This is the September, 2017 post in my series on biggest hedge funds by regulatory assets under management. It’s a little late, but I have been working on my “What We Do” page which took forever! In the spirit of keeping it fresh, I have relaxed the selection criteria a little (expanding the percent of AUM due to pooled investment vehicles from >75% to >50%) to ensure AQR appears.
In addition, I waded through 150 Form ADV by hand (there is no limit to the effort I will go to for you guys) to find the $AUM each firm reports in Part II to see how it differs from the regulatory $AUM reported in Part I. Specifically, I was curious to see if we can learn something about leverage levels employed by different managers.
Part I of Form ADV asks the filer for regulatory $AUM, both discretionary and non-discretionary. We are interested in discretionary (i.e. the assets the manager actually invests on behalf of clients). Regulatory $AUM has a very specific definition: It is the gross size of the portfolio being managed (and may or may not include cash and cash equivalents at the filer’s option). It is not the client assets which everyone obsesses about in the hedge fund “league tables”.
Part II of Form ADV is referred to as the brochure. It adds a lot of color if you want to learn about an asset manager’s business. Some registered investment advisor firms are exempt from filing a Part II. Vanguard is an example. While there are pre-defined sections in Part II, it is in narrative form and some managers are more expansive than others. Item 4 – Advisory Business is where a manager typically makes some reference to $AUM, but there is a catch: the reference may not be what you need. So far I found the following variations:
- Regulatory $AUM. They simply report the exact same number as in Part I. Sometimes they won’t even be clear whether the value is discretionary or total.
- Client $AUM. This is pay-dirt, this is the number you need in order to figure out portfolio leverage.
- Committed vs. Funded. Sometimes the manager will clarify whether they are including or excluding committed but unfunded assets (most likely only applicable in private equity, venture capital, real estate, etc. i.e. less liquid strategies).
- Net $AUM. I am not sure what this means. It could be another way of saying client assets. Or it could be to do with netting long and short. Or it could be to do with funded vs. unfunded. Any insight would be appreciated.
If you are lucky, the hedge fund manager will report their client assets under management (the number they share with the press for the hedge fund “whose is biggest” contests). This, in combination with the regulatory $AUM from Part I allows you to estimate the manager’s portfolio leverage! Simply divide one by the other. The final column of the table below includes this ratio.
This analysis is based on 150 registered investment advisor firms that are:
- Over $20bn discretionary regulatory assets under management
- At least 75% by number of clients are pooled investment vehicles other than investment companies, or
- At least 50% by regulatory assets under management are pooled investment vehicles other than investment companies.
These criteria capture some firms you might not think of as hedge funds at all.
The table below contains the 50 largest firms. The file download contains the 150 largest firms with additional columns of detail on employee types, assets, and number of accounts. The table below is sorted by the apparent leverage ratio.
Contact me to discuss customized reports and analysis.
If you are interested in the complete data file, use the adjacent “Request File” button. You can also request it (refer to September hedge funds file) via our contact form.
Table of 50 Largest Hedge Fund Firms
Note: click column headings to sort. Use drop-down to set number of rows per page.
