U.S. Securities and Exchange Commission

Annual Staff Report Relating to the Use of Form PF Data

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

The Commission has expressed no view regarding

the analysis, findings, or conclusions contained herein.

December 9, 2022
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 $14 trillion in net assets. Private funds 

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

and test with evidence assertions about private fund activity. 

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

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

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

their market activities and risks.

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

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

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

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

identify areas of inquiry.

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

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

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

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

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

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

interest, subject to protections designed to maintain data security.
2 

I. Introduction

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

approximately $14 trillion in reported net assets as of the fourth quarter of 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, liquidity funds, and other 

private funds) to file Form PF to report information about the private funds they manage.3 Section 204(b) 

of the Advisers Act requires an annual report to Congress regarding how the Commission has used the 

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

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

 

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

analysis, findings, or conclusions contained herein. 

 

1

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

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

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

2

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

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

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

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

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

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

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

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

3

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

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

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

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

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

4

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

5

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

Relating to the Use of Form PF Data, https://www.sec.gov/reports. 
3 

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

Overview of Form PF

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

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

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

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

data on which the Commission would otherwise rely.

7 The data set that is generated from information 

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

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

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

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

Form PF in consultation with FSOC.9

 

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

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

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

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

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

detailed information on particular hedge funds and liquidity funds. 

How the Commission Secures and Manages Form PF Data

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

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

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

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

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

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

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

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

 

6

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

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

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

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

Stat. 1376 (the “Dodd-Frank Act”).

7

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

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

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

8

 See supra note 6.

9

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

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

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

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

supra note 2, at Section II.E

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

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 Form PF Data to inform policy are as follows:

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

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

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

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

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

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

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

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

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

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

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

15

 

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

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

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

Appendix and Section III.B, infra.
6 

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

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

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

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

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

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

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

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

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

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

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

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

loans and collateralized loan obligations. 

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

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

and market participants. For example, the Commission has recently proposed amendments to Form PF to 

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

funds, among other things.

17 In a joint rulemaking proposal with the CFTC, the Commission proposed 

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

the SEC’s regulatory oversight of private fund advisers and investor protection efforts.

18 In a proposed 

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

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

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

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

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

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

 

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

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

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

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

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

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

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

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

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

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

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

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

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

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

https://www.sec.gov/rules/proposed/2022/ia-5955.pdf. 
7 

Informing the Public about the Private Fund Industry

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

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

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

advisers. Following are two examples.

 

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

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

data.22 As supplemented with new data and analysis in May 2017, and more recently in December 2020, 

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

practices.23 To avoid public disclosure of proprietary information of private fund advisers, the Form PF 

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

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

published. The Appendix contains the most recent report.24 

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

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

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

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

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

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

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

with data published by staff relating to registered money market funds.25 Staff understands that the financial 

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

 

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

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

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

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

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

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

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

https://www.sec.gov/divisions/investment/mmf-statistics.shtml.
8 

to assist investors with investment decisions.

26 In addition, the staff understands that other regulators and 

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

27

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

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

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

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

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

 

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

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

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

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

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

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

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

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

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

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

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

27 See IOSCO investment Funds Statistics Report, Jan. 2022, 

https://www.iosco.org/library/pubdocs/pdf/IOSCOPD693.pdf. 
9 

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

compare them to registered money market funds.29 

Assisting the Examinations and Enforcement Programs30

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

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

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

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

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

compliance risks.

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

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

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

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

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

reporting periods. 

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

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

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

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

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

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

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

monitoring programs. Generated from analytical tools that use custom code developed by staff to automate 

report production, these reports deliver intuitive and timely output to examiners, using the most recently 

filed Form PF and Form ADV data. 

 

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

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

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

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

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

Hedge Fund Liquidity Management: Insights for Fund Performance Mar. 22, 2022), 

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

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

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

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.

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

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

Section 210(b).
10 

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

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

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

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

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

Coordination and Consultation with Other Financial Regulators 

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

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

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

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

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

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

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

agreements with OFR. 

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

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

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

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

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

of asset management products and activities.

31 Commission staff from time to time also may provide certain 

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

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

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

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

of private fund advisers. 

IV. Conclusion

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

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

regulators and international organizations. 

 

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

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

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

alternative funds.
A-1

Appendix

(Private Funds Statistics, First Calendar Quarter 2022)
Division of Investment Management

Analytics Office

Private Funds Statistics

First Calendar Quarter 2022

October 14, 2022

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

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

findings, or conclusions contained herein.
October 14, 2022 Analytics Office

Introduction

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

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

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

information of individual Form PF filers.

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

2022 as reported by Form PF filers.2 Please see the Appendix for information on the categories of

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

figures, as well as other technical descriptions.

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

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

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

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

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

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

If you have any questions or comments about First Calendar Quarter 2022 Private

Funds Statistics, please contact:

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

line “First Calendar Quarter 2022-Private Funds Statistics”.

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.

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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October 14, 2022 Analytics Office

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

3
October 14, 2022 Analytics Office

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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Private Equity Fund 14,501 14,498 15,752 15,841 15,879 15,853 19,030 18,925

Hedge Fund 9,415 9,476 9,379 9,484 9,622 9,496 9,443 9,628

Section 4 Private Equity Fund 4,405 4,408 5,267 5,292 5,308 5,309 6,529 6,646

Other Private Fund 4,974 4,962 5,390 5,406 5,385 5,352 6,030 6,269

Real Estate Fund 3,115 3,116 3,289 3,292 3,295 3,289 3,758 3,766

Securitized Asset Fund 1,721 1,726 1,862 1,867 1,915 1,910 2,243 2,251

Venture Capital Fund 1,155 1,150 1,422 1,422 1,424 1,419 2,183 2,200

Qualifying Hedge Fund 1,814 1,780 1,793 1,860 1,967 2,015 2,072 2,094

Liquidity Fund 67 69 72 73 76 77 79 79

Section 3 Liquidity Fund 45 47 53 54 56 57 56 54

Total 34,948 34,997 37,166 37,385 37,596 37,396 42,766 43,118

Table 2: Number of Advisers Advising Each Fund Type

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

because the rows are not mutually exclusive.

Fund Type 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Private Equity Fund 1,365 1,368 1,450 1,456 1,459 1,457 1,629 1,628

Hedge Fund 1,727 1,728 1,760 1,760 1,765 1,761 1,855 1,853

Section 4 Private Equity Fund 325 326 366 367 369 369 433 435

Other Private Fund 644 642 691 693 691 682 734 734

Real Estate Fund 372 373 388 388 389 388 424 426

Securitized Asset Fund 160 161 165 165 166 165 176 175

Venture Capital Fund 153 152 178 177 176 176 229 231

Qualifying Hedge Fund 540 530 545 568 590 594 618 608

Liquidity Fund 37 38 37 37 37 37 39 39

Section 3 Liquidity Fund 22 23 24 24 24 24 24 23

Total 3,241 3,238 3,387 3,392 3,396 3,387 3,659 3,659

3

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

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

terms used in this report.

4
October 14, 2022 Analytics Office

II Gross and Net Assets

A Aggregate Assets by Fund Type over Time

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

As reported on Form PF, Question 8.

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

because the rows are not mutually exclusive.

Fund Type 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Hedge Fund 7,780 8,206 8,776 8,920 9,584 9,784 9,760 9,782

Qualifying Hedge Fund 6,403 6,825 7,096 7,233 7,894 8,307 8,333 8,268

Private Equity Fund 3,810 3,811 4,713 4,821 4,824 4,825 6,402 6,382

Section 4 Private Equity Fund 2,795 2,796 3,586 3,665 3,673 3,674 4,958 4,949

Other Private Fund 1,383 1,392 1,477 1,496 1,509 1,438 1,744 1,761

Real Estate Fund 666 666 811 810 810 812 966 966

Securitized Asset Fund 647 649 710 712 729 729 869 869

Venture Capital Fund 145 150 225 223 222 222 327 331

Liquidity Fund 309 329 326 314 330 310 318 318

Section 3 Liquidity Fund 306 326 324 312 328 308 316 314

Total 14,738 15,204 17,039 17,296 18,008 18,118 20,386 20,408

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

As reported on Form PF, Question 9.

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

because the rows are not mutually exclusive.

Fund Type 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Hedge Fund 4,092 4,300 4,664 4,813 5,133 5,116 5,132 5,151

Qualifying Hedge Fund 3,215 3,401 3,574 3,740 4,057 4,166 4,191 4,150

Private Equity Fund 3,374 3,375 4,161 4,264 4,269 4,269 5,740 5,726

Section 4 Private Equity Fund 2,493 2,493 3,203 3,276 3,283 3,283 4,485 4,483

Other Private Fund 1,216 1,229 1,300 1,318 1,341 1,274 1,555 1,577

Real Estate Fund 507 507 615 613 613 615 742 743

Securitized Asset Fund 202 204 218 216 219 220 264 265

Venture Capital Fund 138 144 218 215 214 215 307 311

Liquidity Fund 303 323 322 304 319 302 313 313

Section 3 Liquidity Fund 300 320 320 302 317 300 311 309

Total 9,833 10,082 11,498 11,744 12,108 12,010 14,053 14,086

5
October 14, 2022 Analytics Office

Figure 1: GAV and NAV Distributions

See Appendix C for an explanation of boxplots.

As reported on Form PF, Questions 8 and 9.

2020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q1

0

2

4

6

8

GAV ($Billions)

(a) Qualifying Hedge Fund GAV

2020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q1

0

2

4

6

8

NAV ($Billions)

(b) Qualifying Hedge Fund NAV

2020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q1

0

500

1000

1500

GAV ($Millions)

(c) Section 4 Private Equity Fund GAV

2020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q1

0

500

1000

1500

NAV ($Millions)

(d) Section 4 Private Equity Fund NAV

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October 14, 2022 Analytics Office

Figure 2: Ratio of GAV to NAV

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

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

2020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q1

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

2020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q1

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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October 14, 2022 Analytics Office

B Borrowings

Table 5: Aggregate Borrowings (Percent of Aggregate GAV)

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

Fund Type 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Securitized Asset Fund 47.7 47.5 53.4 50.1 50.0 49.8 52.4 49.7

Qualifying Hedge Fund 45.3 47.0 45.6 45.2 45.7 44.6 45.6 43.2

Hedge Fund 41.3 43.0 41.0 40.9 41.6 41.3 42.1 39.8

Real Estate Fund 14.6 14.6 13.8 13.9 13.6 14.0 13.2 12.2

Private Equity Fund 6.4 6.4 5.0 4.7 4.7 4.7 5.5 5.5

Section 4 Private Equity Fund 7.3 7.3 5.1 4.9 4.9 4.9 5.4 5.5

Other Private Fund 4.7 4.8 5.0 4.9 4.1 3.9 3.5 3.6

Venture Capital Fund 0.8 0.8 0.5 0.5 0.5 0.5 0.7 0.7

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).

