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 14, 2018 
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 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 sixth Annual Report Relating to the Use of Form PF Data highlights the uses of the Form 

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

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

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

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

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

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

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

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

and test with evidence assertions about private fund activity. 

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

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

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

and their market activities and risks. 

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

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

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

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

identify areas of inquiry. 

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

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

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

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

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

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

interest, subject to protections designed to maintain data security. 

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I. Introduction 

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

more than $8 trillion in reported net assets as of the fourth quarter of 2017,1 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 

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

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.

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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; 

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/press-release/2018-100. 

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• 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; 

• 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 

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

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

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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 

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 short-term 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. 

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

Appendix and Section III.B, infra. 

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, supra footnote 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-reportingmodernization-faq#n-port; Frequently Asked Questions on Form ADV and IARD, 

https://www.sec.gov/divisions/investment/iard/iardfaq.shtml. 

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

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

data.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 reports is typically 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 uses 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. This 

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

avoid public disclosure of proprietary information of private fund advisers before any publication. 

Recently published staff research and white papers use Form PF data to describe liquidity and other 

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., Marc Gorfinkle, SS&C Technologies, SEC releases expanded private fund statistics (Dec. 11, 

2017), https://www.ssctech.com/blog/sec-releases-expanded-private-fund-statistics; Sheeraz Raza, SEC 

Data From Form PF Reveals Interesting Hedge Fund Trends (Oct. 16, 2015), 

https://www.valuewalk.com/2015/10/sec-data-from-form-pf-reveals-interesting-hedge-fund-trends/; 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-big-picture-of-usprivate-fund-industry-emerges/#6b77bbb393e5. 

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characteristics of certain 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 the Commission 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 uses Form PF data to identify as 

potential examination candidates those 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/staffpapers/white-papers/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). 

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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 consults with OFR to share information and 

analysis of Form PF data. As a result of this information sharing, OFR has generated publications 

regarding its monitoring of systemic risks in the U.S. financial markets. 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 and staff has provided the Financial Stability Board (“FSB”) with certain aggregated and 

anonymized Form PF data related to an FSB work stream. 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. 

See, e.g., Financial Stability Oversight Council 2017 Annual Report (Dec. 14, 2017), 

https://www.treasury.gov/initiatives/fsoc/studies-reports/Documents/FSOC_2017_Annual_Report.pdf. 

Section 4.13.5 of this report includes certain aggregated data from Form PF in describing recent 

developments relating to alternative funds. 

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27 
Appendix 

(Private Funds Statistics, Fourth Calendar Quarter 2017) 

A-1 
Division of Investment Management

Analytics Office

Private Funds Statistics

Fourth Calendar Quarter 2017

August 2, 2018

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.
August 2, 2018 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 First Calendar Quarter 2016 through Fourth Calendar Quarter

2017 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 Fourth Calendar Quarter

2017 Private Funds Statistics, please contact:

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

Calendar Quarter 2017-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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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

3
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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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Private Equity Fund 9,714 9,725 9,752 10,364 10,382 10,362 10,272 11,460

Hedge Fund 8,920 8,928 8,994 8,927 9,082 9,123 9,156 9,007

Other Private Fund 4,099 4,125 4,116 4,438 4,462 4,484 4,442 4,512

Section 4 Private Equity Fund 2,740 2,742 2,747 3,002 3,006 3,009 2,989 3,480

Real Estate Fund 2,102 2,100 2,117 2,447 2,445 2,443 2,434 2,632

Qualifying Hedge Fund 1,599 1,608 1,620 1,652 1,674 1,720 1,722 1,803

Securitized Asset Fund 1,421 1,418 1,417 1,451 1,463 1,475 1,477 1,504

Venture Capital Fund 635 646 651 761 759 769 755 846

Liquidity Fund 64 66 67 69 70 69 69 70

Section 3 Liquidity Fund 36 37 36 44 45 47 46 48

Total 26,955 27,008 27,114 28,457 28,663 28,725 28,605 30,031

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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Private Equity Fund 1,025 1,025 1,024 1,092 1,095 1,091 1,088 1,132

Hedge Fund 1,694 1,688 1,685 1,687 1,686 1,687 1,687 1,722

Other Private Fund 564 567 568 580 578 578 574 579

Section 4 Private Equity Fund 243 243 243 248 250 250 247 292

Real Estate Fund 294 292 294 312 314 312 311 322

Qualifying Hedge Fund 525 525 516 531 527 534 535 551

Securitized Asset Fund 157 156 154 149 151 153 154 155

Venture Capital Fund 97 98 100 109 109 110 109 113

Liquidity Fund 37 37 37 39 39 38 38 39

Section 3 Liquidity Fund 19 19 19 24 24 24 23 25

Total 2,844 2,839 2,836 2,914 2,916 2,917 2,916 2,997

3In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered

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

terms used in this report.

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II Gross and Net Assets

A Aggregate Assets by Fund Type over Time

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

As reported on Form PF, Question 8.

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

because the rows are not mutually exclusive.

Fund Type 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Hedge Fund 6,162 6,329 6,464 6,408 6,704 6,895 7,219 7,274

Qualifying Hedge Fund 4,992 5,102 5,246 5,218 5,494 5,716 5,892 5,903

Private Equity Fund 2,060 2,063 2,064 2,318 2,326 2,323 2,310 2,722

Section 4 Private Equity Fund 1,472 1,472 1,472 1,645 1,648 1,648 1,641 1,941

Other Private Fund 973 978 981 1,066 1,077 1,088 1,060 1,186

Real Estate Fund 410 410 411 436 436 433 432 499

Securitized Asset Fund 420 420 420 448 449 454 453 485

Liquidity Fund 273 287 292 293 282 276 282 291

Section 3 Liquidity Fund 247 258 249 274 267 273 279 289

Venture Capital Fund 55 56 55 64 64 64 63 80

Total 10,352 10,542 10,688 11,032 11,338 11,533 11,818 12,537

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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Hedge Fund 3,407 3,436 3,496 3,493 3,611 3,669 3,791 3,891

Qualifying Hedge Fund 2,655 2,670 2,740 2,744 2,829 2,901 2,995 3,060

Private Equity Fund 1,884 1,886 1,887 2,075 2,084 2,082 2,069 2,438

Section 4 Private Equity Fund 1,377 1,377 1,377 1,492 1,496 1,496 1,489 1,754

Other Private Fund 872 877 882 977 987 994 970 1,072

Real Estate Fund 326 326 327 341 342 340 339 391

Securitized Asset Fund 138 138 140 141 141 145 144 152

Liquidity Fund 272 285 290 292 281 275 280 291

Section 3 Liquidity Fund 246 256 247 273 265 272 278 288

Venture Capital Fund 52 53 52 61 61 62 60 76

Total 6,951 7,000 7,074 7,380 7,506 7,566 7,653 8,310

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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.

2016Q12016Q22016Q32016Q42017Q12017Q22017Q32017Q4

0

1

2

3

4

5

6

7

8

GAV ($Billions)

2016Q12016Q22016Q32016Q42017Q12017Q22017Q32017Q4

0

1

2

3

4

5

6

7

8

NAV ($Billions)

(a) Qualifying Hedge Fund GAV (b) Qualifying Hedge Fund NAV

2016Q12016Q22016Q32016Q42017Q12017Q22017Q32017Q4

0

200

400

600

800

1000

1200

1400

GAV ($Millions)

2016Q12016Q22016Q32016Q42017Q12017Q22017Q32017Q4

0

200

400

600

800

1000

1200

1400

NAV ($Millions)

(c) Section 4 Private Equity Fund GAV (d) Section 4 Private Equity Fund NAV

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Figure 2: Ratio of GAV to NAV

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

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

2016Q12016Q22016Q32016Q42017Q12017Q22017Q32017Q4

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Ratio of GAV to NAV

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

2016Q12016Q22016Q32016Q42017Q12017Q22017Q32017Q4

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 (b) Qualifying Hedge Funds

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B Borrowings

Table 5: Aggregate Borrowings (Percent of Aggregate GAV)

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

Fund Type 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Securitized Asset Fund 48.9 48.7 48.4 50.7 49.5 48.8 48.4 51.9

Qualifying Hedge Fund 39.1 38.2 39.9 39.7 41.0 42.0 41.6 41.3

Hedge Fund 36.8 36.3 38.1 37.3 38.4 39.1 39.4 39.1

Real Estate Fund 13.2 13.2 13.2 13.9 12.9 12.7 12.8 13.2

Private Equity Fund 4.8 4.9 4.9 5.1 5.0 5.0 5.0 5.2

Section 4 Private Equity Fund 3.4 3.4 3.4 4.0 4.0 4.0 4.1 4.6

Other Private Fund 2.2 2.2 2.1 2.8 2.7 2.7 2.7 2.1

Venture Capital Fund 0.4 0.4 0.4 0.4 0.4 0.5 0.5 0.6

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).

