U.S. Securities and Exchange Commission 

Annual Staff Report Relating to the Use of Form PF Data

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

The Commission has expressed no view regarding

the analysis, findings, or conclusions contained herein. 

December 3, 2021 
1

Executive Summary

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

and test with evidence assertions about private fund activity. 

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

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

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

their market activities and risks.

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

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

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

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

identify areas of inquiry.

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

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

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

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

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

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

interest, subject to protections designed to maintain data security.
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I. Introduction

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

approximately $11.7 trillion in reported net assets as of the first quarter of 20211 plays an active and 

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

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

fund advisers. As the primary U.S. regulator of advisers to private funds,

2 the Commission depends on 

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

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

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

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

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

funds. 

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

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

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

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

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

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

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

analysis, findings, or conclusions contained herein.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

private liquidity funds) (the “Money Market Fund Reform Release”). 

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

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

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

Relating to the Use of Form PF Data, https://www.sec.gov/reports.
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II. Overview of Form PF and Form PF Data Management at the Commission

Overview of Form PF

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

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

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

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

data on which the Commission would otherwise rely.

7 The data set that is generated from information 

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

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

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

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

Form PF in consultation with FSOC.9

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

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

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

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

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

detailed information on particular hedge funds and liquidity funds.

How the Commission Secures and Manages Form PF Data

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

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

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

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

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

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

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

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

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

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

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

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

Stat. 1376 (the “Dodd-Frank Act”).

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

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

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

8 See note 6, supra.

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

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

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

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

supra footnote 2, at Section II.E

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

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

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

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

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

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

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

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

Efforts to Improve the Quality of Form PF Data

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

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

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

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

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

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

12

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

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

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

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

appropriately filed.

13

Analytical Tools Using Form PF Data

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

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

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

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

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

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

performance, investment exposures, and liquidity;

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

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

 12 The Form PF Frequently Asked Questions (“PF FAQs”), 

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

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

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

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

https://www.sec.gov/divisions/investment/iard/iardhelp.shtml. See also Division of Investment 

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

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

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

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

Fund Advisers for Repeated Filing Failures, Press Release June 1, 2018, at https://www.sec.gov/news/pressrelease/2018-100.
5

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

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

and the private fund industry; and

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

advisers.

III. How the Commission Uses Form PF Data

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

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

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

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

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

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

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

Commission staff uses Form PF data.

Informing Commission Policy

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

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

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

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

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

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

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

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

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

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

markets, and facilitate capital formation.

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

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

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

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

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

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

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

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

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

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

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

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

15

 

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

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

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

Appendix and Section III.B, infra.
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Assess Effects of Market and Geopolitical Events. Staff analyzes Form PF data to determine how 

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

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

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

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

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

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

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

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

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

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

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

loans and collateralized loan obligations.

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

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

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

recommend that the Commission propose amendments to Form PF.

17 

Informing the Public about the Private Fund Industry

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

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

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

advisers. Following are two examples.

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

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

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

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

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

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

 16 See, e.g., FINRA, Alternative Funds Are Not Your Typical Mutual Funds, 

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

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

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

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

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

Management and Budget Agency Rule List – Spring 2021, 

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

Nov. 10, 2021).

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

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

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

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

Statistics, Press Release (May 3, 2017), https://www.sec.gov/news/press-release/2017-92.
7

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

published. The Appendix contains the most recent report.20

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

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

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

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

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

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

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

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

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

to assist investors with investment decisions.

22

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

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

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

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

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

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

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

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

21 See Division of Investment Management, Money Market Fund Statistics, 

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

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

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

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

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

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

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

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

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

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

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

26, 2015), https://www.forbes.com/sites/judygross/2015/10/26/sec-releases-data-on-private-funds-bigpicture-of-us-private-fund-industry-emerges/#6b77bbb393e5.
8

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

compare them to registered money market funds.24 

Assisting the Examinations and Enforcement Programs25

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

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

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

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

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

compliance risks.

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

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

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

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

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

reporting periods.

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

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

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

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

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

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

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

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

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

most recently filed Form PF and Form ADV data. 

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

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

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

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

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

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

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

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

Form PF in quarterly filings from 2013 to 2017.

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

Risk Indicators (Jan. 27, 2017), https://www.sec.gov/dera/staff-papers/whitepapers/27jan17_hiltgen_private-liquidity-funds.html. The observations of the white paper indicate that, 

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

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

consistent with those limits during the period studied.

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

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

Section 210(b).
9

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

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

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

Coordination and Consultation with Other Financial Regulators

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

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

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

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

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

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

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

agreements with OFR.

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

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

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

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

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

of asset management products and activities.

26 Commission staff from time to time also may provide certain 

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

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

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

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

of private fund advisers.

IV. Conclusion

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

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

regulators and international organizations.

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

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

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

alternative funds.
A-1

Appendix

(Private Funds Statistics, First Calendar Quarter 2021)
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”.

1Only 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.

2The 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 Number of Funds and Advisers 4

II Gross and Net Assets 5

A Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . . 5

B Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8

C Fair Value Hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10

D Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11

III Fund Domiciles and Adviser Main Offices 13

IV Beneficial Ownership 15

A All Private Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15

B Qualifying Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16

C Section 3 Liquidity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17

D Section 4 Private Equity Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18

E Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19

V Derivatives 20

VI Additional Hedge Fund Industry Information 21

A High Frequency Trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21

B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22

C Single-Strategy US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . 24

D Single-Strategy Non-US-Domiciled Hedge Funds . . . . . . . . . . . . . . . . . . . . . 26

VII Information Reported by Large Hedge Fund Advisers 28

A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28

B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30

C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31

D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32

VIII Qualifying Hedge Fund Specific Information 34

A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34

B Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36

C Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38

D Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39

E Number of Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41

F Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42

G Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44

H Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47

I Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48

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J Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49

K Stress Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50

IX Section 3 Liquidity Fund Specific Information 52

A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52

B Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52

C Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55

D Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55

E Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56

X Section 4 Private Equity Fund Specific Information 57

A CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57

B CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58

C CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . 59

XI Appendices 61

A Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61

1 All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61

2 Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61

3 Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . 62

4 Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . 62

5 Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62

B Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . . 63

C How to Read a Boxplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63

D Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64

E Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65

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I 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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Private Equity Fund 13,035 13,043 14,347 14,481 14,493 14,490 15,623 15,712

Hedge Fund 9,484 9,494 9,296 9,369 9,401 9,462 9,355 9,457

Other Private Fund 4,714 4,701 4,965 4,967 4,972 4,960 5,358 5,374

Section 4 Private Equity Fund 3,932 3,932 4,394 4,405 4,405 4,408 5,266 5,291

Real Estate Fund 2,851 2,839 3,118 3,119 3,115 3,116 3,288 3,291

Qualifying Hedge Fund 1,772 1,790 1,808 1,812 1,800 1,766 1,779 1,845

Securitized Asset Fund 1,577 1,579 1,719 1,721 1,721 1,726 1,837 1,842

Venture Capital Fund 971 969 1,156 1,158 1,155 1,150 1,413 1,413

Liquidity Fund 71 71 64 63 66 68 71 72

Section 3 Liquidity Fund 43 41 42 40 44 46 52 53

Total 32,703 32,696 34,665 34,878 34,923 34,972 36,945 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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Private Equity Fund 1,267 1,269 1,357 1,361 1,363 1,366 1,443 1,449

Hedge Fund 1,740 1,733 1,733 1,730 1,726 1,727 1,756 1,756

Other Private Fund 627 624 646 642 643 641 684 686

Section 4 Private Equity Fund 307 307 323 325 325 326 365 366

Real Estate Fund 350 349 375 375 372 373 387 387

Qualifying Hedge Fund 535 546 552 541 538 528 543 565

Securitized Asset Fund 154 154 161 160 160 161 161 161

Venture Capital Fund 134 133 153 154 153 152 176 175

Liquidity Fund 38 38 35 35 36 37 36 36

Section 3 Liquidity Fund 21 20 21 20 21 22 23 23

Total 3,159 3,152 3,236 3,237 3,237 3,234 3,366 3,371

3

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

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

terms used in this report.

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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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Hedge Fund 8,196 8,034 8,113 7,680 7,707 8,124 8,689 8,795

Qualifying Hedge Fund 6,690 6,588 6,647 6,260 6,334 6,744 7,014 7,111

Private Equity Fund 3,260 3,259 3,736 3,811 3,809 3,811 4,713 4,821

Section 4 Private Equity Fund 2,364 2,364 2,743 2,795 2,795 2,796 3,587 3,666

Other Private Fund 1,234 1,248 1,396 1,367 1,382 1,391 1,475 1,494

Real Estate Fund 575 575 662 666 666 666 811 810

Securitized Asset Fund 575 576 649 647 647 649 701 703

Liquidity Fund 289 295 289 295 301 322 318 306

Section 3 Liquidity Fund 285 288 284 288 297 319 315 304

Venture Capital Fund 112 112 144 144 145 150 225 222

Total 14,240 14,099 14,989 14,609 14,656 15,112 16,932 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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Hedge Fund 4,073 4,046 4,116 3,763 4,072 4,279 4,641 4,793

Qualifying Hedge Fund 3,161 3,169 3,219 2,900 3,195 3,380 3,552 3,719

Private Equity Fund 2,896 2,895 3,305 3,374 3,373 3,374 4,160 4,263

Section 4 Private Equity Fund 2,116 2,116 2,442 2,493 2,493 2,493 3,203 3,275

Other Private Fund 1,092 1,107 1,232 1,203 1,215 1,229 1,299 1,317

Real Estate Fund 448 448 504 507 507 507 615 613

Securitized Asset Fund 172 172 205 202 202 204 213 210

Liquidity Fund 286 293 287 291 295 315 313 296

Section 3 Liquidity Fund 283 286 281 284 292 312 311 293

Venture Capital Fund 98 99 137 138 138 144 217 215

Total 9,066 9,060 9,785 9,478 9,803 10,051 11,457 11,707

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Figure 1: GAV and NAV Distributions

See Appendix C for an explanation of boxplots.

As reported on Form PF, Questions 8 and 9.

2019Q22019Q32019Q42020Q12020Q22020Q32020Q42021Q1

0

2

4

6

8

GAV ($Billions)

(a) Qualifying Hedge Fund GAV

2019Q22019Q32019Q42020Q12020Q22020Q32020Q42021Q1

0

2

4

6

8

NAV ($Billions)

(b) Qualifying Hedge Fund NAV

2019Q22019Q32019Q42020Q12020Q22020Q32020Q42021Q1

0

500

1000

1500

GAV ($Millions)

(c) Section 4 Private Equity Fund GAV

2019Q22019Q32019Q42020Q12020Q22020Q32020Q42021Q1

0

250

500

750

1000

1250

NAV ($Millions)

(d) Section 4 Private Equity Fund NAV

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Figure 2: Ratio of GAV to NAV

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

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

2019Q22019Q32019Q42020Q12020Q22020Q32020Q42021Q1

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Ratio of GAV to NAV

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

(a) All Private Funds

2019Q22019Q32019Q42020Q12020Q22020Q32020Q42021Q1

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Ratio of GAV to NAV

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

(b) Qualifying Hedge Funds

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B Borrowings

Table 5: Aggregate Borrowings (Percent of Aggregate GAV)

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

Fund Type 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Securitized Asset Fund 52.1 52.2 52.5 49.0 47.7 47.5 53.6 50.2

Qualifying Hedge Fund 47.2 46.7 47.4 46.1 45.3 47.0 45.5 44.9

Hedge Fund 43.3 43.1 43.5 42.4 41.3 42.9 40.9 40.6

Real Estate Fund 14.6 14.6 14.8 14.9 14.6 14.6 13.8 13.9

Section 4 Private Equity Fund 5.2 5.2 7.3 7.3 7.3 7.3 5.1 4.9

Other Private Fund 3.4 3.4 4.5 4.8 4.7 4.8 5.0 4.9

Private Equity Fund 5.1 5.1 6.5 6.4 6.4 6.4 5.0 4.7

Venture Capital Fund 0.9 0.9 0.8 0.7 0.8 0.8 0.5 0.5

Liquidity Fund 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Section 3 Liquidity Fund 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Figure 3: Distribution of Total Borrowings for All Private Funds

and Qualifying Hedge Funds

See Appendix C for an explanation of boxplots.

