# Division of Investment Management

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URL: https://www.frixlaw.com/law-library/documents/agency%3Asec%3Adb47a9089d500341

## Record

- **Collection:** Agency decision
- **Document type:** Agency decision

## Text

Division of Investment Management
Risk and Examinations Office

Private Funds Statistics
First Calendar Quarter 2016

October 11, 2016

This is a report of the Staff of the Division of Investment Management’s Risk and Examinations Office
(REO) of the U.S. Securities and Exchange Commission. The Commission has expressed no view
regarding the analysis, findings, or conclusions contained herein.

October 11, 2016

Risk and Examinations Office

Introduction
This report provides a summary of recent private fund industry statistics and trends, reflecting
data collected through Form PF and Form ADV filings.1 Form PF information provided in this
report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary
information of individual Form PF filers.
This report reflects data from Second Calendar Quarter 2014 through First Calendar Quarter
2016 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.
Form PF is still a relatively new reporting requirement for advisers to private funds.
The Staff continues to work with the data and filers to identify and correct filing errors.
In some instances, the Staff has made adjustments to the summary statistics presented
here to correct what appear to be clear filing errors. In addition, the Staff has employed
certain assumptions in aggregating the data. Future adjustments to these methodologies
could lead to changes in reported statistics.

If you have any questions or comments about First Calendar Quarter 2016 Private
Funds Statistics, please contact:
Tim Dulaney, PhD, FRM or Tim Husson, PhD, FRM at FormPF@sec.gov with subject line “First
Calendar Quarter 2016-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

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Risk and Examinations Office

Contents
I

Number of Funds and Advisers

4

II

Gross and Net Assets
A Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . .
B Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5
5
7
8

III

Fund Domiciles and Adviser Main Offices

10

IV

Beneficial Ownership

12

V

Derivatives

16

VI

High Frequency Trading

17

VII

Information Reported by Large Hedge Fund Advisers
A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

18
18
20
21
22

VIII Qualifying Hedge Fund Specific Information
A Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

24
24
26
27
27

IX

Section 3 Liquidity Fund Specific Information
A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

28
28
29
29

X

Section 4 Private Equity Fund Specific Information
A CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . .

30
30
31
32

XI

Appendices
A Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1 All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

34
34
34

2

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Risk and Examinations Office

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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3

34
35
35
35
36
36
37

October 11, 2016

I

Risk and Examinations Office

Number of Funds and Advisers3
Table 1: Number of Funds
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.

Fund Type
Private Equity Fund
Hedge Fund
Other Private Fund
Section 4 Private Equity Fund
Real Estate Fund
Qualifying Hedge Fund
Securitized Asset Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund
Total

2014Q2
7,664
8,608
3,758
2,201
1,546
1,462
1,208
435
70
44
23,190

2014Q3
7,629
8,684
3,752
2,209
1,534
1,499
1,196
438
70
44
23,177

2014Q4
8,243
8,674
4,244
2,387
1,794
1,538
1,328
508
70
45
24,797

2015Q1
8,305
8,848
4,234
2,391
1,792
1,560
1,348
505
69
42
25,020

2015Q2
8,341
8,865
4,217
2,390
1,794
1,592
1,349
506
68
42
25,075

2015Q3
8,258
8,921
4,236
2,364
1,798
1,625
1,351
508
67
40
25,056

2015Q4
9,615
8,767
4,157
2,733
2,049
1,640
1,411
636
65
41
26,636

2016Q1
9,684
8,901
4,133
2,739
2,086
1,597
1,426
635
65
36
26,840

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

2014Q2
866
1,595
525
196
245
494
143
69
34
23
2,582

2014Q3
867
1,599
526
195
244
505
141
70
34
23
2,583

2014Q4
921
1,663
559
210
262
524
153
85
36
24
2,718

2015Q1
922
1,667
561
209
262
525
155
85
35
22
2,719

2015Q2
925
1,665
561
209
264
528
155
85
35
22
2,721

2015Q3
924
1,664
561
209
264
537
156
86
34
21
2,717

2015Q4
1,013
1,682
571
242
287
535
157
97
37
21
2,818

2016Q1
1,017
1,685
565
243
289
525
159
97
37
19
2,819

3
In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered
investment advisers that file a Form PF to report private funds. Please see Appendix D for definitions of other capitalized
terms used in this report.

4

October 11, 2016

Risk and Examinations Office

II

Gross and Net Assets

A

Aggregate Assets by Fund Type over Time
Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions)
As reported on Form PF, Question 8.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.

Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Securitized Asset Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total

2014Q2
5,892
4,827
1,845
1,270
957
362
334
274
262
30
9,670

2014Q3
6,115
5,032
1,838
1,274
960
357
334
286
281
30
9,880

2014Q4
6,027
4,922
1,887
1,352
999
378
351
274
272
39
9,934

2015Q1
6,432
5,312
1,890
1,352
994
382
351
290
287
39
10,350

2015Q2
6,353
5,278
1,893
1,351
982
383
351
265
263
39
10,252

2015Q3
6,246
5,194
1,854
1,337
980
383
351
274
267
39
10,106

2015Q4
6,072
4,990
2,056
1,472
976
417
397
286
283
55
10,245

2016Q1
6,166
4,991
2,057
1,473
970
421
404
274
247
55
10,331

Table 4: Aggregate Private Fund Net Asset Value (NAV) ($ Billions)
As reported on Form PF, Question 9.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.

Fund Type
Hedge Fund
Qualifying Hedge Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Securitized Asset Fund
Real Estate Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total

2014Q2
3,309
2,627
1,702
1,205
828
126
266
273
261
28
6,512

2014Q3
3,361
2,657
1,694
1,209
831
126
265
283
279
28
6,551

2014Q4
3,402
2,669
1,745
1,275
890
114
279
272
271
37
6,718

5

2015Q1
3,581
2,838
1,749
1,274
896
115
279
287
284
37
6,915

2015Q2
3,594
2,867
1,751
1,273
878
116
280
264
262
37
6,907

2015Q3
3,480
2,762
1,713
1,259
876
116
280
274
267
37
6,758

2015Q4
3,458
2,736
1,880
1,377
875
136
318
285
282
52
6,994

2016Q1
3,411
2,653
1,880
1,378
868
138
322
273
246
52
6,933

October 11, 2016

Risk and Examinations Office

Figure 1: GAV and NAV Distributions
As reported on Form PF, Questions 8 and 9.

Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean
Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean

Qualifying Hedge Fund GAV ($ Billions)
2014Q2 2014Q3 2014Q4 2015Q1 2015Q2 2015Q3
0.1
0.1
0.1
0.2
0.1
0.1
0.6
0.6
0.6
0.6
0.6
0.5
1.3
1.3
1.2
1.3
1.3
1.2
2.9
2.9
2.8
2.9
2.9
2.7
6.9
6.9
6.5
6.9
6.6
6.3
3.3
3.4
3.2
3.4
3.3
3.2
Qualifying Hedge Fund NAV ($ Billions)
2014Q2 2014Q3 2014Q4 2015Q1 2015Q2 2015Q3
0.1
0.1
0.1
0.1
0.1
0.1
0.5
0.5
0.4
0.4
0.4
0.4
0.9
0.9
0.9
0.9
0.9
0.9
1.9
1.9
1.8
1.9
1.9
1.8
4.0
3.9
3.9
4.1
4.1
3.8
1.8
1.8
1.7
1.8
1.8
1.7
Section 4 Private Equity Fund GAV ($ Billions)
2014Q2 2014Q3 2014Q4 2015Q1 2015Q2 2015Q3
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.1
0.4
0.4
0.4
0.4
0.4
0.4
1.5
1.5
1.5
1.5
1.5
1.5
0.6
0.6
0.6
0.6
0.6
0.6
Section 4 Private Equity Fund NAV ($ Billions)
2014Q2 2014Q3 2014Q4 2015Q1 2015Q2 2015Q3
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
1.3
1.3
1.4
1.4
1.4
1.4
0.5
0.5
0.5
0.5
0.5
0.5

6

2015Q4
0.1
0.5
1.1
2.6
5.8
3.0

2016Q1
0.1
0.5
1.2
2.6
5.8
3.1

2015Q4
0.1
0.4
0.8
1.8
3.8
1.7

2016Q1
0.1
0.4
0.9
1.7
3.7
1.7

2015Q4
0.0
0.0
0.1
0.4
1.3
0.5

2016Q1
0.0
0.0
0.1
0.4
1.3
0.5

2015Q4
0.0
0.0
0.1
0.4
1.2
0.5

2016Q1
0.0
0.0
0.1
0.3
1.2
0.5

October 11, 2016

B

Risk and Examinations Office

Borrowings
Table 5: Aggregate Borrowings (Percent of Aggregate GAV)
As reported on Form PF, Questions 8, 12, and 43 (Third Month).

Fund Type
Securitized Asset Fund
Qualifying Hedge Fund
Hedge Fund
Real Estate Fund
Private Equity Fund
Section 4 Private Equity Fund
Other Private Fund
Venture Capital Fund
Liquidity Fund
Section 3 Liquidity Fund

2014Q2
46.4
37.9
36.6
12.5
2.4
2.1
4.2
0.9
0.0
0.0

2014Q3
47.1
38.0
36.6
12.5
2.4
2.1
4.1
0.9
0.0
0.0

2014Q4
47.9
38.3
36.1
13.6
4.0
2.3
2.9
0.6
0.0
0.0

2015Q1
46.6
38.1
35.3
13.2
4.0
2.3
2.8
0.6
0.0
0.0

2015Q2
46.6
38.8
36.1
13.2
4.0
2.3
2.8
0.6
0.0
0.0

2015Q3
46.3
39.1
36.4
13.2
4.1
2.3
2.8
0.6
0.0
0.0

2015Q4
50.6
38.2
35.6
13.3
4.8
3.4
2.3
0.4
0.0
0.0

2016Q1
48.8
39.1
36.8
13.4
4.8
3.4
2.3
0.4
0.0
0.0

Figure 2: Distribution of Total Borrowings
As reported on Form PF, Questions 12 and 43.

Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean

2014Q2
0.0
0.0
0.0
0.2
0.6
0.5

Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean

2014Q2
0.0
0.1
0.3
1.2
3.5
1.8

All Private Funds ($ Billions)
2014Q3 2014Q4 2015Q1 2015Q2 2015Q3
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
0.5
0.4
0.5
0.5
0.5
Qualifying Hedge Funds ($ Billions)
2014Q3 2014Q4 2015Q1 2015Q2 2015Q3
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.3
0.3
0.3
0.3
0.3
1.2
1.1
1.1
1.2
1.1
3.3
3.2
3.4
3.4
3.3
1.9
1.8
1.9
1.9
1.9

7

2015Q4
0.0
0.0
0.0
0.2
0.6
0.4

2016Q1
0.0
0.0
0.0
0.2
0.6
0.4

2015Q4
0.0
0.1
0.3
1.1
3.0
1.8

2016Q1
0.0
0.1
0.3
1.0
3.2
1.8

October 11, 2016

C

Risk and Examinations Office

Parallel Managed Accounts4
Table 6: Number of Funds with Parallel Managed Accounts
As reported on Form PF, Question 11.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.

Type
Hedge Fund
Other Private Fund
Private Equity Fund
Qualifying Hedge Fund
Section 4 Private Equity Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total

2014Q2
690
342
195
221
57
46
***
17
14
***
1,318

2014Q3
704
340
197
218
57
46
***
17
15
***
1,332

2014Q4
708
398
210
227
60
51
***
16
14
***
1,415

2015Q1
714
388
210
233
63
51
***
17
15
***
1,411

2015Q2
700
391
213
246
63
51
***
17
15
***
1,402

2015Q3
706
393
211
246
63
51
***
15
12
***
1,400

2015Q4
699
415
248
246
82
49
***
14
13
***
1,451

2016Q1
696
413
248
233
82
52
***
16
15
***
1,452

Table 7: Aggregate Value in Parallel Managed Accounts ($ Billions)
As reported on Form PF, Question 11.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.

Type
Hedge Fund
Other Private Fund
Private Equity Fund
Qualifying Hedge Fund
Section 4 Private Equity Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total

2014Q2
612
1,450
124
439
17
11
***
326
321
***
2,581

2014Q3
797
1,272
124
418
17
11
***
339
335
***
2,601

2014Q4
723
1,443
107
516
16
11
***
349
345
***
2,726

2015Q1
774
1,413
106
544
16
11
***
363
359
***
2,750

2015Q2
701
1,411
106
528
16
11
***
347
343
***
2,658

2015Q3
664
1,403
106
489
16
11
***
278
271
***
2,544

2015Q4
656
1,333
96
478
19
10
***
250
245
***
2,495

2016Q1
617
1,325
96
437
19
11
***
321
316
***
2,521

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.

8

October 11, 2016

Risk and Examinations Office

Figure 3: Parallel Managed Account Value Distributions
As reported on Form PF, Question 11.

Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean

2014Q2
0.0
0.0
0.2
1.1
4.1
2.0

Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean

2014Q2
0.1
0.1
0.4
1.7
3.8
2.0

All Private Funds ($ Billions)
2014Q3 2014Q4 2015Q1 2015Q2 2015Q3
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
1.0
1.0
0.9
1.0
4.0
4.2
4.1
4.0
4.0
2.0
1.9
1.9
1.9
1.8
Qualifying Hedge Funds ($ Billions)
2014Q3 2014Q4 2015Q1 2015Q2 2015Q3
0.1
0.1
0.1
0.1
0.0
0.1
0.1
0.2
0.1
0.1
0.4
0.4
0.4
0.4
0.4
1.6
1.4
1.6
1.5
1.4
3.5
3.6
3.8
3.6
3.4
1.9
2.3
2.3
2.1
2.0

9

2015Q4
0.0
0.0
0.2
0.9
3.6
1.7

2016Q1
0.0
0.0
0.2
0.9
3.5
1.7

2015Q4
0.0
0.1
0.4
1.3
3.0
1.9

2016Q1
0.0
0.1
0.4
1.2
2.8
1.9

October 11, 2016

III

Risk and Examinations Office

Fund Domiciles and Adviser Main Offices
Table 8: Fund Domicile (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.

Country
United States
Cayman Islands
Ireland
Virgin Islands, British
Luxembourg
Bermuda
United Kingdom
Other
Country
Cayman Islands
United States
Virgin Islands, British
Ireland
Bermuda
Luxembourg
Other
Country
Ireland
United States
Cayman Islands
Other
Country
United States
Cayman Islands
United Kingdom
Bermuda
Canada
Other

All Private Funds
2014Q2 2014Q3 2014Q4 2015Q1 2015Q2
50.1
50.1
49.6
49.3
49.4
37.6
37.6
37.7
37.9
38.0
4.4
4.6
4.7
4.6
4.6
2.7
2.7
2.6
2.8
2.7
1.2
1.2
1.2
1.2
1.2
1.2
1.2
1.2
1.2
1.2
0.6
0.6
1.0
1.0
1.0
2.1
2.0
1.9
2.0
1.9
Qualifying Hedge Funds
2014Q2 2014Q3 2014Q4 2015Q1 2015Q2
55.3
55.3
55.4
55.9
55.6
31.6
31.9
31.5
31.2
31.5
6.1
6.0
6.1
6.2
6.0
2.2
2.2
2.4
2.2
2.4
1.4
1.4
1.4
1.4
1.4
1.6
1.5
1.3
1.2
1.2
1.9
1.8
1.9
1.8
1.8
Section 3 Liquidity Funds
2014Q2 2014Q3 2014Q4 2015Q1 2015Q2
***
***
***
***
***
34.1
32.3
30.6
32.8
32.1
***
8.2
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2014Q2 2014Q3 2014Q4 2015Q1 2015Q2
66.4
66.5
63.3
63.5
63.5
28.2
28.2
30.7
30.7
30.6
1.3
1.3
2.3
2.4
2.4
0.9
0.9
1.0
1.0
1.0
1.3
1.3
1.3
1.3
1.3
1.8
1.8
1.4
1.2
1.2

10

2015Q3
49.4
38.0
4.6
2.6
1.2
1.2
1.1
1.9

2015Q4
50.0
37.9
3.9
2.3
1.3
1.3
1.0
2.2

2016Q1
50.7
37.4
3.8
2.4
1.3
1.3
1.0
2.1

2015Q3
55.6
31.5
6.0
2.5
1.5
1.1
1.9

2015Q4
55.7
31.9
5.4
2.5
1.5
1.2
1.9

2016Q1
54.7
32.7
5.7
2.6
1.4
1.2
1.8

2015Q3
***
32.2
***
***

2015Q4
***
35.1
***
***

2016Q1
***
36.6
***
***

2015Q3
63.2
30.8
2.4
1.0
1.3
1.2

2015Q4
62.3
30.0
2.5
1.3
1.2
2.6

2016Q1
62.4
30.0
2.5
1.3
1.2
2.6

October 11, 2016

Risk and Examinations Office

Table 9: Adviser Main Office Location (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.

Country
United States
United Kingdom
Other

2014Q2
88.9
7.0
4.1

Country
United States
United Kingdom
Hong Kong
Australia
Other

2014Q2
89.4
5.8
***
***
2.9

Country
United States
United Kingdom
France

2014Q2
68.5
***
***

Country
United States
Canada
Other

2014Q2
97.4
***
***

All Private Funds
2014Q3 2014Q4 2015Q1 2015Q2
88.8
89.6
89.6
89.5
7.3
6.4
6.4
6.4
4.0
3.9
4.0
4.1
Qualifying Hedge Funds
2014Q3 2014Q4 2015Q1 2015Q2
89.8
89.8
90.4
90.1
5.6
4.9
4.9
4.9
***
***
***
***
***
***
***
***
2.7
2.8
2.4
2.5
Section 3 Liquidity Funds
2014Q3 2014Q4 2015Q1 2015Q2
65.3
63.6
65.6
64.0
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
2014Q3 2014Q4 2015Q1 2015Q2
97.4
97.8
97.8
97.8
***
***
***
***
***
***
***
***

11

2015Q3
89.4
6.6
4.0

2015Q4
89.9
6.3
3.8

2016Q1
89.6
6.5
3.9

2015Q3
90.1
5.1
***
***
2.4

2015Q4
89.2
5.6
***
***
2.6

2016Q1
89.3
5.7
***
***
2.5

2015Q3
64.9
***
***

2015Q4
57.4
***
***

2016Q1
58.4
***
***

2015Q3
97.7
***
***

2015Q4
97.2
***
***

2016Q1
97.2
***
***

October 11, 2016

IV

Risk and Examinations Office

Beneficial Ownership
Table 10: Beneficial Ownership for All Private Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.

Type
Private Funds
State/Muni. Govt. Pension Plans
Other
Pension Plans
U.S. Individuals
Non-Profits
Sov. Wealth Funds and For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
Banking/Thrift Inst.
SEC-Registered Investment Companies
Broker-Dealers
State/Muni. Govt. Entities

2014Q2
1,315
839
692
823
716
669
350
253
211
174
156
98
109
83

2014Q3
1,326
834
715
824
717
678
347
254
195
196
157
88
112
85

2014Q4
1,357
859
766
844
741
690
361
263
193
185
142
89
116
90

2015Q1
1,375
868
777
885
758
714
363
268
212
189
148
123
116
93

2015Q2
1,372
872
789
891
761
710
362
268
205
180
149
118
113
92

2015Q3
1,344
854
769
867
742
689
363
264
204
180
143
110
113
92

2015Q4
1,360
895
894
889
756
707
382
278
201
169
147
106
112
99

2016Q1
1,327
908
881
880
764
702
381
274
196
163
144
123
107
87

2015Q4
19.4
12.8
12.8
12.7
10.8
10.1
5.5
4.0
2.9
2.4
2.1
1.5
1.6
1.4

2016Q1
19.1
13.1
12.7
12.7
11.0
10.1
5.5
4.0
2.8
2.3
2.1
1.8
1.5
1.3

Table 11: Beneficial Ownership for All Private Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.