2016Q12016Q22016Q32016Q42017Q12017Q22017Q32017Q4

0

100

200

300

400

500

600

Total Borrowings ($Millions)

2016Q12016Q22016Q32016Q42017Q12017Q22017Q32017Q4

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

Total Borrowings ($Billions)

(a) All Private Funds (b) Qualifying Hedge Funds

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Figure 4: Ratio of Borrowings to NAV

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

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

2016Q12016Q22016Q32016Q42017Q12017Q22017Q32017Q4

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%])

2016Q12016Q22016Q32016Q42017Q12017Q22017Q32017Q4

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 (b) Qualifying Hedge Funds

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C Fair Value Hierarchy

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

As reported on Form PF, Question 14.

Level One

Level Two

Level Three

Cost-Based

2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

2,481 2,464 2,485 2,877 2,585 2,578 2,562 3,274

2,140 2,070 2,063 2,544 2,201 2,186 2,231 2,764

2,271 2,265 2,263 2,594 2,512 2,512 2,506 2,887

1,581 1,539 1,537 1,972 1,691 1,723 1,731 2,240

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

As reported on Form PF, Question 14.

Level One

Level Two

Level Three

Cost-Based

2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

668 680 677 519 664 661 665 662

476 424 427 417 462 451 455 608

111 108 107 142 136 140 137 172

673 694 695 464 659 654 660 487

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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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Hedge Fund 696 699 696 664 654 661 668 664

Other Private Fund 408 406 409 482 498 497 495 508

Private Equity Fund 252 252 251 239 240 239 273 293

Qualifying Hedge Fund 234 237 233 233 224 220 227 238

Section 4 Private Equity Fund 82 82 82 88 88 88 88 98

Real Estate Fund 52 52 52 77 77 77 77 72

Liquidity Fund 16 14 15 15 16 16 16 16

Section 3 Liquidity Fund 15 14 15 15 16 16 16 16

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

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

Total 1,459 1,458 1,458 1,517 1,525 1,530 1,568 1,567

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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Hedge Fund 633 619 651 629 666 680 714 827

Other Private Fund 1,296 1,278 1,332 1,400 1,438 1,489 1,508 1,863

Private Equity Fund 96 96 96 29 29 28 28 37

Qualifying Hedge Fund 449 428 448 422 438 440 525 594

Section 4 Private Equity Fund 19 19 19 22 22 22 22 28

Real Estate Fund 11 11 11 6 6 6 6 6

Liquidity Fund 321 305 312 309 333 330 345 359

Section 3 Liquidity Fund 316 305 312 309 333 330 345 359

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

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

Total 2,513 2,465 2,557 2,555 2,653 2,714 2,782 3,094

Certain data points in the tables in this section and other sections may be masked to avoid possible disclosure of

proprietary information of individual Form PF filers.

11

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Figure 5: Parallel Managed Account Value Distributions

See Appendix C for an explanation of boxplots.

As reported on Form PF, Question 11.

2016Q12016Q22016Q32016Q42017Q12017Q22017Q32017Q4

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

Parallel Managed Assets ($Billions)

2016Q12016Q22016Q32016Q42017Q12017Q22017Q32017Q4

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 (b) Qualifying Hedge Funds

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III Fund Domiciles and Adviser Main Offices

Table 10: Fund Domicile (Percent of NAV)

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

Country 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

United States 50.8 50.7 50.8 51.3 51.4 51.4 51.0 51.3

Cayman Islands 37.3 37.2 37.1 36.4 36.4 36.4 36.7 35.5

Ireland 3.8 3.9 3.9 4.3 4.2 4.2 4.3 4.5

Luxembourg 1.3 1.5 1.5 1.4 1.5 1.6 1.6 1.9

Virgin Islands, British 2.4 2.3 2.3 2.2 2.2 2.0 2.0 1.8

United Kingdom 1.1 1.1 1.1 1.1 1.1 1.1 1.1 1.3

Bermuda 1.3 1.3 1.2 1.3 1.3 1.3 1.3 1.2

Other 2.1 2.1 2.1 2.1 2.0 2.0 2.0 2.6

All Private Funds

Qualifying Hedge Funds

Country 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Cayman Islands 54.6 54.4 53.7 52.9 52.7 52.5 51.8 51.3

United States 32.7 33.1 33.8 34.3 34.6 35.0 35.3 35.7

Virgin Islands, British 5.7 5.7 5.5 5.5 5.3 5.0 4.8 4.5

Ireland 2.6 2.5 2.6 2.7 2.7 2.7 2.8 2.9

Luxembourg 1.2 1.2 1.3 1.3 1.3 1.5 1.7 1.9

Bermuda 1.4 1.4 1.4 1.8 1.7 1.7 1.7 1.6

Other 1.8 1.7 1.7 1.7 1.7 1.6 1.9 2.0

Section 3 Liquidity Funds

Country 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

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

United States 36.5 34.2 34.1 33.1 33.9 36.8 34.7 35.1

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

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

Country 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

United States 62.0 62.0 62.0 63.8 63.8 63.8 63.7 60.7

Cayman Islands 30.3 30.3 30.3 29.5 29.4 29.4 29.5 30.4

United Kingdom 2.6 2.6 2.6 1.9 1.9 1.9 2.0 2.7

Bermuda 1.3 1.3 1.3 1.1 1.1 1.1 1.1 1.0

Canada 1.2 1.2 1.2 0.9 0.9 0.9 0.9 1.0

Other 2.6 2.6 2.7 2.9 2.9 2.9 2.9 4.1

Section 4 Private Equity Funds

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

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

Country 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

United States 89.5 89.6 89.6 90.1 89.3 89.0 88.8 89.4

United Kingdom 6.6 6.6 6.6 6.2 6.5 6.8 6.9 6.5

Other 3.9 3.9 3.7 3.8 4.1 4.2 4.3 4.1

All Private Funds

Country 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

United States 89.3 89.5 89.4 89.6 89.4 89.3 88.9 88.5

United Kingdom 5.7 5.6 5.7 5.7 5.9 6.3 6.4 6.7

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

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

Other 2.5 2.4 2.4 2.3 2.3 2.3 2.3 2.2

Qualifying Hedge Funds

Country 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

United States 58.4 59.4 64.1 62.5 64.2 64.1 63.0 62.8

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

France *** *** *** *** *** *** *** ***

Section 3 Liquidity Funds

Country 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

United States 97.2 97.2 97.2 95.1 95.1 95.1 95.1 94.8

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

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

Section 4 Private Equity Funds

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IV Beneficial Ownership

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

As reported on Form PF, Questions 9 and 16.