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

2019Q22019Q32019Q42020Q12020Q22020Q32020Q42021Q1

0

200

400

600

Total Borrowings ($Millions)

(a) All Private Funds

2019Q22019Q32019Q42020Q12020Q22020Q32020Q42021Q1

0

1

2

3

4

Total Borrowings ($Billions)

(b) Qualifying Hedge Funds

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Figure 4: Ratio of Borrowings to NAV

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

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

2019Q22019Q32019Q42020Q12020Q22020Q32020Q42021Q1

0

1

2

3

4

Ratio of Borrowings to NAV

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

(a) All Private Funds

2019Q22019Q32019Q42020Q12020Q22020Q32020Q42021Q1

0

1

2

3

4

Ratio of Borrowings to NAV

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

(b) Qualifying Hedge Funds

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

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

Creditor Type 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

US Financial 66.0 66.2 65.7 64.9 66.7 64.9 66.4 67.3

Non-US Financial 31.4 31.2 31.0 32.3 30.7 32.7 30.3 30.0

US Non-Financial 2.2 2.3 2.4 2.6 2.5 2.4 2.3 2.4

Non-US Non-Financial 0.9 0.8 1.0 1.0 1.0 1.0 1.0 1.0

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C Fair Value Hierarchy

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

As reported on Form PF, Question 14.

2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Level One 3,272 3,234 3,827 3,793 3,802 3,814 4,223 4,253

Level Two 3,023 3,025 3,453 3,477 3,468 3,486 3,603 3,586

Level Three 3,475 3,469 4,060 4,112 4,117 4,127 5,076 5,175

Cost-Based 2,531 2,525 2,342 2,327 2,317 2,314 2,315 2,316

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

As reported on Form PF, Question 14.

2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Level One 1,228 1,221 1,265 1,279 1,270 1,280 1,332 1,324

Level Two 1,056 1,046 1,015 1,050 1,042 1,049 1,165 1,144

Level Three 200 202 264 268 268 267 295 297

Cost-Based 2,102 2,097 2,223 2,229 2,219 2,220 2,060 2,071

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D 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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Hedge Fund 648 652 614 628 610 601 597 581

Other Private Fund 504 503 505 501 500 493 478 475

Private Equity Fund 315 294 332 331 330 330 311 311

Qualifying Hedge Fund 221 227 222 232 227 221 210 199

Section 4 Private Equity Fund 112 112 136 136 135 135 103 103

Real Estate Fund 78 78 95 95 95 95 73 73

Venture Capital Fund *** *** *** *** *** *** 17 17

Liquidity Fund 14 15 12 12 11 11 *** ***

Section 3 Liquidity Fund 12 12 11 11 11 11 11 11

Securitized Asset Fund *** *** *** *** *** *** *** ***

Total 1,568 1,551 1,565 1,574 1,553 1,537 1,489 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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Hedge Fund 713 712 717 637 638 634 764 768

Other Private Fund 1,832 1,832 2,068 2,052 2,044 2,028 2,583 2,620

Private Equity Fund 48 48 58 58 58 58 98 98

Qualifying Hedge Fund 466 470 477 433 434 414 473 470

Section 4 Private Equity Fund 33 33 38 38 38 38 44 44

Real Estate Fund 5 5 10 10 10 10 7 7

Venture Capital Fund *** *** *** *** *** *** 1 1

Liquidity Fund 264 294 317 378 366 383 *** ***

Section 3 Liquidity Fund 263 292 316 377 366 383 391 411

Securitized Asset Fund *** *** *** *** *** *** *** ***

Total 2,863 2,891 3,171 3,135 3,117 3,113 3,845 3,905

4Certain 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.

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Figure 5: Parallel Managed Account Value Distributions

See Appendix C for an explanation of boxplots.

As reported on Form PF, Question 11.

2019Q22019Q32019Q42020Q12020Q22020Q32020Q42021Q1

0

1

2

3

4

5

Parallel Managed Assets ($Billions)

(a) All Private Funds

2019Q22019Q32019Q42020Q12020Q22020Q32020Q42021Q1

0

2

4

6

Parallel Managed Assets ($Billions)

(b) Qualifying Hedge Funds

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III Fund Domiciles and Adviser Main Offices

Table 11: Fund Domicile (Percent of NAV)

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

All Private Funds

Country 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

United States 50.5 50.5 51.2 51.4 50.9 50.4 51.0 50.9

Cayman Islands 34.8 34.6 34.5 34.1 34.6 34.9 34.2 34.1

Ireland 4.5 4.7 4.6 4.5 4.6 4.8 4.6 4.3

Luxembourg 3.0 2.9 3.1 3.1 3.1 3.1 3.7 3.7

Virgin Islands, British 1.5 1.5 1.3 1.1 1.1 1.1 1.0 1.0

Bermuda 1.1 1.2 1.1 1.1 1.1 1.0 1.0 1.0

Other 4.6 4.6 4.1 4.7 4.6 4.5 4.5 5.0

Qualifying Hedge Funds

Country 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Cayman Islands 52.0 51.6 51.5 52.5 52.5 53.2 53.4 52.7

United States 34.5 34.7 35.0 34.9 35.1 34.5 34.1 34.9

Ireland 3.2 3.1 3.2 2.9 3.1 3.1 3.3 3.1

Virgin Islands, British 3.9 3.9 3.6 3.3 3.1 2.9 2.8 2.8

Luxembourg 2.7 2.7 2.7 2.6 2.4 2.6 2.8 2.7

Bermuda 1.9 2.1 2.1 2.2 2.0 1.9 1.8 1.7

Other 1.9 1.8 1.9 1.7 1.8 1.8 1.9 2.0

Section 3 Liquidity Funds

Country 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Ireland *** *** *** *** *** *** *** ***

United States 30.3 26.9 22.6 25.7 24.8 23.4 26.2 28.8

Cayman Islands *** *** *** *** *** *** *** ***

Other *** *** *** *** *** *** *** ***

Section 4 Private Equity Funds

Country 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

United States 56.0 56.0 56.2 55.0 55.1 55.1 56.3 55.2

Cayman Islands 30.1 30.1 32.0 31.4 31.3 31.3 29.6 29.0

Canada 1.1 1.1 1.7 1.8 1.8 1.8 2.2 2.2

United Kingdom 2.3 2.3 1.9 1.7 1.7 1.7 1.5 1.5

Bermuda 0.9 0.9 1.0 1.0 1.0 1.0 1.1 1.1

Other 9.6 9.6 7.2 9.1 9.1 9.1 9.3 11.0

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

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

All Private Funds

Country 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

United States 89.4 89.3 89.8 90.2 90.2 90.1 90.5 90.4

United Kingdom 6.1 6.2 5.4 5.3 5.2 5.2 4.5 4.7

Other 4.5 4.5 4.7 4.5 4.7 4.6 5.0 4.9

Qualifying Hedge Funds

Country 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

United States 89.2 89.5 88.9 89.4 89.8 89.9 88.9 89.6

United Kingdom 5.7 5.4 5.4 4.9 4.5 4.3 4.7 4.4

Hong Kong *** *** *** *** *** *** *** ***

Australia *** *** *** *** *** *** *** ***

Other 2.0 2.0 2.1 2.1 2.1 1.9 2.0 1.8

Section 3 Liquidity Funds

Country 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

United States *** *** *** *** *** *** *** ***

United Kingdom *** *** *** *** *** *** *** ***

Section 4 Private Equity Funds

Country 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

United States 94.1 94.1 93.8 93.8 93.8 93.8 94.2 94.3

Canada *** *** *** *** *** *** *** ***

Other *** *** *** *** *** *** *** ***

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IV Beneficial Ownership

A All Private Funds

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

As reported on Form PF, Questions 9 and 16.

Type 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Private Funds 1,566 1,559 1,676 1,643 1,671 1,711 2,038 2,072

Other 1,381 1,392 1,466 1,451 1,508 1,560 1,819 1,852

State/Muni. Govt. Pension Plans 1,248 1,243 1,333 1,299 1,328 1,340 1,531 1,553

Pension Plans 1,085 1,081 1,167 1,103 1,139 1,161 1,245 1,263

U.S. Individuals 885 887 958 914 965 998 1,163 1,194

Non-Profits 902 900 993 930 990 1,017 1,140 1,167

Sov. Wealth Funds And For. Official Inst. 609 608 657 648 669 689 802 844

Insurance Companies 415 414 460 460 468 474 550 563

Non-U.S. Individuals 218 217 232 229 246 256 294 308

Unknown Non-U.S. Investors 221 223 242 230 236 258 275 268

State/Muni. Govt. Entities 130 135 171 167 170 172 189 196

Banking/Thrift Inst. 171 166 178 169 167 166 164 171

Sec-Registered Investment Companies 124 124 135 127 129 128 133 142

Broker-Dealers 109 109 114 106 112 115 111 110

Table 14: Beneficial Ownership for All Private Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Private Funds 17.3 17.2 17.1 17.3 17.0 17.0 17.8 17.7

Other 15.2 15.4 15.0 15.3 15.4 15.5 15.9 15.8

State/Muni. Govt. Pension Plans 13.8 13.7 13.6 13.7 13.5 13.3 13.4 13.3

Pension Plans 12.0 11.9 11.9 11.6 11.6 11.5 10.9 10.8

U.S. Individuals 9.8 9.8 9.8 9.6 9.8 9.9 10.2 10.2

Non-Profits 9.9 9.9 10.2 9.8 10.1 10.1 9.9 10.0

Sov. Wealth Funds And For. Official Inst. 6.7 6.7 6.7 6.8 6.8 6.9 7.0 7.2

Insurance Companies 4.6 4.6 4.7 4.9 4.8 4.7 4.8 4.8

Non-U.S. Individuals 2.4 2.4 2.4 2.4 2.5 2.5 2.6 2.6

Unknown Non-U.S. Investors 2.4 2.5 2.5 2.4 2.4 2.6 2.4 2.3

State/Muni. Govt. Entities 1.4 1.5 1.8 1.8 1.7 1.7 1.6 1.7

Banking/Thrift Inst. 1.9 1.8 1.8 1.8 1.7 1.7 1.4 1.5

Sec-Registered Investment Companies 1.4 1.4 1.4 1.3 1.3 1.3 1.2 1.2

Broker-Dealers 1.2 1.2 1.2 1.1 1.1 1.1 1.0 0.9

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November 1, 2021 Analytics Office

B Qualifying Hedge Funds

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

As reported on Form PF, Questions 9 and 16.

