Use of Derivatives by Registered Investment Companies

Daniel Deli, Paul Hanouna, Christof W. Stahel, Yue Tang and William Yost 1

December 2015
1. Summary
Anecdotal evidence and press reports suggest the potential increased use of derivatives by investment
companies registered under the Investment Company Act of 1940. However, granular information is not
available on the extent to which funds 2 may be making use of derivatives in pursuing their investment
strategies. To better understand how funds currently use derivatives, we gathered a detailed, handcollected random sample of 10% of funds based on Form N-CSR filed for 2014, assembling data on
certain of those funds derivatives positions. Because section 18 of the Investment Company Act
restricts the ability of a fund to issue senior securities, 3 we focused on those derivatives (and certain
financial commitment transactions) that implicate section 18 because a fund that enters into these
transactions is or may be required to make a payment or deliver cash or other assets during the life of
the instrument or at maturity or early termination. For brevity, we generally use the term derivatives
in this paper to refer only to these derivatives, which include, for example, futures, swaps, currency
forwards, and written options. In contrast, other derivatives, such as purchased options and purchased
swaptions, often provide the economic equivalent of leverage because they expose the fund to gains on
an amount in excess of the funds investment but do not impose a payment obligation on the fund
beyond its investment. While these transactions involve economic leverage, they generally do not
implicate section 18 of the Act, and we therefore did not focus on these kinds of derivatives. 4
Supplementing our random sample of Form N-CSR filings with information gathered from Morningstar
and Form N-SAR, we analyze the use of those derivatives together with certain financial commitment

This white paper was prepared for Mark Flannery, Director and Chief Economist of the Division of Economic and
Risk Analysis (DERA). Paul Hanounas contributions were made while he was a visiting scholar in DERA. The U.S.
Securities and Exchange Commission, as a matter of policy, disclaims responsibility for any private publication or
statement of any of its employees. The views expressed herein are those of the authors and do not necessarily
reflect the views of the Commission or of the authors colleagues on the staff of the Commission.
2
The term funds refers to mutual funds (other than money market funds), exchange-traded funds (ETFs),
closed-end funds and business development companies (BDCs). We classify funds using Morningstars nine broad
categories based on asset classes and investment strategies; see appendix for a list of these categories.
3
Section 18 of the Act imposes various limitations on the capital structure of funds, including, in part, by
restricting the ability of funds to issue senior securities. Section 18(g) of the Investment Company Act defines
senior security, in part, as any bond, debenture, note, or similar obligation or instrument constituting a security
and evidencing indebtedness.
4
As set forth in Appendix B, we have collected data regarding purchased options and purchased swaptions but
have not included that data in our descriptions of the use of derivatives by funds herein.

Division of Economic and Risk Analysis

transactions 5 and other senior securities funds may issue, which similarly implicate section 18 of the
Investment Company Act. 6 We document the following empirical facts:
1. Based on data from Morningstar, total AUM of the U.S. registered fund industry was $17.9
trillion as of June 2015. With a share of 38%, US Equity represents the largest category of funds,
followed by Taxable Bond, Allocation, and International Equity funds with 19%, 17%, and 15%,
respectively. Alt Strategies funds 7 comprise 3% of total AUM with the bulk being invested in
Alternative funds and Nontraditional Bond funds. Between 2010 and 2014, the total number of
funds grew by an average of 8% per year. During the same period, the number of Alt Strategies
funds grew at an annual rate of 17%. While the industry experienced an annual growth rate in
AUM of 12% over this period, the Alt Strategies funds grew by only 10%. However, this appears
to be attributable to the fact that Commodity funds experienced significant contraction in AUM
over the period (-12% annually), while Alternative funds and Nontraditional Bond funds AUM
grew at an annual rate of 22%.
2. Form N-SAR data 8 indicates many funds often do not use derivatives even if their investment
policies allow them to do so. For example, 77% of all funds that completed Form N-SAR for 2014
have investment policies that allow the use of equity options, but only 6% report that they have
actually used equity options during the reporting period.
3. Based on the random sample drawn from N-CSR filings, 32% of funds held one or more
derivatives. The most commonly used derivatives were currency forwards (used by 13% of
funds), followed by equity futures (12%) and interest rate futures (11%). Equity swaps and
written equity options were used by around 5% of funds, and over-the-counter (OTC) interest
rate swaps, cleared or exchange-traded interest rate swaps and OTC credit default swaps (CDS)
were used by 4% of funds. Ten percent of funds used one or more financial commitment
transactions and 6% of funds issue other senior securities.
4. We define a funds derivatives exposure to be its gross notional amount of derivatives. This
measure of derivatives exposure averaged 20% of NAV. Among all funds, 68% had zero
exposure, 89% had less than 50% exposure. The average aggregate exposure 9 from derivatives,
financial commitment transactions and other senior securities was 23% of NAV. Among all funds,
96% had aggregate exposure below 150%.
5. Interest rate derivatives, equity derivatives, and currency derivatives were the most heavily used
with the notional amounts averaging 8%, 7%, and 4% of NAV, respectively. The average amounts
5

We use the term financial commitment transactions to refer to reverse repurchase agreements, short sale
borrowings, and firm or standby commitment agreements or similar agreements.
6
Other senior securities include bank borrowings, margin loans, and with respect to closed-end funds and BDCs,
senior debt and preferred shares.
7
We use Alt Strategies funds to refer collectively to Alternative funds, Commodities funds, and Nontraditional
Bond funds. Nontraditional Bond funds are a category of Taxable Bond funds in Morningstar. We consider them as
Alt Strategies funds primarily because many of the funds in this category aim to provide low correlations to the
Traditional bond indexes and often feature absolute-return mandates. Moreover, there are a substantial number
of funds within the category, primarily those with long-short credit strategies, that meet Morningstars shorting
criteria used to classify alternative funds. We refer to all other funds collectively as Traditional funds.
8
Form N-SAR does not distinguish between written and purchased options.
9
Aggregate exposure refers to the sum of the aggregate notional amounts of the funds derivatives, the aggregate
potential obligations of the fund under financial commitment transactions, and the aggregate indebtedness (and
with respect to any closed-end fund or business development company, involuntary liquidation preference) with
respect to any other senior securities.

