Securities and Exchange Commission (SEC): Private Funds Statistics 2014 Q4 2015

8/20/2019 Securities and Exchange Commission (SEC): Private Funds Statistics 2014 Q4 2015

1/41

Divisionof InvestmentManagement

Risk

and

Examinations

Office

Private

Funds

Statistics

FourthCalendarQuarter2014

October16,2015

This

is

a

report

of

the

Staff

of

the

Division

of

Investment

Management’s

Risk

and

Examinations

Office

(REO)of theU.S.SecuritiesandExchangeCommission.TheCommissionhasexpressednoview

regardingtheanalysis,findings,orconclusionscontainedherein.


2/41

October16,2015 RiskandExaminationsOffice

Introduction

This

report

provides

a

summary

of

recent

private

fund

industry

statistics

and

trends,

reflectingdatacollectedthroughFormPFandFormADVfilings.1 FormPF informationprovided inthis

report isaggregated,rounded,and/ormaskedtoavoidpotentialdisclosureof proprietaryinformationof individualFormPFfilers.

ThisreportreflectsdatafromFirstCalendarQuarter2013throughFourthCalendarQuarter2014asreportedbyFormPFfilers.2 PleaseseetheAppendixforinformationonthecategoriesof FormPFfilers,thedefinitionsof capitalizedterms,adescriptionof theboxplotsused inseveralfigures,aswellasothertechnicaldescriptions.

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, theStaff hasmadeadjustments to the summary statisticspresented

heretocorrectwhatappeartobeclearfilingerrors. Inaddition,theStaff hasemployed

certainassumptionsinaggregatingthedata. Futureadjustmentstothesemethodologies

could leadtochanges inreportedstatistics.

If youhaveanyquestionsorcommentsaboutFourthQuarter2014PrivateFunds

Statistics,pleasecontact:

TimDulaney,PhD,FRMorTimHusson,PhD,[email protected] ject line“FourthQuarter2014-PrivateFundsStatistics”.

1

Only

SEC-registered

advisers

with

at

least

$150

million

in

private

fund

assets

under

management

must

report

to

theCommission

on

Form

PF.

SEC-registered

investment

advisers

with

less

than

$150

million

in

private

fund

assets

under

management,SECexemptreportingadvisers,andstate-registeredinvestmentadvisersarenotrequiredtofileFormPF,butreportgeneral informationabouttheprivatefundstheymanageonFormADV.2TheCommissionbeganreceivingFormPFfilingsfromLargeHedgeFundAdvisers inJuly2012.Afulldatasetwasnot

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.

1

mailto:[email protected]?subject=Fourth%20Quarter%202014-Private%20Funds%20Statisticsmailto:[email protected]?subject=Fourth%20Quarter%202014-Private%20Funds%20Statistics


3/41


Contents

I

Number

of

Funds

and

Advisers

4

II GrossandNetAssets 5

A AggregateAssetsbyFundTypeoverTime . . . . . . . . . . . . . . . . . . . . . . . . 5 B Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 C ParallelManagedAccounts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8

III FundDomicilesandAdviserMainOffices 10

IV BeneficialOwnership 12

V Derivatives 16

VI HighFrequencyTrading 17

VII InformationReportedbyLargeHedgeFundAdvisers 18

A EconomicLeverage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 B IndustryConcentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20 C PortfolioTurnover . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21 D RegionandCountryExposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22

VIII QualifyingHedgeFundSpecificInformation 24

A GrossExposurebyStrategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24

B

Liquidity

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26

C Borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27 D CentralClearing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28

IX Section3LiquidityFundSpecific Information 29

A Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 B Rule2a-7Compliance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30 C Methodsof CalculatingNAV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30

X Section4PrivateEquityFundSpecific Information 31

A CPCIndustryConcentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31 B CPCFinancialLeverage. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32

C

CPC

Investments

by

Region

and

Country

.

.

.

.

.

.

.

.

.

.

.

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33

XI Appendices 35

A FormPFFilerCategories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35 1 AllPrivateFundAdvisers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35

2


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5/41

I


Numberof FundsandAdvisers3

Table

1:

Number

of

FundsThe“Total”rowshowsthetotalreported,andwillnotequalthesumof theprecedingrows,

becausetherowsarenotmutuallyexclusive.

FundType 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

HedgeFund 7,512 7,697 7,906 8,412 8,495 8,606 8,678 8,635PrivateEquityFund 6,910 6,977 7,078 7,603 7,632 7,664 7,629 8,407OtherPrivateFund 3,404 3,491 3,556 3,709 3,753 3,758 3,752 4,058Section4PrivateEquityFund 1,873 1,878 1,889 2,201 2,197 2,201 2,209 2,386RealEstateFund 1,375 1,376 1,400 1,547 1,546 1,546 1,534 1,789QualifyingHedgeFund 1,228 1,266 1,320 1,369 1,415 1,462 1,471 1,541SecuritizedAssetFund 982 987 1,012 1,172 1,191 1,208 1,196 1,327VentureCapitalFund 369 369 379 434 435 435 438 504LiquidityFund 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 24,725

Table2: Numberof AdvisersAdvisingEachFundTypeThe“Total”rowshowsthetotalreported,andwillnotequalthesumof theprecedingrows,



HedgeFund 1,469 1,479 1,496 1,594 1,593 1,593 1,597 1,649PrivateEquityFund 815 821 826 863 862 866 867 919OtherPrivateFund 506 515 530 524 527 525 526 552Section4PrivateEquityFund 173 174 175 195 195 196 195 209RealEstateFund 238 239 242 245 245 245 244 260

Qualifying

Hedge

Fund

437

442

461

469

470

494

503

525

SecuritizedAssetFund 133 133 137 138 141 143 141 152VentureCapitalFund 65 65 66 68 69 69 70 84LiquidityFund 37 37 37 35 35 34 34 35Section3LiquidityFund 25 24 24 24 24 23 23 24

Total 2,433 2,449 2,480 2,571 2,574 2,580 2,581 2,694

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

advisers

that

file

a

Form

PF

to

report

private

funds.

Please

see

Appendix

E

for

definitions

of

other

capitalized

terms

used

in

this

report.

4


6/41


II GrossandNetAssets

A

Aggregate

Assets

by

Fund

Type

over

Time

Table3: AggregatePrivateFundGrossAssetValue(GAV)($Billions)AsreportedonFormPF,Question8.

The“Total”rowshowsthetotalreported,andwillnotequalthesumof theprecedingrows,because

the

rows

are

not

mutually

exclusive.


HedgeFund 4,779 4,945 5,093 5,392 5,656 5,892 6,115 6,059QualifyingHedgeFund 3,891 3,986 4,135 4,357 4,583 4,827 4,941 4,925PrivateEquityFund 1,604 1,615 1,628 1,842 1,835 1,845 1,838 1,887Section4PrivateEquityFund 1,094 1,099 1,107 1,271 1,265 1,270 1,274 1,352OtherPrivateFund 731 765 779 935 950 955 957 991SecuritizedAssetFund 330 330 338 351 356 362 357 377

Real

Estate

Fund

299

299

301

334

334

334

334

350LiquidityFund 258 257 249 248 250 274 286 274

Section3LiquidityFund 255 249 241 241 247 262 281 272VentureCapitalFund 24 24 24 30 30 30 30 39Total

8,005 8,206 8,383 9,112 9,397 9,667 9,878 9,956

Table4: AggregatePrivateFundNetAssetValue(NAV)($Billions)As

reported

on

Form

PF,

Question

9.

The“Total”rowshowsthetotalreported,andwillnotequalthesumof theprecedingrows, becausetherowsarenotmutuallyexclusive.