Type
Private Funds
State/Muni. Govt. Pension Plans
Other
Pension Plans
U.S. Individuals
Non-Profits
Sov. Wealth Funds and For. Official Inst.
Insurance Companies
Non-U.S. Individuals
Unknown Non-U.S. Investors
Banking/Thrift Inst.
SEC-Registered Investment Companies
Broker-Dealers
State/Muni. Govt. Entities

2014Q2
20.2
12.9
10.6
12.6
11.0
10.3
5.4
3.9
3.2
2.7
2.4
1.5
1.7
1.3

2014Q3
20.2
12.7
10.9
12.6
10.9
10.4
5.3
3.9
3.0
3.0
2.4
1.3
1.7
1.3

12

2014Q4
20.2
12.8
11.4
12.6
11.0
10.3
5.4
3.9
2.9
2.8
2.1
1.3
1.7
1.3

2015Q1
19.9
12.5
11.2
12.8
11.0
10.3
5.3
3.9
3.1
2.7
2.1
1.8
1.7
1.3

2015Q2
19.9
12.6
11.4
12.9
11.0
10.3
5.2
3.9
3.0
2.6
2.2
1.7
1.6
1.3

2015Q3
19.9
12.6
11.4
12.8
11.0
10.2
5.4
3.9
3.0
2.7
2.1
1.6
1.7
1.4

October 11, 2016

Risk and Examinations Office

Table 12: Beneficial Ownership for Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.

Type
Private Funds
Non-Profits
Pension Plans
Other
U.S. Individuals
State/Muni. Govt. Pension Plans
Sov. Wealth Funds and For. Official Inst.
SEC-Registered Investment Companies
Broker-Dealers
Non-U.S. Individuals
Insurance Companies
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.

2014Q2
547
349
323
271
322
254
137
58
89
68
65
66
38
36

2014Q3
556
360
326
286
322
252
134
50
91
69
65
68
39
36

2014Q4
558
357
334
300
321
256
133
49
93
68
65
59
41
33

2015Q1
581
379
366
322
340
264
134
81
91
71
68
56
44
38

2015Q2
583
382
374
339
341
269
134
76
90
70
68
57
44
37

2015Q3
558
370
361
326
324
261
134
69
86
67
67
55
44
35

2015Q4
550
370
358
333
316
265
136
63
83
66
68
50
42
31

2016Q1
513
363
347
323
305
272
137
77
77
64
64
48
31
30

2015Q4
20.1
13.5
13.1
12.2
11.6
9.7
5.0
2.3
3.0
2.4
2.5
1.8
1.5
1.1

2016Q1
19.3
13.7
13.1
12.2
11.5
10.2
5.1
2.9
2.9
2.4
2.4
1.8
1.2
1.1

Table 13: Beneficial Ownership for Qualifying Hedge Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.

Type
Private Funds
Non-Profits
Pension Plans
Other
U.S. Individuals
State/Muni. Govt. Pension Plans
Sov. Wealth Funds and For. Official Inst.
SEC-Registered Investment Companies
Broker-Dealers
Non-U.S. Individuals
Insurance Companies
Unknown Non-U.S. Investors
State/Muni. Govt. Entities
Banking/Thrift Inst.

2014Q2
20.8
13.3
12.3
10.3
12.3
9.7
5.2
2.2
3.4
2.6
2.5
2.5
1.5
1.4

2014Q3
20.9
13.6
12.3
10.8
12.1
9.5
5.1
1.9
3.4
2.6
2.5
2.6
1.5
1.4

13

2014Q4
20.9
13.4
12.5
11.3
12.0
9.6
5.0
1.8
3.5
2.5
2.4
2.2
1.5
1.3

2015Q1
20.5
13.4
12.9
11.4
12.0
9.3
4.7
2.9
3.2
2.5
2.4
2.0
1.6
1.3

2015Q2
20.3
13.3
13.0
11.8
11.9
9.4
4.7
2.6
3.1
2.4
2.4
2.0
1.5
1.3

2015Q3
20.2
13.4
13.1
11.8
11.7
9.4
4.9
2.5
3.1
2.4
2.4
2.0
1.6
1.3

October 11, 2016

Risk and Examinations Office

Table 14: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.

Type
Private Funds
Unknown Non-U.S. Investors
Other
SEC-Registered Investment Companies
Non-U.S. Individuals
Broker-Dealers
Banking/Thrift Inst.
Insurance Companies
Sov. Wealth Funds and For. Official Inst.
Pension Plans
State/Muni. Govt. Entities
Non-Profits
State/Muni. Govt. Pension Plans
U.S. Individuals

2014Q2
75
37
37
18
38
***
17
7
11
***
***
***
***
0

2014Q3
80
58
43
17
20
***
19
9
***
6
***
***
***
0

2014Q4
75
40
63
15
20
***
14
10
11
5
***
***
***
0

2015Q1
86
44
45
17
35
***
***
9
***
6
***
***
***
0

2015Q2
77
36
44
17
31
***
***
9
***
5
***
***
***
0

2015Q3
86
43
42
13
29
***
***
8
***
6
***
***
***
***

2015Q4
82
45
51
16
28
***
***
8
***
5
***
***
***
***

2016Q1
79
***
38
17
17
***
***
7
***
5
***
***
***
***

2015Q4
29.0
15.8
17.9
5.8
10.0
***
***
2.9
***
1.9
***
***
***
***

2016Q1
32.2
***
15.5
7.1
6.9
***
***
2.9
***
1.9
***
***
***
***

Table 15: Beneficial Ownership for Section 3 Liquidity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.

Type
Private Funds
Unknown Non-U.S. Investors
Other
SEC-Registered Investment Companies
Non-U.S. Individuals
Broker-Dealers
Banking/Thrift Inst.
Insurance Companies
Sov. Wealth Funds and For. Official Inst.
Pension Plans
State/Muni. Govt. Entities
Non-Profits
State/Muni. Govt. Pension Plans
U.S. Individuals

2014Q2
28.8
14.3
14.2
7.0
14.7
***
6.5
2.8
4.1
***
***
***
***
0.0

2014Q3
28.7
20.9
15.5
6.2
7.3
***
6.8
3.3
***
2.1
***
***
***
0.0

14

2014Q4
27.7
14.9
23.4
5.6
7.3
***
5.2
3.5
4.1
1.9
***
***
***
0.0

2015Q1
30.5
15.6
15.7
5.9
12.3
***
***
3.2
***
2.0
***
***
***
0.0

2015Q2
29.5
13.6
16.9
6.5
11.7
***
***
3.3
***
2.0
***
***
***
0.0

2015Q3
32.2
16.1
15.8
4.7
10.8
***
***
3.0
***
2.1
***
***
***
***

October 11, 2016

Risk and Examinations Office

Table 16: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.

Type
State/Muni. Govt. Pension Plans
Private Funds
Other
Pension Plans
Sov. Wealth Funds and For. Official Inst.
U.S. Individuals
Non-Profits
Insurance Companies
Non-U.S. Individuals
Banking/Thrift Inst.
State/Muni. Govt. Entities
Unknown Non-U.S. Investors
SEC-Registered Investment Companies
Broker-Dealers

2014Q2
284
266
95
118
113
72
77
71
33
45
15
14
2
1

2014Q3
286
268
96
119
113
72
76
72
33
45
15
14
2
1

2014Q4
300
277
110
123
124
79
80
75
33
35
16
11
3
1

2015Q1
301
278
110
123
124
79
80
76
32
35
16
11
3
1

2015Q2
301
277
110
123
124
79
80
76
32
35
16
11
3
1

2015Q3
297
276
108
119
123
79
79
75
32
35
16
11
3
1

2015Q4
326
270
140
137
132
95
87
84
35
32
19
15
5
1

2016Q1
326
270
140
137
132
95
87
84
35
32
19
15
5
1

Table 17: Beneficial Ownership for Section 4 Private Equity Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.

Type
State/Muni. Govt. Pension Plans
Private Funds
Other
Pension Plans
Sov. Wealth Funds and For. Official Inst.
U.S. Individuals
Non-Profits
Insurance Companies
Non-U.S. Individuals
Banking/Thrift Inst.
State/Muni. Govt. Entities
Unknown Non-U.S. Investors
SEC-Registered Investment Companies
Broker-Dealers

2014Q2
23.6
22.1
7.9
9.8
9.4
6.0
6.4
5.9
2.7
3.8
1.2
1.1
0.2
0.1

2014Q3
23.7
22.1
8.0
9.8
9.3
5.9
6.3
5.9
2.7
3.7
1.2
1.1
0.2
0.1

15

2014Q4
23.6
21.8
8.6
9.6
9.7
6.2
6.3
5.9
2.6
2.8
1.2
0.9
0.2
0.1

2015Q1
23.6
21.8
8.6
9.7
9.7
6.2
6.3
5.9
2.5
2.8
1.2
0.9
0.2
0.1

2015Q2
23.6
21.8
8.6
9.7
9.7
6.2
6.3
5.9
2.5
2.8
1.2
0.9
0.2
0.1

2015Q3
23.6
21.9
8.6
9.4
9.8
6.3
6.3
6.0
2.5
2.8
1.2
0.9
0.2
0.1

2015Q4
23.7
19.6
10.2
10.0
9.6
6.9
6.3
6.1
2.6
2.3
1.4
1.1
0.4
0.0

2016Q1
23.7
19.6
10.2
10.0
9.6
6.9
6.3
6.1
2.5
2.3
1.4
1.1
0.4
0.0

October 11, 2016

V

Risk and Examinations Office

Derivatives
Table 18: Aggregate Derivative Notional ($ Billions)
As reported on Form PF, Questions 13 and 44 (Third Month).
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.

Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Section 4 Private Equity Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total

2014Q2
16,984
15,426
102
47
43
12
45
0
***
0
17,185

2014Q3
15,922
14,314
101
48
43
12
45
0
0
0
16,107

2014Q4
14,603
13,118
127
66
60
13
27
***
0
***
14,819

2015Q1
14,478
13,123
121
69
60
13
29
***
***
***
14,693

2015Q2
13,787
12,550
106
71
60
13
29
***
***
***
14,007

2015Q3
14,032
12,785
107
73
60
13
28
***
***
***
14,253

2015Q4
12,959
11,852
103
54
42
21
12
***
***
***
13,149

2016Q1
13,909
12,716
99
54
42
21
11
***
***
***
14,095

Table 19: Aggregate Derivative Notional (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 13, and 44 (Third Month).

Type
Hedge Fund
Qualifying Hedge Fund
Other Private Fund
Private Equity Fund
Section 4 Private Equity Fund
Real Estate Fund
Securitized Asset Fund
Liquidity Fund
Section 3 Liquidity Fund
Venture Capital Fund
Total

2014Q2
513.3
587.3
12.3
2.8
3.5
4.4
35.9
0.0
***
0.2
263.9

2014Q3
473.7
538.6
12.1
2.8
3.5
4.4
35.6
0.0
0.0
0.2
245.9

2014Q4
429.3
491.4
14.3
3.8
4.7
4.6
23.4
***
0.0
***
220.6

16

2015Q1
404.3
462.4
13.5
3.9
4.7
4.6
25.4
***
***
***
212.5

2015Q2
383.6
437.8
12.1
4.0
4.7
4.6
25.1
***
***
***
202.8

2015Q3
403.2
462.9
12.3
4.3
4.7
4.6
24.4
***
***
***
210.9

2015Q4
374.8
433.2
11.8
2.9
3.1
6.7
8.5
***
***
***
188.0

2016Q1
407.8
479.2
11.4
2.9
3.1
6.7
8.2
***
***
***
203.3

October 11, 2016

Risk and Examinations Office

Figure 4: Distribution of Derivative Notional Values
As reported on Form PF, Questions 13 and 44 (Third Month).

VI

Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean

2014Q2
0.0
0.0
0.0
0.3
1.6
1.2

Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean

2014Q2
0.0
0.1
0.6
2.5
11.5
7.4

All Private Funds ($ Billions)
2014Q3 2014Q4 2015Q1 2015Q2 2015Q3
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.3
0.3
0.3
0.3
0.3
1.7
1.6
1.6
1.6
1.5
1.2
1.1
1.1
1.2
1.1
Qualifying Hedge Funds ($ Billions)
2014Q3 2014Q4 2015Q1 2015Q2 2015Q3
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.6
0.5
0.5
0.6
0.5
2.6
2.7
2.6
2.6
2.3
10.6
10.8
11.3
11.3
10.4
6.4
5.5
6.0
6.1
6.2

2015Q4
0.0
0.0
0.0
0.3
1.5
1.0

2016Q1
0.0
0.0
0.0
0.3
1.5
1.0

2015Q4
0.0
0.1
0.5
2.4
9.8
5.3

2016Q1
0.0
0.1
0.5
2.4
10.1
5.5

High Frequency Trading
Table 20: 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

2014Q2
6,931
55
24

2014Q3
7,001
53
28

2014Q4
7,180
45
28

2015Q1
7,321
39
25

2015Q2
7,340
39
24

2015Q3
7,406
33
10

2015Q4
7,365
40
8

2016Q1
7,436
63
6

Table 21: 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

2014Q2
3,205
54
31

2014Q3
3,259
37
30

2014Q4
3,300
35
32

2015Q1
3,470
41
34

17

2015Q2
3,479
43
36

2015Q3
3,365
43
34

2015Q4
3,336
77
2

2016Q1
3,283
84
2

October 11, 2016

VII
A

Risk and Examinations Office

Information Reported by Large Hedge
Fund Advisers

Economic Leverage
Figure 5: 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.

201
5-1
2

6-0

6-0

201

201

201
6

1.0
1.5
2.3
4.7
11.1
5.8

18

1.0
1.4
2.1
3.5
7.1
3.4

6-0

1.0
1.3
2.0
3.4
6.7
3.4

3

2

0.9
1.3
2.0
3.4
6.8
3.4

201

1.0
1.3
2.0
3.3
6.8
3.1

201

5-1
201

1.0
1.4
2.1
3.4
7.1
3.5

201
6-0

1.0
1.3
2.0
3.3
6.8
3.2

5-1

5-0
201

1.0
1.4
2.1
3.4
6.7
3.3

201

5-0

5-0

1.1
1.4
2.1
3.4
6.9
3.4

201

7
201

5-0

6
5-0

1.0
1.3
2.1
3.3
6.3
3.3

201
6-0
1

1.0
1.4
2.1
3.5
6.8
3.6

201

5

5-0

5-0
201

201

1.0
1.4
2.1
3.4
7.0
3.6

2

1.0
1.3
2.0
3.4
6.8
3.6

4

3
201

5-0

2
5-0

1.0
1.3
2.0
3.3
6.6
3.6

5-1

0.9
1.2
2.0
3.2
6.3
3.5

-03

201
5-1
1

1.0
1.5
2.3
4.8
11.7
5.8

2

201
5-1
0

1.0
1.5
2.4
4.7
11.1
5.4

1

201
5-0
9

1.0
1.5
2.3
4.2
9.6
4.9

1

201
5-0
8

1.1
1.5
2.4
4.7
10.8
6.0

0

201

1.1
1.5
2.5
4.6
10.3
5.7

9

201
5-0
6

1.0
1.5
2.2
4.4
9.5
5.7

8

201
5-0
5

1.1
1.6
2.4
4.6
10.6
5.8

7

5-0
3

201
5-0
4

1.1
1.6
2.4
4.6
10.0
5.7

201

1.0
1.5
2.3
4.5
8.8
4.9

201
5-0
2

1.0
1.6
2.4
4.7
9.8
5.5

5-0
1

1.0
1.6
2.4
4.6
9.4
5.4

201

1.0
1.3
2.0
3.2
6.2
3.3

1.0
1.0
1.0
1.4
1.5
1.5
2.2
2.3
2.3
4.1
4.3
4.3
9.6 10.3
9.4
5.1
5.3
5.1
Excluding IRDs

201

2

1.0
1.3
2.1
3.5
6.9
3.5

201

201
4-1

1.0
1.3
2.1
3.4
6.7
3.5

4-1
1

1.0
1.3
2.1
3.5
7.0
3.5

201
4

1.0
1.4
2.1
3.4
7.3
3.5

4-0
9

1.0
1.3
2.1
3.5
7.2
3.5

201

-07

201
4-0

1.0
1.3
2.1
3.3
6.9
3.4

201
4

4-0
201

5

4-0

4-0
201

1.0
1.3
2.0
3.3
6.9
3.4

2

1.0
1.5
2.3
4.2
8.9
4.8

5-0
1

1.0
1.5
2.3
4.5
10.9
5.1

201

1

201
4-1

1.0
1.5
2.2
4.6
10.5
5.2

1.0
1.3
2.0
3.2
6.4
3.4

4-1
0

1.0
1.5
2.3
4.3
11.3
5.7

-10

201
4-1

9

201

8

1.1
1.5
2.3
4.2
10.8
5.8

4-0
201

1.1
1.5
2.3
4.2
11.0
5.6

8

201
4-0

6

1.0
1.5
2.3
4.2
10.5
5.1

201

Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean

4-0
7
201

1.0
1.5
2.3
4.3
11.2
5.2

6

201
4-0

4-0
5
201

1.0
1.5
2.2
4.2
10.6
5.1
4

Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean

201
4

-04

Including Interest Rate Derivatives (IRDs)

1.0
1.3
2.0
3.3
7.1
3.4

October 11, 2016

Risk and Examinations Office

Figure 6: 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.