2020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q1

0

200

400

600

Total Borrowings ($Millions)

(a) All Private Funds

2020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q1

0

1

2

3

4

Total Borrowings ($Billions)

(b) Qualifying Hedge Funds

8
October 14, 2022 Analytics Office

Figure 4: Ratio of Borrowings to NAV

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

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

2020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q1

0

1

2

3

4

Ratio of Borrowings to NAV

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

(a) All Private Funds

2020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q1

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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

US Financial 66.7 64.7 66.3 67.2 67.7 67.0 67.1 66.4

Non-US Financial 30.8 32.9 30.4 30.1 29.9 30.5 29.3 30.5

US Non-Financial 2.5 2.4 2.3 2.4 2.2 2.3 2.8 3.1

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

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October 14, 2022 Analytics Office

C Fair Value Hierarchy

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

As reported on Form PF, Question 14.

2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Level One 3,825 3,836 4,249 4,279 4,315 4,384 4,683 4,651

Level Two 3,500 3,519 3,657 3,639 3,648 3,650 3,841 3,826

Level Three 4,119 4,129 5,071 5,171 5,203 5,273 6,794 6,829

Cost-Based 2,345 2,342 2,333 2,340 2,333 2,323 2,852 2,876

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

As reported on Form PF, Question 14.

2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Level One 1,289 1,299 1,344 1,336 1,340 1,342 1,701 1,701

Level Two 1,059 1,066 1,197 1,175 1,179 1,197 1,362 1,350

Level Three 268 267 294 296 303 338 376 377

Cost-Based 2,228 2,228 2,067 2,081 2,075 2,071 2,273 2,270

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October 14, 2022 Analytics Office

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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Hedge Fund 610 601 597 581 575 559 569 578

Other Private Fund 500 493 478 475 487 486 505 505

Private Equity Fund 330 330 311 311 312 312 301 302

Qualifying Hedge Fund 227 221 210 199 200 207 207 210

Section 4 Private Equity Fund 135 135 103 103 115 115 137 137

Real Estate Fund 95 95 73 73 73 73 81 89

Venture Capital Fund *** *** 17 17 17 17 30 30

Liquidity Fund 11 11 *** *** *** *** *** ***

Section 3 Liquidity Fund 11 11 11 11 11 *** *** ***

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

Total 1,553 1,537 1,489 1,470 1,478 1,460 1,498 1,516

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

As reported on Form PF, Question 11.

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

because the rows are not mutually exclusive.

Type 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Hedge Fund 638 634 764 768 808 840 880 839

Other Private Fund 2,044 2,028 2,583 2,620 2,647 2,642 2,675 2,672

Private Equity Fund 58 58 98 98 98 98 112 112

Qualifying Hedge Fund 434 414 473 470 512 551 565 538

Section 4 Private Equity Fund 38 38 44 44 68 68 102 102

Real Estate Fund 10 10 7 7 7 7 15 16

Venture Capital Fund *** *** 1 1 1 1 2 2

Liquidity Fund 366 383 *** *** *** *** *** ***

Section 3 Liquidity Fund 366 383 391 411 396 *** *** ***

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

Total 3,117 3,113 3,845 3,905 3,970 3,993 4,103 4,018

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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October 14, 2022 Analytics Office

Figure 5: Parallel Managed Account Value Distributions

See Appendix C for an explanation of boxplots.

As reported on Form PF, Question 11.

2020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q1

0

1

2

3

4

5

Parallel Managed Assets ($Billions)

(a) All Private Funds

2020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q1

0

2

4

6

Parallel Managed Assets ($Billions)

(b) Qualifying Hedge Funds

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October 14, 2022 Analytics Office

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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

United States 50.9 50.4 51.0 50.9 50.0 49.5 51.7 52.2

Cayman Islands 34.6 34.9 34.4 34.2 34.3 34.8 32.8 32.8

Luxembourg 3.1 3.2 3.7 3.6 3.7 3.7 4.1 4.1

Ireland 4.6 4.8 4.3 4.1 4.1 4.0 3.9 3.9

Bermuda 1.1 1.0 1.0 1.0 1.0 1.0 0.9 1.0

United Kingdom 1.0 1.0 1.0 1.0 0.9 0.9 1.0 0.9

Virgin Islands, British 1.1 1.1 1.0 1.0 1.0 1.0 0.9 0.9

Other 3.7 3.6 3.6 4.1 5.0 5.0 4.6 4.2

Qualifying Hedge Funds

Country 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Cayman Islands 52.5 53.2 53.4 52.7 51.6 51.8 51.8 51.0

United States 35.1 34.6 34.1 35.0 34.1 33.9 34.2 34.9

Ireland 3.1 3.1 3.2 3.1 3.2 3.2 3.2 3.1

Virgin Islands, British 3.0 2.9 2.8 2.8 2.7 2.7 2.6 2.8

Luxembourg 2.5 2.6 2.7 2.6 2.5 2.5 2.4 2.4

Bermuda 2.0 1.9 1.8 1.7 1.6 1.5 1.5 1.7

Other 1.8 1.8 2.0 2.1 4.3 4.5 4.2 4.2

Section 3 Liquidity Funds

Country 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

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

United States 24.1 22.9 25.5 28.0 27.8 26.6 27.6 28.5

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

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

Section 4 Private Equity Funds

Country 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

United States 55.1 55.1 56.3 55.2 55.2 55.2 56.2 56.9

Cayman Islands 31.3 31.3 29.6 29.0 28.9 28.9 29.3 29.6

Canada 1.8 1.8 2.2 2.2 2.2 2.2 2.0 1.9

United Kingdom 1.7 1.7 1.5 1.5 1.5 1.5 1.4 1.4

Bermuda 1.0 1.0 1.1 1.1 1.1 1.1 1.2 1.2

Other 9.1 9.1 9.3 11.0 11.1 11.1 9.9 9.0

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October 14, 2022 Analytics Office

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

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

All Private Funds

Country 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

United States 90.1 90.0 90.4 90.3 89.4 89.6 91.2 90.9

United Kingdom 5.3 5.3 4.6 4.8 4.8 4.6 3.9 4.0

Other 4.6 4.6 4.9 4.9 5.9 5.8 4.9 5.1

Qualifying Hedge Funds

Country 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

United States 89.8 89.8 88.9 89.6 87.6 88.0 88.1 88.5

United Kingdom 4.5 4.4 4.7 4.4 4.3 4.1 4.1 3.9

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

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

Other 2.0 1.9 2.0 1.8 4.0 4.1 4.1 4.1

Section 3 Liquidity Funds

Country 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

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

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

Section 4 Private Equity Funds

Country 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

United States 93.8 93.8 94.2 94.3 94.3 94.3 95.6 95.6

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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Private Funds 1,674 1,713 2,041 2,073 2,129 2,132 2,595 2,635

Other 1,511 1,563 1,828 1,861 1,948 1,929 2,442 2,443

State/Muni. Govt. Pension Plans 1,331 1,343 1,534 1,557 1,576 1,586 1,857 1,881

U.S. Individuals 966 999 1,164 1,196 1,226 1,208 1,421 1,416

Pension Plans 1,142 1,164 1,248 1,266 1,278 1,262 1,370 1,376

Non-Profits 992 1,018 1,142 1,170 1,208 1,215 1,312 1,294

Sov. Wealth Funds And For. Official Inst. 670 690 803 844 855 856 1,006 1,000

Insurance Companies 470 476 554 567 584 594 696 704

Non-U.S. Individuals 248 258 296 309 387 384 416 401

Unknown Non-U.S. Investors 238 260 277 269 263 266 317 305

State/Muni. Govt. Entities 173 175 192 199 205 203 232 226

Banking/Thrift Inst. 173 172 169 176 190 189 188 195

Sec-Registered Investment Companies 130 129 134 143 144 138 154 160

Broker-Dealers 112 115 111 110 110 44 42 45

Table 14: Beneficial Ownership for All Private Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Private Funds 17.0 17.0 17.8 17.7 17.6 17.8 18.5 18.7

Other 15.4 15.5 15.9 15.8 16.1 16.1 17.4 17.3

State/Muni. Govt. Pension Plans 13.5 13.3 13.3 13.3 13.0 13.2 13.2 13.4

U.S. Individuals 9.8 9.9 10.1 10.2 10.1 10.1 10.1 10.1

Pension Plans 11.6 11.5 10.9 10.8 10.6 10.5 9.8 9.8

Non-Profits 10.1 10.1 9.9 10.0 10.0 10.1 9.3 9.2

Sov. Wealth Funds And For. Official Inst. 6.8 6.8 7.0 7.2 7.1 7.1 7.2 7.1

Insurance Companies 4.8 4.7 4.8 4.8 4.8 4.9 5.0 5.0

Non-U.S. Individuals 2.5 2.6 2.6 2.6 3.2 3.2 3.0 2.8

Unknown Non-U.S. Investors 2.4 2.6 2.4 2.3 2.2 2.2 2.3 2.2

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

Banking/Thrift Inst. 1.8 1.7 1.5 1.5 1.6 1.6 1.3 1.4

Sec-Registered Investment Companies 1.3 1.3 1.2 1.2 1.2 1.2 1.1 1.1

Broker-Dealers 1.1 1.1 1.0 0.9 0.9 0.4 0.3 0.3

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B Qualifying Hedge Funds

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

As reported on Form PF, Questions 9 and 16.