HedgeFund 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

2,672PrivateEquityFund 1,471 1,479 1,494 1,702 1,695 1,702 1,694 1,744

Section4PrivateEquityFund 1,037 1,042 1,049 1,206 1,200 1,205 1,209 1,274OtherPrivateFund 621 653 667 816 823 827 830 883SecuritizedAssetFund 114 114 116 117 122 126 126 114RealEstateFund 235 235 237 266 266 266 265 279LiquidityFund 256 255 247 246 249 273 283 272Section3LiquidityFund 253 247 239 239 246 261 279 271VentureCapitalFund 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

5


7/41


Figure1: GAVandNAVDistributionsforQualifyingHedgeFundsandSection4Private EquityFunds

SeeAppendixCforanexplanationof boxplots.As

reported

on

Form

PF,

Questions

8

and

9.

Q

1

2

0

1

3

Q

2

2

0

1

3

Q

3

2

0

1

3

Q

4

2

0

1

4

Q

1

2

0

1

4

Q

2

2

0

1

4

Q

3

2

0

1

4

Q

4

Q

1

2

0

1

3

Q

2

2

0

1

3

Q

3

2

0

1

3

Q

4

2

0

1

4

Q

1

2

0

1

4

Q

2

2

0

1

4

Q

3

2

0

1

4

Q

4

(a)

Qualifying

Hedge

Fund

GAV

(b)

Qualifying

Hedge

Fund

NAV

2

0

1

3

Q

1

2

0

1

3

Q

2

2

0

1

3

Q

3

2

0

1

3

Q

4

2

0

1

4

Q

1

2

0

1

4

Q

2

2

0

1

4

Q

3

2

0

1

4

Q

4

0

0

0 0

0 0

0 0

0 0

0 0

0 0

0 0

2

0

1

3

Q

1

2

0

1

3

Q

2

2

0

1

3

Q

3

2

0

1

3

Q

4

2

0

1

4

Q

1

2

0

1

4

Q

2

2

0

1

4

Q

3

2

0

1

4

Q

4

0

0 0

0 0

0 0

0 0

0 0

0 0

0 0

0 0

(c)

Section

4

Private

Equity

Fund

GAV

(d)

Section

4

Private

Equity

Fund

NAV

6


8/41


B

Borrowings

Table

5:

Aggregate

Borrowings

(Percent

of

Aggregate

GAV)AsreportedonFormPF,Questions12and43(Month3).


SecuritizedAssetFund 46.6 46.6 46.1 47.6 47.2 46.7 47.3 48.0QualifyingHedgeFund 41.8 44.4 41.4 39.3 39.2 37.9 37.6 38.3HedgeFund 38.8 41.2 39.0 37.3 37.0 36.8 37.4 36.9RealEstateFund 15.2 15.2 15.1 12.9 12.9 12.9 12.9 13.7PrivateEquityFund 3.7 3.8 3.8 2.3 2.4 2.5 2.5 4.0OtherPrivateFund 6.4 6.2 6.0 4.2 4.1 4.1 4.0 2.8Section4PrivateEquityFund 2.8 2.8 2.8 2.1 2.1 2.1 2.1 2.3VentureCapitalFund 1.4 1.4 1.4 0.9 0.9 0.9 0.9 0.6LiquidityFund 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0Section3LiquidityFund 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Figure2: Distributionof TotalBorrowingsforAllPrivateFunds andQualifyingHedgeFunds

SeeAppendixCforanexplanationof boxplots. AsreportedonFormPF,Questions12and43(Month3).

1

2

Q

4

2

0

1

3

Q

1

2

0

1

3

Q

2

2

0

1

3

Q

3

2

0

1

3

Q

4

2

0

1

4

Q

1

2

0

1

4

Q

2

2

0

1

4

Q

3

2

0

1

4

Q

4

0

0

0

0

0

0

0

0

2

Q

4

2

0

1

3

Q

1

2

0

1

3

Q

2

2

0

1

3

Q

3

2

0

1

3

Q

4

2

0

1

4

Q

1

2

0

1

4

Q

2

2

0

1

4

Q

3

2

0

1

4

Q

4

5

(a)

All

Private

Funds

(b)

Qualifying

Hedge

Funds

7


9/41


C

Parallel

Managed

Accounts4

Table

6:

Number

of

Funds

with

Parallel

Managed

AccountsAsreportedonFormPF,Question11.

The

“Total”

row

shows

the

total

reported,

and

will

not

equal

the

sum

of

the

preceding

rows,


Type 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

HedgeFund 630 646 648 667 683 696 710 710OtherPrivateFund 290 324 332 336 342 342 340 399QualifyingHedgeFund 193 190 199 202 211 227 218 230PrivateEquityFund 181 184 187 190 188 195 197 210Section4PrivateEquityFund 73 76 76 62 57 57 57 60RealEstateFund 33 33 33 46 46 46 46 51SecuritizedAssetFund *** *** *** *** *** *** *** ***LiquidityFund 19 19 18 18 17 17 17 16Section3LiquidityFund 18 16 15 15 15 14 15 14Venture

Capital

Fund

***

***

***

***

***

***

***

***

Total 1,157 1,209 1,222 1,286 1,305 1,324 1,338 1,418

Table7: AggregateValue inParallelManagedAccounts($Billions)AsreportedonFormPF,Question11.


Type 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

HedgeFund 539 594 600 620 612 910 834 754OtherPrivateFund 837 925 1,132 1,446 1,455 1,450 1,272 1,417QualifyingHedgeFund 392 344 418 451 431 737 441 532PrivateEquityFund 115 115 115 123 122 124 124 107

Section

4

Private

Equity

Fund

22

23

23

18

17

17

17

16

RealEstateFund 8 8 8 11 11 11 11 11SecuritizedAssetFund *** *** *** *** *** *** *** ***LiquidityFund 376 371 384 392 334 326 339 349Section3LiquidityFund 371 314 327 335 330 321 335 345VentureCapitalFund *** *** *** *** *** *** *** ***

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

4


10/41


Figure3: ParallelManagedAccountValueDistributions SeeAppendixCforanexplanationof boxplots.

As

reported

on

Form

PF,

Question

11.

1

3

Q

1

2

0

1

3

Q

2

2

0

1

3

Q

3

2

0

1

3

Q

4

2

0

1

4

Q

1

2

0

1

4

Q

2

2

0

1

4

Q

3

2

0

1

4

Q

4

1

3

Q

1

2

0

1

3

Q

2

2

0

1

3

Q

3

2

0

1

3

Q

4

2

0

1

4

Q

1

2

0

1

4

Q

2

2

0

1

4

Q

3

2

0

1

4

Q

4

5

(a)

All

Private

Funds

(b)

Qualifying

Hedge

Funds

9


11/41


III FundDomicilesandAdviserMainOffices

Table

8:

Fund

Domicile

(Percent

of

NAV)AsreportedonFormPF,Question9andFormADV.

