.6
1.5
1.3
1.3
2.5
2.5
2.1
2.1
5.6
5.6
4.3
4.4
16.9 18.0 13.8 14.4
8.6
9.3
6.7
6.7
Excluding IRDs
202
2
1.0
1.2
1.9
3.8
8.5
4.7
201
201
9-1
0.9
1.2
1.9
3.9
8.2
4.7
9-1
1
1.0
1.2
1.9
3.9
7.9
4.4
201
9
1.0
1.2
2.0
3.8
8.1
4.9
9-0
9
1.0
1.2
2.1
4.1
8.5
4.9
201
-07
201
9-0
1.0
1.2
2.0
3.9
7.9
4.9
201
9
9-0
201
5
9-0
9-0
201
0.9
1.2
2.0
3.9
8.4
4.8
2
1.0
1.4
2.1
4.8
13.9
7.3
0-0
1
1.0
1.4
2.1
4.8
14.7
7.7
202
1
201
9-1
1.0
1.4
2.2
4.9
15.1
7.7
1.0
1.2
2.0
4.0
9.1
4.9
9-1
0
1.0
1.3
2.1
4.7
14.0
7.4
-10
201
9-1
9
201
8
1.0
1.4
2.3
5.0
16.8
8.2
9-0
201
1.0
1.4
2.3
5.0
17.1
8.4
8
201
9-0
6
1.0
1.4
2.2
4.8
16.5
7.8
201
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
9-0
7
201
1.0
1.4
2.2
5.0
16.7
8.3
6
201
9-0
9-0
5
201
1.0
1.4
2.2
4.9
16.8
8.3
4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
201
9
-04
Including Interest Rate Derivatives (IRDs)
1.0
1.1
1.8
3.3
7.7
3.9
November 1, 2021
Analytics Office
Figure 8: Ratio of Hedge Fund Long Notional Exposure (LNE) and Short Notional
Exposure (SNE) to Net Asset Value
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 3(a) and 26.
29
2
3
1-0
202
1 -0
0.0
0.1
0.5
1.4
3.7
1.6
0.0
0.1
0.5
1.5
4.0
1.7
0.0
0.1
0.5
1.4
3.7
1.6
-03
-03
2
2
0.0
0.2
0.6
2.1
6.4
3.0
0.9
1.1
1.4
2.2
4.8
2.4
0.0
0.2
0.6
2.1
6.1
3.0
202
1-0
3
2
0.1
0.2
0.6
1.9
6.5
2.8
202
1
1-0
1-0
0.0
0.2
0.6
2.0
5.7
2.7
0.9
1.1
1.5
2.7
6.7
3.5
202
1
1
1-0
202
1
1-0
202
1-0
1
0.9
1.1
1.4
2.3
5.0
2.5
202
2
202
202
0.9
1.0
1.4
2.2
4.9
2.4
202
202
0-1
2
0.9
1.1
1.5
2.9
7.2
3.8
202
1-0
0.0
0.1
0.5
1.4
3.8
1.7
0.9
1.1
1.5
2.6
7.0
3.5
202
1-0
1
0.0
0.1
0.5
1.3
3.3
1.5
0.0
0.1
0.5
1.3
3.9
1.7
0-1
0-1
1
202
0-1
2
1
0.1
0.2
0.6
2.1
6.0
3.0
202
0-1
0.1
0.2
0.6
2.0
5.7
2.7
0.9
1.1
1.5
2.3
4.8
2.5
202
-10
202
0-1
1
0
0-1
0.9
1.0
1.5
2.3
4.7
2.5
202
202
0.8
1.0
1.3
2.2
4.5
2.4
202
0.9
1.1
1.6
2.8
6.6
3.7
0-1
0
0-0
9
0.9
1.1
1.5
3.0
7.2
4.1
202
9
0-0
202
8
0.8
1.0
1.4
2.9
6.9
3.8
0.1
0.2
0.6
2.1
6.4
2.9
202
8
0.0
0.2
0.5
1.4
4.0
1.8
202
0
202
9
0-0
202
8
0-0
0.9
1.1
1.5
2.2
4.8
2.4
0-0
0.1
0.2
0.7
2.1
6.7
3.3
0-0
7
0-0
8
202
0-0
7
202
0-0
7
0.9
1.1
1.6
2.8
6.8
3.8
202
0-0
-07
0.0
0.2
0.5
1.3
4.0
1.7
0.9
1.1
1.5
2.2
4.9
2.5
202
6
202
6
202
202
6
0-0
0.0
0.2
0.5
1.3
3.6
1.7
0.1
0.2
0.6
2.0
6.5
3.1
202
0
0-0
202
5
0.1
0.2
0.7
1.8
6.0
2.9
202
0.0
0.2
0.5
1.3
4.1
1.8
0.9
1.0
1.4
2.2
4.7
2.4
6
0-0
5
0-0
0-0
0.9
1.1
1.5
2.2
4.4
2.4
0.9
1.1
1.6
3.0
7.2
4.2
0-1
2
0.0
0.2
0.5
1.3
3.9
1.8
0.9
1.1
1.5
2.9
7.1
3.9
202
0-1
1
0.1
0.2
0.5
1.3
3.4
1.9
202
0-0
4
0-0
3
2
1
0-0
202
0.1
0.2
0.6
1.8
4.6
2.4
202
0-0
5
0-0
5
0-0
202
0-0
4
3
202
0-0
2
-01
0-0
202
202
202
0-0
0.1
0.2
0.6
1.9
4.6
2.3
202
4
0-0
202
202
0-0
3
2
-01
0-0
202
202
9-1
2
202
0
202
0
9-1
2
0.0
0.2
0.5
1.5
3.7
2.0
202
9-1
2
0.1
0.1
0.1
0.1
0.1
0.1
0.3
0.3
0.3
0.2
0.2
0.2
0.7
0.8
0.8
0.6
0.6
0.7
2.2
2.5
2.6
1.9
1.9
2.0
7.0 10.6 11.1
7.6
7.6
7.4
3.5
4.0
4.4
3.2
3.1
3.2
Short Exposure Excluding IRDs
0.9
1.1
1.6
2.7
6.6
3.7
202
4
0-0
202
202
3
2
0-0
0-0
202
-12
0-0
1
202
202
201
9
201
0.9
1.0
1.0
0.9
0.9
0.9
1.1
1.3
1.2
1.1
1.0
1.0
1.5
1.7
1.7
1.4
1.4
1.5
2.4
2.8
2.8
2.3
2.2
2.3
5.2
5.9
5.9
4.3
4.7
4.9
2.8
3.2
3.3
2.6
2.5
2.5
Short Exposure Including IRDs
201
-11
0.0
0.2
0.5
1.6
4.2
2.1
1.0
1.1
1.0
1.0
0.9
0.9
1.2
1.3
1.3
1.1
1.1
1.1
1.6
1.8
1.8
1.5
1.5
1.6
2.9
3.5
3.4
2.7
2.7
2.8
8.0
9.8
9.5
8.0
8.0
8.0
4.1
4.8
5.1
3.8
3.8
4.0
Long Exposure Excluding IRDs
201
9-1
1
9-1
1
0.1
0.3
0.7
2.2
9.0
3.7
9-1
1
9-1
0
-09
201
9
201
-10
0.1
0.2
0.6
1.6
3.9
2.0
0.9
1.1
1.5
2.5
5.4
3.0
201
-10
-10
0.1
0.3
0.7
2.2
8.2
3.7
0.9
1.1
1.6
3.0
8.0
4.3
201
201
201
9
201
9
9-0
9
9-0
9
0.0
0.2
0.6
1.7
4.2
1.9
0.9
1.1
1.5
2.4
5.2
2.9
201
9
201
201
0.1
0.3
0.7
2.3
8.8
3.4
0.9
1.1
1.6
3.1
7.6
4.3
202
0-1
0
0.1
0.2
0.6
1.7
4.6
2.2
0.9
1.1
1.5
2.3
5.1
2.7
201
9-0
8
9-0
8
0.1
0.3
0.8
2.3
9.2
4.0
9-0
9
201
9
-08
201
9
9-0
8
201
-07
0.1
0.2
0.6
1.7
5.1
2.3
0.9
1.1
1.5
2.5
5.2
2.9
201
-07
9-0
6
0.0
0.2
0.6
1.7
4.4
2.2
7
0.1
0.3
0.7
2.3
10.2
4.0
1.0
1.1
1.6
2.9
8.8
4.2
201
6
9-0
7
201
9-0
9-0
6
9-0
6
201
9
201
0.1
0.3
0.7
2.3
8.6
3.8
201
9-0
5
9-0
0.1
0.2
0.6
1.7
4.7
2.2
0.9
1.1
1.5
2.5
5.5
2.9
1.0
1.1
1.6
3.1
9.1
4.6
0-0
9
0.1
0.2
0.6
1.8
4.2
2.3
201
9-0
201
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1.0
1.1
1.7
3.1
9.4
4.7
201
9
5
0.1
0.3
0.7
2.3
8.7
4.0
201
5
5
201
9-0
9-0
201
0.1
0.3
0.7
2.4
9.3
3.9
4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.9
1.1
1.5
2.4
5.5
2.9
201
0.9
1.1
1.5
2.4
5.5
2.8
1.0
1.1
1.6
3.0
9.0
4.4
201
9-0
9-0
9-0
9-0
201
0.9
1.1
1.5
2.5
5.6
2.9
0.9
1.1
1.6
3.1
9.2
4.7
4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
201
201
0.9
1.2
1.6
3.2
9.0
4.7
4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
201
4
Long Exposure Including IRDs
0.0
0.1
0.5
1.4
4.0
1.7
November 1, 2021
B
Analytics Office
Industry Concentration
Table 35: Large Hedge Fund Adviser Asset and Exposure Concentration
(Percent of Total Reported)
As reported on Form PF, Questions 3(a) and 26.
Month
2019-04
2019-05
2019-06
2019-07
2019-08
2019-09
2019-10
2019-11
2019-12
2020-01
2020-02
2020-03
2020-04
2020-05
2020-06
2020-07
2020-08
2020-09
2020-10
2020-11
2020-12
2021-01
2021-02
2021-03
Top 10 Advisers (NAV)
18.9
18.9
18.9
19.3
19.3
19.4
19.5
19.5
19.5
19.1
19.1
19.1
18.3
18.3
18.3
18.4
18.4
18.5
16.8
16.8
16.8
16.2
16.2
16.2
Top 20 Advisers (NAV)
28.5
28.5
28.5
28.8
28.8
28.9
29.3
29.3
29.3
29.6
29.6
29.6
29.0
29.0
29.0
29.1
29.1
29.3
26.4
26.4
26.4
26.2
26.2
26.2
30
Top 10 Advisers (GNE)
37.7
37.5
36.4
36.8
36.8
37.4
37.8
37.4
37.0
38.1
38.7
41.1
40.7
40.6
39.9
42.1
40.6
40.3
40.0
39.3
39.4
40.3
42.2
41.5
Top 20 Advisers (GNE)
54.1
54.1
52.7
53.9
54.1
54.2
54.2
54.2
53.7
55.4
56.0
56.7
56.8
56.3
55.7
57.2
56.7
56.1
55.8
56.3
54.7
55.8
57.6
56.0
November 1, 2021
C
Analytics Office
Portfolio Turnover
Table 36: Aggregate Portfolio Turnover ($ Billions)
As reported on Form PF, Question 27.
Month
2019-04
2019-05
2019-06
2019-07
2019-08
2019-09
2019-10
2019-11
2019-12
2020-01
2020-02
2020-03
2020-04
2020-05
2020-06
2020-07
2020-08
2020-09
2020-10
2020-11
2020-12
2021-01
2021-02
2021-03
Futures
9,911
18,298
16,327
10,900
15,837
15,755
12,744
14,093
13,345
13,058
19,136
25,062
9,351
12,203
12,862
7,951
10,039
11,031
9,339
12,508
17,695
10,675
17,631
18,591
Sov. and muni. bonds
3,391
3,798
3,832
3,454
4,353
3,897
3,627
3,835
3,311
3,762
4,578
6,430
4,426
4,146
4,003
3,305
3,777
3,696
4,086
4,598
4,356
4,367
5,493
5,419
Listed equities
2,263
2,528
2,188
2,278
2,400
2,226
2,566
2,280
2,302
2,719
2,916
4,071
2,658
2,677
3,201
2,928
2,552
2,866
2,756
3,227
2,993
3,454
3,460
4,131
Corporate bonds
127
134
134
136
116
144
152
134
95
176
167
230
226
211
220
164
165
207
189
171
125
176
175
189
Convertible bonds
18
22
25
21
26
34
19
27
21
36
31
36
39
44
51
40
39
38
44
55
56
58
63
63
Total
15,709
24,779
22,506
16,789
22,731
22,056
19,108
20,369
19,074
19,750
26,829
35,828
16,700
19,280
20,337
14,388
16,573
17,837
16,413
20,559
25,224
18,730
26,823
28,393
Figure 9: Distributions of Portfolio Turnover
(Winsorized, limits=[1%,99%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 3(a) and 27.