Type 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Private Funds 518 523 530 490 530 563 605 641

Non-Profits 448 445 463 409 469 493 538 560

Other 436 429 426 391 427 465 492 522

Pension Plans 426 420 431 374 406 426 455 465

U.S. Individuals 340 342 350 315 362 383 414 453

State/Muni. Govt. Pension Plans 355 365 369 329 354 366 397 409

Sov. Wealth Funds And For. Official Inst. 205 207 208 190 203 219 225 236

Insurance Companies 89 89 91 88 95 100 112 121

Non-U.S. Individuals 78 81 83 75 89 97 109 112

Unknown Non-U.S. Investors 57 57 62 53 56 60 66 63

State/Muni. Govt. Entities 44 47 49 45 49 50 53 56

Sec-Registered Investment Companies 53 54 42 35 44 45 37 40

Banking/Thrift Inst. 30 30 32 29 28 31 32 35

Broker-Dealers 79 80 81 73 78 80 17 5

Table 16: Beneficial Ownership for Qualifying Hedge Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Private Funds 16.4 16.5 16.5 16.9 16.6 16.6 17.0 17.2

Non-Profits 14.2 14.0 14.4 14.1 14.7 14.6 15.1 15.1

Other 13.8 13.5 13.2 13.5 13.4 13.8 13.9 14.0

Pension Plans 13.5 13.2 13.4 12.9 12.7 12.6 12.8 12.5

U.S. Individuals 10.8 10.8 10.9 10.9 11.3 11.3 11.7 12.2

State/Muni. Govt. Pension Plans 11.2 11.5 11.5 11.3 11.1 10.8 11.2 11.0

Sov. Wealth Funds And For. Official Inst. 6.5 6.5 6.5 6.6 6.4 6.5 6.3 6.3

Insurance Companies 2.8 2.8 2.8 3.0 3.0 3.0 3.1 3.2

Non-U.S. Individuals 2.5 2.6 2.6 2.6 2.8 2.9 3.1 3.0

Unknown Non-U.S. Investors 1.8 1.8 1.9 1.8 1.8 1.8 1.9 1.7

State/Muni. Govt. Entities 1.4 1.5 1.5 1.5 1.5 1.5 1.5 1.5

Sec-Registered Investment Companies 1.7 1.7 1.3 1.2 1.4 1.3 1.0 1.1

Banking/Thrift Inst. 1.0 1.0 1.0 1.0 0.9 0.9 0.9 0.9

Broker-Dealers 2.5 2.5 2.5 2.5 2.4 2.4 0.5 0.1

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November 1, 2021 Analytics Office

C Section 3 Liquidity Funds

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

As reported on Form PF, Questions 9 and 16.

Type 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Other 57 74 73 74 90 92 87 80

Unknown Non-U.S. Investors 59 63 62 60 58 76 79 72

Private Funds 84 69 62 72 57 55 59 54

Sec-Registered Investment Companies 19 19 14 12 17 18 20 24

Broker-Dealers *** *** *** *** *** *** *** ***

Banking/Thrift Inst. *** *** *** *** *** *** *** ***

Insurance Companies 9 8 7 9 10 9 8 9

Pension Plans *** *** 4 *** *** 5 9 7

Sov. Wealth Funds And For. Official Inst. *** *** *** *** *** *** *** ***

Non-Profits *** 1 2 1 1 2 2 2

Non-U.S. Individuals 3 4 4 4 3 3 *** ***

State/Muni. Govt. Pension Plans *** *** *** *** *** *** 1 1

U.S. Individuals *** *** *** *** *** *** *** ***

State/Muni. Govt. Entities *** *** *** *** *** *** *** ***

Table 18: Beneficial Ownership for Section 3 Liquidity Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Other 20.0 25.8 25.8 26.1 30.9 29.3 28.0 27.3

Unknown Non-U.S. Investors 20.8 22.1 22.1 21.1 19.9 24.2 25.5 24.5

Private Funds 29.6 24.2 22.0 25.3 19.4 17.6 18.8 18.5

Sec-Registered Investment Companies 6.7 6.8 4.8 4.4 5.8 5.8 6.5 8.1

Broker-Dealers *** *** *** *** *** *** *** ***

Banking/Thrift Inst. *** *** *** *** *** *** *** ***

Insurance Companies 3.2 2.7 2.6 3.3 3.6 2.9 2.6 3.1

Pension Plans *** *** 1.3 *** *** 1.6 2.7 2.4

Sov. Wealth Funds And For. Official Inst. *** *** *** *** *** *** *** ***

Non-Profits *** 0.3 0.6 0.4 0.4 0.6 0.7 0.8

Non-U.S. Individuals 1.1 1.2 1.3 1.5 0.9 0.8 *** ***

State/Muni. Govt. Pension Plans *** *** *** *** *** *** 0.3 0.2

U.S. Individuals *** *** *** *** *** *** *** ***

State/Muni. Govt. Entities *** *** *** *** *** *** *** ***

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November 1, 2021 Analytics Office

D 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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Private Funds 397 397 467 468 468 468 656 659

State/Muni. Govt. Pension Plans 454 454 514 526 526 526 652 654

Other 336 336 369 392 392 392 513 544

Sov. Wealth Funds And For. Official Inst. 244 244 278 286 285 285 361 387

Pension Plans 175 175 199 201 201 201 246 246

Insurance Companies 127 127 152 154 154 154 189 190

U.S. Individuals 117 117 132 132 132 132 186 187

Non-Profits 116 116 139 140 140 140 180 180

Non-U.S. Individuals 48 48 51 54 54 54 65 71

State/Muni. Govt. Entities 36 36 56 56 56 56 63 63

Banking/Thrift Inst. 31 31 36 37 37 37 38 38

Sec-Registered Investment Companies 17 17 28 28 28 28 27 27

Unknown Non-U.S. Investors 17 17 19 19 19 19 25 25

Broker-Dealers 1 1 1 1 1 1 3 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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Private Funds 18.8 18.8 19.1 18.8 18.8 18.8 20.5 20.1

State/Muni. Govt. Pension Plans 21.4 21.4 21.1 21.1 21.1 21.1 20.3 20.0

Other 15.9 15.9 15.1 15.7 15.7 15.7 16.0 16.6

Sov. Wealth Funds And For. Official Inst. 11.5 11.5 11.4 11.5 11.4 11.4 11.3 11.8

Pension Plans 8.3 8.3 8.2 8.1 8.1 8.1 7.7 7.5

Insurance Companies 6.0 6.0 6.2 6.2 6.2 6.2 5.9 5.8

U.S. Individuals 5.5 5.5 5.4 5.3 5.3 5.3 5.8 5.7

Non-Profits 5.5 5.5 5.7 5.6 5.6 5.6 5.6 5.5

Non-U.S. Individuals 2.3 2.3 2.1 2.2 2.2 2.2 2.0 2.2

State/Muni. Govt. Entities 1.7 1.7 2.3 2.3 2.3 2.3 2.0 1.9

Banking/Thrift Inst. 1.5 1.5 1.5 1.5 1.5 1.5 1.2 1.2

Sec-Registered Investment Companies 0.8 0.8 1.1 1.1 1.1 1.1 0.8 0.8

Unknown Non-U.S. Investors 0.8 0.8 0.8 0.7 0.7 0.7 0.8 0.8

Broker-Dealers 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1

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E Concentration

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

As reported on Form PF, Questions 9 and 15.

Type 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Other Private Fund 58.1 58.6 58.6 59.0 59.1 58.4 59.6 59.3

Real Estate Fund 57.7 57.7 56.7 56.6 56.6 56.6 56.2 56.2

Hedge Fund 55.4 55.6 55.7 55.4 55.2 55.3 55.3 55.1

Venture Capital Fund 59.2 59.1 54.7 54.7 54.8 54.7 53.7 53.7

Private Equity Fund 50.8 50.8 50.5 50.5 50.5 50.5 50.2 51.1

Qualifying Hedge Fund 50.6 50.9 51.0 50.3 50.2 50.4 50.5 50.4

Liquidity Fund 52.8 49.4 46.2 49.9 47.1 44.8 44.3 45.9

Section 3 Liquidity Fund 52.2 48.4 45.2 48.9 46.7 44.4 44.1 45.7

Section 4 Private Equity Fund 44.5 44.5 45.0 45.0 44.9 44.9 45.2 46.1

Securitized Asset Fund 34.6 34.8 39.4 39.4 39.5 39.1 37.4 36.0

Total 54.0 54.0 53.7 53.7 53.6 53.5 53.3 53.6

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V 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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Hedge Fund 12,975 13,447 12,638 11,895 10,935 13,563 13,905 14,929

Qualifying Hedge Fund 11,346 11,371 11,035 10,460 9,424 11,593 11,665 13,185

Other Private Fund 134 135 111 108 108 106 134 138

Private Equity Fund 37 37 95 96 96 97 66 66

Section 4 Private Equity Fund 31 31 37 37 37 37 34 34

Real Estate Fund 17 17 18 18 18 18 19 18

Liquidity Fund *** *** *** *** *** *** *** ***

Section 3 Liquidity Fund *** *** *** *** *** *** *** ***

Securitized Asset Fund 3 3 3 3 3 3 3 3

Venture Capital Fund *** *** *** *** *** *** *** ***

Total 13,199 13,468 12,782 12,140 11,196 13,813 14,220 15,198

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

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

Type 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Hedge Fund 318.6 332.3 307.0 316.1 268.5 317.0 299.6 311.5

Qualifying Hedge Fund 358.9 358.8 342.8 360.7 295.0 343.0 328.4 354.6

Other Private Fund 12.3 12.2 9.0 9.0 8.9 8.6 10.3 10.5

Private Equity Fund 1.3 1.3 2.9 2.9 2.9 2.9 1.6 1.6

Section 4 Private Equity Fund 1.5 1.5 1.5 1.5 1.5 1.5 1.1 1.0

Real Estate Fund 3.7 3.7 3.6 3.6 3.6 3.6 3.1 2.9

Liquidity Fund *** *** *** *** *** *** *** ***

Section 3 Liquidity Fund *** *** *** *** *** *** *** ***

Securitized Asset Fund 1.6 1.6 1.5 1.5 1.5 1.5 1.3 1.3

Venture Capital Fund *** *** *** *** *** *** *** ***

Total 145.6 148.7 130.6 128.1 114.2 137.4 124.1 129.8

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Figure 6: Distribution of Derivative Values

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

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

2019Q22019Q32019Q42020Q12020Q22020Q32020Q42021Q1

0.0

0.5

1.0

1.5

Total Derivative Value ($Billions)

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

(a) All Private Funds

2019Q22019Q32019Q42020Q12020Q22020Q32020Q42021Q1

0.0

2.5

5.0

7.5

10.0

Total Derivative Value ($Billions)

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

(b) Qualifying Hedge Funds

VI Additional Hedge Fund Industry Information

A 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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

0% 8,054 8,061 7,962 8,044 8,057 8,120 8,134 8,180

Less than 100% 62 63 49 48 49 47 44 44

100% or More 8 8 10 9 8 7 6 6

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

As reported on Form PF, Questions 9 and 21.

Fraction of NAV 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

0% 3,975 3,940 4,023 3,663 3,953 4,158 4,514 4,657

Less than 100% 82 83 77 81 91 95 95 101

100% or More 2 2 3 2 2 2 3 4

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B 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.

2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Top 10 7.3 7.4 7.4 7.6 7.6 7.5 7.2 7.1

Top 25 13.6 13.7 13.6 14.1 14.0 14.1 13.6 13.3

Top 50 19.9 20.0 19.7 20.2 20.2 20.5 20.0 19.5

Top 100 28.2 28.3 27.9 28.2 28.3 28.8 28.4 27.9

Top 250 42.7 42.7 42.3 42.5 42.9 43.5 43.2 42.8

Top 500 56.3 56.1 55.6 55.6 56.3 56.9 56.6 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.

2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Top 10 16.3 15.5 15.5 17.2 15.0 15.5 15.0 14.3

Top 25 25.6 25.1 24.7 26.1 24.0 24.8 23.9 23.1

Top 50 33.9 33.7 33.5 34.8 32.7 33.6 32.8 31.7

Top 100 43.4 42.9 42.5 43.8 41.8 42.6 41.7 40.3

Top 250 56.9 56.4 55.8 56.6 55.2 56.0 55.4 54.0

Top 500 68.0 67.6 67.0 67.5 66.5 67.2 66.6 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).