19

2

3

6-0

201
6 -0

0.1
0.2
0.6
1.3
3.3
1.3

0.1
0.2
0.6
1.3
3.0
1.4

0.0
0.2
0.6
1.3
3.1
1.3

-03
-03

2
2

0.1
0.3
0.8
2.0
5.6
2.7

0.9
1.1
1.5
2.1
4.4
2.3

0.1
0.3
0.8
2.0
5.4
2.7

201

6-0

3

2

0.1
0.3
0.8
1.9
5.9
2.4

201
6

6-0
6-0

0.1
0.3
0.8
1.8
4.7
2.3

1.0
1.2
1.6
2.8
6.1
3.4

201
6

1
6-0

201
1

6-0

201

6-0

1

0.9
1.1
1.5
2.2
4.1
2.2

201

2

201
201

0.9
1.1
1.5
2.2
4.2
2.2

201

201
5-1
2

0.9
1.1
1.6
2.9
6.7
3.4

201
6-0

0.1
0.2
0.6
1.3
3.5
1.5

0.9
1.2
1.6
2.8
6.1
3.3

201
6-0
1

0.0
0.2
0.6
1.3
3.4
1.4

0.0
0.2
0.6
1.2
3.0
1.3

5-1

5-1
1

201
5-1
2

1

0.1
0.3
0.8
2.0
5.6
2.8

201

5-1

0.1
0.3
0.8
1.9
5.3
2.5

0.9
1.1
1.5
2.2
3.9
2.0

201

-10

201
5-1
1

0
5-1

1.0
1.1
1.5
2.2
4.1
2.2

201

201

1.0
1.1
1.5
2.3
4.1
2.2

201

1.0
1.2
1.6
2.5
5.2
2.9

5-1
0

5-0
9

1.0
1.2
1.7
2.7
6.0
3.4

201

9
5-0
201

8

1.0
1.2
1.7
2.7
5.9
3.4

0.1
0.3
0.8
1.8
4.3
2.4

201

8

0.1
0.2
0.6
1.2
3.0
1.3

201
5

201
9
5-0
201

8
5-0

1.0
1.1
1.4
2.1
3.9
2.1

5-0

0.1
0.3
0.8
1.9
5.1
2.4

5-0

7

5-0
8
201

5-0
7

201

5-0
7

1.0
1.2
1.6
2.6
5.3
3.3

201

5-0
-07

0.1
0.2
0.7
1.3
2.9
1.3

1.0
1.2
1.5
2.2
4.0
2.2

201

6
201
6
201
201
6
5-0

0.1
0.2
0.6
1.3
3.1
1.3

0.1
0.3
0.8
2.0
5.0
2.2

201
5

5-0

201

5

0.1
0.3
0.8
2.0
4.2
2.1

201

0.0
0.3
0.6
1.3
3.2
1.4

1.0
1.2
1.6
2.3
4.2
2.2

6
5-0

5

5-0
5-0

1.0
1.1
1.5
2.2
3.9
2.1

1.0
1.3
1.7
2.7
5.8
3.5

5-1
2

0.0
0.3
0.6
1.3
2.9
1.4

1.0
1.3
1.7
2.9
5.8
3.5

201
5-1
1

0.1
0.2
0.6
1.3
3.1
1.4

201
5-0
4

5-0
3

2

1

5-0

201

0.1
0.2
0.6
1.3
3.1
1.4

201

5-0
5
5-0
5
5-0
201

5-0

4

3
201

5-0

2

-01

5-0

201

201
201

5-0

0.1
0.2
0.6
1.2
2.8
1.4

201

4
5-0
201

201

5-0

3

2

-01

5-0

201

201

4-1
2

201
5
201
5

4-1
2

0.1
0.2
0.6
1.3
2.7
1.3

201

4-1
2

0.1
0.1
0.1
0.1
0.1
0.1
0.3
0.3
0.3
0.3
0.4
0.4
0.7
0.7
0.8
0.8
0.8
0.8
1.8
1.8
1.8
1.9
1.9
2.0
4.9
4.8
5.1
4.9
4.5
4.8
2.2
2.4
2.5
2.3
2.4
2.3
Short Exposure Excluding IRDs

1.0
1.2
1.6
2.8
4.9
3.1

201

4
5-0
201

201

3

2

5-0

5-0

201

-12

5-0
1

201

201

201
4
201

1.0
0.9
0.9
0.9
1.0
1.0
1.1
1.1
1.1
1.1
1.1
1.1
1.5
1.4
1.5
1.5
1.5
1.5
2.2
2.1
2.2
2.2
2.2
2.2
3.5
3.7
4.0
3.7
4.1
3.9
2.1
2.2
2.3
2.3
2.2
2.3
Short Exposure Including IRDs
201

-11

0.1
0.2
0.6
1.4
3.0
1.4

1.0
0.9
1.0
1.0
1.0
1.0
1.2
1.1
1.2
1.2
1.2
1.2
1.6
1.5
1.6
1.6
1.6
1.7
2.7
2.6
2.7
2.7
2.8
2.8
5.2
5.3
5.7
5.3
5.5
5.3
2.9
3.2
3.3
3.2
3.3
3.4
Long Exposure Excluding IRDs

201

4-1
1
4-1
1

0.1
0.4
0.8
1.9
5.4
2.3
4-1
1

4-1
0

-09

201
4
201

-10

0.1
0.2
0.6
1.3
3.0
1.4

1.0
1.1
1.5
2.3
4.0
2.2

201

-10
-10

0.1
0.4
0.7
2.0
5.3
2.3

1.0
1.2
1.6
2.8
5.9
3.1

201

201
201
4
201
4

4-0
9
4-0
9

0.1
0.2
0.6
1.3
3.3
1.5

0.9
1.1
1.5
2.3
3.9
2.2

201
4

201
201

0.1
0.4
0.8
1.9
5.8
2.6

1.0
1.2
1.6
2.8
5.7
3.1

201
5-1
0

0.1
0.3
0.6
1.3
3.1
1.4

1.0
1.1
1.5
2.2
4.2
2.2

201

4-0
8
4-0
8

0.1
0.4
0.8
1.9
5.6
2.6

4-0
9

201
4

-08
201
4
4-0
8
201

-07

0.1
0.3
0.6
1.3
3.1
1.4

1.0
1.1
1.5
2.2
4.2
2.2

201

-07

4-0
6

0.1
0.3
0.6
1.3
3.1
1.4

7

0.1
0.4
0.8
1.8
5.5
2.5

1.0
1.2
1.6
2.7
6.0
3.3

201

6

4-0
7
201

4-0
4-0
6
4-0
6

201
4

201

0.1
0.3
0.8
1.8
5.2
2.3

201
4-0

5
4-0

0.1
0.2
0.6
1.3
3.2
1.4

0.9
1.1
1.5
2.2
4.3
2.3

1.0
1.2
1.6
2.6
5.8
3.4

5-0
9

0.1
0.2
0.6
1.3
3.0
1.4

201

4-0
201

Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean

1.0
1.2
1.6
2.6
6.2
3.3

201
4

5

0.1
0.4
0.8
1.8
5.3
2.3

201

5
5
201

4-0

4-0
201

0.1
0.3
0.7
1.7
4.9
2.3
4

Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean

1.0
1.1
1.5
2.2
4.0
2.2

201

0.9
1.1
1.4
2.2
4.2
2.2

1.0
1.2
1.6
2.6
5.4
3.1

201

4-0
4-0

4-0
4-0
201

0.9
1.1
1.4
2.2
4.1
2.2

0.9
1.2
1.6
2.7
6.0
3.1

4

Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean

201

201

0.9
1.2
1.5
2.6
6.1
3.1
4

Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean

201

4

Long Exposure Including IRDs

0.0
0.2
0.6
1.4
3.3
1.4

October 11, 2016

B

Risk and Examinations Office

Industry Concentration
Table 22: Large Hedge Fund Adviser Asset and Exposure Concentration
(Percent of Total Reported)
As reported on Form PF, Questions 3(a) and 26.

Month
2014-04
2014-05
2014-06
2014-07
2014-08
2014-09
2014-10
2014-11
2014-12
2015-01
2015-02
2015-03
2015-04
2015-05
2015-06
2015-07
2015-08
2015-09
2015-10
2015-11
2015-12
2016-01
2016-02
2016-03

Top 10 Advisers (NAV)
17.7
17.7
17.7
16.9
16.9
16.9
20.6
20.6
20.6
17.3
17.2
17.2
17.5
17.5
17.5
17.0
17.0
17.0
17.1
17.1
17.2
17.6
17.4
17.5

Top 20 Advisers (NAV)
27.1
27.1
27.1
26.5
26.5
26.5
30.0
30.0
30.0
26.8
26.7
26.7
26.8
26.8
26.8
26.7
26.7
26.8
26.8
26.8
26.9
27.5
27.3
27.4

20

Top 10 Advisers (GNE)
40.7
41.7
40.3
40.6
41.7
40.9
41.6
42.1
41.1
40.0
40.1
37.9
37.8
39.0
37.2
39.4
40.1
39.9
40.6
41.5
37.0
39.5
41.6
38.7

Top 20 Advisers (GNE)
54.0
54.7
53.4
54.1
55.1
53.7
54.2
54.5
53.4
53.1
53.2
51.8
52.3
53.0
51.6
53.7
54.0
54.4
54.7
55.7
51.3
53.2
54.5
51.7

October 11, 2016

C

Risk and Examinations Office

Portfolio Turnover
Table 23: Aggregate Portfolio Turnover ($ Billions)
As reported on Form PF, Question 27.

Month
2014-04
2014-05
2014-06
2014-07
2014-08
2014-09
2014-10
2014-11
2014-12
2015-01
2015-02
2015-03
2015-04
2015-05
2015-06
2015-07
2015-08
2015-09
2015-10
2015-11
2015-12
2016-01
2016-02
2016-03

Futures
9,899
11,116
20,520
9,232
9,417
13,113
12,662
8,427
11,353
9,726
10,042
11,429
7,521
9,177
12,231
8,270
10,121
10,025
7,499
8,896
9,844
8,763
10,271
11,639

Sov. and muni. bonds
2,319
2,276
2,341
2,350
2,224
2,583
2,760
1,983
2,210
2,339
2,304
2,375
2,673
2,460
2,837
2,035
2,293
2,437
2,200
2,136
2,046
2,264
2,440
2,105

Listed equities
2,357
2,077
2,200
1,746
1,452
1,524
2,304
1,534
1,656
1,812
1,712
1,858
1,993
1,916
1,957
2,112
2,103
1,876
7,582
6,658
7,098
2,183
2,240
2,036

Corporate bonds
108
100
100
89
66
108
118
88
74
92
109
124
112
104
90
99
74
91
100
85
70
110
101
119

Convertible bonds
20
23
29
19
15
23
20
17
17
17
23
25
23
23
22
15
14
17
20
16
19
15
15
18

Total
14,704
15,591
25,191
13,436
13,174
17,351
17,864
12,049
15,310
13,987
14,191
15,810
12,321
13,679
17,136
12,531
14,605
14,446
17,402
17,791
19,077
13,335
15,067
15,916

Figure 7: 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.

