Beginning in 2012:Q4, market value level calculated from SEC Form PF Questions 8, 26, and 30. The long value exposure to treasury securities reported in Questions 26 and 30 can include derivative exposure. Hedge funds' holdings of treasury securities are estimated to exclude derivative exposures in two steps. First, the long exposure values of asset categories reported in Question 26 or 30 that do not include derivative exposure are subtracted from the hedge fund's gross asset value. These asset categories are real estate, foreign currency, deposits, other cash and cash equivalents, money market funds, repos, agencies/GSEs, municipal securities, loans, corporate equities, investments in registered investment companies, investments in internal private funds, investments in external private funds, investments in funds for cash management purposes, and investments in other sub-asset classes. Second, the residual value is distributed between corporate and foreign bonds and treasury securities. The residual value allocated to treasury securities is estimated based on the share of long value treasury securities exposure reported in Question 26 or 30 relative to long value corporate and foreign bond exposures reported in Question 26 or 30. Values are adjusted upwards to account for non-qualifying funds.
Last edited on: 12/07/2020