0.0
0.1
0.5
2.3
14.7
6.7
0.0
0.1
0.4
2.2
13.6
6.8
0.0
0.1
0.6
2.3
19.8
7.2
0.0
0.1
0.4
1.7
12.9
4.8
0.0
0.1
0.4
1.7
13.6
6.1
0.0
0.1
0.4
2.2
16.2
6.2
0.0
0.1
0.3
2.0
13.2
5.6
0.0
0.1
0.4
1.9
14.4
6.8
0.0
0.1
0.4
2.1
15.3
7.0
0.0
0.1
0.5
2.0
13.3
5.8
0.0
0.1
0.4
2.1
15.6
7.5
0.0
0.1
0.5
2.6
19.0
8.1
1-0
1-0
0-0
0-0
9-0
-03
0.1
0.3
1.1
4.7
35.3
13.8
2
202
1
1-0
3
2
202
1
1-0
0.0
0.2
0.7
3.0
22.4
11.3
1
202
1-0
202
2
202
202
0-1
202
202
0-1
2
-11
202
0
1
0-1
202
0.0
0.1
0.5
2.5
19.2
8.5
-09
202
0.0
0.1
0.4
1.8
17.8
6.8
31
0-1
0
0-0
9
202
0-1
0
8
202
0
202
202
0
0.0
0.1
0.4
2.0
15.5
7.2
-08
202
0-0
-07
202
0-0
6
0.0
0.1
0.4
2.1
18.1
8.0
7
202
0-0
5
202
6
0-0
4
202
0.0
0.1
0.4
2.2
18.6
10.6
0-0
3
0.0
0.1
0.5
2.5
22.9
10.4
-02
0.0
0.1
0.4
1.9
14.9
9.1
1
0.0
0.1
0.5
2.2
22.3
11.6
9
0.0
0.1
0.5
2.6
20.8
11.7
6
0.0
0.1
0.4
1.9
16.3
7.9
-05
202
202
0
5
0.1
0.3
1.4
7.5
52.3
41.6
202
0
0-0
0.1
0.3
1.2
6.3
48.5
40.1
202
0-0
0.1
0.3
1.2
6.2
41.9
29.3
201
9-1
2
202
0.1
0.3
1.1
6.2
47.4
33.1
-10
202
0.0
0.3
1.1
7.0
41.0
30.7
201
9-1
1
202
0.1
0.2
0.9
5.8
40.9
26.6
201
9
0.1
0.3
1.1
6.2
43.8
30.1
8
0.1
0.3
1.0
5.6
41.5
27.5
201
9-0
0.1
0.3
0.9
5.4
36.1
22.3
7
0.1
0.3
1.4
6.6
50.8
31.8
201
9-0
202
3
0.1
0.1
0.1
0.2
0.1
0.1
0.2
0.3
0.3
0.6
0.4
0.3
0.9
1.1
1.4
2.3
1.2
1.1
5.7
6.5
7.4 11.5
6.4
5.9
46.1 49.5 64.5 92.8 45.9 44.0
28.5 31.3 43.7 55.3 27.6 31.2
Total Turnover to NAV Ratio
0-0
0.1
0.2
0.9
6.1
43.8
32.3
9-0
202
0-0
4
201
9-1
2
1
201
9-1
1
0.1
0.3
0.9
6.0
47.8
29.3
0-0
-10
201
9
0.1
0.3
1.1
5.8
52.9
33.4
201
202
0-0
2
8
201
9-0
0.1
0.3
1.1
6.3
59.1
38.9
201
9
7
201
9-0
6
9-0
0.1
0.2
1.0
5.4
45.9
27.9
9-0
201
0.1
0.3
1.2
6.8
60.9
34.6
4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
-05
201
0.1
0.3
1.3
7.0
61.5
39.7
201
9
4
201
9
0.1
0.3
1.0
5.3
46.7
25.4
201
9-0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
201
9-0
Total Turnover ($ Billions)
November 1, 2021
D
Analytics Office
Region and Country Exposure
Table 37: Large Hedge Fund Adviser Hedge Fund
Region Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.
Region
North America
Europe EEA
Asia
Europe Other
South America
Supranational
Africa
Middle East
2019Q2
5,522
1,764
840
82
119
38
33
28
2019Q3
5,325
1,717
723
82
100
68
29
26
2019Q4
5,367
1,603
759
85
121
53
33
29
2020Q1
4,902
1,426
649
92
87
42
30
39
2020Q2
4,912
1,398
665
93
86
54
37
28
2020Q3
5,376
1,616
804
125
97
35
40
35
2020Q4
5,065
1,521
793
105
93
33
40
29
2021Q1
5,244
1,348
779
289
85
45
34
29
Table 38: Large Hedge Fund Adviser Hedge Fund
Region Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.
Region
North America
Europe EEA
Asia
Europe Other
South America
Supranational
Africa
Middle East
2019Q2
156.5
50.0
23.8
2.3
3.4
1.1
0.9
0.8
2019Q3
153.7
49.6
20.9
2.4
2.9
2.0
0.8
0.8
2019Q4
150.7
45.0
21.3
2.4
3.4
1.5
0.9
0.8
2020Q1
150.7
43.8
20.0
2.8
2.7
1.3
0.9
1.2
32
2020Q2
138.0
39.3
18.7
2.6
2.4
1.5
1.0
0.8
2020Q3
142.2
42.7
21.3
3.3
2.6
0.9
1.1
0.9
2020Q4
129.0
38.7
20.2
2.7
2.4
0.8
1.0
0.7
2021Q1
127.2
32.7
18.9
7.0
2.1
1.1
0.8
0.7
November 1, 2021
Analytics Office
Table 39: Large Hedge Fund Adviser Hedge Fund
Country Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.
Country
United States
China (Inc. Hong Kong)
Japan
India
Brazil
Russia
2019Q2
5,233
186
239
32
46
11
2019Q3
5,121
175
286
34
40
11
2019Q4
5,034
198
263
37
50
14
2020Q1
4,681
180
220
29
32
15
2020Q2
4,692
221
190
30
33
17
2020Q3
5,117
270
213
32
36
16
2020Q4
4,830
285
214
36
38
18
2021Q1
4,992
280
208
46
33
16
2020Q4
123.0
7.3
5.4
0.9
1.0
0.5
2021Q1
121.1
6.8
5.0
1.1
0.8
0.4
Table 40: Large Hedge Fund Adviser Hedge Fund
Country Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.
Country
United States
China (Inc. Hong Kong)
Japan
India
Brazil
Russia
2019Q2
148.3
5.3
6.8
0.9
1.3
0.3
2019Q3
147.9
5.1
8.3
1.0
1.2
0.3
2019Q4
141.3
5.6
7.4
1.0
1.4
0.4
33
2020Q1
143.9
5.5
6.8
0.9
1.0
0.5
2020Q2
131.8
6.2
5.3
0.8
0.9
0.5
2020Q3
135.3
7.2
5.6
0.9
1.0
0.4
November 1, 2021
VIII
A
Analytics Office
Qualifying Hedge Fund Specific Information
Economic Leverage
Figure 10: Ratio of Qualifying Hedge Fund Gross Notional Exposure to Net Asset Value
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 9, 10, 26, and 30.
-0 3
202
1
1-0
202
1.0
1.1
1.7
3.2
7.0
3.4
202
1
1-0
202
1.0
1.1
1.7
3.1
7.1
3.3
-03
1-0
202
2
1-0
202
1.0
1.1
1.7
3.0
6.5
3.2
2
202
0 -1
2
202
1
0-1
1.0
1.2
1.8
3.3
7.2
3.5
1
202
0 -1
1
1.0
1.2
1.7
3.3
7.2
3.5
202
0-1
0-0
202
1.0
1.1
1.7
2.9
6.4
3.1
202
0-0
202
1.0
1.2
1.7
3.0
6.6
3.3
1
202
0-1
0
1.0
1.2
1.8
3.1
6.5
3.3
8
7
202
0-0
6
0-0
1.0
1.1
1.7
2.9
5.9
3.1
0-1
2
202
0-0
9
1.0
1.2
1.8
3.1
6.2
3.3
202
0-0
0-0
202
0-0
1.0
1.2
1.8
3.1
6.1
3.3
202
3
2
0-0
202
34
1.0
1.1
1.7
2.9
5.7
3.1
0
202
0-0
8
1.0
1.2
1.9
3.7
10.7
5.1
9
202
1.1
1.3
2.0
4.1
11.1
5.6
1.1
1.3
1.9
3.8
8.5
4.1
7
202
0 -0
6
1.1
1.3
2.0
4.0
11.1
5.5
0-0
202
0 -0
5
1.1
1.3
2.0
3.9
10.3
5.2
5
1.1
1.4
2.1
4.3
11.4
6.1
4
1.1
1.4
2.1
4.4
11.7
6.0
202
0 -0
3
202
0-0
4
1.1
1.3
2.0
3.8
9.6
5.1
202
1.1
1.4
2.0
4.3
10.2
5.6
1.1
1.3
2.0
3.7
8.3
4.1
202
0-0
2
1.1
1.4
2.1
4.2
10.3
5.7
0-0
1
1.0
1.3
2.0
3.8
9.5
5.0
202
2
2
1.0
1.1
1.8
3.4
7.2
3.6
1.1
1.4
2.1
4.2
10.3
5.7
0-0
1
201
9-1
1.0
1.2
1.9
3.8
8.1
4.1
1.2
1.2
1.1
1.1
1.5
1.5
1.3
1.4
2.3
2.3
2.0
2.1
4.8
4.8
3.9
4.2
12.6 12.8
8.8 10.4
6.8
7.1
5.2
5.6
Excluding IRDs
202
1
201
9-1
9-1
1
1.0
1.2
1.9
3.9
8.0
4.1
201
9-1
0
201
9-1
1.0
1.1
1.8
3.4
7.4
3.6
201
9
9-0
9
201
9-0
1.0
1.2
1.9
3.6
7.8
4.0
201
9-0
7
1.0
1.2
1.9
3.5
8.0
3.9
201
6
9-0
9-0
201
201
1.0
1.1
1.8
3.4
7.2
3.6
-10
1.1
1.3
2.0
4.3
11.2
5.8
1.0
1.2
1.8
3.6
7.6
3.8
9
201
1.1
1.5
2.3
4.8
12.6
7.1
1.0
1.2
1.8
3.6
7.6
3.9
8
201
1.1
1.5
2.3
5.0
12.6
6.9
9-0
201
9-0
1.0
1.4
2.1
4.6
11.1
6.1
8
1.1
1.4
2.2
4.9
12.4
7.2
201
9-0
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
6
1.1
1.4
2.2
4.7
12.8
7.7
9-0
7
201
1.1
1.4
2.2
4.4
11.1
6.3
5
201
9-0
4
201
1.1
1.5
2.2
4.8
12.9
7.5
9-0
201
1.1
1.4
2.2
4.6
12.1
7.0
4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
9-0
5
Including Interest Rate Derivatives (IRDs)
1.0
1.1
1.6
3.0
6.6
3.1
November 1, 2021
Analytics Office
Figure 11: Ratio of Qualifying Hedge Fund Long Notional Exposure (LNE) and
Short Notional Exposure (SNE) to Net Asset Value
(Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Questions 9, 10, 26, and 30.