Division of Economic and Risk Analysis

of financial commitment transactions and issuance of other senior securities were each 2% of
NAV.
6. Alt Strategies mutual funds (which we define as Alternative mutual funds, Commodities
mutual funds, and Nontraditional Bond mutual funds) tended to use derivatives more often than
other fund types, which we describe collectively as Traditional mutual funds. Seventy-three
percent of Alt Strategies mutual funds used derivatives compared to 29% of Traditional mutual
funds, and their average gross notional amount was 121% of NAV compared to 10% among
Traditional mutual funds. Fifty-two percent of Alt Strategies mutual funds had derivatives with
gross notional amounts exceeding 50% of NAV compared to only 6% of the Traditional mutual
funds. Alt Strategies mutual funds aggregate exposure averaged 132% of NAV compared to 11%
among Traditional mutual funds, and 27% of Alt Strategies mutual funds had 150% or greater
aggregate exposure compared to less than 2% of the Traditional mutual funds.
7. Among closed-end funds and ETFs, 47% and 29%, respectively, had exposure to derivatives.
None of the BDCs in the sample had any exposure to derivatives. Nine percent of closed-end
funds and 18% of ETFs had derivatives with gross notional amounts exceeding 50% of NAV. No
closed-end fund had 150% or greater aggregate exposure, but 8% of ETFs did.
2. Introduction
A growing number of academic studies and press reports point to the importance or increased use of
derivatives by registered funds. 10 This trend may have been amplified by the advent of new derivatives
products and by the growing number and size of Alt Strategies funds that seek to implement hedge
fund-like strategies.
Despite the perceived increase in the use of derivatives, there is currently little systematic evidence on
their use by funds. It is likely the case that the paucity of investigation is driven by a lack of easily
accessible detailed data on funds derivatives transactions. As a result, studies have limited their
examinations to whether a fund uses any derivatives, investigated a small set of funds, or examined only
a single type of derivative. For example, Koski and Pontiff (1999) compare funds that use derivatives
with those that do not, using a sample of 679 funds they surveyed by phone. Frino, Lepone, and Wong
(2009) use survey data for 273 Australian fund managers. Cao, Ghysels, and Hatheway (2011) investigate
322 funds with information gathered from Form N-SAR and Form N-CSR. Adam and Guettler (2015)
examine the use of CDS by corporate bond funds in 2004, and Jiang and Zhu (2015) examine the
holdings for a sample of funds from 2007 and 2008. Each of these studies use information collected
from Form N-CSR. Finally, Cici and Palacios (2015) examine the use of equity and index options by 250
US Equity funds from 2003-2010 using information collected from Form N-CSR.

10

For example, Koski and Pontiff (1999) contend that the increasing use of derivatives in registered funds stems
from the 1997 repeal of the short-short rule which previously made derivatives usage disadvantageous from a tax
standpoint. Prior to The Taxpayer Relief Act of 1997, mutual funds were subject to the short-short rule, which
eliminates preferential pass-through tax status for funds that realize more than 30 percent of their capital gains
from positions held less than three months. The rule effectively inhibited derivative use because some derivative
securities such as options and futures contracts involve realizing capital gains for holding periods of less than three
months. The Taxpayer Relief Act of 1997 included the repeal of the short-short rule.

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This paper provides data to inform the Commissions consideration of the regulation of funds use of
derivatives. To that end, we provide a comprehensive analysis of derivatives holdings based on a highly
detailed hand-collected cross-sectional dataset representing a 10% random sample of all funds. This
sample includes 1,188 open-end funds, closed-end funds, ETFs, and business development companies. 11
The data contain notional amounts on an extensive list of derivative instruments including written
options, swaps, forwards, and futures related to commodity, currency, credit, interest rate, and equity
market risks. The data also contain detailed information on financial commitment transactions and
other senior security issuances.
We investigate the extent of derivatives usage by funds, including the types of derivatives and types of
risk exposures taken, by analyzing the notional amounts of derivatives held by individual funds and
across different fund category groups and size quintiles. We also measure aggregate exposure as the
sum of the notional amount of derivatives, together with obligations under financial commitment
transactions and other senior securities.
The rest of the paper is structured as follows. In Section III we discuss the regulatory background
governing derivatives usage by funds. In Section IV we describe our data. Section V provides an overview
of the US fund industry and describes recent trends in industry growth. Section VI provides evidence on
fund policies regarding derivatives and a high-level analysis of their use. Section VII provides detailed
results on the use of derivatives by funds, and Section VIII concludes.
3. Regulatory background
The activities and capital structures of funds are regulated extensively under the Investment Company
Act, Commission rules, and Commission guidance. The use of derivatives by funds implicates certain
requirements under the Investment Company Act, including section 18 of that Act. Section 18 limits a
funds ability to obtain leverage, or incur obligations to persons other than the funds common
shareholders, through the issuance of senior securities as defined in that section. Funds current
practices with respect to derivatives and certain other transactions are based on their applications of
Commission guidance concerning the requirements of section 18 provided in a release issued by the
Commission in 1979, together with other guidance provided by the Commissions staff. 12
This examination of the use of derivatives is designed to evaluate the extent to which funds use
derivatives, in light of this framework, and to inform the Commissions consideration of the regulation of
funds use of derivatives, as described in more detail in a contemporaneous release published by the
Commission proposing a new regulatory framework for funds use of derivatives and financial
commitment transactions.