Type 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Private Funds 532 564 607 643 696 725 724 733

Other 428 466 493 523 573 598 607 603

Non-Profits 470 494 539 561 594 601 602 581

Pension Plans 409 429 458 468 479 478 479 478

U.S. Individuals 362 384 415 454 486 492 492 473

State/Muni. Govt. Pension Plans 356 368 399 411 430 447 458 462

Sov. Wealth Funds And For. Official Inst. 205 220 227 237 244 256 264 266

Non-U.S. Individuals 91 99 111 113 186 186 182 171

Insurance Companies 96 101 113 122 131 140 144 147

Unknown Non-U.S. Investors 56 60 67 63 80 89 86 82

State/Muni. Govt. Entities 50 50 53 56 62 59 62 61

Banking/Thrift Inst. 34 37 38 40 43 42 41 41

Sec-Registered Investment Companies 45 46 38 41 42 42 38 39

Broker-Dealers 78 80 17 5 6 8 9 9

Table 16: Beneficial Ownership for Qualifying Hedge Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Private Funds 16.5 16.6 17.0 17.2 17.2 17.4 17.3 17.7

Other 13.3 13.7 13.8 14.0 14.1 14.4 14.5 14.5

Non-Profits 14.6 14.5 15.1 15.0 14.7 14.4 14.4 14.0

Pension Plans 12.7 12.6 12.8 12.5 11.8 11.5 11.4 11.5

U.S. Individuals 11.3 11.3 11.6 12.1 12.0 11.8 11.7 11.4

State/Muni. Govt. Pension Plans 11.1 10.8 11.2 11.0 10.6 10.7 10.9 11.1

Sov. Wealth Funds And For. Official Inst. 6.4 6.5 6.3 6.3 6.0 6.1 6.3 6.4

Non-U.S. Individuals 2.8 2.9 3.1 3.0 4.6 4.5 4.3 4.1

Insurance Companies 3.0 3.0 3.2 3.3 3.2 3.4 3.4 3.5

Unknown Non-U.S. Investors 1.8 1.8 1.9 1.7 2.0 2.1 2.1 2.0

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

Banking/Thrift Inst. 1.1 1.1 1.1 1.1 1.1 1.0 1.0 1.0

Sec-Registered Investment Companies 1.4 1.3 1.1 1.1 1.0 1.0 0.9 0.9

Broker-Dealers 2.4 2.3 0.5 0.1 0.2 0.2 0.2 0.2

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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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Other 92 93 89 83 105 101 96 103

Private Funds 57 55 59 55 52 50 57 58

Unknown Non-U.S. Investors 59 77 81 73 57 50 60 51

Banking/Thrift Inst. *** 11 *** *** 24 *** *** ***

Sec-Registered Investment Companies 17 18 20 24 25 27 23 24

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

Insurance Companies 11 10 10 11 11 9 9 8

Pension Plans *** 5 9 7 8 7 7 5

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

Non-Profits 2 2 3 3 3 3 4 3

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

State/Muni. Govt. Entities *** *** *** *** *** *** 3 ***

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

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

Table 18: Beneficial Ownership for Section 3 Liquidity Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Other 30.7 29.1 27.8 27.4 33.1 33.8 31.0 33.4

Private Funds 18.9 17.2 18.4 18.1 16.5 16.5 18.5 18.6

Unknown Non-U.S. Investors 19.8 24.0 25.2 24.1 18.0 16.7 19.2 16.6

Banking/Thrift Inst. *** 3.5 *** *** 7.4 *** *** ***

Sec-Registered Investment Companies 5.6 5.6 6.3 7.9 7.8 8.9 7.5 7.8

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

Insurance Companies 3.8 3.2 3.1 3.6 3.5 3.2 2.8 2.6

Pension Plans *** 1.5 2.7 2.3 2.4 2.4 2.3 1.7

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

Non-Profits 0.6 0.8 0.8 1.0 1.0 1.1 1.2 1.0

Non-U.S. Individuals 0.9 0.8 *** *** 1.1 0.9 *** ***

State/Muni. Govt. Entities *** *** *** *** *** *** 1.0 ***

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

State/Muni. Govt. Pension Plans *** 0.3 0.4 0.3 0.3 0.4 0.3 0.3

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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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Private Funds 468 468 656 659 662 662 956 974

State/Muni. Govt. Pension Plans 526 526 652 654 655 655 836 850

Other 392 392 513 544 544 544 818 802

Sov. Wealth Funds And For. Official Inst. 285 285 361 387 388 388 501 477

Pension Plans 201 201 246 246 247 247 324 325

U.S. Individuals 132 132 186 187 187 187 264 265

Insurance Companies 154 154 189 190 190 190 252 255

Non-Profits 140 140 180 180 180 180 237 238

State/Muni. Govt. Entities 56 56 63 63 63 63 82 82

Non-U.S. Individuals 54 54 65 71 71 71 83 77

Sec-Registered Investment Companies 28 28 27 27 27 27 49 50

Banking/Thrift Inst. 37 37 38 38 38 38 45 49

Unknown Non-U.S. Investors 19 19 25 25 25 25 33 34

Broker-Dealers 1 1 3 3 3 3 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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Private Funds 18.8 18.8 20.5 20.1 20.2 20.2 21.3 21.7

State/Muni. Govt. Pension Plans 21.1 21.1 20.3 20.0 20.0 20.0 18.6 19.0

Other 15.7 15.7 16.0 16.6 16.6 16.6 18.2 17.9

Sov. Wealth Funds And For. Official Inst. 11.4 11.4 11.3 11.8 11.8 11.8 11.2 10.6

Pension Plans 8.1 8.1 7.7 7.5 7.5 7.5 7.2 7.3

U.S. Individuals 5.3 5.3 5.8 5.7 5.7 5.7 5.9 5.9

Insurance Companies 6.2 6.2 5.9 5.8 5.8 5.8 5.6 5.7

Non-Profits 5.6 5.6 5.6 5.5 5.5 5.5 5.3 5.3

State/Muni. Govt. Entities 2.3 2.3 2.0 1.9 1.9 1.9 1.8 1.8

Non-U.S. Individuals 2.2 2.2 2.0 2.2 2.2 2.2 1.9 1.7

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

Banking/Thrift Inst. 1.5 1.5 1.2 1.2 1.2 1.2 1.0 1.1

Unknown Non-U.S. Investors 0.7 0.7 0.8 0.8 0.8 0.8 0.7 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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Real Estate Fund 56.6 56.6 56.2 56.2 56.1 56.1 59.0 59.0

Other Private Fund 59.1 58.5 59.6 59.4 59.4 60.2 56.9 57.4

Hedge Fund 55.3 55.4 55.4 55.2 54.2 54.0 53.9 54.6

Venture Capital Fund 54.8 54.7 53.8 53.7 53.9 53.9 52.5 52.5

Qualifying Hedge Fund 50.4 50.5 50.7 50.5 49.7 49.9 49.9 50.9

Private Equity Fund 50.5 50.5 50.2 51.1 51.1 51.1 49.4 49.1

Liquidity Fund 46.3 44.2 43.8 45.4 47.4 46.3 46.1 48.1

Section 3 Liquidity Fund 45.9 43.8 43.6 45.2 47.1 46.0 45.8 47.7

Section 4 Private Equity Fund 44.9 44.9 45.2 46.1 46.2 46.2 44.8 44.7

Securitized Asset Fund 39.5 39.1 36.6 35.3 35.0 35.0 37.3 37.5

Total 53.6 53.5 53.3 53.6 53.3 53.2 52.2 52.4

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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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Hedge Fund 11,057 13,752 14,161 15,235 16,304 15,881 15,523 15,943

Qualifying Hedge Fund 9,544 11,771 11,893 13,460 14,415 14,474 14,166 14,347

Other Private Fund 1,613 1,611 134 138 134 133 118 110

Private Equity Fund 96 97 66 66 66 66 70 69

Section 4 Private Equity Fund 37 37 34 34 34 34 52 54

Real Estate Fund 18 18 19 18 18 18 41 41

Securitized Asset Fund 3 3 3 3 3 3 5 5

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

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

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

Total 12,823 15,508 14,476 15,504 16,552 16,087 15,785 16,127

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

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

Type 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Hedge Fund 270.2 319.8 303.6 316.5 317.6 310.4 302.5 309.5

Qualifying Hedge Fund 296.9 346.1 332.8 359.9 355.3 347.4 338.0 345.7

Other Private Fund 132.7 131.0 10.3 10.5 10.0 10.4 7.6 7.0

Private Equity Fund 2.9 2.9 1.6 1.5 1.6 1.6 1.2 1.2

Section 4 Private Equity Fund 1.5 1.5 1.1 1.0 1.0 1.0 1.2 1.2

Real Estate Fund 3.6 3.6 3.1 2.9 2.9 2.9 5.6 5.6

Securitized Asset Fund 1.5 1.5 1.2 1.3 1.2 1.2 1.8 1.8

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

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

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

Total 130.4 153.8 125.9 132.0 136.7 133.9 112.3 114.5

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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).

2020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q1

0.0

0.5

1.0

Total Derivative Value ($Billions)

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

(a) All Private Funds

2020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q1

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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

0% 8,069 8,132 8,150 8,200 8,310 8,210 8,373 8,507

Less than 100% 51 49 46 45 49 49 49 52

100% or More 8 7 6 6 6 6 8 8

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

As reported on Form PF, Questions 9 and 21.

Fraction of NAV 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

0% 3,969 4,175 4,533 4,675 4,989 4,963 4,997 4,997

Less than 100% 95 99 99 103 112 117 115 128

100% or More 2 2 3 4 4 5 6 7

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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.

2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Top 10 7.5 7.5 7.1 7.1 7.0 7.3 7.3 7.6

Top 25 14.0 14.0 13.5 13.3 13.0 13.3 13.3 13.5

Top 50 20.1 20.4 19.9 19.5 19.1 19.4 19.3 19.5

Top 100 28.2 28.7 28.3 27.8 27.5 27.8 27.6 27.6

Top 250 42.7 43.4 43.0 42.6 42.2 42.7 42.2 42.0

Top 500 56.1 56.7 56.4 56.1 55.9 56.2 55.7 55.5

Table 27: Percent of Aggregate Hedge Fund Gross Asset Value

Reported by Top Hedge Funds Sorted by Gross Asset Value

As reported on Form PF, Questions 8 and 10.

2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Top 10 14.8 15.3 14.9 14.1 14.8 16.2 16.2 15.8

Top 25 23.8 24.6 23.7 22.8 23.7 25.2 25.3 25.6

Top 50 32.4 33.3 32.5 31.5 32.2 33.5 33.5 33.5

Top 100 41.6 42.4 41.5 40.4 40.7 42.3 41.9 41.9

Top 250 55.1 56.0 55.3 54.1 54.1 55.4 54.9 54.5

Top 500 66.5 67.2 66.5 65.8 65.7 66.8 66.3 66.1

Table 28: Percent of Aggregate Hedge Fund Borrowings

Reported by Top Hedge Funds Sorted by Borrowings

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

2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Top 10 35.0 34.6 33.4 32.4 31.7 32.2 34.7 34.1

Top 25 50.3 51.0 48.8 47.1 47.5 48.0 49.3 48.6

Top 50 62.5 62.7 61.0 59.7 60.2 60.5 61.4 61.0

Top 100 73.5 73.9 72.2 71.0 70.7 71.1 72.1 71.5

Top 250 84.4 84.9 84.1 83.1 83.0 83.2 83.3 83.4

Top 500 91.4 91.8 91.3 90.7 90.8 90.9 90.9 90.8

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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).

