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. 

February 21, 2024 
1 

Executive Summary 

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

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

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

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

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

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

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

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

similarly to money market funds), currently have approximately $14 trillion in net assets. Private funds 

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

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

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

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

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

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

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

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

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

Part III of this eleventh 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 (“FRB”), subject to agreements 

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

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

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

I. Introduction 

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

approximately $14 trillion in reported net assets as of the second quarter of 20231 plays an active and 

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

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

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

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

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

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

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

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

funds. 

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

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

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

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

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

is being submitted to Congress to satisfy that requirement.5 

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

analysis, findings, or conclusions contained herein. 

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

Overview of Form PF 

1

 Private Funds Statistics, Second Calendar Quarter 2023, p.5, Table 4, at the Appendix. Reported net assets 

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

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

2

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

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

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

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

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

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

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

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

3

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

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

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

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

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

4

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

5

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

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

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

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

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

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

data on which the Commission would otherwise rely.7 The data set that is generated from information 

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

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

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

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

Form PF in consultation with FSOC.9

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

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

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

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

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

detailed information on particular hedge funds and liquidity funds. 

How the Commission Secures and Manages Form PF Data 

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

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

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

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

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

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

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

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

the data, requirements that any PF Data is shared only with other SEC staff who have a need to see it for 

Work Duties, 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--now led by staff from the SEC’s Office of Chief Data 

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 of 2010, Public Law No. 111-203, § 

404, 124 Stat. 1376 (the “Dodd-Frank Act”).

7

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

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

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

8

 See supra note 6. 

9

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

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

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

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

supra note 2, at Section II.E 

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

Officer, tasked with overseeing these systems and controls for access, use, and security of Form PF data. 

The Committee, on an ongoing basis, monitors and updates these systems and controls, and meets regularly 

to address any new matters arising from time to time relating to the access, use, and security of the Form 

PF data. 

Efforts to Improve the Quality of Form PF Data 

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

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

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

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

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

advisers and other members of the public related to Form PF.12 

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

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

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

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

appropriately filed.13 

Analytical Tools Using Form PF Data 

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

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

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

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

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

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

performance, investment exposures, and liquidity; 

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

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

• 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 

12

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

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

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

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

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

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

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

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

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

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

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

• 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 FRB and uses Form PF data when coordinating with other federal regulators and 

international organizations in areas of mutual interest involving private fund advisers, subject to appropriate 

protections for data security. The following provides more detail on how the Commission staff uses Form 

PF data. 

Informing Commission Policy 

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

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

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

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

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

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

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

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

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

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

markets, and facilitate capital formation. 

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

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

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

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

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

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

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

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

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

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

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

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

 

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

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

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

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

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

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

Appendix and Section III.B, infra. 
6 

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

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

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

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

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

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

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

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

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

loans and collateralized loan obligations. 

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

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

and market participants. For example, the Commission relied on data derived from Form PF in recently 

adopted amendments to Form PF which require new current reporting of certain events for large hedge 

fund advisers and advisers to private equity funds, among other things.17 The Commission also used Form 

PF data to estimate the number of affected parties in a recent final rulemaking to prohibit conflicts of interest 

in certain securitizations.18 The Commission also used statistics on private funds, which are published 

quarterly as discussed below, to inform several recent rulemakings, including: final amendments to certain 

rules that govern money market funds, which were designed to improve the resilience and transparency of 

money market funds;19 a final rule to enhance oversight on private fund advisers and to further protect 

private fund investors;20 in a final rule requiring the publication of certain short sale related data;21 and in 

final rules to facilitate improved risk management at U.S. Treasury securities central clearing agencies and 

increased central clearing in the U.S. Treasury market.22

Informing the Public about the Private Fund Industry 

16

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

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

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

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

17

 See Form PF; Event Reporting for Large Hedge Fund Advisers and Private Equity Fund Advisers; 

Requirements for Large Private Equity Fund Adviser Reporting , Advisers Act Release No. 6297 (May 3, 

2023,), [88 FR 38146 (June 12, 2023)], https://www.sec.gov/files/rules/final/2023/ia-6297.pdf. 

18

 See Prohibition Against Conflicts of Interest in Certain Securitizations, Securities Act Release No. 33-11254 

(Nov. 27, 2023), [88 FR 85396 (Dec. 7, 2023)], https://www.sec.gov/files/rules/final/2023/33-11254.pdf. 

19

 See Money Market Fund Reforms, Securities Act Release No. 33-11211, (July 12, 2023), [88 FR 51404 (Aug. 

3, 2023)], https://www.sec.gov/files/rules/final/2023/33-11211.pdf

20

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

Act Release No. 6383 (Aug. 23, 2023), [88 FR 63206 (Sept. 14, 2023)], 

https://www.sec.gov/files/rules/final/2023/ia-6383.pdf. 

21

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

Act Release No. 34-98738 (Oct. 13, 2023), [88 FR 75100 (Nov. 1, 2023)], 

https://www.sec.gov/files/rules/final/2023/34-98738.pdf

22

 See Standards for Covered Clearing Agencies for U.S. Treasury Securities and Application of the BrokerDealer Customer Protection Rule With Respect to U.S. Treasury Securities, Securities Exchange Act Release 

No. 34-99149 (Dec. 13, 2023), [89 FR 2714 (Jan. 16, 2024)], https://www.sec.gov/files/rules/final/2023/34-

99149.pdf
7 

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

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

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

advisers. Following are two examples. 

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

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

data.23 As supplemented with new data and analysis in May 2017, and more recently in December 2020, 

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

practices.24 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.25 

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.26 Staff understands that the financial 

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

23

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

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

24

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

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

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

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

26

 See Division of Investment Management, Money Market Fund Statistics, 

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

to assist investors with investment decisions.27 In addition, the staff understands that other regulators and 

organizations may also monitor these public reports for their own risk monitoring activities.28

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

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

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

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

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

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

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

27

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

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

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

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

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

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

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

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

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

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

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

28

 See IOSCO investment Funds Statistics Report, Jan. 2022, 

https://www.iosco.org/library/pubdocs/pdf/IOSCOPD693.pdf. See also, Investment Funds Statistics Report, 

2d ed., 41-App‘x A .2 (Methodology), Jan. 2023,

https://www.iosco.org/library/pubdocs/pdf/IOSCOPD725.pdf 
9 

hedge funds.29 Another staff white paper used Form PF data to characterize private liquidity funds and 

compare them to registered money market funds.30 

Assisting the Examinations and Enforcement Programs31

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

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

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

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

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

compliance risks. 

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

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

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

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

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

reporting periods. 

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

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

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

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

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

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

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

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

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

filed Form PF and Form ADV data. 

29

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

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

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

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

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

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

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

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

30

 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. 

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

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

Section 210(b). 
10 

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

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

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

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

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

Coordination and Consultation with Other Financial Regulators 

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

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

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

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

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

data available to the FRB under agreements regarding appropriate use of and confidentiality protections for 

the Form PF data, which are similar to those provided under applicable agreements with OFR. 

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

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

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

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

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

of asset management products and activities.32 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. 

32

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

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

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

alternative funds. 
A-1 

Appendix 

(Private Funds Statistics, Second Calendar Quarter 2023) 
Division of Investment Management

Analytics Ofce

Private Funds Statistics

Second Calendar Quarter 2023

January 9, 2024

This is a report of the Staf of the Division of Investment Management’s Analytics Ofce of the U.S.

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

fndings, or conclusions contained herein.
January 9, 2024 Analytics Ofce

Introduction

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

data collected through Form PF and Form ADV flings.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 flers.

This report refects data from Third Calendar Quarter 2021 through Second Calendar Quarter

2023 as reported by Form PF flers.2 Please see the Appendix for information on the categories of

Form PF flers, the defnitions of capitalized terms, a description of the boxplots used in several

fgures, as well as other technical descriptions.

The Staf continues to work with data reported on Form PF and with flers to identify

and correct fling errors. Staf updates reported statistics based on amended flings and

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

be clear fling errors. Further, the Staf has employed certain assumptions in aggregating

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

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

If you have any questions or comments about Second Calendar Quarter

2023 Private Funds Statistics, please contact:

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

line “Second Calendar Quarter 2023-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 fle Form PF,

but report general information about the private funds they manage on Form ADV. 2The Commission began receiving Form PF flings from Large Hedge Fund Advisers in July 2012. A full data set was

not received until March 2013.

1
Contents

I Number of Funds and Advisers 4

II Gross and Net Assets 5

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

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

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

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

III Fund Domiciles and Adviser Main Ofces 13

IV Benefcial Ownership 15

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

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

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

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

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

V Derivatives 20

VI Additional Hedge Fund Industry Information 21

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

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

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

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

VII Information Reported by Large Hedge Fund Advisers 28

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

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

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

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

VIII Qualifying Hedge Fund Specifc Information 34

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

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

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

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

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

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

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

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

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

2
January 9, 2024 Analytics Ofce

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

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

IX Section 3 Liquidity Fund Specifc Information 52

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

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

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

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

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

X Section 4 Private Equity Fund Specifc Information 57

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

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

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

XI Appendices 61

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

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

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

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

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

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

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

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

D Mitigating the Efects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64

E Defnitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65

3
I

January 9, 2024 Analytics Ofce

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 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Private Equity Fund 15,866 19,082 18,961 19,001 19,054 20,878 20,920 20,933

Hedge Fund 9,497 9,458 9,645 9,749 9,783 9,791 9,850 9,854

Section 4 Private Equity Fund 5,309 6,548 6,646 6,644 6,644 7,471 7,381 7,464

Other Private Fund 5,352 6,046 6,286 6,275 6,277 6,744 6,887 6,844

Real Estate Fund 3,289 3,783 3,778 3,781 3,781 4,269 4,270 4,272

Venture Capital Fund 1,419 2,211 2,228 2,286 2,287 2,988 2,991 3,000

Securitized Asset Fund 1,910 2,243 2,251 2,257 2,257 2,458 2,467 2,471

Qualifying Hedge Fund 2,016 2,074 2,094 2,061 2,040 2,072 2,044 2,088

Liquidity Fund 77 79 79 79 78 71 70 69

Section 3 Liquidity Fund 57 56 54 52 51 50 50 50

Total 37,410 42,902 43,228 43,428 43,517 47,199 47,455 47,443

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 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Private Equity Fund 1,458 1,638 1,636 1,640 1,642 1,753 1,756 1,756

Hedge Fund 1,762 1,861 1,860 1,863 1,861 1,859 1,860 1,859

Section 4 Private Equity Fund 369 434 435 435 436 452 450 452

Other Private Fund 682 738 738 734 732 759 763 765

Real Estate Fund 388 427 428 430 430 459 459 460

Venture Capital Fund 176 234 236 238 239 283 285 286

Securitized Asset Fund 165 176 175 175 173 177 175 174

Qualifying Hedge Fund 596 620 609 601 585 592 576 590

Liquidity Fund 37 39 39 39 39 34 33 33

Section 3 Liquidity Fund 24 24 23 22 21 21 21 21

Total 3,389 3,676 3,676 3,680 3,675 3,794 3,799 3,798

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

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

terms used in this report.

4
January 9, 2024 Analytics Ofce

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 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Hedge Fund 9,784 9,763 9,777 9,435 9,275 9,362 9,505 9,904

Qualifying Hedge Fund 8,309 8,333 8,267 7,922 7,694 7,827 8,000 8,438

Private Equity Fund 4,826 6,409 6,384 6,397 6,402 6,705 6,641 6,652

Section 4 Private Equity Fund 3,674 4,962 4,949 4,949 4,949 5,272 5,215 5,228

Other Private Fund 1,438 1,748 1,766 1,740 1,716 1,643 1,602 1,574

Real Estate Fund 812 972 967 969 975 1,138 1,137 1,136

Securitized Asset Fund 729 869 869 868 869 921 924 922

Venture Capital Fund 222 330 333 334 334 375 374 374

Liquidity Fund 310 318 318 335 335 321 320 332

Section 3 Liquidity Fund 308 316 314 331 331 319 319 330

Total 18,120 20,407 20,414 20,076 19,904 20,466 20,502 20,893

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 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Hedge Fund 5,115 5,134 5,153 4,918 4,856 4,823 4,864 4,918

Qualifying Hedge Fund 4,166 4,191 4,149 3,879 3,772 3,795 3,881 3,939

Private Equity Fund 4,271 5,746 5,729 5,738 5,742 6,022 5,965 5,976

Section 4 Private Equity Fund 3,283 4,489 4,483 4,483 4,483 4,772 4,720 4,730

Other Private Fund 1,274 1,559 1,582 1,557 1,534 1,413 1,370 1,343

Real Estate Fund 615 745 744 745 750 858 858 858

Securitized Asset Fund 220 264 265 264 264 264 265 265

Venture Capital Fund 215 310 313 314 314 342 341 341

Liquidity Fund 302 313 313 327 331 318 313 319

Section 3 Liquidity Fund 300 311 309 324 327 316 311 317

Total 12,011 14,071 14,098 13,865 13,792 14,041 13,975 14,020

5
January 9, 2024 Analytics Ofce

Figure 1: GAV and NAV Distributions

See Appendix C for an explanation of boxplots.

