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 FormPF@sec.gov with subject line “Fourth
Calendar Quarter 2014-Private Funds Statistics”.
1Only SEC-registered advisers with at least $150 million in private fund assets under management must report to the
Commission on Form PF. SEC-registered investment advisers with less than $150 million in private fund assets under
management, SEC exempt reporting advisers, and state-registered investment advisers are not required to file Form PF,
but report general information about the private funds they manage on Form ADV.
2The Commission began receiving Form PF filings from Large Hedge Fund Advisers in July 2012. A full data set was
not received until March 2013. This report relies upon the Form PF database constructed and maintained by the Office
of Research and Data Services in the Division of Economic and Risk Analysis.
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December 30, 2015
Risk and Examinations Office
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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7
C Parallel Managed Accounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8
III Fund Domiciles and Adviser Main Offices
10
IV Beneficial Ownership
12
V
Derivatives
16
VI High Frequency Trading
17
VII Information Reported by Large Hedge Fund Advisers
18
A Economic Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
B Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
C Portfolio Turnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
D Region and Country Exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
VIII Qualifying Hedge Fund Specific Information
24
A Gross Exposure by Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
B Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
C Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
D Central Clearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
IX Section 3 Liquidity Fund Specific Information
29
A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
B Rule 2a-7 Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
C Methods of Calculating NAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
X
Section 4 Private Equity Fund Specific Information
31
A CPC Industry Concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
B CPC Financial Leverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
C CPC Investments by Region and Country . . . . . . . . . . . . . . . . . . . . . . . . . . 33
XI Appendices
35
A Form PF Filer Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
1 All Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
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Risk and Examinations Office
2 Large Hedge Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
3 Large Liquidity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
4 Large Private Equity Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
5 Other Private Fund Advisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
B Handling Annual and Quarterly Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
C How to Read a Boxplot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
D Mitigating the Effects of Outliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
E Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
3
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December 30, 2015
Risk and Examinations Office
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
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Hedge Fund
7,512
7,697
7,906
8,412
8,495
8,606
8,678
8,635
Private Equity Fund
6,910
6,977
7,078
7,603
7,632
7,664
7,629
8,407
Other Private Fund
3,404
3,491
3,556
3,709
3,753
3,758
3,752
4,062
Section 4 Private Equity Fund
1,873
1,878
1,889
2,201
2,197
2,201
2,209
2,386
Real Estate Fund
1,375
1,376
1,400
1,547
1,546
1,546
1,534
1,788
Qualifying Hedge Fund
1,228
1,266
1,320
1,369
1,415
1,462
1,471
1,541
Securitized Asset Fund
982
987
1,012
1,172
1,191
1,208
1,196
1,327
Venture Capital Fund
369
369
379
434
435
435
438
504
Liquidity Fund
74
74
74
71
71
70
70
69
Section 3 Liquidity Fund
49
46
46
46
46
44
44
45
Total
20,573
20,893
21,319
22,882
23,052
23,188
23,171
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
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Hedge Fund
1,469
1,479
1,496
1,594
1,593
1,593
1,597
1,649
Private Equity Fund
815
821
826
863
862
866
867
919
Other Private Fund
506
515
530
524
527
525
526
553
Section 4 Private Equity Fund
173
174
175
195
195
196
195
209
Real Estate Fund
238
239
242
245
245
245
244
260
Qualifying Hedge Fund
437
442
461
469
470
494
503
525
Securitized Asset Fund
133
133
137
138
141
143
141
152
Venture Capital Fund
65
65
66
68
69
69
70
84
Liquidity Fund
37
37
37
35
35
34
34
35
Section 3 Liquidity Fund
25
24
24
24
24
23
23
24
Total
2,433
2,449
2,480
2,571
2,574
2,580
2,581
2,695
3In this report, “Funds” means all private funds reported on Form PF and “Advisers” means all SEC-registered
investment advisers that file a Form PF to report private funds. Please see Appendix E for definitions of other capitalized
terms used in this report.
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December 30, 2015
Risk and Examinations Office
II Gross and Net Assets
A Aggregate Assets by Fund Type over Time
Table 3: Aggregate Private Fund Gross Asset Value (GAV) ($ Billions)
As reported on Form PF, Question 8.
The “Total” row shows the total reported, and will not equal the sum of the preceding rows,
because the rows are not mutually exclusive.
Fund Type
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Hedge Fund
4,779
4,945
5,093
5,392
5,656
5,892
6,115
6,059
Qualifying Hedge Fund
3,891
3,986
4,135
4,357
4,583
4,827
4,941
4,925
Private Equity Fund
1,604
1,615
1,628
1,842
1,835
1,845
1,838
1,887
Section 4 Private Equity Fund
1,094
1,099
1,107
1,271
1,265
1,270
1,274
1,352
Other Private Fund
731
765
779
935
950
955
957
991
Securitized Asset Fund
330
330
338
351
356
362
357
377
Real Estate Fund
299
299
301
334
334
334
334
350
Liquidity Fund
258
257
249
248
250
274
286
274
Section 3 Liquidity Fund
255
249
241
241
247
262
281
272
Venture Capital Fund
24
24
24
30
30
30
30
39
Total
8,005
8,206
8,383
9,112
9,397
9,667
9,878
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
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Hedge Fund
2,612
2,685
2,815
3,078
3,161
3,308
3,359
3,399
Qualifying Hedge Fund
2,051
2,084
2,194
2,397
2,470
2,627
2,606
2,672
Private Equity Fund
1,471
1,479
1,494
1,702
1,695
1,702
1,694
1,744
Section 4 Private Equity Fund
1,037
1,042
1,049
1,206
1,200
1,205
1,209
1,274
Other Private Fund
621
653
667
816
823
827
830
883
Securitized Asset Fund
114
114
116
117
122
126
126
114
Real Estate Fund
235
235
237
266
266
266
265
279
Liquidity Fund
256
255
247
246
249
273
283
272
Section 3 Liquidity Fund
253
247
239
239
246
261
279
271
Venture Capital Fund
21
21
22
28
28
28
28
37
Total
5,316
5,420
5,573
6,232
6,329
6,511
6,548
6,708
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December 30, 2015
Risk and Examinations Office
Figure 1: GAV and NAV Distributions
See Appendix C for an explanation of boxplots.
As reported on Form PF, Questions 8 and 9.
