Division of Investment Management Risk and Examinations Office
Private Funds Statistics
Fourth Calendar Quarter 2014
December 30, 2015
This is a report of the Staff of the Division of Investment Management’s Risk and Examinations Office (REO) of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding the analysis, findings, or conclusions contained herein.
December 30, 2015
Risk and Examinations Office
Introduction This report provides a summary of recent private fund industry statistics and trends, reflecting data collected through Form PF and Form ADV filings.1 Form PF information provided in this report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary information of individual Form PF filers. This report reflects data from First Calendar Quarter 2013 through Fourth Calendar Quarter 2014 as reported by Form PF filers.2 Please see the Appendix for information on the categories of Form PF filers, the definitions of capitalized terms, a description of the boxplots used in several figures, as well as other technical descriptions. Form PF is still a relatively new reporting requirement for advisers to private funds. The Staff continues to work with the data and filers to identify and correct filing errors. In some instances, the Staff has made adjustments to the summary statistics presented here to correct what appear to be clear filing errors. In addition, the Staff has employed certain assumptions in aggregating the data. Future adjustments to these methodologies could lead to changes in reported statistics.
If you have any questions or comments about Fourth Calendar Quarter 2014 Private Funds Statistics, please contact: Tim Dulaney, PhD, FRM or Tim Husson, PhD, FRM at
[email protected] with subject line “Fourth Calendar Quarter 2014-Private Funds Statistics”.
1 Only SEC-registered advisers with at least $150 million in private fund assets under management must report to the Commission on Form PF. SEC-registered investment advisers with less than $150 million in private fund assets under management, SEC exempt reporting advisers, and state-registered investment advisers are not required to file Form PF, but report general information about the private funds they manage on Form ADV. 2 The Commission began receiving Form PF filings from Large Hedge Fund Advisers in July 2012. A full data set was not received until March 2013. This report relies upon the Form PF database constructed and maintained by the Office of Research and Data Services in the Division of Economic and Risk Analysis.
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Contents I II
Number of Funds and Advisers
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Gross and Net Assets A Aggregate Assets by Fund Type over Time . . . . . . . . . . . . . . . . . . . . . . . . . . B Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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Fund Domiciles and Adviser Main Offices
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Beneficial Ownership
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Derivatives
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High Frequency Trading
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VII A B C D
Information Reported by Large Hedge Economic Leverage . . . . . . . . . . . . . . Industry Concentration . . . . . . . . . . . . Portfolio Turnover . . . . . . . . . . . . . . . Region and Country Exposure . . . . . . . .
VIII A B C D
Qualifying Hedge Fund Specific Information Gross Exposure by Strategy . . . . . . . . . . . . . Liquidity . . . . . . . . . . . . . . . . . . . . . . . . Borrowings . . . . . . . . . . . . . . . . . . . . . . . Central Clearing . . . . . . . . . . . . . . . . . . . .
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Section 3 Liquidity Fund Specific Information A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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Section 4 Private Equity Fund Specific A CPC Industry Concentration . . . . . . . . . B CPC Financial Leverage . . . . . . . . . . . C CPC Investments by Region and Country .
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Appendices A Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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B C D E
2 Large Hedge Fund Advisers . . . . . 3 Large Liquidity Fund Advisers . . . 4 Large Private Equity Fund Advisers 5 Other Private Fund Advisers . . . . Handling Annual and Quarterly Data . . How to Read a Boxplot . . . . . . . . . . Mitigating the Effects of Outliers . . . . Definitions . . . . . . . . . . . . . . . . .
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Number of Funds and Advisers3 Table 1: Number of Funds The “Total” row shows the total reported, and will not equal the sum of the preceding rows, because the rows are not mutually exclusive.
Fund Type Hedge Fund Private Equity Fund Other Private Fund Section 4 Private Equity Fund Real Estate Fund Qualifying Hedge Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total
2013Q1 7,512 6,910 3,404 1,873 1,375 1,228 982 369 74 49 20,573
2013Q2 7,697 6,977 3,491 1,878 1,376 1,266 987 369 74 46 20,893
2013Q3 7,906 7,078 3,556 1,889 1,400 1,320 1,012 379 74 46 21,319
2013Q4 8,412 7,603 3,709 2,201 1,547 1,369 1,172 434 71 46 22,882
2014Q1 8,495 7,632 3,753 2,197 1,546 1,415 1,191 435 71 46 23,052
2014Q2 8,606 7,664 3,758 2,201 1,546 1,462 1,208 435 70 44 23,188
2014Q3 8,678 7,629 3,752 2,209 1,534 1,471 1,196 438 70 44 23,171
2014Q4 8,635 8,407 4,062 2,386 1,788 1,541 1,327 504 69 45 24,728
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 Hedge Fund Private Equity Fund Other Private Fund Section 4 Private Equity Fund Real Estate Fund Qualifying Hedge Fund Securitized Asset Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total
2013Q1 1,469 815 506 173 238 437 133 65 37 25 2,433
2013Q2 1,479 821 515 174 239 442 133 65 37 24 2,449
2013Q3 1,496 826 530 175 242 461 137 66 37 24 2,480
2013Q4 1,594 863 524 195 245 469 138 68 35 24 2,571
2014Q1 1,593 862 527 195 245 470 141 69 35 24 2,574
2014Q2 1,593 866 525 196 245 494 143 69 34 23 2,580
2014Q3 1,597 867 526 195 244 503 141 70 34 23 2,581
2014Q4 1,649 919 553 209 260 525 152 84 35 24 2,695
3 In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered investment advisers that file a Form PF to report private funds. Please see Appendix E for definitions of other capitalized terms used in this report.
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II A
Risk and Examinations Office
Gross and Net Assets 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 Hedge Fund Qualifying Hedge Fund Private Equity Fund Section 4 Private Equity Fund Other Private Fund Securitized Asset Fund Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total
2013Q1 4,779 3,891 1,604 1,094 731 330 299 258 255 24 8,005
2013Q2 4,945 3,986 1,615 1,099 765 330 299 257 249 24 8,206
2013Q3 5,093 4,135 1,628 1,107 779 338 301 249 241 24 8,383
2013Q4 5,392 4,357 1,842 1,271 935 351 334 248 241 30 9,112
2014Q1 5,656 4,583 1,835 1,265 950 356 334 250 247 30 9,397
2014Q2 5,892 4,827 1,845 1,270 955 362 334 274 262 30 9,667
2014Q3 6,115 4,941 1,838 1,274 957 357 334 286 281 30 9,878
2014Q4 6,059 4,925 1,887 1,352 991 377 350 274 272 39 9,956
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 Hedge Fund Qualifying Hedge Fund Private Equity Fund Section 4 Private Equity Fund Other Private Fund Securitized Asset Fund Real Estate Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total
2013Q1 2,612 2,051 1,471 1,037 621 114 235 256 253 21 5,316
2013Q2 2,685 2,084 1,479 1,042 653 114 235 255 247 21 5,420
2013Q3 2,815 2,194 1,494 1,049 667 116 237 247 239 22 5,573
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2013Q4 3,078 2,397 1,702 1,206 816 117 266 246 239 28 6,232
2014Q1 3,161 2,470 1,695 1,200 823 122 266 249 246 28 6,329
2014Q2 3,308 2,627 1,702 1,205 827 126 266 273 261 28 6,511
2014Q3 3,359 2,606 1,694 1,209 830 126 265 283 279 28 6,548
2014Q4 3,399 2,672 1,744 1,274 883 114 279 272 271 37 6,708
December 30, 2015
Risk and Examinations Office
Figure 1: GAV and NAV Distributions
See Appendix C for an explanation of boxplots.
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13 Q 20 2 13 Q 20 3 13 Q 20 4 14 Q 20 1 14 Q 20 2 14 Q 20 3 14 Q4
NAV ($Billions)
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Q1
8 7 6 5 4 3 2 1 0
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13 Q 20 2 13 Q 20 3 13 Q 20 4 14 Q 20 1 14 Q 20 2 14 Q 20 3 14 Q4
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20
13
Q1
GAV ($Billions)
As reported on Form PF, Questions 8 and 9.