As reported on Form PF, Questions 8 and 9.

2021Q32021Q42022Q12022Q22022Q32022Q42023Q12023Q2

0

2

4

6

8

GAV ($Billions)

2021Q32021Q42022Q12022Q22022Q32022Q42023Q12023Q2

0

2

4

6

8

NAV ($Billions)

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

2021Q32021Q42022Q12022Q22022Q32022Q42023Q12023Q2

0

500

1000

1500

GAV ($Millions)

2021Q32021Q42022Q12022Q22022Q32022Q42023Q12023Q2

0

500

1000

1500

NAV ($Millions)

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

6
January 9, 2024 Analytics Ofce

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.

2021Q32021Q42022Q12022Q22022Q32022Q42023Q12023Q2

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Ratio of GAV to NAV

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

2021Q32021Q42022Q12022Q22022Q32022Q42023Q12023Q2

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

7
January 9, 2024 Analytics Ofce

B Borrowings

Table 5: Aggregate Borrowings (Percent of Aggregate GAV)

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

Fund Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Securitized Asset Fund 49.8 52.4 49.7 49.3 49.4 56.5 53.7 53.7

Qualifying Hedge Fund 44.6 45.6 43.2 43.3 43.4 44.4 46.9 48.0

Hedge Fund 41.3 42.1 39.8 39.7 39.9 40.7 43.2 44.1

Real Estate Fund 14.0 13.2 12.3 12.2 12.5 14.0 13.2 13.2

Other Private Fund 3.9 3.5 3.6 3.5 3.7 5.6 5.8 5.9

Section 4 Private Equity Fund 4.9 5.4 5.5 5.4 5.4 5.7 5.8 5.8

Private Equity Fund 4.7 5.5 5.5 5.5 5.5 5.7 5.6 5.6

Venture Capital Fund 0.5 0.7 0.7 0.7 0.7 0.6 0.6 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).

2021Q32021Q42022Q12022Q22022Q32022Q42023Q12023Q2

0

200

400

600

Total Borrowings ($Millions)

2021Q32021Q42022Q12022Q22022Q32022Q42023Q12023Q2

0

1

2

3

4

Total Borrowings ($Billions)

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

8
January 9, 2024 Analytics Ofce

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).

2021Q32021Q42022Q12022Q22022Q32022Q42023Q12023Q2

0

1

2

3

4

Ratio of Borrowings to NAV

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

2021Q32021Q42022Q12022Q22022Q32022Q42023Q12023Q2

0

1

2

3

4

Ratio of Borrowings to NAV

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

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

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

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

Creditor Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

US Financial 67.0 67.1 66.5 66.7 67.7 66.8 66.8 66.8

Non-US Financial 30.6 29.3 30.4 30.2 28.8 29.0 30.1 30.3

US Non-Financial 2.3 2.8 3.1 3.0 3.3 3.3 3.2 3.0

Non-US Non-Financial 0.9 1.0 0.9 0.9 1.0 0.9 0.8 0.7

9
January 9, 2024 Analytics Ofce

C Fair Value Hierarchy

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

As reported on Form PF, Question 14.

Level One

Level Two

Level Three

Cost-Based

2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

4,383 4,688 4,657 4,609 4,581 4,155 4,090 4,067

3,650 3,842 3,827 3,834 3,798 3,590 3,555 3,508

5,274 6,803 6,832 6,843 6,804 7,560 7,468 7,472

2,323 2,852 2,877 2,859 2,867 3,059 3,039 3,036

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

As reported on Form PF, Question 14.

Level One

Level Two

Level Three

Cost-Based

2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

1,341 1,702 1,702 1,695 1,701 1,583 1,589 1,590

1,197 1,362 1,349 1,369 1,327 1,488 1,466 1,433

338 377 377 340 342 377 377 391

2,071 2,273 2,270 2,270 2,277 2,559 2,554 2,555

10
January 9, 2024 Analytics Ofce

D Parallel Managed Accounts4

Table 9: Number of Funds with Parallel Managed Accounts

As reported on Form PF, Question 11.

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

because the rows are not mutually exclusive.

Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Hedge Fund 560 571 580 578 576 566 562 559

Other Private Fund 485 504 503 502 498 478 481 458

Private Equity Fund 312 303 303 315 314 331 407 413

Qualifying Hedge Fund 208 210 211 202 208 214 207 203

Section 4 Private Equity Fund 115 137 137 137 137 146 146 152

Real Estate Fund 73 89 89 89 89 67 68 68

Venture Capital Fund 17 30 30 30 30 39 39 39

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

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

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

Total 1,460 1,509 1,517 1,526 1,519 1,491 1,567 1,547

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

As reported on Form PF, Question 11.

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

because the rows are not mutually exclusive.

Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Hedge Fund 840 881 840 765 729 725 695 693

Other Private Fund 2,641 2,674 2,671 3,451 3,416 2,369 2,367 1,535

Private Equity Fund 98 119 120 152 152 114 126 119

Qualifying Hedge Fund 551 566 538 483 438 435 385 405

Section 4 Private Equity Fund 68 102 102 110 110 114 114 108

Real Estate Fund 7 16 16 16 16 14 15 15

Venture Capital Fund 1 2 2 2 2 2 2 2

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

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

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

Total 3,992 4,111 4,025 4,781 4,705 3,606 3,592 2,743

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 flers.

11

4
January 9, 2024 Analytics Ofce

Figure 5: Parallel Managed Account Value Distributions

See Appendix C for an explanation of boxplots.

As reported on Form PF, Question 11.

2021Q32021Q42022Q12022Q22022Q32022Q42023Q12023Q2

0

1

2

3

4

5

Parallel Managed Assets ($Billions)

2021Q32021Q42022Q12022Q22022Q32022Q42023Q12023Q2

0

2

4

6

Parallel Managed Assets ($Billions)

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

12
January 9, 2024 Analytics Ofce

III Fund Domiciles and Adviser Main Ofces

Table 11: Fund Domicile (Percent of NAV)

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

Country 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

United States 49.5 51.8 52.2 52.5 52.9 52.7 52.5 52.4

Cayman Islands 34.9 32.8 32.7 32.4 32.7 32.2 32.6 32.7

Luxembourg 3.7 4.1 4.1 4.1 4.1 5.0 5.0 4.9

Ireland 4.0 3.9 3.9 3.9 3.9 3.6 3.6 3.6

Bermuda 1.0 0.9 1.0 1.0 1.0 1.0 1.0 1.0

United Kingdom 0.9 1.0 0.9 0.9 0.9 0.9 0.9 0.9

Virgin Islands, British 1.0 0.9 0.9 0.9 0.9 0.8 0.8 0.8

Other 5.0 4.6 4.2 4.2 3.6 3.7 3.6 3.6

All Private Funds

Qualifying Hedge Funds

Country 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Cayman Islands 51.8 51.8 51.1 52.4 53.2 52.6 53.0 53.3

United States 33.9 34.2 34.9 35.7 34.9 35.5 35.5 35.3

Luxembourg 2.5 2.4 2.4 2.4 2.3 2.7 2.9 3.0

Ireland 3.2 3.2 3.1 3.0 2.8 3.0 2.7 2.7

Virgin Islands, British 2.7 2.6 2.8 3.1 3.1 2.8 2.6 2.5

Bermuda 1.5 1.5 1.7 1.7 1.9 1.9 1.7 1.6

Other 4.4 4.2 4.1 1.8 1.7 1.4 1.6 1.6

Section 3 Liquidity Funds

Country 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

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

United States 26.6 27.6 28.5 27.3 25.5 23.4 23.9 23.5

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

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

Country 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

United States 55.2 56.1 56.9 56.9 56.9 56.2 56.4 56.4

Cayman Islands 28.9 29.3 29.6 29.6 29.6 28.0 28.1 28.1

Canada 2.2 2.0 1.9 1.9 1.9 2.0 2.1 2.1

United Kingdom 1.5 1.4 1.4 1.4 1.4 1.4 1.4 1.4

Bermuda 1.1 1.2 1.2 1.2 1.2 1.0 1.0 1.0

Other 11.1 9.9 9.0 9.0 9.0 11.3 11.0 11.0

Section 4 Private Equity Funds

13
January 9, 2024 Analytics Ofce

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

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

Country 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

United States 89.6 91.2 90.9 91.8 91.9 92.3 91.9 91.8

United Kingdom 4.6 3.9 4.0 3.9 3.9 3.7 4.0 4.1

Other 5.8 4.9 5.1 4.3 4.2 4.0 4.1 4.1

All Private Funds

Country 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

United States 88.0 88.1 88.5 90.7 91.1 90.5 90.7 91.6

United Kingdom 4.1 4.1 3.9 3.7 3.5 4.1 3.9 4.0

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

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

Other 4.1 4.1 4.1 2.2 2.2 3.0 3.1 2.1

Qualifying Hedge Funds

Section 3 Liquidity Funds

Country

United States

United Kingdom

2021Q3

***

***

2021Q4

***

***

Section

2022Q1

***

***

4 Priva

2022Q2

***

***

2022Q3

***

***

te Equity Funds

2022Q4

***

***

2023Q1

***

***

2023Q2

***

***

Country 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

United States 94.3 95.6 95.6 95.6 95.6 95.5 95.4 95.5

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

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

14
January 9, 2024 Analytics Ofce

IV Benefcial Ownership

A All Private Funds

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

As reported on Form PF, Questions 9 and 16.

Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Private Funds 2,132 2,597 2,635 2,594 2,589 2,597 2,595 2,611

Other 1,929 2,445 2,444 2,408 2,415 2,541 2,557 2,555

State/Muni. Govt. Pension Plans 1,587 1,858 1,882 1,871 1,862 1,912 1,905 1,914

U.S. Individuals 1,208 1,422 1,417 1,372 1,366 1,324 1,335 1,348

Pension Plans 1,263 1,372 1,378 1,342 1,273 1,307 1,305 1,293

Non-Profts 1,215 1,316 1,298 1,246 1,256 1,245 1,254 1,268

Sov. Wealth Funds And For. Ofcial Inst. 856 1,007 1,000 1,004 1,010 1,082 1,068 1,080

Insurance Companies 594 697 705 702 703 745 754 761

Non-U.S. Individuals 384 416 402 396 393 376 315 318

Unknown Non-U.S. Investors 266 317 306 312 306 286 252 254

State/Muni. Govt. Entities 203 232 226 222 223 240 247 249

Banking/Thrift Inst. 189 188 195 194 197 193 190 179

Sec-Registered Investment Companies 138 155 161 151 148 149 150 145

Broker-Dealers 44 42 45 44 42 38 40 38

Table 14: Benefcial Ownership for All Private Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Private Funds 17.7 18.5 18.7 18.7 18.8 18.5 18.6 18.6

Other 16.1 17.4 17.3 17.4 17.5 18.1 18.3 18.2

State/Muni. Govt. Pension Plans 13.2 13.2 13.4 13.5 13.5 13.6 13.6 13.6

U.S. Individuals 10.1 10.1 10.1 9.9 9.9 9.4 9.6 9.6

Pension Plans 10.5 9.8 9.8 9.7 9.2 9.3 9.3 9.2

Non-Profts 10.1 9.4 9.2 9.0 9.1 8.9 9.0 9.0

Sov. Wealth Funds And For. Ofcial Inst. 7.1 7.2 7.1 7.2 7.3 7.7 7.6 7.7

Insurance Companies 4.9 5.0 5.0 5.1 5.1 5.3 5.4 5.4

Non-U.S. Individuals 3.2 3.0 2.8 2.9 2.8 2.7 2.3 2.3

Unknown Non-U.S. Investors 2.2 2.3 2.2 2.3 2.2 2.0 1.8 1.8

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

Banking/Thrift Inst. 1.6 1.3 1.4 1.4 1.4 1.4 1.4 1.3

Sec-Registered Investment Companies 1.2 1.1 1.1 1.1 1.1 1.1 1.1 1.0

Broker-Dealers 0.4 0.3 0.3 0.3 0.3 0.3 0.3 0.3

15
January 9, 2024 Analytics Ofce

B Qualifying Hedge Funds

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

As reported on Form PF, Questions 9 and 16.

Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Private Funds 724 723 732 703 698 694 711 734

Other 598 607 604 572 564 562 590 595

Non-Profts 602 602 581 546 559 528 537 549

State/Muni. Govt. Pension Plans 447 458 462 453 432 446 455 467

U.S. Individuals 492 493 473 433 423 424 424 439

Pension Plans 478 479 478 452 384 409 418 412

Sov. Wealth Funds And For. Ofcial Inst. 256 264 266 268 266 289 283 292

Insurance Companies 140 144 147 151 149 148 164 161

Non-U.S. Individuals 186 182 171 108 102 102 104 103

State/Muni. Govt. Entities 59 62 61 58 59 59 62 63

Unknown Non-U.S. Investors 89 86 82 47 43 47 45 45

Banking/Thrift Inst. 42 41 41 39 42 38 39 36

Sec-Registered Investment Companies 42 38 39 39 38 38 37 32

Broker-Dealers 8 9 9 9 8 9 9 9

Table 16: Benefcial Ownership for Qualifying Hedge Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Private Funds 17.4 17.2 17.6 18.1 18.5 18.3 18.3 18.6

Other 14.4 14.5 14.6 14.7 15.0 14.8 15.2 15.1

Non-Profts 14.4 14.4 14.0 14.1 14.8 13.9 13.8 13.9

State/Muni. Govt. Pension Plans 10.7 10.9 11.1 11.7 11.4 11.7 11.7 11.9

U.S. Individuals 11.8 11.8 11.4 11.2 11.2 11.2 10.9 11.1

Pension Plans 11.5 11.4 11.5 11.6 10.2 10.8 10.8 10.5

Sov. Wealth Funds And For. Ofcial Inst. 6.1 6.3 6.4 6.9 7.1 7.6 7.3 7.4

Insurance Companies 3.4 3.4 3.5 3.9 4.0 3.9 4.2 4.1

Non-U.S. Individuals 4.5 4.3 4.1 2.8 2.7 2.7 2.7 2.6

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

Unknown Non-U.S. Investors 2.1 2.1 2.0 1.2 1.1 1.3 1.2 1.2

Banking/Thrift Inst. 1.0 1.0 1.0 1.0 1.1 1.0 1.0 0.9

Sec-Registered Investment Companies 1.0 0.9 0.9 1.0 1.0 1.0 0.9 0.8

Broker-Dealers 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2

16
January 9, 2024 Analytics Ofce

C Section 3 Liquidity Funds

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

As reported on Form PF, Questions 9 and 16.

Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Other 101 96 103 100 106 108 106 114

Unknown Non-U.S. Investors 50 60 51 64 68 65 63 64

Private Funds 50 57 58 65 64 56 50 49

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

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

Sec-Registered Investment Companies 27 23 24 16 15 14 17 16

Insurance Companies 9 9 8 9 8 10 12 11

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

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

Pension Plans 7 7 5 5 *** *** *** 5

Non-Profts 3 4 3 3 3 2 3 3

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

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

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

Table 18: Benefcial Ownership for Section 3 Liquidity Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Other 33.8 31.0 33.4 30.8 32.4 34.1 34.1 35.8

Unknown Non-U.S. Investors 16.7 19.2 16.6 19.9 20.7 20.6 20.2 20.1

Private Funds 16.5 18.5 18.6 19.9 19.6 17.8 15.9 15.5

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

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

Sec-Registered Investment Companies 8.9 7.5 7.8 4.9 4.6 4.3 5.4 5.0

Insurance Companies 3.2 2.8 2.6 2.8 2.5 3.0 3.9 3.6

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

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

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

Non-Profts 1.1 1.2 1.0 0.9 0.8 0.8 0.9 0.8

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

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

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

17
January 9, 2024 Analytics Ofce

D Section 4 Private Equity Funds

Table 19: Benefcial Ownership for Section 4 Private Equity Funds ($ Billions)

As reported on Form PF, Questions 9 and 16.

Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Private Funds 662 957 974 973 973 1,031 1,018 1,020

Other 544 819 802 802 802 887 875 876

State/Muni. Govt. Pension Plans 655 836 850 851 851 887 874 876

Sov. Wealth Funds And For. Ofcial Inst. 388 501 477 477 477 525 515 515

Pension Plans 247 324 325 326 326 361 361 362

Insurance Companies 190 252 255 256 256 283 282 284

Non-Profts 180 237 238 238 238 259 259 259

U.S. Individuals 187 265 265 265 265 245 246 246

State/Muni. Govt. Entities 63 82 82 82 82 94 94 95

Non-U.S. Individuals 71 83 77 77 77 68 67 67

Sec-Registered Investment Companies 27 49 50 50 50 49 48 48

Banking/Thrift Inst. 38 45 49 49 49 47 44 45

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

Broker-Dealers 3 3 3 3 3 3 3 3

Table 20: Benefcial Ownership for Section 4 Private Equity Funds

(Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 16.

Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Private Funds 20.2 21.3 21.7 21.7 21.7 21.6 21.6 21.6

Other 16.6 18.2 17.9 17.9 17.9 18.6 18.5 18.5

State/Muni. Govt. Pension Plans 20.0 18.6 19.0 19.0 19.0 18.6 18.5 18.5

Sov. Wealth Funds And For. Ofcial Inst. 11.8 11.2 10.6 10.6 10.6 11.0 10.9 10.9

Pension Plans 7.5 7.2 7.3 7.3 7.3 7.6 7.6 7.7

Insurance Companies 5.8 5.6 5.7 5.7 5.7 5.9 6.0 6.0

Non-Profts 5.5 5.3 5.3 5.3 5.3 5.4 5.5 5.5

U.S. Individuals 5.7 5.9 5.9 5.9 5.9 5.1 5.2 5.2

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

Non-U.S. Individuals 2.2 1.9 1.7 1.7 1.7 1.4 1.4 1.4

Sec-Registered Investment Companies 0.8 1.1 1.1 1.1 1.1 1.0 1.0 1.0

Banking/Thrift Inst. 1.2 1.0 1.1 1.1 1.1 1.0 0.9 1.0

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

Broker-Dealers 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1

18
January 9, 2024 Analytics Ofce

E Concentration

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

As reported on Form PF, Questions 9 and 15.

Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Other Private Fund 60.2 57.0 57.5 57.1 57.5 59.0 58.4 58.3

Real Estate Fund 56.1 59.0 59.0 59.0 58.7 56.9 57.0 57.0

Hedge Fund 54.0 53.9 54.6 55.0 54.7 55.5 56.3 56.2

Qualifying Hedge Fund 49.9 49.9 50.9 51.9 51.6 52.1 51.9 51.8

Venture Capital Fund 53.9 52.6 52.5 52.4 52.4 49.9 49.9 49.9

Private Equity Fund 51.1 49.5 49.1 49.2 49.1 49.8 49.4 49.5

Section 4 Private Equity Fund 46.2 44.9 44.7 44.7 44.7 46.5 45.9 46.0

Liquidity Fund 46.3 46.1 48.1 46.7 46.5 45.1 44.3 43.1

Section 3 Liquidity Fund 46.0 45.8 47.7 46.4 46.1 44.8 44.1 42.9

Securitized Asset Fund 35.0 37.3 37.5 37.6 37.8 41.6 42.3 41.8

Total 53.2 52.2 52.4 52.4 52.3 52.9 52.9 52.9

19
January 9, 2024 Analytics Ofce

V Derivatives

Table 22: Aggregate Derivative Value ($ Billions)

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

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

because the rows are not mutually exclusive.

Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Hedge Fund 15,878 15,521 15,633 14,545 14,016 14,759 15,271 14,986

Qualifying Hedge Fund 14,471 14,163 14,282 13,289 12,454 12,890 13,005 13,594

Private Equity Fund 66 70 69 69 71 158 159 159

Other Private Fund 133 118 110 110 112 105 103 104

Real Estate Fund 18 41 41 41 41 72 76 78

Section 4 Private Equity Fund 34 52 54 54 54 73 72 72

Securitized Asset Fund 3 5 5 5 5 *** 6 4

Venture Capital Fund *** *** *** *** *** 0 0 0

Liquidity Fund *** *** *** *** *** *** 0 0

Section 3 Liquidity Fund *** *** *** 0 0 0 0 0

Total 16,084 15,783 15,817 14,777 14,257 15,139 15,618 15,344

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

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

Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Hedge Fund 310.4 302.3 303.4 295.7 288.6 306.0 314.0 304.7

Qualifying Hedge Fund 347.4 337.9 344.2 342.6 330.2 339.7 335.1 345.1

Private Equity Fund 1.6 1.2 1.2 1.2 1.2 2.6 2.7 2.7

Other Private Fund 10.4 7.6 7.0 7.1 7.3 7.4 7.5 7.8

Real Estate Fund 2.9 5.6 5.6 5.6 5.5 8.4 8.9 9.0

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

Securitized Asset Fund 1.2 1.8 1.8 1.8 1.8 *** 2.1 1.4

Venture Capital Fund *** *** *** *** *** 0.1 0.1 0.1

Liquidity Fund *** *** *** *** *** *** 0.0 0.0

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

Total 133.9 112.2 112.2 106.6 103.4 107.8 111.8 109.4

20
January 9, 2024 Analytics Ofce

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).

2021Q32021Q42022Q12022Q22022Q32022Q42023Q12023Q2

0.00

0.25

0.50

0.75

1.00

1.25

Total Derivative Value ($Billions)

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

2021Q32021Q42022Q12022Q22022Q32022Q42023Q12023Q2

0

2

4

6

8

10

Total Derivative Value ($Billions)

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

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

VI Additional Hedge Fund Industry Information

A High Frequency Trading

Table 24: Number of Hedge Funds Using

High Frequency Trading (HFT) Strategies

As reported on Form PF, Question 21.

Fraction of NAV 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

0% 8,214 8,389 8,527 8,615 8,674 8,695 8,776 8,862

Less than 100% 49 49 52 53 50 56 56 54

100% or More 6 8 8 8 8 5 5 5

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

As reported on Form PF, Questions 9 and 21.

Fraction of NAV 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

0% 4,962 4,999 5,000 4,761 4,689 4,671 4,694 4,756

Less than 100% 117 115 128 127 135 128 138 133

100% or More 5 6 7 8 8 9 9 9

21
January 9, 2024 Analytics Ofce

B Industry Concentration

Table 26: Percent of Aggregate Hedge Fund Net Asset Value

Reported by Top Hedge Funds Sorted by Net Asset Value

As reported on Form PF, Questions 9 and 10.

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

7.3 7.3 7.6 7.8 8.1 7.8 7.9 7.8

13.3 13.3 13.5 13.5 13.7 13.3 13.4 13.2

19.4 19.3 19.5 19.4 19.6 19.1 19.3 19.4

27.8 27.6 27.6 27.3 27.5 27.0 27.3 27.3

42.7 42.2 41.9 41.5 41.6 41.2 41.6 41.5

56.2 55.7 55.5 54.9 54.9 54.6 54.8 54.7

Table 27: Percent of Aggregate Hedge Fund Gross Asset Value

Reported by Top Hedge Funds Sorted by Gross Asset Value

As reported on Form PF, Questions 8 and 10.

Top 10 16.2 16.2 15.8 16.7 16.9 17.7 17.7 18.9

Top 25 25.2 25.3 25.6 26.1 25.7 26.3 26.7 28.0

Top 50 33.5 33.4 33.6 34.1 33.8 34.5 34.8 36.2

Top 100 42.3 41.9 42.0 42.4 42.4 43.0 43.3 44.6

Top 250 55.4 54.9 54.5 54.6 54.7 55.1 55.5 56.5

Top 500 66.8 66.3 66.1 66.0 65.9 66.3 66.6 67.3

Table 28: Percent of Aggregate Hedge Fund Borrowings

Reported by Top Hedge Funds Sorted by Borrowings

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

2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2021Q3

32.2

48.0

60.5

71.1

83.2

90.9

2021Q4

34.7

49.3

61.4

72.1

83.3

90.9

2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

34.2 34.7 34.2 36.7 36.0 37.4

48.7 50.2 50.3 51.4 51.5 52.5

61.1 61.9 62.1 63.4 64.1 64.7

71.5 72.0 72.4 73.6 74.5 74.7

83.4 83.1 83.4 84.1 84.9 85.3

90.8 90.5 90.6 90.9 91.5 91.9

22
January 9, 2024 Analytics Ofce

Table 29: Percent of Aggregate Hedge Fund Derivative Value

Reported by Top Hedge Funds Sorted by Derivative Value

As reported on Form PF, Questions 13 and 44 (Month 3).