2013Q12013Q22013Q32013Q4 2014Q12014Q22014Q32014Q4
0
1
2
3
4
5
6
7
8
GAV ($Billions)
2013Q12013Q22013Q32013Q4 2014Q12014Q22014Q32014Q4
0
1
2
3
4
5
6
7
8
NAV ($Billions)
(a) Qualifying Hedge Fund GAV
(b) Qualifying Hedge Fund NAV
2013Q12013Q22013Q32013Q4 2014Q12014Q22014Q32014Q4
0
200
400
600
800
1000
1200
1400
1600
GAV ($Millions)
2013Q12013Q22013Q32013Q4 2014Q12014Q22014Q32014Q4
0
200
400
600
800
1000
1200
1400
1600
NAV ($Millions)
(c) Section 4 Private Equity Fund GAV
(d) Section 4 Private Equity Fund NAV
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December 30, 2015
Risk and Examinations Office
B Borrowings
Table 5: Aggregate Borrowings (Percent of Aggregate GAV)
As reported on Form PF, Questions 8, 12, and 43 (Third Month).
Fund Type
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Securitized Asset Fund
46.6
46.4
45.9
47.5
46.9
46.4
47.1
48.0
Qualifying Hedge Fund
41.8
44.4
41.4
39.3
39.2
37.9
37.6
38.3
Hedge Fund
38.8
40.9
38.4
36.8
36.9
36.6
36.6
35.9
Real Estate Fund
15.1
14.9
14.8
12.9
12.5
12.5
12.5
13.6
Private Equity Fund
3.6
3.8
3.8
2.3
2.4
2.4
2.4
4.0
Other Private Fund
6.4
6.2
6.0
4.2
4.1
4.1
4.0
2.8
Section 4 Private Equity Fund
2.8
2.8
2.8
2.1
2.1
2.1
2.1
2.3
Venture Capital Fund
1.4
1.4
1.4
0.9
0.9
0.9
0.9
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 2: 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).
2013Q12013Q22013Q32013Q4 2014Q12014Q22014Q32014Q4
0
100
200
300
400
500
600
700
Total Borrowings ($Millions)
2013Q12013Q22013Q32013Q4 2014Q12014Q22014Q32014Q4
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
Total Borrowings ($Billions)
(a) All Private Funds
(b) Qualifying Hedge Funds
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December 30, 2015
Risk and Examinations Office
C 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
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Hedge Fund
630
646
648
667
683
696
710
710
Other Private Fund
290
324
332
336
342
342
340
399
Qualifying Hedge Fund
193
190
199
202
211
227
218
230
Private Equity Fund
181
184
187
190
188
195
197
210
Section 4 Private Equity Fund
73
76
76
62
57
57
57
60
Real Estate Fund
33
33
33
46
46
46
46
51
Securitized Asset Fund
***
***
***
***
***
***
***
***
Liquidity Fund
19
19
18
18
17
17
17
16
Section 3 Liquidity Fund
18
16
15
15
15
14
15
14
Venture Capital Fund
***
***
***
***
***
***
***
***
Total
1,157
1,209
1,222
1,286
1,305
1,324
1,338
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
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Hedge Fund
539
594
600
620
612
910
834
754
Other Private Fund
837
925
1,132
1,446
1,455
1,450
1,272
1,417
Qualifying Hedge Fund
392
344
418
451
431
737
441
532
Private Equity Fund
115
115
115
123
122
124
124
107
Section 4 Private Equity Fund
22
23
23
18
17
17
17
16
Real Estate Fund
8
8
8
11
11
11
11
11
Securitized Asset Fund
***
***
***
***
***
***
***
***
Liquidity Fund
376
371
384
392
334
326
339
349
Section 3 Liquidity Fund
371
314
327
335
330
321
335
345
Venture Capital Fund
***
***
***
***
***
***
***
***
Total
1,873
2,011
2,237
2,656
2,596
2,880
2,638
2,731
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.
8
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December 30, 2015
Risk and Examinations Office
Figure 3: Parallel Managed Account Value Distributions
See Appendix C for an explanation of boxplots.
As reported on Form PF, Question 11.
2013Q12013Q22013Q32013Q4 2014Q12014Q22014Q32014Q4
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
Parallel Managed Assets ($Billions)
2013Q12013Q22013Q32013Q4 2014Q12014Q22014Q32014Q4
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
Parallel Managed Assets ($Billions)
(a) All Private Funds
(b) Qualifying Hedge Funds
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December 30, 2015
Risk and Examinations Office
III Fund Domiciles and Adviser Main Offices
Table 8: Fund Domicile (Percent of NAV)
As reported on Form PF, Question 9 and Form ADV.
Country
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
United States
50.2
49.7
49.5
51.3
50.5
50.1
50.1
49.5
Cayman Islands
37.0
37.2
37.4
36.8
37.3
37.6
37.6
37.8
Ireland
4.3
4.2
4.1
4.1
4.2
4.4
4.6
4.7
Virgin Islands, British
2.7
2.8
2.8
2.7
2.7
2.7
2.7
2.6
Bermuda
1.2
1.2
1.2
1.2
1.2
1.2
1.2
1.2
Luxembourg
1.0
1.1
1.2
1.2
1.2
1.2
1.2
1.2
United Kingdom
1.1
1.1
1.1
0.7
0.7
0.7
0.7
1.0
Other
2.4
2.7
2.6
2.1
2.1
2.1
2.0
1.9
All Private Funds
Qualifying Hedge Funds
Country
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Cayman Islands
53.8
53.7
53.9
54.3
55.4
55.3
54.9
55.5
United States
33.0
32.5
32.3
32.5
31.3
31.6
32.2
31.5
Virgin Islands, British
6.3
5.8
5.7
6.2
6.2
6.1
6.0
6.1
Ireland
1.6
1.8
2.0
2.1
2.2
2.2
2.2
2.4
Bermuda
1.8
1.8
1.8
1.4
1.3
1.4
1.4
1.4
Luxembourg
1.7
1.7
1.8
1.5
1.6
1.6
1.5
1.3
Other
1.9
2.7
2.6
2.0
2.0
1.9
1.8
1.9
Section 3 Liquidity Funds
Country
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Ireland
***
***
***
***
***
***
***
***
United States
32.6
32.9
34.4
35.9
33.2
34.1
32.3
30.6
Cayman Islands
8.0
8.7
8.1
7.9
8.8
***
8.2
***
Other
***
***
***
***
***
***
***
***
Country
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
United States
66.5
66.2
66.5
66.6
66.3
66.4
66.5
63.3
Cayman Islands
28.3
28.6
28.4
28.2
28.3
28.2
28.2
30.7
United Kingdom
1.6
1.6
1.6
1.3
1.3
1.3
1.3
2.3
Canada
***
***
***
1.3
1.3
1.3
1.3
1.3
Bermuda
***
***
***
0.9
0.9
0.9
0.9
1.0
Other
1.6
1.6
1.6
1.6
1.8
1.8
1.8
1.4
Section 4 Private Equity Funds
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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
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
United States
89.8
89.4
89.3
89.9
89.2
88.9
88.7
89.8
United Kingdom
6.7
6.9
6.9
6.4
6.7
7.0
7.3
6.4
Other
3.5
3.7
3.8
3.7
4.1
4.1
4.0
3.7
All Private Funds
Country
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
United States
90.4
89.6
89.4
89.5
89.3
89.4
89.7
89.9
United Kingdom
5.3
5.7
5.8
5.6
5.7
5.8
5.6
5.0
Hong Kong
***
***
***
***
***
***
***
***
Australia
***
***
***
***
***
***
***
***
Other
4.1
4.0
3.5
3.2
3.1
2.9
2.8
2.7
Qualifying Hedge Funds
Country
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
United States
66.3
66.4
66.9
66.8
67.2
68.5
65.3
63.6
United Kingdom
***
***
***
***
***
***
***
***
France
***
***
***
***
***
***
***
***
Section 3 Liquidity Funds
Country
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
United States
98.1
98.0
98.0
97.3
97.4
97.4
97.4
97.8
Canada
***
***
***
***
***
***
***
***
Other
***
***
***
***
***
***
***
***
Section 4 Private Equity Funds
11
December 30, 2015
Risk and Examinations Office
IV Beneficial Ownership
Table 10: Beneficial Ownership for All Private Funds ($ Billions)
As reported on Form PF, Questions 9 and 16.
