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 30, 2019
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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 more than $8.5 trillion in net assets. Although private 

fund assets are still less than one half of the total assets of registered investment companies, they represent 

a much higher proportion of total registered and unregistered investment fund assets than in past decades. 

Private funds invest in large and small businesses and use strategies that range from long-term investments

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

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

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

investors.

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

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

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

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

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

Part III of this seventh 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 InformingExamination and EnforcementEfforts. Staff reviews and analyzes Form 

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

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

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

identify areas of inquiry.

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

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

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

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

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

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

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

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

more than $8.5 trillion in reported net assets as of the first quarter of 2019, 1 plays an active and important 

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

and new investment strategies and structures have emerged first among private funds and private fund 

advisers. As the primary U.S. regulator of advisers to private funds, 2 the Commission depends on robust

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

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

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

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

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

funds. 

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

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

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

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

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

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

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

analysis, findings, or conclusions contained herein.

 1 Private Fund Statistics, Table 4, at the Appendix.

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

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

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

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

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

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

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

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

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

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

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

private liquidity funds) (the “Money Market Fund Reform Release”). The Commission recently solicited 

public comment on the collection of information requirements of Form PF, and the Office of Management 

and Budget (“OMB”) approved the continuation of the collection without change pursuant to the Paperwork 

Reduction Act of 1995 (44 U.S.C. 3501 et. seq.) (the “PRA”). See Proposed Collection of Information, 

Comment Request, 83 Fed. Reg. 1278 (Jan. 10, 2018); OMB, Office of Information and Regulatory Affairs, 

OMB Control Number History, 

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

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

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

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

A. 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.

B. How the Commission Secures and Manages Form PF Data

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

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

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

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

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

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

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

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

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

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

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

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

Stat. 1376 (the “Dodd-Frank Act”).

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

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

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

8 See note 6, supra.

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

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

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

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

supra footnote 2, at Section II.E

11 Advisers Act Section 204(b)(10), 15 U.S.C. § 80b-4(b)(10).
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access the data, and processes under which any Form PF data released to the public is reviewed before 

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

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

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

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

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

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

C. 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

D. 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.
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• 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.

A. Informing Commission Policy

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

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

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

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

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

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

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

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

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

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

markets, and facilitate capital formation.

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

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

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

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

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

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

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

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

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

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

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

tests and value at risk (VaR) reporting in the management of private funds. 15

 

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

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

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

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

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

assessed the exposure of private funds to various types of assets and financial markets, including their 

exposure to certain international 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

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, staff has used data about private liquidity funds from Form PF to 

consider the effects of money market reform implementation17 and to monitor for potential effects in shortterm financing markets. Staff’s experience with Form PF informed the development of new Form N-PORT, 

a portfolio holdings reporting form for registered investment companies, and recent amendments to Form 

ADV filing requirements. 18 

B. 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 

 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 Money Market Fund Reform Release, suprafootnote 3. The compliance date for money market reform was 

October 14, 2016.

18 See Investment Company Reporting Modernization, Investment Company Act Release No. 32314 (Oct. 13, 

2016) [81 Fed. Reg. 81870 (Nov. 18, 2016)], https://www.gpo.gov/fdsys/pkg/FR-2016-11-18/pdf/2016-

25349.pdf; Form ADV and Investment Advisers Act Rules, Investment Advisers Act Release No. 4509 (Aug. 

25, 2016) [81 Fed. Reg. 60417 (Sept. 1, 2016)], https://www.gpo.gov/fdsys/pkg/FR-2016-09- 01/pdf/2016-

20832.pdf. See also Investment Company Reporting Modernization Frequently Asked Questions, updated 

April 27, 2018, https://www.sec.gov/investment/investment-company-reporting-modernization-faq#n-port; 

Frequently Asked Questions on Form ADV and IARD, 

https://www.sec.gov/divisions/investment/iard/iardfaq.shtml.
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data. 19 As supplemented with new data and analysis in May 2017, the report includes [90] separate tables 

and figures that offer analyses of hedge fund industry practices.20 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 

reportsistypically at least six months old when published. The Appendix contains the most recent report.21

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. 22 Staff understands that the financial 

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

to assist investors with investment decisions.23

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 

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

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

20 See SEC Staff Supplements Quarterly Private Funds Statistics, Press Release (May 3, 2017), 

https://www.sec.gov/news/press-release/2017-92.

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

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

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

23 See, e.g., Andy Jones, PEI Blog, Private Equity Firms – Form PF Data (Nov. 10, 2018), 

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

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

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

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

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

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

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

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

hedge funds. 24 Another staff white paper used Form PF data to characterize private liquidity funds and 

compare them to registered money market funds.25 

C. Assisting the Examinations and Enforcement Programs26

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

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

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

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

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

compliance risks.

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

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

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

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

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

reporting periods.

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

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

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

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

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

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

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

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

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

most recently filed Form PF and Form ADV data. 

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

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

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

 24 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. These papers report analyses using data reported on 

Form PF in quarterly filings from 2013 to 2105.

25 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.

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

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

Section 210(b).
9

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

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

D. 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. More recently, 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. 27 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.

 27 See, e.g., Financial Stability Oversight Council 2018 Annual Report (updated June 20, 2019), 

https://home.treasury.gov/system/files/261/FSOC2018AnnualReport.pdf. Section 4.13.5 of this report 

includes certain aggregated data from Form PF in describing recent developments relating to alternative 

funds.
A-1

Appendix

(Private Funds Statistics, First Calendar Quarter 2019)
Division of Investment Management

Analytics Office

Private Funds Statistics

First Calendar Quarter 2019

October 25, 2019

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 25, 2019 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 2017 through First Calendar Quarter

2019 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 2019 Private

Funds Statistics, please contact:

Tim Dulaney, PhD, FRM or Tim Husson, PhD, FRM at FormPF@sec.gov with subject line “First

Calendar Quarter 2019-Private Funds Statistics”.

1Only SEC-registered advisers with at least $150 million in private fund assets under management must report to the

Commission on Form PF. SEC-registered investment advisers with less than $150 million in private fund assets under

management, SEC exempt reporting advisers, and state-registered investment advisers are not required to file Form PF,

but report general information about the private funds they manage on Form ADV.

2The Commission began receiving Form PF filings from Large Hedge Fund Advisers in July 2012. A full data set was

not received until March 2013. This report relies upon the Form PF database constructed and maintained by the Office

of Research and Data Services in the Division of Economic and Risk Analysis.

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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

V Derivatives 19

VI High Frequency Trading 20

VII Hedge Fund Industry Concentration 21

VIII Information Reported by Large Hedge Fund Advisers 23

A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23

B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25

C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26

D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27

IX Qualifying Hedge Fund Specific Information 29

A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29

B Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31

C Leverage by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33

D Investment Exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34

E Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35

F Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37

G Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40

H Value-at-Risk (“VaR”) Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41

I Stress Testing and VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42

X Section 3 Liquidity Fund Specific Information 43

A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43

B Portfolio Characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43

C Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46

D Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46

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October 25, 2019 Analytics Office

E Aggregate Portfolio Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47

XI Section 4 Private Equity Fund Specific Information 48

A CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48

B CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49

C CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . . 50

XII Appendices 52

A Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52

1 All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52

2 Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52

3 Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53

4 Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . 53

5 Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53

B Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54

C How to Read a Boxplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54

D Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55

E Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56

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I Number of Funds and Advisers3

Table 1: Number of Funds

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

because the rows are not mutually exclusive.

Fund Type 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Private Equity Fund 10,389 10,298 11,541 11,581 11,601 11,610 12,711 12,941

Hedge Fund 9,126 9,166 9,036 9,194 9,307 9,382 9,194 9,388

Other Private Fund 4,499 4,458 4,537 4,608 4,581 4,587 4,898 4,755

Section 4 Private Equity Fund 3,009 2,989 3,482 3,494 3,494 3,495 3,936 3,933

Real Estate Fund 2,452 2,443 2,653 2,663 2,657 2,664 2,837 2,850

Qualifying Hedge Fund 1,717 1,727 1,801 1,772 1,806 1,818 1,827 1,794

Securitized Asset Fund 1,475 1,477 1,504 1,510 1,510 1,514 1,564 1,569

Venture Capital Fund 787 773 866 866 851 850 961 962

Liquidity Fund 69 69 70 69 68 68 73 72

Section 3 Liquidity Fund 47 46 48 46 45 45 46 45

Total 28,797 28,684 30,207 30,491 30,575 30,675 32,238 32,537

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 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Private Equity Fund 1,092 1,089 1,145 1,153 1,154 1,157 1,247 1,256

Hedge Fund 1,690 1,691 1,734 1,736 1,739 1,739 1,748 1,741

Other Private Fund 580 577 586 593 589 590 627 626

Section 4 Private Equity Fund 250 247 293 296 296 296 308 307

Real Estate Fund 316 315 331 333 333 335 347 349

Qualifying Hedge Fund 534 536 551 542 550 545 553 540

Securitized Asset Fund 153 154 155 155 156 158 153 153

Venture Capital Fund 111 110 115 116 116 117 133 132

Liquidity Fund 38 38 39 39 38 38 40 39

Section 3 Liquidity Fund 24 23 25 23 22 22 23 22

Total 2,925 2,925 3,030 3,041 3,046 3,046 3,147 3,149

3

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

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

terms used in this report.