35
2
3
1-0
202
1 -0
0.0
0.1
0.5
1.3
3.4
1.4
0.0
0.1
0.5
1.4
3.4
1.4
0.0
0.1
0.4
1.3
3.3
1.4
-03
-03
2
2
0.0
0.2
0.6
1.7
5.4
2.6
1.0
1.0
1.3
2.1
3.9
2.1
0.0
0.2
0.6
1.7
5.2
2.4
202
1-0
3
2
0.0
0.2
0.6
1.7
5.3
2.5
202
1
1-0
1-0
0.0
0.2
0.6
1.5
5.1
2.3
1.0
1.1
1.5
2.5
5.6
3.2
202
1
1
1-0
202
1
1-0
202
1-0
1
1.0
1.1
1.4
2.2
4.1
2.2
202
2
202
202
1.0
1.1
1.4
2.1
4.3
2.2
202
202
0-1
2
1.0
1.1
1.5
2.6
6.3
3.5
202
1-0
0.0
0.2
0.5
1.3
3.5
1.5
1.0
1.1
1.5
2.6
6.6
3.4
202
1-0
1
0.0
0.2
0.5
1.3
3.4
1.4
0.0
0.1
0.4
1.1
3.1
1.3
0-1
0-1
1
202
0-1
2
1
0.1
0.2
0.6
1.8
5.6
2.7
202
0-1
0.1
0.2
0.6
1.7
5.4
2.5
1.0
1.1
1.4
2.1
4.1
2.2
202
-10
202
0-1
1
0
0-1
1.0
1.1
1.4
2.3
4.3
2.3
202
202
1.0
1.1
1.4
2.2
4.3
2.3
202
1.0
1.1
1.5
2.5
6.0
3.2
0-1
0
0-0
9
1.0
1.2
1.6
2.7
6.8
3.7
202
9
0-0
202
8
1.0
1.1
1.5
2.7
6.9
3.6
0.0
0.2
0.6
1.5
4.6
2.1
202
8
0.0
0.1
0.5
1.2
3.4
1.4
202
0
202
9
0-0
202
8
0-0
1.0
1.1
1.4
2.1
3.9
2.1
0-0
0.0
0.2
0.6
1.7
4.9
2.3
0-0
7
0-0
8
202
0-0
7
202
0-0
7
1.0
1.1
1.5
2.5
5.6
3.3
202
0-0
-07
0.0
0.2
0.5
1.2
3.2
1.4
1.0
1.1
1.4
2.1
4.1
2.2
202
6
202
6
202
202
6
0-0
0.0
0.1
0.4
1.2
2.9
1.3
0.0
0.2
0.6
1.7
4.8
2.3
202
0
0-0
202
5
0.0
0.2
0.6
1.5
4.5
2.1
202
0.0
0.2
0.5
1.2
2.8
1.4
1.0
1.1
1.4
2.2
4.1
2.2
6
0-0
5
0-0
0-0
1.0
1.1
1.4
2.1
3.7
2.1
1.0
1.2
1.6
2.7
6.1
3.5
0-1
2
0.0
0.2
0.5
1.2
2.8
1.4
1.0
1.2
1.6
2.8
6.1
3.5
202
0-1
1
0.0
0.1
0.5
1.2
2.6
1.4
202
0-0
4
0-0
3
2
1
0-0
202
0.0
0.2
0.5
1.7
4.4
1.9
202
0-0
5
0-0
5
0-0
202
0-0
4
3
202
0-0
2
-01
0-0
202
202
202
0-0
0.0
0.1
0.5
1.6
4.1
1.8
202
4
0-0
202
202
0-0
3
2
-01
0-0
202
202
9-1
2
202
0
202
0
9-1
2
0.0
0.1
0.5
1.5
3.4
1.6
202
9-1
2
0.0
0.0
0.0
0.0
0.1
0.0
0.2
0.2
0.2
0.2
0.2
0.2
0.6
0.7
0.7
0.6
0.6
0.6
1.8
2.1
2.1
1.6
1.7
1.7
5.5
6.4
7.3
4.2
5.0
5.1
2.7
3.0
3.3
2.4
2.4
2.5
Short Exposure Excluding IRDs
1.0
1.1
1.5
2.5
5.5
3.2
202
4
0-0
202
202
3
2
0-0
0-0
202
-12
0-0
1
202
202
201
9
201
1.0
1.1
1.1
1.0
1.0
1.0
1.1
1.2
1.2
1.1
1.1
1.1
1.4
1.6
1.6
1.4
1.4
1.4
2.3
2.6
2.5
2.1
2.1
2.2
4.5
5.1
5.1
3.6
3.7
3.7
2.4
2.7
2.7
2.1
2.2
2.2
Short Exposure Including IRDs
201
-11
0.0
0.2
0.5
1.5
3.9
1.7
1.0
1.1
1.1
1.0
1.0
1.0
1.2
1.3
1.3
1.1
1.2
1.2
1.6
1.7
1.7
1.6
1.6
1.6
2.8
3.0
2.9
2.5
2.6
2.7
6.3
7.0
7.2
5.0
6.3
6.2
3.5
4.1
4.3
3.2
3.4
3.5
Long Exposure Excluding IRDs
201
9-1
1
9-1
1
0.0
0.3
0.7
2.0
6.1
3.2
9-1
1
9-1
0
-09
201
9
201
-10
0.0
0.2
0.5
1.6
3.8
1.8
1.0
1.1
1.5
2.5
5.0
2.6
201
-10
-10
0.1
0.3
0.7
2.0
5.9
3.1
1.0
1.2
1.6
3.0
7.2
4.1
201
201
201
9
201
9
9-0
9
9-0
9
0.0
0.2
0.5
1.5
3.7
1.6
1.0
1.1
1.5
2.5
5.0
2.6
201
9
201
201
0.0
0.2
0.6
1.9
5.5
2.8
1.0
1.2
1.7
3.0
7.6
4.1
202
0-1
0
0.0
0.2
0.5
1.5
3.6
1.7
1.0
1.0
1.4
2.4
4.6
2.4
201
9-0
8
9-0
8
0.0
0.2
0.7
1.9
5.7
3.2
9-0
9
201
9
-08
201
9
9-0
8
201
-07
0.0
0.2
0.6
1.5
3.7
1.7
1.0
1.1
1.5
2.5
4.9
2.5
201
-07
9-0
6
0.0
0.2
0.5
1.5
3.4
1.7
7
0.0
0.2
0.7
2.0
5.8
3.4
1.0
1.1
1.6
2.8
6.8
3.6
201
6
9-0
7
201
9-0
9-0
6
9-0
6
201
9
201
0.1
0.2
0.7
1.9
5.0
2.9
201
9-0
5
9-0
0.0
0.2
0.6
1.6
3.6
1.7
1.0
1.1
1.5
2.4
5.1
2.5
1.0
1.2
1.6
2.9
7.6
4.3
0-0
9
0.0
0.2
0.5
1.6
3.6
1.8
201
9-0
201
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1.0
1.2
1.6
2.9
7.8
4.4
201
9
5
0.1
0.3
0.7
2.0
6.1
3.1
201
5
5
201
9-0
9-0
201
0.0
0.3
0.7
2.1
5.8
3.2
4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1.0
1.1
1.4
2.3
4.2
2.3
201
1.0
1.1
1.4
2.3
4.6
2.4
1.0
1.2
1.6
2.7
6.3
3.8
201
9-0
9-0
9-0
9-0
201
1.0
1.1
1.4
2.3
4.6
2.4
1.0
1.2
1.6
2.8
6.9
4.3
4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
201
201
1.0
1.2
1.6
2.8
6.6
4.1
4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
201
4
Long Exposure Including IRDs
0.0
0.1
0.4
1.3
3.3
1.3
November 1, 2021
B
Analytics Office
Gross Exposure by Strategy5
Table 41: Exposures of Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Other
Relative Value
Macro
Credit
Event Driven
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Conv. Arb.
F.I. Asset Backed
F.I. Corp.
Volatility Arb.
Subtotal
Global Macro
Currency
Commodity
Active Trading
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Quantitative
Fundamental
Subtotal
Total
2019Q2
1,627
867
392
363
5
1,073
1,054
774
59
134
69
18
752
666
***
37
***
314
246
68
337
165
86
86
191
***
***
41
5,389
2019Q3
1,600
833
404
360
4
1,082
1,021
723
57
159
64
19
707
629
***
33
***
305
234
71
308
160
78
71
191
***
***
48
5,263
2019Q4
1,698
880
443
371
3
1,120
1,030
714
60
177
61
18
664
578
44
38
5
315
233
82
311
163
79
69
192
***
***
48
5,378
2020Q1
1,370
713
373
***
***
1,093
1,106
836
55
129
53
32
643
576
36
27
4
327
240
87
271
140
65
65
159
157
1
50
5,017
2020Q2
1,619
867
443
307
1
1,111
983
700
80
116
62
26
640
572
***
24
***
358
265
93
281
159
64
59
126
***
***
42
5,159
2020Q3
1,730
957
485
***
***
1,112
1,023
689
101
135
72
26
796
724
40
27
4
370
272
98
307
162
71
74
149
145
4
43
5,529
2020Q4
1,952
1,090
548
***
***
1,173
997
676
121
112
56
32
745
680
30
30
4
393
295
98
366
169
96
101
164
***
***
43
5,832
2021Q1
1,987
1,114
574
***
***
1,233
981
647
129
103
58
43
736
666
***
33
***
414
315
98
408
180
116
111
169
***
***
51
5,977
5
Form PF Question 20 requires advisers to indicate which strategies best describe the reporting fund’s strategies
including a good faith estimate of the reporting fund’s allocation among strategies, and provides a list of investment
strategies for this purpose. Form PF does not define the investment strategies listed by Question 20.
36
November 1, 2021
Analytics Office
Table 42: Exposures of Hedge Funds (Percent of NAV)
As reported on Form PF, Questions 9 and 20.
Category
Equity
Other
Relative Value
Macro
Credit
Event Driven
Managed Futures/CTA
Investment in other funds
Total
Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Conv. Arb.
F.I. Asset Backed
F.I. Corp.
Volatility Arb.
Subtotal
Global Macro
Currency
Commodity
Active Trading
Subtotal
Long/Short
Asset Based Lending
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Quantitative
Fundamental
Subtotal
Total
2019Q2
51.5
27.4
12.4
11.5
0.1
33.9
33.3
24.5
1.9
4.2
2.2
0.6
23.8
21.1
***
1.2
***
9.9
7.8
2.1
10.7
5.2
2.7
2.7
6.0
***
***
1.3
170.5
2019Q3
50.5
26.3
12.7
11.3
0.1
34.1
32.2
22.8
1.8
5.0
2.0
0.6
22.3
19.8
***
1.0
***
9.6
7.4
2.2
9.7
5.0
2.5
2.2
6.0
***
***
1.5
166.1
37
2019Q4
52.7
27.3
13.8
11.5
0.1
34.8
32.0
22.2
1.9
5.5
1.9
0.6
20.6
18.0
1.4
1.2
0.2
9.8
7.2
2.5
9.7
5.1
2.5
2.1
6.0
***
***
1.5
167.1
2020Q1
47.2
24.6
12.9
***
***
37.7
38.1
28.8
1.9
4.5
1.8
1.1
22.2
19.9
1.2
0.9
0.1
11.3
8.3
3.0
9.3
4.8
2.3
2.2
5.5
5.4
0.1
1.7
173.0
2020Q2
50.7
27.1
13.9
9.6
0.0
34.8
30.8
21.9
2.5
3.6
1.9
0.8
20.0
17.9
***
0.8
***
11.2
8.3
2.9
8.8
5.0
2.0
1.8
3.9
***
***
1.3
161.5
2020Q3
51.2
28.3
14.4
***
***
32.9
30.3
20.4
3.0
4.0
2.1
0.8
23.5
21.4
1.2
0.8
0.1
11.0
8.0
2.9
9.1
4.8
2.1
2.2
4.4
4.3
0.1
1.3
163.6
2020Q4
55.0
30.7
15.4
***
***
33.0
28.1
19.0
3.4
3.2
1.6
0.9
21.0
19.1
0.8
0.9
0.1
11.1
8.3
2.7
10.3
4.8
2.7
2.8
4.6
***
***
1.2
164.2
2021Q1
53.4
30.0
15.4
***
***
33.1
26.4
17.4
3.5
2.8
1.6
1.2
19.8
17.9
***
0.9
***
11.1
8.5
2.6
11.0
4.8
3.1
3.0
4.5
***
***
1.4
160.7
November 1, 2021
C
Analytics Office
Leverage by Strategy
Table 43: Asset Weighted-Average Ratio of GAV to NAV
by Strategy
As reported on Form PF, Questions 8, 9, 10, and 20.