Type
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Private Funds
1,168
1,187
1,213
1,276
1,286
1,315
1,326
1,356
State/Muni. Govt. Pension Plans
694
705
724
820
835
839
835
859
Pension Plans
661
669
694
796
804
819
819
839
Other
559
565
580
652
664
692
714
765
U.S. Individuals
588
600
616
696
699
716
717
739
Non-Profits
524
565
580
633
645
669
678
689
Sov. Wealth Funds and For. Official Inst.
278
284
295
340
341
350
347
361
Insurance Companies
193
199
206
245
248
253
254
263
Non-U.S. Individuals
169
184
176
183
192
214
198
193
Unknown Non-U.S. Investors
162
154
168
174
177
174
196
185
Banking/Thrift Inst.
145
143
144
151
154
156
157
142
Broker-Dealers
23
21
24
90
103
109
112
116
State/Muni. Govt. Entities
59
59
61
68
69
83
84
89
SEC-Registered Investment Companies
77
72
78
88
86
98
88
88
Table 11: Beneficial Ownership for All Private Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Private Funds
22.0
21.9
21.8
20.5
20.3
20.2
20.2
20.2
State/Muni. Govt. Pension Plans
13.1
13.0
13.0
13.2
13.2
12.9
12.8
12.8
Pension Plans
12.4
12.4
12.4
12.8
12.7
12.6
12.5
12.5
Other
10.5
10.4
10.4
10.5
10.5
10.6
10.9
11.4
U.S. Individuals
11.1
11.1
11.1
11.2
11.0
11.0
10.9
11.0
Non-Profits
9.9
10.4
10.4
10.2
10.2
10.3
10.4
10.3
Sov. Wealth Funds and For. Official Inst.
5.2
5.2
5.3
5.4
5.4
5.4
5.3
5.4
Insurance Companies
3.6
3.7
3.7
3.9
3.9
3.9
3.9
3.9
Non-U.S. Individuals
3.2
3.4
3.2
2.9
3.0
3.3
3.0
2.9
Unknown Non-U.S. Investors
3.0
2.8
3.0
2.8
2.8
2.7
3.0
2.8
Banking/Thrift Inst.
2.7
2.6
2.6
2.4
2.4
2.4
2.4
2.1
Broker-Dealers
0.4
0.4
0.4
1.4
1.6
1.7
1.7
1.7
State/Muni. Govt. Entities
1.1
1.1
1.1
1.1
1.1
1.3
1.3
1.3
SEC-Registered Investment Companies
1.4
1.3
1.4
1.4
1.4
1.5
1.3
1.3
12
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
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Private Funds
489
497
504
509
526
547
554
558
Non-Profits
277
295
305
322
323
349
358
357
Pension Plans
262
263
276
293
308
323
312
334
U.S. Individuals
264
270
283
307
303
322
321
321
Other
195
194
209
238
242
271
268
300
State/Muni. Govt. Pension Plans
207
209
224
242
253
254
242
256
Sov. Wealth Funds and For. Official Inst.
107
111
118
127
129
137
133
133
Broker-Dealers
7
5
7
71
85
89
91
93
Non-U.S. Individuals
52
51
57
60
62
68
69
68
Insurance Companies
50
53
57
59
61
65
65
65
Unknown Non-U.S. Investors
47
49
55
58
61
66
68
61
SEC-Registered Investment Companies
35
33
39
49
48
58
50
49
State/Muni. Govt. Entities
23
22
23
25
26
38
38
41
Banking/Thrift Inst.
34
32
34
34
36
36
36
33
Table 13: Beneficial Ownership for Qualifying Hedge Funds
(Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 16.
Type
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Private Funds
23.8
23.8
23.0
21.2
21.3
20.8
21.3
20.9
Non-Profits
13.5
14.1
13.9
13.4
13.1
13.3
13.7
13.4
Pension Plans
12.8
12.6
12.6
12.2
12.5
12.3
12.0
12.5
U.S. Individuals
12.9
12.9
12.9
12.8
12.3
12.3
12.3
12.0
Other
9.5
9.3
9.5
9.9
9.8
10.3
10.3
11.2
State/Muni. Govt. Pension Plans
10.1
10.0
10.2
10.1
10.3
9.7
9.3
9.6
Sov. Wealth Funds and For. Official Inst.
5.2
5.3
5.4
5.3
5.2
5.2
5.1
5.0
Broker-Dealers
0.3
0.3
0.3
3.0
3.4
3.4
3.5
3.5
Non-U.S. Individuals
2.5
2.4
2.6
2.5
2.5
2.6
2.6
2.5
Insurance Companies
2.4
2.5
2.6
2.5
2.5
2.5
2.5
2.4
Unknown Non-U.S. Investors
2.3
2.4
2.5
2.4
2.5
2.5
2.6
2.3
SEC-Registered Investment Companies
1.7
1.6
1.8
2.1
2.0
2.2
1.9
1.8
State/Muni. Govt. Entities
1.1
1.1
1.1
1.1
1.1
1.5
1.5
1.5
Banking/Thrift Inst.
1.6
1.5
1.5
1.4
1.5
1.4
1.4
1.3
13
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
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Private Funds
65
69
68
68
67
75
80
75
Other
47
45
39
35
37
37
43
63
Unknown Non-U.S. Investors
49
35
47
46
46
37
58
40
Non-U.S. Individuals
***
***
***
***
22
38
20
20
SEC-Registered Investment Companies
23
19
18
18
17
18
17
15
Banking/Thrift Inst.
10
9
9
13
16
17
19
14
Broker-Dealers
***
***
***
***
***
***
***
***
Sov. Wealth Funds and For. Official Inst.