21

0.0
0.2
0.6
2.3
10.6
7.5

0.0
0.2
0.5
2.3
12.7
7.6

-03

2
6-0

1
6-0

3
201
6

0.0
0.1
0.5
2.0
10.2
7.4

6-0

201

2
201

201

1

201
5-1
2

0.0
0.1
0.5
1.7
9.3
7.6

6-0

1

0.0
0.2
0.4
1.7
8.1
6.4

6-0

201

0.1
0.3
1.4
5.9
32.6
26.4

5-1

2

201

0.1
0.3
1.3
6.6
28.3
25.0

5-1
201

0.0
0.3
1.3
5.4
28.3
23.0

0.0
0.2
0.5
1.9
9.1
6.4

-11
201
5

0.1
0.3
1.2
4.8
30.9
24.8

201

0.1
0.3
1.1
4.7
21.3
23.1

5-1
0

5-0
9

0.0
0.2
0.5
2.2
9.7
6.3

201
5-1
0

0.0
0.2
0.6
2.2
11.0
6.6

-09

0.1
0.2
0.6
1.8
10.4
6.3

0.1
0.3
1.2
4.7
23.7
20.5

201

8

201
201
5

0.0
0.2
0.5
2.1
11.9
7.4

-08

0.0
0.1
0.5
1.8
9.3
6.2

5-0

5-0

-07

201

0.0
0.1
0.5
1.7
9.7
5.5

7

201
5

6

5

201
5

0.0
0.2
0.5
2.1
11.2
6.4

201

0.0
0.2
0.5
2.0
8.9
6.1

5-0

0.0
0.2
0.5
1.8
10.2
5.8

5-0

0.0
0.2
0.6
2.0
11.2
5.9

201

0.0
0.1
0.5
1.7
10.4
4.7

0.1
0.3
1.2
5.5
31.2
24.1

201
5-0
6

0.1
0.2
0.7
2.4
14.9
7.5

201

0.0
0.2
0.6
2.1
12.6
7.2

0.1
0.3
1.3
5.8
27.5
22.5

5-0
4

201

0.0
0.1
0.5
1.6
10.0
6.0

0.1
0.3
1.3
5.2
24.3
19.7

201
5-0
5

3

201
5

0.0
0.1
0.5
1.7
13.1
6.8

201
5-0
4

5-0

201

0.0
0.2
0.5
2.1
11.8
9.1

0.1
0.4
1.3
5.9
34.7
29.3

201

201
4-1
2

201

201
4-1
1

5-0
3

-10
201
4

201

201
4-0

1

8
201
4-0

0.0
0.1
0.5
1.7
11.3
7.0

5-0

7
4-0

0.0
0.1
0.5
1.8
12.1
7.2

4-0

-02

1

201
4-1
2

5-0

201
4-1
1

0.1
0.1
0.1
0.1
0.1
0.1
0.3
0.3
0.3
0.4
0.3
0.3
1.3
1.3
1.2
1.4
1.2
1.2
5.4
5.1
4.7
5.5
4.7
4.9
36.1 28.1 28.0 36.1 24.8 24.2
25.9 24.0 23.9 27.5 19.8 23.7
Total Turnover to NAV Ratio

6

201
5-0
2

-10
201
4

0.1
0.3
1.1
4.6
24.1
20.4

201

9

8

201
4-0

0.1
0.4
1.5
7.2
39.2
30.0

9

7

201
4-0

6

4-0

0.1
0.4
1.2
5.3
53.4
30.1

4-0

201

0.1
0.3
1.0
4.5
38.3
23.2

201

Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean

-05

201

0.1
0.3
1.1
4.7
38.1
22.9

-05

0.1
0.4
1.2
4.9
39.5
32.9

201
4

4

201
4

0.1
0.4
1.2
4.5
32.2
26.8

4

0.1
0.4
1.2
5.2
28.9
25.7

201
4-0

Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean

201
4-0

Total Turnover ($ Billions)

October 11, 2016

D

Risk and Examinations Office

Region and Country Exposure
Table 24: Large Hedge Fund Adviser Hedge Fund
Region Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.

Region
North America
Europe EEA
Asia
South America
Europe Other
Supranational
Middle East
Africa

2014Q2
3,840
1,354
687
90
86
42
12
26

2014Q3
4,007
1,298
636
100
84
41
13
25

2014Q4
3,954
1,129
612
92
71
39
14
20

2015Q1
3,969
1,234
605
86
73
41
17
24

2015Q2
3,965
1,197
611
91
73
34
16
19

2015Q3
3,845
1,170
573
95
69
34
18
22

2015Q4
3,767
1,095
578
90
66
33
23
21

2016Q1
3,876
1,218
623
101
61
30
22
21

Table 25: Large Hedge Fund Adviser Hedge Fund
Region Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.

Region
North America
Europe EEA
Asia
South America
Europe Other
Supranational
Middle East
Africa

2014Q2
134.3
47.4
24.0
3.1
3.0
1.5
0.4
0.9

2014Q3
139.3
45.1
22.1
3.5
2.9
1.4
0.5
0.9

2014Q4
129.9
37.1
20.1
3.0
2.3
1.3
0.5
0.7

2015Q1
131.6
40.9
20.0
2.9
2.4
1.4
0.6
0.8

22

2015Q2
130.5
39.4
20.1
3.0
2.4
1.1
0.5
0.6

2015Q3
132.1
40.2
19.7
3.2
2.4
1.2
0.6
0.8

2015Q4
129.0
37.5
19.8
3.1
2.3
1.1
0.8
0.7

2016Q1
134.1
42.1
21.5
3.5
2.1
1.0
0.8
0.7

October 11, 2016

Risk and Examinations Office

Table 26: Large Hedge Fund Adviser Hedge Fund
Country Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.

Country
United States
Japan
China (Inc. Hong Kong)
Brazil
India
Russia

2014Q2
3,635
266
202
43
27
17

2014Q3
3,805
247
135
39
25
16

2014Q4
3,757
237
142
41
27
10

2015Q1
3,762
230
149
41
33
9

2015Q2
3,786
254
161
39
33
9

2015Q3
3,658
249
137
45
31
7

2015Q4
3,597
259
145
41
30
8

2016Q1
3,635
291
140
42
29
11

2015Q4
123.2
8.9
5.0
1.4
1.0
0.3

2016Q1
125.7
10.1
4.8
1.4
1.0
0.4

Table 27: Large Hedge Fund Adviser Hedge Fund
Country Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.

Country
United States
Japan
China (Inc. Hong Kong)
Brazil
India
Russia

2014Q2
127.1
9.3
7.1
1.5
0.9
0.6

2014Q3
132.3
8.6
4.7
1.4
0.9
0.6

2014Q4
123.4
7.8
4.7
1.3
0.9
0.3

23

2015Q1
124.7
7.6
5.0
1.4
1.1
0.3

2015Q2
124.6
8.3
5.3
1.3
1.1
0.3

2015Q3
125.7
8.5
4.7
1.5
1.1
0.2

October 11, 2016

VIII
A

Risk and Examinations Office

Qualifying Hedge Fund Specific Information

Gross Exposure by Strategy5
Table 28: Exposures of Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 20.
Category

Equity

Other

Relative Value

Macro

Event Driven

Credit

Managed Futures/CTA
Investment in other funds
Total

Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Corp.
F.I. Conv. Arb.
Volatility Arb.
Subtotal
Global Macro
Currency
Commodity
Active Trading
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Total

2014Q2
1,453
909
263
275
5
712
689
433
128
59
48
21
438
306
53
79
1
412
192
140
80
299
273
25
67
***
***
49
4,119

2014Q3
1,464
912
250
297
5
735
779
524
133
54
48
19
414
308
54
51
0
432
186
146
100
291
264
27
82
***
***
52
4,248

2014Q4
1,508
924
270
309
5
750
717
470
128
51
49
19
438
330
48
59
1
403
178
138
88
299
272
27
90
***
***
49
4,254

2015Q1
1,609
983
265
***
***
764
841
578
139
53
50
21
476
380
48
47
1
417
185
150
82
291
261
29
96
***
***
50
4,544

2015Q2
1,646
1,005
285
349
7
755
787
524
144
49
48
23
515
440
32
43
1
430
182
151
97
302
270
33
91
***
***
49
4,576

2015Q3
1,558
936
268
348
6
745
783
536
139
45
39
24
559
485
33
38
2
386
179
126
81
286
251
35
94
***
***
48
4,459

2015Q4
1,528
926
278
317
6
735
722
491
129
41
38
23
546
474
34
36
2
377
173
111
93
279
249
30
98
***
***
45
4,330

2016Q1
1,407
867
268
266
5
811
785
548
127
45
38
28
559
486
***
35
***
361
172
97
92
357
316
41
106
***
***
40
4,426

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.

