5.7 KiB
Datasets Reference
Overview
The HFM API provides data from four source datasets. Each dataset has a short key used in API calls.
| Key | Full Name | Source | Update Frequency |
|---|---|---|---|
fpf |
SEC Form PF | U.S. Securities and Exchange Commission | Quarterly |
tff |
CFTC Traders in Financial Futures | Commodity Futures Trading Commission | Monthly |
scoos |
Senior Credit Officer Opinion Survey on Dealer Financing Terms | Federal Reserve Board | Quarterly |
ficc |
FICC Sponsored Repo Service Volumes | DTCC Fixed Income Clearing Corp | Monthly |
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}
| Scope | Meaning |
|---|---|
ALLQHF |
All Qualifying Hedge Funds |
STRATEGY_EQUITY |
Equity strategy funds |
STRATEGY_CREDIT |
Credit strategy funds |
STRATEGY_MACRO |
Macro strategy funds |
| etc. |
| Metric | Meaning |
|---|---|
NAV |
Net assets value |
GAV |
Gross assets value |
GNE |
Gross notional exposure |
BORROWING |
Total borrowing |
LEVERAGERATIO |
Leverage ratio |
CASHRATIO |
Unencumbered cash ratio |
GROSSRETURN |
Quarterly gross returns |
NETRETURN |
Quarterly net returns |
COUNT |
Number of qualifying funds |
OPENPOSITIONS |
Open positions count |
CDSDOWN250BPS |
Stress test: CDS -250 bps |
CDSUP250BPS |
Stress test: CDS +250 bps |
EQUITYDOWN15PCT |
Stress test: equity -15% |
| etc. |
| Aggregation type | Meaning |
|---|---|
SUM |
Sum (total dollar value) |
GAVWMEAN |
Gross asset-weighted average |
NAVWMEAN |
Net asset-weighted average |
P5 |
5th percentile fund |
P50 |
Median fund |
P95 |
95th percentile fund |
PCTCHANGE |
Percent change year-over-year |
CHANGE |
Cumulative one-year change |
COUNT |
Count |
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.
| Mnemonic | Description |
|---|---|
FICC-SPONSORED_REPO_VOL |
Sponsored repo: repo volume |
FICC-SPONSORED_REVREPO_VOL |
Sponsored repo: reverse repo volume |
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