2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Top 10 35.5 34.4 35.8 38.7 35.4 35.0 33.9 33.1

Top 25 50.3 50.4 51.0 52.8 50.8 51.6 49.4 47.9

Top 50 62.4 62.3 62.8 63.9 63.1 63.4 61.7 60.1

Top 100 73.2 73.3 73.2 73.9 73.8 74.1 72.5 71.1

Top 250 85.0 84.9 84.6 84.5 84.5 85.0 84.2 83.0

Top 500 91.8 91.7 91.6 91.1 91.4 91.8 91.4 90.7

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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).

2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Top 10 29.4 30.8 29.2 34.2 32.9 39.7 41.4 42.3

Top 25 47.4 48.8 47.8 52.6 49.4 54.5 55.9 57.1

Top 50 60.2 61.8 60.6 65.4 62.1 66.7 67.5 68.1

Top 100 72.8 73.9 72.5 76.6 73.8 77.1 77.4 78.2

Top 250 86.4 87.2 86.7 88.3 87.3 89.2 89.2 89.3

Top 500 93.3 93.9 93.7 94.4 93.9 95.0 94.9 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).

2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Top 10 28.5 29.0 29.5 33.5 32.3 36.2 36.2 37.3

Top 25 45.3 46.5 46.9 51.4 48.7 51.4 50.0 51.0

Top 50 58.3 58.8 59.1 62.6 59.8 61.9 60.7 61.2

Top 100 69.7 70.0 70.5 72.9 70.5 72.1 71.0 71.5

Top 250 83.1 83.2 83.5 84.8 83.2 84.2 83.5 83.5

Top 500 91.6 91.5 91.7 92.3 91.4 92.1 91.7 91.4

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C 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 Strategy 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Equity

Subtotal 512 524 562 485 547 567 617 644

Long Bias 239 252 276 235 269 282 319 329

Long/Short 236 234 245 207 239 251 268 289

Market Neutral 34 36 40 40 38 33 30 25

Short Bias 2 2 2 2 2 1 1 1

Other Subtotal 464 466 465 433 473 482 530 553

Credit

Subtotal 91 94 98 96 98 103 119 122

Long/Short 48 50 50 48 52 56 63 67

Asset Based Lending 42 44 47 48 46 47 56 55

Event Driven

Subtotal 47 47 45 43 47 47 51 56

Distressed/Restruct. 30 30 30 31 32 31 34 37

Equity 10 10 10 8 11 11 12 12

Risk Arb./Merger Arb. 8 7 5 4 4 5 5 6

Relative Value

Subtotal 43 45 43 40 43 48 48 49

F.I. Asset Backed 25 27 27 27 27 29 28 29

F.I. Corp. 9 9 8 7 8 9 11 9

F.I. Conv. Arb. 6 6 5 3 5 7 7 8

F.I. Sov. 1 1 *** *** 1 1 2 1

Volatility Arb. 1 2 *** *** 1 1 1 1

Investment in other funds Subtotal 22 25 31 36 30 31 29 31

Macro

Subtotal 22 18 15 11 11 12 11 13

Global Macro 19 15 12 9 8 9 8 10

Commodity 3 3 1 2 2 2 2 2

Active Trading *** *** *** *** *** *** *** ***

Currency *** *** *** *** *** *** *** ***

Managed Futures/CTA

Subtotal 6 6 5 5 5 5 6 6

Quantitative *** *** *** *** *** *** *** ***

Fundamental *** *** *** *** *** *** *** ***

Total Total 1,047 1,049 1,081 994 1,088 1,133 1,245 1,308

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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 Strategy 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Equity

Subtotal 1,053 1,055 1,013 1,007 993 1,017 1,019 1,030

Long Bias 519 524 521 511 504 522 525 533

Long/Short 468 467 434 438 433 443 443 447

Market Neutral 56 54 48 47 45 45 48 47

Short Bias 16 16 17 18 18 17 11 11

Other Subtotal 890 920 920 927 939 953 950 979

Credit

Subtotal 285 289 297 303 313 318 354 357

Long/Short 153 155 155 159 165 168 173 175

Asset Based Lending 134 136 146 147 151 153 184 185

Event Driven

Subtotal 206 221 215 220 227 220 217 230

Distressed/Restruct. 145 157 153 159 165 156 151 161

Equity 37 44 47 45 45 46 50 52

Risk Arb./Merger Arb. 33 30 23 23 24 23 21 21

Relative Value

Subtotal 153 159 151 149 160 172 174 177

F.I. Asset Backed 72 74 72 69 81 88 93 95

F.I. Corp. 48 51 48 47 49 53 53 50

F.I. Conv. Arb. 16 15 16 17 16 17 18 18

F.I. Sov. 10 15 *** *** 11 16 16 17

Volatility Arb. 14 16 *** *** 12 12 14 13

Investment in other funds Subtotal 193 203 211 215 213 219 239 240

Macro

Subtotal 60 57 44 45 44 44 45 47

Global Macro 38 35 24 24 22 21 24 24

Commodity 15 15 9 14 13 13 11 13

Active Trading *** *** *** *** *** *** *** ***

Currency *** *** *** *** *** *** *** ***

Managed Futures/CTA

Subtotal 34 32 26 27 27 28 26 27

Quantitative *** *** *** *** *** *** *** ***

Fundamental *** *** *** *** *** *** *** ***

Total Total 2,707 2,730 2,683 2,717 2,742 2,771 2,797 2,861

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November 1, 2021 Analytics Office

D 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 Strategy 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Equity

Subtotal 890 868 907 779 902 994 1,176 1,157

Long/Short 613 595 601 512 608 670 801 777

Long Bias 185 178 211 190 224 249 292 295

Market Neutral 91 95 *** *** *** *** *** ***

Short Bias 1 1 *** *** *** *** *** ***

Relative Value

Subtotal 355 358 359 390 377 375 408 410

F.I. Sov. 220 222 224 248 256 252 272 274

F.I. Asset Backed 90 91 88 99 74 76 79 80

F.I. Corp. 17 18 19 18 24 24 29 24

Volatility Arb. 20 19 17 16 12 12 14 17

F.I. Conv. Arb. 8 8 10 9 11 11 13 15

Macro

Subtotal 383 390 356 351 341 432 377 380

Global Macro 372 380 345 343 331 424 368 370

Commodity 7 7 7 5 5 5 6 6

Active Trading *** *** *** *** *** *** *** ***

Currency *** *** *** *** *** *** *** ***

Other Subtotal 507 531 553 522 531 557 608 648

Credit

Subtotal 180 183 202 206 212 220 235 248

Long/Short 137 137 153 150 152 155 175 186

Asset Based Lending 43 46 49 56 61 65 61 62

Event Driven

Subtotal 133 122 121 111 117 136 147 168

Distressed/Restruct. 83 80 81 72 81 93 95 103

Risk Arb./Merger Arb. 27 20 18 21 17 22 28 35

Equity 23 22 21 18 19 21 24 29

Managed Futures/CTA

Subtotal 168 173 172 153 110 132 151 167

Quantitative *** *** *** *** *** *** *** ***

Fundamental *** *** *** *** *** *** *** ***

Investment in other funds Subtotal 27 31 30 28 29 28 30 35

Total Total 1,757 1,742 1,797 1,646 1,812 1,929 2,146 2,199

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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 Strategy 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Equity

Subtotal 1,099 1,078 1,055 1,059 1,029 1,030 1,065 1,040

Long/Short 644 633 623 632 620 618 630 603

Long Bias 327 317 317 317 312 315 339 340

Market Neutral 124 124 *** *** *** *** *** ***

Short Bias 7 7 *** *** *** *** *** ***

Relative Value

Subtotal 297 291 296 303 300 297 306 305

F.I. Sov. 54 55 57 56 58 57 60 57

F.I. Asset Backed 131 123 130 129 134 138 151 149

F.I. Corp. 88 85 91 97 97 94 94 92

Volatility Arb. 37 35 34 34 28 26 26 26

F.I. Conv. Arb. 29 29 28 27 27 26 24 27

Macro

Subtotal 254 244 214 214 207 211 210 209

Global Macro 196 186 160 162 157 162 162 161

Commodity 45 45 43 43 39 40 36 38

Active Trading *** *** *** *** *** *** *** ***

Currency *** *** *** *** *** *** *** ***

Other Subtotal 776 792 785 822 805 802 829 811

Credit

Subtotal 344 337 334 333 340 345 343 343

Long/Short 254 246 241 237 244 246 244 243

Asset Based Lending 98 94 95 99 99 101 102 103

Event Driven

Subtotal 311 314 285 295 300 306 305 313

Distressed/Restruct. 209 216 195 206 215 223 214 218

Risk Arb./Merger Arb. 60 57 52 47 44 43 43 43

Equity 71 72 75 78 74 72 77 82

Managed Futures/CTA

Subtotal 131 129 122 132 124 121 115 118

Quantitative *** *** *** *** *** *** *** ***

Fundamental *** *** *** *** *** *** *** ***

Investment in other funds Subtotal 107 107 130 127 130 126 112 130

Total Total 3,101 3,085 3,022 3,070 3,039 3,058 3,094 3,073

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November 1, 2021 Analytics Office

VII Information Reported by Large Hedge

Fund Advisers

A Economic Leverage

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

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

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

2019-062019-092019-122020-032020-062020-092020-122021-03

0.0

2.5

5.0

7.5

10.0

12.5

15.0

Ratio of GNE to NAV

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

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

2019-062019-092019-122020-032020-062020-092020-122021-03

0.0

2.5

5.0

7.5

10.0

12.5

15.0

Ratio of GNE (w/o IRDs) to NAV

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

(b) Gross Exposure without IRDs

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November 1, 2021 Analytics Office

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

Short Notional Exposure (SNE) to Net Asset Value Distribution

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

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

2019-062019-092019-122020-032020-062020-092020-122021-03

0

2

4

6

8

10

Ratio of LNE to NAV

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

(a) Long Exposure with IRDs

2019-062019-092019-122020-032020-062020-092020-122021-03

0

2

4

6

8

10

Ratio of LNE (w/o IRDs) to NAV

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

(b) Long Exposure without IRDs

2019-062019-092019-122020-032020-062020-092020-122021-03

0

2

4

6

8

10

Ratio of SNE to NAV

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

(c) Short Exposure with IRDs

2019-062019-092019-122020-032020-062020-092020-122021-03

0

2

4

6

8

10

Ratio of SNE (w/o IRDs) to NAV

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

(d) Short Exposure without IRDs

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November 1, 2021 Analytics Office

B 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 Top 10 Advisers (NAV) Top 20 Advisers (NAV) Top 10 Advisers (GNE) Top 20 Advisers (GNE)

2019-04 18.9 28.5 37.7 54.1

2019-05 18.9 28.5 37.5 54.1

2019-06 18.9 28.5 36.4 52.7

2019-07 19.3 28.8 36.8 53.9

2019-08 19.3 28.8 36.8 54.1

2019-09 19.4 28.9 37.4 54.2

2019-10 19.5 29.3 37.8 54.2

2019-11 19.5 29.3 37.4 54.2

2019-12 19.5 29.3 37.0 53.7

2020-01 19.1 29.6 38.1 55.4

2020-02 19.1 29.6 38.7 56.0

2020-03 19.1 29.6 41.1 56.7

2020-04 18.3 29.0 40.7 56.8

2020-05 18.3 29.0 40.6 56.3

2020-06 18.3 29.0 39.9 55.7

2020-07 18.4 29.1 42.1 57.2

2020-08 18.4 29.1 40.6 56.7

2020-09 18.5 29.3 40.3 56.1

2020-10 16.8 26.4 40.0 55.8

2020-11 16.8 26.4 39.3 56.3

2020-12 16.8 26.4 39.4 54.7

2021-01 16.2 26.2 40.3 55.8

2021-02 16.2 26.2 42.2 57.6

2021-03 16.2 26.2 41.5 56.0

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C Portfolio Turnover

Table 36: Aggregate Portfolio Turnover ($ Billions)

As reported on Form PF, Question 27.