***
***
10
10
***
11
***
11
Insurance Companies
7
7
8
9
9
7
9
10
Pension Plans
7
7
8
8
7
***
6
5
State/Muni. Govt. Entities
***
***
***
***
***
***
***
***
Non-Profits
***
***
***
***
***
***
***
***
State/Muni. Govt. Pension Plans
***
***
***
***
***
***
***
***
U.S. Individuals
***
***
***
***
0
0
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
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Private Funds
25.8
28.0
28.5
28.5
27.4
28.8
28.7
27.7
Other
18.6
18.1
16.2
14.7
15.0
14.2
15.5
23.4
Unknown Non-U.S. Investors
19.5
14.4
19.6
19.3
18.6
14.3
20.9
14.9
Non-U.S. Individuals
***
***
***
***
9.0
14.7
7.3
7.3
SEC-Registered Investment Companies
9.3
7.8
7.4
7.4
6.8
7.0
6.2
5.6
Banking/Thrift Inst.
3.9
3.6
3.8
5.6
6.4
6.5
6.8
5.2
Broker-Dealers
***
***
***
***
***
***
***
***
Sov. Wealth Funds and For. Official Inst.
***
***
4.4
4.4
***
4.1
***
4.1
Insurance Companies
2.6
2.8
3.3
3.6
3.7
2.8
3.3
3.5
Pension Plans
2.8
2.9
3.3
3.4
2.9
***
2.1
1.9
State/Muni. Govt. Entities
***
***
***
***
***
***
***
***
Non-Profits
***
***
***
***
***
***
***
***
State/Muni. Govt. Pension Plans
***
***
***
***
***
***
***
***
U.S. Individuals
***
***
***
***
0.0
0.0
0.0
0.0
14
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
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
State/Muni. Govt. Pension Plans
245
246
247
285
283
284
286
300
Private Funds
230
230
230
266
266
266
268
277
Sov. Wealth Funds and For. Official Inst.
90
90
91
112
112
113
113
124
Pension Plans
103
104
107
119
116
118
119
123
Other
82
83
83
95
95
95
96
110
Non-Profits
66
66
68
78
77
77
76
80
U.S. Individuals
62
62
63
72
72
72
72
79
Insurance Companies
61
61
61
72
71
71
72
75
Banking/Thrift Inst.
45
45
45
46
45
45
45
35
Non-U.S. Individuals
23
23
23
31
33
33
33
33
State/Muni. Govt. Entities
14
14
14
15
15
15
15
16
Unknown Non-U.S. Investors
16
16
16
14
14
14
14
11
SEC-Registered Investment Companies
3
3
3
2
2
2
2
3
Broker-Dealers
1
1
1
1
1
1
1
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
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
State/Muni. Govt. Pension Plans
23.6
23.6
23.5
23.6
23.6
23.6
23.7
23.6
Private Funds
22.2
22.1
22.0
22.1
22.1
22.1
22.1
21.8
Sov. Wealth Funds and For. Official Inst.
8.7
8.7
8.7
9.3
9.4
9.4
9.3
9.7
Pension Plans
9.9
10.0
10.2
9.9
9.6
9.8
9.8
9.6
Other
7.9
8.0
7.9
7.9
7.9
7.9
8.0
8.6
Non-Profits
6.4
6.4
6.5
6.4
6.4
6.4
6.3
6.3
U.S. Individuals
6.0
6.0
6.0
6.0
6.0
6.0
5.9
6.2
Insurance Companies
5.9
5.9
5.8
5.9
5.9
5.9
5.9
5.9
Banking/Thrift Inst.
4.4
4.3
4.3
3.8
3.8
3.8
3.7
2.8
Non-U.S. Individuals
2.2
2.2
2.2
2.6
2.8
2.7
2.7
2.6
State/Muni. Govt. Entities
1.3
1.3
1.3
1.3
1.2
1.2
1.2
1.2
Unknown Non-U.S. Investors
1.5
1.5
1.5
1.1
1.1
1.1
1.1
0.9
SEC-Registered Investment Companies
0.2
0.3
0.2
0.2
0.2
0.2
0.2
0.2
Broker-Dealers
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
15
December 30, 2015
Risk and Examinations Office
V 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
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Hedge Fund
13,330
13,792
13,885
13,151
14,382
16,984
15,929
14,591
Qualifying Hedge Fund
11,774
11,664
12,669
11,995
13,264
15,889
14,713
13,316
Other Private Fund
75
78
76
88
101
102
101
127
Private Equity Fund
49
49
49
47
47
47
48
66
Section 4 Private Equity Fund
45
45
45
43
43
43
43
60
Securitized Asset Fund
72
70
70
45
45
45
45
27
Real Estate Fund
12
12
12
12
12
12
12
13
Venture Capital Fund
0
0
0
0
0
0
0
0
Liquidity Fund
***
***
***
***
***
***
***
***
Section 3 Liquidity Fund
***
***
***
***
***
***
***
***
Total
13,586
13,999
14,090
13,341
14,583
17,185
16,114
14,807
Table 19: Aggregate Derivative Notional (Percent of Aggregate NAV)
As reported on Form PF, Questions 9, 13, and 44 (Third Month).
Type
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Hedge Fund
510.4
513.7
493.3
427.3
454.9
513.4
474.2
429.3
Qualifying Hedge Fund
574.1
559.6
577.5
500.4
536.9
604.9
564.6
498.4
Other Private Fund
12.0
11.9
11.4
10.8
12.2
12.3
12.2
14.4
Private Equity Fund
3.3
3.3
3.3
2.8
2.8
2.8
2.8
3.8
Section 4 Private Equity Fund
4.3
4.3
4.2
3.5
3.6
3.5
3.5
4.7
Securitized Asset Fund
63.2
61.9
60.8
38.8
37.3
35.9
35.6
23.4
Real Estate Fund
5.0
5.0
5.0
4.4
4.4
4.4
4.4
4.6
Venture Capital Fund
0.3
0.3
0.3
0.2
0.2
0.2
0.2
0.1
Liquidity Fund
***
***
***
***
***
***
***
***
Section 3 Liquidity Fund
***
***
***
***
***
***
***
***
Total
255.6
258.3
252.8
214.1
230.4
264.0
246.1
220.7
16
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.
As reported on Form PF, Questions 13 and 44 (Third Month).
2013Q12013Q22013Q32013Q4 2014Q12014Q22014Q32014Q4
0.0
0.2
0.4
0.6
0.8
1.0
1.2
1.4
1.6
1.8
Total Derivative Value ($Billions)
Winsorized (limits=[1%,99%])
2013Q12013Q22013Q32013Q4 2014Q12014Q22014Q32014Q4
0
2
4
6
8
10
12
Total Derivative Value ($Billions)
Winsorized (limits=[1%,99%])
(a) All Private Funds
(b) Qualifying Hedge Funds
VI High Frequency Trading
Table 20: Number of Hedge Funds Using
High Frequency Trading (HFT) Strategies
As reported on Form PF, Questions 9 and 21.