8 7 6 5 4 3 2 1 0
1600 1400 1200 1000 800 600 400 200 0
20
13
Q 20 1 13 Q 20 2 13 Q 20 3 13 Q 20 4 14 Q 20 1 14 Q 20 2 14 Q 20 3 14 Q4
NAV ($Millions)
13 Q 20 1 13 Q 20 2 13 Q 20 3 13 Q 20 4 14 Q 20 1 14 Q 20 2 14 Q 20 3 14 Q4
1600 1400 1200 1000 800 600 400 200 0
(b) Qualifying Hedge Fund NAV
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GAV ($Millions)
(a) Qualifying Hedge Fund GAV
(c) Section 4 Private Equity Fund GAV
(d) Section 4 Private Equity Fund NAV
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December 30, 2015
Borrowings Table 5: Aggregate Borrowings (Percent of Aggregate GAV) As reported on Form PF, Questions 8, 12, and 43 (Third Month).
Fund Type Securitized Asset Fund Qualifying Hedge Fund Hedge Fund Real Estate Fund Private Equity Fund Other Private Fund Section 4 Private Equity Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund
2013Q1 46.6 41.8 38.8 15.1 3.6 6.4 2.8 1.4 0.0 0.0
2013Q2 46.4 44.4 40.9 14.9 3.8 6.2 2.8 1.4 0.0 0.0
2013Q3 45.9 41.4 38.4 14.8 3.8 6.0 2.8 1.4 0.0 0.0
2013Q4 47.5 39.3 36.8 12.9 2.3 4.2 2.1 0.9 0.0 0.0
2014Q1 46.9 39.2 36.9 12.5 2.4 4.1 2.1 0.9 0.0 0.0
2014Q2 46.4 37.9 36.6 12.5 2.4 4.1 2.1 0.9 0.0 0.0
2014Q3 47.1 37.6 36.6 12.5 2.4 4.0 2.1 0.9 0.0 0.0
2014Q4 48.0 38.3 35.9 13.6 4.0 2.8 2.3 0.6 0.0 0.0
Figure 2: Distribution of Total Borrowings for All Private Funds
and Qualifying Hedge Funds
See Appendix C for an explanation of boxplots.
4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 Q 20 1 13 Q 20 2 13 Q 20 3 13 Q 20 4 14 Q 20 1 14 Q 20 2 14 Q 20 3 14 Q4
Total Borrowings ($Billions)
700 600 500 400 300 200 100 0
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13
13 Q 20 1 13 Q 20 2 13 Q 20 3 13 Q 20 4 14 Q 20 1 14 Q 20 2 14 Q 20 3 14 Q4
Total Borrowings ($Millions)
As reported on Form PF, Questions 12 and 43 (Third Month).
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B
Risk and Examinations Office
(a) All Private Funds
(b) Qualifying Hedge Funds
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December 30, 2015
C
Risk and Examinations Office
Parallel Managed Accounts4 Table 6: 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 Hedge Fund Other Private Fund Qualifying Hedge Fund Private Equity Fund Section 4 Private Equity Fund Real Estate Fund Securitized Asset Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total
2013Q1 630 290 193 181 73 33 *** 19 18 *** 1,157
2013Q2 646 324 190 184 76 33 *** 19 16 *** 1,209
2013Q3 648 332 199 187 76 33 *** 18 15 *** 1,222
2013Q4 667 336 202 190 62 46 *** 18 15 *** 1,286
2014Q1 683 342 211 188 57 46 *** 17 15 *** 1,305
2014Q2 696 342 227 195 57 46 *** 17 14 *** 1,324
2014Q3 710 340 218 197 57 46 *** 17 15 *** 1,338
2014Q4 710 399 230 210 60 51 *** 16 14 *** 1,418
Table 7: 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 Hedge Fund Other Private Fund Qualifying Hedge Fund Private Equity Fund Section 4 Private Equity Fund Real Estate Fund Securitized Asset Fund Liquidity Fund Section 3 Liquidity Fund Venture Capital Fund Total
2013Q1 539 837 392 115 22 8 *** 376 371 *** 1,873
2013Q2 594 925 344 115 23 8 *** 371 314 *** 2,011
2013Q3 600 1,132 418 115 23 8 *** 384 327 *** 2,237
2013Q4 620 1,446 451 123 18 11 *** 392 335 *** 2,656
2014Q1 612 1,455 431 122 17 11 *** 334 330 *** 2,596
2014Q2 910 1,450 737 124 17 11 *** 326 321 *** 2,880
2014Q3 834 1,272 441 124 17 11 *** 339 335 *** 2,638
2014Q4 754 1,417 532 107 16 11 *** 349 345 *** 2,731
4 Certain data points in the tables in this section and other sections may be masked to avoid possible disclosure of proprietary information of individual Form PF filers.
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Figure 3: Parallel Managed Account Value Distributions
See Appendix C for an explanation of boxplots.
3Q 20 1 13 Q 20 2 13 Q 20 3 13 Q 20 4 14 Q 20 1 14 Q 20 2 14 Q 20 3 14 Q4
Parallel Managed Assets ($Billions)
4.5 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0
20 1
3Q 20 1 13 Q 20 2 13 Q 20 3 13 Q 20 4 14 Q 20 1 14 Q 20 2 14 Q 20 3 14 Q4
20 1
Parallel Managed Assets ($Billions)
As reported on Form PF, Question 11.
4.5 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0
(a) All Private Funds
(b) Qualifying Hedge Funds
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Risk and Examinations Office
Fund Domiciles and Adviser Main Offices Table 8: Fund Domicile (Percent of NAV) As reported on Form PF, Question 9 and Form ADV.
Country United States Cayman Islands Ireland Virgin Islands, British Bermuda Luxembourg United Kingdom Other
2013Q1 50.2 37.0 4.3 2.7 1.2 1.0 1.1 2.4
Country Cayman Islands United States Virgin Islands, British Ireland Bermuda Luxembourg Other
2013Q1 53.8 33.0 6.3 1.6 1.8 1.7 1.9
Country Ireland United States Cayman Islands Other
2013Q1 *** 32.6 8.0 ***
Country United States Cayman Islands United Kingdom Canada Bermuda Other
2013Q1 66.5 28.3 1.6 *** *** 1.6
All Private Funds 2013Q2 2013Q3 2013Q4 2014Q1 49.7 49.5 51.3 50.5 37.2 37.4 36.8 37.3 4.2 4.1 4.1 4.2 2.8 2.8 2.7 2.7 1.2 1.2 1.2 1.2 1.1 1.2 1.2 1.2 1.1 1.1 0.7 0.7 2.7 2.6 2.1 2.1 Qualifying Hedge Funds 2013Q2 2013Q3 2013Q4 2014Q1 53.7 53.9 54.3 55.4 32.5 32.3 32.5 31.3 5.8 5.7 6.2 6.2 1.8 2.0 2.1 2.2 1.8 1.8 1.4 1.3 1.7 1.8 1.5 1.6 2.7 2.6 2.0 2.0 Section 3 Liquidity Funds 2013Q2 2013Q3 2013Q4 2014Q1 *** *** *** *** 32.9 34.4 35.9 33.2 8.7 8.1 7.9 8.8 *** *** *** *** Section 4 Private Equity Funds 2013Q2 2013Q3 2013Q4 2014Q1 66.2 66.5 66.6 66.3 28.6 28.4 28.2 28.3 1.6 1.6 1.3 1.3 *** *** 1.3 1.3 *** *** 0.9 0.9 1.6 1.6 1.6 1.8
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2014Q2 50.1 37.6 4.4 2.7 1.2 1.2 0.7 2.1
2014Q3 50.1 37.6 4.6 2.7 1.2 1.2 0.7 2.0
2014Q4 49.5 37.8 4.7 2.6 1.2 1.2 1.0 1.9
2014Q2 55.3 31.6 6.1 2.2 1.4 1.6 1.9
2014Q3 54.9 32.2 6.0 2.2 1.4 1.5 1.8
2014Q4 55.5 31.5 6.1 2.4 1.4 1.3 1.9
2014Q2 *** 34.1 *** ***
2014Q3 *** 32.3 8.2 ***
2014Q4 *** 30.6 *** ***
2014Q2 66.4 28.2 1.3 1.3 0.9 1.8
2014Q3 66.5 28.2 1.3 1.3 0.9 1.8
2014Q4 63.3 30.7 2.3 1.3 1.0 1.4
December 30, 2015
Risk and Examinations Office
Table 9: Adviser Main Office Location (Percent of NAV) As reported on Form PF, Question 9 and Form ADV.