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October 25, 2019 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 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Hedge Fund 6,862 7,184 7,242 7,520 7,659 7,911 7,593 8,052

Qualifying Hedge Fund 5,681 5,856 5,863 6,076 6,281 6,386 6,153 6,480

Private Equity Fund 2,324 2,310 2,727 2,766 2,769 2,769 3,175 3,259

Section 4 Private Equity Fund 1,648 1,641 1,941 1,978 1,978 1,978 2,330 2,365

Other Private Fund 1,088 1,061 1,191 1,206 1,208 1,222 1,225 1,222

Real Estate Fund 434 433 500 505 505 505 568 574

Securitized Asset Fund 454 453 485 480 488 490 570 573

Liquidity Fund 276 282 291 291 311 314 297 292

Section 3 Liquidity Fund 273 279 289 289 307 309 292 289

Venture Capital Fund 65 63 81 82 81 82 111 111

Total 11,503 11,787 12,517 12,849 13,021 13,292 13,538 14,083

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 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Hedge Fund 3,658 3,780 3,883 3,974 4,003 4,059 3,794 4,007

Qualifying Hedge Fund 2,890 2,984 3,047 3,106 3,151 3,188 2,968 3,127

Private Equity Fund 2,082 2,069 2,441 2,484 2,487 2,487 2,813 2,895

Section 4 Private Equity Fund 1,496 1,489 1,755 1,789 1,789 1,789 2,084 2,117

Other Private Fund 995 971 1,076 1,086 1,106 1,096 1,085 1,082

Real Estate Fund 341 340 391 394 394 394 443 448

Securitized Asset Fund 145 144 152 152 154 154 170 171

Liquidity Fund 275 280 291 289 309 311 295 288

Section 3 Liquidity Fund 272 278 288 287 305 306 289 285

Venture Capital Fund 62 61 77 77 76 77 98 98

Total 7,558 7,646 8,311 8,456 8,530 8,578 8,697 8,989

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Figure 1: GAV and NAV Distributions

See Appendix C for an explanation of boxplots.

As reported on Form PF, Questions 8 and 9.

2017Q22017Q32017Q42018Q12018Q22018Q32018Q42019Q1

0

1

2

3

4

5

6

7

8

GAV ($Billions)

(a) Qualifying Hedge Fund GAV

2017Q22017Q32017Q42018Q12018Q22018Q32018Q42019Q1

0

1

2

3

4

5

6

7

8

NAV ($Billions)

(b) Qualifying Hedge Fund NAV

2017Q22017Q32017Q42018Q12018Q22018Q32018Q42019Q1

0

200

400

600

800

1000

1200

1400

GAV ($Millions)

(c) Section 4 Private Equity Fund GAV

2017Q22017Q32017Q42018Q12018Q22018Q32018Q42019Q1

0

200

400

600

800

1000

1200

1400

NAV ($Millions)

(d) Section 4 Private Equity Fund NAV

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October 25, 2019 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.

2017Q22017Q32017Q42018Q12018Q22018Q32018Q42019Q1

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

2017Q22017Q32017Q42018Q12018Q22018Q32018Q42019Q1

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 25, 2019 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 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Securitized Asset Fund 48.8 48.4 51.9 51.2 51.2 50.6 53.5 52.7

Qualifying Hedge Fund 42.3 41.8 41.5 42.9 45.0 44.5 45.1 46.7

Hedge Fund 39.3 39.6 39.4 40.4 41.6 41.3 41.6 43.1

Real Estate Fund 12.7 12.7 13.2 13.5 13.2 13.2 14.7 14.9

Section 4 Private Equity Fund 4.0 4.1 4.6 4.6 4.6 4.6 5.2 5.2

Private Equity Fund 5.0 5.0 5.2 4.9 4.9 4.9 5.3 5.1

Other Private Fund 2.7 2.7 2.2 2.7 2.7 3.0 3.5 3.4

Venture Capital Fund 0.5 0.5 0.6 0.5 0.5 0.6 0.9 0.8

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).

2017Q22017Q32017Q42018Q12018Q22018Q32018Q42019Q1

0

100

200

300

400

500

600

700

Total Borrowings ($Millions)

(a) All Private Funds

2017Q22017Q32017Q42018Q12018Q22018Q32018Q42019Q1

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

Total Borrowings ($Billions)

(b) Qualifying Hedge Funds

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October 25, 2019 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).

2017Q22017Q32017Q42018Q12018Q22018Q32018Q42019Q1

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

Ratio of Borrowings to NAV

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

(a) All Private Funds

2017Q22017Q32017Q42018Q12018Q22018Q32018Q42019Q1

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

Ratio of Borrowings to NAV

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

(b) Qualifying Hedge Funds

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October 25, 2019 Analytics Office

C Fair Value Hierarchy

Table 6: Assets According to Fair Value Hierarchy ($ Billions)

As reported on Form PF, Question 14.

2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Level One 2,566 2,558 3,269 3,017 2,976 2,856 3,213 2,679

Level Two 2,182 2,223 2,753 2,299 2,320 2,296 2,930 2,517

Level Three 2,515 2,509 2,898 2,859 2,869 2,882 3,400 3,375

Cost-Based 1,706 1,711 2,225 1,863 1,879 1,840 2,445 1,997

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

As reported on Form PF, Question 14.

2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Level One 650 651 647 788 780 659 311 651

Level Two 451 455 608 588 602 604 714 803

Level Three 140 137 174 174 174 177 155 157

Cost-Based 644 650 479 762 773 733 603 1,060

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October 25, 2019 Analytics Office

D Parallel Managed Accounts4

Table 8: 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 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Hedge Fund 661 668 669 674 678 686 663 659

Other Private Fund 501 499 513 518 514 505 508 509

Private Equity Fund 239 272 292 292 290 279 315 314

Qualifying Hedge Fund 220 227 238 233 234 236 231 223

Section 4 Private Equity Fund 88 88 98 98 98 98 112 112

Real Estate Fund 77 77 71 71 71 71 68 78

Liquidity Fund 16 16 16 16 16 16 18 15

Section 3 Liquidity Fund 16 16 16 16 16 16 16 13

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

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

Total 1,534 1,571 1,575 1,585 1,583 1,571 1,581 1,584

Table 9: 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 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Hedge Fund 680 714 827 770 769 813 770 721

Other Private Fund 1,489 1,508 1,864 1,869 1,799 1,763 1,821 1,822

Private Equity Fund 28 28 37 37 37 37 48 48

Qualifying Hedge Fund 440 525 594 551 567 570 532 470

Section 4 Private Equity Fund 22 22 28 28 28 28 33 33

Real Estate Fund 6 6 6 6 6 6 4 5

Liquidity Fund 330 345 359 361 353 364 383 293

Section 3 Liquidity Fund 330 345 359 361 353 364 382 292

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

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

Total 2,714 2,782 3,094 3,045 2,966 2,984 3,026 2,889

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 25, 2019 Analytics Office

Figure 5: Parallel Managed Account Value Distributions

See Appendix C for an explanation of boxplots.

As reported on Form PF, Question 11.

2017Q22017Q32017Q42018Q12018Q22018Q32018Q42019Q1

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

Parallel Managed Assets ($Billions)

(a) All Private Funds

2017Q22017Q32017Q42018Q12018Q22018Q32018Q42019Q1

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

Parallel Managed Assets ($Billions)

(b) Qualifying Hedge Funds

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October 25, 2019 Analytics Office

III Fund Domiciles and Adviser Main Offices

Table 10: Fund Domicile (Percent of NAV)

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

All Private Funds

Country 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

United States 51.5 51.0 51.4 51.0 50.9 50.9 51.7 50.7

Cayman Islands 36.4 36.6 35.4 35.3 35.2 35.1 34.0 34.7

Ireland 4.2 4.3 4.4 4.4 4.5 4.6 4.6 4.5

Luxembourg 1.6 1.6 1.9 2.0 2.2 2.2 2.9 3.0

Virgin Islands, British 2.0 2.0 1.8 1.8 1.8 1.7 1.5 1.5

United Kingdom 1.1 1.1 1.3 1.3 1.3 1.3 1.3 1.2

Bermuda 1.3 1.3 1.2 1.2 1.2 1.2 1.1 1.1

Other 2.0 2.1 2.6 2.9 2.9 3.0 3.0 3.3

Qualifying Hedge Funds

Country 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Cayman Islands 52.4 51.7 51.3 51.0 50.9 50.6 50.6 51.5

United States 35.0 35.3 35.8 35.6 35.5 35.1 35.6 34.7

Virgin Islands, British 5.0 4.8 4.5 4.4 4.4 4.2 4.1 3.9

Ireland 2.7 2.8 2.9 3.1 3.2 3.3 3.2 3.2

Luxembourg 1.6 1.7 1.9 2.0 2.4 2.7 2.6 2.7

Bermuda 1.7 1.7 1.6 1.7 1.8 1.8 2.0 1.9

Other 1.6 2.0 2.0 2.1 2.0 2.2 1.9 2.0

Section 3 Liquidity Funds

Country 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

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

United States 36.8 34.7 35.1 35.8 36.9 36.8 32.9 30.0

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

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

Section 4 Private Equity Funds

Country 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

United States 63.8 63.7 60.7 59.5 59.5 59.5 56.9 56.0

Cayman Islands 29.4 29.5 30.4 29.8 29.8 29.8 30.6 30.1

United Kingdom 1.9 2.0 2.7 2.9 2.9 2.9 2.3 2.3

Canada 0.9 0.9 1.0 1.0 1.0 1.0 1.1 1.1

Bermuda 1.1 1.1 1.0 1.1 1.1 1.1 1.0 0.9

Other 2.9 2.9 4.2 5.7 5.7 5.7 8.2 9.7

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October 25, 2019 Analytics Office

Table 11: Adviser Main Office Location (Percent of NAV)