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

40.7 41.0 38.9 39.0 40.3 37.4 40.3 41.5

56.8 55.4 55.3 54.9 55.0 54.6 56.0 55.1

69.2 67.6 67.6 66.7 67.3 68.2 68.3 67.4

79.6 78.5 79.0 78.3 79.0 80.0 80.3 79.3

90.5 89.8 90.2 89.8 90.0 90.5 90.8 90.5

95.5 95.2 95.4 95.1 95.2 95.4 95.6 95.4

Table 30: Percent of Aggregate Hedge Fund Gross Notional Exposure

Reported by Top Hedge Funds Sorted by Gross Notional Exposure

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

Top 10

Top 25

Top 50

Top 100

Top 250

Top 500

2021Q3

35.0

49.6

60.7

70.9

83.4

91.1

2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

35.4 34.7 34.6 34.8 34.0 36.2 37.5

48.5 48.7 49.1 49.2 49.5 50.8 50.5

59.7 60.0 60.5 60.3 61.0 61.9 61.4

70.2 70.8 70.8 71.2 72.3 73.3 72.7

82.7 82.9 82.8 83.0 83.8 84.3 84.1

90.7 90.8 90.5 90.6 91.0 91.4 91.2

23
January 9, 2024 Analytics Ofce

C Single-Strategy US-Domiciled Hedge Funds

Table 31: Exposures of Single-Strategy US-Domiciled Hedge Funds ($ Billions)

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

Category Strategy 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Equity

Subtotal 654 680 637 589 555 552 549 584

Long/Short 307 326 311 280 273 272 262 293

Long Bias 319 324 298 273 251 251 259 263

Market Neutral 27 *** 26 *** 29 28 27 27

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

Other Subtotal 595 625 649 648 656 655 666 673

Credit

Subtotal 134 141 144 144 150 163 179 170

Asset Based Lending 62 70 73 72 77 86 87 94

Long/Short 72 71 72 72 73 77 93 77

Event Driven

Subtotal 66 74 76 75 76 83 80 82

Distressed/Restruct. 47 43 46 47 48 50 49 51

Equity 13 20 19 18 19 26 26 27

Risk Arb./Merger Arb. 6 11 10 10 9 7 5 4

Relative Value

Subtotal 49 55 55 56 55 59 63 64

F.I. Asset Backed 30 31 32 32 32 37 38 37

F.I. Corp. 9 11 11 11 11 11 11 12

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

Volatility Arb. 1 2 2 3 3 3 5 7

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

Investment in other funds Subtotal 32 33 34 33 32 32 40 40

Macro

Subtotal 13 13 15 15 16 14 13 14

Global Macro 10 9 10 10 11 9 8 9

Commodity 3 3 4 4 4 4 4 4

Active Trading *** *** *** *** *** *** *** 1

Currency *** *** *** *** *** *** *** 0

Managed Futures/CTA

Subtotal 6 6 7 6 6 6 6 6

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

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

Total Total 1,383 1,437 1,433 1,386 1,368 1,385 1,419 1,443

24
January 9, 2024 Analytics Ofce

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

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

Category Strategy 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Equity

Subtotal 1,035 1,128 1,150 1,153 1,156 1,136 1,141 1,142

Long/Short 458 471 480 475 474 494 497 511

Long Bias 527 605 616 624 627 588 591 583

Market Neutral 45 *** 51 *** 51 47 47 46

Short Bias 11 *** 8 *** 9 13 12 12

Other Subtotal 1,017 1,034 1,070 1,093 1,114 1,169 1,197 1,223

Credit

Subtotal 373 383 394 404 422 429 441 455

Asset Based Lending 198 197 200 197 207 212 212 220

Long/Short 178 189 197 210 218 220 232 238

Event Driven

Subtotal 236 243 259 270 276 298 297 305

Distressed/Restruct. 166 164 179 189 195 212 211 218

Equity 52 59 60 60 61 68 68 69

Risk Arb./Merger Arb. 21 21 21 21 21 19 19 19

Relative Value

Subtotal 174 186 189 198 201 212 219 221

F.I. Asset Backed 96 94 93 99 100 107 119 123

F.I. Corp. 48 55 54 59 58 58 59 57

F.I. Conv. Arb. 18 20 22 23 26 26 24 24

Volatility Arb. 11 19 19 20 20 18 18 18

F.I. Sov. 15 18 14 19 19 18 18 18

Investment in other funds Subtotal 238 241 260 261 257 306 331 334

Macro

Subtotal 43 45 48 48 45 44 44 46

Global Macro 22 18 19 19 19 18 18 21

Commodity 13 15 17 17 16 15 15 15

Active Trading *** *** *** *** *** *** *** 10

Currency *** *** *** *** *** *** *** 0

Managed Futures/CTA

Subtotal 24 24 24 23 22 23 23 24

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

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

Total Total 2,931 3,079 3,175 3,216 3,265 3,348 3,421 3,474

25
January 9, 2024 Analytics Ofce

D Single-Strategy Non-US-Domiciled Hedge Funds

Table 33: Exposures of Single-Strategy Non-US-Domiciled Hedge Funds ($ Billions)

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

Category Strategy 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Equity

Subtotal 1,275 1,269 1,141 1,010 954 977 969 996

Long/Short 825 812 726 641 609 629 638 667

Long Bias 360 356 321 280 259 261 229 225

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

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

Other Subtotal 761 767 776 736 715 760 756 762

Relative Value

Subtotal 445 456 434 442 409 369 377 352

F.I. Sov. 299 315 284 309 283 248 256 229

F.I. Asset Backed 79 77 75 75 74 71 68 68

Volatility Arb. 22 22 24 27 23 20 20 23

F.I. Corp. 28 27 28 18 17 17 19 18

F.I. Conv. Arb. 17 16 22 13 12 12 14 14

Macro

Subtotal 385 267 286 306 329 329 326 337

Global Macro 373 255 275 295 314 316 316 328

Commodity 8 8 8 8 6 7 7 7

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

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

Credit

Subtotal 325 287 297 290 309 314 321 333

Long/Short 229 210 217 207 219 221 227 232

Asset Based Lending 96 77 81 83 89 93 94 101

Managed Futures/CTA

Subtotal 233 209 231 206 240 190 226 285

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

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

Event Driven

Subtotal 178 185 185 180 173 166 420 182

Distressed/Restruct. 112 117 120 120 119 117 371 132

Equity 33 35 34 30 25 28 28 27

Risk Arb./Merger Arb. 33 33 30 30 29 21 21 22

Investment in other funds Subtotal 35 33 33 30 30 27 31 37

Total Total 2,468 2,436 2,394 2,222 2,148 2,156 2,148 2,172

26
January 9, 2024 Analytics Ofce

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

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

Category Strategy 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Equity

Subtotal 1,072 1,092 1,096 1,095 1,092 1,074 1,028 1,015

Long/Short 607 629 630 630 628 602 599 592

Long Bias 379 391 394 388 385 386 343 340

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

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

Other Subtotal 857 853 875 892 881 919 932 935

Relative Value

Subtotal 304 304 302 301 305 294 300 303

F.I. Sov. 54 60 59 59 61 60 59 59

F.I. Asset Backed 147 149 146 148 150 139 143 147

Volatility Arb. 25 27 26 25 24 29 29 30

F.I. Corp. 98 91 92 88 90 87 91 90

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

Macro

Subtotal 207 210 214 213 216 217 213 212

Global Macro 160 162 168 172 171 165 163 163

Commodity 34 42 40 38 39 45 40 40

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

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

Credit

Subtotal 356 353 368 370 381 376 387 405

Long/Short 249 248 260 260 267 267 277 285

Asset Based Lending 111 108 111 113 117 112 113 123

Managed Futures/CTA

Subtotal 123 108 113 120 121 125 129 126

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

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

Event Driven

Subtotal 321 310 316 318 314 313 313 317

Distressed/Restruct. 223 214 221 223 223 219 223 227

Equity 79 74 70 70 69 75 70 70

Risk Arb./Merger Arb. 47 48 50 49 47 43 44 44

Investment in other funds Subtotal 102 103 101 104 108 107 107 112

Total Total 3,132 3,103 3,158 3,185 3,187 3,207 3,186 3,205

27
January 9, 2024 Analytics Ofce

VII Information Reported by Large Hedge

Fund Advisers

A Economic Leverage

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

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

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

2021-092021-122022-032022-062022-092022-122023-032023-06

0.0

2.5

5.0

7.5

10.0

12.5

15.0

Ratio of GNE to NAV

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

2021-092021-122022-032022-062022-092022-122023-032023-06

0.0

2.5

5.0

7.5

10.0

12.5

15.0

Ratio of GNE (w/o IRDs) to NAV

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

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

28
January 9, 2024 Analytics Ofce

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.

2021-092021-122022-032022-062022-092022-122023-032023-06

0

2

4

6

8

10

Ratio of LNE to NAV

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

2021-092021-122022-032022-062022-092022-122023-032023-06

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

2021-092021-122022-032022-062022-092022-122023-032023-06

0

2

4

6

8

10

Ratio of SNE to NAV

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

2021-092021-122022-032022-062022-092022-122023-032023-06

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

29
January 9, 2024 Analytics Ofce

B Industry Concentration

Table 35: Large Hedge Fund Adviser Asset and Exposure Concentration

(Percent of Total Reported)

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

Month

2021-07

2021-08

2021-09

2021-10

2021-11

2021-12

2022-01

2022-02

2022-03

2022-04

2022-05

2022-06

2022-07

2022-08

2022-09

2022-10

2022-11

2022-12

2023-01

2023-02

2023-03

2023-04

2023-05

2023-06

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

16.3

17.0

17.0

17.1

17.1

17.1

17.5

16.8

16.8

17.1

17.2

17.2

17.5

17.5

17.5

17.4

17.4

17.4

17.5

17.5

17.5

17.7

17.7

17.7

26.6

27.5

27.5

27.4

27.4

27.4

28.1

27.2

27.2

28.0

28.1

28.1

28.3

28.3

28.3

28.2

28.2

28.2

28.5

28.5

28.5

28.7

28.7

28.7

40.6

39.2

38.7

38.3

38.4

38.1

38.9

38.4

38.3

42.8

42.8

39.0

40.1

40.1

39.8

39.2

39.6

38.9

39.7

39.8

40.9

42.0

42.2

41.9

56.7

56.1

55.6

56.2

56.3

54.7

55.4

55.7

55.1

57.7

58.7

55.5

57.3

57.9

57.0

57.0

57.9

55.9

58.5

59.0

58.2

59.1

59.6

59.0

30
January 9, 2024 Analytics Ofce

C Portfolio Turnover

Table 36: Aggregate Portfolio Turnover ($ Billions)

As reported on Form PF, Question 27.

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

2021-07 12,043 5,110 3,159 142 29 20,483

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

2021-09 16,020 5,485 3,438 168 54 25,165

2021-10 19,432 5,666 3,409 183 38 28,729

2021-11 17,055 6,210 3,779 164 53 27,262

2021-12 14,329 4,672 3,843 121 38 23,002

2022-01 16,735 5,340 3,951 188 40 26,254

2022-02 21,395 6,355 3,793 292 35 31,871

2022-03 23,132 6,016 4,527 255 36 33,966

2022-04 16,025 4,574 3,677 223 27 24,526

2022-05 19,479 5,143 4,253 339 30 29,243

2022-06 22,129 4,903 3,893 312 24 31,262

2022-07 19,117 4,389 3,024 318 17 26,865

2022-08 23,968 5,152 3,436 236 29 32,821

2022-09 29,032 4,931 3,534 205 25 37,726

2022-10 20,479 4,372 4,303 185 32 29,372

2022-11 25,693 5,199 4,376 201 29 35,498

2022-12 25,184 4,522 4,028 149 19 33,903

2023-01 19,016 5,313 4,127 231 33 28,719

2023-02 30,530 6,510 4,085 239 50 41,415

2023-03 35,960 7,330 4,937 253 39 48,518

2023-04 18,521 5,689 3,841 164 30 28,244

2023-05 26,490 7,479 4,700 244 43 38,957

2023-06 23,309 7,088 4,717 215 41 35,370

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.