Country United States United Kingdom Other
2013Q1 89.8 6.7 3.5
Country United States United Kingdom Hong Kong Australia Other
2013Q1 90.4 5.3 *** *** 4.1
Country United States United Kingdom France
2013Q1 66.3 *** ***
Country United States Canada Other
2013Q1 98.1 *** ***
All Private Funds 2013Q2 2013Q3 2013Q4 2014Q1 89.4 89.3 89.9 89.2 6.9 6.9 6.4 6.7 3.7 3.8 3.7 4.1 Qualifying Hedge Funds 2013Q2 2013Q3 2013Q4 2014Q1 89.6 89.4 89.5 89.3 5.7 5.8 5.6 5.7 *** *** *** *** *** *** *** *** 4.0 3.5 3.2 3.1 Section 3 Liquidity Funds 2013Q2 2013Q3 2013Q4 2014Q1 66.4 66.9 66.8 67.2 *** *** *** *** *** *** *** *** Section 4 Private Equity Funds 2013Q2 2013Q3 2013Q4 2014Q1 98.0 98.0 97.3 97.4 *** *** *** *** *** *** *** ***
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2014Q2 88.9 7.0 4.1
2014Q3 88.7 7.3 4.0
2014Q4 89.8 6.4 3.7
2014Q2 89.4 5.8 *** *** 2.9
2014Q3 89.7 5.6 *** *** 2.8
2014Q4 89.9 5.0 *** *** 2.7
2014Q2 68.5 *** ***
2014Q3 65.3 *** ***
2014Q4 63.6 *** ***
2014Q2 97.4 *** ***
2014Q3 97.4 *** ***
2014Q4 97.8 *** ***
December 30, 2015
IV
Risk and Examinations Office
Beneficial Ownership Table 10: Beneficial Ownership for All Private Funds ($ Billions) As reported on Form PF, Questions 9 and 16.
Type Private Funds State/Muni. Govt. Pension Plans Pension Plans Other U.S. Individuals Non-Profits Sov. Wealth Funds and For. Official Inst. Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors Banking/Thrift Inst. Broker-Dealers State/Muni. Govt. Entities SEC-Registered Investment Companies
2013Q1 1,168 694 661 559 588 524 278 193 169 162 145 23 59 77
2013Q2 1,187 705 669 565 600 565 284 199 184 154 143 21 59 72
2013Q3 1,213 724 694 580 616 580 295 206 176 168 144 24 61 78
2013Q4 1,276 820 796 652 696 633 340 245 183 174 151 90 68 88
2014Q1 1,286 835 804 664 699 645 341 248 192 177 154 103 69 86
2014Q2 1,315 839 819 692 716 669 350 253 214 174 156 109 83 98
2014Q3 1,326 835 819 714 717 678 347 254 198 196 157 112 84 88
2014Q4 1,356 859 839 765 739 689 361 263 193 185 142 116 89 88
2014Q3 20.2 12.8 12.5 10.9 10.9 10.4 5.3 3.9 3.0 3.0 2.4 1.7 1.3 1.3
2014Q4 20.2 12.8 12.5 11.4 11.0 10.3 5.4 3.9 2.9 2.8 2.1 1.7 1.3 1.3
Table 11: Beneficial Ownership for All Private Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16.
Type Private Funds State/Muni. Govt. Pension Plans Pension Plans Other U.S. Individuals Non-Profits Sov. Wealth Funds and For. Official Inst. Insurance Companies Non-U.S. Individuals Unknown Non-U.S. Investors Banking/Thrift Inst. Broker-Dealers State/Muni. Govt. Entities SEC-Registered Investment Companies
2013Q1 22.0 13.1 12.4 10.5 11.1 9.9 5.2 3.6 3.2 3.0 2.7 0.4 1.1 1.4
2013Q2 21.9 13.0 12.4 10.4 11.1 10.4 5.2 3.7 3.4 2.8 2.6 0.4 1.1 1.3
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2013Q3 21.8 13.0 12.4 10.4 11.1 10.4 5.3 3.7 3.2 3.0 2.6 0.4 1.1 1.4
2013Q4 20.5 13.2 12.8 10.5 11.2 10.2 5.4 3.9 2.9 2.8 2.4 1.4 1.1 1.4
2014Q1 20.3 13.2 12.7 10.5 11.0 10.2 5.4 3.9 3.0 2.8 2.4 1.6 1.1 1.4
2014Q2 20.2 12.9 12.6 10.6 11.0 10.3 5.4 3.9 3.3 2.7 2.4 1.7 1.3 1.5
December 30, 2015
Risk and Examinations Office
Table 12: Beneficial Ownership for Qualifying Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 16.
Type Private Funds Non-Profits Pension Plans U.S. Individuals Other State/Muni. Govt. Pension Plans Sov. Wealth Funds and For. Official Inst. Broker-Dealers Non-U.S. Individuals Insurance Companies Unknown Non-U.S. Investors SEC-Registered Investment Companies State/Muni. Govt. Entities Banking/Thrift Inst.
2013Q1 489 277 262 264 195 207 107 7 52 50 47 35 23 34
2013Q2 497 295 263 270 194 209 111 5 51 53 49 33 22 32
2013Q3 504 305 276 283 209 224 118 7 57 57 55 39 23 34
2013Q4 509 322 293 307 238 242 127 71 60 59 58 49 25 34
2014Q1 526 323 308 303 242 253 129 85 62 61 61 48 26 36
2014Q2 547 349 323 322 271 254 137 89 68 65 66 58 38 36
2014Q3 554 358 312 321 268 242 133 91 69 65 68 50 38 36
2014Q4 558 357 334 321 300 256 133 93 68 65 61 49 41 33
2014Q3 21.3 13.7 12.0 12.3 10.3 9.3 5.1 3.5 2.6 2.5 2.6 1.9 1.5 1.4
2014Q4 20.9 13.4 12.5 12.0 11.2 9.6 5.0 3.5 2.5 2.4 2.3 1.8 1.5 1.3
Table 13: Beneficial Ownership for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16.
Type Private Funds Non-Profits Pension Plans U.S. Individuals Other State/Muni. Govt. Pension Plans Sov. Wealth Funds and For. Official Inst. Broker-Dealers Non-U.S. Individuals Insurance Companies Unknown Non-U.S. Investors SEC-Registered Investment Companies State/Muni. Govt. Entities Banking/Thrift Inst.
2013Q1 23.8 13.5 12.8 12.9 9.5 10.1 5.2 0.3 2.5 2.4 2.3 1.7 1.1 1.6
2013Q2 23.8 14.1 12.6 12.9 9.3 10.0 5.3 0.3 2.4 2.5 2.4 1.6 1.1 1.5
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2013Q3 23.0 13.9 12.6 12.9 9.5 10.2 5.4 0.3 2.6 2.6 2.5 1.8 1.1 1.5
2013Q4 21.2 13.4 12.2 12.8 9.9 10.1 5.3 3.0 2.5 2.5 2.4 2.1 1.1 1.4
2014Q1 21.3 13.1 12.5 12.3 9.8 10.3 5.2 3.4 2.5 2.5 2.5 2.0 1.1 1.5
2014Q2 20.8 13.3 12.3 12.3 10.3 9.7 5.2 3.4 2.6 2.5 2.5 2.2 1.5 1.4
December 30, 2015
Risk and Examinations Office
Table 14: Beneficial Ownership for Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Questions 9 and 16.
Type Private Funds Other Unknown Non-U.S. Investors Non-U.S. Individuals SEC-Registered Investment Companies Banking/Thrift Inst. Broker-Dealers Sov. Wealth Funds and For. Official Inst. Insurance Companies Pension Plans State/Muni. Govt. Entities Non-Profits State/Muni. Govt. Pension Plans U.S. Individuals
2013Q1 65 47 49 *** 23 10 *** *** 7 7 *** *** *** ***
2013Q2 69 45 35 *** 19 9 *** *** 7 7 *** *** *** ***
2013Q3 68 39 47 *** 18 9 *** 10 8 8 *** *** *** ***
2013Q4 68 35 46 *** 18 13 *** 10 9 8 *** *** *** ***
2014Q1 67 37 46 22 17 16 *** *** 9 7 *** *** *** 0
2014Q2 75 37 37 38 18 17 *** 11 7 *** *** *** *** 0
2014Q3 80 43 58 20 17 19 *** *** 9 6 *** *** *** 0
2014Q4 75 63 40 20 15 14 *** 11 10 5 *** *** *** 0
2014Q3 28.7 15.5 20.9 7.3 6.2 6.8 *** *** 3.3 2.1 *** *** *** 0.0
2014Q4 27.7 23.4 14.9 7.3 5.6 5.2 *** 4.1 3.5 1.9 *** *** *** 0.0
Table 15: Beneficial Ownership for Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16.