2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Top 10 32.6 39.2 40.7 41.4 39.4 40.7 41.0 38.2

Top 25 48.8 53.8 55.1 56.3 54.9 56.8 55.4 55.1

Top 50 61.5 66.1 66.8 67.6 67.1 69.2 67.6 67.7

Top 100 73.3 76.6 77.0 77.9 78.1 79.6 78.4 79.2

Top 250 87.2 89.0 89.1 89.2 89.3 90.4 89.8 90.4

Top 500 93.9 94.9 94.8 94.9 95.1 95.5 95.2 95.4

Table 30: Percent of Aggregate Hedge Fund Gross Notional Exposure

Reported by Top Hedge Funds Sorted by Gross Notional Exposure

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

2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Top 10 31.9 35.7 35.6 36.6 34.8 35.0 35.3 34.6

Top 25 48.1 50.6 49.2 50.1 48.4 49.6 48.5 48.5

Top 50 59.3 61.4 60.2 60.5 59.4 60.6 59.7 59.9

Top 100 70.2 71.7 70.8 71.2 70.0 70.9 70.2 70.8

Top 250 83.0 84.1 83.4 83.4 82.8 83.4 82.7 83.0

Top 500 91.3 92.0 91.7 91.3 90.9 91.1 90.7 90.8

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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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Equity

Subtotal 547 567 615 642 666 654 681 638

Long/Short 239 251 266 288 310 307 327 312

Long Bias 269 282 318 329 327 319 324 298

Market Neutral 38 33 30 25 28 27 *** 26

Short Bias 2 1 1 1 1 1 *** 1

Other Subtotal 481 490 537 561 589 595 628 652

Credit

Subtotal 98 103 119 122 126 134 140 144

Asset Based Lending 46 47 56 55 57 62 69 72

Long/Short 52 56 63 67 68 72 71 72

Event Driven

Subtotal 47 47 51 56 61 66 75 76

Distressed/Restruct. 32 31 34 37 41 47 44 47

Equity 11 11 12 12 14 13 20 19

Risk Arb./Merger Arb. 4 5 5 6 6 6 11 10

Relative Value

Subtotal 43 48 48 49 48 49 55 56

F.I. Asset Backed 27 29 28 29 28 30 32 33

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

F.I. Conv. Arb. 5 7 7 8 8 7 9 9

Volatility Arb. 1 1 1 1 1 1 2 2

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

Investment in other funds Subtotal 30 31 29 31 32 32 34 34

Macro

Subtotal 11 12 11 13 13 13 13 15

Global Macro 8 9 8 10 9 10 9 10

Commodity 2 2 *** *** *** 3 3 4

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

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

Managed Futures/CTA

Subtotal 5 5 6 6 6 6 6 7

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

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

Total Total 1,095 1,140 1,251 1,314 1,369 1,384 1,441 1,437

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October 14, 2022 Analytics Office

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

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

Category Strategy 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Equity

Subtotal 993 1,017 1,013 1,024 1,031 1,035 1,133 1,152

Long/Short 433 443 437 441 451 458 474 483

Long Bias 504 522 525 534 528 527 607 615

Market Neutral 45 45 48 46 46 45 *** 51

Short Bias 18 17 11 11 11 11 *** 8

Other Subtotal 943 957 950 979 1,003 1,018 1,044 1,080

Credit

Subtotal 313 318 354 357 366 373 384 394

Asset Based Lending 151 153 184 185 193 198 197 200

Long/Short 165 168 173 175 176 178 190 197

Event Driven

Subtotal 227 220 217 230 239 236 248 264

Distressed/Restruct. 165 156 151 161 165 166 168 183

Equity 45 46 50 52 56 52 60 61

Risk Arb./Merger Arb. 24 23 21 21 22 21 21 21

Relative Value

Subtotal 160 172 174 177 173 173 192 193

F.I. Asset Backed 81 88 93 95 95 96 100 99

F.I. Corp. 49 53 53 50 44 47 53 52

F.I. Conv. Arb. 16 17 18 18 19 18 20 22

Volatility Arb. 12 12 14 13 12 11 19 19

F.I. Sov. 11 16 16 17 16 15 20 14

Investment in other funds Subtotal 213 219 238 239 233 238 242 261

Macro

Subtotal 44 44 44 46 46 43 45 48

Global Macro 22 21 24 24 24 22 18 19

Commodity 13 13 *** *** *** 13 15 17

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

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

Managed Futures/CTA

Subtotal 27 28 26 27 27 24 24 24

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

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

Total Total 2,746 2,775 2,788 2,852 2,907 2,930 3,095 3,187

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October 14, 2022 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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Equity

Subtotal 902 994 1,179 1,160 1,280 1,275 1,268 1,141

Long/Short 608 670 803 779 830 825 813 728

Long Bias 224 249 293 296 357 360 355 321

Market Neutral *** *** *** *** *** *** *** ***

Short Bias *** *** *** *** *** *** *** ***

Relative Value

Subtotal 377 375 408 410 423 445 456 434

F.I. Sov. 256 252 272 274 283 299 315 284

F.I. Asset Backed 74 76 79 80 78 79 76 75

F.I. Corp. 24 24 29 24 27 28 27 28

Volatility Arb. 12 12 14 17 19 22 22 24

F.I. Conv. Arb. 11 11 13 15 16 17 16 22

Other Subtotal 538 565 616 655 744 760 763 771

Credit

Subtotal 212 220 235 247 303 325 287 298

Long/Short 152 155 175 185 238 229 210 217

Asset Based Lending 61 65 61 62 66 96 77 81

Macro

Subtotal 343 434 379 379 404 385 265 285

Global Macro 332 425 368 369 392 373 255 275

Commodity 6 6 7 7 9 8 7 7

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

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

Managed Futures/CTA

Subtotal 110 132 151 167 201 233 209 231

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

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

Event Driven

Subtotal 117 136 147 168 182 178 185 184

Distressed/Restruct. 81 93 95 103 110 112 117 120

Equity 19 21 24 29 31 33 35 34

Risk Arb./Merger Arb. 17 22 28 35 41 33 33 30

Investment in other funds Subtotal 29 28 30 35 34 35 33 32

Total Total 1,820 1,938 2,159 2,208 2,418 2,468 2,430 2,389

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

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

Category Strategy 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Equity

Subtotal 1,029 1,030 1,075 1,050 1,084 1,072 1,084 1,089

Long/Short 620 618 636 609 612 607 627 628

Long Bias 312 315 342 342 375 379 386 390

Market Neutral *** *** *** *** *** *** *** ***

Short Bias *** *** *** *** *** *** *** ***

Relative Value

Subtotal 300 297 306 305 307 304 297 297

F.I. Sov. 58 57 60 57 55 54 58 59

F.I. Asset Backed 134 138 151 149 151 147 143 140

F.I. Corp. 97 94 94 92 98 98 92 93

Volatility Arb. 28 26 26 26 25 25 27 26

F.I. Conv. Arb. 27 26 24 27 25 27 24 25

Other Subtotal 811 808 839 823 878 854 838 860

Credit

Subtotal 339 344 342 342 358 356 352 368

Long/Short 243 245 243 242 254 249 247 260

Asset Based Lending 99 101 102 103 107 111 108 111

Macro

Subtotal 209 213 213 213 212 207 205 209

Global Macro 158 163 163 163 162 160 162 168

Commodity 40 41 38 40 38 34 37 35

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

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

Managed Futures/CTA

Subtotal 124 121 115 118 120 123 108 113

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

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

Event Driven

Subtotal 300 306 305 313 318 321 305 311

Distressed/Restruct. 215 223 214 218 220 223 210 217

Equity 74 72 77 82 80 79 73 69

Risk Arb./Merger Arb. 44 43 43 43 48 47 48 50

Investment in other funds Subtotal 130 126 113 130 104 102 101 99

Total Total 3,046 3,065 3,118 3,100 3,178 3,129 3,072 3,129

27
October 14, 2022 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.

2020-062020-092020-122021-032021-062021-092021-122022-03

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)

2020-062020-092020-122021-032021-062021-092021-122022-03

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

28
October 14, 2022 Analytics Office

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

Short Notional Exposure (SNE) to Net Asset Value Distribution

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

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

2020-062020-092020-122021-032021-062021-092021-122022-03

0

2

4

6

8

10

Ratio of LNE to NAV

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

(a) Long Exposure with IRDs

2020-062020-092020-122021-032021-062021-092021-122022-03

0

2

4

6

8

10

Ratio of LNE (w/o IRDs) to NAV

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

(b) Long Exposure without IRDs

2020-062020-092020-122021-032021-062021-092021-122022-03

0

2

4

6

8

10

Ratio of SNE to NAV

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

(c) Short Exposure with IRDs

2020-062020-092020-122021-032021-062021-092021-122022-03

0

2

4

6

8

10

Ratio of SNE (w/o IRDs) to NAV

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

(d) Short Exposure without IRDs

29
October 14, 2022 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)

2020-04 18.3 29.0 40.6 56.6

2020-05 18.3 29.0 40.4 56.0

2020-06 18.3 29.0 39.7 55.5

2020-07 18.4 29.1 42.0 57.1

2020-08 18.4 29.1 40.5 56.5

2020-09 18.5 29.3 40.2 55.9

2020-10 16.8 26.4 39.8 55.6

2020-11 16.8 26.4 39.1 56.1

2020-12 16.8 26.4 39.2 54.4

2021-01 16.2 26.2 40.2 55.7

2021-02 16.2 26.2 42.1 57.4

2021-03 16.2 26.2 41.3 55.8

2021-04 16.3 26.5 40.6 55.4

2021-05 16.3 26.4 40.4 55.6

2021-06 16.3 26.4 40.0 54.6

2021-07 16.3 26.6 40.6 56.7

2021-08 17.0 27.5 39.2 56.1

2021-09 17.0 27.5 38.7 55.6

2021-10 17.1 27.4 38.3 56.3

2021-11 17.1 27.4 38.4 56.3

2021-12 17.1 27.4 38.1 54.7

2022-01 17.5 28.2 38.8 55.2

2022-02 16.8 27.2 38.3 55.5

2022-03 16.8 27.2 38.2 55.0

30
October 14, 2022 Analytics Office

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

2020-04 9,351 4,464 2,658 226 39 16,738

2020-05 12,203 4,189 2,677 211 44 19,324

2020-06 12,862 4,038 3,201 220 51 20,372

2020-07 7,968 3,345 2,928 164 40 14,444

2020-08 10,052 3,829 2,552 165 39 16,638

2020-09 11,043 3,738 2,866 207 38 17,891

2020-10 9,346 4,159 2,756 189 44 16,493

2020-11 12,519 4,665 3,227 171 55 20,637

2020-12 17,703 4,408 2,993 125 56 25,285

2021-01 10,690 4,430 3,454 176 58 18,807

2021-02 17,637 5,568 3,460 176 63 26,904

2021-03 18,604 5,505 4,131 189 63 28,491

2021-04 9,445 4,030 3,211 173 51 16,911

2021-05 13,934 4,419 3,376 157 44 21,930

2021-06 16,641 5,182 3,679 151 48 25,702

2021-07 12,043 5,110 3,158 142 29 20,482

2021-08 13,973 5,438 3,101 140 39 22,691

2021-09 16,020 5,485 3,437 168 54 25,165

2021-10 19,432 5,666 3,408 183 38 28,728

2021-11 17,055 6,210 3,779 164 53 27,261

2021-12 14,329 4,672 3,842 121 38 23,001

2022-01 16,735 5,340 3,950 188 40 26,253

2022-02 21,395 6,355 3,793 292 35 31,870

2022-03 23,132 6,016 4,526 255 36 33,966

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.