Fraction of NAV 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
0%
5,919
6,080
6,257
6,714
6,795
6,928
6,994
7,155
Less than 100%
53
53
54
59
57
55
53
45
100% or More
15
15
15
13
27
24
28
28
Table 21: Hedge Fund Assets Managed Using HFT Strategies ($ Billions)
As reported on Form PF, Question 21.
Fraction of NAV 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
0%
2,510
2,574
2,705
2,946
3,044
3,205
3,258
3,298
Less than 100%
55
64
67
65
78
54
37
35
100% or More
17
16
16
35
19
31
30
32
17
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.
As reported on Form PF, Questions 3(a) and 26.
2013-032013-062013-092013-122014-032014-062014-092014-12
0
2
4
6
8
10
12
14
Ratio of GNE to NAV
Winsorized (limits=[0%,98%])
2013-032013-062013-092013-122014-032014-062014-092014-12
0
2
4
6
8
10
12
14
Ratio of GNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
(a) Gross Exposure with Interest Rate Derivatives (IRDs)
(b) Gross Exposure without IRDs
18
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.
2013-032013-062013-092013-122014-032014-062014-092014-12
0
2
4
6
8
10
Ratio of LNE to NAV
Winsorized (limits=[0%,98%])
2013-032013-062013-092013-122014-032014-062014-092014-12
0
2
4
6
8
10
Ratio of LNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
(a) Long Exposure with IRDs
(b) Long Exposure without IRDs
2013-032013-062013-092013-122014-032014-062014-092014-12
0
2
4
6
8
10
Ratio of SNE to NAV
Winsorized (limits=[0%,98%])
2013-032013-062013-092013-122014-032014-062014-092014-12
0
2
4
6
8
10
Ratio of SNE (w/o IRDs) to NAV
Winsorized (limits=[0%,98%])
(c) Short Exposure with IRDs
(d) Short Exposure without IRDs
19
December 30, 2015
Risk and Examinations Office
B 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.
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
Top 10 Advisers (NAV) Top 20 Advisers (NAV) Top 10 Advisers (GNE) Top 20 Advisers (GNE)
19.3
18.0
17.8
17.0
17.2
17.2
18.4
17.1
17.1
17.9
17.6
17.6
17.8
18.0
18.0
17.7
17.7
17.7
16.4
16.4
16.4
20.6
20.6
20.8
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
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
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
20
December 30, 2015
Risk and Examinations Office
C Portfolio Turnover
Table 23: Aggregate Portfolio Turnover ($ Billions)
As reported on Form PF, Question 27.
Month
Futures Sov. and muni. bonds Listed equities Corporate bonds Convertible bonds
Total
2013-01
8,419
2,174
1,583
127
23 12,230
2013-02
7,899
2,121
1,535
67
18 11,555
2013-03
10,887
2,262
1,414
80
23 14,593
2013-04
9,293
2,415
1,758
89
21 13,501
2013-05
11,444
2,717
1,740
102
26 15,912
2013-06
18,097
2,604
1,605
66
19 22,287
2013-07
8,136
2,025
1,563
62
16 11,725
2013-08
8,340
2,043
4,956
46
17 15,314
2013-09
12,356
2,157
1,461
94
21 15,979
2013-10
8,299
2,171
1,826
97
33 12,322
2013-11
8,852
1,942
1,553
91
28 12,356
2013-12
11,533
1,934
1,443
66
22 14,898
2014-01
10,957
2,357
1,968
99
30 15,248
2014-02
9,985
2,190
1,886
92
29 14,077
2014-03
17,827
2,395
1,860
109
55 22,094
2014-04
9,899
2,319
2,357
108
20 14,613
2014-05
11,116
2,276
2,077
100
23 15,546
2014-06
20,520
2,341
2,200
100
29 25,126
2014-07
9,105
2,347
1,720
89
19 13,205
2014-08
9,177
2,220
1,430
66
14 12,840
2014-09
12,784
2,572
1,509
107
23 16,899
2014-10
12,662
2,760
2,304
118
20 17,766
2014-11
8,427
1,983
1,534
88
17 12,019
2014-12
11,347
2,134
1,655
73
17 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.
2013-032013-062013-092013-122014-032014-062014-092014-12
0
10
20
30
40
50
60
Total Turnover ($Billions)
Winsorized (limits=[1%,99%])
2013-032013-062013-092013-122014-032014-062014-092014-12
0
2
4
6
8
10
12
14
16
18
Ratio of Turnover to NAV
Winsorized (limits=[1%,99%])
(a) Total Turnover
(b) Total Turnover to NAV Ratio
21
December 30, 2015
Risk and Examinations Office
D Region and Country Exposure
Table 24: Large Hedge Fund Adviser Hedge Fund
Region Exposure ($ Billions)
As reported on Form PF, Questions 3(a) and 28.
Region
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
North America
3,212
3,237
3,323
3,537
3,539
3,840
3,970
3,954
Europe EEA
1,042
1,163
1,128
1,243
1,323
1,354
1,290
1,129
Asia
522
577
619
605
557
687
632
612
South America
77
99
69
76
76
90
100
92
Europe Other
82
80
81
78
71
86
83
71
Supranational
29
33
27
27
41
42
41
39
Africa
19
18
21
17
22
26
25
20
Middle East
9
9
10
10
13
12
13
14
Region
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
North America
147.2
143.6
142.2
135.0
132.5
134.3
140.8
129.9
Europe EEA
47.7
51.6
48.2
47.4
49.5
47.4
45.8
37.1
Asia
23.9
25.6
26.5
23.1
20.8
24.0
22.4
20.1
South America
3.5
4.4
3.0
2.9
2.8
3.1
3.6
3.0
Europe Other
3.7
3.6
3.4
3.0
2.7
3.0
2.9
2.3
Supranational
1.3
1.5
1.2
1.0
1.5
1.5
1.5
1.3
Africa
0.9
0.8
0.9
0.7
0.8
0.9
0.9
0.7
Middle East
0.4
0.4
0.4
0.4
0.5
0.4
0.5
0.5
Table 25: Large Hedge Fund Adviser Hedge Fund
Region Exposure (Percent of Aggregate NAV)
As reported on Form PF, Questions 3(a) and 28.