Country 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

UnitedStates 50.5 50.0 49.8 51.5 50.7 50.3 50.3 49.7CaymanIslands 36.5 36.8 37.0 36.5 37.1 37.4 37.3 37.5Ireland 4.3 4.3 4.2 4.1 4.2 4.5 4.6 4.7VirginIslands,British 2.7 2.8 2.8 2.7 2.7 2.7 2.7 2.6Bermuda 1.3 1.3 1.3 1.2 1.2 1.2 1.2 1.3Luxembourg 1.0 1.1 1.2 1.2 1.2 1.2 1.2 1.2UnitedKingdom 1.2 1.1 1.1 0.7 0.7 0.7 0.7 1.0Other 2.4 2.7 2.6 2.1 2.1 2.1 2.0 1.9

AllPrivateFunds

Qualifying

Hedge

Funds


CaymanIslands 53.8 53.7 53.9 54.3 55.4 55.3 54.9 55.4UnitedStates 33.0 32.5 32.3 32.5 31.3 31.6 32.2 31.5VirginIslands,British 6.3 5.8 5.7 6.2 6.2 6.1 6.0 6.1Ireland 1.6 1.8 2.0 2.1 2.2 2.2 2.2 2.4Bermuda 1.8 1.8 1.8 1.4 1.3 1.4 1.4 1.4Luxembourg 1.7 1.7 1.8 1.5 1.6 1.6 1.5 1.3Other 1.1 1.4 1.3 0.6 0.6 0.6 0.5 0.6

Section3LiquidityFunds


Ireland *** *** *** *** *** *** *** ***UnitedStates 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 *** *** *** *** *** *** *** ***


UnitedStates 66.5 66.2 66.5 66.6 66.3 66.4 66.5 63.3CaymanIslands 28.3 28.6 28.4 28.2 28.3 28.2 28.2 30.7UnitedKingdom 1.6 1.6 1.6 1.3 1.3 1.3 1.3 2.3Canada *** *** *** 1.3 1.3 1.3 1.3 1.3Bermuda *** *** *** 0.9 0.9 0.9 0.9 1.0Other 1.0 1.0 1.0 0.9 1.1 1.1 1.1 0.8

Section4PrivateEquityFunds

10


12/41


Table9: AdviserMainOfficeLocation(Percentof NAV)As

reported

on

Form

PF,

Question

9

and

Form

ADV.


UnitedStates 89.8 89.4 89.3 89.9 89.2 88.8 88.7 89.8UnitedKingdom 6.7 6.9 6.9 6.4 6.7 7.1 7.3 6.5Other 2.0 2.3 2.4 2.5 2.8 2.8 2.8 2.5

All

Private

Funds


UnitedStates 90.4 89.6 89.4 89.5 89.3 89.4 89.7 89.9UnitedKingdom 5.3 5.7 5.8 5.6 5.7 5.8 5.6 5.0HongKong *** *** *** *** *** *** *** ***Australia *** *** *** *** *** *** *** ***Other 1.4 1.5 1.4 1.3 1.2 1.2 1.2 1.3

QualifyingHedgeFunds

Country

2013Q1

2013Q2

2013Q3

2013Q4

2014Q1

2014Q2

2014Q3

2014Q4

UnitedStates 66.3 66.4 66.9 66.8 67.2 68.5 65.3 63.6UnitedKingdom *** *** *** *** *** *** *** ***France *** *** *** *** *** *** *** ***

Section3LiquidityFunds


UnitedStates 98.1 98.0 98.0 97.3 97.4 97.4 97.4 97.8Canada *** *** *** *** *** *** *** ***Other *** *** *** *** *** *** *** ***

Section4PrivateEquityFunds

11


13/41


IV BeneficialOwnership

Table

10:

Beneficial

Ownership

for

All

Private

Funds($

Billions)

AsreportedonFormPF,Questions9and16.

Type 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

PrivateFunds 1,168 1,187 1,213 1,276 1,286 1,315 1,326 1,355StateOrMuni.Govt.PensionPlans 694 705 724 820 835 839 835 858PensionPlans 661 669 694 796 804 819 819 839Other 559 565 580 652 664 692 714 765U.S.Individuals 588 600 616 696 699 716 717 740Non-Profits 524 565 580 633 645 669 678 689Sov.WealthFundsandFor.OfficialInst. 278 284 295 340 341 350 347 361InsuranceCompanies 193 199 206 245 248 253 254 263Non-U.S.Individuals 169 184 176 183 192 214 198 194UnknownNon-U.S.Investors 162 154 168 174 177 174 196 185Banking/ThriftInst. 145 143 144 151 154 156 157 142

Broker-Dealers

23

21

24

90

103

109

112

116

StateOrMuni.Govt.Entities 59 59 61 68 69 83 84 89SEC-RegisteredInvestmentCompanies 77 72 78 88 86 98 88 88

Table11: BeneficialOwnershipforAllPrivateFunds(Percentof AggregateNAV)


Type 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

PrivateFunds 22.0 21.9 21.8 20.5 20.3 20.2 20.2 20.2StateOrMuni.Govt.PensionPlans 13.1 13.0 13.0 13.2 13.2 12.9 12.8 12.8PensionPlans 12.4 12.4 12.4 12.8 12.7 12.6 12.5 12.5Other 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 10.3Sov.WealthFundsandFor.OfficialInst. 5.2 5.2 5.3 5.4 5.4 5.4 5.3 5.4InsuranceCompanies 3.6 3.7 3.7 3.9 3.9 3.9 3.9 3.9Non-U.S.Individuals 3.2 3.4 3.2 2.9 3.0 3.3 3.0 2.9UnknownNon-U.S.Investors 3.0 2.8 3.0 2.8 2.8 2.7 3.0 2.8Banking/ThriftInst. 2.7 2.6 2.6 2.4 2.4 2.4 2.4 2.1Broker-Dealers 0.4 0.4 0.4 1.4 1.6 1.7 1.7 1.7StateOrMuni.Govt.Entities 1.1 1.1 1.1 1.1 1.1 1.3 1.3 1.3SEC-RegisteredInvestmentCompanies 1.4 1.3 1.4 1.4 1.4 1.5 1.3 1.3

12


14/41


Table12: BeneficialOwnershipforQualifyingHedgeFunds($Billions)As

reported

on

Form

PF,

Questions

9

and

16.

Type 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

PrivateFunds 489 497 504 509 526 547 554 558Non-Profits 277 295 305 322 323 349 358 357PensionPlans 262 263 276 293 308 323 312 334U.S.Individuals 264 270 283 307 303 322 321 321Other 195 194 209 238 242 271 268 300StateOrMuni.Govt.PensionPlans 207 209 224 242 253 254 242 256Sov.WealthFundsandFor.OfficialInst. 107 111 118 127 129 137 133 133Broker-Dealers 7 5 7 71 85 89 91 93Non-U.S.Individuals 52 51 57 60 62 68 69 68InsuranceCompanies 50 53 57 59 61 65 65 65UnknownNon-U.S.Investors 47 49 55 58 61 66 68 61SEC-RegisteredInvestmentCompanies 35 33 39 49 48 58 50 49StateOrMuni.Govt.Entities 23 22 23 25 26 38 38 41Banking/ThriftInst. 34 32 34 34 36 36 36 33

Table13: BeneficialOwnershipforQualifyingHedgeFunds(Percentof AggregateNAV)

As

reported

on

Form

PF,

Questions

9

and

16.

Type 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

PrivateFunds 23.8 23.8 23.0 21.2 21.3 20.8 21.3 20.9Non-Profits 13.5 14.1 13.9 13.4 13.1 13.3 13.7 13.4PensionPlans 12.8 12.6 12.6 12.2 12.5 12.3 12.0 12.5U.S.Individuals 12.9 12.9 12.9 12.8 12.3 12.3 12.3 12.0Other 9.5 9.3 9.5 9.9 9.8 10.3 10.3 11.2StateOrMuni.Govt.PensionPlans 10.1 10.0 10.2 10.1 10.3 9.7 9.3 9.6Sov.WealthFundsandFor.OfficialInst. 5.2 5.3 5.4 5.3 5.2 5.2 5.1 5.0Broker-Dealers 0.3 0.3 0.3 3.0 3.4 3.4 3.5 3.5Non-U.S.