2020-062020-092020-122021-032021-062021-092021-122022-03

0

20

40

Total Turnover ($Billions)

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

(a) Total Turnover

2020-062020-092020-122021-032021-062021-092021-122022-03

0

5

10

15

20

Ratio of Turnover to NAV

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

(b) Total Turnover to NAV Ratio

31
October 14, 2022 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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

North America 4,943 5,422 5,096 5,275 5,587 5,847 5,943 5,865

Europe EEA 1,419 1,639 1,533 1,353 1,491 1,595 1,482 1,637

Asia 674 815 803 782 816 800 768 718

Europe Other 94 126 107 291 313 314 306 417

South America 86 98 93 85 91 87 86 93

Supranational 54 35 33 45 47 51 48 42

Africa 37 40 40 34 38 33 27 29

Middle East 28 35 29 29 55 31 30 27

Table 38: Large Hedge Fund Adviser Hedge Fund

Region Exposure (Percent of Aggregate NAV)

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

Region 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

North America 138.8 143.4 129.8 127.9 127.7 128.5 131.0 132.2

Europe EEA 39.9 43.3 39.0 32.8 34.1 35.1 32.7 36.9

Asia 18.9 21.6 20.5 19.0 18.7 17.6 16.9 16.2

Europe Other 2.6 3.3 2.7 7.1 7.2 6.9 6.7 9.4

South America 2.4 2.6 2.4 2.1 2.1 1.9 1.9 2.1

Supranational 1.5 0.9 0.8 1.1 1.1 1.1 1.1 0.9

Africa 1.0 1.1 1.0 0.8 0.9 0.7 0.6 0.7

Middle East 0.8 0.9 0.7 0.7 1.3 0.7 0.7 0.6

32
October 14, 2022 Analytics Office

Table 39: Large Hedge Fund Adviser Hedge Fund

Country Exposure ($ Billions)

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

Country 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

United States 4,721 5,159 4,858 5,018 5,288 5,477 5,547 5,549

Japan 191 214 215 209 219 233 217 213

China (Inc. Hong Kong) 221 271 285 280 284 251 239 204

India 30 32 36 46 52 53 51 48

Brazil 33 36 38 33 43 33 33 39

Russia 17 17 18 16 18 16 16 5

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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

United States 132.6 136.4 123.7 121.6 120.9 120.4 122.3 125.1

Japan 5.4 5.7 5.5 5.1 5.0 5.1 4.8 4.8

China (Inc. Hong Kong) 6.2 7.2 7.3 6.8 6.5 5.5 5.3 4.6

India 0.8 0.9 0.9 1.1 1.2 1.2 1.1 1.1

Brazil 0.9 1.0 1.0 0.8 1.0 0.7 0.7 0.9

Russia 0.5 0.4 0.5 0.4 0.4 0.3 0.3 0.1

33
October 14, 2022 Analytics Office

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.

2020-062020-092020-122021-032021-062021-092021-122022-03

0.0

2.5

5.0

7.5

10.0

12.5

Ratio of GNE to NAV

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

(a) Including IRDs

2020-062020-092020-122021-032021-062021-092021-122022-03

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

34
October 14, 2022 Analytics Office

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

Short Notional Exposure (SNE) to Net Asset Value

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

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

2020-062020-092020-122021-032021-062021-092021-122022-03

0

2

4

6

Ratio of LNE to NAV

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

(a) LNE Including IRDs

2020-062020-092020-122021-032021-062021-092021-122022-03

0

2

4

6

Ratio of LNE (w/o IRDs) to NAV

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

(b) LNE Excluding IRDs

2020-062020-092020-122021-032021-062021-092021-122022-03

0

2

4

6

Ratio of SNE to NAV

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

(c) SNE Including IRDs

2020-062020-092020-122021-032021-062021-092021-122022-03

0

2

4

6

Ratio of SNE (w/o IRDs) to NAV

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

(d) SNE Excluding IRDs

35
October 14, 2022 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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Equity

Subtotal 1,641 1,757 1,975 2,036 2,244 2,229 2,251 2,031

Long/Short 867 957 1,090 1,114 1,205 1,201 1,212 1,100

Long Bias 443 485 548 574 649 649 643 577

Market Neutral 329 *** *** *** 390 *** 396 ***

Short Bias 1 *** *** *** 0 *** 0 ***

Other Subtotal 1,126 1,128 1,189 1,247 1,365 1,427 1,456 1,483

Relative Value

Subtotal 983 1,023 997 981 1,031 1,035 1,063 1,043

F.I. Sov. 700 689 676 647 692 691 709 676

F.I. Conv. Arb. 80 101 121 129 133 126 123 112

F.I. Asset Backed 116 135 112 103 95 100 102 110

Volatility Arb. 26 26 32 43 48 57 65 74

F.I. Corp. 62 72 56 58 63 61 63 70

Macro

Subtotal 641 797 746 741 818 893 794 856

Global Macro 572 725 681 670 740 790 704 745

Commodity 25 28 31 34 44 66 54 73

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

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

Credit

Subtotal 358 370 393 415 448 453 479 485

Long/Short 265 272 295 317 346 348 359 359

Asset Based Lending 93 98 98 98 102 105 119 127

Event Driven

Subtotal 281 307 366 408 452 449 458 429

Distressed/Restruct. 159 162 169 180 186 202 205 202

Equity 64 71 96 116 138 141 145 136

Risk Arb./Merger Arb. 59 74 101 111 129 107 108 91

Managed Futures/CTA

Subtotal 126 149 165 169 215 246 222 238

Quantitative *** 145 *** *** *** *** *** ***

Fundamental *** 4 *** *** *** *** *** ***

Investment in other funds Subtotal 42 43 43 51 54 57 65 75

Total Total 5,198 5,574 5,873 6,048 6,627 6,789 6,788 6,638

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.

36
October 14, 2022 Analytics Office

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

As reported on Form PF, Questions 9 and 20.

Category Strategy 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Equity

Subtotal 51.0 51.7 55.3 54.4 55.3 53.5 53.7 48.9

Long/Short 27.0 28.1 30.5 29.8 29.7 28.8 28.9 26.5

Long Bias 13.8 14.3 15.3 15.3 16.0 15.6 15.4 13.9

Market Neutral 10.2 *** *** *** 9.6 *** 9.4 ***

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

Other Subtotal 35.0 33.2 33.3 33.4 33.6 34.2 34.7 35.7

Relative Value

Subtotal 30.6 30.1 27.9 26.2 25.4 24.8 25.4 25.1

F.I. Sov. 21.8 20.3 18.9 17.3 17.1 16.6 16.9 16.3

F.I. Conv. Arb. 2.5 3.0 3.4 3.5 3.3 3.0 2.9 2.7

F.I. Asset Backed 3.6 4.0 3.1 2.8 2.3 2.4 2.4 2.7

Volatility Arb. 0.8 0.8 0.9 1.2 1.2 1.4 1.5 1.8

F.I. Corp. 1.9 2.1 1.6 1.6 1.6 1.5 1.5 1.7

Macro

Subtotal 19.9 23.4 20.9 19.8 20.2 21.4 18.9 20.6

Global Macro 17.8 21.3 19.1 17.9 18.2 19.0 16.8 18.0

Commodity 0.8 0.8 0.9 0.9 1.1 1.6 1.3 1.8

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

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

Credit

Subtotal 11.1 10.9 11.0 11.1 11.0 10.9 11.4 11.7

Long/Short 8.2 8.0 8.3 8.5 8.5 8.4 8.6 8.7

Asset Based Lending 2.9 2.9 2.7 2.6 2.5 2.5 2.9 3.0

Event Driven

Subtotal 8.7 9.0 10.2 10.9 11.2 10.8 10.9 10.3

Distressed/Restruct. 4.9 4.8 4.7 4.8 4.6 4.8 4.9 4.9

Equity 2.0 2.1 2.7 3.1 3.4 3.4 3.5 3.3

Risk Arb./Merger Arb. 1.8 2.2 2.8 3.0 3.2 2.6 2.6 2.2

Managed Futures/CTA

Subtotal 3.9 4.4 4.6 4.5 5.3 5.9 5.3 5.7

Quantitative *** 4.3 *** *** *** *** *** ***

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

Investment in other funds Subtotal 1.3 1.3 1.2 1.4 1.3 1.4 1.6 1.8

Total Total 161.7 163.9 164.3 161.7 163.3 163.0 162.0 160.0

37
October 14, 2022 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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Relative Value 5.0 4.8 5.7 5.6 5.7 7.0 7.0 6.0

Macro 3.7 4.6 4.5 4.5 4.8 4.8 4.2 4.5

Multi-Strategy 2.0 2.5 3.0 3.1 3.2 3.3 3.4 3.1

Credit 1.6 1.5 1.5 1.5 1.6 1.5 1.6 1.6

Equity 1.6 1.6 1.6 1.6 1.5 1.5 1.5 1.6

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

Other 1.6 1.5 1.5 1.4 1.4 1.5 1.5 1.4

Event Driven 1.4 1.3 1.3 1.4 1.4 1.4 1.4 1.4

Investment in other funds 1.3 1.3 1.2 1.2 1.3 1.3 1.3 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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Macro 20.2 32.5 33.1 37.3 36.9 34.6 32.9 33.3

Relative Value 22.5 19.6 23.6 24.9 23.3 26.4 27.1 25.4

Managed Futures/CTA 17.4 20.9 19.7 19.2 21.4 22.9 16.9 15.0

Multi-Strategy 9.4 10.3 12.4 14.7 16.1 16.2 16.0 14.9

Credit 2.8 2.8 2.8 3.0 3.2 3.0 3.1 3.2

Other 4.1 3.4 3.2 3.1 3.2 3.2 3.1 3.1

Equity 3.0 3.0 2.9 3.0 3.0 2.9 3.1 2.9

Investment in other funds 2.0 2.0 2.1 1.9 2.9 3.3 3.3 2.8

Event Driven 1.8 1.8 1.9 2.0 2.1 2.0 1.9 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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Managed Futures/CTA 46.1 47.7 40.4 38.7 34.0 42.7 48.2 51.0