Type Private Funds Other Unknown Non-U.S. Investors Non-U.S. Individuals SEC-Registered Investment Companies Banking/Thrift Inst. Broker-Dealers Sov. Wealth Funds and For. Official Inst. Insurance Companies Pension Plans State/Muni. Govt. Entities Non-Profits State/Muni. Govt. Pension Plans U.S. Individuals
2013Q1 25.8 18.6 19.5 *** 9.3 3.9 *** *** 2.6 2.8 *** *** *** ***
2013Q2 28.0 18.1 14.4 *** 7.8 3.6 *** *** 2.8 2.9 *** *** *** ***
14
2013Q3 28.5 16.2 19.6 *** 7.4 3.8 *** 4.4 3.3 3.3 *** *** *** ***
2013Q4 28.5 14.7 19.3 *** 7.4 5.6 *** 4.4 3.6 3.4 *** *** *** ***
2014Q1 27.4 15.0 18.6 9.0 6.8 6.4 *** *** 3.7 2.9 *** *** *** 0.0
2014Q2 28.8 14.2 14.3 14.7 7.0 6.5 *** 4.1 2.8 *** *** *** *** 0.0
December 30, 2015
Risk and Examinations Office
Table 16: Beneficial Ownership for Section 4 Private Equity Funds ($ Billions) As reported on Form PF, Questions 9 and 16.
Type State/Muni. Govt. Pension Plans Private Funds Sov. Wealth Funds and For. Official Inst. Pension Plans Other Non-Profits U.S. Individuals Insurance Companies Banking/Thrift Inst. Non-U.S. Individuals State/Muni. Govt. Entities Unknown Non-U.S. Investors SEC-Registered Investment Companies Broker-Dealers
2013Q1 245 230 90 103 82 66 62 61 45 23 14 16 3 1
2013Q2 246 230 90 104 83 66 62 61 45 23 14 16 3 1
2013Q3 247 230 91 107 83 68 63 61 45 23 14 16 3 1
2013Q4 285 266 112 119 95 78 72 72 46 31 15 14 2 1
2014Q1 283 266 112 116 95 77 72 71 45 33 15 14 2 1
2014Q2 284 266 113 118 95 77 72 71 45 33 15 14 2 1
2014Q3 286 268 113 119 96 76 72 72 45 33 15 14 2 1
2014Q4 300 277 124 123 110 80 79 75 35 33 16 11 3 1
Table 17: Beneficial Ownership for Section 4 Private Equity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 16.
Type State/Muni. Govt. Pension Plans Private Funds Sov. Wealth Funds and For. Official Inst. Pension Plans Other Non-Profits U.S. Individuals Insurance Companies Banking/Thrift Inst. Non-U.S. Individuals State/Muni. Govt. Entities Unknown Non-U.S. Investors SEC-Registered Investment Companies Broker-Dealers
2013Q1 23.6 22.2 8.7 9.9 7.9 6.4 6.0 5.9 4.4 2.2 1.3 1.5 0.2 0.1
2013Q2 23.6 22.1 8.7 10.0 8.0 6.4 6.0 5.9 4.3 2.2 1.3 1.5 0.3 0.1
15
2013Q3 23.5 22.0 8.7 10.2 7.9 6.5 6.0 5.8 4.3 2.2 1.3 1.5 0.2 0.1
2013Q4 23.6 22.1 9.3 9.9 7.9 6.4 6.0 5.9 3.8 2.6 1.3 1.1 0.2 0.1
2014Q1 23.6 22.1 9.4 9.6 7.9 6.4 6.0 5.9 3.8 2.8 1.2 1.1 0.2 0.1
2014Q2 23.6 22.1 9.4 9.8 7.9 6.4 6.0 5.9 3.8 2.7 1.2 1.1 0.2 0.1
2014Q3 23.7 22.1 9.3 9.8 8.0 6.3 5.9 5.9 3.7 2.7 1.2 1.1 0.2 0.1
2014Q4 23.6 21.8 9.7 9.6 8.6 6.3 6.2 5.9 2.8 2.6 1.2 0.9 0.2 0.1
December 30, 2015
V
Risk and Examinations Office
Derivatives Table 18: Aggregate Derivative Notional ($ 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 Hedge Fund Qualifying Hedge Fund Other Private Fund Private Equity Fund Section 4 Private Equity Fund Securitized Asset Fund Real Estate Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total
2013Q1 13,330 11,774 75 49 45 72 12 0 *** *** 13,586
2013Q2 13,792 11,664 78 49 45 70 12 0 *** *** 13,999
2013Q3 13,885 12,669 76 49 45 70 12 0 *** *** 14,090
2013Q4 13,151 11,995 88 47 43 45 12 0 *** *** 13,341
2014Q1 14,382 13,264 101 47 43 45 12 0 *** *** 14,583
2014Q2 16,984 15,889 102 47 43 45 12 0 *** *** 17,185
2014Q3 15,929 14,713 101 48 43 45 12 0 *** *** 16,114
2014Q4 14,591 13,316 127 66 60 27 13 0 *** *** 14,807
Table 19: Aggregate Derivative Notional (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 13, and 44 (Third Month).
Type Hedge Fund Qualifying Hedge Fund Other Private Fund Private Equity Fund Section 4 Private Equity Fund Securitized Asset Fund Real Estate Fund Venture Capital Fund Liquidity Fund Section 3 Liquidity Fund Total
2013Q1 510.4 574.1 12.0 3.3 4.3 63.2 5.0 0.3 *** *** 255.6
2013Q2 513.7 559.6 11.9 3.3 4.3 61.9 5.0 0.3 *** *** 258.3
2013Q3 493.3 577.5 11.4 3.3 4.2 60.8 5.0 0.3 *** *** 252.8
16
2013Q4 427.3 500.4 10.8 2.8 3.5 38.8 4.4 0.2 *** *** 214.1
2014Q1 454.9 536.9 12.2 2.8 3.6 37.3 4.4 0.2 *** *** 230.4
2014Q2 513.4 604.9 12.3 2.8 3.5 35.9 4.4 0.2 *** *** 264.0
2014Q3 474.2 564.6 12.2 2.8 3.5 35.6 4.4 0.2 *** *** 246.1
2014Q4 429.3 498.4 14.4 3.8 4.7 23.4 4.6 0.1 *** *** 220.7
December 30, 2015
Risk and Examinations Office
Figure 4: Distribution of Derivative Notional Values
See Appendix C and Appendix D for an explanation of boxplots and winsorization.
12 10 8 6 4 2 0 Q 20 1 13 Q 20 2 13 Q 20 3 13 Q 20 4 14 Q 20 1 14 Q 20 2 14 Q 20 3 14 Q4
Total Derivative Value ($Billions) Winsorized (limits=[1%,99%])
20
20 1
13
3Q 20 1 13 Q 20 2 13 Q 20 3 13 Q 20 4 14 Q 20 1 14 Q 20 2 14 Q 20 3 14 Q4
Total Derivative Value ($Billions) Winsorized (limits=[1%,99%])
As reported on Form PF, Questions 13 and 44 (Third Month).
1.8 1.6 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0
(a) All Private Funds
VI
(b) Qualifying Hedge Funds
High Frequency Trading Table 20: Number of Hedge Funds Using High Frequency Trading (HFT) Strategies As reported on Form PF, Questions 9 and 21.
Fraction of NAV 0% Less than 100% 100% or More
2013Q1 5,919 53 15
2013Q2 6,080 53 15
2013Q3 6,257 54 15
2013Q4 6,714 59 13
2014Q1 6,795 57 27
2014Q2 6,928 55 24
2014Q3 6,994 53 28
2014Q4 7,155 45 28
Table 21: Hedge Fund Assets Managed Using HFT Strategies ($ Billions) As reported on Form PF, Question 21.
Fraction of NAV 0% Less than 100% 100% or More
2013Q1 2,510 55 17
2013Q2 2,574 64 16
2013Q3 2,705 67 16
2013Q4 2,946 65 35
17
2014Q1 3,044 78 19
2014Q2 3,205 54 31
2014Q3 3,258 37 30
2014Q4 3,298 35 32
December 30, 2015
Risk and Examinations Office
VII Information Reported by Large Hedge Fund Advisers A
Economic Leverage Figure 5: Ratio of Hedge Fund Gross Notional Exposure to Net Asset Value See Appendix C and Appendix D for an explanation of boxplots and winsorization.