2021-092021-122022-032022-062022-092022-122023-032023-06

0

20

40

60

80

Total Turnover ($Billions)

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

2021-092021-122022-032022-062022-092022-122023-032023-06

0

5

10

15

20

Ratio of Turnover to NAV

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

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

31
January 9, 2024 Analytics Ofce

D Region and Country Exposure

Table 37: Large Hedge Fund Adviser Hedge Fund

Region Exposure ($ Billions)

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

Region 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

North America 5,849 5,944 5,865 5,581 5,426 5,547 5,855 6,179

Europe EEA 1,595 1,482 1,637 1,480 1,433 1,658 1,530 1,455

Asia 800 768 718 713 737 750 732 753

Europe Other 314 306 418 324 336 356 372 393

South America 87 86 93 81 81 86 83 90

Supranational 51 48 42 38 32 27 34 36

Middle East 31 30 27 26 46 26 26 31

Africa 33 27 29 22 21 24 21 23

Region 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

North America 128.5 131.0 132.2 132.0 131.4 133.9 136.7 143.0

Europe EEA 35.1 32.7 36.9 35.0 34.7 40.0 35.7 33.7

Asia 17.6 16.9 16.2 16.9 17.9 18.1 17.1 17.4

Europe Other 6.9 6.7 9.4 7.7 8.1 8.6 8.7 9.1

South America 1.9 1.9 2.1 1.9 2.0 2.1 1.9 2.1

Supranational 1.1 1.1 0.9 0.9 0.8 0.7 0.8 0.8

Middle East 0.7 0.7 0.6 0.6 1.1 0.6 0.6 0.7

Africa 0.7 0.6 0.7 0.5 0.5 0.6 0.5 0.5

Table 38: Large Hedge Fund Adviser Hedge Fund

Region Exposure (Percent of Aggregate NAV)

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

32
January 9, 2024 Analytics Ofce

Table 39: Large Hedge Fund Adviser Hedge Fund

Country Exposure ($ Billions)

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

Country 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

United States 5,479 5,548 5,549 5,287 5,148 5,276 5,556 5,887

Japan 233 217 213 240 266 337 332 354

China (Inc. Hong Kong) 251 239 204 198 174 171 171 138

India 53 51 48 47 49 44 44 50

Brazil 33 33 39 34 34 34 31 40

Russia 16 16 5 5 5 3 3 3

Table 40: Large Hedge Fund Adviser Hedge Fund

Country Exposure (Percent of Aggregate NAV)

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

Country 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

United States 120.4 122.3 125.1 125.0 124.7 127.3 129.8 136.2

Japan 5.1 4.8 4.8 5.7 6.4 8.1 7.8 8.2

China (Inc. Hong Kong) 5.5 5.3 4.6 4.7 4.2 4.1 4.0 3.2

India 1.2 1.1 1.1 1.1 1.2 1.1 1.0 1.2

Brazil 0.7 0.7 0.9 0.8 0.8 0.8 0.7 0.9

Russia 0.3 0.3 0.1 0.1 0.1 0.1 0.1 0.1

33
January 9, 2024 Analytics Ofce

VIII Qualifying Hedge Fund Specifc 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.

2021-092021-122022-032022-062022-092022-122023-032023-06

0.0

2.5

5.0

7.5

10.0

12.5

Ratio of GNE to NAV

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

2021-092021-122022-032022-062022-092022-122023-032023-06

0.0

2.5

5.0

7.5

10.0

12.5

Ratio of GNE (w/o IRDs) to NAV

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

(a) Including IRDs (b) Excluding IRDs

34
January 9, 2024 Analytics Ofce

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.

2021-092021-122022-032022-062022-092022-122023-032023-06

0

2

4

6

Ratio of LNE to NAV

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

2021-092021-122022-032022-062022-092022-122023-032023-06

0

2

4

6

Ratio of LNE (w/o IRDs) to NAV

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

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

2021-092021-122022-032022-062022-092022-122023-032023-06

0

2

4

6

Ratio of SNE to NAV

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

2021-092021-122022-032022-062022-092022-122023-032023-06

0

2

4

6

Ratio of SNE (w/o IRDs) to NAV

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

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

35
January 9, 2024 Analytics Ofce

B Gross Exposure by Strategy5

Table 41: Exposures of Hedge Funds ($ Billions)

As reported on Form PF, Questions 9 and 20.

Category Strategy 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Equity

Subtotal 2,229 2,250 2,029 1,773 1,676 1,757 1,793 1,887

Long/Short 1,201 1,211 1,098 969 930 980 995 1,064

Long Bias 649 643 577 467 414 438 448 453

Market Neutral *** 396 *** *** *** *** *** ***

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

Other Subtotal 1,427 1,456 1,483 1,441 1,427 1,458 1,487 1,512

Relative Value

Subtotal 1,035 1,063 1,043 1,028 969 950 1,035 1,091

F.I. Sov. 691 709 676 684 638 627 706 722

F.I. Asset Backed 100 102 110 113 115 121 103 129

F.I. Conv. Arb. 126 123 112 89 84 82 88 94

Volatility Arb. 57 65 74 79 72 54 76 85

F.I. Corp. 61 63 70 62 60 66 61 61

Macro

Subtotal 893 794 856 874 886 999 897 995

Global Macro 790 704 745 744 748 902 820 924

Commodity 66 54 73 88 92 58 44 40

Currency 34 *** *** 39 44 37 *** ***

Active Trading 4 *** *** 2 2 2 *** ***

Credit

Subtotal 453 479 485 482 507 527 543 538

Long/Short 348 359 359 350 367 378 390 369

Asset Based Lending 105 119 127 132 140 149 154 168

Event Driven

Subtotal 449 458 429 403 394 371 382 397

Distressed/Restruct. 202 205 202 201 201 203 201 210

Equity 141 145 136 112 101 96 106 102

Risk Arb./Merger Arb. 107 108 91 90 93 72 75 85

Managed Futures/CTA

Subtotal 246 222 238 215 258 196 195 287

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

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

Investment in other funds Subtotal 57 65 75 69 68 71 84 86

Total Total 6,789 6,787 6,637 6,284 6,185 6,330 6,416 6,793

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 defne the investment strategies listed by Question 20.

36
January 9, 2024 Analytics Ofce

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

As reported on Form PF, Questions 9 and 20.

Category Strategy 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Equity

Subtotal 53.5 53.7 48.9 45.7 44.4 46.3 46.2 47.9

Long/Short 28.8 28.9 26.5 25.0 24.7 25.8 25.6 27.0

Long Bias 15.6 15.4 13.9 12.0 11.0 11.6 11.6 11.5

Market Neutral *** 9.4 *** *** *** *** *** ***

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

Other Subtotal 34.2 34.8 35.7 37.1 37.8 38.5 38.3 38.4

Relative Value

Subtotal 24.9 25.4 25.1 26.5 25.7 25.1 26.7 27.7

F.I. Sov. 16.6 16.9 16.3 17.6 16.9 16.5 18.2 18.3

F.I. Asset Backed 2.4 2.4 2.7 2.9 3.0 3.2 2.7 3.3

F.I. Conv. Arb. 3.0 2.9 2.7 2.3 2.2 2.2 2.3 2.4

Volatility Arb. 1.4 1.5 1.8 2.0 1.9 1.4 2.0 2.2

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

Macro

Subtotal 21.4 18.9 20.6 22.5 23.5 26.3 23.1 25.3

Global Macro 19.0 16.8 18.0 19.2 19.8 23.8 21.1 23.4

Commodity 1.6 1.3 1.8 2.3 2.4 1.5 1.1 1.0

Currency 0.8 *** *** 1.0 1.2 1.0 *** ***

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

Credit

Subtotal 10.9 11.4 11.7 12.4 13.5 13.9 14.0 13.7

Long/Short 8.4 8.6 8.7 9.0 9.7 10.0 10.0 9.4

Asset Based Lending 2.5 2.9 3.0 3.4 3.7 3.9 4.0 4.3

Event Driven

Subtotal 10.8 10.9 10.3 10.4 10.5 9.8 9.8 10.1

Distressed/Restruct. 4.8 4.9 4.9 5.2 5.3 5.4 5.2 5.3

Equity 3.4 3.5 3.3 2.9 2.7 2.5 2.7 2.6

Risk Arb./Merger Arb. 2.6 2.6 2.2 2.3 2.5 1.9 1.9 2.2

Managed Futures/CTA

Subtotal 5.9 5.3 5.7 5.5 6.8 5.2 5.0 7.3

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

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

Investment in other funds Subtotal 1.4 1.6 1.8 1.8 1.8 1.9 2.2 2.2

Total Total 163.0 162.0 160.0 162.0 164.0 166.9 165.3 172.4

37
January 9, 2024 Analytics Ofce

C Leverage by Strategy

Table 43: Asset Weighted-Average Ratio of GAV to NAV

by Strategy

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

Strategy 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Relative Value 7.0 7.0 6.0 6.5 6.2 5.9 5.8 6.2

Macro 4.8 4.2 4.5 4.3 4.5 4.9 5.0 5.6

Multi-Strategy 3.3 3.4 3.1 3.0 2.9 3.5 3.6 3.9

Credit 1.5 1.6 1.6 1.6 1.7 1.7 1.7 1.8

Equity 1.5 1.5 1.6 1.6 1.6 1.6 1.6 1.7

Managed Futures/CTA 1.5 1.4 1.5 1.9 1.6 1.5 1.6 1.5

Other 1.5 1.5 1.4 1.4 1.5 1.5 1.5 1.4

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

Event Driven 1.4 1.4 1.4 1.4 1.3 1.3 1.3 1.3

Table 44: Asset Weighted-Average Ratio of GNE to NAV

by Strategy

As reported on Form PF, Questions 9, 10, 20, 26, and 30 (Third Month).

Strategy 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Macro 34.6 32.9 33.0 29.2 29.6 34.9 37.3 36.8

Relative Value 26.4 27.1 25.4 24.8 23.8 21.3 23.1 25.5

Managed Futures/CTA 22.9 16.9 15.0 16.5 14.0 14.3 12.1 17.1

Multi-Strategy 16.2 16.0 14.9 13.2 11.0 14.5 14.1 14.8

Investment in other funds 3.3 3.3 2.8 4.1 3.9 3.0 5.8 3.6

Credit 3.0 3.1 3.2 3.1 3.2 3.2 3.4 3.5

Equity 2.9 3.1 2.9 2.9 2.9 2.9 3.0 3.1

Other 3.2 3.1 3.1 2.9 2.9 2.9 2.8 2.7

Event Driven 2.0 1.9 1.9 2.0 1.8 1.8 2.1 2.1

Table 45: Asset Weighted-Average Percent of Unencumbered Cash

by Strategy

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

Strategy 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Macro 42.3 42.8 44.1 44.1 42.2 45.7 43.1 41.3

Managed Futures/CTA 42.7 48.2 51.0 56.0 54.2 49.3 39.9 38.8

Relative Value 21.1 21.8 23.3 23.8 25.0 23.5 25.9 26.6

Multi-Strategy 25.4 26.1 23.9 27.7 27.9 30.5 27.3 25.7

Investment in other funds 1.6 8.2 4.9 6.8 5.5 6.1 7.5 11.3

Equity 8.1 8.5 10.3 12.7 13.6 13.8 12.4 11.1

Other 11.6 11.8 11.3 11.5 12.3 11.5 9.6 9.0

Event Driven 7.7 8.1 10.7 9.6 10.0 9.8 8.1 8.4

Credit 8.8 8.3 6.8 8.3 7.3 8.9 8.5 7.4

38
January 9, 2024 Analytics Ofce

D Investment Exposures

Table 46: Aggregate Qualifying Hedge Fund Gross Notional Exposure

by Asset Type ($ Billions)

As reported on Form PF, Questions 26 and 30.

2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Interest Rate Derivatives 7,640 7,476 7,770 7,165 6,606 7,256 7,238 7,159

Foreign Exchange Derivatives 4,077 3,973 3,819 3,415 3,407 3,068 3,354 3,676

Repurchase Agreements 2,270 2,221 2,197 2,167 2,074 2,136 2,349 2,513

Non-Financial Listed Equities 2,712 2,751 2,488 2,120 2,020 2,092 2,200 2,321

U.S. Treasury Securities 1,735 1,760 1,690 1,523 1,493 1,671 1,814 2,176

Non-Financial Equity Derivatives 1,595 1,578 1,775 1,482 1,459 1,465 1,496 1,587

Sovereign Bonds - Non-U.S. G10 1,472 1,412 1,373 1,377 1,311 1,471 1,386 1,399

Credit Derivatives 783 759 750 809 740 683 739 848

Non-Financial Unlisted Equities 416 465 477 478 478 483 498 509

Cash/Cash Equivalents - Other 534 573 854 527 509 519 469 493

Commodity Derivatives 455 393 424 399 374 360 387 374

Financial Listed Equities 361 376 348 307 285 307 312 338

Leveraged Loans 247 261 274 277 281 295 310 323

Non-Financial Corporate Bonds 272 280 272 248 246 254 265 281

Non-U.S. Currency Holdings 254 216 231 261 220 220 225 257

Cash/Cash Equivalents - Deposits 240 218 216 224 221 240 301 248

Sovereign Bonds - Other 332 308 267 209 181 197 208 221

Other Derivatives 188 207 215 219 210 242 220 218

MBS 212 205 170 189 183 180 179 208

Physical Real Estate 146 166 176 186 171 186 191 203

Other Private Funds 175 183 184 186 184 175 175 177

Cash/Cash Equivalents - MMFs 181 208 199 228 218 215 187 174

Other ABS/Structured Products 60 59 63 55 57 56 56 161

Other Loans (Excluding Repo) 133 141 144 149 151 155 153 160

Non-Financial Convertible Bonds 178 173 154 125 119 118 123 128

Other 98 112 110 118 112 113 114 120

Financial Equity Derivatives 105 105 101 93 84 87 93 107

Financial Corporate Bonds 73 71 76 71 68 79 75 80

U.S. Agency and GSE Securities 52 46 47 56 46 60 41 69

CDO/CLO 38 39 39 36 36 40 41 41

Financial Unlisted Equities 27 29 30 27 26 37 39 35

U.S. State and Local Bonds 21 22 19 17 18 16 16 18

Registered Investment Companies 16 16 17 15 14 15 16 16

Financial Convertible Bonds 9 9 8 7 6 6 8 7

Physical Commodities 7 6 9 9 3 6 4 4

39
January 9, 2024 Analytics Ofce

Table 47: Percent of Qualifying Hedge Fund Gross Notional Exposure

Representing Long Notional Exposure

As reported on Form PF, Questions 26 and 30.