11

We include BDCs because they are closed-end investment companies and are subject to the requirements of
section 18 of the Investment Company Act (as made applicable to a BDC by section 61 of the Act).
12
For a discussion of certain of the requirements under the Investment Company Act that are applicable to funds
use of derivatives, see Use of Derivatives by Registered Investment Companies and Business Development
Companies, Investment Company Act Release No. 31933 (Dec. 11, 2015), at section II.B.

Division of Economic and Risk Analysis

4. Data
Our base sample uses Morningstar Direct and allows us to provide a broad overview of the fund
industry. It consists of all funds registered under the Investment Company Act in the database as of June
2015. We include funds marketed as part of variable insurance products, because they have the same
legal structure as open-end funds and are subject to the Investment Company Act, but we exclude
Money Market Funds 13. The Morningstar sample consists of 11,973 funds.
The derivatives data currently provided by Morningstar (as well as other commercial vendors) is of
somewhat limited detail. 14 As a result, we create a second sample based on funds most recent Form NSAR filing with the Commission. Funds are required to indicate on Form N-SAR whether their fund
policies allow for investment in certain derivatives and whether they used those derivatives during the
reporting period. Therefore, this N-SAR sample offers the advantage of allowing us to examine the
ability to use derivatives as well as the actual usage of derivatives. The N-SAR sample consists of 12,360
funds. 15
Unfortunately, some Form N-SAR data are coarse. For example, not all types of derivatives are included
and certain data are only reported at an aggregate level. Form N-SAR also does not distinguish in all
cases between those derivatives that create potential future obligations (e.g., written options) and
those that do not (e.g., purchased options). Funds also report market values of certain derivatives
holdings, which do not necessarily represent the potential exposures of the holdings or the extent of
senior claims. 16
To facilitate a more detailed examination of derivatives usage, we create a third sample by drawing a
random sample of 10% of the funds in our base Morningstar sample 17 and hand collect data on
derivatives investments, financial commitment transactions and senior security issuances from each
funds annual Form N-CSR filings. If a fund has not yet filed a Form N-CSR for 2014, it is dropped from
the sample and replaced by one that has filed a Form N-CSR. The N-CSR sample consists of 1,188 funds.
13

Under rule 2a-7, money market funds are required to limit their investments to short-term, high-quality debt
securities that fluctuate very little in value under normal market conditions. Money market funds thus do not
engage in derivatives transactions.
14
The three vendors that provide fund holdings are Morningstar, Thomson Reuterss Lipper, and Bloomberg.
However, there are a large variety of derivatives and no standard reporting scheme exists. Many of the derivatives
are OTC and customized. Even for exchange-traded derivatives, no common identification scheme like CUSIP
exists. This leads to incomplete collection of information on derivatives in fund holdings. Even if derivatives are
collected in fund holdings, basic descriptors such as the notional amount of the derivatives are not readily
available.
15
See Appendix for a listing of the investment practices queried by Form N-SAR. In certain cases, funds omitted
answers if their answers were unchanged from a previous filing. We corrected the missing answers due to this
convention. After the correction, out of 12,360 funds that filed N-SAR, about 2.2% of funds still had missing
answers to these questions. The sample is larger than the Morningstar sample because we sample from all funds
filing Form N-SAR rather than requiring funds to be in the Morningstar database. We note that Form N-SAR is selfreported and not verified by a third party or the SEC.
16
For example, futures and swaps generally have zero market value at initiation.
17
To ensure that all subcategories of the Alt Strategies are represented in our sample, we randomly select funds
within each of the subcategory groups (subject to a minimum of three funds per category).

Division of Economic and Risk Analysis

5. US fund industry growth and composition

5.1. Overview of the industry
In Table 1 we present an overview of the fund industry based on the Morningstar sample. As of June
2015, 11,973 funds with AUM information in Morningstar, had a total of $17.9 trillion AUM with the
majority being in open-end funds. US Equity is the largest fund category group with 3,361 funds and 38%
of total industry AUM. The next largest three fund category groups Taxable Bond, Allocation, and
International Equity funds each have slightly less than 2,100 funds and about 17% of total industry
AUM. Among the Alt Strategies funds, the largest category group is Alternative funds containing 894
funds with a total of 1% of total industry AUM. 18 Based on Form 10-K and 10-Q filings (at the end of
June 2015), there are 88 active BDCs with an estimated $52.3 billion in AUM.
5.2. Growth of Alt strategies funds
Table 2 presents information on the growth rates and net flows of different fund category groups
between the end of 2010 and the end of 2014. We measure the number of funds and AUM at the end of
each year and the net flows over the intervening years. Overall, the total number of registered funds
grew from 8,577 to 11,573, an annual growth rate of 8%. While US Equity funds, International Equity
funds, Allocation funds and Taxable Bond funds each added approximately 500 to 600 funds or about
8% per year in total, the largest percentage growth in number of funds occurred among Alt Strategies
funds. The number of Nontraditional Bond funds increased from 39 to 138, an annual increase of 37%
per year. The number of Alternative and Commodities funds grew by 16% and 13% per year,
respectively. 19
While total industry AUM increased 12% annually from 2010 to 2014, there was a large variation in
annual growth rates across category groups. Nontraditional Bond funds experienced the largest growth
(29%) and Commodity funds experienced negative growth (-12%). Interestingly, Figure 1.2 presents
evidence that most of the dispersion in growth rates occurred in the years 2013 and 2014.
Growth in AUM is the result of both portfolio returns and net inflows of investor capital. Table 2 shows
that as a percentage of AUM, US Equity and Municipal Bond funds received, on average, almost no net
inflows. This contrasts with Nontraditional Bond funds and Alternative funds which received annual net
inflows averaging 29% and 21%, respectively. The annual net flows as a percentage of industry flows in
Table 2 reveal that Alt Strategies funds received a disproportionate amount of inflows given their
industry share.