14 12 10 8 6 4 2 0
20
20 1
13
-0 20 3 13 -0 20 6 13 -0 20 9 13 -1 20 2 14 -0 20 3 14 -0 20 6 14 -0 20 9 14 -12
Ratio of GNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%])
14 12 10 8 6 4 2 0 3-0 20 3 13 -0 20 6 13 -0 20 9 13 -1 20 2 14 -0 20 3 14 -0 20 6 14 -0 20 9 14 -12
Ratio of GNE to NAV Winsorized (limits=[0%,98%])
As reported on Form PF, Questions 3(a) and 26.
(a) Gross Exposure with Interest Rate Derivatives (IRDs)
18
(b) Gross Exposure without IRDs
0
8
6
4
2
0
(c) Short Exposure with IRDs
19
-0 20 3 13 -0 20 6 13 -0 20 9 13 -1 20 2 14 -0 20 3 14 -0 20 6 14 -0 20 9 14 -12
13
2
20 3 13 -0 20 6 13 -0 20 9 13 -1 20 2 14 -0 20 3 14 -0 20 6 14 -0 20 9 14 -12
4
20
6
Ratio of LNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%])
8
3-0
10
Ratio of SNE (w/o IRDs) to NAV Winsorized (limits=[0%,98%])
-0 20 3 13 -0 20 6 13 -0 20 9 13 -1 20 2 14 -0 20 3 14 -0 20 6 14 -0 20 9 14 -12
13
20
Ratio of LNE to NAV Winsorized (limits=[0%,98%]) 10
20 1
20 13 -0 20 3 13 -0 20 6 13 -0 20 9 13 -1 20 2 14 -0 20 3 14 -0 20 6 14 -0 20 9 14 -12
Ratio of SNE to NAV Winsorized (limits=[0%,98%])
December 30, 2015 Risk and Examinations Office
Figure 6: 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.
10 8
6
4 2 0
(a) Long Exposure with IRDs (b) Long Exposure without IRDs
10
8
6
4
2
0
(d) Short Exposure without IRDs
December 30, 2015
B
Risk and Examinations Office
Industry Concentration Table 22: Large Hedge Fund Adviser Asset and Exposure Concentration (Percent of Total Reported) As reported on Form PF, Questions 3(a) and 26.
Top 10 Advisers (NAV) Month 19.3 2013-01
18.0 2013-02
17.8 2013-03
17.0 2013-04
17.2 2013-05
17.2 2013-06
18.4 2013-07
17.1 2013-08
17.1 2013-09
17.9 2013-10
17.6 2013-11
17.6 2013-12
17.8 2014-01
18.0 2014-02
18.0 2014-03
17.7 2014-04
17.7 2014-05
17.7 2014-06
16.4 2014-07
16.4 2014-08
16.4 2014-09
20.6 2014-10
20.6 2014-11
20.8 2014-12
Top 20 Advisers (NAV) 29.2 28.1 27.9 27.1 27.5 27.5 28.0 26.8 26.8 27.8 27.5 27.5 27.6 27.9 27.9 27.1 27.1 27.1 25.9 25.9 25.9 30.0 30.0 30.2
20
Top 10 Advisers (GNE) 50.5 51.9 49.2 47.1 47.4 47.5 47.2 46.7 45.3 43.9 45.5 43.0 45.4 45.8 43.3 40.7 41.7 40.3 41.0 42.2 41.4 41.6 42.1 41.9
Top 20 Advisers (GNE) 62.0 63.2 61.5 60.9 60.0 59.7 59.3 59.1 58.6 56.9 58.5 56.4 57.7 58.0 56.2 54.0 54.7 53.4 54.0 55.0 53.7 54.2 54.5 53.7
December 30, 2015
Portfolio Turnover Table 23: Aggregate Portfolio Turnover ($ Billions) As reported on Form PF, Question 27.
Month 2013-01 2013-02 2013-03 2013-04 2013-05 2013-06 2013-07 2013-08 2013-09 2013-10 2013-11 2013-12 2014-01 2014-02 2014-03 2014-04 2014-05 2014-06 2014-07 2014-08 2014-09 2014-10 2014-11 2014-12
Futures 8,419 7,899 10,887 9,293 11,444 18,097 8,136 8,340 12,356 8,299 8,852 11,533 10,957 9,985 17,827 9,899 11,116 20,520 9,105 9,177 12,784 12,662 8,427 11,347
Sov. and muni. bonds 2,174 2,121 2,262 2,415 2,717 2,604 2,025 2,043 2,157 2,171 1,942 1,934 2,357 2,190 2,395 2,319 2,276 2,341 2,347 2,220 2,572 2,760 1,983 2,134
Listed equities 1,583 1,535 1,414 1,758 1,740 1,605 1,563 4,956 1,461 1,826 1,553 1,443 1,968 1,886 1,860 2,357 2,077 2,200 1,720 1,430 1,509 2,304 1,534 1,655
Corporate bonds 127 67 80 89 102 66 62 46 94 97 91 66 99 92 109 108 100 100 89 66 107 118 88 73
Convertible bonds 23 18 23 21 26 19 16 17 21 33 28 22 30 29 55 20 23 29 19 14 23 20 17 17
Total 12,230 11,555 14,593 13,501 15,912 22,287 11,725 15,314 15,979 12,322 12,356 14,898 15,248 14,077 22,094 14,613 15,546 25,126 13,205 12,840 16,899 17,766 12,019 15,183
Figure 7: 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.
50 40 30 20 10
20
13 -0 20 3 13 -0 20 6 13 -0 20 9 13 -1 20 2 14 -0 20 3 14 -0 20 6 14 -0 20 9 14 -12
0
18 16 14 12 10 8 6 4 2 0 13 -0 20 3 13 -0 20 6 13 -0 20 9 13 -1 20 2 14 -0 20 3 14 -0 20 6 14 -0 20 9 14 -12
Ratio of Turnover to NAV Winsorized (limits=[1%,99%])
60
20
Total Turnover ($Billions) Winsorized (limits=[1%,99%])
C
Risk and Examinations Office
(a) Total Turnover
(b) Total Turnover to NAV Ratio
21
December 30, 2015
D
Risk and Examinations Office
Region and Country Exposure Table 24: Large Hedge Fund Adviser Hedge Fund Region Exposure ($ Billions) As reported on Form PF, Questions 3(a) and 28.
Region North America Europe EEA Asia South America Europe Other Supranational Africa Middle East
2013Q1 3,212 1,042 522 77 82 29 19 9
2013Q2 3,237 1,163 577 99 80 33 18 9
2013Q3 3,323 1,128 619 69 81 27 21 10
2013Q4 3,537 1,243 605 76 78 27 17 10
2014Q1 3,539 1,323 557 76 71 41 22 13
2014Q2 3,840 1,354 687 90 86 42 26 12
2014Q3 3,970 1,290 632 100 83 41 25 13
2014Q4 3,954 1,129 612 92 71 39 20 14
Table 25: Large Hedge Fund Adviser Hedge Fund
Region Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.
Region North America Europe EEA Asia South America Europe Other Supranational Africa Middle East
2013Q1 147.2 47.7 23.9 3.5 3.7 1.3 0.9 0.4
2013Q2 143.6 51.6 25.6 4.4 3.6 1.5 0.8 0.4
2013Q3 142.2 48.2 26.5 3.0 3.4 1.2 0.9 0.4
2013Q4 135.0 47.4 23.1 2.9 3.0 1.0 0.7 0.4
22
2014Q1 132.5 49.5 20.8 2.8 2.7 1.5 0.8 0.5
2014Q2 134.3 47.4 24.0 3.1 3.0 1.5 0.9 0.4
2014Q3 140.8 45.8 22.4 3.6 2.9 1.5 0.9 0.5
2014Q4 129.9 37.1 20.1 3.0 2.3 1.3 0.7 0.5
December 30, 2015
Risk and Examinations Office
Table 26: Large Hedge Fund Adviser Hedge Fund
Country Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.
Country United States Japan China (Inc. Hong Kong) Brazil India Russia
2013Q1 3,045 271 84 35 26 22
2013Q2 3,048 278 99 57 25 17
2013Q3 3,091 282 119 29 20 22
2013Q4 3,330 258 90 29 20 18
2014Q1 3,360 234 112 31 22 14
2014Q2 3,635 266 202 43 27 17
2014Q3 3,769 244 134 39 25 16
2014Q4 3,757 237 142 41 27 10
2014Q3 133.7 8.7 4.8 1.4 0.9 0.6
2014Q4 123.4 7.8 4.7 1.3 0.9 0.3
Table 27: Large Hedge Fund Adviser Hedge Fund
Country Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.