22
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
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
United States
3,045
3,048
3,091
3,330
3,360
3,635
3,769
3,757
Japan
271
278
282
258
234
266
244
237
China (Inc. Hong Kong)
84
99
119
90
112
202
134
142
Brazil
35
57
29
29
31
43
39
41
India
26
25
20
20
22
27
25
27
Russia
22
17
22
18
14
17
16
10
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
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
United States
139.5
135.2
132.2
127.1
125.8
127.1
133.7
123.4
Japan
12.4
12.3
12.1
9.9
8.8
9.3
8.7
7.8
China (Inc. Hong Kong)
3.9
4.4
5.1
3.4
4.2
7.1
4.8
4.7
Brazil
1.6
2.5
1.2
1.1
1.2
1.5
1.4
1.3
India
1.2
1.1
0.8
0.8
0.8
0.9
0.9
0.9
Russia
1.0
0.8
1.0
0.7
0.5
0.6
0.6
0.3
23
December 30, 2015
Risk and Examinations Office
VIII Qualifying Hedge Fund Specific Information
A Gross Exposure by Strategy5
Table 28: Exposures of Hedge Funds ($ Billions)
As reported on Form PF, Questions 9 and 20.
Category
Strategy
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Equity
Subtotal
1,006
1,083
1,164
1,306
1,338
1,453
1,432
1,508
Long/Short
681
691
752
854
867
909
904
924
Market Neutral
154
218
222
239
254
275
294
309
Long Bias
168
170
187
209
209
263
232
270
Short Bias
3
3
3
5
8
5
2
5
Other
Subtotal
550
554
584
646
667
712
728
750
Relative Value
Subtotal
395
422
442
628
654
689
774
717
F.I. Sov.
207
230
229
387
414
433
520
470
F.I. Asset Backed
86
87
105
112
114
128
133
128
F.I. Corp.
42
44
45
54
54
59
54
51
F.I. Conv. Arb.
40
40
43
48
46
48
47
49
Volatility Arb.
20
21
20
28
25
21
19
19
Macro
Subtotal
320
336
509
384
403
438
384
441
Global Macro
231
244
412
275
291
306
297
333
Commodity
58
61
65
65
65
79
40
59
Currency
28
30
31
42
46
53
***
48
Active Trading
2
1
1
1
1
1
***
1
Event Driven
Subtotal
261
278
298
343
365
412
427
403
Distressed/Restruct.
161
169
179
188
196
192
185
178
Equity
60
64
69
93
109
140
145
138
Risk Arb./Merger Arb.
41
45
50
62
60
80
97
88
Credit
Subtotal
230
233
244
266
278
299
291
299
Long/Short
207
211
220
243
254
273
264
272
Asset Based Lending
23
22
24
23
24
25
27
27
Managed Futures/CTA
Subtotal
54
49
51
63
58
67
70
90
Quantitative
***
45
***
***
***
***
***
***
Fundamental
***
4
***
***
***
***
***
***
Investment in other funds Subtotal
25
25
28
45
47
49
52
49
Total
Total
2,840
2,979
3,318
3,681
3,810
4,119
4,158
4,256
5Form PF Question 20 requires advisers to indicate which strategies best describe the reporting fund’s strategies
including a good faith estimate of the reporting fund’s allocation among strategies, and provides a list of investment
strategies for this purpose. Form PF does not define the investment strategies listed by Question 20.
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
Strategy
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Equity
Subtotal
49.1
49.8
51.2
52.0
51.5
52.6
52.4
53.9
Long/Short
33.2
31.8
33.1
34.0
33.4
33.0
33.0
33.0
Market Neutral
7.5
10.1
9.7
9.5
9.8
10.0
10.8
11.1
Long Bias
8.2
7.8
8.2
8.3
8.0
9.5
8.5
9.6
Short Bias
0.1
0.1
0.1
0.2
0.3
0.2
0.1
0.2
Other
Subtotal
26.8
25.5
25.7
25.7
25.7
25.8
26.6
26.8
Relative Value
Subtotal
19.3
19.4
19.5
25.0
25.2
25.0
28.3
25.6
F.I. Sov.
10.1
10.6
10.1
15.4
15.9
15.7
19.0
16.8
F.I. Asset Backed
4.2
4.0
4.6
4.4
4.4
4.6
4.9
4.6
F.I. Corp.
2.0
2.0
2.0
2.1
2.1
2.1
2.0
1.8
F.I. Conv. Arb.
1.9
1.8
1.9
1.9
1.8
1.8
1.7
1.7
Volatility Arb.
1.0
1.0
0.9
1.1
1.0
0.8
0.7
0.7
Macro
Subtotal
15.6
15.4
22.4
15.3
15.5
15.9
14.0
15.8
Global Macro
11.3
11.2
18.1
10.9
11.2
11.1
10.8
11.9
Commodity
2.8
2.8
2.9
2.6
2.5
2.9
1.5
2.1
Currency
1.4
1.4
1.4
1.7
1.8
1.9
***
1.7
Active Trading
0.1
0.0
0.0
0.1
0.0
0.0
***
0.0
Event Driven
Subtotal
12.7
12.8
13.1
13.7
14.1
14.9
15.6
14.4
Distressed/Restruct.
7.8
7.8
7.9
7.5
7.6
7.0
6.8
6.3
Equity
2.9
2.9
3.0
3.7
4.2
5.1
5.3
4.9
Risk Arb./Merger Arb.
2.0
2.1
2.2
2.5
2.3
2.9
3.5
3.1
Credit
Subtotal
11.2
10.7
10.7
10.6
10.7
10.8
10.6
10.7
Long/Short
10.1
9.7
9.7
9.7
9.8
9.9
9.6
9.7
Asset Based Lending
1.1
1.0
1.0
0.9
0.9
0.9
1.0
1.0
Managed Futures/CTA
Subtotal
2.7
2.3
2.2
2.5
2.2
2.4
2.5
3.2
Quantitative
***
2.1
***
***
***
***
***
***
Fundamental
***
0.2
***
***
***
***
***
***
Investment in other funds Subtotal
1.2
1.1
1.2
1.8
1.8
1.8
1.9
1.8
Total
Total
138.5
137.1
146.0
146.4
146.7
149.3
152.0
152.0
25
December 30, 2015
Risk and Examinations Office
B Liquidity
Table 30: Investor Liquidity for Qualifying Hedge Funds (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 50.
Liquidation Period 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
At most 1 day
6.2
6.8
6.5
7.7
9.9
7.8
6.0
7.6
At most 7 days
8.5
8.9
8.7
11.3
11.9
11.0
9.7
11.4
At most 30 days
23.7
22.9
22.3
24.5
26.2
24.3
23.7
25.9
At most 90 days
43.6
43.1
44.0
48.5
44.8
44.2
44.9
49.8
At most 180 days
57.9
58.4
59.8
57.9
59.5
58.4
61.4
59.0
At most 365 days
75.3
75.8
74.8
75.5
76.0
75.6
75.3
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 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
At most 1 day
28.0
28.6
28.3
28.6
29.4
29.7
29.0
29.2
At most 7 days
56.2
56.5
56.2
57.0
58.1
57.9
57.3
56.6
At most 30 days
74.2
74.1
74.5
75.1
75.5
75.1
74.7
74.3
At most 90 days
82.3
82.3
82.7
83.4
83.2
82.8
83.0
83.3
At most 180 days
86.5
85.8
86.5
87.1
87.1
86.7
87.4
87.5
At most 365 days
90.6
89.9
90.4
90.8
90.5
90.4
90.8
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.