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

All Private Funds

Country 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

United States 89.0 88.9 89.5 88.9 88.7 88.8 89.7 89.5

United Kingdom 6.7 6.8 6.5 6.9 7.0 6.9 6.2 6.3

Other 4.2 4.3 4.1 4.3 4.3 4.3 4.1 4.2

Qualifying Hedge Funds

Country 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

United States 89.3 89.0 88.6 88.4 88.7 88.6 89.0 89.0

United Kingdom 6.2 6.3 6.6 6.6 6.5 6.5 6.1 6.0

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

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

Other 2.3 2.3 2.2 2.3 2.3 2.1 2.1 2.0

Section 3 Liquidity Funds

Country 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

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

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

Section 4 Private Equity Funds

Country 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

United States 95.1 95.1 94.8 94.8 94.8 94.8 94.0 94.1

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

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

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October 25, 2019 Analytics Office

IV Beneficial Ownership

Table 12: Beneficial Ownership for All Private Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Private Funds 1,371 1,371 1,491 1,515 1,533 1,534 1,517 1,549

Other 1,011 1,039 1,189 1,234 1,238 1,250 1,332 1,375

State/Muni. Govt. Pension Plans 1,033 1,048 1,154 1,154 1,164 1,178 1,231 1,250

Pension Plans 967 973 1,038 1,046 1,049 1,048 1,044 1,068

Non-Profits 779 790 849 861 869 868 849 894

U.S. Individuals 790 799 818 835 842 851 842 875

Sov. Wealth Funds And For. Official Inst. 444 445 515 540 544 544 555 604

Insurance Companies 312 314 349 352 365 373 399 411

Unknown Non-U.S. Investors 185 188 195 193 189 187 204 216

Non-U.S. Individuals 185 183 187 191 193 195 205 209

Banking/Thrift Inst. 143 147 161 161 170 172 169 171

State/Muni. Govt. Entities 107 108 122 125 129 131 122 130

Sec-Registered Investment Companies 121 128 129 133 128 127 118 126

Broker-Dealers 107 111 112 113 114 121 108 107

Table 13: Beneficial Ownership for All Private Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Private Funds 18.1 17.9 17.9 17.9 18.0 17.9 17.4 17.2

Other 13.4 13.6 14.3 14.6 14.5 14.6 15.3 15.3

State/Muni. Govt. Pension Plans 13.7 13.7 13.9 13.6 13.6 13.7 14.1 13.9

Pension Plans 12.8 12.7 12.5 12.4 12.3 12.2 12.0 11.9

Non-Profits 10.3 10.3 10.2 10.2 10.2 10.1 9.8 9.9

U.S. Individuals 10.5 10.4 9.8 9.9 9.9 9.9 9.7 9.7

Sov. Wealth Funds And For. Official Inst. 5.9 5.8 6.2 6.4 6.4 6.3 6.4 6.7

Insurance Companies 4.1 4.1 4.2 4.2 4.3 4.3 4.6 4.6

Unknown Non-U.S. Investors 2.5 2.5 2.3 2.3 2.2 2.2 2.3 2.4

Non-U.S. Individuals 2.5 2.4 2.3 2.3 2.3 2.3 2.4 2.3

Banking/Thrift Inst. 1.9 1.9 1.9 1.9 2.0 2.0 1.9 1.9

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

Sec-Registered Investment Companies 1.6 1.7 1.6 1.6 1.5 1.5 1.4 1.4

Broker-Dealers 1.4 1.5 1.3 1.3 1.3 1.4 1.2 1.2

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October 25, 2019 Analytics Office

Table 14: Beneficial Ownership for Qualifying Hedge Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Private Funds 503 508 503 514 517 526 480 508

Non-Profits 404 418 429 429 443 442 404 442

Other 385 409 409 436 443 447 414 428

Pension Plans 386 398 414 416 415 417 399 417

State/Muni. Govt. Pension Plans 314 331 352 342 342 348 343 353

U.S. Individuals 331 340 345 342 352 357 323 347

Sov. Wealth Funds And For. Official Inst. 158 160 166 193 197 195 196 198

Insurance Companies 73 74 78 78 83 91 82 89

Non-U.S. Individuals 68 70 73 76 77 79 75 79

Broker-Dealers 75 79 79 80 81 84 77 77

Unknown Non-U.S. Investors 52 56 58 55 53 53 48 57

Sec-Registered Investment Companies 62 65 65 66 61 59 52 54

State/Muni. Govt. Entities 42 42 42 47 49 50 39 42

Banking/Thrift Inst. 33 33 35 33 36 38 32 33

Table 15: Beneficial Ownership for Qualifying Hedge Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Private Funds 17.4 17.0 16.5 16.5 16.4 16.5 16.2 16.3

Non-Profits 14.0 14.0 14.1 13.8 14.1 13.9 13.6 14.1

Other 13.3 13.7 13.4 14.0 14.1 14.0 14.0 13.7

Pension Plans 13.4 13.3 13.6 13.4 13.2 13.1 13.5 13.3

State/Muni. Govt. Pension Plans 10.9 11.1 11.5 11.0 10.9 10.9 11.6 11.3

U.S. Individuals 11.5 11.4 11.3 11.0 11.2 11.2 10.9 11.1

Sov. Wealth Funds And For. Official Inst. 5.5 5.4 5.4 6.2 6.2 6.1 6.6 6.3

Insurance Companies 2.5 2.5 2.5 2.5 2.6 2.9 2.8 2.8

Non-U.S. Individuals 2.4 2.3 2.4 2.4 2.5 2.5 2.5 2.5

Broker-Dealers 2.6 2.6 2.6 2.6 2.6 2.6 2.6 2.5

Unknown Non-U.S. Investors 1.8 1.9 1.9 1.8 1.7 1.6 1.6 1.8

Sec-Registered Investment Companies 2.1 2.2 2.1 2.1 1.9 1.8 1.8 1.7

State/Muni. Govt. Entities 1.4 1.4 1.4 1.5 1.6 1.6 1.3 1.3

Banking/Thrift Inst. 1.1 1.1 1.1 1.1 1.1 1.2 1.1 1.1

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October 25, 2019 Analytics Office

Table 16: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Private Funds 89 83 96 94 109 105 97 84

Unknown Non-U.S. Investors 52 55 53 52 52 51 54 60

Other 51 51 55 57 55 57 55 57

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

Sec-Registered Investment Companies 21 24 23 24 24 23 18 19

Banking/Thrift Inst. 12 *** *** 13 17 17 *** ***

Insurance Companies 9 10 9 9 12 12 9 10

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

Non-U.S. Individuals 4 4 4 4 4 4 5 4

Pension Plans 5 5 5 5 3 4 3 ***

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

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

State/Muni. Govt. Pension Plans 1 1 1 1 *** 2 2 ***

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

Table 17: Beneficial Ownership for Section 3 Liquidity Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Private Funds 32.6 30.0 33.3 32.6 35.7 34.4 33.6 29.6

Unknown Non-U.S. Investors 19.2 19.8 18.4 18.1 17.0 16.6 18.7 20.9

Other 18.7 18.5 19.1 19.7 17.9 18.7 19.0 20.0

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

Sec-Registered Investment Companies 7.6 8.6 7.8 8.3 7.9 7.6 6.2 6.6

Banking/Thrift Inst. 4.3 *** *** 4.7 5.6 5.4 *** ***

Insurance Companies 3.3 3.7 3.0 3.3 3.9 3.8 3.1 3.5

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

Non-U.S. Individuals 1.5 1.4 1.3 1.4 1.2 1.1 1.7 1.3

Pension Plans 1.8 1.9 1.8 1.7 1.1 1.2 0.9 ***

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

Non-Profits 0.6 0.6 0.5 0.5 *** 0.4 0.4 0.5

State/Muni. Govt. Pension Plans 0.4 0.4 0.4 0.3 *** 0.6 0.6 ***

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

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October 25, 2019 Analytics Office

Table 18: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

State/Muni. Govt. Pension Plans 366 366 415 416 416 416 454 454

Private Funds 284 284 353 356 356 356 398 397

Other 161 161 212 225 225 225 322 336

Sov. Wealth Funds And For. Official Inst. 154 153 186 203 203 203 225 244

Pension Plans 142 139 159 159 159 159 175 175

Insurance Companies 94 94 109 109 109 109 127 127

U.S. Individuals 88 88 94 94 94 94 118 118

Non-Profits 92 90 104 104 104 104 116 116

Non-U.S. Individuals 34 34 36 36 36 36 48 48

State/Muni. Govt. Entities 22 22 28 28 28 28 36 36

Banking/Thrift Inst. 31 31 29 29 29 29 31 31

Sec-Registered Investment Companies 12 12 16 16 16 16 17 17

Unknown Non-U.S. Investors 14 13 14 14 14 14 17 17

Broker-Dealers 1 1 1 1 1 1 1 1

Table 19: Beneficial Ownership for Section 4 Private Equity Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

State/Muni. Govt. Pension Plans 24.5 24.6 23.6 23.3 23.3 23.3 21.8 21.4

Private Funds 19.0 19.1 20.1 19.9 19.9 19.9 19.1 18.8

Other 10.8 10.8 12.1 12.6 12.6 12.6 15.4 15.9

Sov. Wealth Funds And For. Official Inst. 10.3 10.3 10.6 11.3 11.3 11.3 10.8 11.5

Pension Plans 9.5 9.4 9.1 8.9 8.9 8.9 8.4 8.3

Insurance Companies 6.3 6.3 6.2 6.1 6.1 6.1 6.1 6.0

U.S. Individuals 5.9 5.9 5.3 5.2 5.3 5.2 5.6 5.6

Non-Profits 6.2 6.1 5.9 5.8 5.8 5.8 5.6 5.5

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

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

Banking/Thrift Inst. 2.0 2.1 1.7 1.6 1.6 1.6 1.5 1.5

Sec-Registered Investment Companies 0.8 0.8 0.9 0.9 0.9 0.9 0.8 0.8

Unknown Non-U.S. Investors 0.9 0.9 0.8 0.8 0.8 0.8 0.8 0.8

Broker-Dealers 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1

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October 25, 2019 Analytics Office

