Hedge Fund Gross-to-Net Asset Ratio (SEC Form PF, quarterly)

## What this measures

The aggregate gross asset value of hedge funds reported on Form PF (Private Fund Statistics, table 2.1) divided by their aggregate net asset value (table 2.3): how many dollars of assets the funds hold for each dollar of investors' equity. Palanor divides the two published aggregates. Quarterly, from 2013.

## Why it matters

It is the simplest read on hedge fund leverage on the balance sheet, which regulators watch because leveraged funds can be forced to sell into falling markets.

## How to read it

Higher means more assets per dollar of equity. A ratio of 2 means the funds hold two dollars of assets for each dollar their investors put in.

## What it does not say

Only advisers with $150 million or more in private fund assets file Form PF, so smaller funds, exempt reporting advisers and state-registered advisers are left out (Form ADV covers them). Fund types are as the advisers classify them under Form PF's definitions. The report appears with a lag of two quarters or more, and the SEC revises past quarters as late filings arrive. Derivatives add leverage that gross assets do not show (the SEC reports gross notional exposure separately).

## Source

U.S. Securities and Exchange Commission, Division of Investment Management, Analytics Office: Private Fund Statistics and supporting data (www.sec.gov/data-research/investment-management-data), U.S. government work in the public domain; the SEC asks for citation as the source. Ratio calculated by Palanor.