| OrgCRD. | PrimaryBusinessName. | P1Date. | rAUM. | P2Date. | P2AUM. | Ratio. |
|---|---|---|---|---|---|---|
| 282598 | VANGUARD ASSET MANAGEMENT, LIMITED | 3/31/17 | 120.00 | NA | NA | NA |
| 148823 | BLUECREST CAPITAL MANAGEMENT LIMITED | 8/1/17 | 90.51 | 8/1/17 | 3.55 | 25.49 |
| 152719 | ALPHADYNE ASSET MANAGEMENT PTE. LTD. | 7/24/17 | 84.63 | 7/24/17 | 5.10 | 16.59 |
| 154176 | ALPHADYNE ASSET MANAGEMENT LP | 7/24/17 | 84.63 | 7/24/17 | 5.10 | 16.59 |
| 133720 | PINE RIVER CAPITAL MANAGEMENT L.P. | 8/7/17 | 82.78 | 8/7/17 | 8.50 | 9.74 |
| 158117 | MILLENNIUM MANAGEMENT LLC | 3/31/17 | 208.00 | 3/31/17 | 34.30 | 6.05 |
| 138111 | BALYASNY ASSET MANAGEMENT L.P. | 7/7/17 | 75.06 | 3/28/17 | 12.70 | 5.91 |
| 148826 | CITADEL ADVISORS LLC | 3/31/17 | 153.00 | 3/31/17 | 26.15 | 5.84 |
| 160188 | MOORE CAPITAL MANAGEMENT, LP | 3/30/17 | 53.82 | 3/30/17 | 13.32 | 4.04 |
| 108679 | D. E. SHAW & CO., L.P. | 5/5/17 | 81.32 | 3/31/17 | 26.61 | 3.06 |
| 156601 | ELLIOTT MANAGEMENT CORPORATION | 8/9/17 | 56.01 | 8/9/17 | 32.78 | 1.71 |
| 107913 | OZ MANAGEMENT LP | 4/6/17 | 51.74 | 3/31/17 | 33.70 | 1.54 |
| 105129 | BRIDGEWATER ASSOCIATES, LP | 8/24/17 | 239.00 | 3/31/17 | 161.00 | 1.49 |
| 111883 | AQR CAPITAL MANAGEMENT, LLC | 8/28/17 | 244.00 | 3/31/17 | 175.00 | 1.39 |
| 110814 | NOMURA ASSET MANAGEMENT CO., LTD. | 6/21/17 | 416.00 | 6/20/17 | 347.00 | 1.2 |
| 107580 | BLACKSTONE ALTERNATIVE ASSET MANAGEMENT LP | 7/13/17 | 62.33 | 9/12/17 | 53.70 | 1.16 |
| 140074 | PICTET ASSET MANANGEMENT SA. | 3/30/17 | 123.00 | 3/29/17 | 122.00 | 1.01 |
| 161600 | AGNC MANAGEMENT, LLC | 3/31/17 | 56.90 | 3/31/17 | 56.88 | 1 |
| 168122 | ANNALY MANAGEMENT COMPANY | 8/29/17 | 84.98 | 8/29/17 | 84.98 | 1 |
| 155587 | FIELD STREET CAPITAL MANAGEMENT, LLC | 3/31/17 | 63.27 | 3/31/17 | 63.27 | 1 |
| 152254 | TWO SIGMA ADVISERS, LP | 3/31/17 | 48.66 | 3/31/17 | 48.66 | 1 |
| 107715 | GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL | 5/25/17 | 262.00 | 3/31/17 | 262.00 | 1 |
| 105686 | HSBC GLOBAL ASSET MANAGEMENT (USA) INC. | 6/9/17 | 71.18 | 3/23/17 | 71.18 | 1 |
| 135960 | J.P. MORGAN ASSET MANAGEMENT | 7/14/17 | 229.00 | 7/13/17 | 229.00 | 1 |
| 144603 | EASTSPRING INVESTMENTS (SINGAPORE) LIMITED | 7/31/17 | 74.52 | 3/31/17 | 74.52 | 1 |
| 108069 | BLACKROCK CAPITAL MANAGEMENT, INC. | 8/28/17 | 71.69 | 8/28/17 | 71.51 | 1 |
| 156078 | HUDSON AMERICAS L.P. | 5/31/17 | 48.45 | 3/31/17 | 48.45 | 1 |
| 110338 | MACKENZIE INVESTMENTS | 6/6/17 | 48.57 | 6/6/17 | 48.57 | 1 |
| 160795 | APG ASSET MANAGEMENT US, INC | 8/14/17 | 59.32 | 3/31/17 | 59.32 | 1 |
| 143161 | APOLLO CAPITAL MANAGEMENT, L.P. | 7/20/17 | 126.00 | 3/30/17 | 125.00 | 1 |
| 110997 | NIKKO ASSET MANAGEMENT CO LTD | 8/7/17 | 148.00 | 6/29/17 | 148.00 | 1 |
| 106487 | GALLIARD CAPITAL MANAGEMENT INC | 8/1/17 | 90.67 | 3/30/17 | 90.67 | 1 |
| 173155 | CANDRIAM BELGIUM S.A. | 7/12/17 | 85.28 | 3/31/17 | 85.28 | 1 |
| 106793 | OAKTREE CAPITAL MANAGEMENT, L.P. | 8/17/17 | 109.00 | 5/5/17 | 109.00 | 1 |
| 106012 | CREDIT SUISSE ASSET MANAGEMENT, LLC | 8/30/17 | 59.76 | 3/31/17 | 59.76 | 1 |