Month Futures Sov. and muni. bonds Listed equities Corporate bonds Convertible bonds Total

2019-04 9,911 3,391 2,263 127 18 15,709

2019-05 18,298 3,798 2,528 134 22 24,779

2019-06 16,327 3,832 2,188 134 25 22,506

2019-07 10,900 3,454 2,278 136 21 16,789

2019-08 15,837 4,353 2,400 116 26 22,731

2019-09 15,755 3,897 2,226 144 34 22,056

2019-10 12,744 3,627 2,566 152 19 19,108

2019-11 14,093 3,835 2,280 134 27 20,369

2019-12 13,345 3,311 2,302 95 21 19,074

2020-01 13,058 3,762 2,719 176 36 19,750

2020-02 19,136 4,578 2,916 167 31 26,829

2020-03 25,062 6,430 4,071 230 36 35,828

2020-04 9,351 4,426 2,658 226 39 16,700

2020-05 12,203 4,146 2,677 211 44 19,280

2020-06 12,862 4,003 3,201 220 51 20,337

2020-07 7,951 3,305 2,928 164 40 14,388

2020-08 10,039 3,777 2,552 165 39 16,573

2020-09 11,031 3,696 2,866 207 38 17,837

2020-10 9,339 4,086 2,756 189 44 16,413

2020-11 12,508 4,598 3,227 171 55 20,559

2020-12 17,695 4,356 2,993 125 56 25,224

2021-01 10,675 4,367 3,454 176 58 18,730

2021-02 17,631 5,493 3,460 175 63 26,823

2021-03 18,591 5,419 4,131 189 63 28,393

Figure 9: Distributions of Portfolio Turnover

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

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

2019-062019-092019-122020-032020-062020-092020-122021-03

0

20

40

60

80

Total Turnover ($Billions)

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

(a) Total Turnover

2019-062019-092019-122020-032020-062020-092020-122021-03

0

10

20

30

Ratio of Turnover to NAV

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

(b) Total Turnover to NAV Ratio

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November 1, 2021 Analytics Office

D 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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

North America 5,522 5,325 5,367 4,902 4,912 5,376 5,065 5,244

Europe EEA 1,764 1,717 1,603 1,426 1,398 1,616 1,521 1,348

Asia 840 723 759 649 665 804 793 779

Europe Other 82 82 85 92 93 125 105 289

South America 119 100 121 87 86 97 93 85

Supranational 38 68 53 42 54 35 33 45

Africa 33 29 33 30 37 40 40 34

Middle East 28 26 29 39 28 35 29 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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

North America 156.5 153.7 150.7 150.7 138.0 142.2 129.0 127.2

Europe EEA 50.0 49.6 45.0 43.8 39.3 42.7 38.7 32.7

Asia 23.8 20.9 21.3 20.0 18.7 21.3 20.2 18.9

Europe Other 2.3 2.4 2.4 2.8 2.6 3.3 2.7 7.0

South America 3.4 2.9 3.4 2.7 2.4 2.6 2.4 2.1

Supranational 1.1 2.0 1.5 1.3 1.5 0.9 0.8 1.1

Africa 0.9 0.8 0.9 0.9 1.0 1.1 1.0 0.8

Middle East 0.8 0.8 0.8 1.2 0.8 0.9 0.7 0.7

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Table 39: Large Hedge Fund Adviser Hedge Fund

Country Exposure ($ Billions)

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

Country 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

United States 5,233 5,121 5,034 4,681 4,692 5,117 4,830 4,992

China (Inc. Hong Kong) 186 175 198 180 221 270 285 280

Japan 239 286 263 220 190 213 214 208

India 32 34 37 29 30 32 36 46

Brazil 46 40 50 32 33 36 38 33

Russia 11 11 14 15 17 16 18 16

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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

United States 148.3 147.9 141.3 143.9 131.8 135.3 123.0 121.1

China (Inc. Hong Kong) 5.3 5.1 5.6 5.5 6.2 7.2 7.3 6.8

Japan 6.8 8.3 7.4 6.8 5.3 5.6 5.4 5.0

India 0.9 1.0 1.0 0.9 0.8 0.9 0.9 1.1

Brazil 1.3 1.2 1.4 1.0 0.9 1.0 1.0 0.8

Russia 0.3 0.3 0.4 0.5 0.5 0.4 0.5 0.4

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VIII Qualifying Hedge Fund Specific Information

A Economic Leverage

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

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

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

2019-062019-092019-122020-032020-062020-092020-122021-03

0.0

2.5

5.0

7.5

10.0

12.5

Ratio of GNE to NAV

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

(a) Including IRDs

2019-062019-092019-122020-032020-062020-092020-122021-03

0.0

2.5

5.0

7.5

10.0

12.5

Ratio of GNE (w/o IRDs) to NAV

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

(b) Excluding IRDs

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November 1, 2021 Analytics Office

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

Short Notional Exposure (SNE) to Net Asset Value

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

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

2019-062019-092019-122020-032020-062020-092020-122021-03

0

2

4

6

Ratio of LNE to NAV

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

(a) LNE Including IRDs

2019-062019-092019-122020-032020-062020-092020-122021-03

0

2

4

6

Ratio of LNE (w/o IRDs) to NAV

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

(b) LNE Excluding IRDs

2019-062019-092019-122020-032020-062020-092020-122021-03

0

2

4

6

Ratio of SNE to NAV

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

(c) SNE Including IRDs

2019-062019-092019-122020-032020-062020-092020-122021-03

0

2

4

6

Ratio of SNE (w/o IRDs) to NAV

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

(d) SNE Excluding IRDs

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November 1, 2021 Analytics Office

B Gross Exposure by Strategy5

Table 41: Exposures of Hedge Funds ($ Billions)

As reported on Form PF, Questions 9 and 20.

Category Strategy 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Equity

Subtotal 1,627 1,600 1,698 1,370 1,619 1,730 1,952 1,987

Long/Short 867 833 880 713 867 957 1,090 1,114

Long Bias 392 404 443 373 443 485 548 574

Market Neutral 363 360 371 *** 307 *** *** ***

Short Bias 5 4 3 *** 1 *** *** ***

Other Subtotal 1,073 1,082 1,120 1,093 1,111 1,112 1,173 1,233

Relative Value

Subtotal 1,054 1,021 1,030 1,106 983 1,023 997 981

F.I. Sov. 774 723 714 836 700 689 676 647

F.I. Conv. Arb. 59 57 60 55 80 101 121 129

F.I. Asset Backed 134 159 177 129 116 135 112 103

F.I. Corp. 69 64 61 53 62 72 56 58

Volatility Arb. 18 19 18 32 26 26 32 43

Macro

Subtotal 752 707 664 643 640 796 745 736

Global Macro 666 629 578 576 572 724 680 666

Currency *** *** 44 36 *** 40 30 ***

Commodity 37 33 38 27 24 27 30 33

Active Trading *** *** 5 4 *** 4 4 ***

Credit

Subtotal 314 305 315 327 358 370 393 414

Long/Short 246 234 233 240 265 272 295 315

Asset Based Lending 68 71 82 87 93 98 98 98

Event Driven

Subtotal 337 308 311 271 281 307 366 408

Distressed/Restruct. 165 160 163 140 159 162 169 180

Equity 86 78 79 65 64 71 96 116

Risk Arb./Merger Arb. 86 71 69 65 59 74 101 111

Managed Futures/CTA

Subtotal 191 191 192 159 126 149 164 169

Quantitative *** *** *** 157 *** 145 *** ***

Fundamental *** *** *** 1 *** 4 *** ***

Investment in other funds Subtotal 41 48 48 50 42 43 43 51

Total Total 5,389 5,263 5,378 5,017 5,159 5,529 5,832 5,977

5Form 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.

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November 1, 2021 Analytics Office

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

As reported on Form PF, Questions 9 and 20.

Category Strategy 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Equity

Subtotal 51.5 50.5 52.7 47.2 50.7 51.2 55.0 53.4

Long/Short 27.4 26.3 27.3 24.6 27.1 28.3 30.7 30.0

Long Bias 12.4 12.7 13.8 12.9 13.9 14.4 15.4 15.4

Market Neutral 11.5 11.3 11.5 *** 9.6 *** *** ***

Short Bias 0.1 0.1 0.1 *** 0.0 *** *** ***

Other Subtotal 33.9 34.1 34.8 37.7 34.8 32.9 33.0 33.1

Relative Value

Subtotal 33.3 32.2 32.0 38.1 30.8 30.3 28.1 26.4

F.I. Sov. 24.5 22.8 22.2 28.8 21.9 20.4 19.0 17.4

F.I. Conv. Arb. 1.9 1.8 1.9 1.9 2.5 3.0 3.4 3.5

F.I. Asset Backed 4.2 5.0 5.5 4.5 3.6 4.0 3.2 2.8

F.I. Corp. 2.2 2.0 1.9 1.8 1.9 2.1 1.6 1.6

Volatility Arb. 0.6 0.6 0.6 1.1 0.8 0.8 0.9 1.2

Macro

Subtotal 23.8 22.3 20.6 22.2 20.0 23.5 21.0 19.8

Global Macro 21.1 19.8 18.0 19.9 17.9 21.4 19.1 17.9

Currency *** *** 1.4 1.2 *** 1.2 0.8 ***

Commodity 1.2 1.0 1.2 0.9 0.8 0.8 0.9 0.9

Active Trading *** *** 0.2 0.1 *** 0.1 0.1 ***

Credit

Subtotal 9.9 9.6 9.8 11.3 11.2 11.0 11.1 11.1

Long/Short 7.8 7.4 7.2 8.3 8.3 8.0 8.3 8.5

Asset Based Lending 2.1 2.2 2.5 3.0 2.9 2.9 2.7 2.6

Event Driven

Subtotal 10.7 9.7 9.7 9.3 8.8 9.1 10.3 11.0

Distressed/Restruct. 5.2 5.0 5.1 4.8 5.0 4.8 4.8 4.8

Equity 2.7 2.5 2.5 2.3 2.0 2.1 2.7 3.1

Risk Arb./Merger Arb. 2.7 2.2 2.1 2.2 1.8 2.2 2.8 3.0

Managed Futures/CTA

Subtotal 6.0 6.0 6.0 5.5 3.9 4.4 4.6 4.5

Quantitative *** *** *** 5.4 *** 4.3 *** ***

Fundamental *** *** *** 0.1 *** 0.1 *** ***

Investment in other funds Subtotal 1.3 1.5 1.5 1.7 1.3 1.3 1.2 1.4

Total Total 170.5 166.1 167.1 173.0 161.5 163.6 164.2 160.7

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November 1, 2021 Analytics Office

C 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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Relative Value 6.0 5.7 5.6 6.3 5.0 4.8 5.7 5.6

Macro 4.5 4.1 4.2 4.3 3.6 4.5 4.4 4.3

Multi-Strategy 2.5 1.9 2.3 2.3 2.0 2.5 3.0 3.1

Equity 1.6 1.6 1.6 1.5 1.6 1.6 1.6 1.5

Credit 1.5 1.5 1.6 1.7 1.6 1.5 1.5 1.5

Managed Futures/CTA 1.4 1.5 1.4 1.4 1.4 1.5 1.5 1.5

Event Driven 1.3 1.3 1.3 1.4 1.4 1.3 1.3 1.4

Other 1.8 1.6 1.7 1.7 1.6 1.5 1.5 1.4

Investment in other funds 1.2 3.9 1.2 1.2 1.3 1.3 1.2 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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Macro 29.1 25.5 27.2 26.4 19.8 32.4 32.8 37.1