2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Interest Rate Derivatives 48.5 47.8 48.1 47.4 47.0 50.6 48.3 46.8

Foreign Exchange Derivatives 57.0 55.2 56.0 55.2 54.6 53.0 53.8 55.6

Repurchase Agreements 46.8 48.5 49.0 48.5 47.2 46.5 43.2 40.0

Non-Financial Listed Equities 71.4 71.8 70.3 68.2 67.8 67.4 66.8 66.7

U.S. Treasury Securities 57.2 56.9 59.2 62.8 60.0 59.2 61.5 56.2

Non-Financial Equity Derivatives 51.4 51.9 56.9 50.6 48.3 51.5 50.4 51.4

Sovereign Bonds - Non-U.S. G10 48.5 48.5 47.9 48.2 49.7 48.2 48.9 46.6

Credit Derivatives 47.0 44.5 43.0 40.2 41.1 47.7 45.9 47.3

Non-Financial Unlisted Equities 99.8 99.9 99.7 99.8 99.9 99.6 99.8 99.8

Cash/Cash Equivalents - Other 73.3 71.9 67.2 77.3 78.5 77.4 81.7 80.2

Commodity Derivatives 63.8 65.2 64.3 59.9 55.4 59.1 57.5 55.9

Financial Listed Equities 73.5 73.1 71.4 69.5 68.6 68.1 67.5 66.7

Leveraged Loans 98.0 98.0 98.2 98.7 97.6 97.5 97.8 97.6

Non-Financial Corporate Bonds 79.1 74.5 77.2 75.4 76.4 76.8 76.2 75.9

Non-U.S. Currency Holdings 56.8 62.5 61.7 60.8 62.1 66.1 59.1 60.7

Cash/Cash Equivalents - Deposits 72.8 74.9 71.9 67.3 63.6 64.5 65.0 69.6

Sovereign Bonds - Other 70.2 64.2 63.4 58.6 60.7 63.5 69.0 69.2

Other Derivatives 61.9 51.6 50.5 44.8 41.9 40.8 58.7 51.5

MBS 71.9 70.0 78.4 81.7 83.6 83.6 84.3 84.0

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

Other Private Funds 99.9 99.9 99.9 99.9 99.9 100.0 *** 100.0

Cash/Cash Equivalents - MMFs *** *** *** 99.9 *** 99.9 *** ***

Other ABS/Structured Products 85.3 84.2 80.7 83.5 82.3 86.5 86.2 91.1

Other Loans (Excluding Repo) 91.7 90.7 91.4 91.6 89.4 91.3 90.3 90.1

Non-Financial Convertible Bonds 97.7 97.9 97.3 97.2 97.5 97.7 98.4 98.5

Other 96.0 94.8 93.4 90.7 90.0 86.4 85.7 83.4

Financial Equity Derivatives 60.1 55.5 54.2 55.6 55.5 59.0 56.9 58.3

Financial Corporate Bonds 87.1 86.4 86.5 87.0 86.3 88.6 82.2 80.7

U.S. Agency and GSE Securities 65.0 62.8 55.3 52.8 61.7 58.8 70.5 59.7

CDO/CLO *** *** *** 86.3 86.7 88.1 87.5 87.6

Financial Unlisted Equities 99.7 99.7 99.7 99.9 99.9 99.9 99.9 99.9

U.S. State and Local Bonds *** 98.6 98.9 *** 99.2 98.8 99.3 ***

Registered Investment Companies 97.9 97.8 98.1 98.8 98.3 98.5 99.0 98.8

Financial Convertible Bonds 95.0 96.2 96.7 96.3 96.3 98.1 98.5 97.8

Physical Commodities 98.4 *** 99.8 99.4 *** 93.9 96.9 98.2

40
January 9, 2024 Analytics Ofce

E Number of Positions

Figure 12: Number of Positions Reported by Qualifying Hedge Funds

As reported on Form PF, Question 34.

2021-092021-122022-032022-062022-092022-122023-032023-06

0

1000

2000

3000

Number of Positions

41
January 9, 2024 Analytics Ofce

F Liquidity

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

As reported on Form PF, Questions 9 and 50.

Liquidation Period 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

At most 1 day 7.5 7.5 7.5 5.8 5.5 5.6 5.4 5.6

At most 7 days 11.1 11.0 10.9 8.6 8.2 8.2 7.5 7.8

At most 30 days 23.1 23.1 23.4 19.9 18.9 18.5 18.6 17.9

At most 90 days 40.2 42.9 39.8 36.7 35.6 37.8 34.5 34.1

At most 180 days 52.3 50.3 50.1 47.0 47.4 45.6 45.4 44.3

At most 365 days 63.5 62.8 62.2 60.4 59.1 58.5 56.7 56.5

Table 49: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)

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

Liquidation Period 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

At most 1 day 33.3 33.7 35.4 33.6 33.6 32.3 31.5 31.3

At most 7 days 53.2 52.9 53.5 51.5 50.4 49.4 49.0 49.1

At most 30 days 66.1 65.7 64.9 62.3 61.3 60.3 59.1 59.6

At most 90 days 73.0 72.5 71.1 68.4 67.6 66.4 65.2 65.7

At most 180 days 77.3 77.0 75.5 73.5 72.8 71.8 70.8 70.7

At most 365 days 82.2 81.9 80.5 79.3 78.6 77.9 76.5 76.7

Figure 13: Asset Weighted-Average Qualifying Hedge Fund

Investor and Portfolio Liquidity

As reported on Form PF, Questions 9, 26, 30, 32, and 50 as of Second Calendar Quarter 2023.

At most 1 day

At most 7 days

At most 30 daysAt most 90 days

At most 180 daysAt most 365 days

0

20

40

60

80

Percent of Fund Net Assets (%)

Portfolio Liquidity Investor Liquidity

42
January 9, 2024 Analytics Ofce

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

As reported on Form PF, Questions 48 and 49.

Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

May Suspend 2,981 2,924 2,884 2,660 2,534 2,499 2,562 2,574

May Have Gates 1,926 1,885 1,878 1,847 1,754 1,728 1,757 1,762

Side-Pocketed 110 114 104 97 96 90 87 90

Gated 84 84 74 74 75 81 80 81

Suspended 18 18 17 14 13 20 22 23

Figure 14: Percentage of Qualifying Hedge Fund NAV

Subject to a Side-Pocket Arrangement

See Appendix C for an explanation of boxplots.

As reported on Form PF, Questions 9 and 48.

2021Q32021Q42022Q12022Q22022Q32022Q42023Q12023Q2

0

20

40

60

NAV in Side-Pocket (%)

43
January 9, 2024 Analytics Ofce

G Borrowings

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

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

Type Subtype 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Secured

Subtotal 3,671 3,747 3,531 3,397 3,300 3,431 3,709 4,008

Reverse Repo 1,205 1,151 1,090 1,150 1,143 1,215 1,432 1,636

Prime Broker 1,919 1,964 1,842 1,659 1,590 1,634 1,706 1,824

Other Secured 547 633 599 588 567 582 570 547

Unsecured Subtotal 32 49 39 34 36 39 40 38

Total Total 3,704 3,796 3,570 3,431 3,336 3,470 3,748 4,046

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

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

Creditor Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

US Financial 64.5 65.3 63.7 63.9 65.1 64.1 63.6 64.2

Non-US Financial 34.8 33.9 35.4 35.4 33.8 34.8 35.5 35.1

US Non-Financial 0.6 0.7 0.9 0.7 1.1 1.0 0.8 0.7

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

Table 53: Aggregate Collateral for Secured Borrowings

of Qualifying Hedge Funds ($ Billions)

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

Borrowing Type Collateral Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Prime Broker

Subtotal 2,433 2,408 2,236 1,971 1,921 2,025 2,123 2,239

Other 1,582 1,586 1,471 1,321 1,277 1,353 1,423 1,504

Cash 852 822 765 650 644 672 700 734

Reverse Repo

Subtotal 1,271 1,204 1,141 1,196 1,185 1,262 1,475 1,677

Other 908 826 766 815 786 788 940 1,028

Cash 363 378 375 381 399 473 535 649

Other Secured

Subtotal 709 755 727 734 723 729 727 721

Other 522 520 528 561 562 535 566 561

Cash 186 235 199 173 161 194 161 160

Total Total 4,413 4,367 4,103 3,902 3,829 4,016 4,325 4,637

44
January 9, 2024 Analytics Ofce

Figure 15: Ratio of Collateral Posted to Secured Borrowing

for Qualifying Hedge Funds

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

As reported on Form PF, Question 43.

2021-092021-122022-032022-062022-092022-122023-032023-06

0

2

4

6

8

Collateral/Total Secured Borrowing

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

(a) Total Secured Borrowing

2021-092021-122022-032022-062022-092022-122023-032023-06

0

2

4

6

8

Collateral/Prime Broker Borrowing

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

2021-092021-122022-032022-062022-092022-122023-032023-06

0

2

4

6

8

Collateral/Reverse Repo Borrowing

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

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

45
January 9, 2024 Analytics Ofce

Table 54: Financing Liquidity for Qualifying Hedge Funds

(Percent of Available Financing)

As reported on Form PF, Question 46.

Financing Available 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

At most 1 day 36.4 26.4 35.5 36.7 27.1 25.3 28.4 27.8

At most 7 days 47.7 42.7 46.2 47.0 47.0 41.4 47.8 48.4

At most 30 days 64.8 63.0 63.6 64.7 62.2 61.7 63.6 63.7

At most 90 days 76.6 77.3 76.6 76.2 75.5 75.3 76.3 77.3

At most 180 days 94.4 93.9 93.9 92.9 92.8 91.8 92.8 92.8

At most 365 days 95.5 95.5 95.1 94.3 94.2 94.0 94.6 94.6

Figure 16: Weighted-Average Qualifying Hedge Fund

Financing Liquidity (Percent of Available Financing)

As reported on Form PF, Question 46 as of Second Calendar Quarter 2023.

At most 1 day

At most 7 days

At most 30 daysAt most 90 days

At most 180 daysAt most 365 days

0

20

40

60

80

100

Percent of Available Financing (%)

Financing Liquidity

46
January 9, 2024 Analytics Ofce

H Central Clearing

Figure 17: Qualifying Hedge Funds Using Central Clearing

As reported on Form PF, Question 39.

2021Q32021Q42022Q12022Q22022Q32022Q42023Q12023Q2

0

5

10

15

20

Percent of Funds Percent of NAV

47
I

January 9, 2024 Analytics Ofce

Value-at-Risk (“VaR”) Reporting

Table 55: Number of Qualifying Hedge Funds Using VaR

As reported on Form PF, Question 40.

VaR Method 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

VaR (Any Method) 663 678 685 653 694 651 625 646

Historical Simulation 266 268 268 275 284 280 271 284

Monte Carlo Simulation 199 201 210 193 186 181 181 180

Parametric 193 201 202 181 220 181 167 171

Other 53 55 52 52 50 53 47 51

VaR Not Used 1,353 1,396 1,409 1,408 1,346 1,421 1,419 1,442

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

As reported on Form PF, Questions 8 and 40.

VaR Method 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

VaR (Any Method) 4,590 4,467 4,449 4,317 4,266 4,326 4,436 4,770

Historical Simulation 2,322 2,198 2,154 2,146 2,146 2,174 2,263 2,500

Monte Carlo Simulation 984 1,014 1,029 966 916 945 938 907

Parametric 735 721 695 625 641 556 560 577

Other 1,127 1,119 1,124 1,114 1,095 1,220 1,233 1,389

VaR Not Used 3,718 3,866 3,817 3,605 3,428 3,501 3,564 3,668

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

As reported on Form PF, Questions 9 and 40.