Type 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Private Funds 1,328 1,324 1,324 1,342 1,356 1,372 1,372 1,491

Other 883 895 920 976 997 1,011 1,039 1,188

State/Muni. Govt. Pension Plans 912 920 935 1,009 1,029 1,033 1,048 1,153

Pension Plans 882 894 909 948 958 967 973 1,037

Non-Profits 705 704 724 749 770 778 790 848

U.S. Individuals 768 771 778 773 786 789 798 816

Sov. Wealth Funds and For. Official Inst. 382 386 387 429 438 443 444 514

Insurance Companies 274 276 275 305 310 312 314 348

Unknown Non-U.S. Investors 163 171 170 187 187 186 189 194

Non-U.S. Individuals 196 199 199 198 198 185 183 187

Banking/Thrift Inst. 144 149 145 136 140 142 146 159

SEC-Registered Investment Companies 123 121 119 125 127 129 137 138

State/Muni. Govt. Entities 87 89 90 100 105 107 108 122

Broker-Dealers 107 104 97 102 104 107 111 112

Table 13: Beneficial Ownership for All Private Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Private Funds 19.1 18.9 18.7 18.2 18.1 18.1 17.9 17.9

Other 12.7 12.8 13.0 13.2 13.3 13.4 13.6 14.3

State/Muni. Govt. Pension Plans 13.1 13.1 13.2 13.7 13.7 13.7 13.7 13.9

Pension Plans 12.7 12.8 12.9 12.8 12.8 12.8 12.7 12.5

Non-Profits 10.1 10.1 10.2 10.2 10.3 10.3 10.3 10.2

U.S. Individuals 11.0 11.0 11.0 10.5 10.5 10.4 10.4 9.8

Sov. Wealth Funds and For. Official Inst. 5.5 5.5 5.5 5.8 5.8 5.9 5.8 6.2

Insurance Companies 3.9 3.9 3.9 4.1 4.1 4.1 4.1 4.2

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

Non-U.S. Individuals 2.8 2.8 2.8 2.7 2.6 2.5 2.4 2.3

Banking/Thrift Inst. 2.1 2.1 2.1 1.8 1.9 1.9 1.9 1.9

SEC-Registered Investment Companies 1.8 1.7 1.7 1.7 1.7 1.7 1.8 1.7

State/Muni. Govt. Entities 1.2 1.3 1.3 1.3 1.4 1.4 1.4 1.5

Broker-Dealers 1.5 1.5 1.4 1.4 1.4 1.4 1.5 1.3

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August 2, 2018 Analytics Office

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

As reported on Form PF, Questions 9 and 16.

Type 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Private Funds 513 509 504 490 495 505 510 505

Non-Profits 363 359 380 383 395 405 418 428

Pension Plans 347 352 364 369 379 387 399 414

Other 323 333 356 356 375 386 410 409

State/Muni. Govt. Pension Plans 272 278 291 304 310 314 331 352

U.S. Individuals 305 308 319 318 324 331 340 345

Sov. Wealth Funds and For. Official Inst. 137 136 140 143 152 158 160 166

Broker-Dealers 77 76 69 68 72 75 79 79

Insurance Companies 64 65 65 67 70 73 74 78

SEC-Registered Investment Companies 77 76 75 71 70 70 74 74

Non-U.S. Individuals 64 65 66 65 68 68 70 74

Unknown Non-U.S. Investors 48 46 46 41 45 52 56 58

State/Muni. Govt. Entities 31 32 33 35 41 42 42 42

Banking/Thrift Inst. 30 33 30 29 31 33 33 35

Table 15: Beneficial Ownership for Qualifying Hedge Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Private Funds 19.3 19.1 18.4 17.9 17.5 17.4 17.0 16.5

Non-Profits 13.7 13.4 13.9 13.9 14.0 13.9 13.9 14.0

Pension Plans 13.1 13.2 13.3 13.5 13.4 13.3 13.3 13.5

Other 12.2 12.5 13.0 13.0 13.3 13.3 13.7 13.4

State/Muni. Govt. Pension Plans 10.2 10.4 10.6 11.1 11.0 10.8 11.0 11.5

U.S. Individuals 11.5 11.5 11.7 11.6 11.5 11.4 11.3 11.3

Sov. Wealth Funds and For. Official Inst. 5.1 5.1 5.1 5.2 5.4 5.4 5.3 5.4

Broker-Dealers 2.9 2.8 2.5 2.5 2.5 2.6 2.6 2.6

Insurance Companies 2.4 2.4 2.4 2.4 2.5 2.5 2.5 2.5

SEC-Registered Investment Companies 2.9 2.9 2.7 2.6 2.5 2.4 2.5 2.4

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

Unknown Non-U.S. Investors 1.8 1.7 1.7 1.5 1.6 1.8 1.9 1.9

State/Muni. Govt. Entities 1.2 1.2 1.2 1.3 1.4 1.4 1.4 1.4

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

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August 2, 2018 Analytics Office

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

As reported on Form PF, Questions 9 and 16.

Type 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Private Funds 79 79 80 81 75 89 83 96

Other 38 38 40 52 51 51 51 55

Unknown Non-U.S. Investors *** *** 60 65 60 52 55 53

SEC-Registered Investment Companies 17 17 18 16 18 21 24 23

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

Banking/Thrift Inst. *** *** *** 10 *** 12 *** ***

Insurance Companies 7 8 8 9 9 9 10 9

Pension Plans 5 5 *** 5 5 5 5 5

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

Non-U.S. Individuals 17 17 4 4 4 4 4 4

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

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

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

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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Private Funds 32.2 30.9 32.3 29.6 28.3 32.6 30.0 33.3

Other 15.5 14.7 16.2 19.2 19.3 18.7 18.5 19.1

Unknown Non-U.S. Investors *** *** 24.2 23.7 22.7 19.2 19.9 18.4

SEC-Registered Investment Companies 7.1 6.5 7.1 5.9 6.9 7.6 8.6 7.8

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

Banking/Thrift Inst. *** *** *** 3.6 *** 4.3 *** ***

Insurance Companies 2.9 3.3 3.2 3.3 3.4 3.3 3.7 3.0

Pension Plans 1.9 1.8 *** 1.7 1.8 1.8 1.9 1.8

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

Non-U.S. Individuals 6.9 6.8 1.6 1.4 1.5 1.5 1.4 1.3

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

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

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

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

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August 2, 2018 Analytics Office

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

As reported on Form PF, Questions 9 and 16.

Type 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

State/Muni. Govt. Pension Plans 326 326 326 366 366 366 366 415

Private Funds 270 270 270 283 285 284 284 353

Other 140 140 140 162 162 161 161 212

Sov. Wealth Funds and For. Official Inst. 132 132 131 153 154 154 153 186

Pension Plans 138 137 138 142 142 142 139 159

Insurance Companies 84 84 84 94 94 94 94 109

Non-Profits 87 87 87 92 92 92 90 104

U.S. Individuals 95 95 95 88 88 88 88 94

Non-U.S. Individuals 35 35 35 34 34 34 34 36

Banking/Thrift Inst. 32 32 32 31 31 31 31 29

State/Muni. Govt. Entities 19 19 19 22 22 22 22 28

SEC-Registered Investment Companies 5 5 5 12 12 12 12 16

Unknown Non-U.S. Investors 15 15 15 14 14 14 13 14

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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

State/Muni. Govt. Pension Plans 23.7 23.7 23.6 24.5 24.5 24.5 24.6 23.6

Private Funds 19.6 19.6 19.6 19.0 19.0 19.0 19.1 20.1

Other 10.2 10.2 10.2 10.8 10.8 10.8 10.8 12.1

Sov. Wealth Funds and For. Official Inst. 9.6 9.6 9.5 10.3 10.3 10.3 10.3 10.6

Pension Plans 10.0 10.0 10.0 9.5 9.5 9.5 9.4 9.1

Insurance Companies 6.1 6.1 6.1 6.3 6.3 6.3 6.3 6.2

Non-Profits 6.3 6.3 6.3 6.1 6.1 6.2 6.1 5.9

U.S. Individuals 6.9 6.9 6.9 5.9 5.9 5.9 5.9 5.3

Non-U.S. Individuals 2.5 2.6 2.5 2.3 2.3 2.3 2.3 2.1

Banking/Thrift Inst. 2.3 2.3 2.3 2.0 2.0 2.0 2.1 1.7

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

SEC-Registered Investment Companies 0.4 0.4 0.4 0.8 0.8 0.8 0.8 0.9

Unknown Non-U.S. Investors 1.1 1.1 1.1 0.9 0.9 0.9 0.9 0.8

Broker-Dealers 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1

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August 2, 2018 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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Hedge Fund 9,181 9,363 9,400 9,192 10,249 10,166 11,447 12,472

Qualifying Hedge Fund 8,028 8,073 8,207 7,919 8,833 8,832 9,661 10,468

Other Private Fund 98 96 97 112 108 108 108 146

Private Equity Fund 54 54 53 38 38 38 38 39

Section 4 Private Equity Fund 42 42 42 35 35 34 34 33

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

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

Real Estate Fund 21 21 21 16 16 16 16 17

Securitized Asset Fund 11 11 10 14 14 14 13 3

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

Total 9,367 9,499 9,546 9,393 10,397 10,395 11,649 12,666

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

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

Type 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Hedge Fund 269.5 272.5 268.9 263.1 283.8 277.1 301.9 320.5

Qualifying Hedge Fund 302.4 302.3 299.5 288.6 312.3 304.4 322.5 342.1

Other Private Fund 11.2 10.9 11.0 11.4 10.9 10.8 11.2 13.6

Private Equity Fund 2.8 2.8 2.8 1.8 1.8 1.8 1.8 1.6

Section 4 Private Equity Fund 3.1 3.1 3.1 2.3 2.3 2.3 2.3 1.9

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

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

Real Estate Fund 6.6 6.6 6.6 4.8 4.8 4.7 4.8 4.4

Securitized Asset Fund 7.9 7.7 7.4 9.8 9.8 9.4 9.2 1.7

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

Total 134.8 135.7 134.9 127.3 138.5 137.4 152.2 152.4

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August 2, 2018 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).