24

October 11, 2016

Risk and Examinations Office

Table 29: Exposures of Hedge Funds (Percent of NAV)
As reported on Form PF, Questions 9 and 20.
Category

Equity

Other

Relative Value

Macro

Event Driven

Credit

Managed Futures/CTA
Investment in other funds
Total

Strategy
Subtotal
Long/Short
Long Bias
Market Neutral
Short Bias
Subtotal
Subtotal
F.I. Sov.
F.I. Asset Backed
F.I. Corp.
F.I. Conv. Arb.
Volatility Arb.
Subtotal
Global Macro
Currency
Commodity
Active Trading
Subtotal
Distressed/Restruct.
Equity
Risk Arb./Merger Arb.
Subtotal
Long/Short
Asset Based Lending
Subtotal
Quantitative
Fundamental
Subtotal
Total

2014Q2
52.6
33.0
9.5
10.0
0.2
25.8
25.0
15.7
4.6
2.1
1.8
0.8
15.9
11.1
1.9
2.9
0.0
14.9
7.0
5.1
2.9
10.8
9.9
0.9
2.4
***
***
1.8
149.3

2014Q3
52.5
32.7
9.0
10.6
0.2
26.4
27.9
18.8
4.8
1.9
1.7
0.7
14.8
11.0
1.9
1.8
0.0
15.5
6.7
5.2
3.6
10.4
9.5
1.0
2.9
***
***
1.9
152.4

25

2014Q4
53.9
33.0
9.6
11.1
0.2
26.8
25.6
16.8
4.6
1.8
1.7
0.7
15.7
11.8
1.7
2.1
0.0
14.4
6.3
4.9
3.1
10.7
9.7
1.0
3.2
***
***
1.8
152.1

2015Q1
53.7
32.8
8.8
***
***
25.5
28.1
19.3
4.6
1.8
1.7
0.7
15.9
12.7
1.6
1.6
0.0
13.9
6.2
5.0
2.7
9.7
8.7
1.0
3.2
***
***
1.7
151.7

2015Q2
55.6
33.9
9.6
11.8
0.2
25.5
26.6
17.7
4.8
1.7
1.6
0.8
17.4
14.9
1.1
1.4
0.0
14.5
6.1
5.1
3.3
10.2
9.1
1.1
3.1
***
***
1.7
154.5

2015Q3
54.4
32.6
9.4
12.1
0.2
26.0
27.3
18.7
4.8
1.6
1.4
0.8
19.5
16.9
1.2
1.3
0.1
13.5
6.3
4.4
2.8
10.0
8.8
1.2
3.3
***
***
1.7
155.6

2015Q4
53.9
32.7
9.8
11.2
0.2
25.9
25.5
17.3
4.6
1.4
1.3
0.8
19.2
16.7
1.2
1.3
0.1
13.3
6.1
3.9
3.3
9.8
8.8
1.1
3.5
***
***
1.6
152.7

2016Q1
51.0
31.4
9.7
9.6
0.2
29.4
28.5
19.8
4.6
1.6
1.4
1.0
20.3
17.6
***
1.3
***
13.1
6.2
3.5
3.3
12.9
11.5
1.5
3.8
***
***
1.4
160.4

October 11, 2016

B

Risk and Examinations Office

Liquidity
Table 30: 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

2014Q2
7.8
11.0
24.3
44.2
58.4
75.6

2014Q3
6.4
10.3
24.1
45.9
62.1
75.7

2014Q4
7.6
11.4
25.9
49.7
59.0
75.5

2015Q1
6.9
13.0
27.3
46.7
60.5
75.3

2015Q2
7.1
13.3
26.0
45.8
60.1
74.8

2015Q3
7.1
13.5
26.5
46.8
62.6
74.7

2015Q4
7.1
13.3
25.4
45.3
58.3
72.8

2016Q1
7.7
14.0
27.4
47.0
60.4
75.3

Table 31: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 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

2014Q2
29.7
57.9
75.1
82.8
86.7
90.4

2014Q3
29.6
57.8
75.1
83.3
87.5
90.9

2014Q4
29.1
56.6
74.3
83.3
87.5
90.8

2015Q1
30.1
58.0
74.9
83.5
87.4
90.9

2015Q2
30.1
57.9
74.3
82.9
86.8
90.5

2015Q3
31.1
58.3
74.0
82.5
86.4
90.2

2015Q4
30.0
57.5
73.2
81.1
85.2
88.9

2016Q1
31.2
59.3
74.3
81.6
85.5
89.5

Figure 8: Asset Weighted-Average Qualifying Hedge Fund
Investor and Portfolio Liquidity Reported on Form PF as of First Calendar Quarter 2016
As reported on Form PF, Questions 9, 32, and 50.

Statistic
Port Liquidity
Inv Liquidity

At most 1 day
31.2
7.7

At most 7 days
59.3
14.0

At most 30 days
74.3
27.4

At most 90 days
81.6
47.0

At most 180 days
85.5
60.4

At most 365 days
89.5
75.3

Table 32: 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

2014Q2
2,105
1,365
42
32
9

2014Q3
2,136
1,395
39
30
8

2014Q4
2,140
1,406
39
41
13

2015Q1
2,320
1,476
37
43
12

26

2015Q2
2,343
1,475
38
41
12

2015Q3
2,238
1,402
35
38
12

2015Q4
2,200
1,377
37
38
14

2016Q1
2,122
1,295
38
34
14

October 11, 2016

Risk and Examinations Office

Figure 9: Distribution of NAV in Side-Pocket
As reported on Form PF, Questions 9 and 48.

Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean

C

2014Q2
2.0%
2.0%
5.0%
14.0%
32.0%
13.4%

2014Q3
1.0%
2.0%
5.0%
14.3%
27.0%
11.5%

2014Q4
1.0%
2.0%
6.0%
15.0%
33.0%
12.5%

2015Q1
1.0%
2.0%
5.0%
15.0%
29.0%
11.6%

2015Q2
1.0%
2.0%
6.0%
15.0%
29.0%
12.2%

2015Q3
1.0%
2.0%
6.5%
16.0%
26.0%
12.5%

2015Q4
1.0%
2.0%
6.0%
17.5%
27.0%
13.0%

2016Q1
1.0%
2.0%
6.0%
16.2%
28.0%
12.9%

Borrowings
Table 33: Borrowings of Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Question 43 (Third Month).

Type
Secured
Unsecured
Total

D

Subtype
Subtotal
Prime Broker
Reverse Repo
Other Secured
Subtotal
Total

2014Q2
1,807
990
547
270
11
1,818

2014Q3
1,898
1,025
586
287
11
1,910

2014Q4
1,874
1,039
555
280
9
1,883

2015Q1
2,014
1,078
660
276
8
2,022

2015Q2
2,036
1,132
649
255
11
2,047

2015Q3
2,019
1,052
717
250
11
2,030

2015Q4
1,894
1,025
604
266
10
1,904

Central Clearing
Figure 10: Qualifying Hedge Funds Using Central Clearing
As reported on Form PF, Question 39.

Statistic
Percent of Funds
Percent of NAV

2014Q2
21.5
21.0

2014Q3
20.3
20.0

2014Q4
20.3
19.3

2015Q1
19.7
18.8

27

2015Q2
20.0
20.2

2015Q3
18.3
19.5

2015Q4
17.9
18.6

2016Q1
18.1
18.3

2016Q1
1,942
977
696
269
10
1,952

October 11, 2016

IX
A

Risk and Examinations Office

Section 3 Liquidity Fund Specific Information
Liquidity
Table 34: 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

2014Q2
68.7
90.6
99.2
100.0
100.0
100.0

2014Q3
70.8
91.4
99.3
100.0
100.0
100.0

2014Q4
71.9
91.4
99.3
100.0
100.0
100.0

2015Q1
73.2
92.0
99.4
100.0
100.0
100.0

2015Q2
73.8
92.1
99.4
100.0
100.0
100.0

2015Q3
74.1
92.3
99.4
100.0
100.0
100.0

2015Q4
74.4
92.2
99.4
100.0
100.0
100.0

2016Q1
81.2
96.0
99.7
100.0
100.0
100.0

Table 35: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions)
As reported on Form PF, Question 63.

Type
May Suspend
May Have Gates
Suspended
Gated

2014Q2
243
214
0
0

2014Q3
265
234
0
0

2014Q4
255
223
0
0

2015Q1
268
233
0
0

28

2015Q2
248
215
0
0

2015Q3
252
222
0
0

2015Q4
268
235
0
0

2016Q1
232
200
0
0

October 11, 2016

B

Risk and Examinations Office

Rule 2a-7 Compliance
Table 36: Rule 2a-7 Compliance (Percent of Funds)
As reported on Form PF, Questions 9 and 54.

Compliance Type
Credit Quality
Diversification
Maturity
Liquidity
Fully
None

2014Q2
63.6
61.4
61.4
61.4
56.8
34.1

2014Q3
65.9
63.6
63.6
63.6
56.8
31.8

2014Q4
60.0
57.8
57.8
57.8
51.1
37.8

2015Q1
61.9
59.5
59.5
59.5
54.8
35.7

2015Q2
61.9
59.5
59.5
59.5
54.8
35.7

2015Q3
60.0
57.5
57.5
57.5
52.5
37.5

2015Q4
63.4
61.0
61.0
61.0
56.1
34.1

2016Q1
61.1
58.3
58.3
52.8
47.2
36.1

Table 37: Rule 2a-7 Compliance (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 54.

Compliance Type
Credit Quality
Diversification
Maturity
Liquidity
Fully
None

C

2014Q2
27.6
27.5
27.0
27.0
26.2
72.3

2014Q3
24.9
24.9
24.5
24.5
23.8
74.9

2014Q4
24.7
24.7
24.3
24.3
23.8
75.2

2015Q1
23.8
23.8
23.4
23.4
22.9
76.1

2015Q2
23.6
23.6
23.5
23.5
22.7
76.2

2015Q3
21.8
21.8
21.5
21.5
20.8
78.1

2015Q4
22.4
22.4
22.3
22.3
21.5
77.4

2016Q1
16.2
16.2
16.0
10.8
10.0
83.6

Methods of Calculating NAV
Table 38: NAV Calculation Method (Percent of Funds)
As reported on Form PF, Questions 9, 52, and 53.

Type
Stable
Floating

2014Q2
***
***

2014Q3
***
***

2014Q4
84.4
15.6

2015Q1
***
***

2015Q2
***
***

2015Q3
***
***

2015Q4
***
***

2016Q1
***
***

Table 39: NAV Calculation Method (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 52, and 53.

Type
Stable
Floating

2014Q2
***
***

2014Q3
***
***

2014Q4
71.9
28.1

2015Q1
***
***

29

2015Q2
***
***

2015Q3
***
***

2015Q4
***
***

2016Q1
***
***

October 11, 2016

Risk and Examinations Office

X

Section 4 Private Equity Fund Specific Information

A

CPC Industry Concentration
Table 40: Gross Assets in CPC Industries (Percent of Total)
As reported on Form PF, Questions 8 and 77.