Individuals

2.5

2.4

2.6

2.5

2.5

2.6

2.6

2.5

InsuranceCompanies 2.4 2.5 2.6 2.5 2.5 2.5 2.5 2.4UnknownNon-U.S.Investors 2.3 2.4 2.5 2.4 2.5 2.5 2.6 2.3SEC-RegisteredInvestmentCompanies 1.7 1.6 1.8 2.1 2.0 2.2 1.9 1.8StateOrMuni.Govt.Entities 1.1 1.1 1.1 1.1 1.1 1.5 1.5 1.5Banking/ThriftInst. 1.6 1.5 1.5 1.4 1.5 1.4 1.4 1.3

13


15/41


Table14: BeneficialOwnershipforSection3LiquidityFunds($Billions)As

reported

on

Form

PF,

Questions

9

and

16.

Type 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

PrivateFunds 65 69 68 68 67 75 80 75Other 47 45 39 35 37 37 43 63UnknownNon-U.S.Investors 49 35 47 46 46 37 58 40Non-U.S.Individuals *** *** *** *** 22 38 20 20SEC-RegisteredInvestmentCompanies 23 19 18 18 17 18 17 15Banking/ThriftInst. 10 9 9 13 16 17 19 14Broker-Dealers *** *** *** *** *** *** *** ***Sov.WealthFundsandFor.OfficialInst. *** *** 10 10 *** 11 *** 11InsuranceCompanies 7 7 8 9 9 7 9 10PensionPlans 7 7 8 8 7 *** 6 5StateOrMuni.Govt.Entities *** *** *** *** *** *** *** ***Non-Profits *** *** *** *** *** *** *** ***StateOrMuni.Govt.PensionPlans *** *** *** *** *** *** *** ***U.S.Individuals *** *** *** *** 0 0 0 0

Table15: BeneficialOwnershipforSection3LiquidityFunds(Percentof AggregateNAV)

As

reported

on

Form

PF,

Questions

9

and

16.

Type 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

PrivateFunds 25.8 28.0 28.5 28.5 27.4 28.8 28.7 27.7Other 18.6 18.1 16.2 14.7 15.0 14.2 15.5 23.4UnknownNon-U.S.Investors 19.5 14.4 19.6 19.3 18.6 14.3 20.9 14.9Non-U.S.Individuals *** *** *** *** 9.0 14.7 7.3 7.3SEC-RegisteredInvestmentCompanies 9.3 7.8 7.4 7.4 6.8 7.0 6.2 5.6Banking/ThriftInst. 3.9 3.6 3.8 5.6 6.4 6.5 6.8 5.2Broker-Dealers *** *** *** *** *** *** *** ***Sov.WealthFundsandFor.OfficialInst. *** *** 4.4 4.4 *** 4.1 *** 4.1Insurance

Companies

2.6

2.8

3.3

3.6

3.7

2.8

3.3

3.5

PensionPlans 2.8 2.9 3.3 3.4 2.9 *** 2.1 1.9StateOrMuni.Govt.Entities *** *** *** *** *** *** *** ***Non-Profits *** *** *** *** *** *** *** ***StateOrMuni.Govt.PensionPlans *** *** *** *** *** *** *** ***U.S.Individuals *** *** *** *** 0.0 0.0 0.0 0.0

14


16/41


Table16: BeneficialOwnershipforSection4PrivateEquityFunds($Billions)As

reported

on

Form

PF,

Questions

9

and

16.

Type 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

StateOrMuni.Govt.PensionPlans 245 246 247 285 283 284 286 300PrivateFunds 230 230 230 266 266 266 268 277Sov.WealthFundsandFor.OfficialInst. 90 90 91 112 112 113 113 124PensionPlans 103 104 107 119 116 118 119 123Other 82 83 83 95 95 95 96 110Non-Profits 66 66 68 78 77 77 76 80U.S.Individuals 62 62 63 72 72 72 72 79InsuranceCompanies 61 61 61 72 71 71 72 75Banking/ThriftInst. 45 45 45 46 45 45 45 35Non-U.S.Individuals 23 23 23 31 33 33 33 33StateOrMuni.Govt.Entities 14 14 14 15 15 15 15 16UnknownNon-U.S.Investors 16 16 16 14 14 14 14 11SEC-RegisteredInvestmentCompanies 3 3 3 2 2 2 2 3Broker-Dealers 1 1 1 1 1 1 1 1

Table17: BeneficialOwnershipforSection4PrivateEquityFunds(Percentof AggregateNAV)

As

reported

on

Form

PF,

Questions

9

and

16.

Type 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

StateOrMuni.Govt.PensionPlans 23.6 23.6 23.5 23.6 23.6 23.6 23.7 23.6PrivateFunds 22.2 22.1 22.0 22.1 22.1 22.1 22.1 21.8Sov.WealthFundsandFor.OfficialInst. 8.7 8.7 8.7 9.3 9.4 9.4 9.3 9.7PensionPlans 9.9 10.0 10.2 9.9 9.6 9.8 9.8 9.6Other 7.9 8.0 7.9 7.9 7.9 7.9 8.0 8.6Non-Profits 6.4 6.4 6.5 6.4 6.4 6.4 6.3 6.3U.S.Individuals 6.0 6.0 6.0 6.0 6.0 6.0 5.9 6.2InsuranceCompanies 5.9 5.9 5.8 5.9 5.9 5.9 5.9 5.9Banking/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 2.6StateOrMuni.Govt.Entities 1.3 1.3 1.3 1.3 1.2 1.2 1.2 1.2UnknownNon-U.S.Investors 1.5 1.5 1.5 1.1 1.1 1.1 1.1 0.9SEC-RegisteredInvestmentCompanies 0.2 0.3 0.2 0.2 0.2 0.2 0.2 0.2Broker-Dealers 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1

15


17/41


V Derivatives

Table

18:

Aggregate

Derivative

Notional

($

Billions)AsreportedonFormPF,Questions13and44(Month3).


Type 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

HedgeFund 13,330 13,792 13,885 13,151 14,382 16,984 15,929 14,591QualifyingHedgeFund 11,776 11,667 12,671 11,995 13,264 15,889 14,713 13,316OtherPrivateFund 75 78 76 88 101 102 101 127PrivateEquityFund 49 49 49 47 47 47 48 66Section4PrivateEquityFund 45 45 45 43 43 43 43 60SecuritizedAssetFund 72 70 70 45 45 45 45 27RealEstateFund 12 12 12 12 12 12 12 13VentureCapitalFund 0 0 0 0 0 0 0 0LiquidityFund *** *** *** *** *** *** *** ***Section

3

Liquidity

Fund

***

***

***

***

***

***

***

***

Total 13,586 13,999 14,090 13,341 14,583 17,185 16,114 14,807

Table19: AggregateDerivativeNotional(Percentof AggregateNAV)AsreportedonFormPF,Questions9,13,and44(Month3).

Type 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

HedgeFund 510.4 513.7 493.3 427.3 454.9 513.4 474.2 429.3QualifyingHedgeFund 574.2 559.7 577.6 500.4 536.9 604.9 564.6 498.4OtherPrivateFund 12.0 11.9 11.4 10.8 12.2 12.3 12.2 14.4PrivateEquityFund 3.3 3.3 3.3 2.8 2.8 2.8 2.8 3.8Section4PrivateEquityFund 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

RealEstateFund 5.0 5.0 5.0 4.4 4.4 4.4 4.4 4.6VentureCapitalFund 0.3 0.3 0.3 0.2 0.2 0.2 0.2 0.1LiquidityFund *** *** *** *** *** *** *** ***Section3LiquidityFund *** *** *** *** *** *** *** ***

Total 255.6 258.3 252.8 214.1 230.4 264.0 246.1 220.8

16


18/41


Figure4: Distributionof DerivativeNotionalValues SeeAppendixCandAppendixDforanexplanationof boxplotsandwinsorization.

As

reported

on

Form

PF,

Questions

13

and

44

(Month

3).