Relative Value 24.0 23.0 24.2 25.5 22.5 19.6 23.6 24.9

Managed Futures/CTA 19.9 19.8 18.5 14.6 17.4 20.9 19.7 19.2

Multi-Strategy 9.8 10.1 11.5 10.3 9.4 10.3 12.4 14.6

Other 4.7 4.3 4.3 4.6 4.1 3.4 3.2 3.1

Credit 2.6 2.4 2.8 3.1 2.8 2.8 2.8 3.0

Equity 3.2 3.2 3.0 2.6 2.9 2.8 2.7 2.8

Event Driven 2.0 1.9 1.9 1.9 1.8 1.8 1.9 2.0

Investment in other funds 2.4 10.3 1.9 1.8 2.0 2.0 2.1 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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Macro 38.8 37.7 39.8 43.2 40.2 38.3 40.3 42.0

Managed Futures/CTA 48.5 45.2 43.4 58.6 46.1 47.7 40.4 38.7

Multi-Strategy 25.7 22.3 22.7 25.0 28.5 30.1 26.4 24.9

Relative Value 18.6 22.5 22.6 26.3 24.0 26.2 25.7 21.9

Other 18.8 17.1 14.9 16.1 16.2 13.4 12.4 12.5

Credit 6.8 7.1 7.7 8.3 7.4 7.9 9.7 9.4

Equity 9.6 10.8 9.4 15.3 10.5 8.3 7.9 8.0

Event Driven 7.2 10.0 10.4 12.3 10.0 8.0 8.5 7.5

Investment in other funds 5.8 13.0 6.6 4.7 5.1 6.0 7.2 1.1

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November 1, 2021 Analytics Office

D Investment Exposures

Table 46: Aggregate Qualifying Hedge Fund Gross Notional Exposure

by Asset Type ($ Billions)

As reported on Form PF, Questions 26 and 30.

2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Interest Rate Derivatives 6,707 6,029 5,662 5,568 5,225 6,285 6,147 6,666

Foreign Exchange Derivatives 2,496 3,120 2,932 3,176 2,829 3,154 3,177 3,698

Non-Financial Listed Equities 2,101 1,995 2,123 1,547 1,937 2,134 2,484 2,537

Repurchase Agreements 1,936 1,869 1,898 1,986 1,772 2,031 1,875 1,825

U.S. Treasury Securities 2,188 2,112 2,180 1,941 1,754 1,723 1,574 1,638

Non-Financial Equity Derivatives 1,165 1,310 1,433 1,128 1,117 1,146 1,248 1,571

Sovereign Bonds - Non-U.S. G10 1,275 1,123 1,187 923 952 1,143 1,260 1,278

Credit Derivatives 717 682 651 533 485 531 582 729

Cash/Cash Equivalents - Other 448 448 445 468 393 373 391 482

Non-Financial Unlisted Equities 232 236 268 238 255 288 317 385

Commodity Derivatives 279 282 313 205 234 272 304 328

Financial Listed Equities 280 272 292 195 236 242 270 312

Sovereign Bonds - Other 277 270 286 229 269 342 321 272

Non-Financial Corporate Bonds 236 224 221 201 244 243 217 234

Leveraged Loans 152 157 166 168 181 197 202 223

Other Derivatives 274 214 403 229 197 228 226 211

Non-U.S. Currency Holdings 178 183 182 151 187 174 170 201

Cash/Cash Equivalents - Deposits 194 202 205 212 190 190 184 196

Non-Financial Convertible Bonds 79 86 90 86 117 140 174 182

MBS 222 264 295 207 236 243 205 174

Cash/Cash Equivalents - MMFs 154 161 171 209 186 169 168 173

Other Private Funds 125 121 123 113 114 122 133 145

Physical Real Estate 97 107 106 102 99 100 112 120

Other Loans (Excluding Repo) 107 99 107 100 109 117 115 118

Financial Equity Derivatives 92 98 106 82 89 86 92 97

Other 120 111 96 103 100 85 89 95

Financial Corporate Bonds 64 69 66 63 66 68 66 65

Other ABS/Structured Products 48 47 49 41 41 43 42 43

U.S. Agency and GSE Securities 42 45 43 36 35 39 42 39

CDO/CLO 44 43 42 31 35 35 33 35

Financial Unlisted Equities 21 26 24 22 22 24 26 27

U.S. State and Local Bonds 21 20 20 20 20 19 19 18

Registered Investment Companies 27 25 13 11 22 19 16 16

Financial Convertible Bonds 11 10 10 8 9 8 8 9

Physical Commodities 10 3 3 2 3 4 7 4

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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.

2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Interest Rate Derivatives 51.7 49.7 47.8 47.9 44.4 52.4 51.4 49.6

Foreign Exchange Derivatives 54.8 59.4 58.3 57.8 60.3 58.4 58.6 58.7

Non-Financial Listed Equities 67.7 67.8 68.7 69.9 69.0 69.8 70.7 71.0

Repurchase Agreements 37.1 35.1 35.9 37.1 38.4 38.0 38.4 45.2

U.S. Treasury Securities 60.0 61.2 60.6 61.1 61.3 62.3 60.9 55.1

Non-Financial Equity Derivatives 54.3 54.4 57.8 50.9 50.6 51.1 50.8 57.1

Sovereign Bonds - Non-U.S. G10 52.3 55.2 54.4 54.5 52.4 51.9 49.7 48.5

Credit Derivatives 42.2 45.2 49.7 43.5 41.7 42.4 45.2 46.8

Cash/Cash Equivalents - Other 79.2 81.2 81.6 78.5 80.5 79.4 77.1 72.5

Non-Financial Unlisted Equities 99.8 99.8 99.9 99.9 99.8 99.1 99.8 99.7

Commodity Derivatives 59.3 58.8 64.8 61.2 64.5 68.8 70.4 68.6

Financial Listed Equities 69.9 68.9 68.7 69.8 69.5 70.3 73.4 72.5

Sovereign Bonds - Other 77.0 78.0 75.5 77.4 77.9 75.4 75.9 75.7

Non-Financial Corporate Bonds 80.9 81.0 82.1 86.9 86.4 85.4 84.7 82.2

Leveraged Loans 99.2 99.5 99.5 99.5 98.2 99.4 99.5 98.3

Other Derivatives 63.5 56.2 41.5 40.9 48.6 65.0 42.5 43.9

Non-U.S. Currency Holdings 56.3 58.3 52.9 57.1 51.2 48.9 55.1 53.2

Cash/Cash Equivalents - Deposits 69.4 64.0 61.0 73.8 70.9 72.3 73.9 72.9

Non-Financial Convertible Bonds 93.7 92.6 94.5 93.5 99.2 98.7 98.4 97.9

MBS 82.4 82.6 81.6 85.9 83.6 82.0 80.2 81.8

Cash/Cash Equivalents - MMFs *** *** 98.9 *** *** *** *** ***

Other Private Funds 99.8 99.5 99.8 99.8 99.7 99.7 *** ***

Physical Real Estate *** *** *** *** *** *** *** ***

Other Loans (Excluding Repo) 89.7 89.5 90.4 88.2 90.9 91.0 88.8 93.5

Financial Equity Derivatives 57.3 55.5 55.3 54.7 55.0 55.2 57.8 59.8

Other 92.2 96.1 96.3 94.3 94.4 95.0 94.9 94.6

Financial Corporate Bonds 90.4 91.6 92.0 92.7 91.5 91.5 90.0 89.7

Other ABS/Structured Products 99.3 99.3 99.3 99.7 *** 99.5 99.8 94.3

U.S. Agency and GSE Securities 82.5 79.9 75.4 87.8 86.7 85.0 78.5 72.5

CDO/CLO *** *** *** *** *** *** *** ***

Financial Unlisted Equities 99.8 99.6 99.4 99.8 99.8 99.9 99.8 99.7

U.S. State and Local Bonds 99.3 *** 99.5 99.1 *** *** 98.4 98.3

Registered Investment Companies 97.7 98.0 97.3 96.4 92.5 97.2 *** ***

Financial Convertible Bonds 95.7 96.0 95.8 96.7 96.8 97.1 97.4 97.4

Physical Commodities 99.0 97.7 *** 98.9 98.8 99.1 99.2 ***

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November 1, 2021 Analytics Office

E Number of Positions

Figure 12: Number of Positions Reported by Qualifying Hedge Funds

As reported on Form PF, Question 34.

2019-062019-092019-122020-032020-062020-092020-122021-03

0

500

1000

1500

2000

Number of Positions

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November 1, 2021 Analytics Office

F Liquidity

Table 48: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 50.

Liquidation Period 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

At most 1 day 8.0 7.5 7.6 7.8 7.6 7.7 6.7 6.1

At most 7 days 13.9 13.7 13.0 12.8 13.0 13.1 10.0 9.4

At most 30 days 27.0 26.7 26.2 25.5 24.4 24.4 22.4 22.2

At most 90 days 46.2 46.7 46.0 44.3 42.7 42.5 43.5 39.6

At most 180 days 57.1 58.3 56.7 55.1 53.2 54.5 51.5 50.9

At most 365 days 70.0 69.5 68.7 67.4 66.8 65.9 64.6 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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

At most 1 day 36.2 35.8 34.6 39.3 37.7 35.3 32.4 33.3

At most 7 days 59.7 58.5 56.8 59.4 58.8 56.6 54.9 54.6

At most 30 days 72.3 71.3 69.9 70.4 70.3 69.5 68.4 67.6

At most 90 days 78.5 77.7 76.2 75.7 76.2 75.7 75.0 74.1

At most 180 days 82.2 81.6 80.2 79.4 80.4 80.0 79.3 78.2

At most 365 days 86.4 85.9 85.1 83.7 84.6 84.5 84.2 83.4

Figure 13: Asset Weighted-Average Qualifying Hedge Fund

Investor and Portfolio Liquidity

As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of First Calendar Quarter 2021.

At most 1 day

At most 7 days

At most 30 daysAt most 90 days

At most 180 daysAt most 365 days

0

20

40

60

80

Percent of Fund Net Assets (%)

Portfolio Liquidity Investor Liquidity

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November 1, 2021 Analytics Office

Table 50: Restrictions on Qualifying Hedge Fund Assets ($ Billions)

As reported on Form PF, Questions 48 and 49.

Type 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

May Suspend 2,424 2,410 2,413 2,147 2,359 2,484 2,605 2,702

May Have Gates 1,512 1,487 1,546 1,381 1,514 1,601 1,726 1,801

Side-Pocketed 42 45 47 47 54 61 73 89

Gated 40 42 42 47 56 50 64 76

Suspended 16 18 15 22 18 15 20 19

Figure 14: Percentage of Qualifying Hedge Fund NAV

Subject to a Side-Pocket Arrangement

See Appendix C for an explanation of boxplots.

As reported on Form PF, Questions 9 and 48.

2019Q22019Q32019Q42020Q12020Q22020Q32020Q42021Q1

0

10

20

30

40

NAV in Side-Pocket (%)

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November 1, 2021 Analytics Office

G Borrowings

Table 51: Borrowings of Qualifying Hedge Funds ($ Billions)

As reported on Form PF, Question 43 (Third Month).

Type Subtype 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Secured

Subtotal 3,140 3,059 3,129 2,865 2,855 3,154 3,182 3,176

Prime Broker 1,424 1,342 1,390 1,061 1,288 1,396 1,599 1,670

Reverse Repo 1,287 1,316 1,289 1,365 1,151 1,310 1,180 1,026

Other Secured 429 401 450 438 415 447 403 480

Unsecured Subtotal 15 16 18 19 13 12 13 14

Total Total 3,156 3,075 3,147 2,884 2,868 3,166 3,195 3,190

Table 52: Aggregate Borrowing by Creditor Entity Type (Percent)

As reported on Form PF, Question 43 (Third Month).