Type
Oil & Gas Extraction
Software Publishers
Electric Power Generation, Transmission & Distribution
Telecommunications Data Processing Services
Pipeline Transportation
Other Information Services
Other Financial Investment Activities
Data Processing, Hosting, & Related Services
Limited-Service Eating Places
Custom Computer Programming Services
Pharmaceutical & Medicine Mfg
Activities Related to Credit Intermediation
Educational Services
Support Activities for Mining
Electronic Shopping & Mail-Order Houses
Management, Scientific, & Technical Consulting Services

30

2013Q4
7.5
3.0
4.0
2.6
2.3
2.1
1.9
3.7
1.0
0.9
0.9
1.4
1.1
1.2
0.8
1.0

2014Q4
7.5
3.8
3.6
2.3
2.4
2.1
1.7
2.2
1.3
0.9
1.2
1.2
1.0
1.5
1.5
1.1

2015Q4
5.8
4.7
3.7
2.6
2.2
1.9
1.7
1.7
1.7
1.4
1.4
1.3
1.2
1.2
1.1
1.0

October 11, 2016

B

Risk and Examinations Office

CPC Financial Leverage
Figure 11: Ratio of Portfolio Company Current to Total Liabilities (Percent)
As reported on Form PF, Questions 71 and 72.

Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean

2013Q4
0.7
1.8
5.8
20.0
49.4
17.2

2014Q4
0.6
1.4
5.4
18.1
51.0
16.4

2015Q4
0.7
1.7
6.0
20.0
50.0
16.8

Figure 12: CPC Payment-in-Kind Borrowings to Total Borrowings (Percent)
As reported on Form PF, Questions 73.

Statistic
10th Percentile
25th Percentile
Median
75th Percentile
90th Percentile
Mean

2013Q4
1.0
4.0
9.0
18.0
33.0
14.8

31

2014Q4
2.0
3.0
9.0
23.0
40.0
17.0

2015Q4
2.0
4.0
9.0
22.0
48.0
18.3

October 11, 2016

C

Risk and Examinations Office

CPC Investments by Region and Country
Table 41: Aggregate Gross Value of Private Equity
Investments by Region ($ Billions)
As reported on Form PF, Questions 70 and 78.

Region
North America
Europe EEA
Asia
South America
Supranational
Europe Other
Africa
Middle East

2013Q4
5,274
1,423
571
75
65
25
20
8

2014Q4
4,501
1,259
462
85
67
9
12
12

2015Q4
4,132
941
447
58
23
21
12
9

Table 42: Private Equity CPC Investments by Region
(Percent of Aggregate CPC Gross Asset Value)
As reported on Form PF, Questions 70 and 78.

Region
North America
Europe EEA
Asia
South America
Supranational
Europe Other
Africa
Middle East

2013Q4
70.7
19.1
7.6
1.0
0.9
0.3
0.3
0.1

32

2014Q4
70.2
19.6
7.2
1.3
1.0
0.1
0.2
0.2

2015Q4
73.2
16.7
7.9
1.0
0.4
0.4
0.2
0.2

October 11, 2016

Risk and Examinations Office

Table 43: Aggregate Gross Asset Value of Private Equity
CPC Investments by Country ($ Billions)
As reported on Form PF, Questions 70 and 78.

Country
United States
China and Hong Kong
India
Japan
Brazil
Russia

2013Q4
5,035
171
63
233
45
3

2014Q4
4,300
186
83
98
58
2

2015Q4
3,943
173
89
85
41
5

Table 44: Private Equity CPC Investments by Country
(Percent of Aggregate CPC Gross Asset Value)
As reported on Form PF, Questions 70 and 78.

Country
United States
China and Hong Kong
India
Japan
Brazil
Russia

2013Q4
67.5
2.3
0.8
3.1
0.6
0.0

33

2014Q4
67.1
2.9
1.3
1.5
0.9
0.0

2015Q4
69.9
3.1
1.6
1.5
0.7
0.1

October 11, 2016

XI
A

Risk and Examinations Office

Appendices
Form PF Filer Categories

The amount of information an adviser must report and the frequency with which it must report
on Form PF depends on the amount of the adviser’s private fund assets and the types of private
funds managed. Reporting advisers must identify the types of private funds they manage on Form
PF.
1

All Private Fund Advisers

SEC-registered investment advisers with at least $150 million in private fund assets under
management are required to file Form PF. Registered investment advisers with less than $150 million
in private funds assets under management, exempt reporting advisers, and state-registered advisers
report general private fund data on Form ADV, but do not file Form PF.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.

34

October 11, 2016

3

Risk and Examinations Office

Large Liquidity Fund Advisers

Large Liquidity Fund Advisers have at least $1 billion in combined liquidity fund and money
market fund assets under management. On a quarterly basis, such advisers report on Form PF data
about the liquidity funds they managed during the reporting period (irrespective of the size of the
fund). This report contains information about all liquidity funds reported by Large Liquidity Fund
Advisers (referred to in this report as “Section 3 Liquidity Funds”).
4

Large Private Equity Fund Advisers

Large Private Equity Fund Advisers have at least a $2 billion in private equity fund assets
under management. These advisers are required to file Form PF annually in connection with the
private equity funds they managed during the reporting period. Smaller Private Equity Fund
Advisers must file annually as well, but provide less detail regarding the private equity funds they
manage. This report provides information about private equity funds managed by Large Private
Equity Fund Advisers (referred to in this report as “Section 4 Private Equity Funds”).
5

Other Private Fund Advisers

All advisers required to file Form PF that are not Large Hedge Fund Advisers or Large
Liquidity Fund Advisers must file Form PF annually to report data about each private fund
managed by the adviser.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.

35

October 11, 2016

B

Risk and Examinations Office

Handling Annual and Quarterly Data

Only a subset of filers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are
required to file Form PF quarterly; all other filings are made annually. Annual filings are typically,
but not always, made at the end of the calendar year, as Form PF allows filings to be made at the
end of an adviser’s fiscal year. In order to present the most complete and recent data possible, while
accounting for differences in filing dates, we use the following procedure for determining which data
to consider in any given quarter:
First, filings are grouped by their report date within their reported year:
• (Q1): February 15 to May 14
• (Q2): May 15 to August 14
• (Q3): August 15 to November 14
• (Q4): November 15 to February 14
Then, responses for funds that have no information are ‘filled forward’ — essentially, copied
from last reported values — up to a maximum of three quarters. Any fund that has no data four
quarters after its most recent date is no longer counted or included in any calculations.10

C

Mitigating the Effects of Outliers

Form PF data occasionally contains spurious outliers. While REO staff actively engages in
outreach to identify and correct such values, not all aberrant values have been corrected as of this
writing. To reduce the effect of these outliers on the aggregate measures reported here, we have
chosen to winsorize or trim some data sets.
Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest
and smallest values in a distribution.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.

36

October 11, 2016

D

Risk and Examinations Office

Definitions
Included by reference are all definitions included in the glossary of Form PF.

Aggregate Exposure

A dollar value for long and short positions as of the last day in each
month of the reporting period, by sub-asset class, including all exposure
whether held physically, synthetically or through derivatives. Includes
closed out and OTC forward positions that have not expired, as well as
positions in side-pockets.

Borrowing

In Form PF, borrowings include secured borrowings, unsecured borrowings, as well as synthetic borrowings (e.g., total return swaps that meet
the failed sale accounting requirements).

CPC

Controlled portfolio company, as defined in Form PF.

Gross Notional Exposure (GNE)

The gross nominal or notional value of all transactions that have been
entered into but not yet settled as of the data reporting date. For
contracts with variable nominal or notional principal amounts, the basis
for reporting is the nominal or notional principal amounts as of the data
reporting date.

Hedge Fund

Any private fund (other than a securitized asset fund): (a) with respect
to which one or more investment advisers (or related persons of investment advisers) may be paid a performance fee or allocation calculated
by taking into account unrealized gains (other than a fee or allocation
the calculation of which may take into account unrealized gains solely
for the purpose of reducing such fee or allocation to reflect net unrealized losses); (b) that may borrow an amount in excess of one-half of
its net asset value (including any committed capital) or may have gross
notional exposure in excess of twice its net asset value (including any
committed capital); or (c) that may sell securities or other assets short
or enter into similar transactions (other than for the purpose of hedging currency exposure or managing duration). The definition of a hedge
fund for Form PF purposes also includes any commodity pool an adviser
reports on Form PF.

IRDs

Interest rate derivatives, including foreign exchange derivatives used for
either investment or hedging.

Large Hedge Fund Adviser

An adviser that has at least $1.5 billion in hedge fund assets under
management.

37

October 11, 2016

Risk and Examinations Office

Large Liquidity Fund Adviser

An adviser that has at least $1 billion in combined liquidity fund and
money market fund assets under management.

Large Private Equity Fund Adviser

An adviser that has at least a $2 billion in private equity fund assets
under management.

Parallel Managed Account

An account advised by an adviser that pursues substantially the same investment objective and strategy and invests side by side in substantially
the same positions as the reporting fund.

Qualifying Hedge Fund

A hedge fund advised by a Large Hedge Fund Adviser that has a net asset
value (individually or in combination with any feeder funds, parallel
funds, and/or dependent parallel managed accounts) of at least $500
million as of the last day of any month in the fiscal quarter immediately
preceding the adviser’s most recently completed fiscal quarter.

Section 3 Liquidity Fund

A liquidity fund advised by a Large Liquidity Fund Adviser.

Section 4 Private Equity Fund

A private equity fund advised by a Large Private Equity Fund Adviser.

Value

For derivatives (other than options), “value” means gross notional value;
for options, “value” means delta adjusted notional value; for all other
investments and for all borrowings where the reporting fund is the creditor, “value” means market value or, where there is not a readily available
market value, fair value; for borrowings where the reporting fund is the
debtor, “value” means the value you report internally and to current
and prospective investors.

38

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Source: Frix Law Library, https://www.frixlaw.com/law-library/documents/agency%3Asec%3Adb47a9089d500341. Public record. Not legal advice.