Strategy
Relative Value
Macro
Multi-Strategy
Equity
Credit
Managed Futures/CTA
Event Driven
Other
Investment in other funds
2019Q2
6.0
4.5
2.5
1.6
1.5
1.4
1.3
1.8
1.2
2019Q3
5.7
4.1
1.9
1.6
1.5
1.5
1.3
1.6
3.9
2019Q4
5.6
4.2
2.3
1.6
1.6
1.4
1.3
1.7
1.2
2020Q1
6.3
4.3
2.3
1.5
1.7
1.4
1.4
1.7
1.2
2020Q2
5.0
3.6
2.0
1.6
1.6
1.4
1.4
1.6
1.3
2020Q3
4.8
4.5
2.5
1.6
1.5
1.5
1.3
1.5
1.3
2020Q4
5.7
4.4
3.0
1.6
1.5
1.5
1.3
1.5
1.2
2021Q1
5.6
4.3
3.1
1.5
1.5
1.5
1.4
1.4
1.2
Table 44: Asset Weighted-Average Ratio of GNE to NAV
by Strategy
As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month).
Strategy
Macro
Relative Value
Managed Futures/CTA
Multi-Strategy
Other
Credit
Equity
Event Driven
Investment in other funds
2019Q2
29.1
24.0
19.9
9.8
4.7
2.6
3.2
2.0
2.4
2019Q3
25.5
23.0
19.8
10.1
4.3
2.4
3.2
1.9
10.3
2019Q4
27.2
24.2
18.5
11.5
4.3
2.8
3.0
1.9
1.9
2020Q1
26.4
25.5
14.6
10.3
4.6
3.1
2.6
1.9
1.8
2020Q2
19.8
22.5
17.4
9.4
4.1
2.8
2.9
1.8
2.0
2020Q3
32.4
19.6
20.9
10.3
3.4
2.8
2.8
1.8
2.0
2020Q4
32.8
23.6
19.7
12.4
3.2
2.8
2.7
1.9
2.1
2021Q1
37.1
24.9
19.2
14.6
3.1
3.0
2.8
2.0
1.9
Table 45: Asset Weighted-Average Percent of Unencumbered Cash
by Strategy
As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month).
Strategy
Macro
Managed Futures/CTA
Multi-Strategy
Relative Value
Other
Credit
Equity
Event Driven
Investment in other funds
2019Q2
38.8
48.5
25.7
18.6
18.8
6.8
9.6
7.2
5.8
2019Q3
37.7
45.2
22.3
22.5
17.1
7.1
10.8
10.0
13.0
2019Q4
39.8
43.4
22.7
22.6
14.9
7.7
9.4
10.4
6.6
38
2020Q1
43.2
58.6
25.0
26.3
16.1
8.3
15.3
12.3
4.7
2020Q2
40.2
46.1
28.5
24.0
16.2
7.4
10.5
10.0
5.1
2020Q3
38.3
47.7
30.1
26.2
13.4
7.9
8.3
8.0
6.0
2020Q4
40.3
40.4
26.4
25.7
12.4
9.7
7.9
8.5
7.2
2021Q1
42.0
38.7
24.9
21.9
12.5
9.4
8.0
7.5
1.1
November 1, 2021
D
Analytics Office
Investment Exposures
Table 46: Aggregate Qualifying Hedge Fund Gross Notional Exposure
by Asset Type ($ Billions)
As reported on Form PF, Questions 26 and 30.
Interest Rate Derivatives
Foreign Exchange Derivatives
Non-Financial Listed Equities
Repurchase Agreements
U.S. Treasury Securities
Non-Financial Equity Derivatives
Sovereign Bonds - Non-U.S. G10
Credit Derivatives
Cash/Cash Equivalents - Other
Non-Financial Unlisted Equities
Commodity Derivatives
Financial Listed Equities
Sovereign Bonds - Other
Non-Financial Corporate Bonds
Leveraged Loans
Other Derivatives
Non-U.S. Currency Holdings
Cash/Cash Equivalents - Deposits
Non-Financial Convertible Bonds
MBS
Cash/Cash Equivalents - MMFs
Other Private Funds
Physical Real Estate
Other Loans (Excluding Repo)
Financial Equity Derivatives
Other
Financial Corporate Bonds
Other ABS/Structured Products
U.S. Agency and GSE Securities
CDO/CLO
Financial Unlisted Equities
U.S. State and Local Bonds
Registered Investment Companies
Financial Convertible Bonds
Physical Commodities
2019Q2
6,707
2,496
2,101
1,936
2,188
1,165
1,275
717
448
232
279
280
277
236
152
274
178
194
79
222
154
125
97
107
92
120
64
48
42
44
21
21
27
11
10
2019Q3
6,029
3,120
1,995
1,869
2,112
1,310
1,123
682
448
236
282
272
270
224
157
214
183
202
86
264
161
121
107
99
98
111
69
47
45
43
26
20
25
10
3
2019Q4
5,662
2,932
2,123
1,898
2,180
1,433
1,187
651
445
268
313
292
286
221
166
403
182
205
90
295
171
123
106
107
106
96
66
49
43
42
24
20
13
10
3
39
2020Q1
5,568
3,176
1,547
1,986
1,941
1,128
923
533
468
238
205
195
229
201
168
229
151
212
86
207
209
113
102
100
82
103
63
41
36
31
22
20
11
8
2
2020Q2
5,225
2,829
1,937
1,772
1,754
1,117
952
485
393
255
234
236
269
244
181
197
187
190
117
236
186
114
99
109
89
100
66
41
35
35
22
20
22
9
3
2020Q3
6,285
3,154
2,134
2,031
1,723
1,146
1,143
531
373
288
272
242
342
243
197
228
174
190
140
243
169
122
100
117
86
85
68
43
39
35
24
19
19
8
4
2020Q4
6,147
3,177
2,484
1,875
1,574
1,248
1,260
582
391
317
304
270
321
217
202
226
170
184
174
205
168
133
112
115
92
89
66
42
42
33
26
19
16
8
7
2021Q1
6,666
3,698
2,537
1,825
1,638
1,571
1,278
729
482
385
328
312
272
234
223
211
201
196
182
174
173
145
120
118
97
95
65
43
39
35
27
18
16
9
4
November 1, 2021
Analytics Office
Table 47: Percent of Qualifying Hedge Fund Gross Notional Exposure
Representing Long Notional Exposure
As reported on Form PF, Questions 26 and 30.
Interest Rate Derivatives
Foreign Exchange Derivatives
Non-Financial Listed Equities
Repurchase Agreements
U.S. Treasury Securities
Non-Financial Equity Derivatives
Sovereign Bonds - Non-U.S. G10
Credit Derivatives
Cash/Cash Equivalents - Other
Non-Financial Unlisted Equities
Commodity Derivatives
Financial Listed Equities
Sovereign Bonds - Other
Non-Financial Corporate Bonds
Leveraged Loans
Other Derivatives
Non-U.S. Currency Holdings
Cash/Cash Equivalents - Deposits
Non-Financial Convertible Bonds
MBS
Cash/Cash Equivalents - MMFs
Other Private Funds
Physical Real Estate
Other Loans (Excluding Repo)
Financial Equity Derivatives
Other
Financial Corporate Bonds
Other ABS/Structured Products
U.S. Agency and GSE Securities
CDO/CLO
Financial Unlisted Equities
U.S. State and Local Bonds
Registered Investment Companies
Financial Convertible Bonds
Physical Commodities
2019Q2
51.7
54.8
67.7
37.1
60.0
54.3
52.3
42.2
79.2
99.8
59.3
69.9
77.0
80.9
99.2
63.5
56.3
69.4
93.7
82.4
***
99.8
***
89.7
57.3
92.2
90.4
99.3
82.5
***
99.8
99.3
97.7
95.7
99.0
2019Q3
49.7
59.4
67.8
35.1
61.2
54.4
55.2
45.2
81.2
99.8
58.8
68.9
78.0
81.0
99.5
56.2
58.3
64.0
92.6
82.6
***
99.5
***
89.5
55.5
96.1
91.6
99.3
79.9
***
99.6
***
98.0
96.0
97.7
2019Q4
47.8
58.3
68.7
35.9
60.6
57.8
54.4
49.7
81.6
99.9
64.8
68.7
75.5
82.1
99.5
41.5
52.9
61.0
94.5
81.6
98.9
99.8
***
90.4
55.3
96.3
92.0
99.3
75.4
***
99.4
99.5
97.3
95.8
***
40
2020Q1
47.9
57.8
69.9
37.1
61.1
50.9
54.5
43.5
78.5
99.9
61.2
69.8
77.4
86.9
99.5
40.9
57.1
73.8
93.5
85.9
***
99.8
***
88.2
54.7
94.3
92.7
99.7
87.8
***
99.8
99.1
96.4
96.7
98.9
2020Q2
44.4
60.3
69.0
38.4
61.3
50.6
52.4
41.7
80.5
99.8
64.5
69.5
77.9
86.4
98.2
48.6
51.2
70.9
99.2
83.6
***
99.7
***
90.9
55.0
94.4
91.5
***
86.7
***
99.8
***
92.5
96.8
98.8
2020Q3
52.4
58.4
69.8
38.0
62.3
51.1
51.9
42.4
79.4
99.1
68.8
70.3
75.4
85.4
99.4
65.0
48.9
72.3
98.7
82.0
***
99.7
***
91.0
55.2
95.0
91.5
99.5
85.0
***
99.9
***
97.2
97.1
99.1
2020Q4
51.4
58.6
70.7
38.4
60.9
50.8
49.7
45.2
77.1
99.8
70.4
73.4
75.9
84.7
99.5
42.5
55.1
73.9
98.4
80.2
***
***
***
88.8
57.8
94.9
90.0
99.8
78.5
***
99.8
98.4
***
97.4
99.2
2021Q1
49.6
58.7
71.0
45.2
55.1
57.1
48.5
46.8
72.5
99.7
68.6
72.5
75.7
82.2
98.3
43.9
53.2
72.9
97.9
81.8
***
***
***
93.5
59.8
94.6
89.7
94.3
72.5
***
99.7
98.3
***
97.4
***
November 1, 2021
E
Analytics Office
Number of Positions
Figure 12: Number of Positions Reported by Qualifying Hedge Funds
202
0-1
1
202
202
1 -0
202
202
1-0
3
1-0
2
202
0 -1
0
1
202
0 -1
2
202
9
202
0 -0
7
17
59
190
668
2,009
2,278
17
58
187
676
2,000
2,289
16
54
179
618
1,873
2,197
16
55
190
677
2,031
2,321
16
55
189
688
2,120
2,341
15
54
177
638
1,941
2,267
16
55
182
622
1,996
2,334
16
56
176
628
2,014
2,349
15
53
167
573
1,839
2,222
15
52
164
569
1,879
2,223
14
52
165
585
1,927
2,242
14
51
158
570
1,867
2,152
0-0
202
16
57
178
612
1,886
2,202
0-0
0 -0
8
0-0
202
14
59
184
666
2,158
2,327
9-0
6
202
0-0
4
14
60
180
655
2,148
2,252
41
5
202
202
0-0
3
0-0
202
14
59
174
575
1,998
2,131
9-0
2
201
15
64
187
655
2,127
2,225
0-0
201
15
66
187
634
2,109
2,230
9-1
2
201
16
60
179
619
2,035
2,129
9-1
1
201
9-0
18
65
192
679
2,237
2,219
9-1
0
-08
201
9
18
64
192
684
2,127
2,184
9
201
9-0
18
58
183
622
1,911
2,055
7
6
9-0
201
19
62
188
672
2,112
2,100
5
201
19
63
185
674
2,102
2,065
4
201
Month
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
1
As reported on Form PF, Question 34.
