Hedge Fund Monitor

SEC-registered investment advisers with at least $150 million in private fund assets under management are required to file Form PF. While many different types of private funds are required to file Form PF (e.g., hedge funds, private equity, real estate, venture capital, and securitized asset funds), the OFR’s Hedge Fund Monitor focuses exclusively on hedge funds.

Smaller private fund advisers file Form PF on an annual basis, while Large Hedge Fund Advisers file quarterly within 60 days after the advisers' fiscal quarter-end. Large Hedge Fund Advisers must report more information about Qualifying Hedge Funds than other hedge funds they may also manage. A Qualifying Hedge Fund is any hedge fund with net assets of at least $500 million that is advised by a Large Hedge Fund Adviser. Net assets are measured individually or in combination with any feeder funds, parallel funds, or dependent parallel managed accounts.¹ Large Hedge Fund Advisers, according to SEC Form PF, have at least $1.5 billion in hedge fund assets under management across one or more funds.

Qualifying Hedge Fund filings contain monthly data for some, but not all, statistics. The Hedge Fund Monitor uses quarterly, not monthly, Form PF data. Thus, where Form PF collects monthly data, we use the third month of the fiscal quarter. In order to present the most complete and recent data possible, while accounting for differences in advisers’ fiscal reporting periods, we use the following procedure for determining which data to consider in any given quarter. Filings are grouped into calendar quarters (quarters ending March, June, September, and December) by their report date within the reported year, which is consistent with the grouping methodology used in the SEC’s Private Fund Statistics: March 31 (Q1) - February 15 to May 14, June 30 (Q2) - May 15 to August 14, September 30 (Q3) - August 15 to November 14, December 31 (Q4) - November 15 to February 14.

The Hedge Fund Monitor’s data is aggregated, rounded, and masked to avoid potential disclosure of proprietary information of individual Form PF filers. These practices are consistent with the SEC’s aggregated statistics as presented in its SEC’s Private Fund Statistics. Masked data are displayed as blank values within charts and null values within data downloads via the API.

While the Hedge Fund Monitor is complementary to the SEC’s Private Fund Statistics in many respects, the presentation of Form PF data within the monitor differs in some cases.

1. Similar to the SEC’s aggregated statistics, we also aggregate Form PF data across individual hedge fund filings. However, the Hedge Fund Monitor includes only Qualifying Hedge Fund filings, while certain SEC statistics also include filings from smaller funds that only file annually.
2. Form PF data occasionally contain apparent outliers and filing errors. We and SEC both screen for these types of data points, although each uses different methodologies. To reduce the effect of these data points on the aggregate measures, we winsorize some aggregate measures and remove perceived erroneous filings from other aggregate measures; winsorizing removes extreme values from aggregated data.
3. The SEC’s Private Fund Statistics and the OFR’s Hedge Fund Monitor are each published on different dates during the quarter. Thus, timing differences arise when accounting for amended filings. Similar to the SEC’s Private Fund Statistics, the Hedge Fund Monitor’s historical aggregate measures are subject to revision due to amended filings.
4. Form PF question 20 lists several investment strategies, and funds self-report their share of net assets managed under each strategy. Generally, we map reported strategies into one of nine broad strategies, including 'other' which the adviser may select only if the fund’s strategy is significantly different from those strategies listed on question 20. 'Multi-strategy' is not a strategy option listed on question 20. We classify funds with less than 75% of assets concentrated in a single strategy as multi-strategy. The SEC’s Private Fund Statistics use a different methodology when presenting aggregated data by strategy.
5. Form PF questions 26 and 30 list numerous asset class exposures. We group these into the following seven asset classes for presentation purposes: equities, credit, U.S. government, interest rate derivatives, sovereign, foreign exchange, and other. Equities include cash securities and derivative exposures to U.S. and foreign-listed stocks and stock indices. Credit includes corporate bonds, leveraged loans, credit default swaps, and structured credit products, including collateralized debt obligations and collateralized loan obligations. U.S. government includes debt issued by U.S. federal, state, and local entities; it includes cash Treasury securities, Treasury security derivatives, municipal bonds, and obligations issued by government sponsored entities or GSEs. Interest rate derivatives include notional values (10-year equivalent basis) of interest rate swaps, options, overnight index swaps, and forward rate agreements. Sovereign includes debt obligations issued by foreign governments. Foreign exchange includes currency swaps and non-US denominated deposits. Other is a roll-up of several asset classes including mortgage-backed securities, asset-backed commercial paper, commodity exposures (physical and synthetic), real estate, and dollar-denominated cash deposits. Certain fixed income exposures (e.g., credit, sovereigns, Treasuries, etc.) are reported as duration, weighted average tenor, or 10-year equivalent adjusted exposures.

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