2

0

1

3

Q

1

2

0

1

3

Q

2

2

0

1

3

Q

3

2

0

1

3

Q

4

2

0

1

4

Q

1

2

0

1

4

Q

2

2

0

1

4

Q

3

2

0

1

4

Q

4

0 . 0

0 . 2

0 . 4

0 . 6

0 . 8

1 . 0

1 . 2

1 . 4

1 . 6

1 . 8

2

0

1

3

Q

1

2

0

1

3

Q

2

2

0

1

3

Q

3

2

0

1

3

Q

4

2

0

1

4

Q

1

2

0

1

4

Q

2

2

0

1

4

Q

3

2

0

1

4

Q

4

0

2

4

6

8

1 0

1 2

(a)

All

Private

Funds

(b)

Qualifying

Hedge

Funds

VI HighFrequencyTrading

Table20: Numberof HedgeFundsUsingHighFrequencyTrading(HFT)Strategies


Fractionof NAV 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

0% 5,919 6,080 6,257 6,714 6,795 6,928 6,994 7,155Lessthan100% 53 53 54 59 57 55 53 45

100%

or

More

15

15

15

13

27

24

28

28

Fractionof NAV 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

0% 2,510 2,574 2,705 2,946 3,044 3,205 3,258 3,298Lessthan100% 55 64 67 65 78 54 37 35100%orMore 17 16 16 35 19 31 30 32

Table21: HedgeFundAssetsManagedUsing HighFrequencyTradingStrategies($Billions)

HighFrequencyTradingStrategies As

reported

on

Form

PF,

Question

21.

17


19/41


VII InformationReportedbyLargeHedge

FundAdvisers

A

Economic

Leverage

Figure5: Ratioof HedgeFundGrossNotionalExposuretoNetAssetValueSeeAppendixCandAppendixDforanexplanationof boxplotsandwinsorization.

AsreportedonFormPF,Questions3(a)and26.

2

0

1

3

-

0

3

2

0

1

3

-

0

6

2

0

1

3

-

0

9

2

0

1

3

-

1

2

2

0

1

4

-

0

3

2

0

1

4

-

0

6

2

0

1

4

-

0

9

2

0

1

4

-

1

2

0

2

4

6

8

1 0

1 2

1 4

W

i

n

s

o

r

i

z

e

d

(

l

i

m

i

t

s

=

[

0

%

,

9

8

%

]

)

2

0

1

3

-

0

3

2

0

1

3

-

0

6

2

0

1

3

-

0

9

2

0

1

3

-

1

2

2

0

1

4

-

0

3

2

0

1

4

-

0

6

2

0

1

4

-

0

9

2

0

1

4

-

1

2

0

2

4

6

8

1 0

1 2

1 4

W

i

n

s

o

r

i

z

e

d

(

l

i

m

i

t

s

=

[

0

%

,

9

8

%

]

)

(a)

Gross

Exposure

with

Interest

Rate

Derivatives

(IRDs)

(b)

Gross

Exposure

without

IRDs

18


20/41


Figure6: Ratioof HedgeFundLongNotionalExposure(LNE)and ShortNotionalExposure(SNE)toNetAssetValueDistribution

SeeAppendixCandAppendixDforanexplanationof boxplotsandwinsorization.As

reported

on

Form

PF,

Questions

3(a)

and

26.

2

0

1

3

-

0

3

2

0

1

3

-

0

6

2

0

1

3

-

0

9

2

0

1

3

-

1

2

2

0

1

4

-

0

3

2

0

1

4

-

0

6

2

0

1

4

-

0

9

2

0

1

4

-

1

2

0

2

4

6

8

1 0

W

i

n

s

o

r

i

z

e

d

(

l

i

m

i

t

s

=

[

0

%

,

9

8

%

]

)

2

0

1

3

-

0

3

2

0

1

3

-

0

6

2

0

1

3

-

0

9

2

0

1

3

-

1

2

2

0

1

4

-

0

3

2

0

1

4

-

0

6

2

0

1

4

-

0

9

2

0

1

4

-

1

2

0

2

4

6

8

1 0

W

i

n

s

o

r

i

z

e

d

(

l

i

m

i

t

s

=

[

0

%

,

9

8

%

]

)

(a)

Long

Exposure

with

IRDs

(b)

Long

Exposure

without

IRDs

2

0

1

3

-

0

3

2

0

1

3

-

0

6

2

0

1

3

-

0

9

2

0

1

3

-

1

2

2

0

1

4

-

0

3

2

0

1

4

-

0

6

2

0

1

4

-

0

9

2

0

1

4

-

1

2

0

2

4

6

8

1 0

W

i

n

s

o

r

i

z

e

d

(

l

i

m

i

t

s

=

[

0

%

,

9

8

%

]

)

2

0

1

3

-

0

3

2

0

1

3

-

0

6

2

0

1

3

-

0

9

2

0

1

3

-

1

2

2

0

1

4

-

0

3

2

0

1

4

-

0

6

2

0

1

4

-

0

9

2

0

1

4

-

1

2

0

2

4

6

8

1 0

W

i

n

s

o

r

i

z

e

d

(

l

i

m

i

t

s

=

[

0

%

,

9

8

%

]

)

(c)

Short

Exposure

with

IRDs

(d)

Short

Exposure

without

IRDs

19


21/41


B

Industry

Concentration

Table

22:

Large

Hedge

Fund

Adviser

Asset

and

Exposure

Concentration(Percentof TotalReported)

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

Top10Advisers(NAV) Top20Advisers(NAV) Top10Advisers(GNE) Top20Advisers(GNE)

19.318.017.817.017.217.218.417.117.117.9

17.6

17.617.818.018.017.717.717.716.416.416.420.620.620.8

29.228.127.927.127.527.528.026.826.827.8

27.5

27.527.627.927.927.127.127.125.925.925.930.030.030.2

50.551.949.247.147.447.547.246.745.343.9

45.5

43.045.445.843.340.741.740.341.042.241.441.642.141.9

62.063.261.560.960.059.759.359.158.656.9

58.5

56.457.758.056.254.054.753.454.055.053.754.254.553.7

20


22/41


C

Portfolio

Turnover

Table

23:

Aggregate

Portfolio

Turnover

($

Billions)

As

reported

on

Form

PF,

Question

27.

Month

2013-012013-022013-032013-042013-052013-062013-072013-082013-092013-102013-112013-12

2014-012014-022014-032014-042014-052014-062014-072014-082014-092014-102014-112014-12

Futures Sov. andmuni. bonds Listedequities Corporatebonds Convertiblebonds Total

8,4197,89910,8879,29311,44418,0978,1368,34012,3568,2998,85211,533

10,9579,98517,8279,89911,11620,5209,1059,17712,78412,6628,42711,347

2,1742,1212,2622,4152,7172,6042,0252,0432,1572,1711,9421,934

2,3572,1902,3952,3192,2762,3412,3472,2202,5722,7601,9832,134

1,5831,5351,4141,7581,7401,6051,5634,9561,4611,8261,5531,443

1,9681,8861,8602,3572,0772,2001,7201,4301,5092,3041,5341,655

12767808910266624694979166

999210910810010089661071188873

23 12,23018 11,55523 14,59321 13,50126 15,91219 22,28716 11,72517 15,31421 15,97933 12,32228 12,35622

14,898

30 15,24829 14,07755 22,09420 14,61323 15,54629 25,12619 13,20514 12,84023 16,89920 17,76617 12,01917 15,183

Figure7: Distributionsof PortfolioTurnover SeeAppendixCandAppendixDforanexplanationof boxplotsandwinsorization.

As

reported

on

Form

PF,

Questions

3(a)

and

27.