Macro 40.1 38.2 40.2 41.9 42.9 42.3 42.8 44.1

Multi-Strategy 28.5 30.1 26.4 24.9 25.4 25.4 26.1 23.9

Relative Value 24.0 26.2 25.7 21.9 20.9 21.1 21.8 23.3

Other 16.2 13.4 12.4 12.5 12.2 11.6 11.8 11.3

Event Driven 10.0 8.0 8.5 7.5 7.2 7.7 8.1 10.7

Equity 10.5 8.3 7.9 8.0 7.5 8.1 8.5 10.2

Credit 7.4 7.9 9.7 9.4 8.9 8.8 8.3 6.8

Investment in other funds 5.1 6.0 7.2 1.1 3.0 1.6 8.2 4.9

38
October 14, 2022 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.

2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Interest Rate Derivatives 5,287 6,390 6,282 6,781 7,509 7,640 7,477 7,831

Foreign Exchange Derivatives 2,836 3,164 3,216 3,756 4,076 4,077 3,974 3,823

Non-Financial Listed Equities 1,945 2,142 2,495 2,551 2,836 2,711 2,750 2,493

Repurchase Agreements 1,800 2,069 1,908 1,895 2,073 2,270 2,221 2,199

Non-Financial Equity Derivatives 1,132 1,168 1,273 1,622 1,558 1,598 1,580 1,778

U.S. Treasury Securities 1,768 1,740 1,595 1,672 1,727 1,735 1,760 1,692

Sovereign Bonds - Non-U.S. G10 962 1,155 1,272 1,302 1,416 1,472 1,412 1,373

Cash/Cash Equivalents - Other 409 389 425 506 576 535 578 857

Credit Derivatives 488 534 586 736 715 783 759 746

Non-Financial Unlisted Equities 255 288 317 385 433 417 467 480

Commodity Derivatives 266 309 341 367 417 455 393 424

Financial Listed Equities 237 244 272 314 348 361 376 349

Leveraged Loans 181 198 202 223 230 247 261 274

Non-Financial Corporate Bonds 246 246 221 240 273 272 280 272

Sovereign Bonds - Other 275 348 327 278 321 332 308 267

Non-U.S. Currency Holdings 215 180 188 208 223 255 217 232

Cash/Cash Equivalents - Deposits 190 190 184 196 205 240 218 216

Other Derivatives 204 235 226 213 218 188 207 216

Cash/Cash Equivalents - MMFs 186 170 168 173 172 181 207 199

Other Private Funds 115 123 134 145 157 175 183 185

Physical Real Estate 99 100 112 120 130 146 166 176

MBS 246 254 216 184 203 212 205 170

Non-Financial Convertible Bonds 117 140 174 182 200 178 173 154

Other Loans (Excluding Repo) 109 117 115 118 123 133 141 144

Other 100 85 89 95 88 98 112 110

Financial Equity Derivatives 90 88 93 99 110 105 106 102

Financial Corporate Bonds 67 69 68 67 71 73 71 76

Other ABS/Structured Products 48 51 50 52 62 60 59 63

U.S. Agency and GSE Securities 35 39 42 39 43 52 46 47

CDO/CLO 35 35 33 35 37 38 39 39

Financial Unlisted Equities 22 24 26 27 30 27 29 30

U.S. State and Local Bonds 20 19 19 19 19 21 22 19

Registered Investment Companies 23 20 17 18 17 16 16 17

Physical Commodities 4 5 8 5 5 7 6 9

Financial Convertible Bonds 9 8 8 9 10 9 9 8

39
October 14, 2022 Analytics Office

Table 47: Percent of Qualifying Hedge Fund Gross Notional Exposure

Representing Long Notional Exposure

As reported on Form PF, Questions 26 and 30.

2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Interest Rate Derivatives 44.5 52.4 51.5 49.7 48.5 48.5 47.8 48.5

Foreign Exchange Derivatives 60.3 58.4 58.5 58.5 57.7 57.0 55.2 56.0

Non-Financial Listed Equities 69.0 69.7 70.7 70.9 70.2 71.4 71.8 70.4

Repurchase Agreements 38.3 38.1 38.4 44.9 46.5 46.8 48.5 48.9

Non-Financial Equity Derivatives 50.6 51.2 50.8 57.0 53.7 51.4 51.9 56.9

U.S. Treasury Securities 61.4 62.2 60.9 55.3 56.7 57.2 56.9 59.2

Sovereign Bonds - Non-U.S. G10 52.3 51.9 49.8 48.6 50.0 48.5 48.5 47.9

Cash/Cash Equivalents - Other 79.4 78.4 74.9 71.4 75.1 73.2 71.6 67.1

Credit Derivatives 41.9 42.5 45.3 46.8 46.6 47.0 44.5 43.1

Non-Financial Unlisted Equities 99.8 99.1 99.8 99.7 99.7 99.8 99.8 99.6

Commodity Derivatives 63.3 67.1 68.8 67.1 67.0 63.8 65.2 64.3

Financial Listed Equities 69.4 70.2 73.3 72.4 72.3 73.5 73.1 71.4

Leveraged Loans 98.2 99.4 99.5 98.3 99.4 98.0 98.0 98.2

Non-Financial Corporate Bonds 86.3 85.2 84.4 81.9 81.0 79.1 74.5 77.2

Sovereign Bonds - Other 77.9 75.5 75.9 75.6 69.5 70.2 64.2 63.4

Non-U.S. Currency Holdings 51.5 49.0 54.9 53.3 53.3 56.8 62.5 61.7

Cash/Cash Equivalents - Deposits 70.9 72.3 73.9 72.9 75.4 72.8 74.9 71.9

Other Derivatives 49.8 65.5 42.6 44.1 48.9 61.9 51.6 50.6

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

Other Private Funds 99.7 99.7 *** *** 99.5 99.9 99.9 99.9

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

MBS 84.1 82.4 80.8 82.2 73.6 71.9 70.0 78.4

Non-Financial Convertible Bonds 99.2 98.7 98.4 97.9 97.8 97.7 97.9 97.3

Other Loans (Excluding Repo) 90.9 91.0 88.8 93.5 93.1 91.7 90.7 91.4

Other 94.4 95.0 94.9 94.6 95.3 96.0 94.8 93.4

Financial Equity Derivatives 54.9 55.1 57.7 59.8 60.6 60.1 55.5 54.3

Financial Corporate Bonds 91.5 91.5 90.0 89.5 88.3 87.1 86.4 86.4

Other ABS/Structured Products 94.6 92.4 92.7 86.7 84.5 85.3 84.2 80.7

U.S. Agency and GSE Securities 86.7 85.0 78.5 72.5 59.3 65.0 62.8 55.3

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

Financial Unlisted Equities 99.8 99.9 99.8 99.7 99.8 99.7 99.7 99.7

U.S. State and Local Bonds *** *** *** 98.3 *** *** *** ***

Registered Investment Companies 92.8 97.3 *** *** 96.2 97.9 97.8 98.1

Physical Commodities 99.1 99.3 99.4 99.6 *** 98.4 *** 99.8

Financial Convertible Bonds 96.8 97.1 97.4 97.3 95.8 95.0 96.2 96.7

40
October 14, 2022 Analytics Office

E Number of Positions

Figure 12: Number of Positions Reported by Qualifying Hedge Funds

As reported on Form PF, Question 34.

2020-062020-092020-122021-032021-062021-092021-122022-03

0

500

1000

1500

2000

2500

Number of Positions

41
October 14, 2022 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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

At most 1 day 7.6 7.7 6.8 6.2 7.8 7.5 7.5 7.5

At most 7 days 13.1 13.2 10.1 9.5 11.7 11.1 11.0 10.9

At most 30 days 24.7 24.6 22.7 22.4 23.6 23.1 23.1 23.4

At most 90 days 42.9 42.8 43.7 39.8 40.4 40.2 42.9 39.8

At most 180 days 53.5 54.7 51.7 51.1 51.3 52.2 50.3 50.1

At most 365 days 66.9 66.1 64.7 63.8 64.6 63.5 62.8 62.2

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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

At most 1 day 37.9 35.5 32.6 33.4 33.8 33.3 33.7 35.4

At most 7 days 59.0 56.9 55.1 54.6 54.7 53.3 52.9 53.5

At most 30 days 70.4 69.7 68.5 67.6 67.5 66.1 65.7 64.9

At most 90 days 76.4 75.9 75.1 74.2 74.1 73.0 72.5 71.1

At most 180 days 80.5 80.1 79.4 78.3 78.2 77.3 77.0 75.5

At most 365 days 84.7 84.6 84.2 83.5 83.2 82.2 81.9 80.5

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 2022.

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

42
October 14, 2022 Analytics Office

Table 50: Restrictions on Qualifying Hedge Fund Assets ($ Billions)

As reported on Form PF, Questions 48 and 49.

Type 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

May Suspend 2,375 2,500 2,622 2,720 2,956 2,979 2,922 2,883

May Have Gates 1,521 1,608 1,732 1,809 1,909 1,926 1,885 1,878

Side-Pocketed 54 61 73 89 100 110 114 104

Gated 56 50 64 76 78 84 84 74

Suspended 18 15 20 19 18 18 18 17

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.

2020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q1

0

10

20

30

40

50

NAV in Side-Pocket (%)

43
October 14, 2022 Analytics Office

G Borrowings

Table 51: Borrowings of Qualifying Hedge Funds ($ Billions)

As reported on Form PF, Question 43 (Third Month).

Type Subtype 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Secured

Subtotal 2,885 3,192 3,220 3,255 3,586 3,670 3,747 3,530

Prime Broker 1,302 1,415 1,616 1,709 1,931 1,918 1,963 1,842

Reverse Repo 1,169 1,330 1,201 1,066 1,113 1,205 1,151 1,090

Other Secured 415 447 403 480 542 547 633 599

Unsecured Subtotal 14 13 14 16 17 32 49 39

Total Total 2,899 3,205 3,234 3,271 3,603 3,702 3,795 3,570

Table 52: Aggregate Borrowing by Creditor Entity Type (Percent)

As reported on Form PF, Question 43 (Third Month).