Creditor Type 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

US Financial 63.6 63.6 63.1 61.2 63.5 61.1 64.6 65.3

Non-US Financial 35.9 35.8 36.2 38.0 35.8 38.1 34.7 34.0

US Non-Financial *** *** *** 0.6 *** 0.6 *** 0.6

Non-US Non-Financial *** *** *** 0.1 *** 0.1 *** 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 Collateral Type 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Prime Broker

Subtotal 1,792 1,690 1,751 1,405 1,703 1,843 2,117 2,191

Other 1,214 1,147 1,212 952 1,174 1,281 1,500 1,530

Cash 578 543 539 453 529 562 617 661

Reverse Repo

Subtotal 1,354 1,370 1,304 1,464 1,191 1,346 1,262 1,062

Other 803 835 799 874 770 907 862 727

Cash 550 535 506 590 421 439 400 335

Other Secured

Subtotal 494 482 498 510 486 513 497 594

Other 324 339 344 351 344 379 389 434

Cash 169 143 154 159 142 134 108 159

Total Total 3,639 3,542 3,553 3,379 3,380 3,701 3,876 3,847

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November 1, 2021 Analytics Office

Figure 15: Ratio of Collateral Posted to Secured Borrowing

for Qualifying Hedge Funds

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

As reported on Form PF, Question 43.

2019-062019-092019-122020-032020-062020-092020-122021-03

0

2

4

6

8

Collateral/Total Secured Borrowing

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

(a) Total Secured Borrowing

2019-062019-092019-122020-032020-062020-092020-122021-03

0

2

4

6

8

Collateral/Prime Broker Borrowing

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

(b) Prime Broker Borrowing

2019-062019-092019-122020-032020-062020-092020-122021-03

0

2

4

6

8

Collateral/Reverse Repo Borrowing

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

(c) Reverse Repo Borrowing

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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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

At most 1 day 34.5 39.8 29.2 37.2 39.4 39.2 27.9 38.0

At most 7 days 51.1 54.2 48.1 50.6 50.9 51.4 44.7 45.7

At most 30 days 67.9 68.8 67.2 69.9 66.5 67.4 65.3 65.1

At most 90 days 83.4 82.6 82.6 83.8 81.1 80.8 79.2 78.6

At most 180 days 95.4 95.1 94.9 94.3 94.5 94.7 94.9 94.4

At most 365 days 96.5 96.2 96.0 95.3 95.9 96.0 96.0 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.

At most 1 day

At most 7 days

At most 30 daysAt most 90 days

At most 180 daysAt most 365 days

0

20

40

60

80

100

Percent of Available Financing (%)

Financing Liquidity

46
November 1, 2021 Analytics Office

H Central Clearing

Figure 17: Qualifying Hedge Funds Using Central Clearing

As reported on Form PF, Question 39.

2019Q22019Q32019Q42020Q12020Q22020Q32020Q42021Q1

0

5

10

15

20

Percent of Funds Percent of NAV

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November 1, 2021 Analytics Office

I Value-at-Risk (“VaR”) Reporting

Table 55: Number of Qualifying Hedge Funds Using VaR

As reported on Form PF, Question 40.

VaR Method 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

VaR (Any Method) 657 660 665 661 656 619 604 587

Historical Simulation 303 312 315 309 309 283 276 266

Monte Carlo Simulation 165 167 174 176 169 167 168 171

Parametric 183 177 176 172 174 168 155 151

Other 46 45 43 48 46 43 43 45

VaR Not Used 1,115 1,130 1,143 1,151 1,144 1,147 1,175 1,258

Table 56: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions)

As reported on Form PF, Questions 8 and 40.

VaR Method 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

VaR (Any Method) 3,981 3,872 3,894 3,743 3,640 3,867 3,832 3,727

Historical Simulation 2,197 2,052 2,039 1,940 1,819 1,953 1,984 1,938

Monte Carlo Simulation 700 709 736 704 804 836 883 871

Parametric 807 805 774 713 717 744 605 604

Other 851 868 913 868 807 845 898 846

VaR Not Used 2,709 2,717 2,753 2,517 2,694 2,877 3,182 3,385

Table 57: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions)

As reported on Form PF, Questions 9 and 40.

VaR Method 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

VaR (Any Method) 1,379 1,367 1,363 1,219 1,318 1,357 1,328 1,337

Historical Simulation 557 559 557 504 544 560 574 580

Monte Carlo Simulation 332 334 351 318 341 351 361 368

Parametric 472 450 441 372 410 421 363 360

Other 131 135 121 131 140 147 145 156

VaR Not Used 1,783 1,802 1,856 1,681 1,877 2,023 2,225 2,381

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J 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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Stress and VaR 579 591 588 592 589 559 546 525

Stress, No VaR 463 459 448 428 433 430 400 435

No Stress, VaR 78 69 77 69 67 60 58 62

Neither 652 671 695 723 711 717 775 823

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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Stress and VaR 3,758 3,691 3,705 3,553 3,287 3,641 3,470 3,463

Stress, No VaR 1,380 1,330 1,299 1,148 1,237 1,302 1,383 1,435

No Stress, VaR 223 181 188 190 353 226 362 263

Neither 1,329 1,387 1,455 1,369 1,457 1,575 1,799 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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Stress and VaR 1,240 1,254 1,239 1,108 1,178 1,226 1,172 1,187

Stress, No VaR 740 740 741 651 732 781 819 846

No Stress, VaR 139 114 124 111 140 130 156 150

Neither 1,043 1,062 1,116 1,030 1,145 1,242 1,406 1,535

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November 1, 2021 Analytics Office

K Stress Testing

Table 61: Number of Qualifying Hedge Funds Stressing Each Market Factor

As reported on Form PF, Question 42.

Market Factor 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Equity Prices 880 891 873 858 853 827 787 779

Currency Rates 753 774 768 757 753 721 681 700

Risk Free Rates 756 761 745 733 740 708 657 659

Credit Spreads 668 676 658 647 645 623 577 567

Implied Volatilities 559 576 549 529 528 511 466 455

Commodity Prices 491 499 476 453 467 450 404 389

Bond Default Rates 286 285 266 256 266 258 229 241

ABS Default Rates 237 243 225 205 218 214 188 202

Table 62: Aggregate GAV of Qualifying Hedge Funds

Stressing Each Market Factor ($ Billions)

As reported on Form PF, Questions 8 and 42.

Market Factor 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Equity Prices 4,418 4,330 4,348 4,097 3,833 4,355 4,342 4,380

Currency Rates 4,081 3,968 3,971 3,781 3,576 3,969 3,863 3,890

Risk Free Rates 4,468 4,344 4,290 4,089 3,828 4,177 4,008 4,128

Credit Spreads 3,687 3,620 3,644 3,502 3,107 3,557 3,458 3,479

Implied Volatilities 3,666 3,585 3,528 3,294 3,053 3,445 3,168 3,218

Commodity Prices 3,389 3,282 3,267 3,164 2,806 3,319 3,132 3,172

Bond Default Rates 1,144 1,043 984 937 876 914 872 882

ABS Default Rates 997 897 871 832 762 789 738 752

Table 63: Aggregate NAV of Qualifying Hedge Funds

Stressing Each Market Factor ($ Billions)

As reported on Form PF, Questions 9 and 42.

Market Factor 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Equity Prices 1,757 1,778 1,758 1,549 1,688 1,782 1,761 1,808

Currency Rates 1,536 1,554 1,536 1,373 1,480 1,554 1,503 1,535

Risk Free Rates 1,514 1,527 1,492 1,332 1,429 1,479 1,398 1,490

Credit Spreads 1,337 1,352 1,327 1,170 1,257 1,320 1,234 1,253

Implied Volatilities 1,126 1,149 1,117 991 1,062 1,131 1,030 1,058

Commodity Prices 1,120 1,122 1,083 968 1,041 1,098 1,001 1,019

Bond Default Rates 424 426 392 339 396 403 376 387

ABS Default Rates 369 376 347 294 348 358 329 340

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November 1, 2021 Analytics Office

Table 64: Number of Qualifying Hedge Funds Stressing Market Factors

As reported on Form PF, Question 42.

Factors Tested 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

0 730 740 772 792 778 777 833 885

1 179 179 181 182 183 183 178 202

2 115 117 118 115 112 110 118 117

3 115 100 95 94 107 98 98 90

4 88 99 103 105 98 98 101 103

5 122 121 131 124 119 108 113 117

6 201 202 200 211 197 189 162 149

7 68 77 73 74 75 75 68 61

8 154 155 135 115 131 128 108 121

Table 65: Aggregate GAV of Qualifying Hedge Funds

Stressing Market Factors ($ Billions)

As reported on Form PF, Questions 8 and 42.

Factors Tested 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

0 1,552 1,568 1,643 1,560 1,810 1,801 2,161 2,213

1 386 397 416 365 414 424 466 414

2 590 570 544 475 493 510 528 596

3 364 338 339 290 431 336 315 302

4 256 272 254 262 251 240 287 292

5 788 746 776 763 740 841 849 831

6 1,812 1,825 1,838 1,759 1,435 1,785 1,637 1,690

7 184 222 243 203 250 260 275 263

8 759 649 595 584 511 547 497 511

Table 66: Aggregate NAV of Qualifying Hedge Funds

Stressing Market Factors ($ Billions)

As reported on Form PF, Questions 9 and 42.

Factors Tested 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

0 1,182 1,176 1,240 1,141 1,285 1,372 1,562 1,685

1 259 260 269 240 267 278 308 272

2 206 205 212 191 214 230 264 307

3 196 187 189 170 199 208 229 217

4 149 163 158 141 138 144 142 162

5 274 265 271 237 254 266 273 282

6 552 550 556 493 497 533 450 467

7 109 127 122 119 123 126 127 120

8 235 235 202 168 218 222 198 207

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November 1, 2021 Analytics Office

IX Section 3 Liquidity Fund Specific Information

A 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 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

At most 1 day 75.8 75.0 73.1 75.1 72.7 72.2 72.1 71.4

At most 7 days 96.0 95.9 95.6 95.8 95.0 95.2 94.7 93.4

At most 30 days 99.6 99.7 99.7 99.7 99.1 99.1 98.6 98.0

At most 90 days 99.9 99.8 99.8 99.9 99.5 99.5 99.3 98.8

At most 180 days 100.0 99.9 99.9 99.9 99.9 99.9 99.7 99.4

At most 365 days 100.0 100.0 99.9 100.0 100.0 99.9 100.0 99.9

Table 68: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions)

As reported on Form PF, Question 63.

Type 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

May Suspend 271 272 268 268 274 296 294 271

May Have Gates 241 245 241 239 251 273 270 247

Suspended 0 0 0 0 0 0 0 0

Gated 0 0 0 0 0 0 0 0

B Portfolio Characteristics

Figure 18: Weighted-Average Maturity Reported by Section 3 Liquidity Funds

As reported on Form PF, Question 55.

2019-062019-092019-122020-032020-062020-092020-122021-03

0

10

20

30

40

50

Weighted Average Maturity (WAM) in Days

Average WAM Asset-Weighted WAM

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November 1, 2021 Analytics Office

Figure 19: Weighted-Average Life Reported by Section 3 Liquidity Funds

As reported on Form PF, Question 55.

2019-062019-092019-122020-032020-062020-092020-122021-03

0

20

40

60

80

Weighted Average Life (WAL) in Days

Average WAL Asset-Weighted WAL

Figure 20: Seven-Day Gross Yield Reported by Section 3 Liquidity Funds

As reported on Form PF, Question 55.