2016Q12016Q22016Q32016Q42017Q12017Q22017Q32017Q4

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%])

2016Q12016Q22016Q32016Q42017Q12017Q22017Q32017Q4

0

2

4

6

8

10

12

Total Derivative Value ($Billions)

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

(a) All Private Funds (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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

0% 7,466 7,489 7,534 7,495 7,624 7,669 7,697 7,745

Less than 100% 63 64 70 62 62 66 63 42

100% or More 9 10 9 11 12 11 12 12

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

As reported on Form PF, Questions 9 and 21.

Fraction of NAV 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

0% 3,287 3,323 3,379 3,379 3,497 3,562 3,663 3,780

Less than 100% 84 83 84 78 79 78 43 41

100% or More 2 2 2 2 3 3 37 37

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August 2, 2018 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.

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

7.9 7.8 7.9 7.9 7.7 7.7 7.5 7.4

13.7 13.6 13.8 13.7 13.3 13.5 13.2 13.2

20.5 20.4 20.6 20.5 20.2 20.2 20.0 20.0

29.2 29.1 29.2 29.0 28.6 28.5 28.4 28.5

44.3 44.1 44.2 44.1 43.7 43.4 43.4 43.1

57.9 57.6 57.7 57.5 57.0 56.9 56.8 56.4

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.

Top 10 15.0 15.0 14.4 14.7 14.6 14.9 15.4 15.1

Top 25 23.3 23.6 22.9 23.2 23.5 23.1 24.1 23.7

Top 50 30.5 31.2 31.2 31.4 32.0 31.5 32.5 31.9

Top 100 40.0 40.8 41.0 41.0 41.5 41.3 42.2 41.4

Top 250 54.4 54.9 55.2 55.0 55.2 55.2 56.0 55.4

Top 500 66.4 66.7 66.9 66.8 66.8 66.9 67.5 66.7

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).

2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2016Q1

32.7

43.9

54.5

66.3

80.6

89.5

2016Q2

32.7

45.3

56.0

67.5

80.6

89.5

2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

32.8 31.5 31.9 33.3 35.0 34.5

45.5 44.4 45.1 46.2 47.5 47.5

56.5 56.1 56.7 57.4 58.7 59.0

68.6 68.5 68.8 69.2 70.2 70.9

81.7 81.6 81.5 81.8 82.6 82.6

90.2 90.0 89.9 90.1 90.5 90.3

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August 2, 2018 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).

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

31.5 34.5 36.9 34.7 34.1 32.2 32.4 31.8

47.2 48.7 50.5 48.5 48.0 46.4 49.1 47.6

60.0 60.7 61.3 60.1 60.5 59.1 61.3 60.4

71.8 72.2 73.1 73.0 73.2 71.8 73.4 73.0

85.5 85.7 86.1 86.1 86.3 85.8 86.4 86.2

92.8 92.9 93.2 93.3 93.2 92.7 93.3 93.2

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).

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2016Q1

28.6

42.6

54.7

66.5

81.2

91.1

2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

31.5 32.6 31.6 30.9 30.2 30.2 29.8

44.0 45.3 45.4 44.5 43.2 44.9 44.4

55.0 56.3 56.8 56.6 55.4 56.9 56.5

66.9 67.4 68.6 68.8 67.6 68.6 68.7

81.3 81.5 82.2 82.5 81.9 82.5 82.8

90.8 90.8 91.2 91.3 90.7 91.1 91.3

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August 2, 2018 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.

2016-032016-062016-092016-122017-032017-062017-092017-12

0

2

4

6

8

10

12

14

Ratio of GNE to NAV

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

2016-032016-062016-092016-122017-032017-062017-092017-12

0

2

4

6

8

10

12

14

Ratio of GNE (w/o IRDs) to NAV

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

(a) Gross Exposure with Interest Rate Derivatives (IRDs) (b) Gross Exposure without IRDs

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August 2, 2018 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.

2016-032016-062016-092016-122017-032017-062017-092017-12

0

2

4

6

8

10

Ratio of LNE to NAV

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

2016-032016-062016-092016-122017-032017-062017-092017-12

0

2

4

6

8

10

Ratio of LNE (w/o IRDs) to NAV

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

(a) Long Exposure with IRDs (b) Long Exposure without IRDs

2016-032016-062016-092016-122017-032017-062017-092017-12

0

2

4

6

8

10

Ratio of SNE to NAV

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

2016-032016-062016-092016-122017-032017-062017-092017-12

0

2

4

6

8

10

Ratio of SNE (w/o IRDs) to NAV

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

(c) Short Exposure with IRDs (d) Short Exposure without IRDs

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August 2, 2018 Analytics Office

B Industry Concentration

Table 29: Large Hedge Fund Adviser Asset and Exposure Concentration

Month

2016-01

2016-02

2016-03

2016-04

2016-05

2016-06

2016-07

2016-08

2016-09

2016-10

2016-11

2016-12

2017-01

2017-02

2017-03

2017-04

2017-05

2017-06

2017-07

2017-08

2017-09

2017-10

2017-11

2017-12

(Percent of Total Reported)

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

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

17.6

17.4

17.4

17.9

18.0

18.0

18.0

18.0

18.0

18.1

18.1

18.1

18.6

18.6

18.6

18.5

18.5

18.5

18.6

18.6

18.6

18.4

18.4

18.5

27.5

27.3

27.3

27.8

28.0

28.0

27.9

27.9

27.9

27.9

27.9

27.9

28.2

28.2

28.2

28.1

28.1

28.1

28.1

28.1

28.1

27.8

27.7

27.8

35.8

38.2

35.9

37.4

38.2

37.1

38.1

38.9

38.7

39.6

40.0

36.8

38.4

39.0

37.3

36.1

36.5

36.3

36.6

37.4

36.2

36.0

36.3

36.6

50.0

51.4

49.1

51.2

51.7

51.0

52.4

52.8

52.8

53.2

53.4

50.8

52.2

52.8

51.1

50.1

50.5

50.5

51.1

52.5

50.8

51.3

52.0

51.9

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August 2, 2018 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

2016-01 8,762 2,265 2,190 110 15 13,342

2016-02 10,272 2,439 2,239 101 15 15,065

2016-03 11,639 2,104 2,036 119 18 15,916

2016-04 8,476 2,073 1,972 111 22 12,653

2016-05 9,577 2,588 1,969 110 17 14,261

2016-06 12,915 2,793 2,108 99 21 17,936

2016-07 7,649 2,346 1,824 89 14 11,921

2016-08 9,564 2,515 1,874 90 19 14,062

2016-09 11,718 3,114 1,937 104 20 16,894

2016-10 8,570 2,434 1,887 97 24 13,013

2016-11 13,406 3,481 2,235 95 19 19,236

2016-12 11,117 2,265 1,785 70 17 15,255

2017-01 11,430 2,596 1,855 123 20 16,025

2017-02 12,332 2,750 1,869 105 21 17,078

2017-03 14,741 2,735 2,043 125 25 19,669

2017-04 11,035 1,992 1,846 85 16 14,975

2017-05 12,042 3,001 2,189 131 25 17,387

2017-06 17,107 2,963 2,187 115 23 22,395

2017-07 11,207 2,673 2,099 101 17 16,098

2017-08 10,895 2,932 2,385 92 21 16,325

2017-09 13,554 2,997 2,260 109 24 18,944

2017-10 8,837 2,646 2,222 107 29 13,840

2017-11 10,447 2,857 2,400 210 25 15,941

2017-12 13,442 2,459 2,082 70 15 18,068

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.