November 1, 2021
F
Analytics Office
Liquidity
Table 48: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 50.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2019Q2
8.0
13.9
27.0
46.2
57.1
70.0
2019Q3
7.5
13.7
26.7
46.7
58.3
69.5
2019Q4
7.6
13.0
26.2
46.0
56.7
68.7
2020Q1
7.8
12.8
25.5
44.3
55.1
67.4
2020Q2
7.6
13.0
24.4
42.7
53.2
66.8
2020Q3
7.7
13.1
24.4
42.5
54.5
65.9
2020Q4
6.7
10.0
22.4
43.5
51.5
64.6
2021Q1
6.1
9.4
22.2
39.6
50.9
63.7
Table 49: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 26, 30, and 32.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2019Q2
36.2
59.7
72.3
78.5
82.2
86.4
2019Q3
35.8
58.5
71.3
77.7
81.6
85.9
2019Q4
34.6
56.8
69.9
76.2
80.2
85.1
2020Q1
39.3
59.4
70.4
75.7
79.4
83.7
2020Q2
37.7
58.8
70.3
76.2
80.4
84.6
2020Q3
35.3
56.6
69.5
75.7
80.0
84.5
2020Q4
32.4
54.9
68.4
75.0
79.3
84.2
2021Q1
33.3
54.6
67.6
74.1
78.2
83.4
Figure 13: Asset Weighted-Average Qualifying Hedge Fund
Investor and Portfolio Liquidity
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of First Calendar Quarter 2021
Statistic
Port. Liquidity
Inv. Liquidity
At most 1 day
33.7
7.8
At most 7 days
54.6
11.6
At most 30 days
67.5
23.3
At most 90 days
74.0
40.1
At most 180 days
78.1
51.0
At most 365 days
83.1
64.4
Table 50: Restrictions on Qualifying Hedge Fund Assets ($ Billions)
As reported on Form PF, Questions 48 and 49.
Type
May Suspend
May Have Gates
Side-Pocketed
Gated
Suspended
2019Q2
2,424
1,512
42
40
16
2019Q3
2,410
1,487
45
42
18
2019Q4
2,413
1,546
47
42
15
2020Q1
2,147
1,381
47
47
22
42
2020Q2
2,359
1,514
54
56
18
2020Q3
2,484
1,601
61
50
15
2020Q4
2,605
1,726
73
64
20
2021Q1
2,702
1,801
89
76
19
November 1, 2021
Analytics Office
Figure 14: Percentage of Qualifying Hedge Fund NAV
Subject to a Side-Pocket Arrangement
As reported on Form PF, Questions 9 and 48.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2019Q2
2.0
3.8
8.5
22.0
37.0
16.0
2019Q3
2.0
4.0
7.0
20.5
36.0
15.8
2019Q4
1.0
4.0
8.0
21.0
37.0
16.5
2020Q1
1.0
4.0
9.0
22.5
38.0
17.2
43
2020Q2
2.0
4.0
9.0
24.0
41.0
17.7
2020Q3
2.0
4.0
11.5
27.0
45.0
19.6
2020Q4
2.0
5.0
11.0
25.0
43.0
19.2
2021Q1
2.0
6.0
11.5
24.0
46.0
20.0
November 1, 2021
G
Analytics Office
Borrowings
Table 51: Borrowings of Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Question 43 (Third Month).
Type
Secured
Unsecured
Total
Subtype
Subtotal
Prime Broker
Reverse Repo
Other Secured
Subtotal
Total
2019Q2
3,140
1,424
1,287
429
15
3,156
2019Q3
3,059
1,342
1,316
401
16
3,075
2019Q4
3,129
1,390
1,289
450
18
3,147
2020Q1
2,865
1,061
1,365
438
19
2,884
2020Q2
2,855
1,288
1,151
415
13
2,868
2020Q3
3,154
1,396
1,310
447
12
3,166
2020Q4
3,182
1,599
1,180
403
13
3,195
2021Q1
3,176
1,670
1,026
480
14
3,190
Table 52: Aggregate Borrowing by Creditor Entity Type (Percent)
As reported on Form PF, Question 43 (Third Month).
Creditor Type
US Financial
Non-US Financial
US Non-Financial
Non-US Non-Financial
2019Q2
63.6
35.9
***
***
2019Q3
63.6
35.8
***
***
2019Q4
63.1
36.2
***
***
2020Q1
61.2
38.0
0.6
0.1
2020Q2
63.5
35.8
***
***
2020Q3
61.1
38.1
0.6
0.1
2020Q4
64.6
34.7
***
***
2021Q1
65.3
34.0
0.6
0.1
Table 53: Aggregate Collateral for Secured Borrowings
of Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Question 43 (Third Month).
Borrowing Type
Prime Broker
Reverse Repo
Other Secured
Total
Collateral Type
Subtotal
Other
Cash
Subtotal
Other
Cash
Subtotal
Other
Cash
Total
2019Q2
1,792
1,214
578
1,354
803
550
494
324
169
3,639
2019Q3
1,690
1,147
543
1,370
835
535
482
339
143
3,542
2019Q4
1,751
1,212
539
1,304
799
506
498
344
154
3,553
44
2020Q1
1,405
952
453
1,464
874
590
510
351
159
3,379
2020Q2
1,703
1,174
529
1,191
770
421
486
344
142
3,380
2020Q3
1,843
1,281
562
1,346
907
439
513
379
134
3,701
2020Q4
2,117
1,500
617
1,262
862
400
497
389
108
3,876
2021Q1
2,191
1,530
661
1,062
727
335
594
434
159
3,847
November 1, 2021
Analytics Office
Figure 15: Ratio of Collateral Posted to Secured Borrowing
for Qualifying Hedge Funds (Winsorized, limits=[0%,98%])
See Appendix C for an explanation of winsorization.
As reported on Form PF, Question 43 (Third Month).
1.0
1.0
1.0
1.3
1.5
1.1
1.0
1.0
1.1
1.4
1.6
1.2
45
1.0
1.0
1.1
1.4
1.5
1.2
1.0
1.0
1.1
1.5
1.8
1.3
1.0
1.0
1.2
1.6
1.9
1.3
1.0
1.0
1.2
1.5
1.8
1.3
1.0
1.0
1.2
1.5
1.9
1.3
1.0
1.0
1.2
1.6
1.9
1.3
1.0
1.0
1.2
1.6
2.0
1.4
1.0
1.0
1.2
1.5
2.0
1.3
-0 3
202
1
-0 3
0.9
1.0
1.4
2.6
7.7
6.0
-03
2
2
2
1-0
202
1.0
1.0
1.1
1.5
2.1
1.3
202
1
1-0
1-0
1
0.9
1.0
1.3
2.6
6.3
5.6
0.9
1.0
1.4
2.5
6.0
4.7
202
1
1-0
1
1-0
202
202
0.9
1.0
1.3
2.7
8.1
7.9
202
0-1
202
1
0-1
202
0-1
0-0
202
8
0-0
202
1.0
1.0
1.2
1.5
1.8
1.3
202
202
0-0
0-0
202
1.0
1.0
1.2
1.6
1.8
1.3
202
202
0 -1
2
0.9
1.0
1.3
2.7
8.9
6.6
1
202
0 -1
1
0.9
1.0
1.3
2.6
8.7
8.7
1-0
202
0 -1
2
202
0-1
0
1.0
1.0
1.4
2.7
7.7
5.4
0.9
1.0
1.4
2.4
5.5
4.4
202
202
0 -1
1
202
0-0
9
0.9
1.0
1.3
2.7
7.4
6.8
0.8
1.0
1.4
2.5
6.3
5.0
2
202
0-1
0
202
0-0
8
0.9
1.0
1.3
2.7
7.1
4.2
0.9
1.0
1.4
2.8
6.0
4.1
0
202
0-0
9
0.9
1.0
1.4
2.5
6.7
4.2
9
0.8
1.0
1.4
2.3
6.6
4.7
7
7
0.9
1.0
1.4
2.4
7.0
3.9
0-0
202
0-0
8
0.9
1.0
1.3
2.3
6.6
3.7
6
0-0
202
5
0-0
4
0-0
1.0
1.0
1.2
1.5
1.7
1.3
202
202
202
0-0
3
2
0-0
202
1.0
1.0
1.1
1.3
1.6
1.2
0.9
1.0
1.3
2.4
5.9
3.3
202
202
0 -0
6
202
0 -0
5
202
0-0
4
0 -0
3
202
202
0-0
2
2
0-0
1
202
-01
9-1
2
202
0
201
1.0
1.0
1.1
1.3
1.5
1.1
0.9
1.0
1.4
2.4
5.7
3.7
7
202
0 -0
6
202
0 -0
5
0 -0
3
202
0-0
4
202
202
0-0
2
2
0-0
1
202
201
9-1
1
1
201
9-1
0.9
0.9
1.0
0.9
***
1.0
***
0.9
1.0
1.0
1.0
1.0
***
1.0
***
1.0
1.4
1.4
1.4
1.4
***
1.4
***
1.4
2.6
2.7
2.7
2.7
***
2.5
***
2.7
9.2
8.6
7.2
6.7
***
7.3
***
6.2
6.6
5.5
7.9
5.2
***
4.0
***
4.2
Ratio of Collateral/Reverse Repo Borrowing
9-1
1
1.0
1.0
1.1
1.3
1.6
1.1
201
9-1
9-1
0
***
***
***
***
***
***
201
9-1
9-1
0
201
9
-10
0.9
1.0
1.4
2.6
6.4
5.6
0.9
0.9
0.9
0.9
0.9
1.0
0.9
0.9
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.2
1.3
1.3
1.3
1.3
1.3
1.4
1.4
2.1
2.2
2.3
2.3
2.2
2.2
2.2
2.5
5.5
6.2
5.8
5.6
5.2
5.5
5.4
5.7
3.7
4.1
4.4
4.0
2.9
3.0
3.4
4.3
Ratio of Collateral/Prime Broker Borrowing
201
201
9
9
0.9
1.0
1.3
2.6
7.4
4.9
0.9
1.0
1.3
2.2
4.8
3.1
201
9-0
201
9-0
201
8
1.0
1.0
1.0
1.3
1.6
1.1
0.9
1.0
1.3
2.2
4.9
3.4
9-0
9
9-0
8
-07
***
***
***
***
***
***
***
***
***
***
***
***
201
0.9
1.0
1.4
2.5
6.8
4.7
8
201
9-0
201
9-0
9-0
7
201
9-0
7
201
6
1.0
1.0
1.1
1.3
1.5
1.1
0.8
1.0
1.3
2.2
4.8
3.3
201
9
9-0
6
201
5
1.0
1.0
1.0
1.3
1.4
1.1
6
201
9-0
201
9-0
9-0
5
5
9-0
201
0.9
1.0
1.4
2.6
6.0
6.8
0.8
1.0
1.3
2.1
5.1
3.8
201
1.0
1.0
1.0
1.3
1.4
1.1
0.9
1.0
1.3
2.5
5.2
3.8
9-0
9-0
201
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.8
1.0
1.3
2.2
5.0
3.3
201
201
9
0.9
1.0
1.4
2.5
6.4
6.8
4
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
0.8
1.0
1.2
2.1
4.8
2.9
201
0.8
1.0
1.3
2.2
5.2
3.9
-04
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
201
9
-04
Ratio of Total Collateral/Total Secured Borrowing
1.0
1.0
1.2
1.5
2.1
1.3
November 1, 2021
Analytics Office
Table 54: Financing Liquidity for Qualifying Hedge Funds
(Percent of Available Financing)
As reported on Form PF, Question 46.
Financing Available
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2019Q2
34.5
51.1
67.9
83.4
95.4
96.5
2019Q3
39.8
54.2
68.8
82.6
95.1
96.2
2019Q4
29.2
48.1
67.2
82.6
94.9
96.0
2020Q1
37.2
50.6
69.9
83.8
94.3
95.3
2020Q2
39.4
50.9
66.5
81.1
94.5
95.9
2020Q3
39.2
51.4
67.4
80.8
94.7
96.0
2020Q4
27.9
44.7
65.3
79.2
94.9
96.0
2021Q1
38.0
45.7
65.1
78.6
94.4
95.5
Figure 16: Weighted-Average Qualifying Hedge Fund
Financing Liquidity (Percent of Available Financing)
As reported on Form PF, Question 46 as of First Calendar Quarter 2021.
Statistic
Financing Liquidity
H
At most 1 day
38.0
At most 7 days
48.3
At most 30 days
65.0
At most 90 days
77.0
At most 180 days
94.5
At most 365 days
95.8
Central Clearing
Figure 17: Qualifying Hedge Funds Using Central Clearing
As reported on Form PF, Question 39.
