Hedge Fund Monitor

Size

 Size measures capture the magnitude of hedge fund investments at a point in time (stock measures) and scale of transactions over time (flow measures). Hedge funds that are large may adversely affect financial markets and counterparties during periods of stress. Examples of size metrics include gross assets, net assets, and gross notional exposures.

Short-term interest rate futures (DV01)

Skip the Chart

The data are compiled from the Commodity Futures Trading Commission (CFTC) Traders in Financial Futures (TFF) combined options and futures report. See additional definitions and methodology on the CFTC Traders in Financial Futures Data Sets page of the Hedge Fund Monitor.

DV01 is dollar value of a one basis point change in yield. The series displayed are the product of the net number of contracts held by leveraged funds and the fixed DV01 of short-term interest rate futures. Data for eurodollar futures is unavailable after June 13, 2023. Leveraged funds are typically hedge funds and various types of money managers, including registered commodity trading advisors (CTAs), registered commodity pool operators (CPOs), or unregistered funds identified by the CFTC.

Series Used

Related Charts

Chart Name
Number of Qualifying Hedge Funds (count)
Number of Qualifying Hedge Funds by strategy (count)
Gross assets, net assets, and gross notional exposure (U.S. dollars)
Net assets by strategy (U.S. dollars)
Gross assets by strategy (U.S. dollars)
Gross notional exposure by asset class (U.S. dollars)
Long notional exposure by asset class (U.S. dollars)
Short notional exposure by asset class (U.S. dollars)
Gross notional exposure by strategy (U.S. dollars)
Gross notional exposure by asset class (cumulative one-year change, U.S. dollars)
Gross notional exposure by strategy (cumulative one-year change, U.S. dollars)
Gross notional exposure by asset class (percent change year-over-year)
Gross notional exposure by strategy (percent change year-over-year)
Top 10 hedge funds’ share of gross assets (percent of total)
Top 10 hedge funds’ share of gross notional exposure (percent of total)
Top 10 gross notional exposures by asset class (percent of total)
Long and short equity security exposures (U.S. dollars)
Long and short equity derivative exposures (U.S. dollars)
Long and short U.S. Treasury exposures (U.S. dollars)
Notional Treasury futures (U.S. dollars)
Long notional Treasury futures by contract (U.S. dollars)
Short notional Treasury futures by contract (U.S. dollars)
Net notional Treasury futures by contract (U.S. dollars)
Net notional Treasury futures by contract (10-year equivalent, U.S. dollars)
Net notional short-term interest rate futures (10-year equivalent, U.S. dollars)
Short-term interest rate futures (DV01)
Net notional equity index futures (U.S. dollars)
Net notional Bitcoin and Ether futures (U.S. dollars)
Notional VIX futures (U.S. dollars)
Net notional currency futures (U.S. dollars)
Net assets by strategy (percent change year-over-year)
Gross assets by strategy (percent change year-over-year)

General Disclaimer

This OFR monitor is presented solely for informative purposes and should not be relied upon for financial decisions; it is not intended to provide any investment or financial advice. If you have any specific questions about any financial or other matter please consult an appropriately qualified professional. The OFR makes no warranty, express or implied, nor assumes any legal liability or responsibility for the accuracy, completeness, reliability, and usefulness of any information that is available through this website, nor represents that its use would not infringe on any privately owned rights.

Disclaimer Regarding Non-OFR Data and Information

For convenience and informational purposes only, the OFR may provide links and references to nongovernment sites. These sites may contain information that is copyrighted with restrictions on reuse. Permission to use copyrighted materials must be obtained from the original source and cannot be obtained from the OFR or from the U.S. Treasury Department. The OFR is not responsible for the content of external websites linked to or referenced from this site or from the OFR web server. The U.S. government, the U.S. Treasury Department, the Financial Stability Oversight Council, and the OFR neither endorse the data, information, content, materials, opinions, advice, statements, offers, products, services, presentation, or accuracy, nor make any warranty, express or implied, regarding these external websites. Please note that neither the U.S. Treasury Department nor the OFR controls, and cannot guarantee, the relevance, timeliness, or accuracy of third-party content or other materials. Users should be aware that when they select a link on this OFR website to an external website, they are leaving the OFR site.

Suggested Citation

Office of Financial Research, "Hedge Fund Monitor," refreshed monthly and quarterly, https://www.financialresearch.gov/hedge-fund-monitor/ (accessed ).