Country United States Japan China (Inc. Hong Kong) Brazil India Russia
2013Q1 139.5 12.4 3.9 1.6 1.2 1.0
2013Q2 135.2 12.3 4.4 2.5 1.1 0.8
2013Q3 132.2 12.1 5.1 1.2 0.8 1.0
23
2013Q4 127.1 9.9 3.4 1.1 0.8 0.7
2014Q1 125.8 8.8 4.2 1.2 0.8 0.5
2014Q2 127.1 9.3 7.1 1.5 0.9 0.6
December 30, 2015
VIII A
Risk and Examinations Office
Qualifying Hedge Fund Specific Information
Gross Exposure by Strategy5 Table 28: Exposures of Hedge Funds ($ Billions) As reported on Form PF, Questions 9 and 20. Category
Equity
Other
Relative Value
Macro
Event Driven
Credit
Managed Futures/CTA Investment in other funds Total
Strategy Subtotal Long/Short Market Neutral Long Bias Short Bias Subtotal Subtotal F.I. Sov. F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. Volatility Arb. Subtotal Global Macro Commodity Currency Active Trading Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Total
2013Q1 1,006 681 154 168 3 550 395 207 86 42 40 20 320 231 58 28 2 261 161 60 41 230 207 23 54 *** *** 25 2,840
2013Q2 1,083 691 218 170 3 554 422 230 87 44 40 21 336 244 61 30 1 278 169 64 45 233 211 22 49 45 4 25 2,979
2013Q3 1,164 752 222 187 3 584 442 229 105 45 43 20 509 412 65 31 1 298 179 69 50 244 220 24 51 *** *** 28 3,318
2013Q4 1,306 854 239 209 5 646 628 387 112 54 48 28 384 275 65 42 1 343 188 93 62 266 243 23 63 *** *** 45 3,681
2014Q1 1,338 867 254 209 8 667 654 414 114 54 46 25 403 291 65 46 1 365 196 109 60 278 254 24 58 *** *** 47 3,810
2014Q2 1,453 909 275 263 5 712 689 433 128 59 48 21 438 306 79 53 1 412 192 140 80 299 273 25 67 *** *** 49 4,119
2014Q3 1,432 904 294 232 2 728 774 520 133 54 47 19 384 297 40 *** *** 427 185 145 97 291 264 27 70 *** *** 52 4,158
2014Q4 1,508 924 309 270 5 750 717 470 128 51 49 19 441 333 59 48 1 403 178 138 88 299 272 27 90 *** *** 49 4,256
5 Form PF Question 20 requires advisers to indicate which strategies best describe the reporting fund’s strategies including a good faith estimate of the reporting fund’s allocation among strategies, and provides a list of investment strategies for this purpose. Form PF does not define the investment strategies listed by Question 20.
24
December 30, 2015
Risk and Examinations Office
Table 29: Exposures of Hedge Funds (Percent of NAV) As reported on Form PF, Questions 9 and 20. Category
Equity
Other
Relative Value
Macro
Event Driven
Credit
Managed Futures/CTA Investment in other funds Total
Strategy Subtotal Long/Short Market Neutral Long Bias Short Bias Subtotal Subtotal F.I. Sov. F.I. Asset Backed F.I. Corp. F.I. Conv. Arb. Volatility Arb. Subtotal Global Macro Commodity Currency Active Trading Subtotal Distressed/Restruct. Equity Risk Arb./Merger Arb. Subtotal Long/Short Asset Based Lending Subtotal Quantitative Fundamental Subtotal Total
2013Q1 49.1 33.2 7.5 8.2 0.1 26.8 19.3 10.1 4.2 2.0 1.9 1.0 15.6 11.3 2.8 1.4 0.1 12.7 7.8 2.9 2.0 11.2 10.1 1.1 2.7 *** *** 1.2 138.5
2013Q2 49.8 31.8 10.1 7.8 0.1 25.5 19.4 10.6 4.0 2.0 1.8 1.0 15.4 11.2 2.8 1.4 0.0 12.8 7.8 2.9 2.1 10.7 9.7 1.0 2.3 2.1 0.2 1.1 137.1
25
2013Q3 51.2 33.1 9.7 8.2 0.1 25.7 19.5 10.1 4.6 2.0 1.9 0.9 22.4 18.1 2.9 1.4 0.0 13.1 7.9 3.0 2.2 10.7 9.7 1.0 2.2 *** *** 1.2 146.0
2013Q4 52.0 34.0 9.5 8.3 0.2 25.7 25.0 15.4 4.4 2.1 1.9 1.1 15.3 10.9 2.6 1.7 0.1 13.7 7.5 3.7 2.5 10.6 9.7 0.9 2.5 *** *** 1.8 146.4
2014Q1 51.5 33.4 9.8 8.0 0.3 25.7 25.2 15.9 4.4 2.1 1.8 1.0 15.5 11.2 2.5 1.8 0.0 14.1 7.6 4.2 2.3 10.7 9.8 0.9 2.2 *** *** 1.8 146.7
2014Q2 52.6 33.0 10.0 9.5 0.2 25.8 25.0 15.7 4.6 2.1 1.8 0.8 15.9 11.1 2.9 1.9 0.0 14.9 7.0 5.1 2.9 10.8 9.9 0.9 2.4 *** *** 1.8 149.3
2014Q3 52.4 33.0 10.8 8.5 0.1 26.6 28.3 19.0 4.9 2.0 1.7 0.7 14.0 10.8 1.5 *** *** 15.6 6.8 5.3 3.5 10.6 9.6 1.0 2.5 *** *** 1.9 152.0
2014Q4 53.9 33.0 11.1 9.6 0.2 26.8 25.6 16.8 4.6 1.8 1.7 0.7 15.8 11.9 2.1 1.7 0.0 14.4 6.3 4.9 3.1 10.7 9.7 1.0 3.2 *** *** 1.8 152.0
December 30, 2015
Liquidity Table 30: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 50.
Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days
2013Q1 6.2 8.5 23.7 43.6 57.9 75.3
2013Q2 6.8 8.9 22.9 43.1 58.4 75.8
2013Q3 6.5 8.7 22.3 44.0 59.8 74.8
2013Q4 7.7 11.3 24.5 48.5 57.9 75.5
2014Q1 9.9 11.9 26.2 44.8 59.5 76.0
2014Q2 7.8 11.0 24.3 44.2 58.4 75.6
2014Q3 6.0 9.7 23.7 44.9 61.4 75.3
2014Q4 7.6 11.4 25.9 49.8 59.0 75.5
Table 31: Portfolio Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 32.
Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days
2013Q1 28.0 56.2 74.2 82.3 86.5 90.6
2013Q2 28.6 56.5 74.1 82.3 85.8 89.9
2013Q3 28.3 56.2 74.5 82.7 86.5 90.4
2013Q4 28.6 57.0 75.1 83.4 87.1 90.8
2014Q1 29.4 58.1 75.5 83.2 87.1 90.5
2014Q2 29.7 57.9 75.1 82.8 86.7 90.4
2014Q3 29.0 57.3 74.7 83.0 87.4 90.8
2014Q4 29.2 56.6 74.3 83.3 87.5 90.8
Figure 8: Asset Weighted-Average Qualifying Hedge Fund
Investor and Portfolio Liquidity Reported on Form PF as of Fourth Calendar Quarter 2014
As reported on Form PF, Questions 9, 32, and 50.
Portfolio Liquidity
1 d Percent of Fund Net Assets (%) ay
100
Investor Liquidity
80
60
40
20
26
day s
mo
st 3
65
day s At
At
mo
st 1
80
0d ays st 9
At
mo
0d ays st 3
At
mo
7d ays ost
At m
mo st
0
At
B
Risk and Examinations Office
December 30, 2015
Risk and Examinations Office
Table 32: Restrictions on Qualifying Hedge Fund Assets ($ Billions) As reported on Form PF, Questions 48 and 49.
Type May Suspend May Have Gates Gated Side Pocketed Suspended
2013Q1 1,612 1,064 32 40 21
2013Q2 1,647 1,089 25 41 16
2013Q3 1,747 1,144 34 39 19
2013Q4 1,919 1,229 28 37 10
2014Q1 1,987 1,279 29 37 10
2014Q2 2,105 1,365 32 42 9
2014Q3 2,087 1,395 30 39 8
2014Q4 2,143 1,409 41 39 13
Figure 9: Distribution of the Ratio of Qualifying Hedge Fund
Assets Held in Side Pockets to NAV
45 40 35 30 25 20 15 10 5 0
As reported on Form PF, Questions 9 and 48.