18

Alt Strategies funds tend to be smaller in size with a median size of $40-$70 million as compared to the median
size of $200-$300 million for equity or taxable bond funds.
19
When plotting the cumulative growth in the number of funds between 2010 and 2014, Figure 1.1 reveals the
large cross-sectional dispersion with positive growth rates in all category groups and Municipal Bond funds
experienced the lowest growth rate and Nontraditional Bond funds the highest.

Division of Economic and Risk Analysis

Comparing net inflows to growth in AUM suggests that US Equity funds experienced growth in AUM
almost entirely driven by portfolio returns. In contrast, the growth in AUM of Alt Strategies funds was
driven by inflows, despite relatively poor returns. Figure 1.3 plots the cumulative net inflows from 2010
to 2014 as a percentage of 2010 AUM. Like the growth rates in AUM, there is significant variation in net
inflows across category groups with most of the dispersion coming from the years 2013 and 2014. While
Nontraditional Bond funds and Alternative funds received the largest net inflows in 2013, US Equity
funds had nearly zero net inflows and Commodity funds saw a net outflow of 10%. The long-term
growth rates for Alt Strategies funds presented in Figures 2.1, 2.2, and 2.3 indicate that these funds have
grown rapidly over the past 10 years.
6. Derivatives policies and usage
As discussed above, the Morningstar data do not offer insight into the usage of derivatives. We turn to
the N-SAR Sample, which provides information on fund policies for investments in certain derivatives,
fund usage of those derivatives, and the market value of the derivatives positions during the reporting
period.
6.1. Fund policies allowing the use of derivatives and the actual use of derivatives
Funds are required to indicate on Form N-SAR whether their policies allow for investment in certain
derivatives and whether they used those derivatives during the reporting period. We sought to identify
funds filing Form N-SAR that pursue an Alternative 20 investment policy as defined by Morningstar.
This involved matching our Morningstar sample of Alternative funds to N-SAR data by fund name and
size. We also searched in the fund names for Alternative, Bear market, Long/Short and other
keywords that indicate the fund is an Alternative fund. Accordingly, the number of Alternative and
Traditional funds in Table 3 and 4 will not correspond identically to those identified using the
Morningstar criteria in Tables 1 and 2. Panel A in Table 3 reports descriptive statistics on the fund
responses to questions 70A through 70R on Form N-SAR as of 2014 21 for all funds and separately for
Alternative funds and Traditional funds. The last two columns report the difference between Alternative
fund responses and Traditional fund responses with a t-test for the difference reported in parentheses.

20

Because of the resources required to match N-SAR and Morningstar data, for the purposes of the analysis using
N-SAR data, we focus on Alternative funds rather than the combination of Nontraditional Bond funds, Alternative
funds, and Commodity funds (our definition of Alt Strategies funds). All funds other than Alternative funds are
treated as Traditional funds for this analysis. Note also that the category Traditional funds includes the small
number of Nontraditional Bond funds and Commodity funds and hence is distinct from Traditional Mutual funds
use elsewhere in the paper.
21
We also examined historical responses to question 70 from 1993 to 2014. We find no cyclical patterns or
increased use of derivatives during stressed market periods. We find a steadily increasing trend on the percentage
of funds reporting the use of derivatives over the period. We present only the current snapshot of the N-SAR
response.

Division of Economic and Risk Analysis

The results in Table 3 indicate that on average 74% of funds had investment policies that allow the use
of certain derivatives 22 but that only 5% did so. There is significant variation in the policy provisions
across investment types. For example, investments in other investment company shares were allowed
by 95 of funds. Only 28% of funds had policies which allow margin purchases. The list of instruments
actually being used by funds is dominated by investments in other investment company shares with 67%
of all funds making such investments. Stock index futures and interest rate futures were used by 13%
and 12% of all funds while various option contracts were used by between 5% and 1% of all funds. While
64% of all funds were allowed to engage in short selling, only 5% of all funds actually did so.
Among Alternative funds, an average of 91% of funds had investment policies allowing the use of certain
derivatives. Alternative funds appear to have been less restricted than the Traditional funds in their
ability to use derivatives. Only 73% of Traditional funds policies allowed for the use of certain
derivatives. The largest differences between Alternative funds and Traditional funds, in terms of
investment policies, was short selling (for which allowed use was 94% compared to 63%), options on
index futures (96% compared to 74%), stock index futures (96% compared to 75%), options on equities
(97% compared to 76%), other commodity futures (71% compared to 50%), options on stock indexes
(97% compared to 76%),
With an average actual usage of 14%, Alternative funds are also more likely to use derivatives compared
to Traditional funds, of which 5% actually use derivatives, as reported on Form N-SAR. Alternative funds
were more likely to use short selling and options and futures and Traditional funds were more likely to
invest in securities of foreign issuers, loan portfolio securities, purchases and sales by exempted
affiliates, and invest in restricted securities. In particular, 38% of Alternative funds engaged in short
selling while only 4% of Traditional funds did so. Fifty-eight percent of Traditional funds invested in
securities of foreign issuers while only 40% of Alternative funds did so.
In Panel B of Table 3, we report results on derivatives policies for a subsample of equity funds within six
investment objectives: 23 Total Return, Aggressive Capital Appreciation, Capital Appreciation, Growth,
Growth and Income, and Income. These funds all invest in equities, but they likely differ in their
investment policies and potentially in their use of derivatives depending on their aggressiveness or
investment objectives. Indeed, the results suggest that funds with more aggressive investment
objectives were more likely to have investment policies that allowed the use of (equity) derivatives,
borrowing money, and engaging in short selling. For example, 92% of Aggressive Capital Appreciation
equity funds allowed the use of stock index futures but only 75% of Income equity funds allowed their
use. Ninety-three percent of Aggressive Capital Appreciation funds allowed borrowing compared to 81%
of Income funds. The same pattern emerges with respect to the actual usage of (equity) derivatives,
borrowing money, or engaging in short selling. For example, while 29% of Aggressive Capital
Appreciation equity funds invested in stock index futures, only between 10% and 20% of funds in the
other objectives did so. Finally, we note that income funds were more likely to use interest rate futures
than other equity fund types.