| 111128 | THE CARLYLE GROUP | 3/30/17 | 102.00 | 3/30/17 | 102.00 | 1 |
| 110077 | DAIWA SB INVESTMENTS LTD | 6/27/17 | 50.00 | 4/27/17 | 50.08 | 1 |
| 106661 | RENAISSANCE TECHNOLOGIES LLC | 3/30/17 | 97.01 | 3/30/17 | 97.01 | 1 |
| 158319 | SAMSUNG ASSET MANAGEMENT COMPANY, LTD. | 3/31/17 | 182.00 | 3/31/17 | 182.00 | 1 |
| 143883 | SANTANDER ASSET MANAGEMENT SA SGIIC | 6/27/17 | 62.59 | 3/27/17 | 62.59 | 1 |
| 286323 | SB INVESTMENT ADVISERS (US) INC. | 5/22/17 | 93.20 | 5/21/17 | 93.20 | 1 |
| 160309 | ELEMENT CAPITAL MANAGEMENT LLC | 4/5/17 | 55.88 | 3/31/17 | 55.88 | 1 |
| 142979 | BLACKSTONE REAL ESTATE ADVISORS L.P. | 6/26/17 | 60.19 | 3/30/17 | 60.07 | 1 |
| 136979 | BLACKSTONE MANAGEMENT PARTNERS L.L.C. | 3/31/17 | 57.38 | 3/31/17 | 57.38 | 1 |
| 159732 | TPG GLOBAL ADVISORS, LLC | 7/19/17 | 79.53 | 3/31/17 | 79.53 | 1 |
| 159738 | TPG CAPITAL ADVISORS, LLC | 8/5/17 | 51.64 | 3/31/17 | 51.64 | 1 |
| 137137 | TWO SIGMA INVESTMENTS, LP | 3/31/17 | 49.27 | 3/31/17 | 49.27 | 1 |
| 144533 | KOHLBERG KRAVIS ROBERTS & CO. L.P. | 6/9/17 | 76.93 | 6/9/17 | 76.93 | 1 |
| 129612 | FORTRESS INVESTMENT GROUP | 8/7/17 | 56.94 | 3/30/17 | 69.63 | 0.82 |
| 130074 | ARES MANAGEMENT LLC | 8/25/17 | 58.35 | 3/31/17 | 93.11 | 0.63 |
PrimaryBusinessName: Firm's name
P1Date: Date of most recent Form ADV Part I
rAUM: Discretionary regulatory $AUM in billions
P2Date: Date of most recent Form ADV Part II
P2AUM: "$AUM" disclosed in Part II Item 4 - Advisory Business
Ratio: rAUM / P2AUM
Observations
First, note that some of the leverage ratios are … “odd”, shall we say? Here are the highlights:
- My intuition is that the numbers for AQR, Bridgewater, OZ, Elliott, Shaw, Moore, Citadel, Balyasny, and Millenium contain real information about leverage – they feel right.
- Vanguard is exempt from filing Part II, so no information is available.
- BlueCrest, Alphadyne, and Pine River (maybe) have leverage ratios that do not seem credible. It’s not to do with the timing of the Parts I and II filings (they are the same in each case). It is possible that the BlueCrest and Pine River filings are typo’s. In Alphadyne’s case there are two sets of filings and it seems unlikely there are the same typo’s in both. If you have any insights, please do share!
- More than half report the same value as their regulatory $AUM, so we can’t learn anything about leverage from them.
- Where the ratios are less than 1, I would infer the use of futures-related strategies where notional funding is available and client accounts only need to be funded for margin.
Contact me to discuss customized reports and analysis.
Companion Post: Mining for Gold
I have published a companion post on the Form ADV and the information it provides for competitive analysis and benchmarking (Hedge Fund Competitor Intelligence: Mining for Gold in Form ADV).
Check out your own firm’s Form ADV at the SEC’s Investment Advisor Public Depository website – you may be surprised at how much information is in there.
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