Creditor Type 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

US Financial 63.4 61.0 64.5 65.2 65.8 64.5 65.3 63.7

Non-US Financial 36.0 38.3 34.8 34.1 33.6 34.8 33.9 35.4

US Non-Financial *** 0.6 *** 0.6 0.5 0.6 0.7 0.9

Non-US Non-Financial *** 0.1 *** 0.1 0.1 0.1 0.2 0.0

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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Prime Broker

Subtotal 1,716 1,861 2,134 2,230 2,454 2,433 2,408 2,236

Other 1,183 1,293 1,508 1,556 1,659 1,582 1,587 1,471

Cash 533 568 626 673 795 851 821 764

Reverse Repo

Subtotal 1,203 1,362 1,273 1,090 1,166 1,271 1,204 1,141

Other 773 912 866 742 811 908 826 766

Cash 431 451 407 348 355 363 378 375

Other Secured

Subtotal 486 513 497 594 658 707 755 727

Other 344 379 389 435 476 521 520 528

Cash 142 134 108 159 182 186 235 199

Total Total 3,405 3,736 3,904 3,913 4,278 4,411 4,368 4,103

44
October 14, 2022 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.

2020-062020-092020-122021-032021-062021-092021-122022-03

0

2

4

6

8

Collateral/Total Secured Borrowing

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

(a) Total Secured Borrowing

2020-062020-092020-122021-032021-062021-092021-122022-03

0

2

4

6

8

Collateral/Prime Broker Borrowing

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

(b) Prime Broker Borrowing

2020-062020-092020-122021-032021-062021-092021-122022-03

0

2

4

6

8

Collateral/Reverse Repo Borrowing

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

(c) Reverse Repo Borrowing

45
October 14, 2022 Analytics Office

Table 54: Financing Liquidity for Qualifying Hedge Funds

(Percent of Available Financing)

As reported on Form PF, Question 46.

Financing Available 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

At most 1 day 39.2 39.0 27.8 37.4 36.5 36.5 26.4 35.6

At most 7 days 50.7 51.1 44.5 45.0 46.9 47.9 42.7 46.3

At most 30 days 66.7 67.5 65.4 65.3 64.9 64.9 63.0 63.7

At most 90 days 81.2 80.9 79.3 78.7 76.9 76.6 77.3 76.6

At most 180 days 94.5 94.7 94.9 94.4 94.5 94.5 93.9 93.9

At most 365 days 95.9 96.0 96.1 95.5 95.8 95.5 95.5 95.2

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 2022.

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
October 14, 2022 Analytics Office

H Central Clearing

Figure 17: Qualifying Hedge Funds Using Central Clearing

As reported on Form PF, Question 39.

2020Q22020Q32020Q42021Q12021Q22021Q32021Q42022Q1

0

5

10

15

20

Percent of Funds Percent of NAV

47
October 14, 2022 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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

VaR (Any Method) 665 628 613 597 657 663 678 685

Historical Simulation 311 285 278 269 272 266 268 268

Monte Carlo Simulation 169 167 168 171 194 199 201 210

Parametric 181 175 162 158 186 193 201 202

Other 46 43 43 45 50 53 55 52

VaR Not Used 1,149 1,152 1,180 1,263 1,310 1,352 1,394 1,409

Table 56: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions)

As reported on Form PF, Questions 8 and 40.

VaR Method 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

VaR (Any Method) 3,685 3,918 3,886 3,808 4,267 4,590 4,467 4,449

Historical Simulation 1,838 1,979 2,009 1,992 2,247 2,322 2,198 2,154

Monte Carlo Simulation 804 836 883 871 988 984 1,014 1,029

Parametric 742 769 633 632 698 735 721 695

Other 807 845 898 846 905 1,127 1,119 1,124

VaR Not Used 2,719 2,906 3,210 3,424 3,627 3,717 3,866 3,819

Table 57: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions)

As reported on Form PF, Questions 9 and 40.

VaR Method 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

VaR (Any Method) 1,334 1,374 1,345 1,355 1,518 1,542 1,549 1,550

Historical Simulation 548 564 578 586 619 619 608 613

Monte Carlo Simulation 341 351 361 368 432 443 448 460

Parametric 422 434 376 373 432 437 441 422

Other 140 147 145 156 170 185 182 191

VaR Not Used 1,881 2,027 2,229 2,384 2,540 2,624 2,643 2,600

48
October 14, 2022 Analytics Office

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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Stress and VaR 598 568 555 535 565 556 562 571

Stress, No VaR 433 430 400 435 450 472 478 479

No Stress, VaR 67 60 58 62 92 107 116 114

Neither 716 722 780 828 860 880 916 930

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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Stress and VaR 3,332 3,692 3,524 3,545 3,955 4,226 4,076 4,108

Stress, No VaR 1,237 1,302 1,383 1,435 1,496 1,538 1,555 1,548

No Stress, VaR 353 226 362 263 312 364 391 341

Neither 1,482 1,604 1,827 1,989 2,131 2,179 2,311 2,271

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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Stress and VaR 1,194 1,243 1,189 1,206 1,314 1,288 1,287 1,302

Stress, No VaR 732 781 819 846 887 936 922 904

No Stress, VaR 140 130 156 150 204 254 261 248

Neither 1,149 1,246 1,411 1,538 1,653 1,688 1,720 1,696

49
October 14, 2022 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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Equity Prices 862 836 796 789 826 844 860 876

Currency Rates 762 730 690 710 741 748 746 766

Risk Free Rates 749 717 666 669 700 708 708 722

Credit Spreads 652 630 584 575 616 610 622 650

Implied Volatilities 535 518 473 463 485 501 499 530

Commodity Prices 476 459 413 399 419 428 425 443

Bond Default Rates 266 258 229 241 253 268 270 291

ABS Default Rates 218 214 188 202 225 228 227 252

Table 62: Aggregate GAV of Qualifying Hedge Funds

Stressing Each Market Factor ($ Billions)

As reported on Form PF, Questions 8 and 42.

Market Factor 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Equity Prices 3,877 4,407 4,395 4,461 4,880 5,194 5,042 5,087

Currency Rates 3,621 4,021 3,917 3,972 4,375 4,646 4,527 4,562

Risk Free Rates 3,873 4,229 4,062 4,210 4,628 4,927 4,758 4,870

Credit Spreads 3,133 3,582 3,486 3,512 3,912 4,228 4,235 4,359

Implied Volatilities 3,079 3,471 3,196 3,250 3,624 3,909 3,713 3,796

Commodity Prices 2,851 3,371 3,186 3,254 3,605 3,883 3,742 3,846

Bond Default Rates 876 914 872 882 1,001 1,136 1,134 1,184

ABS Default Rates 762 789 738 752 852 882 899 970

Table 63: Aggregate NAV of Qualifying Hedge Funds

Stressing Each Market Factor ($ Billions)

As reported on Form PF, Questions 9 and 42.

Market Factor 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Equity Prices 1,704 1,799 1,779 1,826 1,948 1,989 1,972 1,967

Currency Rates 1,496 1,571 1,520 1,553 1,679 1,675 1,655 1,691

Risk Free Rates 1,446 1,496 1,415 1,508 1,620 1,623 1,599 1,654

Credit Spreads 1,269 1,333 1,247 1,266 1,388 1,377 1,385 1,459

Implied Volatilities 1,074 1,144 1,043 1,071 1,152 1,167 1,128 1,192

Commodity Prices 1,057 1,115 1,019 1,037 1,114 1,123 1,108 1,151

Bond Default Rates 396 403 376 387 424 482 467 504

ABS Default Rates 348 358 329 340 380 379 374 422

50
October 14, 2022 Analytics Office

Table 64: Number of Qualifying Hedge Funds Stressing Market Factors

As reported on Form PF, Question 42.

Factors Tested 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

0 783 782 838 890 952 987 1,032 1,044

1 183 183 178 202 210 214 223 212

2 112 110 118 117 121 130 130 129

3 107 98 98 90 96 83 84 83

4 100 100 103 105 107 101 103 101

5 119 108 113 117 127 137 127 126

6 204 196 169 157 155 155 165 167

7 75 75 68 61 60 71 79 81

8 131 128 108 121 139 137 129 151

Table 65: Aggregate GAV of Qualifying Hedge Funds

Stressing Market Factors ($ Billions)

As reported on Form PF, Questions 8 and 42.

Factors Tested 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

0 1,834 1,830 2,189 2,253 2,442 2,544 2,703 2,612

1 414 424 466 414 425 444 485 432

2 493 510 528 596 638 629 618 568

3 431 336 315 302 342 324 314 306

4 270 266 313 341 346 363 353 352

5 740 841 849 831 926 929 747 871

6 1,461 1,810 1,665 1,722 1,890 2,101 2,159 2,123

7 250 260 275 263 279 360 348 341

8 511 547 497 511 605 613 606 662

Table 66: Aggregate NAV of Qualifying Hedge Funds

Stressing Market Factors ($ Billions)

As reported on Form PF, Questions 9 and 42.

Factors Tested 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

0 1,288 1,376 1,566 1,688 1,857 1,942 1,982 1,945

1 267 278 308 272 284 300 319 276

2 214 230 264 307 328 322 312 294

3 199 208 229 217 247 231 215 212

4 142 148 146 166 163 176 189 187

5 254 266 273 282 318 321 291 302

6 509 546 463 480 491 477 502 509

7 123 126 127 120 124 170 169 174

8 218 222 198 207 246 227 212 252

51
October 14, 2022 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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

At most 1 day 73.4 72.9 72.9 72.2 70.3 68.6 68.9 69.5

At most 7 days 95.2 95.4 94.8 93.6 92.8 92.6 92.4 91.6

At most 30 days 99.1 99.1 98.6 98.1 97.2 97.3 96.6 96.0

At most 90 days 99.6 99.5 99.3 98.9 98.2 97.8 97.8 97.9

At most 180 days 99.9 99.9 99.7 99.4 99.0 98.8 99.0 99.5

At most 365 days 100.0 99.9 100.0 99.9 99.7 99.8 99.8 99.8

Table 68: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions)

As reported on Form PF, Question 63.

Type 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

May Suspend 282 303 303 280 296 278 291 290

May Have Gates 251 273 270 247 263 245 260 261

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.

2020-062020-092020-122021-032021-062021-092021-122022-03

0

10

20

30

40

50

60

Weighted Average Maturity (WAM) in Days

Average WAM Asset-Weighted WAM

52
October 14, 2022 Analytics Office

Figure 19: Weighted-Average Life Reported by Section 3 Liquidity Funds

As reported on Form PF, Question 55.

2020-062020-092020-122021-032021-062021-092021-122022-03

0

10

20

30

40

50

60

70

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.

2020-062020-092020-122021-032021-062021-092021-122022-03

0.0

0.1

0.2

0.3

0.4

0.5

Seven-Day Gross Yield (%)

Average Yield Asset-Weighted Yield

53
October 14, 2022 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.

2020-062020-092020-122021-032021-062021-092021-122022-03

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.