2

0

1

3

-

0

3

2

0

1

3

-

0

6

2

0

1

3

-

0

9

2

0

1

3

-

1

2

2

0

1

4

-

0

3

2

0

1

4

-

0

6

2

0

1

4

-

0

9

2

0

1

4

-

1

2

0

1 0

2 0

3 0

4 0

5 0

6 0

2

0

1

3

-

0

3

2

0

1

3

-

0

6

2

0

1

3

-

0

9

2

0

1

3

-

1

2

2

0

1

4

-

0

3

2

0

1

4

-

0

6

2

0

1

4

-

0

9

2

0

1

4

-

1

2

0

2

4

6

8

1 0

1 2

1 4

1 6

1 8

(a)TotalTurnover (b)TotalTurnovertoNAVRatio

21


23/41


24/41


Table26: LargeHedgeFundAdviserHedgeFund CountryExposure($Billions)

As

reported

on

Form

PF,

Questions

3(a)

and

28.


UnitedStates 3,045 3,048 3,091 3,330 3,360 3,635 3,769 3,757Japan 271 278 282 258 234 266 244 237China(Inc.HongKong) 84 99 119 90 112 202 134 142Brazil 35 57 29 29 31 43 39 41India 26 25 20 20 22 27 25 27Russia 22 17 22 18 14 17 16 10

Table27: LargeHedgeFundAdviserHedgeFund CountryExposure(Percentof AggregateNAV)

As

reported

on

Form

PF,

Questions

3(a)

and

28.


UnitedStates 139.5 135.2 132.2 127.1 125.8 127.1 133.7 123.4Japan 12.4 12.3 12.1 9.9 8.8 9.3 8.7 7.8China(Inc.HongKong) 3.9 4.4 5.1 3.4 4.2 7.1 4.8 4.7Brazil 1.6 2.5 1.2 1.1 1.2 1.5 1.4 1.3India 1.2 1.1 0.8 0.8 0.8 0.9 0.9 0.9Russia 1.0 0.8 1.0 0.7 0.5 0.6 0.6 0.3

23


25/41


VIII QualifyingHedgeFundSpecific Information

A

Gross

Exposure

by

Strategy5

Table28: Exposuresof HedgeFunds($Billions)AsreportedonFormPF,Questions9and20.

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 1,508Long/Short 681 691 752 854 867 909 904 924MarketNeutral 154 218 222 239 254 275 294 309LongBias 168 170 187 209 209 263 232 270ShortBias 3 3 3 5 8 5 2 5

Other Subtotal 550 554 584 646 667 712 728 750

RelativeValue

Subtotal 395 422 442 628 654 689 774 717F.I.Sov. 207 230 229 387 414 433 520 470F.I.AssetBacked 86 87 105 112 114 128 133 128

F.I.

Corp.

42

44

45

54

54

59

54

51F.I.Conv.Arb. 40 40 43 48 46 48 47 49

VolatilityArb. 20 21 20 28 25 21 19 19

Macro

Subtotal 320 336 509 384 403 438 384 441GlobalMacro 231 244 412 275 291 306 297 333Commodity 58 61 65 65 65 79 40 59Currency 28 30 31 42 46 53 *** 48ActiveTrading 2 1 1 1 1 1 *** 1

EventDriven

Subtotal 261 278 298 343 365 412 427 403Distressed/Restruct. 161 169 179 188 196 192 185 178Equity 60 64 69 93 109 140 145 138RiskArb./MergerArb. 41 45 50 62 60 80 97 88

CreditSubtotal 230 233 244 266 278 299 291 299Long/Short 207 211 220 243 254 273 264 272AssetBasedLending 23 22 24 23 24 25 27 27

Managed

Futures/CTA

Subtotal 54 49 51 63 58 67 70 90

Quantitative

***

45

***

***

***

***

***

***Fundamental *** 4 *** *** *** *** *** ***

Investmentinotherfunds 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 PFQuestion 20 requires advisers to indicate which strategies best describe the reporting fund’s strategiesincluding

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


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Table29: Exposuresof HedgeFunds(Percentof 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 33.0MarketNeutral 7.5 10.1 9.7 9.5 9.8 10.0 10.8 11.1LongBias 8.2 7.8 8.2 8.3 8.0 9.5 8.5 9.6ShortBias 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

RelativeValue

Subtotal 19.3 19.4 19.5 25.0 25.2 25.0 28.3 25.6F.I.Sov. 10.1 10.6 10.1 15.4 15.9 15.7 19.0 16.8F.I.AssetBacked 4.2 4.0 4.6 4.4 4.4 4.6 4.9 4.6F.I.Corp. 2.0 2.0 2.0 2.1 2.1 2.1 2.0 1.8F.I.Conv.Arb. 1.9 1.8 1.9 1.9 1.8 1.8 1.7 1.7VolatilityArb. 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 15.8GlobalMacro 11.3 11.2 18.1 10.9 11.2 11.1 10.8 11.9Commodity 2.8 2.8 2.9 2.6 2.5 2.9 1.5 2.1Currency 1.4 1.4 1.4 1.7 1.8 1.9 *** 1.7Active

Trading

0.1

0.0

0.0

0.1

0.0

0.0

***

0.0

EventDriven

Subtotal 12.7 12.8 13.1 13.7 14.1 14.9 15.6 14.4Distressed/Restruct. 7.8 7.8 7.9 7.5 7.6 7.0 6.8 6.3Equity 2.9 2.9 3.0 3.7 4.2 5.1 5.3 4.9RiskArb./MergerArb. 2.0 2.1 2.2 2.5 2.3 2.9 3.5 3.1

CreditSubtotal 11.2 10.7 10.7 10.6 10.7 10.8 10.6 10.7Long/Short 10.1 9.7 9.7 9.7 9.8 9.9 9.6 9.7AssetBasedLending 1.1 1.0 1.0 0.9 0.9 0.9 1.0 1.0

ManagedFutures/CTASubtotal 2.7 2.3 2.2 2.5 2.2 2.4 2.5 3.2Quantitative *** 2.1 *** *** *** *** *** ***Fundamental *** 0.2 *** *** *** *** *** ***

Investmentinotherfunds 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


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B

Liquidity

Table

30:

Investor

Liquidity

for

Qualifying

Hedge

Funds

(Percent

of

Aggregate

NAV)AsreportedonFormPF,Questions9and50.

LiquidationPeriod 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

Atmost1day 6.2 6.8 6.5 7.7 9.9 7.8 6.0 7.6Atmost7days 8.5 8.9 8.7 11.3 11.9 11.0 9.7 11.4Atmost30days 23.7 22.9 22.3 24.5 26.2 24.3 23.7 25.9Atmost90days 43.6 43.1 44.0 48.5 44.8 44.2 44.9 49.8Atmost180days 57.9 58.4 59.8 57.9 59.5 58.4 61.4 59.0Atmost365days 75.3 75.8 74.8 75.5 76.0 75.6 75.3 75.5

Table31: PortfolioLiquidityforQualifyingHedgeFunds(Percentof AggregateNAV)

As

reported

on

Form

PF,

Questions

9

and

32.



Figure8: AssetWeighted-AverageQualifyingHedgeFund InvestorandPortfolioLiquidityReportedonFormPFasof FourthQuarter2014

As

reported

on

Form

PF,

Questions

9,

32,

and

50.

o

s

t

1

d

a

y

A

t

m

o

s

t

7

d

a

y

s

A

t

m

o

s

t

3

0

d

a

y

s

A

t

m

o

s

t

9

0

d

a

y

s

A

t

m

o

s

t

1

8

0

d

a

y

s

A

t

m

o

s

t

3

6

5

d

a

y

s

0

2 0

4 0

6 0

8 0

1 0 0

P

e

r

c

e

n

t

o

f

F

u

n

d

N

e

t

A

s

s

e

t

s

(

%

)

P o r t f o l i o L i q u i d i t y I n v e s t o r L i q u i d i t y

26


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Table32: RestrictionsonQualifyingHedgeFundAssets($Billions)As

reported

on

Form

PF,

Questions

48

and

49.