2016-032016-062016-092016-122017-032017-062017-092017-12

0

10

20

30

40

50

60

Total Turnover ($Billions)

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

2016-032016-062016-092016-122017-032017-062017-092017-12

0

5

10

15

20

25

Ratio of Turnover to NAV

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

(a) Total Turnover (b) Total Turnover to NAV Ratio

26
August 2, 2018 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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

North America 3,879 3,943 4,106 4,077 4,406 4,500 5,089 4,526

Europe EEA 1,216 1,198 1,219 1,223 1,709 1,669 1,708 1,660

Asia 619 601 611 531 596 600 713 673

South America 101 91 91 87 95 102 108 133

Europe Other 61 62 67 64 80 78 77 91

Supranational 30 30 33 46 60 68 67 75

Africa 21 21 19 18 19 23 24 31

Middle East 22 22 20 18 20 23 23 26

Region 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

North America 134.1 136.4 138.4 136.3 141.7 142.9 155.9 135.6

Europe EEA 42.1 41.4 41.1 40.9 55.0 53.0 52.3 49.7

Asia 21.4 20.8 20.6 17.7 19.2 19.0 21.8 20.2

South America 3.5 3.2 3.1 2.9 3.1 3.2 3.3 4.0

Europe Other 2.1 2.1 2.3 2.1 2.6 2.5 2.4 2.7

Supranational 1.0 1.0 1.1 1.5 1.9 2.2 2.0 2.2

Africa 0.7 0.7 0.6 0.6 0.6 0.7 0.7 0.9

Middle East 0.8 0.8 0.7 0.6 0.6 0.7 0.7 0.8

Table 32: Large Hedge Fund Adviser Hedge Fund

Region Exposure (Percent of Aggregate NAV)

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

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August 2, 2018 Analytics Office

Table 33: Large Hedge Fund Adviser Hedge Fund

Country Exposure ($ Billions)

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

Country 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

United States 3,638 3,659 3,920 3,866 4,182 4,246 4,824 4,312

Japan 290 264 263 219 231 229 233 245

China (Inc. Hong Kong) 139 129 136 129 130 144 152 164

Brazil 42 35 36 37 40 42 45 60

India 28 30 35 30 32 35 37 47

Russia 11 13 15 14 17 13 16 18

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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

United States 125.8 126.5 132.1 129.3 134.5 134.9 147.8 129.1

Japan 10.0 9.1 8.9 7.3 7.4 7.3 7.1 7.3

China (Inc. Hong Kong) 4.8 4.4 4.6 4.3 4.2 4.6 4.7 4.9

Brazil 1.4 1.2 1.2 1.2 1.3 1.3 1.4 1.8

India 1.0 1.0 1.2 1.0 1.0 1.1 1.1 1.4

Russia 0.4 0.4 0.5 0.5 0.5 0.4 0.5 0.5

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August 2, 2018 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.

2016-032016-062016-092016-122017-032017-062017-092017-12

0

2

4

6

8

10

12

14

Ratio of GNE to NAV

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

2016-032016-062016-092016-122017-032017-062017-092017-12

0

2

4

6

8

10

12

14

Ratio of GNE (w/o IRDs) to NAV

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

(a) Including IRDs (b) Excluding IRDs

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August 2, 2018 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.

2016-032016-062016-092016-122017-032017-062017-092017-12

0

1

2

3

4

5

6

7

Ratio of LNE to NAV

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

2016-032016-062016-092016-122017-032017-062017-092017-12

0

1

2

3

4

5

6

7

Ratio of LNE (w/o IRDs) to NAV

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

(a) LNE Including IRDs (b) LNE Excluding IRDs

2016-032016-062016-092016-122017-032017-062017-092017-12

0

1

2

3

4

5

6

7

Ratio of SNE to NAV

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

2016-032016-062016-092016-122017-032017-062017-092017-12

0

1

2

3

4

5

6

7

Ratio of SNE (w/o IRDs) to NAV

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

(c) SNE Including IRDs (d) SNE Excluding IRDs

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August 2, 2018 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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Equity

Subtotal 1,360 1,367 1,431 1,408 1,495 1,560 1,646 1,677

Long/Short 865 850 878 841 880 906 926 945

Long Bias 268 274 284 288 310 330 369 371

Market Neutral 221 237 265 273 *** *** *** ***

Short Bias 5 6 5 6 *** *** *** ***

Other Subtotal 812 828 837 851 884 940 974 1,006

Relative Value

Subtotal 784 781 763 701 717 784 851 760

F.I. Sov. 547 541 517 469 488 541 601 518

F.I. Asset Backed 127 128 129 123 115 120 119 119

F.I. Conv. Arb. 38 35 38 39 44 47 49 50

F.I. Corp. 45 42 43 41 41 48 50 46

Volatility Arb. 28 34 36 28 30 29 31 27

Macro

Subtotal 555 595 668 697 702 661 709 671

Global Macro 486 523 599 614 621 579 626 586

Currency *** *** *** *** 44 *** *** ***

Commodity 33 35 34 38 35 35 38 40

Active Trading *** *** *** *** 3 *** *** ***

Event Driven

Subtotal 358 325 335 324 342 353 359 353

Distressed/Restruct. 170 166 172 173 172 167 170 167

Equity 97 85 91 80 94 100 100 101

Risk Arb./Merger Arb. 92 75 72 71 77 86 89 86

Credit

Subtotal 356 363 267 274 283 285 289 287

Long/Short 316 328 227 231 240 240 240 235

Asset Based Lending 40 35 40 43 43 45 49 51

Managed Futures/CTA

Subtotal 98 115 123 124 140 147 145 152

Quantitative *** 109 *** *** 131 144 143 149

Fundamental *** 6 *** *** 9 3 2 3

Investment in other funds Subtotal 40 42 42 43 42 48 49 49

Total Total 4,363 4,417 4,467 4,421 4,606 4,777 5,023 4,954

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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August 2, 2018 Analytics Office

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

As reported on Form PF, Questions 9 and 20.

Category Strategy 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Equity

Subtotal 51.2 51.2 52.2 51.3 52.9 53.8 55.0 54.8

Long/Short 32.6 31.8 32.1 30.7 31.1 31.2 30.9 30.9

Long Bias 10.1 10.3 10.3 10.5 11.0 11.4 12.3 12.1

Market Neutral 8.3 8.9 9.7 10.0 *** *** *** ***

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

Other Subtotal 30.6 31.0 30.6 31.0 31.3 32.4 32.5 32.9

Relative Value

Subtotal 29.5 29.3 27.9 25.5 25.3 27.0 28.4 24.8

F.I. Sov. 20.6 20.3 18.9 17.1 17.2 18.6 20.1 16.9

F.I. Asset Backed 4.8 4.8 4.7 4.5 4.0 4.1 4.0 3.9

F.I. Conv. Arb. 1.4 1.3 1.4 1.4 1.6 1.6 1.7 1.6

F.I. Corp. 1.7 1.6 1.6 1.5 1.4 1.6 1.7 1.5

Volatility Arb. 1.1 1.3 1.3 1.0 1.1 1.0 1.1 0.9

Macro

Subtotal 20.9 22.3 24.4 25.4 24.8 22.8 23.7 21.9

Global Macro 18.3 19.6 21.9 22.4 21.9 20.0 20.9 19.2

Currency *** *** *** *** 1.6 *** *** ***

Commodity 1.2 1.3 1.3 1.4 1.2 1.2 1.3 1.3

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

Event Driven

Subtotal 13.5 12.2 12.2 11.8 12.1 12.2 12.0 11.5

Distressed/Restruct. 6.4 6.2 6.3 6.3 6.1 5.8 5.7 5.4

Equity 3.6 3.2 3.3 2.9 3.3 3.4 3.3 3.3

Risk Arb./Merger Arb. 3.4 2.8 2.6 2.6 2.7 3.0 3.0 2.8

Credit

Subtotal 13.4 13.6 9.7 10.0 10.0 9.8 9.7 9.4

Long/Short 11.9 12.3 8.3 8.4 8.5 8.3 8.0 7.7

Asset Based Lending 1.5 1.3 1.5 1.6 1.5 1.6 1.6 1.7

Managed Futures/CTA

Subtotal 3.7 4.3 4.5 4.5 4.9 5.1 4.9 5.0

Quantitative *** 4.1 *** *** 4.6 5.0 4.8 4.9

Fundamental *** 0.2 *** *** 0.3 0.1 0.1 0.1

Investment in other funds Subtotal 1.5 1.6 1.5 1.6 1.5 1.6 1.6 1.6

Total Total 164.4 165.4 163.0 161.1 162.8 164.7 167.7 161.9

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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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Relative Value 4.5 4.7 4.2 4.1 4.6 5.1 5.1 4.7