At most 1 day At most 7 days
At most 30 days At most 90 days
At most 180 daysAt most 365 days
0
20
40
60
80
100
Percent of Fund Net Assets (%)
Portfolio Liquidity
Investor Liquidity
26
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
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
May Suspend
1,612
1,647
1,747
1,919
1,987
2,105
2,087
2,143
May Have Gates
1,064
1,089
1,144
1,229
1,279
1,365
1,395
1,409
Gated
32
25
34
28
29
32
30
41
Side Pocketed
40
41
39
37
37
42
39
39
Suspended
21
16
19
10
10
9
8
13
Figure 9: Distribution of the Ratio of Qualifying Hedge Fund
Assets Held in Side Pockets to NAV
See Appendix C for an explanation of boxplots.
As reported on Form PF, Questions 9 and 48.
2013Q12013Q22013Q32013Q4 2014Q12014Q22014Q32014Q4
0
5
10
15
20
25
30
35
40
45
NAV in Side-Pocket (%)
C Borrowings
Table 33: Borrowings of Qualifying Hedge Funds ($ Billions)
As reported on Form PF, Question 43 (Third Month).
Type
Subtype
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Secured
Subtotal
1,602
1,755
1,700
1,698
1,777
1,807
1,847
1,874
Prime Broker
794
835
846
926
997
990
985
1,039
Reverse Repo
591
695
598
508
500
547
576
555
Other Secured
217
225
256
265
279
270
286
280
Unsecured Subtotal
3
5
7
7
10
11
11
9
Total
Total
1,605
1,760
1,706
1,705
1,787
1,818
1,858
1,883
27
December 30, 2015
Risk and Examinations Office
D Central Clearing
Figure 10: Qualifying Hedge Funds Using Central Clearing
As reported on Form PF, Question 39.
2013Q1
2013Q2
2013Q3
2013Q4
2014Q1
2014Q2
2014Q3
2014Q4
0
5
10
15
20
25
30
Percent of Funds
Percent of NAV
28
December 30, 2015
Risk and Examinations Office
IX Section 3 Liquidity Fund Specific Information
A 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 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
At most 1 day
68.7
70.8
70.2
72.3
70.3
68.7
70.8
71.9
At most 7 days
90.1
90.7
91.0
91.5
91.0
90.6
91.4
91.4
At most 30 days
99.3
99.3
99.6
99.7
99.6
99.2
99.3
99.3
At most 90 days
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
At most 180 days
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
At most 365 days
100.0
100.0
100.0
100.0
100.0
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
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
May Suspend
234
229
221
220
229
243
265
255
May Have Gates
221
220
198
198
202
214
234
223
Suspended
0
0
0
0
0
0
0
0
Gated
0
0
0
0
0
0
0
0
29
December 30, 2015
Risk and Examinations Office
B Rule 2a-7 Compliance
Table 36: Rule 2a-7 Compliance (Percent of Funds)
As reported on Form PF, Questions 9 and 54.
Compliance Type 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Credit Quality
65.3
63.0
60.9
60.9
63.0
63.6
65.9
60.0
Diversification
63.3
60.9
58.7
58.7
60.9
61.4
63.6
57.8
Liquidity
63.3
60.9
58.7
58.7
60.9
61.4
63.6
57.8
Maturity
63.3
60.9
58.7
58.7
60.9
61.4
63.6
57.8
Fully
51.0
54.3
52.2
52.2
54.3
56.8
56.8
51.1
None
32.7
34.8
37.0
37.0
34.8
34.1
31.8
37.8
Table 37: Rule 2a-7 Compliance (Percent of Aggregate NAV)
As reported on Form PF, Questions 9 and 54.
Compliance Type 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Credit Quality
32.4
29.1
27.9
27.3
28.1
27.6
24.9
24.7
Diversification
32.4
29.1
27.9
27.3
28.0
27.5
24.9
24.7
Liquidity
31.9
28.6
27.5
26.9
27.6
27.0
24.5
24.3
Maturity
31.9
28.6
27.5
26.9
27.6
27.0
24.5
24.3
Fully
28.9
27.6
26.4
26.0
26.6
26.2
23.8
23.8
None
67.5
70.8
71.9
72.5
71.8
72.3
74.9
75.2
C 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
2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4
Stable
75.0
72.0
71.7
71.0
72.4
***
***
71.9
Floating
25.0
28.0
28.3
29.0
27.6
***
***
28.1
30
December 30, 2015
Risk and Examinations Office
X Section 4 Private Equity Fund Specific Information
A CPC Industry Concentration
Table 40: Gross Assets in CPC Industries (Percent of Total)
As reported on Form PF, Questions 8 and 77.
Type
2013Q4 2014Q4
Oil & Gas Extraction
7.8
7.5
Electric Power Generation, Transmission & Distribution
3.8
3.7
Software Publishers
2.8
3.7
Pipeline Transportation
2.4
2.5
Telecommunications Data Processing Services
2.6
2.4
Data Processing, Hosting, & Related Services
2.8
2.2
Other Information Services
2.0
2.0
Other Financial Investment Activities
1.9
1.7
Support Activities for Mining
1.3
1.5
Electronic Shopping & Mail-Order Houses
0.8
1.4
Limited-Service Eating Places
1.0
1.4
Water Transportation
1.1
1.3
Pharmaceutical & Medicine Mfg
1.0
1.3
Medical Equipment & Supplies Mfg
1.1
1.2
Activities Related to Credit Intermediation
1.2
1.2
Management, Scientific, & Technical Consulting Services
1.0
1.2
Commercial Banking
1.8
1.1
Educational Services
1.1
1.0
Special Food Services
1.3
1.0
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Risk and Examinations Office
B 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.
As reported on Form PF, Questions 71 and 72.
2013Q4
2014Q4
0
10
20
30
40
50
60
Ratio of Portfolio Company Current
Liabilities to Total Liabilities (%)
Figure 12: 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.