20
13
Q 20 1 13 Q 20 2 13 Q 20 3 13 Q 20 4 14 Q 20 1 14 Q 20 2 14 Q 20 3 14 Q4
NAV in Side-Pocket (%)
See Appendix C for an explanation of boxplots.
C
Borrowings Table 33: Borrowings of Qualifying Hedge Funds ($ Billions) As reported on Form PF, Question 43 (Third Month).
Type Secured Unsecured Total
Subtype Subtotal Prime Broker Reverse Repo Other Secured Subtotal Total
2013Q1 1,602 794 591 217 3 1,605
2013Q2 1,755 835 695 225 5 1,760
2013Q3 1,700 846 598 256 7 1,706
27
2013Q4 1,698 926 508 265 7 1,705
2014Q1 1,777 997 500 279 10 1,787
2014Q2 1,807 990 547 270 11 1,818
2014Q3 1,847 985 576 286 11 1,858
2014Q4 1,874 1,039 555 280 9 1,883
December 30, 2015
Central Clearing
Figure 10: Qualifying Hedge Funds Using Central Clearing As reported on Form PF, Question 39.
Percent of Funds
30
Percent of NAV
25 20 15 10 5
28
Q4 14 20
Q3 14 20
Q2 14 20
Q1 14 20
Q4 13 20
Q3 13 20
Q2 13 20
13
Q1
0 20
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Section 3 Liquidity Fund Specific Information Liquidity Table 34: Investor Liquidity For Section 3 Liquidity Funds (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 64.
Liquidation Period At most 1 day At most 7 days At most 30 days At most 90 days At most 180 days At most 365 days
2013Q1 68.7 90.1 99.3 100.0 100.0 100.0
2013Q2 70.8 90.7 99.3 100.0 100.0 100.0
2013Q3 70.2 91.0 99.6 100.0 100.0 100.0
2013Q4 72.3 91.5 99.7 100.0 100.0 100.0
2014Q1 70.3 91.0 99.6 100.0 100.0 100.0
2014Q2 68.7 90.6 99.2 100.0 100.0 100.0
2014Q3 70.8 91.4 99.3 100.0 100.0 100.0
2014Q4 71.9 91.4 99.3 100.0 100.0 100.0
Table 35: Suspensions and Gates of Section 3 Liquidity Funds ($ Billions) As reported on Form PF, Question 63.
Type May Suspend May Have Gates Suspended Gated
2013Q1 234 221 0 0
2013Q2 229 220 0 0
2013Q3 221 198 0 0
2013Q4 220 198 0 0
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2014Q1 229 202 0 0
2014Q2 243 214 0 0
2014Q3 265 234 0 0
2014Q4 255 223 0 0
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Risk and Examinations Office
Rule 2a-7 Compliance Table 36: Rule 2a-7 Compliance (Percent of Funds) As reported on Form PF, Questions 9 and 54.
Compliance Type Credit Quality Diversification Liquidity Maturity Fully None
2013Q1 65.3 63.3 63.3 63.3 51.0 32.7
2013Q2 63.0 60.9 60.9 60.9 54.3 34.8
2013Q3 60.9 58.7 58.7 58.7 52.2 37.0
2013Q4 60.9 58.7 58.7 58.7 52.2 37.0
2014Q1 63.0 60.9 60.9 60.9 54.3 34.8
2014Q2 63.6 61.4 61.4 61.4 56.8 34.1
2014Q3 65.9 63.6 63.6 63.6 56.8 31.8
2014Q4 60.0 57.8 57.8 57.8 51.1 37.8
Table 37: Rule 2a-7 Compliance (Percent of Aggregate NAV) As reported on Form PF, Questions 9 and 54.
Compliance Type Credit Quality Diversification Liquidity Maturity Fully None
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2013Q1 32.4 32.4 31.9 31.9 28.9 67.5
2013Q2 29.1 29.1 28.6 28.6 27.6 70.8
2013Q3 27.9 27.9 27.5 27.5 26.4 71.9
2013Q4 27.3 27.3 26.9 26.9 26.0 72.5
2014Q1 28.1 28.0 27.6 27.6 26.6 71.8
2014Q2 27.6 27.5 27.0 27.0 26.2 72.3
2014Q3 24.9 24.9 24.5 24.5 23.8 74.9
2014Q4 24.7 24.7 24.3 24.3 23.8 75.2
Methods of Calculating NAV Table 38: NAV Calculation Method (Percent of Funds) As reported on Form PF, Questions 9, 52, and 53.
Type Stable Floating
2013Q1 85.7 14.3
2013Q2 84.8 15.2
2013Q3 84.8 15.2
2013Q4 84.8 15.2
2014Q1 84.8 15.2
2014Q2 *** ***
2014Q3 *** ***
2014Q4 84.4 15.6
Table 39: NAV Calculation Method (Percent of Aggregate NAV) As reported on Form PF, Questions 9, 52, and 53.
Type Stable Floating
2013Q1 75.0 25.0
2013Q2 72.0 28.0
2013Q3 71.7 28.3
2013Q4 71.0 29.0
30
2014Q1 72.4 27.6
2014Q2 *** ***
2014Q3 *** ***
2014Q4 71.9 28.1
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Risk and Examinations Office
Section 4 Private Equity Fund Specific Information CPC Industry Concentration Table 40: Gross Assets in CPC Industries (Percent of Total) As reported on Form PF, Questions 8 and 77.
Type Oil & Gas Extraction Electric Power Generation, Transmission & Distribution Software Publishers Pipeline Transportation Telecommunications Data Processing Services Data Processing, Hosting, & Related Services Other Information Services Other Financial Investment Activities Support Activities for Mining Electronic Shopping & Mail-Order Houses Limited-Service Eating Places Water Transportation Pharmaceutical & Medicine Mfg Medical Equipment & Supplies Mfg Activities Related to Credit Intermediation Management, Scientific, & Technical Consulting Services Commercial Banking Educational Services Special Food Services
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2013Q4 7.8 3.8 2.8 2.4 2.6 2.8 2.0 1.9 1.3 0.8 1.0 1.1 1.0 1.1 1.2 1.0 1.8 1.1 1.3
2014Q4 7.5 3.7 3.7 2.5 2.4 2.2 2.0 1.7 1.5 1.4 1.4 1.3 1.3 1.2 1.2 1.2 1.1 1.0 1.0
December 30, 2015
CPC Financial Leverage Figure 11: 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.
60 50 40 30 20 10 Q4 20
20
14
Q4
0 13
Ratio of Portfolio Company Current Liabilities to Total Liabilities (%)
As reported on Form PF, Questions 71 and 72.
Figure 12: Distribution of CPC Payment-in-Kind or
Zero Coupon Borrowings to Total Borrowings Ratio
See Appendix C for an explanation of boxplots.
Q4 20
14
Q4
As reported on Form PF, Question 73.
13
40 35 30 25 20 15 10 5 0
20
CPC Payment-in-Kind Borrowings to Total Borrowings Ratio (%)
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CPC Investments by Region and Country Table 41: Aggregate Gross Value of Private Equity Investments by Region ($ Billions) As reported on Form PF, Questions 70 and 78.
Region North America Europe EEA Asia South America Supranational Middle East Africa Europe Other
2013Q4 5,275 1,423 571 75 65 8 20 25
2014Q4 4,501 1,259 462 85 67 12 12 9
Table 42: Private Equity CPC Investments by Region (Percent of Aggregate CPC Gross Asset Value) As reported on Form PF, Questions 70 and 78.
Region North America Europe EEA Asia South America Supranational Middle East Africa Europe Other
2013Q4 70.7 19.1 7.6 1.0 0.9 0.1 0.3 0.3
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2014Q4 70.2 19.6 7.2 1.3 1.0 0.2 0.2 0.1
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Risk and Examinations Office
Table 43: Aggregate Gross Asset Value of Private Equity
CPC Investments by Country ($ Billions)
As reported on Form PF, Questions 70 and 78.
Country United States China and Hong Kong Japan India Brazil Russia
2013Q4 5,035 171 233 63 45 3
2014Q4 4,300 186 98 83 58 2
Table 44: Private Equity CPC Investments by Country (Percent of Aggregate CPC Gross Asset Value) As reported on Form PF, Questions 70 and 78.