2019-062019-092019-122020-032020-062020-092020-122021-03

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Seven-Day Gross Yield (%)

Average Yield Asset-Weighted Yield

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November 1, 2021 Analytics Office

Figure 21: Ratio of Daily Liquid Assets to Net Asset Value of Section 3 Liquidity Funds

As reported on Form PF, Question 55.

2019-062019-092019-122020-032020-062020-092020-122021-03

0

20

40

60

80

100

Ratio of Daily Liquid Assets (DLA) 

 to Net Asset Value (%)

Average DLA Asset-Weighted DLA

Figure 22: Ratio of Weekly Liquid Assets to Net Asset Value of Section 3 Liquidity Funds

As reported on Form PF, Question 55.

2019-062019-092019-122020-032020-062020-092020-122021-03

0

20

40

60

80

100

Ratio of Weekly Liquid Assets (WLA) 

 to Net Asset Value (%)

Average WLA Asset-Weighted WLA

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November 1, 2021 Analytics Office

C Rule 2a-7 Compliance

Table 69: Rule 2a-7 Compliance (Percent of Funds)

As reported on Form PF, Questions 9 and 54.

Compliance Type 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Credit Quality 62.8 63.4 64.3 62.5 63.6 63.0 55.8 54.7

Diversification 58.1 58.5 59.5 57.5 59.1 58.7 51.9 50.9

Maturity 58.1 58.5 59.5 57.5 59.1 58.7 51.9 50.9

Liquidity 53.5 53.7 54.8 52.5 54.5 54.3 48.1 47.2

None 37.2 36.6 35.7 37.5 36.4 37.0 44.2 45.3

Fully 48.8 48.8 50.0 47.5 50.0 50.0 44.2 43.4

Table 70: Rule 2a-7 Compliance (Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 54.

Compliance Type 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Credit Quality 13.8 13.8 13.1 13.4 14.1 13.5 14.0 16.7

Diversification 13.0 13.2 12.5 12.7 13.2 12.4 12.7 15.4

Maturity 13.0 13.2 12.5 12.7 13.2 12.4 12.7 15.4

Liquidity 12.8 13.0 12.3 12.4 12.9 12.1 12.5 15.1

None 86.2 86.2 86.9 86.6 85.9 86.5 86.0 83.3

Fully 10.9 11.0 10.3 10.4 10.9 10.2 10.4 13.1

D Methods of Calculating NAV

Table 71: NAV Calculation Method (Percent of Funds)

As reported on Form PF, Questions 9, 52, and 53.

Type 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Stable 74.4 75.6 73.8 75.0 72.7 73.9 73.1 75.5

Floating 25.6 24.4 26.2 25.0 27.3 26.1 26.9 24.5

Table 72: NAV Calculation Method (Percent of Aggregate NAV)

As reported on Form PF, Questions 9, 52, and 53.

Type 2019Q2 2019Q3 2019Q4 2020Q1 2020Q2 2020Q3 2020Q4 2021Q1

Stable 55.7 62.2 63.9 67.7 67.4 69.4 65.7 68.1

Floating 44.3 37.8 36.1 32.3 32.6 30.6 34.3 31.9

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November 1, 2021 Analytics Office

E Aggregate Portfolio Holdings

Table 73: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2

As reported on Form PF, Question 63.

Product Type 2019-042019-052019-062019-072019-082019-092019-102019-112019-122020-012020-022020-03

U.S. Treasuries 40.9 37.5 39.5 36.6 41.3 50.2 49.8 55.3 60.0 42.4 41.1 86.1

Deposits 59.5 60.2 63.6 66.0 67.9 63.7 62.2 68.3 63.2 78.2 75.4 56.9

Commercial Paper 39.5 41.5 39.0 40.1 42.7 40.4 43.0 42.3 41.2 43.6 48.3 31.8

Other 40.2 38.1 43.3 46.6 42.3 40.7 40.5 38.7 39.2 35.9 32.0 29.6

Repo - Govt. Collateral 58.0 59.0 62.5 69.8 60.6 52.0 51.7 46.8 45.9 43.7 44.7 46.1

Asset-Backed Securities 19.7 20.6 17.7 18.2 17.3 17.4 16.9 16.2 15.5 17.0 16.5 12.9

Repo - Other Collateral 12.7 10.4 11.6 11.8 8.0 9.6 10.0 9.6 7.9 8.7 8.7 9.1

U.S. Govt. Debt 3.2 4.2 3.4 2.3 2.4 2.2 1.9 1.9 1.8 1.8 2.0 2.3

Municipal Debt 0.8 0.8 0.7 0.7 0.6 0.6 0.7 0.7 0.7 0.7 0.7 0.9

Table 74: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2

As reported on Form PF, Question 63.

Product Type 2020-042020-052020-062020-072020-082020-092020-102020-112020-122021-012021-022021-03

U.S. Treasuries 101.2 107.0 108.4 102.1 101.2 108.5 107.3 103.1 104.1 97.2 89.5 91.9

Deposits 62.2 56.2 51.8 58.9 51.9 50.9 55.1 58.0 49.5 58.6 64.8 54.9

Commercial Paper 37.5 33.4 35.8 36.8 41.7 39.3 33.1 35.2 36.0 43.4 44.1 47.4

Other 26.9 29.3 35.7 38.6 31.0 29.7 31.6 36.0 37.6 33.8 35.4 36.3

Repo - Govt. Collateral 25.2 28.1 30.7 35.0 44.4 42.3 33.0 31.7 39.0 27.7 25.8 23.9

Asset-Backed Securities 18.6 19.7 18.8 19.6 19.2 17.9 15.8 18.0 19.2 18.2 18.8 21.1

Repo - Other Collateral 9.9 12.0 14.4 15.5 15.8 16.5 17.0 19.9 17.9 18.3 17.9 13.3

U.S. Govt. Debt 2.9 2.3 2.4 2.3 1.9 2.2 1.7 1.9 1.8 1.9 1.6 1.4

Municipal Debt 1.0 1.1 1.3 1.5 1.4 1.3 0.9 0.8 0.9 0.9 0.9 1.1

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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 2014Q4 2015Q4 2016Q4 2017Q4 2018Q4 2019Q4 2020Q4

Software Publishers 3.8 4.9 6.1 6.0 8.0 10.6 9.7

Electric Power Generation,... 3.8 3.7 4.1 4.2 4.5 4.3 4.8

Telecommunications Data Processing... 2.5 2.7 2.3 2.2 2.4 2.6 3.7

Data Processing, Hosting, &... 2.3 1.8 2.0 2.3 3.5 4.2 3.6

Other Financial Investment... 1.8 1.8 1.7 1.4 2.1 2.1 2.8

Other Information Services 2.1 1.9 1.8 2.0 1.7 1.9 2.5

Pharmaceutical & Medicine Mfg 1.3 1.5 1.4 1.5 2.4 2.0 2.1

Oil & Gas Extraction 7.8 5.8 6.7 6.2 4.9 3.6 1.9

Custom Computer Programming... 1.0 1.5 1.5 1.5 1.8 2.1 1.9

All Other Professional,... 0.6 0.6 0.9 0.8 1.4 1.4 1.9

Other Financial Vehicles 0.4 0.6 1.8 1.6 1.3 1.2 1.8

Insurance Agencies & Brokerages 1.0 1.0 1.2 1.1 1.0 1.1 1.5

Management, Scientific, &... 1.2 1.1 1.3 1.6 1.4 1.6 1.4

Scientific Research & Development... 0.9 1.0 0.7 1.0 1.0 1.7 1.3

Pipeline Transportation 2.6 2.4 2.2 1.9 1.8 1.7 1.3

Educational Services 1.3 1.3 1.2 1.4 1.2 1.1 1.3

Other Computer Related Services 0.4 0.5 0.9 0.9 1.0 0.8 1.2

Activities Related to Credit... 1.2 1.4 1.0 1.2 1.3 1.4 1.2

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November 1, 2021 Analytics Office

B CPC Financial Leverage

Figure 23: Distribution of Ratio of Aggregate CPC Current Liabilities

to Total Liabilities of Section 4 Private Equity Funds

See Appendix C for an explanation of boxplots.

As reported on Form PF, Questions 71 and 72.

2014Q42015Q42016Q42017Q42018Q42019Q42020Q4

0

10

20

30

40

50

Ratio of Portfolio Company Current 

 Liabilities to Total Liabilities (%)

Figure 24: Distribution of CPC Payment-in-Kind or

Zero Coupon Borrowings to Total Borrowings Ratio

See Appendix C for an explanation of boxplots.

As reported on Form PF, Question 73.

2014Q42015Q42016Q42017Q42018Q42019Q42020Q4

0

20

40

60

CPC Payment-in-Kind Borrowings 

 to Total Borrowings Ratio (%)

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November 1, 2021 Analytics Office

C 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 2014Q4 2015Q4 2016Q4 2017Q4 2018Q4 2019Q4 2020Q4

North America 4,506 4,132 3,942 3,961 4,211 5,163 6,633

Europe EEA 1,259 941 848 963 1,256 1,547 2,156

Asia 462 447 406 379 435 561 1,028

Europe Other 9 21 22 40 46 69 158

South America 85 58 111 184 140 149 141

Supranational 67 23 37 49 55 60 78

Middle East 12 9 15 23 16 18 44

Africa 12 12 18 14 10 15 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 2014Q4 2015Q4 2016Q4 2017Q4 2018Q4 2019Q4 2020Q4

North America 70.2 73.2 73.0 70.5 68.2 68.0 64.7

Europe EEA 19.6 16.7 15.7 17.1 20.3 20.4 21.0

Asia 7.2 7.9 7.5 6.8 7.0 7.4 10.0

Europe Other 0.1 0.4 0.4 0.7 0.7 0.9 1.5

South America 1.3 1.0 2.0 3.3 2.3 2.0 1.4

Supranational 1.0 0.4 0.7 0.9 0.9 0.8 0.8

Middle East 0.2 0.2 0.3 0.4 0.3 0.2 0.4

Africa 0.2 0.2 0.3 0.3 0.2 0.2 0.1

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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 2014Q4 2015Q4 2016Q4 2017Q4 2018Q4 2019Q4 2020Q4

United States 4,305 3,943 3,776 3,794 4,015 4,803 6,243

Japan 98 85 79 52 52 78 283

China and Hong Kong 186 173 114 147 154 149 235

India 83 89 92 73 104 128 229

Brazil 58 41 88 131 96 93 78

Russia 2 5 4 4 2 1 1

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 2014Q4 2015Q4 2016Q4 2017Q4 2018Q4 2019Q4 2020Q4

United States 67.1 69.9 69.9 67.6 65.1 63.3 60.9

Japan 1.5 1.5 1.5 0.9 0.8 1.0 2.8

China and Hong Kong 2.9 3.1 2.1 2.6 2.5 2.0 2.3

India 1.3 1.6 1.7 1.3 1.7 1.7 2.2

Brazil 0.9 0.7 1.6 2.3 1.6 1.2 0.8

Russia 0.0 0.1 0.1 0.1 0.0 0.0 0.0

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XI Appendices

A 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.

6Note 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.

7An 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.

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3 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.

9This 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.

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B 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 How to Read a Boxplot

In these figures, the boxes extend from the twenty-fifth percentile to the seventy-fifth percentile,

while the levels (the dashed vertical lines) extend from the tenth to the twenty-fifth percentile as well

as the seventy-fifth to the ninetieth percentile. Also shown as a red line within the box is the median

(the fiftieth percentile) and the horizontal dashed line is mean of the distribution. See Figure 25 for

an explanation of each feature.

Figure 25: How to Read a Boxplot

10Form 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.

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D 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.

11Such techniques are known as ‘robust statistics’, reviewed for example in Wilcox (2012), Introduction to Robust

Estimation & Hypothesis Testing, 3rd Edition.

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E 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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