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.

Net notional short-term interest rate futures (10-year equivalent, U.S. dollars)

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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.

The net notional value is leveraged funds’ exposures to short-term interest rate (STIR) contracts scaled by the ratio of the constant dollar value of a one basis point change in yield (DV01) of the STIR contract and the DV01 of the 10-year Treasury futures contract. 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)

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Suggested Citation

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