VaR Method 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

VaR (Any Method) 1,542 1,549 1,550 1,418 1,425 1,357 1,352 1,363

Historical Simulation 619 608 613 604 620 593 595 607

Monte Carlo Simulation 443 448 460 391 372 373 367 352

Parametric 437 441 422 368 373 330 325 329

Other 185 182 191 192 200 191 199 209

VaR Not Used 2,624 2,642 2,599 2,461 2,347 2,437 2,529 2,577

48
January 9, 2024 Analytics Ofce

J Stress Testing and VaR

Table 58: Number of Qualifying Hedge Funds Managed Using

VaR or Market Factor Change Testing (“Stress Testing”)

As reported on Form PF, Questions 40 and 42.

Risk Tool Used 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Stress and VaR 556 562 571 581 589 578 556 576

Stress, No VaR 472 478 479 465 458 466 469 467

No Stress, VaR 107 116 114 72 105 73 69 70

Neither 881 918 930 943 888 955 950 975

Table 59: Aggregate Qualifying Hedge Fund GAV Managed

Using VaR or Stress Testing ($ Billions)

As reported on Form PF, Questions 8, 40, and 42.

Risk Tool Used 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Stress and VaR 4,226 4,076 4,108 4,084 4,001 4,099 4,216 4,528

Stress, No VaR 1,538 1,555 1,548 1,450 1,384 1,398 1,386 1,427

No Stress, VaR 364 391 341 234 264 227 221 241

Neither 2,181 2,311 2,269 2,155 2,045 2,104 2,178 2,241

Table 60: Aggregate Qualifying Hedge Fund NAV Managed

Using VaR or Stress Testing ($ Billions)

As reported on Form PF, Questions 9, 40, and 42.

Risk Tool Used 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Stress and VaR 1,288 1,287 1,302 1,274 1,266 1,220 1,216 1,226

Stress, No VaR 936 922 904 850 821 843 860 872

No Stress, VaR 254 261 248 144 159 138 136 137

Neither 1,688 1,720 1,695 1,611 1,526 1,594 1,669 1,705

49
January 9, 2024 Analytics Ofce

K Stress Testing

Table 61: Number of Qualifying Hedge Funds Stressing Each Market Factor

As reported on Form PF, Question 42.

Market Factor 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Equity Prices 844 860 876 864 859 857 839 856

Currency Rates 748 746 766 771 778 768 751 770

Risk Free Rates 708 708 722 736 735 732 718 733

Credit Spreads 610 622 650 657 656 657 655 662

Implied Volatilities 501 499 530 526 523 524 512 525

Commodity Prices 428 425 443 455 451 447 429 440

Bond Default Rates 268 270 291 287 286 288 296 293

ABS Default Rates 228 227 252 252 247 253 258 261

Table 62: Aggregate GAV of Qualifying Hedge Funds

Stressing Each Market Factor ($ Billions)

As reported on Form PF, Questions 8 and 42.

Market Factor 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Equity Prices 5,194 5,042 5,087 5,086 4,940 5,062 5,179 5,523

Currency Rates 4,646 4,527 4,562 4,489 4,392 4,519 4,610 4,917

Risk Free Rates 4,927 4,758 4,870 4,808 4,707 4,801 4,883 5,210

Credit Spreads 4,228 4,235 4,359 4,341 4,225 4,352 4,479 4,774

Implied Volatilities 3,909 3,713 3,796 3,787 3,707 3,842 3,873 4,428

Commodity Prices 3,883 3,742 3,846 3,975 3,867 4,002 4,078 4,385

Bond Default Rates 1,136 1,134 1,184 1,123 1,139 1,102 1,132 1,239

ABS Default Rates 882 899 970 936 901 938 1,093 1,238

Table 63: Aggregate NAV of Qualifying Hedge Funds

Stressing Each Market Factor ($ Billions)

As reported on Form PF, Questions 9 and 42.

Market Factor 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Equity Prices 1,989 1,972 1,967 1,894 1,858 1,833 1,846 1,870

Currency Rates 1,675 1,655 1,691 1,639 1,634 1,590 1,601 1,596

Risk Free Rates 1,623 1,599 1,654 1,629 1,625 1,586 1,593 1,607

Credit Spreads 1,377 1,385 1,459 1,448 1,443 1,416 1,436 1,447

Implied Volatilities 1,167 1,128 1,192 1,176 1,166 1,140 1,124 1,192

Commodity Prices 1,123 1,108 1,151 1,169 1,159 1,115 1,123 1,145

Bond Default Rates 482 467 504 484 471 427 443 437

ABS Default Rates 379 374 422 409 382 390 401 415

50
January 9, 2024 Analytics Ofce

Table 64: Number of Qualifying Hedge Funds Stressing Market Factors

As reported on Form PF, Question 42.

Factors Tested 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

0 988 1,034 1,044 1,015 993 1,028 1,019 1,045

1 214 223 212 208 208 206 207 206

2 130 130 129 126 128 129 123 123

3 83 84 83 80 78 82 81 82

4 101 103 101 100 108 100 94 101

5 137 127 126 131 127 128 126 134

6 155 165 167 168 166 167 159 164

7 71 79 81 79 82 82 78 80

8 137 129 151 154 150 150 157 153

Table 65: Aggregate GAV of Qualifying Hedge Funds

Stressing Market Factors ($ Billions)

As reported on Form PF, Questions 8 and 42.

Factors Tested 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

0 2,545 2,702 2,611 2,389 2,309 2,330 2,399 2,482

1 444 485 432 412 385 374 377 385

2 629 618 568 431 407 406 412 426

3 324 314 306 279 267 305 308 331

4 363 353 352 425 471 394 404 406

5 929 747 871 811 738 778 809 627

6 2,101 2,159 2,123 2,193 2,127 2,263 2,133 2,458

7 360 348 341 335 373 346 527 597

8 613 606 662 647 616 632 632 724

Table 66: Aggregate NAV of Qualifying Hedge Funds

Stressing Market Factors ($ Billions)

As reported on Form PF, Questions 9 and 42.

Factors Tested 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

0 1,942 1,982 1,944 1,755 1,685 1,732 1,805 1,842

1 300 319 276 255 234 241 246 246

2 322 312 294 269 259 256 258 259

3 231 215 212 190 183 214 212 217

4 176 189 187 176 198 175 168 158

5 321 291 302 281 267 264 281 272

6 477 502 509 543 544 540 524 553

7 170 169 174 160 169 142 149 155

8 227 212 252 249 233 232 238 237

51
January 9, 2024 Analytics Ofce

IX Section 3 Liquidity Fund Specifc Information

A Liquidity

Table 67: Investor Liquidity For Section 3 Liquidity Funds (Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 64.

Liquidation Period 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

At most 1 day 68.6 68.9 69.5 66.4 68.1 70.7 71.1 71.0

At most 7 days 92.6 92.4 91.6 91.8 92.7 93.1 92.9 92.6

At most 30 days 97.3 96.6 96.0 96.5 97.2 97.2 97.3 97.0

At most 90 days 97.8 97.8 97.9 98.5 98.5 98.3 98.2 97.9

At most 180 days 98.8 99.0 99.5 99.6 99.5 99.5 99.3 99.1

At most 365 days 99.8 99.8 99.8 99.8 99.6 99.7 99.7 99.8

Table 68: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions)

As reported on Form PF, Question 63.

Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

May Suspend 278 291 290 310 313 302 294 301

May Have Gates 245 260 261 281 281 275 266 274

Suspended 0 0 0 0 0 0 0 0

Gated 0 0 0 0 0 0 0 0

B Portfolio Characteristics

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

As reported on Form PF, Question 55.

2021-092021-122022-032022-062022-092022-122023-032023-06

0

10

20

30

40

50

60

Weighted Average Maturity (WAM) in Days

Average WAM Asset-Weighted WAM

52
January 9, 2024 Analytics Ofce

Figure 19: Weighted-Average Life Reported by Section 3 Liquidity Funds

As reported on Form PF, Question 55.

2021-092021-122022-032022-062022-092022-122023-032023-06

0

10

20

30

40

50

60

70

Weighted Average Life (WAL) in Days

Average WAL Asset-Weighted WAL

Figure 20: Seven-Day Gross Yield Reported by Section 3 Liquidity Funds

As reported on Form PF, Question 55.

2021-092021-122022-032022-062022-092022-122023-032023-06

0.0

1.0

2.0

3.0

4.0

5.0

6.0

Seven-Day Gross Yield (%)

Average Yield Asset-Weighted Yield

53
January 9, 2024 Analytics Ofce

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

As reported on Form PF, Question 55.

2021-092021-122022-032022-062022-092022-122023-032023-06

0

20

40

60

80

100

Ratio of Daily Liquid Assets (DLA) 

 to Net Asset Value (%)

Average DLA Asset-Weighted DLA

Figure 22: Ratio of Weekly Liquid Assets to Net Asset Value of Section 3 Liquidity Funds

As reported on Form PF, Question 55.

2021-092021-122022-032022-062022-092022-122023-032023-06

0

20

40

60

80

100

Ratio of Weekly Liquid Assets (WLA) 

 to Net Asset Value (%)

Average WLA Asset-Weighted WLA

54
January 9, 2024 Analytics Ofce

C Rule 2a-7 Compliance

Table 69: Rule 2a-7 Compliance (Percent of Funds)

As reported on Form PF, Questions 9 and 54.

Compliance Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

None 50.9 51.8 51.9 53.8 52.9 52.0 52.0 52.0

Credit Quality 49.1 48.2 48.1 46.2 47.1 48.0 48.0 48.0

Diversifcation 45.6 44.6 44.4 42.3 43.1 44.0 44.0 44.0

Maturity 45.6 44.6 44.4 42.3 39.2 44.0 44.0 44.0

Liquidity 42.1 41.1 40.7 36.5 37.3 38.0 38.0 38.0

Fully 38.6 37.5 37.0 34.6 35.3 36.0 36.0 36.0

Table 70: Rule 2a-7 Compliance (Percent of Aggregate NAV)

As reported on Form PF, Questions 9 and 54.

Compliance Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

None 80.9 82.1 81.3 83.9 84.3 84.1 83.6 84.2

Credit Quality 19.1 17.9 18.7 16.1 15.7 15.9 16.4 15.8

Diversifcation 17.4 16.5 17.2 14.6 14.4 14.6 15.1 14.5

Maturity 17.4 16.5 17.2 14.6 14.3 14.6 15.1 14.5

Liquidity 17.2 16.3 17.0 13.4 13.2 13.3 13.7 13.2

Fully 15.0 14.2 15.0 12.5 12.3 12.7 12.9 12.5

D Methods of Calculating NAV

Table 71: NAV Calculation Method (Percent of Funds)

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

Type

Stable

Floating

2021Q3

77.2

22.8

2021Q4

75.0

25.0

2022Q1

74.1

25.9

2022Q2

71.2

28.8

2022Q3

64.7

35.3

2022Q4

72.0

28.0

2023Q1

72.0

28.0

2023Q2

72.0

28.0

Table 72: NAV Calculation Method (Percent of Aggregate NAV)

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

Type 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Q1 2023Q2

Stable 66.7 64.4 67.2 61.2 62.1 65.9 68.8 69.1

Floating 33.3 35.6 32.8 38.8 37.9 34.1 31.2 30.9

55
2022-07

2022-08

2022-09

2022-10

2022-11

2022-12

2023-01

2023-02

2023-03

2023-04

2023-05

2023-06

January 9, 2024 Analytics Ofce

E Aggregate Portfolio Holdings

Table 73: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 1 of 2

As reported on Form PF, Question 63.

Product Type 2021-07

2021-08

2021-09

2021-10

2021-11

2021-12

2022-01

2022-02

2022-03

2022-04

2022-05

2022-06

Repo - Govt. Collateral 26.0 35.2 40.2 31.3 31.6 47.2 44.1 38.1 48.0 52.2 69.2 67.1

Deposits 83.1 75.5 69.7 83.1 82.0 60.8 73.5 80.5 62.8 73.4 78.9 72.0

U.S. Treasuries 86.4 80.2 73.1 88.7 88.8 88.7 69.9 81.5 91.4 84.3 63.4 78.4

Commercial Paper 52.3 51.7 51.4 53.1 50.5 48.2 51.9 48.2 46.6 44.2 46.4 53.6

Other 24.0 21.0 26.0 18.9 21.0 26.0 18.4 13.5 16.4 11.7 13.4 15.7

Asset-Backed Securities 20.9 21.0 23.0 23.9 24.5 24.4 25.2 24.7 26.0 24.1 18.9 20.8

Repo - Other Collateral 12.4 11.6 12.1 7.7 10.6 10.1 8.0 9.1 9.9 10.7 10.5 9.3

U.S. Govt. Debt 1.3 1.2 1.4 1.3 1.6 1.5 1.6 1.7 2.3 2.1 2.5 1.9

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

Table 74: Section 3 Liquidity Fund Aggregate Product Exposures ($Billions) — 2 of 2

As reported on Form PF, Question 63.