V Derivatives

Table 20: 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 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Hedge Fund 10,100 11,369 12,133 14,212 13,419 13,597 12,677 14,163

Qualifying Hedge Fund 8,765 9,583 10,127 12,095 11,314 10,331 9,871 11,298

Other Private Fund 108 109 148 149 148 134 132 131

Private Equity Fund 38 38 39 40 40 40 38 37

Section 4 Private Equity Fund 34 34 33 34 34 34 31 31

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

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

Real Estate Fund 16 16 17 17 17 17 17 17

Securitized Asset Fund 14 13 3 2 2 2 3 3

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

Total 10,330 11,573 12,328 14,330 13,620 13,818 12,913 14,386

Table 21: Aggregate Derivative Value (Percent of Aggregate NAV)

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

Type 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Hedge Fund 276.1 300.8 312.5 357.6 335.2 335.0 334.1 353.5

Qualifying Hedge Fund 303.3 321.1 332.3 389.4 359.0 324.0 332.6 361.3

Other Private Fund 10.9 11.2 13.7 13.7 13.4 12.3 12.2 12.1

Private Equity Fund 1.8 1.8 1.6 1.6 1.6 1.6 1.3 1.3

Section 4 Private Equity Fund 2.3 2.3 1.9 1.9 1.9 1.9 1.5 1.5

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

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

Real Estate Fund 4.7 4.7 4.4 4.4 4.4 4.4 3.8 3.7

Securitized Asset Fund 9.4 9.2 1.7 1.6 1.5 1.5 1.6 1.6

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

Total 136.7 151.4 148.3 169.5 159.7 161.1 148.5 160.0

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October 25, 2019 Analytics Office

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).

2017Q22017Q32017Q42018Q12018Q22018Q32018Q42019Q1

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

1.8

Total Derivative Value ($Billions)

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

(a) All Private Funds

2017Q22017Q32017Q42018Q12018Q22018Q32018Q42019Q1

0

2

4

6

8

10

12

Total Derivative Value ($Billions)

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

(b) Qualifying Hedge Funds

VI High Frequency Trading

Table 22: Number of Hedge Funds Using

High Frequency Trading (HFT) Strategies

As reported on Form PF, Question 21.

Fraction of NAV 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

0% 7,668 7,704 7,767 7,883 7,990 8,057 7,918 7,986

Less than 100% 66 63 42 70 69 58 64 67

100% or More 12 13 12 11 11 11 5 5

Table 23: Hedge Fund Assets Managed Using HFT Strategies ($ Billions)

As reported on Form PF, Questions 9 and 21.

Fraction of NAV 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

0% 3,551 3,652 3,771 3,845 3,894 3,955 3,721 3,922

Less than 100% 78 43 41 46 42 43 43 84

100% or More 3 37 37 38 38 39 35 2

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October 25, 2019 Analytics Office

VII Hedge Fund Industry Concentration

Table 24: 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.

2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Top 10 7.7 7.5 7.5 7.2 7.3 7.2 7.4 7.2

Top 25 13.5 13.2 13.4 13.3 13.5 13.5 13.5 13.4

Top 50 20.3 20.0 20.2 20.2 20.1 20.1 19.7 19.7

Top 100 28.6 28.5 28.8 28.6 28.4 28.4 27.9 28.0

Top 250 43.5 43.4 43.2 43.0 42.6 42.5 42.1 42.4

Top 500 56.9 56.8 56.5 56.4 56.0 55.9 55.6 56.2

Table 25: 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.

2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Top 10 14.9 15.5 15.1 15.5 15.5 15.4 16.7 16.5

Top 25 23.2 24.2 23.7 24.2 23.8 24.4 26.0 25.7

Top 50 31.6 32.6 31.8 32.6 32.0 32.9 34.2 34.2

Top 100 41.3 42.2 41.4 41.9 41.7 42.4 43.4 43.4

Top 250 55.1 56.0 55.3 55.5 55.2 56.0 56.6 57.1

Top 500 66.8 67.4 66.6 66.9 66.7 67.2 67.6 68.1

Table 26: 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).

2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Top 10 33.3 35.0 34.4 35.1 34.5 34.7 36.3 36.1

Top 25 46.2 47.5 47.5 49.1 48.3 48.4 51.3 50.9

Top 50 57.3 58.6 59.0 60.0 59.6 60.0 62.9 63.0

Top 100 69.2 70.2 70.8 71.0 70.7 71.0 73.3 73.3

Top 250 81.8 82.6 82.6 82.8 82.9 82.9 84.7 85.0

Top 500 90.1 90.5 90.2 90.4 90.6 90.6 91.6 91.9

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October 25, 2019 Analytics Office

Table 27: 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).

2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Top 10 32.4 32.6 32.6 31.8 30.8 30.4 32.7 31.7

Top 25 46.7 49.4 47.9 49.7 49.6 48.5 49.0 50.0

Top 50 59.5 61.7 60.3 62.2 62.1 61.3 62.0 63.0

Top 100 72.1 73.7 72.8 73.9 73.3 73.0 73.6 74.9

Top 250 85.8 86.5 86.0 87.0 86.3 86.2 86.6 87.8

Top 500 92.7 93.2 93.0 93.8 93.2 93.2 93.3 94.0

Table 28: 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).

2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Top 10 30.4 30.4 30.5 29.6 28.4 27.6 29.7 30.0

Top 25 43.5 45.2 45.1 46.3 44.7 44.1 47.2 47.0

Top 50 55.7 57.1 56.6 59.2 58.1 57.8 60.2 59.7

Top 100 67.7 68.8 68.6 70.5 69.6 69.4 71.2 71.1

Top 250 82.0 82.6 82.6 84.0 82.8 82.7 83.9 84.2

Top 500 90.7 91.1 91.1 92.0 91.2 91.1 91.8 92.0

22
October 25, 2019 Analytics Office

VIII 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.

2017-062017-092017-122018-032018-062018-092018-122019-03

0

2

4

6

8

10

12

14

Ratio of GNE to NAV

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

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

2017-062017-092017-122018-032018-062018-092018-122019-03

0

2

4

6

8

10

12

14

Ratio of GNE (w/o IRDs) to NAV

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

(b) Gross Exposure without IRDs

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October 25, 2019 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.

2017-062017-092017-122018-032018-062018-092018-122019-03

0

2

4

6

8

10

Ratio of LNE to NAV

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

(a) Long Exposure with IRDs

2017-062017-092017-122018-032018-062018-092018-122019-03

0

2

4

6

8

10

Ratio of LNE (w/o IRDs) to NAV

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

(b) Long Exposure without IRDs

2017-062017-092017-122018-032018-062018-092018-122019-03

0

2

4

6

8

10

Ratio of SNE to NAV

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

(c) Short Exposure with IRDs

2017-062017-092017-122018-032018-062018-092018-122019-03

0

2

4

6

8

10

Ratio of SNE (w/o IRDs) to NAV

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

(d) Short Exposure without IRDs

24
October 25, 2019 Analytics Office

B Industry Concentration

Table 29: 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)

2017-04 18.5 28.1 36.1 50.1

2017-05 18.5 28.1 36.5 50.5

2017-06 18.5 28.1 36.3 50.5

2017-07 18.6 28.1 36.6 51.1

2017-08 18.6 28.1 37.4 52.5

2017-09 18.6 28.1 36.2 50.8

2017-10 18.4 27.7 36.0 51.3

2017-11 18.4 27.7 36.3 52.0

2017-12 18.4 27.7 36.5 51.8

2018-01 18.4 27.7 37.5 53.6

2018-02 18.4 27.7 41.0 56.3

2018-03 18.4 27.7 40.0 55.3

2018-04 18.1 27.2 41.0 56.4

2018-05 18.1 27.2 40.3 56.0

2018-06 18.1 27.2 38.1 53.7

2018-07 18.2 27.4 35.4 51.2

2018-08 18.3 27.6 34.1 49.9

2018-09 18.3 27.6 34.4 49.6

2018-10 19.2 28.7 35.4 51.9

2018-11 19.2 28.7 36.4 52.4

2018-12 19.2 28.7 36.9 52.1

2019-01 19.0 28.5 37.4 53.2

2019-02 18.9 28.5 36.9 53.0

2019-03 18.9 28.5 36.8 53.0

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October 25, 2019 Analytics Office

C Portfolio Turnover

Table 30: Aggregate Portfolio Turnover ($ Billions)

As reported on Form PF, Question 27.

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

2017-04 10,971 1,992 1,846 85 16 14,910

2017-05 11,955 3,001 2,189 131 25 17,300

2017-06 16,994 2,963 2,187 115 23 22,282

2017-07 11,133 2,673 2,099 101 17 16,023

2017-08 10,809 2,932 2,385 92 21 16,239

2017-09 13,460 2,997 2,259 109 24 18,849

2017-10 8,761 2,646 2,220 107 29 13,763

2017-11 10,364 2,857 2,399 210 25 15,856

2017-12 13,350 2,459 2,081 70 15 17,976

2018-01 16,512 3,164 2,449 142 33 22,299

2018-02 18,150 3,516 2,446 132 27 24,271

2018-03 17,329 3,238 2,273 153 33 23,027

2018-04 10,382 2,733 2,438 119 22 15,693

2018-05 15,734 3,727 2,499 132 31 22,122

2018-06 15,104 3,080 2,582 119 29 20,913

2018-07 8,108 3,178 2,272 92 17 13,668

2018-08 11,643 3,280 2,417 96 20 17,455

2018-09 12,915 2,953 2,110 114 32 18,124

2018-10 11,765 3,180 3,018 129 23 18,115

2018-11 13,470 3,214 2,576 112 20 19,393

2018-12 12,715 2,911 2,189 72 13 17,901

2019-01 9,675 3,783 2,353 159 23 15,993

2019-02 11,269 4,095 2,048 135 22 17,569

2019-03 14,103 3,779 2,295 143 27 20,347

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.