22

Average of percent of funds having: options on equities, options on debt securities, options on stock indexes,
interest rate futures, stock index futures, options on futures, options on index futures and other commodity
futures.
23
See question 66 on Form N-SAR.

Division of Economic and Risk Analysis

6.2. Market values of certain derivatives positions

Funds report in questions 74A through 74Y on Form N-SAR the market values of their derivative
holdings. These derivatives include equity options, options on futures, written options, financial
commitment transactions, senior long term debt, and senior equity. While market values of investments
are not ideal to gauge potential senior obligations resulting from derivatives, they do potentially offer an
indication of how funds use derivatives.
Panel A of Table 4 presents results for all funds as well as for Alternative funds and Traditional funds
individually. The columns labeled Non-zero capture the percentage of funds that provided a non-zero
response to a given question; conditional average % NAV captures values conditional on funds having
a non-zero response to a given question; unconditional average as % of NAV captures values for all
funds with non-missing responses. 24 The last two columns report the difference between Alternative
funds and Traditional funds with the value in parenthesis representing the t-test of difference.
Overall, the market values of option contracts in fund portfolios for all funds that reported information
on these questions is small with values between 1 to 4 basis points (bps) of NAV. Similarly, the market
values of transactions in senior long term debt, reverse repurchase agreement, short sales, written
options and senior equity are between 4bps and 50bps. The difference in the market value between
Alternative funds and Traditional funds is starkest for short sales with Alternative funds being eight
percentage points greater.
Panel B of Table 4 reports the same market values for the six equity fund categories investigated in
Table 3. The patterns in market values of derivative holdings generally match the patterns in fund
investment policies presented in Panel B of Table 3. For example, with an unconditional average of 14%
of NAV, the values of repurchase agreements held by Aggressive Capital Appreciation funds is higher
than for other funds (which are below 1%).
7. Detailed derivatives information and exposures of funds
While data from Form N-SAR filings allowed us to shed light on fund derivatives investment policies and
whether funds had positions in derivatives, the data are not sufficiently detailed to fully understand
registered funds usage of derivatives that create potential future obligations and thus implicate section
18 of the Investment Company Act. Thus, we hand-collect investment data from Form N-CSR for a 10%
random sample of funds drawn from our Morningstar sample. For each of the 1,188 funds in the
random sample, we identify its use of derivatives, financial commitment transactions and other senior
securities. The use of derivatives is typically listed in Form N-CSR as part of a funds schedule of
investments or in the footnotes to the funds financial statements. Financial commitment transactions
such as short sales and reverse-repurchase agreements are generally listed in the funds schedule of
investments whereas other financial commitment transactions may be described in the footnotes to a
24

Due to textual size limits, funds cannot enter any values greater than 99999999 and will therefore default to
99999999. To correct these errors, the actual values were inputted from the annual reports prior to the N-SAR
submission. Also, extreme outliers were compared to the annual statements to ensure the integrity of the data
and were corrected when values were significantly different.

Division of Economic and Risk Analysis

funds financial statements. Other senior securities, such as bank borrowings, drawn credit lines, senior
debt and preferred shares are set forth in the funds financial statements.
7.1. Collecting and measuring derivatives exposure
Based on these data, we calculate the notional amount of each derivatives position. The choice of using
notional amount to measure derivatives usage reflects some compromise. On one hand, the notional
amount generally reflects an equivalent position in the underlying reference asset for the derivatives
transaction. Further, since the concept of notional amount is applicable across various derivatives
instrument types as well as underlying reference assets, notional amounts allow for aggregation. Markto-market value is an alternative measure of a derivatives position. The mark-to-market value of a
derivative on the funds financial statements generally only reflects the funds gain or loss on the
derivative and may be zero (as will generally be the case at the inception of a transaction). It does not
reflect the market exposure or potential leverage resulting from the derivative. The notional amount
achieves this goal to a greater extent.
On the other hand, there are drawbacks to using notional amounts. First, because of differences in
expected volatilities of the underlying assets, notional amounts of derivatives across different
underlying asset generally do not represent the same unit of risk. For example, the level of risk
associated with a $100 million notional of a S&P500 index futures is not equivalent to the level of risk of
a $100 million notional of interest rate swaps, currency forwards or commodity futures.
Second, data are not available to delta-adjust notional amounts of options. Funds do not report the
delta of their option positions and we are not able to obtain that information from other sources. We do
not delta-adjust due to this limitation in our data. This may lead to the deviation of notional amounts
from economic exposure. Delta-adjusting would tend to reduce the calculated exposure for options.
Collecting the notional amounts of derivatives from fund annual reports posed several challenges. First,
a significant percentage of funds do not clearly report the notional amounts for various derivatives or
provide precise descriptions of notional amounts. For options and futures, for example, we manually
looked up the contract size, historical value of the underlying, or spot price of the underlying asset (as
applicable) as of the report date. Second, there is no standardized reporting of derivatives. For example,
some funds reported numbers without units. In some cases the number of contracts for some options
was reported in the same column as the notional amount for other options. We applied our judgment
based on the magnitude, type of derivative, and consistency with other financial statement information
to assign an appropriate notional amount in such cases. Third, when notional amounts were reported,
there were instances where they were not consistent with other parameters of the derivatives. We
correct such errors wherever possible. Fourth, many derivatives or underlying assets were denominated
in foreign currencies. We converted their notional amounts to dollar amounts at the exchange rate on
the reporting date. Fifth, for some types of derivatives, funds may enter into offsetting transactions in
order to reduce or eliminate their economic exposure. In some cases, both initial and offsetting
transactions continued to be reported on the funds schedule of investments. For example, for some
futures contracts that trade on foreign exchanges, offseting positions remain open and carried forward
until the maturity date, whereas for futures that trade on US exchanges, offsetting positions generally