Product Type

Repo - Govt. Collateral

Deposits

U.S. Treasuries

Commercial Paper

Other

Asset-Backed Securities

Repo - Other Collateral

U.S. Govt. Debt

Municipal Debt

80.9

85.0

57.2

46.5

11.3

20.4

10.4

3.3

0.9

86.3

88.8

59.9

42.1

10.0

20.2

9.1

5.2

1.0

78.8

73.9

69.2

45.3

16.6

20.6

8.7

5.2

1.0

85.2

91.4

48.8

49.5

14.1

20.1

10.4

5.7

0.9

78.4

88.9

53.8

53.0

13.7

17.7

10.9

5.4

0.9

84.2

70.4

49.7

52.9

17.9

18.6

9.7

8.7

0.8

82.0

78.3

43.0

52.7

13.8

19.2

7.7

7.7

0.7

84.3

78.0

47.5

47.6

10.1

20.1

9.4

7.5

0.7

103.7

69.4

32.7

45.1

14.5

16.9

10.9

13.9

0.7

105.4 104.9 75.3

75.3 81.7 75.3

25.6 27.2 58.5

47.8 47.0 47.7

21.8 15.3 21.0

17.7 17.8 18.2

11.2 10.0 11.1

13.1 10.7 6.3

1.0 1.0 0.9

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January 9, 2024 Analytics Ofce

X Section 4 Private Equity Fund Specifc Information

A CPC Industry Concentration

Table 75: Gross Assets in CPC Industries (Percent of Total)

As reported on Form PF, Questions 8 and 77.

Type 2014Q4 2015Q4 2016Q4 2017Q4 2018Q4 2019Q4 2020Q4 2021Q4 2022Q4

Software Publishers 3.8 4.9 6.1 6.0 8.0 10.6 9.7 11.7 12.0

Computing Infrastructure... 2.3 1.8 2.0 2.3 3.5 4.2 3.6 3.4 4.2

Other Financial Vehicles 0.4 0.6 1.8 1.6 1.3 1.2 1.8 2.2 2.9

Custom Computer Programming... 1.0 1.5 1.5 1.5 1.8 2.1 1.9 2.5 2.8

Insurance Agencies and Brokerages 1.0 1.0 1.2 1.1 1.0 1.1 1.5 1.7 1.8

All Other Professional,... 0.6 0.6 0.9 0.8 1.4 1.4 1.9 1.4 1.4

Computer Systems Design Services 0.8 0.6 1.0 0.8 0.6 0.6 1.0 1.6 1.1

Other Computer Related Services 0.4 0.5 0.9 0.9 1.0 0.8 1.2 1.5 1.0

Engineering Services 0.2 0.4 0.3 0.3 0.3 0.3 0.3 0.4 0.7

Ofces of Physicians 0.2 0.3 0.4 0.3 0.3 0.5 0.5 0.7 0.7

Natural Gas Distribution 0.4 0.6 0.7 1.0 1.0 0.7 0.8 0.6 0.6

Other Activities Related to Real... 0.5 0.3 0.4 0.4 0.3 0.3 0.3 0.4 0.6

Consumer Lending 0.6 0.8 0.9 0.8 0.6 0.6 0.7 0.6 0.5

Commercial Banking 1.1 0.9 0.8 0.7 0.3 0.3 0.4 0.4 0.5

Hotels and Motels 0.7 0.6 0.7 0.4 0.2 0.4 0.4 0.4 0.5

Lessors of Nonresidential Buildings 0.8 0.8 0.7 0.7 0.6 1.1 0.6 0.4 0.5

Full-Service Restaurants 0.9 0.7 0.5 0.5 0.3 0.4 0.3 0.2 0.4

Ofces of Other Holding Companies 0.3 0.6 0.3 0.4 0.5 0.4 0.4 0.4 0.4

Home Health Care Services 0.3 0.3 0.3 0.3 0.4 0.5 0.6 0.4 0.4

Ofces of Dentists 0.2 0.2 0.2 0.3 0.3 0.3 0.3 0.3 0.3

Commercial and Service Industry... 0.1 0.3 0.3 0.3 0.4 0.3 0.2 0.2 0.2

Lessors of Residential Buildings... 0.4 0.4 0.4 0.3 0.3 0.3 0.2 0.3 0.2

Marketing Research and Public... 0.2 0.2 0.2 0.2 0.1 0.2 0.2 0.2 0.2

Supermarkets and Other Grocery... 0.5 0.5 0.5 0.3 0.3 0.2 0.2 0.2 0.2

Electric Power Generation,... 3.8 3.7 4.1 4.2 4.5 4.3 4.8 3.7 ***

Semiconductor & Other Electronic... 0.7 0.6 0.4 0.3 0.5 0.5 0.6 0.5 ***

Facilities Support Services 0.1 0.2 0.2 0.3 0.1 0.1 0.2 0.2 0.2

Real Estate Credit 0.4 0.9 0.6 0.5 0.4 0.4 0.4 0.2 0.1

Support Activities for Water... 0.6 0.5 0.6 0.7 0.7 0.5 0.4 0.3 ***

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January 9, 2024 Analytics Ofce

B CPC Financial Leverage

Figure 23: Distribution of Ratio of Aggregate CPC Current Liabilities

to Total Liabilities of Section 4 Private Equity Funds

See Appendix C for an explanation of boxplots.

As reported on Form PF, Questions 71 and 72.

2014Q42015Q42016Q42017Q42018Q42019Q42020Q42021Q42022Q4

0

10

20

30

40

50

Ratio of Portfolio Company Current 

 Liabilities to Total Liabilities (%)

Figure 24: Distribution of CPC Payment-in-Kind or

Zero Coupon Borrowings to Total Borrowings Ratio

See Appendix C for an explanation of boxplots.

As reported on Form PF, Question 73.

2014Q42015Q42016Q42017Q42018Q42019Q42020Q42021Q42022Q4

0

20

40

60

80

CPC Payment-in-Kind Borrowings 

 to Total Borrowings Ratio (%)

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January 9, 2024 Analytics Ofce

C CPC Investments by Region and Country

Table 76: Aggregate Gross Value of Private Equity

Investments by Region ($ Billions)

As reported on Form PF, Questions 70 and 78.

Region 2014Q4 2015Q4 2016Q4 2017Q4 2018Q4 2019Q4 2020Q4 2021Q4 2022Q4

North America 4,506 4,132 3,942 3,961 4,211 5,163 6,633 9,558 10,956

Europe EEA 1,259 941 848 963 1,256 1,547 2,155 3,576 3,072

Asia 462 447 406 379 435 561 1,028 881 1,079

Europe Other 9 21 22 40 46 69 158 409 613

South America 85 58 111 184 140 149 141 171 216

Middle East 12 9 15 23 16 18 44 124 151

Supranational 67 23 37 49 55 60 78 82 77

Africa 12 12 18 14 10 15 9 12 14

Region 2014Q4 2015Q4 2016Q4 2017Q4 2018Q4 2019Q4 2020Q4 2021Q4 2022Q4

North America 70.2 73.2 73.0 70.5 68.2 68.0 64.7 64.6 67.7

Europe EEA 19.6 16.7 15.7 17.1 20.3 20.4 21.0 24.2 19.0

Asia 7.2 7.9 7.5 6.8 7.0 7.4 10.0 6.0 6.7

Europe Other 0.1 0.4 0.4 0.7 0.7 0.9 1.5 2.8 3.8

South America 1.3 1.0 2.0 3.3 2.3 2.0 1.4 1.2 1.3

Middle East 0.2 0.2 0.3 0.4 0.3 0.2 0.4 0.8 0.9

Supranational 1.0 0.4 0.7 0.9 0.9 0.8 0.8 0.6 0.5

Africa 0.2 0.2 0.3 0.3 0.2 0.2 0.1 0.1 0.1

Table 77: Private Equity CPC Investments by Region

(Percent of Aggregate CPC Gross Asset Value)

As reported on Form PF, Questions 70 and 78.

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January 9, 2024 Analytics Ofce

Table 78: Aggregate Gross Asset Value of Private Equity

CPC Investments by Country ($ Billions)

As reported on Form PF, Questions 70 and 78.

Country 2014Q4 2015Q4 2016Q4 2017Q4 2018Q4 2019Q4 2020Q4 2021Q4 2022Q4

United States 4,305 3,943 3,776 3,794 4,015 4,803 6,243 8,364 10,298

India 83 89 92 73 104 128 229 277 280

China and Hong Kong 186 173 114 147 154 149 235 210 279

Japan 98 85 79 52 52 78 283 128 201

Brazil 58 41 88 131 96 93 78 55 96

Russia 2 5 4 4 2 1 1 6 27

Table 79: Private Equity CPC Investments by Country

(Percent of Aggregate CPC Gross Asset Value)

As reported on Form PF, Questions 70 and 78.

Country 2014Q4 2015Q4 2016Q4 2017Q4 2018Q4 2019Q4 2020Q4 2021Q4 2022Q4

United States 67.1 69.9 69.9 67.6 65.1 63.3 60.9 56.5 63.6

India 1.3 1.6 1.7 1.3 1.7 1.7 2.2 1.9 1.7

China and Hong Kong 2.9 3.1 2.1 2.6 2.5 2.0 2.3 1.4 1.7

Japan 1.5 1.5 1.5 0.9 0.8 1.0 2.8 0.9 1.2

Brazil 0.9 0.7 1.6 2.3 1.6 1.2 0.8 0.4 0.6

Russia 0.0 0.1 0.1 0.1 0.0 0.0 0.0 0.0 0.2

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January 9, 2024 Analytics Ofce

XI Appendices

A Form PF Filer Categories

The amount of information an adviser must report and the frequency with which it must report

on Form PF depends on the amount of the adviser’s private fund assets and the types of private

funds managed. Reporting advisers must identify the types of private funds they manage on Form

PF.

1 All Private Fund Advisers

SEC-registered investment advisers with at least $150 million in private fund assets under

management are required to fle 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 fle Form PF.6 Not all Form PF flers

report on a quarterly basis. Smaller private fund advisers and all private equity fund advisers fle

Form PF on an annual basis, while larger hedge fund advisers and larger liquidity fund advisers fle

the form quarterly.7 As a result of the diference 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 fle 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 fscal quarter immediately preceding the

adviser’s most recently completed fscal 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 fle quarterly to report data about the hedge funds it manages

as well as a private equity fund adviser that must fle only annually to report data about the private equity funds it

manages.

8In addition, because some Form PF flers have fscal year ends that are not December 31, not all Form PF data is fled

as of a single date.

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January 9, 2024 Analytics Ofce

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 fle Form PF annually in connection with the

private equity funds they managed during the reporting period. Smaller Private Equity Fund

Advisers must fle 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 fle Form PF that are not Large Hedge Fund Advisers or Large

Liquidity Fund Advisers must fle Form PF annually to report data about each private fund

managed by the adviser.9 These “annual fling advisers” include smaller fund advisers, Large Private

Equity Fund advisers, and venture capital fund advisers. Annual flers must provide specifc

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 defnition of hedge fund,

liquidity fund, private equity fund, real estate fund, securitized asset fund, or venture capital fund.

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January 9, 2024 Analytics Ofce

B Handling Annual and Quarterly Data

Only a subset of flers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are

required to fle Form PF quarterly; all other flings are made annually. Annual flings are typically,

but not always, made at the end of the calendar year, as Form PF allows flings to be made at the

end of an adviser’s fscal year. In order to present the most complete and recent data possible, while

accounting for diferences in fling dates, we use the following procedure for determining which data

to consider in any given quarter:

First, flings 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 ‘flled 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 fgures, the boxes extend from the twenty-ffth percentile to the seventy-ffth percentile,

while the levels (the dashed vertical lines) extend from the tenth to the twenty-ffth percentile as well

as the seventy-ffth to the ninetieth percentile. Also shown as a red line within the box is the median

(the fftieth percentile) and the horizontal dashed line is mean of the distribution. See Figure 25 for

an explanation of each feature.

Figure 25: How to Read a Boxplot

10Form PF has no requirement to inform the SEC if a fund liquidates or otherwise terminates operations. Therefore,

liquidations or terminations may not be refected on this report for up to one year after ceasing operations.

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January 9, 2024 Analytics Ofce

D Mitigating the Efects of Outliers

Form PF data occasionally contains spurious outliers. While Analytics Ofce staf actively

engages in outreach to identify and correct such values, not all aberrant values have been corrected

as of this writing. To reduce the efect 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 efect 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-ffth percentile are set to the value of the ninety-ffth percentile, and all

the values below the ffth percentile are set to the value of the ffth percentile. Efectively, 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 efective 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 afected 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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January 9, 2024 Analytics Ofce

E Defnitions

Included by reference are all defnitions 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 defned 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 refect 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 defnition 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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January 9, 2024 Analytics Ofce

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 fscal quarter immediately

preceding the adviser’s most recently completed fscal 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.

66