Datasets Reference

Datasets Reference

Overview

The HFM API provides data from four source datasets. Each dataset has a short key used in API calls.

SEC Form PF (fpf)

The largest and most comprehensive dataset in the HFM. Covers aggregated statistics from Qualifying Hedge Fund filings.

Who files: SEC-registered investment advisers with ≥$150M in private fund AUM. Large Hedge Fund Advisers (≥$1.5B in hedge fund AUM) file quarterly; others file annually.

What is a Qualifying Hedge Fund: Any hedge fund with net assets ≥$500M advised by a Large Hedge Fund Adviser.

Data aggregation: OFR aggregates, rounds, and masks data to avoid disclosure of individual filer information. Winsorization is applied to remove extreme outliers.

Strategies tracked:

• All Qualifying Hedge Funds (ALLQHF)
• Equity (STRATEGY_EQUITY)
• Credit (STRATEGY_CREDIT)
• Macro (STRATEGY_MACRO)
• Relative value (STRATEGY_RELVALUE)
• Multi-strategy (STRATEGY_MULTI)
• Event-driven (STRATEGY_EVENT)
• Fund of funds (STRATEGY_FOF)
• Other (STRATEGY_OTHER)
• Managed futures/CTA (STRATEGY_MFCTA)

Mnemonic naming convention:

FPF-{SCOPE}_{METRIC}_{AGGREGATION_TYPE}

Key series examples:

FPF-ALLQHF_NAV_SUM                          All funds: total net assets
FPF-ALLQHF_GAV_SUM                          All funds: total gross assets
FPF-ALLQHF_GNE_SUM                          All funds: gross notional exposure
FPF-ALLQHF_LEVERAGERATIO_GAVWMEAN           All funds: leverage (GAV-weighted)
FPF-ALLQHF_LEVERAGERATIO_NAVWMEAN           All funds: leverage (NAV-weighted)
FPF-ALLQHF_BORROWING_SUM                    All funds: total borrowing
FPF-ALLQHF_CDSUP250BPS_P5                   Stress test: CDS +250bps (5th pct)
FPF-ALLQHF_CDSUP250BPS_P50                  Stress test: CDS +250bps (median)
FPF-ALLQHF_PARTY1_SUM                       Largest counterparty: total lending
FPF-STRATEGY_CREDIT_NAV_SUM                 Credit funds: total net assets
FPF-STRATEGY_EQUITY_LEVERAGERATIO_GAVWMEAN  Equity funds: leverage

Data note: Historical data starts Q1 2013 (2013-03-31). Masked values appear as null.

CFTC Traders in Financial Futures (tff)

Select statistics from the CFTC Commitments of Traders (COT) report covering financial futures.

What is tracked: Net positioning of leveraged funds (hedge funds and commodity trading advisors) in financial futures markets, including equity index futures, interest rate futures, currency futures, and other financial instruments.

Update frequency: Monthly (derived from weekly CFTC COT releases)

Key use cases:

• Monitoring hedge fund positioning in futures markets
• Analyzing speculative vs. commercial positioning
• Tracking changes in financial futures open interest

FRB SCOOS (scoos)

Senior Credit Officer Opinion Survey on Dealer Financing Terms conducted by the Federal Reserve Board.

What it measures: Survey responses from senior credit officers at major U.S. banks on terms and conditions of their securities financing and over-the-counter derivatives transactions. Covers topics including:

• Availability and terms of credit
• Collateral requirements and haircuts
• Maximum maturity of repos
• Changes in financing terms for hedge funds

Update frequency: Quarterly

Key use cases:

• Monitoring credit tightening/easing for hedge funds
• Tracking changes in dealer financing conditions
• Understanding repo market conditions from the dealer perspective

FICC Sponsored Repo (ficc)

Statistics from the DTCC Fixed Income Clearing Corporation (FICC) Sponsored Repo Service public data.

What it measures: Volumes of sponsored repo and reverse repo transactions cleared through FICC's sponsored member program.

Update frequency: Monthly

Key use cases:

• Monitoring growth of the sponsored repo market
• Tracking volumes of centrally cleared repo activity
• Analyzing changes in repo market structure