Division of Economic and Risk Analysis

10

are extinguished. We manually matched offsetting derivatives and netted them out. We only net the
offsetting positions that have the same underlying asset, strike price and maturities, but we do not
require the same counterparty. 25 As a result, our calculations reflect cancelled notional amounts for
certain offsetting derivatives entered into with different counterparties. Sixth, for total return swaps, we
computed the notional amounts as the sum of the notional amounts of securities referenced in the
swaps. Finally, for short term interest rate futures, such as 90-day Euro-dollar futures, we followed the
apparent industry convention to divide the notional amount by the appropriate divisor to adjust any
interest rate future having a term shorter than one year. For example, with respect to 90-day Eurodollar futures, the notional amount is divided by four.
We collect notional amounts separately for long and short positions or record them as NA when a
direction is not applicable, categorize the derivatives positions by instrument, underlying risk factor, and
whether the derivative is exchange-traded, centrally cleared, or neither. 26 We aggregate notional
amounts for each fund by derivative instrument and primary underlying risk factor. The instrument
categories are forwards, futures, swaps, options, and swaptions, and the underlying risk factors are
interest rate risk, credit risk, equity market risk, currency risk, and commodity risk.
7.2. Descriptive statistics
The N-CSR random sample of 1,188 funds contains 81 Alt Strategies Mutual Funds 27, 899 Traditional
mutual funds, 58 Closed-end funds, 22 Alt Strategies ETFs, 118 Traditional ETFs and 10 BDCs. In Table 5
we report summary statistics on notional amounts of the derivatives as well as information on financial
commitment transactions and other senior securities. The first column shows the percentage of funds
that use a certain type of derivative. The most commonly used derivatives are currency forwards, equity
futures, and interest rate futures, with 13%, 12% and 11% of all funds using them, respectively. Five
percent of all funds write equity options or use equity swaps, and 4% of all funds use cleared or
exchange-traded interest rate swaps, OTC interest rate swaps, and OTC CDS. Cleared CDS are used by
3% of funds, 5% of all funds engage in short selling and 4% use bank borrowings. 28 All other types of
derivatives and financial commitment transactions are typically used by less than 2% of the funds.
Table 5 also shows that the average gross notional amount of interest rate futures as a percentage of
NAV is 4% across all funds and 38% among funds that use interest rate futures. The average notional
amounts relative to fund NAV for currency forwards, equity futures, cleared/exchange-traded interest
25

This provides a representation of the funds economic exposure in cases where a fund chooses to use an
offsetting transaction with a second counterparty rather than terminate its initial position, which could be less
efficient due to tax or other considerations. Counterparty risk could be different depending on the relative
riskiness of the two counterparties.
26
Many OTC derivatives are not cleared. For a comparison among OTC, cleared and exchange-traded derivatives,
see International Swaps and Derivatives Association FAQ at: http://www.isda.org/educat/faqs.html.
27
We further divided the Alt Strategies Mutual Funds into the two categories, Index Alt Strategies Mutual Funds
and Non-index Alt Strategies Mutual Funds. The sample contains 12 Index Alt Strategies Mutual Funds and 69 Nonindex Alt Strategies Mutual Funds. We define index Alt Strategies Mutual Funds later in this section.
28
Under section 18(g) of the Investment Company Act, certain loans for temporary purposes that do not exceed
5% of a funds total assets are excluded from the definition of senior security. It is possible that some funds in
the sample that had bank borrowings were relying on this provision.

Division of Economic and Risk Analysis

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rates swaps, and written equity options are between 1% and 3% for all funds, and between 16% and
33% conditional on holding any derivative. Obligations related to short sales are only between 1% and
2% of NAV for all funds and between 8% and 20% for funds that engage in these transactions. What
stands out is that, while the average notional amount of equity swaps is only 3% of NAV of all funds, the
average notional amount is 70% of NAV for those funds that do engage in equity swaps.
7.3. Notional amounts across different risk exposures and instruments
In Table 6 we summarize the notional amounts aggregated by reference asset and instrument type.
Panel A shows the statistics on the entire random sample. Overall, 32% of funds hold derivatives with an
average gross notional amount 20% of the NAV. Equity derivatives, the most commonly used
derivatives, are held by 18% of funds, currency derivatives by 14%, and cleared/exchange-traded
interest rate derivatives by 12%. Interest rate derivatives, equity derivatives, and currency derivatives
represent 8%, 7% and 4% of NAV, respectively. Classified by instrument type, 21% of funds use futures,
13% use currency forwards, 12% use swaps, 7% have written options. Average notional amounts as a
percentage of NAV for futures, swaps, and currency forwards are 7%, 7%, and 3%, respectively. Ten
percent of funds use some financial commitment transactions with an average of 2% of NAV. Only 5% of
funds issue other senior securities with an average amount of 2% of NAV.
Since derivatives, financial commitment transactions, and other senior securities all allow funds to
obtain additional market exposure and potentially create leverage, we calculate an aggregate exposure
for each fund. Specifically, we calculate aggregate exposure by adding (i) the gross notional amounts of
the derivatives; (ii) the aggregate obligations of the fund under financial commitment transactions; and
(iii) the aggregate indebtedness (and with respect to any closed-end fund or business development
company, involuntary liquidation preference) with respect to any other senior securities, including bank
borrowings, margin loans, senior debt issuances and preferred shares. While the leveraging effect of
derivatives transactions depends on a variety of factors, the aggregate exposure can be regarded as a
rough measure of the total potential leverage that a fund may obtain from different types of derivatives
and other senior securities transactions. For the entire random sample, the average aggregate exposure
is 23% of NAV.
In Panel B, we examine the mutual funds in the Alt Strategies fund group that are not index funds. These
non-index Alt Strategies mutual funds are more likely to use all types of derivatives and financial
commitment transactions, but are not more likely to issue other senior securities. For example, 71% of
the non-index Alt Strategies mutual funds use some type of derivative as compared to only 29% of
Traditional mutual funds. Furthermore, among non-index Alt Strategies mutual funds, 51% use equity
derivatives and 42% use currency derivatives whereas 15% and 14% of Traditional mutual funds use
these derivatives.
Alt Strategies funds also hold derivatives with significantly larger notional amounts compared to
Traditional mutual funds. For example, their interest rate derivatives represent 44% of NAV, currency
derivatives 34%, equity derivatives 32%, and commodity derivatives 12%. Aggregated by instruments,
futures represent 60% of NAV, swaps 30%, currency forwards 22% and written options 15%. On average,