Type

2013Q1

2013Q2

2013Q3

2013Q4

2014Q1

2014Q2

2014Q3

2014Q4

MaySuspend 1,612 1,647 1,747 1,919 1,987 2,105 2,087 2,143MayHaveGates 1,064 1,089 1,144 1,229 1,279 1,365 1,395 1,409Gated 32 25 34 28 29 32 30 41SidePocketed 40 41 39 37 37 42 39 39Suspended 21 16 19 10 10 9 8 13

Figure9: Distributionof theRatioof QualifyingHedgeFundAssetsHeld inSidePocketstoNAVAsreportedonFormPF,Questions9and48.

0

1

3

Q

1

2

0

1

3

Q

2

2

0

1

3

Q

3

2

0

1

3

Q

4

2

0

1

4

Q

1

2

0

1

4

Q

2

2

0

1

4

Q

3

2

0

1

4

Q

4

0

5

0

5

0

5

0

5

0

5

C

Borrowings

Table33: Borrowingsof QualifyingHedgeFunds($Billions)As

reported

on

Form

PF,

Question

43

(Month

3).

Type Subtype 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

Secured

SubtotalPrimeBrokerReverseRepoOtherSecured

1,602794591217

1,755835695225

1,700846598256

1,698926508265

1,777997500279

1,807990547270

1,847985576286

1,8741,039555280

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


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D

Central

Clearing

Figure

10:

Qualifying

Hedge

Funds

Using

Central

ClearingAsreportedonFormPF,Question39.

1

2

0

1

3

Q

2

2

0

1

3

Q

3

2

0

1

3

Q

4

2

0

1

4

Q

1

2

0

1

4

Q

2

2

0

1

4

Q

3

2

0

1

4

Q

4

P e r c e n t o f F u n d s P e r c e n t o f N A V

28


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IX Section3LiquidityFundSpecific Information

A

Liquidity

Table34: InvestorLiquidityForSection3LiquidityFunds(Percentof AggregateNAV)AsreportedonFormPF,Questions9and64.



Table35: SuspensionsandGatesof Section3LiquidityFunds($Billions)As

reported

on

Form

PF,

Question

63.

Type 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

MaySuspend 234 229 221 220 229 243 265 255MayHaveGates 221 220 198 198 202 214 234 223Suspended 0 0 0 0 0 0 0 0Gated 0 0 0 0 0 0 0 0

29


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B

Rule

2a-7

Compliance

Table

36:

Rule

2a-7

Compliance

(Percent

of

Funds)AsreportedonFormPF,Questions9and54.

ComplianceType 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

CreditQuality 65.3 63.0 60.9 60.9 63.0 63.6 65.9 60.0Diversification 63.3 60.9 58.7 58.7 60.9 61.4 63.6 57.8Liquidity 63.3 60.9 58.7 58.7 60.9 61.4 63.6 57.8Maturity 63.3 60.9 58.7 58.7 60.9 61.4 63.6 57.8Fully 51.0 54.3 52.2 52.2 54.3 56.8 56.8 51.1None 32.7 34.8 37.0 37.0 34.8 34.1 31.8 37.8

Table37: Rule2a-7Compliance(Percentof AggregateNAV)AsreportedonFormPF,Questions9and54.

ComplianceType 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

CreditQuality 32.4 29.1 27.9 27.3 28.1 27.6 24.9 24.7Diversification 32.4 29.1 27.9 27.3 28.0 27.5 24.9 24.7Liquidity 31.9 28.6 27.5 26.9 27.6 27.0 24.5 24.3Maturity 31.9 28.6 27.5 26.9 27.6 27.0 24.5 24.3Fully 28.9 27.6 26.4 26.0 26.6 26.2 23.8 23.8None 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

StableFloating

2013Q1

85.714.3

2013Q2

84.815.2

2013Q3

84.815.2

2013Q4

84.815.2

2014Q1

84.815.2

2014Q2

******

2014Q3

******

2014Q4

84.415.6

Table39: NAVCalculationMethod(Percentof AggregateNAV)AsreportedonFormPF,Questions9,52,and53.

Type 2013Q1 2013Q2 2013Q3 2013Q4 2014Q1 2014Q2 2014Q3 2014Q4

Stable 75.0 72.0 71.7 71.0 72.4 *** *** 71.9Floating 25.0 28.0 28.3 29.0 27.6 *** *** 28.1

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X Section4PrivateEquityFundSpecific Information

A

CPC

Industry

Concentration

Table40: GrossAssets inCPCIndustries(Percentof Total)AsreportedonFormPF,Questions8and77.

Type 2013Q4 2014Q4

Oil&GasExtraction 7.8 7.5ElectricPowerGeneration,Transmission&Distribution 3.8 3.7SoftwarePublishers 2.8 3.7PipelineTransportation 2.4 2.5TelecommunicationsDataProcessingServices 2.6 2.4DataProcessing,Hosting,&RelatedServices 2.8 2.2OtherInformationServices 2.0 2.0

Other

Financial

Investment

Activities

1.9

1.7

SupportActivitiesforMining 1.3 1.5ElectronicShopping&Mail-OrderHouses 0.8 1.4Limited-ServiceEatingPlaces 1.0 1.4WaterTransportation 1.1 1.3Pharmaceutical&MedicineMfg 1.0 1.3MedicalEquipment&SuppliesMfg 1.1 1.2ActivitiesRelatedtoCreditIntermediation 1.2 1.2Management,Scientific,&TechnicalConsultingServices 1.0 1.2CommercialBanking 1.8 1.1EducationalServices 1.1 1.0SpecialFoodServices 1.3 1.0

31


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B

CPC

Financial

Leverage

Figure

11:

Distribution

of

Ratio

of

Aggregate

CPC

Current

LiabilitiestoTotalLiabilitiesof Section4PrivateEquityFunds

SeeAppendixCforanexplanationof boxplots.As

reported

on

Form

PF,

Questions

71

and

72.

2

0

1

3

Q

4

2

0

1

4

Q

4

0

1 0

2 0

3 0

4 0

5 0

6 0

L

i

a

b

i

l

i

t

i

e

s

t

o

T

o

t

a

l

L

i

a

b

i

l

i

t

i

e

s

(

%

)

Figure12: Distributionof CPCPayment-in-Kindor ZeroCouponBorrowingstoTotalBorrowingsRatio

SeeAppendixCforanexplanationof boxplots. AsreportedonFormPF,Question73.

2

0

1

3

Q

4

2

0

1

4

Q

4

0

5

1 0

1 5

2 0

2 5

3 0

3 5

4 0

t

o

T

o

t

a

l

B

o

r

r

o

w

i

n

g

s

R

a

t

i

o

(

%

)

32


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C

CPC

Investments

by

Region

and

Country

Table

41:

Aggregate

Gross

Value

of

Private

EquityInvestmentsbyRegion($Billions)

As

reported

on

Form

PF,

Questions

70

and

78.