Macro 2.8 3.1 3.1 3.2 3.6 3.5 3.8 3.6

Multi-Strategy 1.9 1.8 2.4 2.4 2.3 2.2 2.3 2.2

Other 1.6 1.6 1.6 1.6 1.6 1.6 1.6 1.7

Equity 1.6 1.6 1.6 1.6 1.6 1.6 1.6 1.6

Credit 1.5 1.5 1.6 1.5 1.6 1.6 1.5 1.5

Event Driven 1.4 1.4 1.3 1.3 1.3 1.3 1.3 1.3

Managed Futures/CTA 1.2 1.2 1.2 1.2 1.2 1.9 1.2 1.2

Investment in other funds 1.1 1.1 1.1 1.1 1.1 1.0 *** 1.0

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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Macro 14.7 14.6 11.2 13.3 16.4 17.5 19.9 21.9

Relative Value 16.1 16.9 16.9 16.4 19.1 17.7 18.7 18.4

Managed Futures/CTA 9.8 7.3 8.2 7.3 8.0 9.5 8.4 10.0

Multi-Strategy 7.0 7.1 11.0 10.1 8.0 7.9 9.0 8.6

Other 4.1 4.5 4.6 4.7 5.0 5.3 5.4 5.4

Credit 4.1 4.0 2.9 2.7 3.3 3.0 3.1 3.2

Equity 3.4 3.2 3.1 3.1 3.2 3.2 3.2 3.2

Event Driven 2.1 2.1 2.0 2.0 2.2 2.0 2.0 2.0

Investment in other funds 1.9 1.4 1.5 1.4 1.7 1.6 *** 1.7

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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Managed Futures/CTA 57.7 68.3 68.8 67.7 65.5 61.2 59.0 58.0

Macro 44.0 42.8 40.9 40.0 36.6 39.0 38.6 38.5

Multi-Strategy 25.5 26.4 26.9 28.1 25.5 22.4 24.9 24.8

Other 24.5 26.5 26.8 25.6 21.5 20.6 21.3 21.0

Relative Value 27.8 27.2 21.6 22.5 22.7 20.4 21.5 19.8

Equity 13.0 13.9 11.2 12.3 10.6 11.5 9.7 10.2

Credit 12.0 14.1 10.9 11.7 9.8 10.9 9.9 9.8

Event Driven 10.0 12.0 11.6 11.5 8.0 11.1 10.0 9.7

Investment in other funds 10.3 8.4 6.2 5.5 3.4 6.2 *** 9.4

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August 2, 2018 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.

2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Cash/Cash Equivalents 723 734 694 675 681 684 691 686

Securities - Equities 2,049 2,000 2,139 2,116 2,302 2,396 2,522 2,602

Securities - G10 (non-US) 744 723 797 972 1,033 1,056 1,159 1,202

Securities - Treasuries 1,002 1,059 1,116 1,140 1,145 1,108 1,157 1,159

Securities - MBS 237 250 258 227 246 241 254 266

Securities - Other Bonds 209 234 213 196 209 240 270 261

Securities - Corp. Bonds 250 246 252 252 268 269 259 254

Securities - Conv. Bonds 67 63 71 69 82 89 82 82

Securities - ABS (non-MBS) 79 73 76 76 75 77 75 78

Derivatives - IR 3,566 3,645 3,759 3,546 4,170 3,846 4,148 4,483

Derivatives - FX 2,640 2,581 2,478 2,442 2,649 2,726 3,070 3,360

Derivatives - Equity 953 1,005 1,081 1,115 1,195 1,228 1,297 1,369

Derivatives - Credit 732 608 630 598 640 687 805 720

Derivatives - Other 133 120 138 137 144 286 280 460

Derivatives - Commodity 246 290 307 325 330 332 369 379

Repurchase Agreements 1,045 1,060 1,113 1,156 1,314 1,398 1,373 1,304

Other 642 648 669 679 701 731 780 755

Table 41: Percent of Qualifying Hedge Fund Gross Notional Exposure

Representing Long Notional Exposure

As reported on Form PF, Questions 26 and 30.

Cash/Cash Equivalents 87.0 88.1 87.3 86.9 85.0 86.9 88.1 86.0

Securities - Equities 69.3 69.2 69.8 70.1 70.2 70.0 70.3 71.8

Securities - G10 (non-US) 56.6 55.5 53.4 49.6 49.2 50.0 50.0 50.2

Securities - Treasuries 69.6 66.8 66.6 68.1 65.3 63.2 62.3 62.9

Securities - MBS 78.7 76.6 74.7 76.0 74.1 73.6 71.9 71.2

Securities - Other Bonds 74.8 71.6 78.0 75.4 78.1 78.3 71.5 74.4

Securities - Corp. Bonds 80.3 80.9 82.9 81.7 80.9 79.9 81.2 81.5

Securities - Conv. Bonds 93.3 95.2 95.5 95.2 95.2 95.6 94.1 93.4

Securities - ABS (non-MBS) 99.1 99.4 99.0 98.7 98.0 98.0 96.7 96.8

Derivatives - IR 49.6 50.8 52.8 51.0 48.3 47.2 47.7 49.4

Derivatives - FX 50.4 52.5 51.7 48.5 50.8 50.1 49.7 47.1

Derivatives - Equity 53.4 55.0 55.3 55.1 56.2 55.5 56.8 57.6

Derivatives - Credit 46.0 44.4 47.3 48.2 47.1 47.6 47.2 47.5

Derivatives - Other 57.0 58.2 60.2 58.6 62.6 55.2 53.2 53.1

Derivatives - Commodity 59.3 62.2 63.4 63.4 64.2 58.8 64.0 64.4

Repurchase Agreements 43.3 43.4 45.3 48.7 50.0 49.4 51.6 51.9

Other 90.5 90.5 89.6 89.0 87.8 90.3 86.7 89.2

2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

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August 2, 2018 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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

At most 1 day 7.8 8.0 8.3 8.2 8.4 8.4 8.5 8.8

At most 7 days 14.0 14.1 14.4 14.1 14.5 14.6 14.8 15.2

At most 30 days 27.5 27.3 26.5 26.6 28.6 27.2 27.7 28.2

At most 90 days 47.1 46.8 47.3 49.7 47.7 46.8 48.4 51.1

At most 180 days 60.4 60.1 61.9 58.9 59.8 59.5 61.8 60.1

At most 365 days 75.3 75.6 74.7 74.2 74.2 74.0 73.7 74.0

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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

At most 1 day 41.6 41.6 40.1 40.1 38.3 38.6 38.0 38.7

At most 7 days 65.7 65.1 63.9 63.4 61.6 62.4 61.9 62.7

At most 30 days 78.5 78.0 77.3 76.7 76.1 76.5 76.1 76.3

At most 90 days 84.6 84.1 83.8 83.1 82.2 82.6 82.4 82.6

At most 180 days 88.0 87.8 87.3 86.4 85.8 86.2 85.9 86.2

At most 365 days 91.4 91.2 90.7 89.8 89.6 89.8 89.3 89.6

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 Fourth Calendar Quarter 2017.

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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August 2, 2018 Analytics Office

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

As reported on Form PF, Questions 48 and 49.