2013Q4
2014Q4
0
5
10
15
20
25
30
35
40
CPC Payment-in-Kind Borrowings
to Total Borrowings Ratio (%)
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Risk and Examinations Office
C 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
2013Q4 2014Q4
North America
5,275
4,501
Europe EEA
1,423
1,259
Asia
571
462
South America
75
85
Supranational
65
67
Middle East
8
12
Africa
20
12
Europe Other
25
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
2013Q4 2014Q4
North America
70.7
70.2
Europe EEA
19.1
19.6
Asia
7.6
7.2
South America
1.0
1.3
Supranational
0.9
1.0
Middle East
0.1
0.2
Africa
0.3
0.2
Europe Other
0.3
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
2013Q4 2014Q4
United States
5,035
4,300
China and Hong Kong
171
186
Japan
233
98
India
63
83
Brazil
45
58
Russia
3
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
2013Q4 2014Q4
United States
67.5
67.1
China and Hong Kong
2.3
2.9
Japan
3.1
1.5
India
0.8
1.3
Brazil
0.6
0.9
Russia
0.0
0.0
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Risk and Examinations Office
XI Appendices
A Form PF Filer Categories
The amount of information an adviser must report and the frequency with which it must report
on Form PF depends on the amount of the adviser’s private fund assets and the types of private
funds managed. Reporting advisers must identify the types of private funds they manage on Form
PF.
1 All Private Fund Advisers
SEC-registered investment advisers with at least $150 million in private fund assets under
management are required to file Form PF. Registered investment advisers with less than $150 million
in private funds assets under management, exempt reporting advisers, and state-registered advisers
report general private fund data on Form ADV, but do not file Form PF.6 Not all Form PF filers
report on a quarterly basis. Smaller private fund advisers and all private equity fund advisers file
Form PF on an annual basis, while larger hedge fund advisers and larger liquidity fund advisers file
the form quarterly.7 As a result of the difference in reporting frequency, information in this report
related to funds that are reported annually may be dated by several months.8
2 Large Hedge Fund Advisers
Large Hedge Fund Advisers have at least $1.5 billion in hedge fund assets under management.
A Large Hedge Fund Adviser is required to file Form PF quarterly and provide data about each
hedge fund it managed during the reporting period (irrespective of the size of the fund).
Large Hedge Fund Advisers must report more information on Form PF about Qualifying Hedge
Funds than other hedge funds they manage during the reporting period. A Qualifying Hedge Fund is
any hedge fund advised by a Large Hedge Fund Adviser that had a NAV (individually or in
combination with any feeder funds, parallel funds, and/or dependent parallel managed accounts) of
at least $500 million as of the last day of any month in the fiscal quarter immediately preceding the
adviser’s most recently completed fiscal quarter. This report provides information about all hedge
funds reported by Large Hedge Fund Advisers, including Qualifying Hedge Funds and smaller hedge
funds. This report also provides an overview of certain data reported solely for Qualifying Hedge
Funds.
6Note that these thresholds are on a gross basis. Exempt reporting advisers are advisers that rely on the exemptions
from SEC registration in Advisers Act section 203(l) for venture capital fund advisers and section 203(m) for advisers
managing less than $150 million in private fund assets in the U.S.
7An adviser may be a large hedge fund adviser that must file quarterly to report data about the hedge funds it manages
as well as a private equity fund adviser that must file only annually to report data about the private equity funds it
manages.
8In addition, because some Form PF filers have fiscal year ends that are not December 31, not all Form PF data is filed
as of a single date.
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Risk and Examinations Office
3 Large Liquidity Fund Advisers
Large Liquidity Fund Advisers have at least $1 billion in combined liquidity fund and money
market fund assets under management. On a quarterly basis, such advisers report on Form PF data
about the liquidity funds they managed during the reporting period (irrespective of the size of the
fund). This report contains information about all liquidity funds reported by Large Liquidity Fund
Advisers (referred to in this report as “Section 3 Liquidity Funds”).
4 Large Private Equity Fund Advisers
Large Private Equity Fund Advisers have at least a $2 billion in private equity fund assets
under management. These advisers are required to file Form PF annually in connection with the
private equity funds they managed during the reporting period. Smaller Private Equity Fund
Advisers must file annually as well, but provide less detail regarding the private equity funds they
manage. This report provides information about private equity funds managed by Large Private
Equity Fund Advisers (referred to in this report as “Section 4 Private Equity Funds”).
5 Other Private Fund Advisers
All advisers required to file Form PF that are not Large Hedge Fund Advisers or Large
Liquidity Fund Advisers must file Form PF annually to report data about each private fund
managed by the adviser.9 These “annual filing advisers” include smaller fund advisers, Large Private
Equity Fund advisers, and venture capital fund advisers. Annual filers must provide specific
information about each of the private funds they manage on an annual basis.
9This includes “other private funds,” which are private funds that do not meet the Form PF definition of hedge fund,
liquidity fund, private equity fund, real estate fund, securitized asset fund, or venture capital fund.
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Risk and Examinations Office
B Handling Annual and Quarterly Data
Only a subset of filers (Large Hedge Fund Advisers and Large Liquidity Fund Advisers) are
required to file Form PF quarterly; all other filings are made annually. Annual filings are typically,
but not always, made at the end of the calendar year, as Form PF allows filings to be made at the
end of an adviser’s fiscal year. In order to present the most complete and recent data possible, while
accounting for differences in filing dates, we use the following procedure for determining which data
to consider in any given quarter:
First, filings are grouped by their report date within their reported year:
• (Q1): February 15 to May 14
• (Q2): May 15 to August 14
• (Q3): August 15 to November 14
• (Q4): November 15 to February 14
Then, responses for funds that have no information are ‘filled forward’ — essentially, copied
from last reported values — up to a maximum of three quarters. Any fund that has no data four
quarters after its most recent date is no longer counted or included in any calculations.10
C How to Read a Boxplot
In these figures, the boxes extend from the twenty-fifth percentile to the seventy-fifth percentile,
while the levels (the dashed vertical lines) extend from the tenth to the twenty-fifth percentile as well
as the seventy-fifth to the ninetieth percentile. Also shown as a red line within the box is the median
(the fiftieth percentile) and the horizontal dashed line is mean of the distribution. See Figure 13 for
an explanation of each feature.
Figure 13: How to Read a Boxplot
10Form PF has no requirement to inform the SEC if a fund liquidates or otherwise terminates operations. Therefore,
liquidations or terminations may not be reflected on this report for up to one year after ceasing operations.
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Risk and Examinations Office
D 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.
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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Risk and Examinations Office
E Definitions
Included by reference are all definitions included in the glossary of Form PF.
Aggregate Exposure
A dollar value for long and short positions as of the last day in each
month of the reporting period, by sub-asset class, including all exposure
whether held physically, synthetically or through derivatives. Includes
closed out and OTC forward positions that have not expired, as well as
positions in side-pockets.
Borrowing
In Form PF, borrowings include secured borrowings, unsecured 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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Risk and Examinations Office
Large Liquidity Fund Adviser
An adviser that has at least $1 billion in combined liquidity fund and
money market fund assets under management.
Large Private Equity Fund Adviser An adviser that has at least a $2 billion in private equity fund assets
under management.
Parallel Managed Account
An account advised by an adviser that pursues substantially the same 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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