Country United States China and Hong Kong Japan India Brazil Russia
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2013Q4 67.5 2.3 3.1 0.8 0.6 0.0
2014Q4 67.1 2.9 1.5 1.3 0.9 0.0
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Risk and Examinations Office
Appendices Form PF Filer Categories
The amount of information an adviser must report and the frequency with which it must report on Form PF depends on the amount of the adviser’s private fund assets and the types of private funds managed. Reporting advisers must identify the types of private funds they manage on Form PF. 1
All Private Fund Advisers
SEC-registered investment advisers with at least $150 million in private fund assets under management are required to file Form PF. Registered investment advisers with less than $150 million in private funds assets under management, exempt reporting advisers, and state-registered advisers report general private fund data on Form ADV, but do not file Form PF.6 Not all Form PF filers report on a quarterly basis. Smaller private fund advisers and all private equity fund advisers file Form PF on an annual basis, while larger hedge fund advisers and larger liquidity fund advisers file the form quarterly.7 As a result of the difference in reporting frequency, information in this report related to funds that are reported annually may be dated by several months.8 2
Large Hedge Fund Advisers
Large Hedge Fund Advisers have at least $1.5 billion in hedge fund assets under management. A Large Hedge Fund Adviser is required to file Form PF quarterly and provide data about each hedge fund it managed during the reporting period (irrespective of the size of the fund). Large Hedge Fund Advisers must report more information on Form PF about Qualifying Hedge Funds than other hedge funds they manage during the reporting period. A Qualifying Hedge Fund is any hedge fund advised by a Large Hedge Fund Adviser that had a NAV (individually or in combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the adviser’s most recently completed fiscal quarter. This report provides information about all hedge funds reported by Large Hedge Fund Advisers, including Qualifying Hedge Funds and smaller hedge funds. This report also provides an overview of certain data reported solely for Qualifying Hedge Funds. 6
Note 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. 7 An adviser may be a large hedge fund adviser that must file quarterly to report data about the hedge funds it manages as well as a private equity fund adviser that must file only annually to report data about the private equity funds it manages. 8 In addition, because some Form PF filers have fiscal year ends that are not December 31, not all Form PF data is filed as of a single date.
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Large Liquidity Fund Advisers
Large Liquidity Fund Advisers have at least $1 billion in combined liquidity fund and money market fund assets under management. On a quarterly basis, such advisers report on Form PF data about the liquidity funds they managed during the reporting period (irrespective of the size of the fund). This report contains information about all liquidity funds reported by Large Liquidity Fund Advisers (referred to in this report as “Section 3 Liquidity Funds”). 4
Large Private Equity Fund Advisers
Large Private Equity Fund Advisers have at least a $2 billion in private equity fund assets under management. These advisers are required to file Form PF annually in connection with the private equity funds they managed during the reporting period. Smaller Private Equity Fund Advisers must file annually as well, but provide less detail regarding the private equity funds they manage. This report provides information about private equity funds managed by Large Private Equity Fund Advisers (referred to in this report as “Section 4 Private Equity Funds”). 5
Other Private Fund Advisers
All advisers required to file Form PF that are not Large Hedge Fund Advisers or Large Liquidity Fund Advisers must file Form PF annually to report data about each private fund managed by the adviser.9 These “annual filing advisers” include smaller fund advisers, Large Private Equity Fund advisers, and venture capital fund advisers. Annual filers must provide specific information about each of the private funds they manage on an annual basis.
9 This includes “other private funds,” which are private funds that do not meet the Form PF definition of hedge fund, liquidity fund, private equity fund, real estate fund, securitized asset fund, or venture capital fund.
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Handling Annual and Quarterly Data
Only a subset of filers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are required to file Form PF quarterly; all other filings are made annually. Annual filings are typically, but not always, made at the end of the calendar year, as Form PF allows filings to be made at the end of an adviser’s fiscal year. In order to present the most complete and recent data possible, while accounting for differences in filing dates, we use the following procedure for determining which data to consider in any given quarter: First, filings are grouped by their report date within their reported year: • (Q1): February 15 to May 14 • (Q2): May 15 to August 14 • (Q3): August 15 to November 14 • (Q4): November 15 to February 14 Then, responses for funds that have no information are ‘filled forward’ — essentially, copied from last reported values — up to a maximum of three quarters. Any fund that has no data four quarters after its most recent date is no longer counted or included in any calculations.10
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How to Read a Boxplot
In these figures, the boxes extend from the twenty-fifth percentile to the seventy-fifth percentile, while the levels (the dashed vertical lines) extend from the tenth to the twenty-fifth percentile as well as the seventy-fifth to the ninetieth percentile. Also shown as a red line within the box is the median (the fiftieth percentile) and the horizontal dashed line is mean of the distribution. See Figure 13 for an explanation of each feature. Figure 13: How to Read a Boxplot
10 Form PF has no requirement to inform the SEC if a fund liquidates or otherwise terminates operations. Therefore, liquidations or terminations may not be reflected on this report for up to one year after ceasing operations.
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Risk and Examinations Office
Mitigating the Effects of Outliers
Form PF data occasionally contains spurious outliers. While REO staff actively engages in outreach to identify and correct such values, not all aberrant values have been corrected as of this writing. To reduce the effect of these outliers on the aggregate measures reported here, we have chosen to winsorize or trim some data sets. Winsorization is a technique for reducing the effect of outliers by reducing the size of the largest and smallest values in a distribution.11 For example, to calculate a 95%/5% Winsorized data set, all the values above the ninety-fifth percentile are set to the value of the ninety-fifth percentile, and all the values below the fifth percentile are set to the value of the fifth percentile. Effectively, this procedure makes the very largest values smaller (but still large), and all the smallest values larger (but still small). This approach can be more effective than trimming (simply removing the largest and/or smallest values) because it does not change the number of data points and does not change the median or other percentile values within the 95%/5% range. All instances of winsorization or trimming have been noted and include the affected percentiles.
11 Such techniques are known as ‘robust statistics’, reviewed for example in Wilcox (2012), Introduction to Robust Estimation & Hypothesis Testing, 3rd Edition.
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Definitions Included by reference are all definitions included in the glossary of Form PF.
Aggregate Exposure
A dollar value for long and short positions as of the last day in each month of the reporting period, by sub-asset class, including all exposure whether held physically, synthetically or through derivatives. Includes closed out and OTC forward positions that have not expired, as well as positions in side-pockets.
Borrowing
In Form PF, borrowings include secured borrowings, unsecured borrow ings, as well as synthetic borrowings (e.g., total return swaps that meet the failed sale accounting requirements).
CPC
Controlled portfolio company, as defined in Form PF.
Gross Notional Exposure (GNE) The gross nominal or notional value of all transactions that have been entered into but not yet settled as of the data reporting date. For contracts with variable nominal or notional principal amounts, the basis for reporting is the nominal or notional principal amounts as of the data reporting date. Hedge Fund
Any private fund (other than a securitized asset fund): (a) with respect to which one or more investment advisers (or related persons of invest ment advisers) may be paid a performance fee or allocation calculated by taking into account unrealized gains (other than a fee or allocation the calculation of which may take into account unrealized gains solely for the purpose of reducing such fee or allocation to reflect net unre alized 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 hedg ing currency exposure or managing duration). The definition of a hedge fund for Form PF purposes also includes any commodity pool an adviser reports on Form PF.
IRDs
Interest rate derivatives, including foreign exchange derivatives used for either investment or hedging.
Large Hedge Fund Adviser
An adviser that has at least $1.5 billion in hedge fund assets under management.
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Large Liquidity Fund Adviser
An adviser that has at least $1 billion in combined liquidity fund and money market fund assets under management.
Large Private Equity Fund Adviser
An adviser that has at least a $2 billion in private equity fund assets under management.
Parallel Managed Account
An account advised by an adviser that pursues substantially the same in vestment objective and strategy and invests side by side in substantially the same positions as the reporting fund.
Qualifying Hedge Fund
A hedge fund advised by a Large Hedge Fund Adviser that has a net asset value (individually or in combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the adviser’s most recently completed fiscal quarter.
Section 3 Liquidity Fund
A liquidity fund advised by a Large Liquidity Fund Adviser.
Section 4 Private Equity Fund
A private equity fund advised by a Large Private Equity Fund Adviser.
Value
For derivatives (other than options), “value” means gross notional value; for options, “value” means delta adjusted notional value; for all other investments and for all borrowings where the reporting fund is the credi tor, “value” means market value or, where there is not a readily available market value, fair value; for borrowings where the reporting fund is the debtor, “value” means the value you report internally and to current and prospective investors.
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