IOSCO reports hedge fund AUM at US3.85 trillion in December 2019, up 8.5% from 2017

The Board of the International Organization of Securities Commissions (IOSCO) today published its Report on the Fifth IOSCO Hedge Fund Survey, which provides regulators new insights into the global hedge fund industry and the potential systemic risks this industry may pose to the international financial system.

IOSCO´s biennial survey has become an important resource for regulators to help address gaps with regard to public and global data on hedge fund activities. The survey facilitates the systematic collection and analysis of hedge fund data, enabling regulators to share information and observe trends regarding trading activities, leverage, liquidity management and funding in the global hedge fund sector.

The report explains the results of the fifth IOSCO survey and provides an overview of the hedge fund industry based on data as of 30th September 2018. Since the first survey was conducted in 2010, data collection has expanded due to enhanced regulatory reporting regimes in some jurisdictions.

This fifth iteration of the Hedge Fund Survey also provides valuable data on measuring leverage in hedge funds.  Similar to previous editions, the survey collected data related to such things as fund liquidity, collateral, margin, and exposures, all of which offer further insights into the potential impact of fund leverage.

For the first time, this edition provides a jurisdiction-level breakdown of information on long and short exposure on an asset-class basis and several specific leverage metrics, including Gross Notional Exposure (GNE) and GNE Adjusted, as recommended in IOSCO´s December 2019 Recommendations for a Framework Assessing Leverage in Investment Funds.

The latest survey report makes several important observations:

  • The number of qualifying hedge funds captured in this exercise has increased by 8.5% to 2,139;
  • In the two years since the last hedge funds survey, assets under management (AuM), as captured by the survey, increased 19.5% to $US3.85 trillion;
  • Multi-strategy and equity long/short are the most common investment strategies of qualifying hedge funds;
  • For both cash securities and derivatives, the largest exposures held by qualifying hedge funds (long and short), are in equities;
  • On a gross notional basis, interest rate and foreign exchange derivatives positions are the largest in terms of fund exposures;
  • Leverage, as measured on a gross notional basis, stands at 8.2x net asset value. Net leverage stands at 1x; and
  • Qualifying hedge funds seem to have, on average, sufficient portfolio liquidity to meet investor liquidity demands in normal times.

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