2017-062017-092017-122018-032018-062018-092018-122019-03

0

10

20

30

40

50

60

70

Total Turnover ($Billions)

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

(a) Total Turnover

2017-062017-092017-122018-032018-062018-092018-122019-03

0

5

10

15

20

25

Ratio of Turnover to NAV

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

(b) Total Turnover to NAV Ratio

26
October 25, 2019 Analytics Office

D Region and Country Exposure

Table 31: Large Hedge Fund Adviser Hedge Fund

Region Exposure ($ Billions)

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

Region 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

North America 4,500 5,089 4,527 4,811 4,923 5,112 5,007 5,322

Europe EEA 1,669 1,708 1,663 1,990 1,822 1,751 1,822 1,804

Asia 600 713 673 735 698 678 787 844

South America 102 108 133 114 112 101 111 115

Europe Other 78 77 91 86 74 72 70 78

Supranational 68 67 75 72 59 60 66 48

Africa 23 24 31 37 33 31 29 31

Middle East 23 23 26 30 37 26 27 25

Table 32: Large Hedge Fund Adviser Hedge Fund

Region Exposure (Percent of Aggregate NAV)

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

Region 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

North America 142.9 155.9 135.4 140.5 141.4 147.2 153.0 154.2

Europe EEA 53.0 52.3 49.7 58.1 52.3 50.4 55.7 52.3

Asia 19.0 21.8 20.1 21.5 20.1 19.5 24.0 24.5

South America 3.2 3.3 4.0 3.3 3.2 2.9 3.4 3.3

Europe Other 2.5 2.4 2.7 2.5 2.1 2.1 2.1 2.3

Supranational 2.2 2.0 2.2 2.1 1.7 1.7 2.0 1.4

Africa 0.7 0.7 0.9 1.1 0.9 0.9 0.9 0.9

Middle East 0.7 0.7 0.8 0.9 1.1 0.7 0.8 0.7

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October 25, 2019 Analytics Office

Table 33: Large Hedge Fund Adviser Hedge Fund

Country Exposure ($ Billions)

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

Country 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

United States 4,246 4,824 4,312 4,551 4,683 4,869 4,783 5,200

Japan 229 233 245 269 244 251 274 265

China (Inc. Hong Kong) 144 152 164 178 184 165 147 187

Brazil 42 45 60 47 50 42 40 43

India 35 37 47 38 36 36 35 36

Russia 13 16 18 16 12 11 9 9

Table 34: Large Hedge Fund Adviser Hedge Fund

Country Exposure (Percent of Aggregate NAV)

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

Country 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

United States 134.9 147.8 129.0 132.9 134.5 140.2 146.2 150.7

Japan 7.3 7.1 7.3 7.9 7.0 7.2 8.4 7.7

China (Inc. Hong Kong) 4.6 4.7 4.9 5.2 5.3 4.7 4.5 5.4

Brazil 1.3 1.4 1.8 1.4 1.4 1.2 1.2 1.2

India 1.1 1.1 1.4 1.1 1.0 1.0 1.1 1.0

Russia 0.4 0.5 0.5 0.5 0.3 0.3 0.3 0.3

28
October 25, 2019 Analytics Office

IX 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.

2017-062017-092017-122018-032018-062018-092018-122019-03

0

2

4

6

8

10

12

14

Ratio of GNE to NAV

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

(a) Including IRDs

2017-062017-092017-122018-032018-062018-092018-122019-03

0

2

4

6

8

10

12

14

Ratio of GNE (w/o IRDs) to NAV

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

(b) Excluding IRDs

29
October 25, 2019 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.

2017-062017-092017-122018-032018-062018-092018-122019-03

0

1

2

3

4

5

6

7

Ratio of LNE to NAV

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

(a) LNE Including IRDs

2017-062017-092017-122018-032018-062018-092018-122019-03

0

1

2

3

4

5

6

7

Ratio of LNE (w/o IRDs) to NAV

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

(b) LNE Excluding IRDs

2017-062017-092017-122018-032018-062018-092018-122019-03

0

1

2

3

4

5

6

7

Ratio of SNE to NAV

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

(c) SNE Including IRDs

2017-062017-092017-122018-032018-062018-092018-122019-03

0

1

2

3

4

5

6

7

Ratio of SNE (w/o IRDs) to NAV

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

(d) SNE Excluding IRDs

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October 25, 2019 Analytics Office

B Gross Exposure by Strategy5

Table 35: Exposures of Hedge Funds ($ Billions)

As reported on Form PF, Questions 9 and 20.

Category Strategy 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Equity

Subtotal 1,547 1,635 1,664 1,647 1,716 1,761 1,477 1,616

Long/Short 906 926 945 925 951 956 762 841

Market Neutral *** *** *** 342 365 383 360 386

Long Bias 330 369 371 372 392 414 348 384

Short Bias *** *** *** 8 8 8 7 5

Other Subtotal 935 968 999 983 984 1,005 1,013 1,038

Relative Value

Subtotal 750 815 719 739 786 774 879 963

F.I. Sov. 507 566 477 496 537 506 599 686

F.I. Asset Backed 120 119 119 121 127 137 145 130

F.I. Corp. 48 50 46 49 52 56 59 67

F.I. Conv. Arb. 47 49 50 51 49 53 55 60

Volatility Arb. 29 31 27 22 21 22 21 19

Macro

Subtotal 652 699 660 784 760 819 716 782

Global Macro 570 617 575 698 670 729 627 695

Currency *** *** *** *** 45 45 47 46

Commodity 35 38 40 39 40 41 37 37

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

Credit

Subtotal 285 289 287 286 297 307 321 325

Long/Short 240 240 235 248 238 247 256 258

Asset Based Lending 45 49 51 38 59 60 65 66

Event Driven

Subtotal 353 359 353 363 360 350 304 313

Distressed/Restruct. 167 170 167 165 162 165 164 169

Equity 100 100 101 97 100 98 76 80

Risk Arb./Merger Arb. 86 89 86 101 98 88 64 64

Managed Futures/CTA

Subtotal 137 136 142 138 141 157 150 172

Quantitative *** 134 *** *** *** *** *** ***

Fundamental *** 2 *** *** *** *** *** ***

Investment in other funds Subtotal 48 49 49 44 42 48 44 43

Total Total 4,706 4,951 4,873 4,985 5,086 5,220 4,904 5,251

5Form PF Question 20 requires advisers to indicate which strategies best describe the reporting fund’s strategies

including a good faith estimate of the reporting fund’s allocation among strategies, and provides a list of investment

strategies for this purpose. Form PF does not define the investment strategies listed by Question 20.

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October 25, 2019 Analytics Office

Table 36: Exposures of Hedge Funds (Percent of NAV)

As reported on Form PF, Questions 9 and 20.

Category Strategy 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Equity

Subtotal 53.5 54.8 54.6 53.0 54.4 55.2 49.8 51.7

Long/Short 31.4 31.0 31.0 29.8 30.2 30.0 25.7 26.9

Market Neutral *** *** *** 11.0 11.6 12.0 12.1 12.4

Long Bias 11.4 12.4 12.2 12.0 12.4 13.0 11.7 12.3

Short Bias *** *** *** 0.3 0.3 0.2 0.2 0.2

Other Subtotal 32.3 32.4 32.8 31.7 31.2 31.5 34.1 33.2

Relative Value

Subtotal 26.0 27.3 23.6 23.8 24.9 24.3 29.6 30.8

F.I. Sov. 17.5 19.0 15.7 16.0 17.0 15.9 20.2 22.0

F.I. Asset Backed 4.2 4.0 3.9 3.9 4.0 4.3 4.9 4.2

F.I. Corp. 1.7 1.7 1.5 1.6 1.6 1.8 2.0 2.2

F.I. Conv. Arb. 1.6 1.7 1.6 1.6 1.6 1.7 1.9 1.9

Volatility Arb. 1.0 1.1 0.9 0.7 0.7 0.7 0.7 0.6

Macro

Subtotal 22.5 23.4 21.7 25.2 24.1 25.7 24.1 25.0

Global Macro 19.7 20.7 18.9 22.5 21.3 22.9 21.1 22.2

Currency *** *** *** *** 1.4 1.4 1.6 1.5

Commodity 1.2 1.3 1.3 1.3 1.3 1.3 1.3 1.2

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

Credit

Subtotal 9.8 9.7 9.4 9.2 9.4 9.6 10.8 10.4

Long/Short 8.3 8.1 7.7 8.0 7.6 7.7 8.6 8.3

Asset Based Lending 1.6 1.6 1.7 1.2 1.9 1.9 2.2 2.1

Event Driven

Subtotal 12.2 12.0 11.6 11.7 11.4 11.0 10.2 10.0

Distressed/Restruct. 5.8 5.7 5.5 5.3 5.1 5.2 5.5 5.4

Equity 3.5 3.4 3.3 3.1 3.2 3.1 2.6 2.6

Risk Arb./Merger Arb. 3.0 3.0 2.8 3.3 3.1 2.8 2.1 2.0

Managed Futures/CTA

Subtotal 4.7 4.6 4.6 4.5 4.5 4.9 5.0 5.5

Quantitative *** 4.5 *** *** *** *** *** ***

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

Investment in other funds Subtotal 1.6 1.6 1.6 1.4 1.3 1.5 1.5 1.4

Total Total 162.9 165.9 159.9 160.5 161.4 163.7 165.2 167.9

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October 25, 2019 Analytics Office