Statistic
Percent of Funds
Percent of NAV
2019Q2
15.8
16.4
2019Q3
16.3
16.9
2019Q4
16.2
16.6
2020Q1
16.3
17.1
46
2020Q2
15.3
16.8
2020Q3
14.9
16.1
2020Q4
14.2
14.5
2021Q1
13.8
13.6
November 1, 2021
I
Analytics Office
Value-at-Risk (“VaR”) Reporting
Table 55: Number of Qualifying Hedge Funds Using VaR
As reported on Form PF, Question 40.
VaR Method
VaR (Any Method)
Historical Simulation
Monte Carlo Simulation
Parametric
Other
VaR Not Used
2019Q2
657
303
165
183
46
1,115
2019Q3
660
312
167
177
45
1,130
2019Q4
665
315
174
176
43
1,143
2020Q1
661
309
176
172
48
1,151
2020Q2
656
309
169
174
46
1,144
2020Q3
619
283
167
168
43
1,147
2020Q4
604
276
168
155
43
1,175
2021Q1
587
266
171
151
45
1,258
Table 56: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions)
As reported on Form PF, Questions 8 and 40.
VaR Method
VaR (Any Method)
Historical Simulation
Monte Carlo Simulation
Parametric
Other
VaR Not Used
2019Q2
3,981
2,197
700
807
851
2,709
2019Q3
3,872
2,052
709
805
868
2,717
2019Q4
3,894
2,039
736
774
913
2,753
2020Q1
3,743
1,940
704
713
868
2,517
2020Q2
3,640
1,819
804
717
807
2,694
2020Q3
3,867
1,953
836
744
845
2,877
2020Q4
3,832
1,984
883
605
898
3,182
2021Q1
3,727
1,938
871
604
846
3,385
Table 57: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions)
As reported on Form PF, Questions 9 and 40.
VaR Method
VaR (Any Method)
Historical Simulation
Monte Carlo Simulation
Parametric
Other
VaR Not Used
2019Q2
1,379
557
332
472
131
1,783
2019Q3
1,367
559
334
450
135
1,802
2019Q4
1,363
557
351
441
121
1,856
47
2020Q1
1,219
504
318
372
131
1,681
2020Q2
1,318
544
341
410
140
1,877
2020Q3
1,357
560
351
421
147
2,023
2020Q4
1,328
574
361
363
145
2,225
2021Q1
1,337
580
368
360
156
2,381
November 1, 2021
J
Analytics Office
Stress Testing and VaR
Table 58: Number of Qualifying Hedge Funds Managed Using
VaR or Market Factor Change Testing (“Stress Testing”)
As reported on Form PF, Questions 40 and 42.
Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither
2019Q2
579
463
78
652
2019Q3
591
459
69
671
2019Q4
588
448
77
695
2020Q1
592
428
69
723
2020Q2
589
433
67
711
2020Q3
559
430
60
717
2020Q4
546
400
58
775
2021Q1
525
435
62
823
Table 59: Aggregate Qualifying Hedge Fund GAV Managed
Using VaR or Stress Testing ($ Billions)
As reported on Form PF, Questions 8, 40, and 42.
Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither
2019Q2
3,758
1,380
223
1,329
2019Q3
3,691
1,330
181
1,387
2019Q4
3,705
1,299
188
1,455
2020Q1
3,553
1,148
190
1,369
2020Q2
3,287
1,237
353
1,457
2020Q3
3,641
1,302
226
1,575
2020Q4
3,470
1,383
362
1,799
2021Q1
3,463
1,435
263
1,950
Table 60: Aggregate Qualifying Hedge Fund NAV Managed
Using VaR or Stress Testing ($ Billions)
As reported on Form PF, Questions 9, 40, and 42.
Risk Tool Used
Stress and VaR
Stress, No VaR
No Stress, VaR
Neither
2019Q2
1,240
740
139
1,043
2019Q3
1,254
740
114
1,062
2019Q4
1,239
741
124
1,116
2020Q1
1,108
651
111
1,030
48
2020Q2
1,178
732
140
1,145
2020Q3
1,226
781
130
1,242
2020Q4
1,172
819
156
1,406
2021Q1
1,187
846
150
1,535
November 1, 2021
K
Analytics Office
Stress Testing
Table 61: Number of Qualifying Hedge Funds Stressing Each Market Factor
As reported on Form PF, Question 42.
Market Factor
Equity Prices
Currency Rates
Risk Free Rates
Credit Spreads
Implied Volatilities
Commodity Prices
Bond Default Rates
ABS Default Rates
2019Q2
880
753
756
668
559
491
286
237
2019Q3
891
774
761
676
576
499
285
243
2019Q4
873
768
745
658
549
476
266
225
2020Q1
858
757
733
647
529
453
256
205
2020Q2
853
753
740
645
528
467
266
218
2020Q3
827
721
708
623
511
450
258
214
2020Q4
787
681
657
577
466
404
229
188
2021Q1
779
700
659
567
455
389
241
202
Table 62: Aggregate GAV of Qualifying Hedge Funds
Stressing Each Market Factor ($ Billions)
As reported on Form PF, Questions 8 and 42.
Market Factor
Equity Prices
Currency Rates
Risk Free Rates
Credit Spreads
Implied Volatilities
Commodity Prices
Bond Default Rates
ABS Default Rates
2019Q2
4,418
4,081
4,468
3,687
3,666
3,389
1,144
997
2019Q3
4,330
3,968
4,344
3,620
3,585
3,282
1,043
897
2019Q4
4,348
3,971
4,290
3,644
3,528
3,267
984
871
2020Q1
4,097
3,781
4,089
3,502
3,294
3,164
937
832
2020Q2
3,833
3,576
3,828
3,107
3,053
2,806
876
762
2020Q3
4,355
3,969
4,177
3,557
3,445
3,319
914
789
2020Q4
4,342
3,863
4,008
3,458
3,168
3,132
872
738
2021Q1
4,380
3,890
4,128
3,479
3,218
3,172
882
752
Table 63: Aggregate NAV of Qualifying Hedge Funds
Stressing Each Market Factor ($ Billions)
As reported on Form PF, Questions 9 and 42.
Market Factor
Equity Prices
Currency Rates
Risk Free Rates
Credit Spreads
Implied Volatilities
Commodity Prices
Bond Default Rates
ABS Default Rates
2019Q2
1,757
1,536
1,514
1,337
1,126
1,120
424
369
2019Q3
1,778
1,554
1,527
1,352
1,149
1,122
426
376
2019Q4
1,758
1,536
1,492
1,327
1,117
1,083
392
347
49
2020Q1
1,549
1,373
1,332
1,170
991
968
339
294
2020Q2
1,688
1,480
1,429
1,257
1,062
1,041
396
348
2020Q3
1,782
1,554
1,479
1,320
1,131
1,098
403
358
2020Q4
1,761
1,503
1,398
1,234
1,030
1,001
376
329
2021Q1
1,808
1,535
1,490
1,253
1,058
1,019
387
340
November 1, 2021
Analytics Office
Table 64: Number of Qualifying Hedge Funds Stressing Market Factors
As reported on Form PF, Question 42.
Factors Tested
0
1
2
3
4
5
6
7
8
2019Q2
730
179
115
115
88
122
201
68
154
2019Q3
740
179
117
100
99
121
202
77
155
2019Q4
772
181
118
95
103
131
200
73
135
2020Q1
792
182
115
94
105
124
211
74
115
2020Q2
778
183
112
107
98
119
197
75
131
2020Q3
777
183
110
98
98
108
189
75
128
2020Q4
833
178
118
98
101
113
162
68
108
2021Q1
885
202
117
90
103
117
149
61
121
Table 65: Aggregate GAV of Qualifying Hedge Funds
Stressing Market Factors ($ Billions)
As reported on Form PF, Questions 8 and 42.
Factors Tested
0
1
2
3
4
5
6
7
8
2019Q2
1,552
386
590
364
256
788
1,812
184
759
2019Q3
1,568
397
570
338
272
746
1,825
222
649
2019Q4
1,643
416
544
339
254
776
1,838
243
595
2020Q1
1,560
365
475
290
262
763
1,759
203
584
2020Q2
1,810
414
493
431
251
740
1,435
250
511
2020Q3
1,801
424
510
336
240
841
1,785
260
547
2020Q4
2,161
466
528
315
287
849
1,637
275
497
2021Q1
2,213
414
596
302
292
831
1,690
263
511
Table 66: Aggregate NAV of Qualifying Hedge Funds
Stressing Market Factors ($ Billions)
As reported on Form PF, Questions 9 and 42.
Factors Tested
0
1
2
3
4
5
6
7
8
2019Q2
1,182
259
206
196
149
274
552
109
235
2019Q3
1,176
260
205
187
163
265
550
127
235
2019Q4
1,240
269
212
189
158
271
556
122
202
2020Q1
1,141
240
191
170
141
237
493
119
168
50
2020Q2
1,285
267
214
199
138
254
497
123
218
2020Q3
1,372
278
230
208
144
266
533
126
222
2020Q4
1,562
308
264
229
142
273
450
127
198
2021Q1
1,685
272
307
217
162
282
467
120
207
November 1, 2021
IX
A
Analytics Office
Section 3 Liquidity Fund Specific Information
Liquidity
Table 67: Investor Liquidity For Section 3 Liquidity Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 64.
Liquidation Period
At most 1 day
At most 7 days
At most 30 days
At most 90 days
At most 180 days
At most 365 days
2019Q2
75.8
96.0
99.6
99.9
100.0
100.0
2019Q3
75.0
95.9
99.7
99.8
99.9
100.0
2019Q4
73.1
95.6
99.7
99.8
99.9
99.9
2020Q1
75.1
95.8
99.7
99.9
99.9
100.0
2020Q2
72.7
95.0
99.1
99.5
99.9
100.0
2020Q3
72.2
95.2
99.1
99.5
99.9
99.9
2020Q4
72.1
94.7
98.6
99.3
99.7
100.0
2021Q1
71.4
93.4
98.0
98.8
99.4
99.9
Table 68: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Question 63.
Type
May Suspend
May Have Gates
Suspended
Gated
2019Q3
272
245
0
0
2019Q4
268
241
0
0
2020Q1
268
239
0
0
2020Q2
274
251
0
0
2020Q3
296
273
0
0
2020Q4
294
270
0
0
2021Q1
271
247
0
0
Portfolio Characteristics
Figure 18: Weighted-Average Maturity of Section 3 Liquidity Funds (Days)
2
1-0
3
1
202
202
202
202
202
202
1-0
202
0-1
202
1-0
1
2
0
0-1
202
0-0
202
0-1
9
8
7
0-0
202
0-0
202
0-0
6
5
4
0-0
3
202
0-0
202
0-0
2
1
0-0
2
202
0-0
1
201
9-1
0
201
9-1
201
9-1
8
9
201
9-0
7
201
9-0
6
201
9-0
201
9-0
9-0
201
Statistic
Average WAM
Asset-Weighted WAM
201
9-0
4
5
As reported on Form PF, Questions 55.
28.6
35.5
30.7
38.7
28.4
36.6
28.2
36.7
30.9
43.7
29.5
45.4
31.3
47.9
32.1
46.2
26.1
38.2
30.2
38.3
30.8
42.1
28.1
42.0
30.5
41.4
31.6
39.4
32.1
40.9
31.7
42.5
30.8
40.9
31.4
42.2
30.6
42.6
30.4
43.8
31.4
43.6
32.0
46.9
32.6
46.8
30.8
45.1
Figure 19: Weighted-Average Life of Section 3 Liquidity Funds (Days)
3
2
202
202
1-0
202
1-0
1
202
0-1
202
1-0
2
1
0
202
0-1
9
202
0-1
202
0-0
202
0-0
8
7
202
0-0
6
5
202
0-0
4
202
0-0
3
202
0-0
202
0-0
0-0
202
0-0
2
2
1
1
9-1
201
9-1
201
57.3
72.7
55.9
67.3
59.6
68.3
65.6
82.2
66.1
84.3
66.6
88.0
63.7
83.8
56.2
77.5
61.2
78.9
62.0
81.6
55.8
73.3
51.2
67.9
51.4
62.1
52.8
59.4
52.9
58.6
51.4
56.1
51.6
61.3
47.0
54.5
47.4
55.7
47.6
54.7
48.0
57.5
51.1
59.4
47.9
58.4
9-1
201
0
9
9-0
201
8
7
9-0
201
9-0
201
6
5
53.8
66.9
9-0
201
9-0
9-0
201
Statistic
Average WAL
Asset-Weighted WAL
201
4
As reported on Form PF, Questions 55.