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their aggregate derivatives notional amount is 127% of NAV, their financial commitment transactions
12%, and other senior securities 0%.
Figure 3.1 shows individual fund usage of derivatives and financial commitment transactions for those
funds with the greatest use of derivatives relative to NAV, ranked by the aggregate exposures. 29
Managed futures funds tend to have the highest aggregate exposures, ranging between approximately
500% and 950% of NAV. Among funds with the greatest exposure relative to NAV, interest rate and
currency derivatives contribute significantly to the aggregate exposure. Many of the funds with the
greatest exposure also use equity derivatives. Financial commitment transactions appear to be a main
contributor to the aggregate exposures of Long/Short Equity funds. In Figure 4.1, when we aggregate
derivatives by instruments, we find futures being the main type of derivatives used by high exposure
funds, followed by swaps and currency forwards.
In panel C, we present information on index Alt Strategies mutual funds. Since a common goal of these
funds is to replicate a given index, a multiple of that index, or the inverse performance of the index,
funds commonly use simple futures or swaps to achieve index exposures and their aggregate exposure
to derivatives often matches their stated goals. Among these funds, 83% use some type of derivatives,
with 58%, 58%, and 42% using equity derivatives, swaps, and futures, respectively. Their average
aggregate notional amount of derivatives is 88% of NAV, with equity derivatives being 81% and swaps
77%. Figure 3.2 shows that equity derivatives are the dominant type used. Funds that claim to track a
multiple of an index use derivatives to achieve the exact exposures. Figure 4.2 shows that swaps are the
main instruments used by index Alt Strategies Funds.
Panel E of Table 6 reports results for the Traditional mutual funds in our sample. Traditional mutual
funds use significantly less derivatives than Alt Strategies funds. Approximately 29% of Traditional
mutual funds have used some type of derivative with an average notional amount of 10% of NAV. Figure
3.3 lists Traditional mutual funds that have aggregate exposures of more than 50% of NAV. Most of their
exposures come from interest rate derivatives, and Figure 4.3 shows that futures and swaps are the
major instruments that these high-exposure Traditional funds tend to use.
For closed-end funds in the sample, Panel G shows that derivatives usage is more common than it is for
mutual funds, but still significantly less than for the Alt Strategies funds. Among closed-end funds, 47%
use some type of derivative, 35% use financial commitment transactions, and 66% enter into other
senior securities. The gross notional amount of derivatives represents 14% of NAV on average. Financial
commitment transactions represent 4% of NAV on average and other senior securities represent 25% of
NAV on average. In Figure 3.4, other senior securities are the major contributor to the aggregate
exposure of closed-end funds. The highest aggregate exposure is around 125% of NAV.
For Alt Strategies ETFs in the sample, Panel H shows that derivatives usage is more common than it is for
Traditional ETFs. Among Alt Strategies ETFs, 95% use some type of derivative, 5% use financial
commitment transactions, and 0% enter into other senior securities. The gross notional amount of
derivatives represents 153% of NAV on average. Financial commitment transactions represent 4% of
NAV on average and other senior securities represent 0% of NAV on average.

29

We represent each fund with its Morningstar category.

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For Traditional ETFs in the sample, 16% use some type of derivative, 1% use financial commitment
transactions, and 0% enter into other senior securities. The gross notional amount of derivatives
represents 7% of NAV on average; financial commitment transactions and other senior securities each
represent 0% of NAV on average.
None of the business development companies in the sample uses derivatives, but 80% use financial
commitment transactions, and 80% enter into other senior securities. The gross notional amount of
derivatives represents 0% of NAV on average. Financial commitment transactions represent 16% of NAV
on average and other senior securities represent 42% of NAV on average.
7.4. Gross notional amounts by fund category groups
In this subsection we examine how gross notional amounts differ across fund category groups. We use
Morningstar broader US category groups for Traditional funds and the detailed Morningstar categories
for Alt Strategies Funds.
Figures 5.1 and 6.1 show results for the entire sample. Overall, Alternative funds have the highest
average aggregate exposure with 142% of NAV. They use interest rate, equity, and currency derivatives,
mostly in the form of futures or swaps. Commodity funds have the second highest aggregate exposure
at 91%, with a majority of exposure coming from commodity futures. All other funds have aggregate
exposure below 50%.
Figures 5.2 and 6.2 present aggregate exposures for non-index Alt Strategies funds. With 450%,
Managed futures funds have the highest average aggregate exposure. Interest rate derivatives
represent more than half of their exposure, followed by equity and currency derivatives. These funds
achieve most of their exposures through futures. The remaining categories have average aggregate
exposures between 100% and 200% with the exception of Market neutral and Long/short equity, which
have average aggregate exposures of about 50% Furthermore, Market Neutral and Long/short equity all
have significant amounts of financial commitment transactions, most commonly in short sales,
contributing to their aggregate exposure.
Figures 5.3 and 6.3 show results for index Alt Strategies funds. The average aggregate exposure for
Trading-Inverse Equity is 200%, for Bear market 125%, and for Trading-leveraged Equity 123%, with
aggregate exposure mostly coming from equity swaps. Figures 5.4 and 6.4 present the information for
Traditional mutual funds. For all funds in this category, their average aggregate exposure is below 50%.
Figures 5.5 and 6.5 provide the results for closed-end funds. Municipal Bond, Taxable Bond, Allocation,
and Sector Equity funds all use significant amounts of other senior securities, and Taxable Bond funds
and Allocation funds also use financial commitment transactions. All funds, except international equity,
have between 40% to 50% exposures to financial commitment transactions and other senior securities.
Closed-end equity funds also hold notable amounts of written options.
For Alt Strategies ETFs, funds that are used as trading tools have the largest aggregate exposure. Inverse
debt ETFs have 290% aggregate exposure, leverage debt ETFs have 210%, inverse equity ETFs have 200%
and leverage equity ETFs have 190%. Most of these exposures are created through swaps. Commodities,
Single currency and Market Neutral ETFs have aggregate exposures around 100%.