Type 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

May Suspend 2,122 2,141 2,180 2,154 2,222 2,275 2,338 2,376

May Have Gates 1,289 1,307 1,330 1,290 1,338 1,362 1,396 1,409

Side-Pocketed 38 37 38 38 39 38 39 39

Gated 29 27 30 27 27 28 30 38

Suspended 14 16 16 19 27 27 22 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.

2016Q12016Q22016Q32016Q42017Q12017Q22017Q32017Q4

0

10

20

30

40

50

NAV in Side-Pocket (%)

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F Borrowings

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

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

Type Subtype 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Secured

Subtotal 1,942 1,939 2,079 2,057 2,239 2,391 2,437 2,419

Prime Broker 977 980 1,084 1,087 1,186 1,265 1,371 1,379

Reverse Repo 696 692 729 675 739 795 721 685

Other Secured 269 267 267 295 313 331 345 356

Unsecured Subtotal 10 9 11 12 14 11 12 14

Total Total 1,952 1,948 2,090 2,069 2,253 2,402 2,448 2,433

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

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

Creditor Type 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

US Financial 62.8 62.3 64.7 63.2 61.2 61.1 61.4 61.7

Non-US Financial 36.7 37.3 34.8 36.3 38.4 38.5 38.3 37.9

US Non-Financial 0.4 0.3 0.3 0.3 *** 0.3 *** ***

Non-US Non-Financial 0.1 0.1 0.2 0.1 *** 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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Prime Broker

Subtotal 1,253 1,229 1,339 1,334 1,467 1,545 1,674 1,686

Other 801 776 861 857 949 1,022 1,151 1,183

Cash 452 454 478 477 518 522 523 503

Reverse Repo

Subtotal 718 711 774 691 783 786 734 718

Other 547 518 574 451 517 506 478 455

Cash 171 194 200 241 266 281 256 263

Other Secured

Subtotal 320 308 312 349 384 407 423 426

Other 240 230 236 210 254 251 265 262

Cash 79 78 77 139 130 156 158 165

Total Total 2,291 2,249 2,426 2,375 2,634 2,738 2,831 2,830

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August 2, 2018 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.

2016-032016-062016-092016-122017-032017-062017-092017-12

0

1

2

3

4

5

6

7

8

Collateral/Total Secured Borrowing

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

(a) Total Secured Borrowing

2016-032016-062016-092016-122017-032017-062017-092017-12

0

1

2

3

4

5

6

7

8

Collateral/Prime Broker Borrowing

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

2016-032016-062016-092016-122017-032017-062017-092017-12

0

1

2

3

4

5

6

7

8

Collateral/Reverse Repo Borrowing

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

(b) Prime Broker Borrowing (c) Reverse Repo Borrowing

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August 2, 2018 Analytics Office

Table 48: Financing Liquidity for Qualifying Hedge Funds

(Percent of Available Financing)

As reported on Form PF, Question 46.

Financing Available 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

At most 1 day 43.3 43.5 37.1 35.8 36.3 34.6 35.3 34.2

At most 7 days 52.7 52.8 53.6 48.1 52.9 53.3 51.7 49.5

At most 30 days 66.5 65.8 65.2 64.0 65.0 65.3 64.0 64.7

At most 90 days 81.8 81.7 80.8 81.0 80.2 80.8 79.2 80.3

At most 180 days 96.1 95.9 96.0 95.9 95.9 96.1 95.9 95.9

At most 365 days 97.6 97.4 97.5 97.3 97.3 97.4 97.3 97.2

Figure 15: Weighted-Average Qualifying Hedge Fund

Financing Liquidity (Percent of Available Financing)

As reported on Form PF, Question 46 as of Fourth Calendar Quarter 2017.

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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August 2, 2018 Analytics Office

G Central Clearing

Figure 16: Qualifying Hedge Funds Using Central Clearing

As reported on Form PF, Question 39.

2016Q12016Q22016Q32016Q42017Q12017Q22017Q32017Q4

0

5

10

15

20

Percent of Funds Percent of NAV

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H Value-at-Risk (“VaR”) Reporting

Table 49: Number of Qualifying Hedge Funds Using VaR

As reported on Form PF, Question 40.

VaR Method 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

VaR (Any Method) 622 626 623 631 640 652 652 666

Historical Simulation 240 237 239 234 238 249 271 278

Parametric 192 190 193 196 190 190 186 193

Monte Carlo Simulation 196 188 186 196 202 207 190 188

Other 38 41 46 42 44 45 43 48

VaR Not Used 977 982 997 1,021 1,034 1,068 1,070 1,137

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

As reported on Form PF, Questions 8 and 40.

VaR Method 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

VaR (Any Method) 3,079 3,205 3,269 3,225 3,428 3,516 3,624 3,587

Historical Simulation 1,602 1,688 1,762 1,700 1,829 1,798 1,900 1,882

Parametric 729 756 746 731 737 760 767 806

Monte Carlo Simulation 648 628 642 645 862 947 940 846

Other 317 321 344 373 425 457 489 524

VaR Not Used 1,913 1,898 1,977 1,994 2,066 2,201 2,268 2,316

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

As reported on Form PF, Questions 9 and 40.

VaR Method 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

VaR (Any Method) 1,270 1,293 1,310 1,303 1,345 1,377 1,406 1,411

Historical Simulation 463 483 501 479 491 504 561 562

Parametric 457 449 462 459 465 474 477 490

Monte Carlo Simulation 346 336 342 352 403 424 394 386

Other 88 90 94 94 95 94 94 93

VaR Not Used 1,385 1,378 1,430 1,441 1,484 1,524 1,589 1,649

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August 2, 2018 Analytics Office

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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Stress and VaR 538 545 548 555 548 558 558 592

Stress, No VaR 444 454 447 453 451 457 467 498

No Stress, VaR 84 81 75 76 92 94 94 74

Neither 533 528 550 568 583 611 603 639

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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Stress and VaR 2,861 3,001 3,090 3,045 3,189 3,244 3,388 3,426

Stress, No VaR 1,011 1,008 1,030 1,001 1,076 1,114 1,178 1,190

No Stress, VaR 218 204 179 179 240 271 236 160

Neither 902 890 948 993 990 1,086 1,089 1,126

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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Stress and VaR 1,144 1,162 1,193 1,185 1,199 1,230 1,248 1,302

Stress, No VaR 669 666 666 661 683 673 712 736

No Stress, VaR 125 131 117 117 146 147 158 108

Neither 717 712 763 780 801 850 877 914

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August 2, 2018 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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

At most 1 day 81.2 77.4 80.1 80.9 78.0 79.6 79.1 80.5

At most 7 days 96.0 96.0 98.3 97.3 95.5 95.2 95.5 95.5

At most 30 days 99.7 99.7 99.9 99.6 99.7 99.5 99.5 99.5

At most 90 days 100.0 100.0 100.0 99.8 100.0 99.8 99.7 99.7

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

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

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

As reported on Form PF, Question 63.

Type 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

May Suspend 232 241 232 253 246 255 261 273

May Have Gates 200 207 199 220 215 224 227 237

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.

2016-032016-062016-092016-122017-032017-062017-092017-12

0

10

20

30

40

50

Weighted Average Maturity (WAM) in Days

Average WAM Asset-Weighted WAM

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August 2, 2018 Analytics Office

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

As reported on Form PF, Question 55.

2016-032016-062016-092016-122017-032017-062017-092017-12

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.

2016-032016-062016-092016-122017-032017-062017-092017-12

0.0

0.5

1.0

1.5

2.0

Seven-Day Gross Yield (%)

Average Yield Asset-Weighted Yield

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August 2, 2018 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.

2016-032016-062016-092016-122017-032017-062017-092017-12

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.

2016-032016-062016-092016-122017-032017-062017-092017-12

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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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 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Credit Quality 61.1 64.9 61.1 59.1 57.8 59.6 56.5 56.2

Diversification 58.3 62.2 58.3 56.8 55.6 55.3 52.2 52.1

Liquidity 52.8 54.1 55.6 56.8 55.6 55.3 52.2 52.1

Maturity 58.3 62.2 58.3 56.8 55.6 55.3 52.2 52.1

Fully 47.2 48.6 50.0 50.0 48.9 48.9 45.7 45.8

None 36.1 32.4 36.1 38.6 40.0 38.3 41.3 41.7

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

As reported on Form PF, Questions 9 and 54.