Figure 20: Seven-Day Gross Yield Section 3 Liquidity Funds (Percent)
1
0
3
0.19
0.23
1-0
0.20
0.20
202
0.23
0.24
2
0.28
0.30
1-0
0.30
0.32
202
0.46
0.44
2
0.77
0.56
1-0
1.55
1.60
0-1
1.56
1.63
202
1.51
1.67
1
1.54
1.69
0-1
1.73
1.85
202
1.90
1.97
0-1
2.01
2.07
202
2.17
2.25
202
9
0-0
202
8
0-0
202
7
0-0
6
202
0-0
202
0-0
202
5
4
0-0
202
3
202
2.23
2.30
51
0-0
2
0-0
202
0-0
1
2
202
9-1
201
1
9-1
201
0
9
2.24
2.32
9-0
201
9-1
8
9-0
201
7
201
9-0
201
6
9-0
5
2.28
2.35
9-0
201
Statistic
Average Gross Yield
Asset-Weighted Gross Yield
201
9-0
4
As reported on Form PF, Questions 55.
201
B
2019Q2
271
241
0
0
0.26
0.14
0.25
0.13
0.24
0.12
0.21
0.11
0.19
0.10
0.19
0.08
November 1, 2021
Analytics Office
Figure 21: Ratio of Daily Liquid Assets to Net Asset Value
for Section 3 Liquidity Funds (Percent)
2
202
1-0
3
1
48.75
40.15
53.96
53.41
50.92
45.85
53.26
47.39
52.35
41.69
52.10
42.40
52.77
44.34
56.67
55.49
49.39
49.10
49.19
45.52
47.41
43.97
47.10
44.58
46.49
44.46
46.07
40.35
1-0
202
2
202
1-0
1
50.27
41.52
0-1
202
0
202
51.57
40.70
0-1
202
0-1
9
0-0
202
8
7
0-0
202
6
0-0
202
5
202
0-0
202
0-0
4
3
0-0
202
0-0
2
0-0
202
0-0
202
1
2
202
1
9-1
201
0
49.39
42.08
9-1
201
9
50.49
43.27
9-1
201
50.77
43.37
9-0
52.38
46.56
9-0
201
8
7
52.74
48.05
9-0
201
6
201
50.13
47.80
9-0
201
48.26
45.09
9-0
201
52.06
47.25
9-0
201
Statistic
Average DLA
Asset-Weighted DLA
5
4
As reported on Form PF, Questions 55.
Figure 22: Ratio of Weekly Liquid Assets to Net Asset Value
for Section 3 Liquidity Funds (Percent)
-03
2
202
1
1
202
1-0
2
202
1-0
1
61.02
54.99
62.29
57.59
65.08
64.02
58.39
59.74
58.12
56.72
58.56
59.53
61.99
57.08
61.42
59.16
59.94
57.24
0-1
202
0-1
0
61.23
54.75
0-1
202
62.03
57.91
0-0
202
61.97
58.59
0-0
202
66.02
64.82
0-0
202
9
8
7
6
202
5
202
0-0
4
61.50
52.67
0-0
202
62.90
52.67
52
0-0
3
0-0
202
2
0-0
202
1
62.81
51.20
0-0
202
2
9-1
202
1
201
60.90
52.29
9-1
201
0
9
62.30
54.60
9-1
62.33
54.30
9-0
201
8
63.52
56.93
9-0
201
7
63.90
58.97
9-0
201
6
201
62.64
58.40
9-0
201
62.16
55.83
9-0
201
64.70
56.42
9-0
201
Statistic
Average WLA
Asset-Weighted WLA
5
4
As reported on Form PF, Questions 55.
November 1, 2021
C
Analytics Office
Rule 2a-7 Compliance
Table 69: Rule 2a-7 Compliance (Percent of Funds)
As reported on Form PF, Questions 9 and 54.
Compliance Type
Credit Quality
Diversification
Maturity
Liquidity
None
Fully
2019Q2
62.8
58.1
58.1
53.5
37.2
48.8
2019Q3
63.4
58.5
58.5
53.7
36.6
48.8
2019Q4
64.3
59.5
59.5
54.8
35.7
50.0
2020Q1
62.5
57.5
57.5
52.5
37.5
47.5
2020Q2
63.6
59.1
59.1
54.5
36.4
50.0
2020Q3
63.0
58.7
58.7
54.3
37.0
50.0
2020Q4
55.8
51.9
51.9
48.1
44.2
44.2
2021Q1
54.7
50.9
50.9
47.2
45.3
43.4
Table 70: Rule 2a-7 Compliance (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 54.
Compliance Type
Credit Quality
Diversification
Maturity
Liquidity
None
Fully
D
2019Q2
13.8
13.0
13.0
12.8
86.2
10.9
2019Q3
13.8
13.2
13.2
13.0
86.2
11.0
2019Q4
13.1
12.5
12.5
12.3
86.9
10.3
2020Q1
13.4
12.7
12.7
12.4
86.6
10.4
2020Q2
14.1
13.2
13.2
12.9
85.9
10.9
2020Q3
13.5
12.4
12.4
12.1
86.5
10.2
2020Q4
14.0
12.7
12.7
12.5
86.0
10.4
2021Q1
16.7
15.4
15.4
15.1
83.3
13.1
Methods of Calculating NAV
Table 71: NAV Calculation Method (Percent of Funds)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2019Q2
74.4
25.6
2019Q3
75.6
24.4
2019Q4
73.8
26.2
2020Q1
75.0
25.0
2020Q2
72.7
27.3
2020Q3
73.9
26.1
2020Q4
73.1
26.9
2021Q1
75.5
24.5
Table 72: NAV Calculation Method (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 52, and 53.
Type
Stable
Floating
2019Q2
55.7
44.3
2019Q3
62.2
37.8
2019Q4
63.9
36.1
2020Q1
67.7
32.3
53
2020Q2
67.4
32.6
2020Q3
69.4
30.6
2020Q4
65.7
34.3
2021Q1
68.1
31.9
November 1, 2021
Aggregate Portfolio Holdings
Table 73: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2
3
55.3
68.3
42.3
38.7
46.8
16.2
9.6
1.9
0.7
60.0
63.2
41.2
39.2
45.9
15.5
7.9
1.8
0.7
42.4
78.2
43.6
35.9
43.7
17.0
8.7
1.8
0.7
41.1
75.4
48.3
32.0
44.7
16.5
8.7
2.0
0.7
86.1
56.9
31.8
29.6
46.1
12.9
9.1
2.3
0.9
0-0
0-0
202
2
1
202
49.8
62.2
43.0
40.5
51.7
16.9
10.0
1.9
0.7
0-0
202
-12
201
9
1
50.2
63.7
40.4
40.7
52.0
17.4
9.6
2.2
0.6
9-1
201
0
41.3
67.9
42.7
42.3
60.6
17.3
8.0
2.4
0.6
9-1
9
201
36.6
66.0
40.1
46.6
69.8
18.2
11.8
2.3
0.7
9-0
201
8
201
39.5
63.6
39.0
43.3
62.5
17.7
11.6
3.4
0.7
9-0
201
9-0
37.5
60.2
41.5
38.1
59.0
20.6
10.4
4.2
0.8
9-0
7
9-0
6
201
Product Type
U.S. Treasuries
Deposits
Commercial Paper
Other
Repo - Govt. Collateral
Asset-Backed Securities
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
5
201
40.9
59.5
39.5
40.2
58.0
19.7
12.7
3.2
0.8
9-0
201
4
As reported on Form PF, Question 63.
Table 74: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2
202
97.2
58.6
43.4
33.8
27.7
18.2
18.3
1.9
0.9
89.5
64.8
44.1
35.4
25.8
18.8
17.9
1.6
0.9
91.9
54.9
47.4
36.3
23.9
21.1
13.3
1.4
1.1
1-0
0-1
0
0-1
0-0
0-0
54
3
202
104.1
49.5
36.0
37.6
39.0
19.2
17.9
1.8
0.9
1-0
202
2
202
103.1
58.0
35.2
36.0
31.7
18.0
19.9
1.9
0.8
1-0
202
107.3
55.1
33.1
31.6
33.0
15.8
17.0
1.7
0.9
1
202
108.5
50.9
39.3
29.7
42.3
17.9
16.5
2.2
1.3
0-1
202
101.2
51.9
41.7
31.0
44.4
19.2
15.8
1.9
1.4
1
202
102.1
58.9
36.8
38.6
35.0
19.6
15.5
2.3
1.5
9
202
108.4
51.8
35.8
35.7
30.7
18.8
14.4
2.4
1.3
8
202
0
107.0
56.2
33.4
29.3
28.1
19.7
12.0
2.3
1.1
0-0
7
202
0-0
5
101.2
62.2
37.5
26.9
25.2
18.6
9.9
2.9
1.0
-06
4
0-0
Product Type
U.S. Treasuries
Deposits
Commercial Paper
Other
Repo - Govt. Collateral
Asset-Backed Securities
Repo - Other Collateral
U.S. Govt. Debt
Municipal Debt
2
As reported on Form PF, Question 63.
202
E
Analytics Office
November 1, 2021
Analytics Office
X
Section 4 Private Equity Fund Specific Information
A
CPC Industry Concentration
Table 75: Gross Assets in CPC Industries (Percent of Total)
As reported on Form PF, Questions 8 and 77.
Type
Software Publishers
Electric Power Generation,...
Telecommunications Data Processing...
Data Processing, Hosting, &...
Other Financial Investment...
Other Information Services
Pharmaceutical & Medicine Mfg
Oil & Gas Extraction
Custom Computer Programming...
All Other Professional,...
Other Financial Vehicles
Insurance Agencies & Brokerages
Management, Scientific, &...
Scientific Research & Development...
Pipeline Transportation
Educational Services
Other Computer Related Services
Activities Related to Credit...
2014Q4
3.8
3.8
2.5
2.3
1.8
2.1
1.3
7.8
1.0
0.6
0.4
1.0
1.2
0.9
2.6
1.3
0.4
1.2
2015Q4
4.9
3.7
2.7
1.8
1.8
1.9
1.5
5.8
1.5
0.6
0.6
1.0
1.1
1.0
2.4
1.3
0.5
1.4
55
2016Q4
6.1
4.1
2.3
2.0
1.7
1.8
1.4
6.7
1.5
0.9
1.8
1.2
1.3
0.7
2.2
1.2
0.9
1.0
2017Q4
6.0
4.2
2.2
2.3
1.4
2.0
1.5
6.2
1.5
0.8
1.6
1.1
1.6
1.0
1.9
1.4
0.9
1.2
2018Q4
8.0
4.5
2.4
3.5
2.1
1.7
2.4
4.9
1.8
1.4
1.3
1.0
1.4
1.0
1.8
1.2
1.0
1.3
2019Q4
10.6
4.3
2.6
4.2
2.1
1.9
2.0
3.6
2.1
1.4
1.2
1.1
1.6
1.7
1.7
1.1
0.8
1.4
2020Q4
9.7
4.8
3.7
3.6
2.8
2.5
2.1
1.9
1.9
1.9
1.8
1.5
1.4
1.3
1.3
1.3
1.2
1.2
November 1, 2021
B
Analytics Office
CPC Financial Leverage
Figure 23: Ratio of Portfolio Company Current to Total Liabilities (Percent)
As reported on Form PF, Questions 71 and 72.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2014Q4
0.6
1.4
5.3
17.9
50.0
16.2
2015Q4
0.7
1.7
6.0
20.0
49.9
16.7
2016Q4
0.8
1.9
6.9
20.7
54.3
17.5
2017Q4
0.8
2.1
7.3
21.5
51.8
17.7
2018Q4
0.7
1.5
6.0
17.8
49.3
15.4
2019Q4
0.7
1.3
5.2
16.8
48.7
15.5
2020Q4
0.7
1.4
5.9
18.2
46.8
16.0
Figure 24: CPC Payment-in-Kind Borrowings to Total Borrowings (Percent)
As reported on Form PF, Questions 73.