2020-062020-092020-122021-032021-062021-092021-122022-03

0

20

40

60

80

100

Ratio of Weekly Liquid Assets (WLA) 

 to Net Asset Value (%)

Average WLA Asset-Weighted WLA

54
October 14, 2022 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 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

None 37.8 38.3 45.3 46.3 48.2 50.9 51.8 51.9

Credit Quality 62.2 61.7 54.7 53.7 51.8 49.1 48.2 48.1

Diversification 57.8 57.4 50.9 50.0 48.2 45.6 44.6 44.4

Maturity 57.8 57.4 50.9 50.0 48.2 45.6 44.6 44.4

Liquidity 53.3 53.2 47.2 46.3 44.6 42.1 41.1 40.7

Fully 48.9 48.9 43.4 42.6 39.3 38.6 37.5 37.0

Table 70: Rule 2a-7 Compliance (Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 54.

Compliance Type 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

None 86.3 86.9 86.4 83.7 81.6 80.9 82.1 81.3

Credit Quality 13.7 13.1 13.6 16.3 18.4 19.1 17.9 18.7

Diversification 12.9 12.1 12.3 14.9 17.1 17.4 16.5 17.2

Maturity 12.9 12.1 12.3 14.9 17.1 17.4 16.5 17.2

Liquidity 12.6 11.8 12.1 14.7 16.9 17.2 16.3 17.0

Fully 10.6 9.9 10.1 12.7 14.3 15.0 14.2 15.0

D Methods of Calculating NAV

Table 71: NAV Calculation Method (Percent of Funds)

As reported on Form PF, Questions 9, 52, and 53.

Type 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Stable 73.3 74.5 73.6 75.9 75.0 77.2 75.0 74.1

Floating 26.7 25.5 26.4 24.1 25.0 22.8 25.0 25.9

Table 72: NAV Calculation Method (Percent of Aggregate NAV)

As reported on Form PF, Questions 9, 52, and 53.

Type 2020Q2 2020Q3 2020Q4 2021Q1 2021Q2 2021Q3 2021Q4 2022Q1

Stable 68.2 70.1 66.6 69.0 66.1 66.7 64.4 67.2

Floating 31.8 29.9 33.4 31.0 33.9 33.3 35.6 32.8

55
October 14, 2022 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 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 65.4 59.2 55.0 62.1 55.4 54.2 58.3 61.8 52.8 63.7 69.1 59.5

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

Commercial Paper 38.6 34.8 37.7 38.7 43.6 40.8 34.7 36.9 37.7 45.2 45.3 48.8

Asset-Backed Securities 20.1 21.3 20.3 21.4 21.0 19.6 17.3 19.6 20.9 20.0 20.3 22.8

Other 28.3 30.8 37.0 39.9 32.2 30.7 32.5 36.6 38.7 34.6 36.2 36.9

Repo - Other Collateral 9.9 12.0 14.4 15.5 15.8 16.5 17.0 19.9 18.0 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

Table 74: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2

As reported on Form PF, Question 63.

Product Type 2021-042021-052021-062021-072021-082021-092021-102021-112021-122022-012022-022022-03

U.S. Treasuries 82.7 86.1 94.8 86.4 80.2 73.1 88.7 88.8 88.7 69.9 81.5 91.4

Deposits 76.0 80.0 69.9 83.1 75.5 69.7 83.1 82.0 60.8 73.5 80.5 62.8

Repo - Govt. Collateral 23.8 26.1 32.1 26.0 35.2 40.2 31.3 31.6 47.2 44.1 38.1 48.0

Commercial Paper 50.0 53.4 51.2 52.3 51.7 51.4 53.1 50.5 48.2 51.9 48.2 46.6

Asset-Backed Securities 21.8 22.3 21.7 20.9 21.0 23.0 23.9 24.5 24.4 25.2 24.7 26.0

Other 33.4 29.1 27.9 24.0 21.0 26.0 18.9 21.0 26.0 18.4 13.5 16.4

Repo - Other Collateral 13.2 12.4 15.1 12.4 11.6 12.1 7.7 10.6 10.1 8.0 9.1 9.9

U.S. Govt. Debt 1.5 1.3 1.4 1.3 1.2 1.4 1.3 1.6 1.5 1.6 1.7 2.3

Municipal Debt 1.2 1.2 1.1 0.9 0.9 1.1 1.1 1.0 1.1 1.1 1.0 1.0

56
October 14, 2022 Analytics Office

X Section 4 Private Equity Fund Specific Information

A CPC Industry Concentration

Table 75: Gross Assets in CPC Industries (Percent of Total)

As reported on Form PF, Questions 8 and 77.

Type 2014Q4 2015Q4 2016Q4 2017Q4 2018Q4 2019Q4 2020Q4 2021Q4

Software Publishers 3.8 4.9 6.1 6.0 8.0 10.6 9.7 11.7

Electric Power Generation,... 3.8 3.7 4.1 4.2 4.5 4.3 4.8 3.7

Data Processing, Hosting, &... 2.3 1.8 2.0 2.3 3.5 4.2 3.6 3.4

Telecommunications Data Processing... 2.5 2.7 2.3 2.2 2.4 2.6 3.7 3.3

Other Financial Investment... 1.8 1.8 1.7 1.4 2.1 2.1 2.8 2.8

Custom Computer Programming... 1.0 1.5 1.5 1.5 1.8 2.1 1.9 2.5

Other Information Services 2.1 1.9 1.8 2.0 1.7 1.9 2.5 2.4

Other Financial Vehicles 0.4 0.6 1.8 1.6 1.3 1.2 1.8 2.2

Pharmaceutical & Medicine Mfg 1.3 1.5 1.4 1.5 2.4 2.0 2.1 2.2

Oil & Gas Extraction 7.8 5.8 6.7 6.2 4.9 3.6 1.9 2.0

Insurance Agencies & Brokerages 1.0 1.0 1.2 1.1 1.0 1.1 1.5 1.6

Computer Systems Design Services 0.8 0.6 1.0 0.8 0.6 0.6 1.0 1.6

Other Computer Related Services 0.4 0.5 0.9 0.9 1.0 0.8 1.2 1.5

Medical Equipment & Supplies Mfg 1.3 0.9 0.6 0.7 2.0 0.9 0.9 1.4

All Other Professional,... 0.6 0.6 0.9 0.8 1.4 1.4 1.9 1.3

Pipeline Transportation 2.6 2.4 2.2 1.9 1.8 1.7 1.3 1.3

Activities Related to Credit... 1.2 1.4 1.0 1.2 1.3 1.4 1.2 1.3

Management, Scientific, &... 1.2 1.1 1.3 1.6 1.4 1.6 1.4 1.2

Scientific Research & Development... 0.9 1.0 0.7 1.0 1.0 1.7 1.3 1.2

Educational Services 1.3 1.3 1.2 1.4 1.2 1.1 1.3 1.0

Electronic Shopping & Mail-Order... 1.5 1.2 0.8 0.8 0.8 0.8 1.0 1.0

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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.

2014Q42015Q42016Q42017Q42018Q42019Q42020Q42021Q4

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.

2014Q42015Q42016Q42017Q42018Q42019Q42020Q42021Q4

0

20

40

60

80

CPC Payment-in-Kind Borrowings 

 to Total Borrowings Ratio (%)

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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 2021Q4

North America 4,506 4,132 3,942 3,961 4,211 5,163 6,633 9,556

Europe EEA 1,259 941 848 963 1,256 1,547 2,155 3,574

Asia 462 447 406 379 435 561 1,028 881

Europe Other 9 21 22 40 46 69 158 409

South America 85 58 111 184 140 149 141 171

Middle East 12 9 15 23 16 18 44 124

Supranational 67 23 37 49 55 60 78 82

Africa 12 12 18 14 10 15 9 12

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 2021Q4

North America 70.2 73.2 73.0 70.5 68.2 68.0 64.7 64.6

Europe EEA 19.6 16.7 15.7 17.1 20.3 20.4 21.0 24.2

Asia 7.2 7.9 7.5 6.8 7.0 7.4 10.0 6.0

Europe Other 0.1 0.4 0.4 0.7 0.7 0.9 1.5 2.8

South America 1.3 1.0 2.0 3.3 2.3 2.0 1.4 1.2

Middle East 0.2 0.2 0.3 0.4 0.3 0.2 0.4 0.8

Supranational 1.0 0.4 0.7 0.9 0.9 0.8 0.8 0.6

Africa 0.2 0.2 0.3 0.3 0.2 0.2 0.1 0.1

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October 14, 2022 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 2021Q4

United States 4,305 3,943 3,776 3,794 4,015 4,803 6,243 8,361

India 83 89 92 73 104 128 229 277

China and Hong Kong 186 173 114 147 154 149 235 210

Japan 98 85 79 52 52 78 283 128

Brazil 58 41 88 131 96 93 78 55

Russia 2 5 4 4 2 1 1 6

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 2021Q4

United States 67.1 69.9 69.9 67.6 65.1 63.3 60.9 56.5

India 1.3 1.6 1.7 1.3 1.7 1.7 2.2 1.9

China and Hong Kong 2.9 3.1 2.1 2.6 2.5 2.0 2.3 1.4

Japan 1.5 1.5 1.5 0.9 0.8 1.0 2.8 0.9

Brazil 0.9 0.7 1.6 2.3 1.6 1.2 0.8 0.4

Russia 0.0 0.1 0.1 0.1 0.0 0.0 0.0 0.0

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October 14, 2022 Analytics Office

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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October 14, 2022 Analytics Office

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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October 14, 2022 Analytics Office

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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October 14, 2022 Analytics Office

Large Liquidity Fund Adviser An adviser that has at least $1 billion in combined liquidity fund and

money market fund assets under management.

Large Private Equity Fund Adviser An adviser that has at least a $2 billion in private equity fund assets

under management.

Parallel Managed Account An account advised by an adviser that pursues substantially the same

investment objective and strategy and invests side by side in substantially the same positions as the reporting fund.

Qualifying Hedge Fund A hedge fund advised by a Large Hedge Fund Adviser that has a net asset

value (individually or in combination with any feeder funds, parallel

funds, and/or dependent parallel managed accounts) of at least $500

million as of the last day of any month in the fiscal quarter immediately

preceding the adviser’s most recently completed fiscal quarter.

Section 3 Liquidity Fund A liquidity fund advised by a Large Liquidity Fund Adviser.

Section 4 Private Equity Fund A private equity fund advised by a Large Private Equity Fund Adviser.

Value For derivatives (other than options), “value” means gross notional value;

for options, “value” means delta adjusted notional value; for all other

investments and for all borrowings where the reporting fund is the creditor, “value” means market value or, where there is not a readily available

market value, fair value; for borrowings where the reporting fund is the

debtor, “value” means the value you report internally and to current

and prospective investors.

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