Compliance Type 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Credit Quality 16.2 17.9 13.5 14.4 15.5 15.9 15.9 14.7

Diversification 16.2 17.9 13.5 13.8 14.9 14.9 14.9 13.7

Liquidity 10.8 11.3 12.2 13.6 14.8 14.7 15.0 13.7

Maturity 16.0 17.7 13.5 13.6 14.8 14.7 15.0 13.7

Fully 10.0 10.4 11.0 11.8 12.8 12.8 12.8 11.8

None 83.6 82.0 86.1 85.5 84.3 84.0 83.9 85.2

D Methods of Calculating NAV

Table 59: NAV Calculation Method (Percent of Funds)

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

Type

Stable

Floating

2016Q1

***

***

2016Q2

***

***

2016Q3

***

***

2016Q4

81.8

18.2

2017Q1

80.0

20.0

2017Q2

78.7

21.3

2017Q3

78.3

21.7

2017Q4

79.2

20.8

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

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

Type 2016Q1 2016Q2 2016Q3 2016Q4 2017Q1 2017Q2 2017Q3 2017Q4

Stable *** *** *** 69.9 71.4 68.3 70.2 69.1

Floating *** *** *** 30.1 28.6 31.7 29.8 30.9

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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 56.

Product Type 2016Q1

U.S. Treasuries 79.7

Other 39.2

Deposits 32.6

Repo - Govt. Collateral 30.9

Commercial Paper 22.8

Asset-Backed Securities 12.8

Repo - Other Collateral ***

U.S. Govt. Debt 5.5

Municipal Debt ***

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

As reported on Form PF, Question 63.

Product Type 2016-04

2016-05

2016-06

2016-07

2016-08

2016-09

2016-10

2016-11

2016-12

2017-01

2017-02

2017-03

Deposits 51.1 57.5 55.3 58.6 55.5 55.3 62.8 67.5 73.3 77.6 76.5 75.0

U.S. Treasuries 66.8 67.1 69.9 70.3 67.2 64.8 66.2 71.5 73.4 65.8 69.1 64.2

Other 24.0 28.0 30.4 29.3 31.6 33.7 31.1 30.7 42.4 63.8 61.9 53.7

Commercial Paper 28.0 26.6 25.5 27.1 26.0 26.9 36.3 35.6 38.8 40.4 43.1 45.5

Repo - Other Collateral *** *** *** *** *** 6.4 11.4 14.9 15.5 33.1 30.4 30.3

Repo - Govt. Collateral 42.8 40.8 35.6 36.6 41.7 35.9 52.4 47.3 37.2 31.2 26.3 24.2

Asset-Backed Securities 12.8 14.0 16.8 19.0 20.2 22.8 24.5 24.3 24.0 25.9 23.8 23.6

U.S. Govt. Debt 4.4 4.2 5.2 5.9 5.0 5.9 5.3 4.2 4.2 4.1 3.9 4.9

Municipal Debt *** *** *** *** *** 1.1 6.1 4.7 3.0 2.5 2.1 0.8

Table 63: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 3 of 3

As reported on Form PF, Question 63.

Product Type 2017-04

2017-05

2017-06

2017-07

2017-08

2017-09

2017-10

2017-11

2017-12

Deposits 82.0 81.4 77.3 83.5 83.2 79.7 83.0 83.6 73.2

U.S. Treasuries 66.1 62.8 57.5 61.5 56.6 55.3 61.1 66.4 69.0

Other 55.2 66.4 67.2 62.8 60.6 62.1 57.1 55.7 64.7

Commercial Paper 40.5 44.8 41.3 45.9 45.1 45.2 48.2 47.7 41.8

Repo - Other Collateral 41.1 46.4 35.4 38.6 46.6 48.8 40.0 36.8 32.0

Repo - Govt. Collateral 26.4 34.9 34.8 32.7 30.9 32.5 38.6 36.7 29.6

Asset-Backed Securities 26.7 25.2 21.3 22.0 21.8 23.9 22.6 21.7 20.6

U.S. Govt. Debt 5.0 5.3 6.0 4.5 4.0 5.8 5.5 5.8 5.9

Municipal Debt 1.5 1.6 1.1 1.3 1.1 1.1 1.1 1.1 0.9

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XI Section 4 Private Equity Fund Specific Information

A CPC Industry Concentration

Table 64: Gross Assets in CPC Industries (Percent of Total)

As reported on Form PF, Questions 8 and 77.

Type 2013Q4 2014Q4 2015Q4 2016Q4 2017Q4

Oil & Gas Extraction 7.9 7.8 5.8 6.7 6.2

Software Publishers 2.8 3.8 4.9 6.1 6.0

Electric Power Generation, Transmission & Distribution 3.8 3.8 3.7 4.1 4.2

Data Processing, Hosting, & Related Services 2.9 2.3 1.8 2.0 2.3

Telecommunications Data Processing Services 2.6 2.5 2.7 2.3 2.2

Other Information Services 2.0 2.1 1.9 1.8 2.0

Pipeline Transportation 2.4 2.6 2.4 2.2 1.9

Other Financial Vehicles 0.4 0.4 0.6 1.8 1.6

Management, Scientific, & Technical Consulting Services 1.0 1.2 1.1 1.3 1.6

Pharmaceutical & Medicine Mfg 1.0 1.3 1.5 1.4 1.5

Custom Computer Programming Services 0.9 1.0 1.5 1.5 1.5

Educational Services 1.4 1.3 1.3 1.2 1.4

Other Financial Investment Activities 2.0 1.8 1.8 1.7 1.4

Investigation & Security Services 0.5 0.5 0.7 1.2 1.4

Activities Related to Credit Intermediation 1.2 1.2 1.4 1.0 1.2

Other Insurance Related Activities 0.9 1.0 1.0 2.0 1.2

Utility System Construction 0.4 0.5 0.8 0.8 1.2

Insurance Agencies & Brokerages 0.9 1.0 1.0 1.2 1.1

Natural Gas Distribution 0.5 0.4 0.6 0.7 1.0

Support Activities for Mining 1.3 1.6 1.2 1.0 1.0

Fruit & Vegetable Preserving & Specialty Food Mfg 0.2 0.1 0.0 0.1 1.0

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August 2, 2018 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.

2013Q42014Q42015Q42016Q42017Q4

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.

2013Q42014Q42015Q42016Q42017Q4

0

10

20

30

40

50

CPC Payment-in-Kind Borrowings 

 to Total Borrowings Ratio (%)

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August 2, 2018 Analytics Office

C CPC Investments by Region and Country

Table 65: 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

North America 5,279 4,506 4,132 3,942 4,274

Europe EEA 1,423 1,259 941 848 1,543

Asia 571 462 447 406 379

South America 75 85 58 111 258

Europe Other 25 9 21 22 98

Supranational 65 67 23 37 49

Middle East 8 12 9 15 23

Africa 20 12 12 18 14

Table 66: 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

North America 70.7 70.2 73.2 73.0 64.4

Europe EEA 19.1 19.6 16.7 15.7 23.2

Asia 7.6 7.2 7.9 7.5 5.7

South America 1.0 1.3 1.0 2.0 3.9

Europe Other 0.3 0.1 0.4 0.4 1.5

Supranational 0.9 1.0 0.4 0.7 0.7

Middle East 0.1 0.2 0.2 0.3 0.3

Africa 0.3 0.2 0.2 0.3 0.2

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Table 67: 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

United States 5,039 4,305 3,943 3,776 3,794

China and Hong Kong 171 186 173 114 147

Brazil 45 58 41 88 131

India 63 83 89 92 73

Japan 233 98 85 79 52

Russia 3 2 5 4 4

Table 68: 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

United States 67.5 67.1 69.9 69.9 57.1

China and Hong Kong 2.3 2.9 3.1 2.1 2.2

Brazil 0.6 0.9 0.7 1.6 2.0

India 0.8 1.3 1.6 1.7 1.1

Japan 3.1 1.5 1.5 1.5 0.8

Russia 0.0 0.0 0.1 0.1 0.1

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August 2, 2018 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.

8In 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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August 2, 2018 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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August 2, 2018 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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August 2, 2018 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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August 2, 2018 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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August 2, 2018 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.

57