C Leverage by Strategy

Table 37: Asset Weighted-Average Ratio of GAV to NAV

by Strategy

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

Strategy 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Relative Value 5.0 5.0 4.7 5.0 5.1 4.7 5.4 5.4

Investment in other funds 1.0 *** 1.0 1.3 1.1 1.1 4.8 4.5

Macro 3.6 3.9 3.7 3.9 4.1 4.4 3.9 4.2

Multi-Strategy 2.2 2.3 2.2 2.2 2.2 2.3 2.3 2.3

Equity 1.6 1.6 1.6 1.7 1.6 1.7 1.7 1.7

Other 1.6 1.6 1.7 1.6 1.6 1.7 1.7 1.7

Credit 1.6 1.5 1.5 1.5 1.5 1.5 1.6 1.6

Managed Futures/CTA 1.9 1.2 1.2 1.2 1.3 1.3 1.3 1.4

Event Driven 1.3 1.3 1.3 1.3 1.3 1.3 1.3 1.3

Table 38: 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 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Macro 18.1 20.6 21.5 26.8 27.7 23.8 24.6 28.0

Relative Value 17.6 18.5 18.2 20.9 19.9 19.0 21.4 22.4

Managed Futures/CTA 9.5 8.4 10.0 8.4 10.5 14.0 9.7 17.9

Investment in other funds 1.6 *** 1.7 2.6 2.4 3.6 14.8 12.0

Multi-Strategy 7.9 9.0 8.6 9.7 8.4 8.4 8.7 9.1

Other 5.3 5.4 5.4 5.0 4.4 4.7 4.5 4.4

Equity 3.2 3.2 3.2 4.0 3.3 3.6 3.5 3.6

Credit 3.0 3.1 3.2 3.3 2.9 2.8 3.3 3.2

Event Driven 2.0 2.0 2.0 2.0 1.9 1.9 1.8 1.8

Table 39: Asset Weighted-Average Percent of Unencumbered Cash

by Strategy

As reported on Form PF, Questions 9, 10, 20, and 33 (Third Month).

Strategy 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Managed Futures/CTA 61.2 59.0 58.0 60.6 55.5 47.5 57.4 49.9

Macro 40.5 40.3 40.2 37.0 36.4 36.8 38.3 36.5

Multi-Strategy 22.4 24.9 24.8 24.7 27.0 30.6 29.7 23.0

Relative Value 19.9 21.0 19.3 20.9 18.7 18.5 20.1 19.8

Other 20.6 21.3 21.0 18.5 18.8 19.2 18.1 18.2

Investment in other funds 6.2 *** 9.4 4.2 6.6 3.6 12.8 14.5

Equity 11.5 9.8 10.2 9.7 11.5 11.4 13.5 10.6

Event Driven 11.1 10.0 9.7 8.1 8.6 9.6 12.2 9.9

Credit 10.9 9.9 9.8 8.3 7.0 7.3 8.3 7.3

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October 25, 2019 Analytics Office

D Investment Exposures

Table 40: Aggregate Qualifying Hedge Fund Gross Notional Exposure

by Asset Type ($ Billions)

As reported on Form PF, Questions 26 and 30.

2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Cash/Cash Equivalents 682 677 681 726 741 747 763 786

Securities - Equities 2,393 2,521 2,600 3,037 2,713 2,740 2,300 2,580

Securities - Treasuries 1,107 1,156 1,158 1,196 1,342 1,477 1,793 1,931

Securities - G10 (non-US) 1,037 1,138 1,179 1,321 1,277 1,241 1,270 1,312

Securities - Other Bonds 233 263 254 289 286 299 312 325

Securities - MBS 241 254 266 264 252 276 358 309

Securities - Corp. Bonds 269 259 253 264 272 278 266 301

Securities - ABS (non-MBS) 77 75 77 80 88 87 88 93

Securities - Conv. Bonds 89 82 82 94 97 93 86 87

Derivatives - IR 3,824 4,125 4,446 5,699 5,390 5,512 5,355 6,600

Derivatives - FX 2,711 3,051 3,149 3,738 3,245 2,470 2,278 2,413

Derivatives - Equity 1,215 1,283 1,331 1,364 1,307 1,317 1,110 1,208

Derivatives - Credit 683 798 716 733 684 669 730 770

Derivatives - Commodity 331 368 378 366 381 380 286 316

Derivatives - Other 273 267 412 568 580 339 319 263

Repurchase Agreements 1,374 1,348 1,280 1,452 1,533 1,553 1,771 1,995

Other 725 775 748 764 792 784 741 796

Table 41: Percent of Qualifying Hedge Fund Gross Notional Exposure

Representing Long Notional Exposure

As reported on Form PF, Questions 26 and 30.

2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Cash/Cash Equivalents 86.8 88.0 85.9 80.8 79.8 82.0 82.9 82.0

Securities - Equities 70.0 70.3 71.9 75.5 70.7 70.8 71.2 70.7

Securities - Treasuries 63.2 62.3 62.9 60.4 62.7 63.1 64.2 63.2

Securities - G10 (non-US) 50.2 50.3 50.5 52.5 51.4 49.4 51.4 51.9

Securities - Other Bonds 77.7 70.8 73.6 72.8 72.9 71.0 74.0 75.6

Securities - MBS 73.6 71.9 71.2 73.2 74.2 71.0 67.6 70.2

Securities - Corp. Bonds 79.9 81.2 81.6 81.9 82.6 82.8 82.4 83.0

Securities - ABS (non-MBS) 98.0 96.7 96.8 98.2 95.5 95.0 96.8 97.1

Securities - Conv. Bonds 95.6 94.1 93.4 88.2 88.0 87.8 86.5 94.2

Derivatives - IR 47.3 47.7 49.4 51.2 52.2 49.3 50.9 52.2

Derivatives - FX 50.1 49.8 49.9 56.8 53.5 55.6 54.6 55.1

Derivatives - Equity 55.6 56.8 57.0 51.5 51.6 52.2 51.1 52.9

Derivatives - Credit 47.7 47.4 47.8 44.8 45.3 45.2 41.4 43.1

Derivatives - Commodity 58.9 64.1 64.5 65.7 62.7 59.6 56.5 58.3

Derivatives - Other 53.3 51.2 53.7 46.6 41.6 34.4 60.9 67.8

Repurchase Agreements 49.5 52.0 52.2 52.0 47.1 47.3 42.2 39.6

Other 90.3 87.0 89.9 88.9 88.1 87.9 89.4 87.5

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October 25, 2019 Analytics Office

E Liquidity

Table 42: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 50.

Liquidation Period 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

At most 1 day 8.1 8.3 8.5 8.9 9.0 8.8 8.4 8.5

At most 7 days 14.4 14.6 15.0 15.4 15.2 14.9 14.8 14.5

At most 30 days 27.1 27.5 28.0 30.0 27.8 27.8 27.8 29.2

At most 90 days 46.6 48.2 50.9 48.9 47.5 47.9 50.2 47.9

At most 180 days 59.3 61.6 60.0 60.3 58.8 61.2 58.4 58.5

At most 365 days 73.9 73.6 73.8 74.1 73.5 73.7 71.8 70.8

Table 43: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)

As reported on Form PF, Questions 9, 26, 30, and 32.

Liquidation Period 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

At most 1 day 38.1 37.7 38.0 38.8 38.9 38.7 39.3 37.0

At most 7 days 61.7 61.5 61.8 62.2 62.1 61.9 61.2 60.2

At most 30 days 75.6 75.5 75.3 75.0 75.0 74.9 73.7 73.0

At most 90 days 81.7 81.9 81.6 81.4 81.3 80.8 79.4 79.0

At most 180 days 85.2 85.3 85.1 84.8 84.7 84.2 83.0 82.7

At most 365 days 89.0 88.9 88.9 88.7 88.9 88.2 86.8 86.7

Figure 12: 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 2019.

At most 1 day

At most 7 days

At most 30 daysAt most 90 days

At most 180 daysAt most 365 days

0

10

20

30

40

50

60

70

80

90

Percent of Fund Net Assets (%)

Portfolio Liquidity Investor Liquidity

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October 25, 2019 Analytics Office

Table 44: Restrictions on Qualifying Hedge Fund Assets ($ Billions)

As reported on Form PF, Questions 48 and 49.

Type 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

May Suspend 2,263 2,325 2,363 2,411 2,431 2,470 2,266 2,396

May Have Gates 1,359 1,392 1,405 1,459 1,489 1,512 1,402 1,488

Side-Pocketed 38 39 39 42 41 39 42 42

Gated 28 30 38 39 32 34 40 39

Suspended 27 22 17 *** 13 12 19 17

Figure 13: 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.