Region 2013Q4 2014Q4

NorthAmerica 5,275 4,501EuropeEEA 1,423 1,259Asia 571 462SouthAmerica 75 85Supranational 65 67MiddleEast 8 12Africa 20 12

Europe

Other

25

9

Table42: PrivateEquityCPCInvestmentsbyRegion(Percentof AggregateCPCGrossAssetValue)


Region 2013Q4 2014Q4

NorthAmerica 70.7 70.2EuropeEea 19.1 19.6Asia 7.6 7.2SouthAmerica 1.0 1.3

Supranational

0.9

1.0

MiddleEast 0.1 0.2Africa 0.3 0.2EuropeOther 0.3 0.1

33


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36/41


XI Appendices

A

Form

PF

Filer

Categories

Theamountof informationanadvisermustreportandthefrequencywithwhichitmustreportonFormPFdependsontheamountof theadviser’sprivatefundassetsandthetypesof privatefundsmanaged.Reportingadvisersmust identifythetypesof privatefundstheymanageonFormPF.

1 AllPrivateFundAdvisers

SEC-registered investmentadviserswithatleast$150million inprivatefundassetsundermanagementarerequiredtofileFormPF.Registeredinvestmentadviserswithlessthan$150millioninprivatefundsassetsundermanagement,exemptreportingadvisers,andstate-registeredadvisers

report

general

private

fund

data

on

Form

ADV,

but

do

not

file

Form

PF.6Not

all

Form

PF

filers

reportonaquarterlybasis. SmallerprivatefundadvisersandallprivateequityfundadvisersfileFormPFonanannualbasis,while largerhedgefundadvisersandlarger liquidityfundadvisersfiletheformquarterly.7 Asaresultof thedifferenceinreportingfrequency, information inthisreportrelatedtofundsthatarereportedannuallymaybedatedbyseveralmonths.8

2 LargeHedgeFundAdvisers

LargeHedgeFundAdvisershaveat least$1.5billioninhedgefundassetsundermanagement.ALargeHedgeFundAdviser isrequiredtofileFormPFquarterlyandprovidedataabouteachhedgefund itmanagedduringthereportingperiod(irrespectiveof thesizeof thefund).

LargeHedgeFundAdvisersmustreportmoreinformationonFormPFaboutQualifyingHedgeFundsthanotherhedgefundstheymanageduringthereportingperiod.AQualifyingHedgeFundisanyhedgefundadvisedbyaLargeHedgeFundAdviserthathadaNAV(individuallyor incombinationwithanyfeederfunds,parallelfunds,and/ordependentparallelmanagedaccounts)of atleast$500millionasof the lastdayof anymonth inthefiscalquarterimmediatelyprecedingtheadviser’smostrecentlycompletedfiscalquarter.ThisreportprovidesinformationaboutallhedgefundsreportedbyLargeHedgeFundAdvisers, includingQualifyingHedgeFundsandsmallerhedgefunds.Thisreportalsoprovidesanoverviewof certaindatareportedsolelyforQualifyingHedgeFunds.

6Notethatthesethresholdsareonagrossbasis. Exemptreportingadvisersareadvisersthatrelyontheexemptions

from

SEC

registration

in

Advisers

Act

section

203(l)

for

venture

capital

fund

advisers

and

section

203(m)

for

advisersmanaging

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

aswell as aprivate equity fundadviser thatmustfile onlyannually to reportdata about theprivate equity funds itmanages.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.

35


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38/41


B

Handling

Annual

and

Quarterly

Data

Onlyasubsetof filers(LargeHedgeFundAdvisersandLargeLiquidityFundAdvisers)are

required

to

file

Form

PF

quarterly;

all

other

filings

are

made

annually.

Annual

filings

are

typically,

butnotalways,madeattheendof thecalendaryear,asFormPFallowsfilingstobemadeattheendof anadviser’sfiscalyear. Inordertopresentthemostcompleteandrecentdatapossible,whileaccountingfordifferences infilingdates,weusethefollowingprocedurefordeterminingwhichdatatoconsider inanygivenquarter:

First,filingsaregroupedbytheirreportdatewithintheirreportedyear:

• (Q1):February15toMay14

• (Q2):May15toAugust14

•

(Q3):

August

15

to

November

14

• (Q4):November15toFebruary14

Then,responsesforfundsthathaveno informationare ‘filledforward’—essentially,copiedfrom lastreportedvalues—uptoamaximumof threequarters.Anyfundthathasnodatafourquartersafter itsmostrecentdate isnolongercountedor includedinanycalculations.10

C

How

to

Read

a

Boxplot

Inthesefigures,theboxesextendfromthetwenty-fifthpercentiletotheseventy-fifthpercentile,whilethelevels(thedashedverticallines)extendfromthetenthtothetwenty-fifthpercentileaswell

as

the

seventy-fifth

to

the

ninetieth

percentile.

Also

shown

as

a

red

line

within

the

box

is

the

median

(thefiftiethpercentile)andthehorizontaldashed line ismeanof thedistribution. SeeFigure13foranexplanationof eachfeature.

Figure13: HowtoReadaBoxplot

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.

37


39/41


D

Mitigating

the

Effects

of

Outliers

FormPFdataoccasionallycontainsspuriousoutliers.WhileREOstaff activelyengages in

outreach

to

identify

and

correct

such

values,

not

all

aberrant

values

have

been

corrected

as

of

this

writing.Toreducetheeffectof theseoutliersontheaggregatemeasuresreportedhere,wehavechosentowinsorizeortrimsomedatasets.

Winsorizationisatechniqueforreducingtheeffectof outliersbyreducingthesizeof thelargestandsmallestvalues inadistribution.11 Forexample,tocalculatea95%/5%Winsorizeddataset,allthevaluesabovetheninety-fifthpercentilearesettothevalueof theninety-fifthpercentile,andallthevaluesbelowthefifthpercentilearesettothevalueof thefifthpercentile.Effectively,thisproceduremakesthevery largestvaluessmaller(butstill large),andallthesmallestvalues larger(butstillsmall).Thisapproachcanbemoreeffectivethantrimming(simplyremovingthe largestand/orsmallestvalues)because itdoesnotchangethenumberof datapointsanddoesnotchange

the

median

or

other

percentile

values

within

the

95%/5%

range.

All

instances

of

winsorization

or

trimminghavebeennotedand includetheaffectedpercentiles.

11Such

techniques

are

known

as

‘robust

statistics’,

reviewed

for

example

in

Wilcox

(2012), Introduction to Robust

Estimation

&

Hypothesis

Testing ,

3rd

Edition.

38


40/41


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 eachmonthof thereportingperiod,bysub-assetclass,includingallexposurewhetherheldphysically, syntheticallyor throughderivatives. IncludesclosedoutandOTCforwardpositionsthathavenotexpired,aswellaspositions inside-pockets.

Borrowing InFormPF,borrowingsincludesecuredborrowings,unsecuredborrowings,aswellassyntheticborrowings(e.g.,totalreturnswapsthatmeetthefailedsaleaccountingrequirements).

CPC Controlledportfoliocompany,asdefined inFormPF.

Gross Notional Exposure (GNE) Thegrossnominalornotionalvalueof all transactions thathavebeenentered into but not yet settled as of the data reporting date. Forcontractswithvariablenominalornotionalprincipalamounts,thebasisforreportingisthenominalornotionalprincipalamountsasof thedatareportingdate.

Hedge Fund Anyprivatefund(otherthanasecuritizedassetfund): (a)withrespecttowhichoneormore investmentadvisers(orrelatedpersonsof investmentadvisers)maybepaidaperformance feeorallocationcalculatedbytaking intoaccountunrealizedgains(other thana feeorallocationthe calculationof whichmay take intoaccountunrealizedgains solelyfor 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

itsnetassetvalue(includinganycommittedcapital)ormayhavegrossnotional exposure in excessof twice itsnet assetvalue (including anycommittedcapital);or(c)thatmaysellsecuritiesorotherassetsshortorenter into similar transactions (other than for thepurposeof hedgingcurrencyexposureorma

Securities and Exchange Commission (SEC): Private Funds Statistics 2014 Q4 2015

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