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
2014Q4
1.0
3.0
8.0
22.0
40.0
16.8
2015Q4
2.0
4.0
9.0
22.0
48.0
18.3
2016Q4
2.0
4.0
9.0
22.0
48.0
18.6
56
2017Q4
1.0
3.0
8.0
17.0
42.0
16.5
2018Q4
1.0
3.0
9.0
22.2
56.0
19.5
2019Q4
2.0
4.0
11.0
27.0
61.0
21.8
2020Q4
2.0
4.0
11.0
32.0
65.0
23.1
November 1, 2021
C
Analytics Office
CPC Investments by Region and Country
Table 76: Aggregate Gross Value of Private Equity
Investments by Region ($ Billions)
As reported on Form PF, Questions 70 and 78.
Region
North America
Europe EEA
Asia
Europe Other
South America
Supranational
Middle East
Africa
2014Q4
4,506
1,259
462
9
85
67
12
12
2015Q4
4,132
941
447
21
58
23
9
12
2016Q4
3,942
848
406
22
111
37
15
18
2017Q4
3,961
963
379
40
184
49
23
14
2018Q4
4,211
1,256
435
46
140
55
16
10
2019Q4
5,163
1,547
561
69
149
60
18
15
2020Q4
6,633
2,156
1,028
158
141
78
44
9
Table 77: Private Equity CPC Investments by Region
(Percent of Aggregate CPC Gross Asset Value)
As reported on Form PF, Questions 70 and 78.
Region
North America
Europe EEA
Asia
Europe Other
South America
Supranational
Middle East
Africa
2014Q4
70.2
19.6
7.2
0.1
1.3
1.0
0.2
0.2
2015Q4
73.2
16.7
7.9
0.4
1.0
0.4
0.2
0.2
2016Q4
73.0
15.7
7.5
0.4
2.0
0.7
0.3
0.3
57
2017Q4
70.5
17.1
6.8
0.7
3.3
0.9
0.4
0.3
2018Q4
68.2
20.3
7.0
0.7
2.3
0.9
0.3
0.2
2019Q4
68.0
20.4
7.4
0.9
2.0
0.8
0.2
0.2
2020Q4
64.7
21.0
10.0
1.5
1.4
0.8
0.4
0.1
November 1, 2021
Analytics Office
Table 78: Aggregate Gross Asset Value of Private Equity
CPC Investments by Country ($ Billions)
As reported on Form PF, Questions 70 and 78.
Country
United States
Japan
China and Hong Kong
India
Brazil
Russia
2014Q4
4,305
98
186
83
58
2
2015Q4
3,943
85
173
89
41
5
2016Q4
3,776
79
114
92
88
4
2017Q4
3,794
52
147
73
131
4
2018Q4
4,015
52
154
104
96
2
2019Q4
4,803
78
149
128
93
1
2020Q4
6,243
283
235
229
78
1
2019Q4
63.3
1.0
2.0
1.7
1.2
0.0
2020Q4
60.9
2.8
2.3
2.2
0.8
0.0
Table 79: Private Equity CPC Investments by Country
(Percent of Aggregate CPC Gross Asset Value)
As reported on Form PF, Questions 70 and 78.
Country
United States
Japan
China and Hong Kong
India
Brazil
Russia
2014Q4
67.1
1.5
2.9
1.3
0.9
0.0
2015Q4
69.9
1.5
3.1
1.6
0.7
0.1
2016Q4
69.9
1.5
2.1
1.7
1.6
0.1
58
2017Q4
67.6
0.9
2.6
1.3
2.3
0.1
2018Q4
65.1
0.8
2.5
1.7
1.6
0.0
November 1, 2021
XI
A
Analytics Office
Appendices
Form PF Filer Categories
The amount of information an adviser must report and the frequency with which it must report
on Form PF depends on the amount of the adviser’s private fund assets and the types of private
funds managed. Reporting advisers must identify the types of private funds they manage on Form
PF.
1
All Private Fund Advisers
SEC-registered investment advisers with at least $150 million in private fund assets under
management are required to file Form PF. Registered investment advisers with less than $150 million
in private funds assets under management, exempt reporting advisers, and state-registered advisers
report general private fund data on Form ADV, but do not file Form PF.6 Not all Form PF filers
report on a quarterly basis. Smaller private fund advisers and all private equity fund advisers file
Form PF on an annual basis, while larger hedge fund advisers and larger liquidity fund advisers file
the form quarterly.7 As a result of the difference in reporting frequency, information in this report
related to funds that are reported annually may be dated by several months.8
2
Large Hedge Fund Advisers
Large Hedge Fund Advisers have at least $1.5 billion in hedge fund assets under management.
A Large Hedge Fund Adviser is required to file Form PF quarterly and provide data about each
hedge fund it managed during the reporting period (irrespective of the size of the fund).
Large Hedge Fund Advisers must report more information on Form PF about Qualifying Hedge
Funds than other hedge funds they manage during the reporting period. A Qualifying Hedge Fund is
any hedge fund advised by a Large Hedge Fund Adviser that had a NAV (individually or in
combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of
at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the
adviser’s most recently completed fiscal quarter. This report provides information about all hedge
funds reported by Large Hedge Fund Advisers, including Qualifying Hedge Funds and smaller hedge
funds. This report also provides an overview of certain data reported solely for Qualifying Hedge
Funds.
6
Note that these thresholds are on a gross basis. Exempt reporting advisers are advisers that rely on the exemptions
from SEC registration in Advisers Act section 203(l) for venture capital fund advisers and section 203(m) for advisers
managing less than $150 million in private fund assets in the U.S.
7
An adviser may be a large hedge fund adviser that must file quarterly to report data about the hedge funds it manages
as well as a private equity fund adviser that must file only annually to report data about the private equity funds it
manages.
8
In addition, because some Form PF filers have fiscal year ends that are not December 31, not all Form PF data is filed
as of a single date.
59
November 1, 2021
3
Analytics Office
Large Liquidity Fund Advisers
Large Liquidity Fund Advisers have at least $1 billion in combined liquidity fund and money
market fund assets under management. On a quarterly basis, such advisers report on Form PF data
about the liquidity funds they managed during the reporting period (irrespective of the size of the
fund). This report contains information about all liquidity funds reported by Large Liquidity Fund
Advisers (referred to in this report as “Section 3 Liquidity Funds”).
4
Large Private Equity Fund Advisers
Large Private Equity Fund Advisers have at least a $2 billion in private equity fund assets
under management. These advisers are required to file Form PF annually in connection with the
private equity funds they managed during the reporting period. Smaller Private Equity Fund
Advisers must file annually as well, but provide less detail regarding the private equity funds they
manage. This report provides information about private equity funds managed by Large Private
Equity Fund Advisers (referred to in this report as “Section 4 Private Equity Funds”).
5
Other Private Fund Advisers
All advisers required to file Form PF that are not Large Hedge Fund Advisers or Large
Liquidity Fund Advisers must file Form PF annually to report data about each private fund
managed by the adviser.9 These “annual filing advisers” include smaller fund advisers, Large Private
Equity Fund advisers, and venture capital fund advisers. Annual filers must provide specific
information about each of the private funds they manage on an annual basis.
9
This includes “other private funds,” which are private funds that do not meet the Form PF definition of hedge fund,
liquidity fund, private equity fund, real estate fund, securitized asset fund, or venture capital fund.
60
November 1, 2021
B
Analytics Office
Handling Annual and Quarterly Data
Only a subset of filers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are
required to file Form PF quarterly; all other filings are made annually. Annual filings are typically,
but not always, made at the end of the calendar year, as Form PF allows filings to be made at the
end of an adviser’s fiscal year. In order to present the most complete and recent data possible, while
accounting for differences in filing dates, we use the following procedure for determining which data
to consider in any given quarter:
First, filings are grouped by their report date within their reported year:
(Q1): February 15 to May 14
(Q2): May 15 to August 14
(Q3): August 15 to November 14
(Q4): November 15 to February 14
Then, responses for funds that have no information are ‘filled forward’ — essentially, copied
from last reported values — up to a maximum of three quarters. Any fund that has no data four
quarters after its most recent date is no longer counted or included in any calculations.10
C
Mitigating the Effects of Outliers
Form PF data occasionally contains spurious outliers. While Analytics Office staff actively
engages in outreach to identify and correct such values, not all aberrant values have been corrected
as of this writing. To reduce the effect of these outliers on the aggregate measures reported here, we
have chosen to winsorize or trim some data sets.
Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest
and smallest values in a distribution.11 For example, to calculate a 95%/5% winsorized data set, all
the values above the ninety-fifth percentile are set to the value of the ninety-fifth percentile, and all
the values below the fifth percentile are set to the value of the fifth percentile. Effectively, this
procedure makes the very largest values smaller (but still large), and all the smallest values larger
(but still small). This approach can be more effective than trimming (simply removing the largest
and/or smallest values) because it does not change the number of data points and does not change
the median or other percentile values within the 95%/5% range. All instances of winsorization or
trimming have been noted and include the affected percentiles.
10
Form PF has no requirement to inform the SEC if a fund liquidates or otherwise terminates operations. Therefore,
liquidations or terminations may not be reflected on this report for up to one year after ceasing operations.
11
Such techniques are known as ‘robust statistics’, reviewed for example in Wilcox (2012), Introduction to Robust
Estimation & Hypothesis Testing, 3rd Edition.
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Definitions
Included by reference are all definitions included in the glossary of Form PF.
Aggregate Exposure
A dollar value for long and short positions as of the last day in each
month of the reporting period, by sub-asset class, including all exposure
whether held physically, synthetically or through derivatives. Includes
closed out and OTC forward positions that have not expired, as well as
positions in side-pockets.
Borrowing
In Form PF, borrowings include secured borrowings, unsecured borrowings, as well as synthetic borrowings (e.g., total return swaps that meet
the failed sale accounting requirements).
CPC
Controlled portfolio company, as defined in Form PF.
Gross Notional Exposure (GNE)
The gross nominal or notional value of all transactions that have been
entered into but not yet settled as of the data reporting date. For
contracts with variable nominal or notional principal amounts, the basis
for reporting is the nominal or notional principal amounts as of the data
reporting date.
Hedge Fund
Any private fund (other than a securitized asset fund): (a) with respect
to which one or more investment advisers (or related persons of investment advisers) may be paid a performance fee or allocation calculated
by taking into account unrealized gains (other than a fee or allocation
the calculation of which may take into account unrealized gains solely
for the purpose of reducing such fee or allocation to reflect net unrealized losses); (b) that may borrow an amount in excess of one-half of
its net asset value (including any committed capital) or may have gross
notional exposure in excess of twice its net asset value (including any
committed capital); or (c) that may sell securities or other assets short
or enter into similar transactions (other than for the purpose of hedging currency exposure or managing duration). The definition of a hedge
fund for Form PF purposes also includes any commodity pool an adviser
reports on Form PF.
IRDs
Interest rate derivatives, including foreign exchange derivatives used for
either investment or hedging.
Large Hedge Fund Adviser
An adviser that has at least $1.5 billion in hedge fund assets under
management.
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Large Liquidity Fund Adviser
An adviser that has at least $1 billion in combined liquidity fund and
money market fund assets under management.
Large Private Equity Fund Adviser
An adviser that has at least a $2 billion in private equity fund assets
under management.
Parallel Managed Account
An account advised by an adviser that pursues substantially the same
investment objective and strategy and invests side by side in substantially the same positions as the reporting fund.
Qualifying Hedge Fund
A hedge fund advised by a Large Hedge Fund Adviser that has a net asset
value (individually or in combination with any feeder funds, parallel
funds, and/or dependent parallel managed accounts) of at least $500
million as of the last day of any month in the fiscal quarter immediately
preceding the adviser’s most recently completed fiscal quarter.
Section 3 Liquidity Fund
A liquidity fund advised by a Large Liquidity Fund Adviser.
Section 4 Private Equity Fund
A private equity fund advised by a Large Private Equity Fund Adviser.
Value
For derivatives (other than options), “value” means gross notional value;
for options, “value” means delta adjusted notional value; for all other
investments and for all borrowings where the reporting fund is the creditor, “value” means market value or, where there is not a readily available
market value, fair value; for borrowings where the reporting fund is the
debtor, “value” means the value you report internally and to current
and prospective investors.
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This is a copy of a public record, reproduced as it was published. It is not legal advice, and it may not be the version a court would rely on. Check the official source before you cite it.