2017Q22017Q32017Q42018Q12018Q22018Q32018Q42019Q1

0

10

20

30

40

50

60

70

NAV in Side-Pocket (%)

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October 25, 2019 Analytics Office

F Borrowings

Table 45: Borrowings of Qualifying Hedge Funds ($ Billions)

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

Type Subtype 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Secured

Subtotal 2,391 2,437 2,419 2,592 2,813 2,830 2,757 3,016

Prime Broker 1,265 1,371 1,379 1,418 1,527 1,591 1,289 1,412

Reverse Repo 795 721 685 780 894 862 1,081 1,202

Other Secured 331 345 356 394 392 377 387 401

Unsecured Subtotal 11 12 14 14 14 12 12 13

Total Total 2,402 2,448 2,433 2,606 2,827 2,842 2,769 3,028

Table 46: Aggregate Borrowing by Creditor Entity Type (Percent)

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

Creditor Type 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

US Financial 61.1 61.4 61.7 60.5 63.3 63.6 63.0 63.1

Non-US Financial 38.5 38.3 37.9 39.1 36.3 36.1 36.5 36.5

US Non-Financial 0.3 *** *** *** *** *** *** ***

Non-US Non-Financial 0.1 *** *** *** *** *** *** ***

Table 47: Aggregate Collateral for Secured Borrowings

of Qualifying Hedge Funds ($ Billions)

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

Borrowing Type Collateral Type 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Prime Broker

Subtotal 1,544 1,672 1,685 1,751 1,841 2,148 1,597 1,723

Other 1,022 1,151 1,183 1,225 1,272 1,557 1,067 1,158

Cash 521 522 502 526 569 591 530 565

Reverse Repo

Subtotal 786 734 718 781 909 885 1,121 1,250

Other 506 478 455 513 569 573 702 766

Cash 281 256 263 268 340 312 420 484

Other Secured

Subtotal 407 423 426 447 468 436 443 456

Other 251 265 262 296 308 298 278 297

Cash 156 158 165 152 159 138 165 160

Total Total 2,737 2,830 2,829 2,979 3,217 3,468 3,162 3,429

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October 25, 2019 Analytics Office

Figure 14: 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.

2017-062017-092017-122018-032018-062018-092018-122019-03

0

1

2

3

4

5

6

7

8

Collateral/Total Secured Borrowing

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

(a) Total Secured Borrowing

2017-062017-092017-122018-032018-062018-092018-122019-03

0

1

2

3

4

5

6

7

8

Collateral/Prime Broker Borrowing

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

(b) Prime Broker Borrowing

2017-062017-092017-122018-032018-062018-092018-122019-03

0

1

2

3

4

5

6

7

8

Collateral/Reverse Repo Borrowing

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

(c) Reverse Repo Borrowing

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October 25, 2019 Analytics Office

Table 48: Financing Liquidity for Qualifying Hedge Funds

(Percent of Available Financing)

As reported on Form PF, Question 46.

Financing Available 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

At most 1 day 34.6 35.4 34.2 31.6 32.9 35.8 30.0 34.7

At most 7 days 53.4 51.7 49.5 51.5 52.7 51.8 50.2 51.4

At most 30 days 65.4 64.1 64.7 64.9 66.7 66.0 68.6 68.6

At most 90 days 80.8 79.3 80.3 80.6 80.6 79.9 82.8 82.7

At most 180 days 96.2 96.0 95.9 95.8 95.8 96.0 95.7 95.7

At most 365 days 97.4 97.3 97.2 96.9 97.1 97.2 96.8 96.7

Figure 15: Weighted-Average Qualifying Hedge Fund

Financing Liquidity (Percent of Available Financing)

As reported on Form PF, Question 46 as of First Calendar Quarter 2019.

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

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October 25, 2019 Analytics Office

G Central Clearing

Figure 16: Qualifying Hedge Funds Using Central Clearing

As reported on Form PF, Question 39.

2017Q22017Q32017Q42018Q12018Q22018Q32018Q42019Q1

0

5

10

15

20

Percent of Funds Percent of NAV

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October 25, 2019 Analytics Office

H Value-at-Risk (“VaR”) Reporting

Table 49: Number of Qualifying Hedge Funds Using VaR

As reported on Form PF, Question 40.

VaR Method 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

VaR (Any Method) 649 649 663 660 672 682 684 676

Historical Simulation 249 271 278 286 287 298 303 297

Parametric 190 186 193 185 193 194 189 191

Monte Carlo Simulation 205 188 186 175 178 182 186 183

Other 44 42 47 51 52 52 49 45

VaR Not Used 1,068 1,078 1,138 1,112 1,134 1,136 1,143 1,118

Table 50: Aggregate Qualifying Hedge Fund GAV Managed Using VaR ($ Billions)

As reported on Form PF, Questions 8 and 40.

VaR Method 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

VaR (Any Method) 3,480 3,586 3,546 3,661 3,779 3,841 3,652 3,887

Historical Simulation 1,798 1,900 1,882 1,969 2,027 2,017 1,954 2,104

Parametric 760 767 806 817 837 842 801 817

Monte Carlo Simulation 938 930 835 854 838 670 617 683

Other 431 461 495 496 522 759 742 833

VaR Not Used 2,201 2,269 2,317 2,415 2,502 2,546 2,502 2,592

Table 51: Aggregate Qualifying Hedge Fund NAV Managed Using VaR ($ Billions)

As reported on Form PF, Questions 9 and 40.

VaR Method 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

VaR (Any Method) 1,366 1,394 1,397 1,423 1,430 1,434 1,324 1,385

Historical Simulation 504 561 562 580 570 575 524 547

Parametric 474 477 490 494 500 496 460 475

Monte Carlo Simulation 416 386 377 375 379 353 337 345

Other 90 90 89 91 96 130 114 128

VaR Not Used 1,524 1,590 1,650 1,683 1,721 1,754 1,643 1,742

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October 25, 2019 Analytics Office

I Stress Testing and VaR

Table 52: 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 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Stress and VaR 555 555 589 593 599 613 606 588

Stress, No VaR 457 467 498 494 490 496 486 453

No Stress, VaR 94 94 74 67 73 69 78 88

Neither 611 611 640 618 644 640 657 665

Table 53: 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 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Stress and VaR 3,209 3,350 3,386 3,499 3,612 3,675 3,496 3,684

Stress, No VaR 1,114 1,178 1,190 1,269 1,294 1,300 1,322 1,322

No Stress, VaR 271 236 160 162 168 165 155 203

Neither 1,086 1,091 1,127 1,146 1,208 1,246 1,180 1,270

Table 54: 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 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Stress and VaR 1,219 1,236 1,289 1,313 1,318 1,320 1,222 1,255

Stress, No VaR 673 712 736 746 745 757 704 728

No Stress, VaR 147 158 108 110 112 114 103 129

Neither 850 878 914 938 977 998 939 1,014

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October 25, 2019 Analytics Office

X Section 3 Liquidity Fund Specific Information

A Liquidity

Table 55: Investor Liquidity For Section 3 Liquidity Funds (Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 64.

Liquidation Period 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

At most 1 day 79.6 79.1 80.5 78.9 79.1 78.8 77.9 77.9

At most 7 days 95.2 95.5 95.5 95.5 96.1 96.0 95.9 95.9

At most 30 days 99.5 99.5 99.5 99.7 99.7 99.5 99.4 99.5

At most 90 days 99.8 99.7 99.7 99.9 99.9 99.8 99.8 99.9

At most 180 days 99.9 99.8 99.8 99.9 100.0 99.9 99.9 100.0

At most 365 days 99.9 99.9 99.9 100.0 100.0 100.0 99.9 100.0

Table 56: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions)

As reported on Form PF, Question 63.

Type 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

May Suspend 255 261 273 269 284 291 278 273

May Have Gates 224 226 237 232 245 255 243 237

Suspended 0 0 0 0 0 0 0 0

Gated 0 0 0 0 0 0 0 0

B Portfolio Characteristics

Figure 17: Weighted-Average Maturity Reported by Section 3 Liquidity Funds

As reported on Form PF, Question 55.

2017-062017-092017-122018-032018-062018-092018-122019-03

0

10

20

30

40

50

Weighted Average Maturity (WAM) in Days

Average WAM Asset-Weighted WAM

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October 25, 2019 Analytics Office

Figure 18: Weighted-Average Life Reported by Section 3 Liquidity Funds

As reported on Form PF, Question 55.

2017-062017-092017-122018-032018-062018-092018-122019-03

0

10

20

30

40

50

60

70

80

90

Weighted Average Life (WAL) in Days

Average WAL Asset-Weighted WAL

Figure 19: Seven-Day Gross Yield Reported by Section 3 Liquidity Funds

As reported on Form PF, Question 55.

2017-062017-092017-122018-032018-062018-092018-122019-03

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Seven-Day Gross Yield (%)

Average Yield Asset-Weighted Yield

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October 25, 2019 Analytics Office

Figure 20: Ratio of Daily Liquid Assets to Net Asset Value of Section 3 Liquidity Funds

As reported on Form PF, Question 55.

2017-062017-092017-122018-032018-062018-092018-122019-03

0

20

40

60

80

100

Ratio of Daily Liquid Assets (DLA) 

 to Net Asset Value (%)

Average DLA Asset-Weighted DLA

Figure 21: Ratio of Weekly Liquid Assets to Net Asset Value of Section 3 Liquidity Funds

As reported on Form PF, Question 55.

2017-062017-092017-122018-032018-062018-092018-122019-03

0

20

40

60

80

100

Ratio of Weekly Liquid Assets (WLA) 

 to Net Asset Value (%)

Average WLA Asset-Weighted WLA

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October 25, 2019 Analytics Office

C Rule 2a-7 Compliance

Table 57: Rule 2a-7 Compliance (Percent of Funds)

As reported on Form PF, Questions 9 and 54.

Compliance Type 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Credit Quality 59.6 56.5 56.2 58.7 60.0 60.0 60.9 60.0

Diversification 55.3 52.2 52.1 54.3 55.6 55.6 56.5 55.6

Maturity 55.3 52.2 52.1 54.3 55.6 55.6 56.5 55.6

Liquidity 55.3 52.2 52.1 50.0 51.1 51.1 52.2 51.1

Fully 48.9 45.7 45.8 45.7 46.7 46.7 47.8 46.7

None 38.3 41.3 41.7 41.3 40.0 40.0 39.1 40.0

Table 58: Rule 2a-7 Compliance (Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 54.

Compliance Type 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Credit Quality 15.9 15.9 14.7 15.9 14.6 14.5 13.4 13.8

Diversification 14.9 14.9 13.7 14.9 13.7 13.5 12.4 12.7

Maturity 14.7 15.0 13.7 14.9 13.7 13.5 12.4 12.7

Liquidity 14.7 15.0 13.7 14.5 13.4 13.3 12.2 12.5

Fully 12.8 12.8 11.8 12.7 11.7 11.5 10.3 10.5

None 84.1 83.9 85.2 84.1 85.4 85.5 86.6 86.2

D Methods of Calculating NAV

Table 59: NAV Calculation Method (Percent of Funds)

As reported on Form PF, Questions 9, 52, and 53.

Type 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Stable 78.7 78.3 79.2 80.4 80.0 77.8 78.3 80.0

Floating 21.3 21.7 20.8 19.6 20.0 22.2 21.7 20.0

Table 60: NAV Calculation Method (Percent of Aggregate NAV)

As reported on Form PF, Questions 9, 52, and 53.

Type 2017Q2 2017Q3 2017Q4 2018Q1 2018Q2 2018Q3 2018Q4 2019Q1

Stable 68.3 70.2 69.1 70.3 68.4 68.0 70.9 74.4

Floating 31.7 29.8 30.9 29.7 31.6 32.0 29.1 25.6

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E Aggregate Portfolio Holdings

Table 61: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2

As reported on Form PF, Question 63.

Product Type 2017-042017-052017-062017-072017-082017-092017-102017-112017-122018-012018-022018-03

Deposits 73.5 72.2 69.1 74.3 73.9 69.7 73.6 73.2 66.6 72.3 69.3 54.3

U.S. Treasuries 55.9 50.4 47.5 50.9 48.5 47.0 50.6 56.4 58.2 54.2 54.2 60.9

Repo - Govt. Collateral 21.0 27.2 27.5 28.6 29.0 30.2 32.1 31.0 29.6 37.3 30.5 34.2

Other 39.8 44.5 44.3 43.9 42.7 43.5 41.6 41.9 46.9 48.7 47.5 45.1

Commercial Paper 34.0 37.6 36.2 39.6 37.7 39.4 41.8 41.9 37.5 42.9 41.2 42.2

Asset-Backed Securities 23.4 22.8 19.8 19.1 18.6 21.4 20.6 19.6 19.8 21.7 21.3 21.4

Repo - Other Collateral 17.2 16.3 16.6 16.9 16.7 15.2 16.7 16.2 15.3 16.8 16.8 15.8

U.S. Govt. Debt 4.6 5.0 5.7 4.3 4.0 5.5 5.4 5.6 5.6 4.8 5.6 5.4

Municipal Debt 0.9 1.1 0.9 0.9 0.9 0.9 1.2 1.2 0.9 0.9 1.0 1.0

Table 62: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2

As reported on Form PF, Question 63.

Product Type 2018-042018-052018-062018-072018-082018-092018-102018-112018-122019-012019-022019-03

Deposits 64.2 60.8 64.6 61.5 59.0 64.1 59.5 60.7 54.2 55.0 58.5 57.6

U.S. Treasuries 56.7 54.5 61.9 53.3 54.5 53.6 51.4 57.2 60.3 45.1 46.2 48.9

Repo - Govt. Collateral 40.6 39.0 35.1 43.9 45.3 44.8 49.3 49.9 48.3 58.0 57.6 48.4

Other 45.8 48.1 48.6 47.3 49.9 47.9 47.2 42.7 46.4 48.5 45.4 45.4

Commercial Paper 42.6 44.1 42.8 50.5 47.0 45.7 46.8 46.5 41.1 43.9 40.4 37.8

Asset-Backed Securities 21.9 22.6 23.1 21.9 22.0 20.2 21.8 22.7 22.4 24.4 21.9 20.8

Repo - Other Collateral 17.1 19.7 16.2 17.6 17.2 17.8 15.6 14.1 14.3 16.8 13.4 12.9

U.S. Govt. Debt 4.6 5.2 5.7 5.1 4.5 4.8 3.5 3.1 3.2 2.9 3.5 4.4

Municipal Debt 1.2 1.0 1.1 1.0 1.0 1.2 0.9 0.9 0.9 1.0 0.9 0.9

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October 25, 2019 Analytics Office

XI Section 4 Private Equity Fund Specific Information

A CPC Industry Concentration

Table 63: Gross Assets in CPC Industries (Percent of Total)

As reported on Form PF, Questions 8 and 77.

Type 2013Q4 2014Q4 2015Q4 2016Q4 2017Q4 2018Q4

Software Publishers 2.8 3.8 4.9 6.1 6.0 8.0

Oil & Gas Extraction 7.9 7.8 5.8 6.7 6.2 4.9

Electric Power Generation,... 3.8 3.8 3.7 4.1 4.2 4.5

Data Processing, Hosting, &... 2.9 2.3 1.8 2.0 2.3 3.5

Telecommunications Data Processing... 2.6 2.5 2.7 2.3 2.2 2.4

Pharmaceutical & Medicine Mfg 1.0 1.3 1.5 1.4 1.5 2.4

Other Financial Investment... 2.0 1.8 1.8 1.7 1.4 2.1

Medical Equipment & Supplies Mfg 1.1 1.3 0.9 0.6 0.7 2.0

Pipeline Transportation 2.4 2.6 2.4 2.2 1.9 1.8

Custom Computer Programming... 0.9 1.0 1.5 1.5 1.5 1.8

Other Information Services 2.0 2.1 1.9 1.8 2.0 1.7

All Other Professional,... 0.4 0.6 0.6 0.9 0.8 1.4

Management, Scientific, &... 1.0 1.2 1.1 1.3 1.6 1.4

Activities Related to Credit... 1.2 1.2 1.4 1.0 1.2 1.3

Other Financial Vehicles 0.4 0.4 0.6 1.8 1.6 1.3

Educational Services 1.4 1.3 1.3 1.2 1.4 1.2

Insurance Agencies & Brokerages 0.9 1.0 1.0 1.2 1.1 1.0

Scientific Research & Development... 0.9 0.9 1.0 0.7 1.0 1.0

Support Activities for Mining 1.3 1.6 1.2 1.0 1.0 1.0

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October 25, 2019 Analytics Office

B CPC Financial Leverage

Figure 22: 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.

2013Q42014Q42015Q42016Q42017Q42018Q4

0

10

20

30

40

50

60

Ratio of Portfolio Company Current 

 Liabilities to Total Liabilities (%)

Figure 23: 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.

2013Q42014Q42015Q42016Q42017Q42018Q4

0

10

20

30

40

50

60

CPC Payment-in-Kind Borrowings 

 to Total Borrowings Ratio (%)

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October 25, 2019 Analytics Office

C CPC Investments by Region and Country

Table 64: Aggregate Gross Value of Private Equity

Investments by Region ($ Billions)

As reported on Form PF, Questions 70 and 78.

Region 2013Q4 2014Q4 2015Q4 2016Q4 2017Q4 2018Q4

North America 5,249 4,506 4,132 3,942 3,961 4,219

Europe EEA 1,432 1,259 941 848 963 1,256

Asia 445 462 447 406 379 435

South America 75 85 58 111 184 140

Supranational 65 67 23 37 49 55

Europe Other 25 9 21 22 40 46

Middle East 8 12 9 15 23 16

Africa 21 12 12 18 14 10

Table 65: Private Equity CPC Investments by Region

(Percent of Aggregate CPC Gross Asset Value)

As reported on Form PF, Questions 70 and 78.

Region 2013Q4 2014Q4 2015Q4 2016Q4 2017Q4 2018Q4

North America 71.7 70.2 73.2 73.0 70.5 68.3

Europe EEA 19.6 19.6 16.7 15.7 17.1 20.3

Asia 6.1 7.2 7.9 7.5 6.8 7.0

South America 1.0 1.3 1.0 2.0 3.3 2.3

Supranational 0.9 1.0 0.4 0.7 0.9 0.9

Europe Other 0.3 0.1 0.4 0.4 0.7 0.7

Middle East 0.1 0.2 0.2 0.3 0.4 0.3

Africa 0.3 0.2 0.2 0.3 0.3 0.2

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October 25, 2019 Analytics Office

Table 66: Aggregate Gross Asset Value of Private Equity

CPC Investments by Country ($ Billions)

As reported on Form PF, Questions 70 and 78.

Country 2013Q4 2014Q4 2015Q4 2016Q4 2017Q4 2018Q4

United States 5,002 4,305 3,943 3,776 3,794 4,023

China and Hong Kong 171 186 173 114 147 154

India 63 83 89 92 73 104

Brazil 45 58 41 88 131 96

Japan 108 98 85 79 52 52

Russia 3 2 5 4 4 2

Table 67: Private Equity CPC Investments by Country

(Percent of Aggregate CPC Gross Asset Value)

As reported on Form PF, Questions 70 and 78.

Country 2013Q4 2014Q4 2015Q4 2016Q4 2017Q4 2018Q4

United States 68.3 67.1 69.9 69.9 67.6 65.1

China and Hong Kong 2.3 2.9 3.1 2.1 2.6 2.5

India 0.9 1.3 1.6 1.7 1.3 1.7

Brazil 0.6 0.9 0.7 1.6 2.3 1.6

Japan 1.5 1.5 1.5 1.5 0.9 0.8

Russia 0.0 0.0 0.1 0.1 0.1 0.0

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October 25, 2019 Analytics Office

XII 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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October 25, 2019 Analytics Office

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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October 25, 2019 Analytics Office

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 24 for

an explanation of each feature.

Figure 24: 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 25, 2019 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 25, 2019 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 25, 2019 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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