Division of Economic and Risk Analysis

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For Traditional ETFs, the aggregate exposures are zero or close to zero. The exception is International
ETFs, which have an average aggregate exposure of 22%, which is mostly coming from currency
forwards.
7.5. Gross notional amounts by fund size
Figures 7 and 8 provide evidence on derivatives usage as a function of fund size. We group funds into
quintiles based on fund size and compute the average aggregate exposures. 30
Figures 7.2 and 8.2 show that non-index Alt Strategies funds in the smallest size quintile use less
derivatives with aggregate exposure about half that of other size quintiles. Small funds also do not seem
to use written options. Similarly, for Traditional mutual funds in Figures 7.4 and 8.4 small funds exhibit
only about half the average aggregate exposure of large funds. The funds in the smallest quintile do not
have financial commitment transactions. For the closed-end funds presented in Figures 7.5 and 8.5,
small funds use less equity derivatives and financial commitment transactions.
7.6. Distribution of number of funds and AUM across exposures
In this subsection we examine the distribution of aggregate exposures across fund types. Figures 9 and
10 present aggregate exposures grouped by exposure bins with the vertical bars showing the percentage
of funds in number and in AUM 31 that fall into a given bin. Across the entire random sample, 62% (48%
in AUM) of funds have zero aggregate exposure, 96% (95% in AUM) have aggregate exposures below
150%, and only 3% (3% in AUM) of the funds have aggregate exposures greater than 300%.
Few of the Alt Strategies funds and Alt Strategies ETFs have zero aggregate exposure. The majority of
exposure among Alt Strategies funds is below 150%, but 27% and 11% of the funds have exposures
larger than 150% and 300%, respectively. Among Alt Strategies ETFs, 45% of funds have exposures larger
than 150% but no fund has exposure above 300%.
This contrasts with aggregate exposures of the Traditional mutual funds and Traditional ETFs where 69%
and 84% respectively have zero exposure and 99% in both categories have exposures below 150%. No
Traditional mutual fund and only 1% of Traditional ETFs have aggregate exposure above 300%.
For the closed-end funds, 14% (5% in AUM) have zero aggregate exposure and none has exposure above
150%. For the business development companies, 20% (8% in AUM) have zero aggregate exposure and
for all, the aggregate exposure is below 150%.

30

Quantile 0 consists of funds with the smallest size and quantile 4 consists of funds with the largest size.
Figure 10 gives us the distribution of exposures across AUMs. We sum the AUMs of funds whose exposure falls
within certain ranges. This gives us an estimate of the total dollar amount of exposures instead of the number of
funds. It can also be seen as size weighted distribution, while in figure 9 small and large funds receive equal
weights.

31

Division of Economic and Risk Analysis

15

7.7. Distribution of gross notional of derivatives across fund types

Lastly, we examine the distribution of gross notional of derivatives across fund types in Figures 11 and
12. For our entire random sample, 68% (53% in AUM) of funds in the random sample have zero
derivatives and 89% (90% in AUM) have derivatives below 50%.
For Alt Strategies funds, 27% (15% in AUM) have no derivatives and 48% (29% in AUM) have derivatives
below 50%. For Alt Strategies ETFs, 5% (0% in AUM) have zero derivatives and only 15% (2% in AUM)
have derivatives below 50%.
This contrasts with Traditional mutual funds and Traditional ETFs. Of the former, 71% (53% in AUM)
have no derivatives and 94% (92% in AUM) have derivatives below 50%, and among the latter, 84% (66%
in AUM) have zero derivatives and 95% (93% in AUM) have derivatives below 50%. Among closed-end
funds, 54% (37% in AUM) have zero derivatives and 91% (87% in AUM) have derivatives below 50%.
None of the business development companies has derivatives.
8. Summary and discussion
The paper presents information on the US registered fund industry use of derivatives. Because existing
aggregated data sources do not provide sufficient details, we hand collected data on the derivative
holdings, financial commitment transactions and other senior securities for a sample of 1,188 funds that
represents 10% of the universe of funds in Morningstar. We examine the frequency and magnitude of
derivatives usage across different fund categories, derivatives risk exposures and instruments. We
document that Alternative funds, Nontraditional Bond funds and Commodity funds use greater amounts
of derivatives than Traditional mutual funds. We further present evidence that some funds in the
random sampling have gross notional exposures ranging up to approximately 950% of NAV.
9. Appendix
A. Form N-SAR question 70
Form N-SAR requires funds to provide information on various fund investment policies and practices. In
particular, Form N-SAR requires funds to disclose if certain investment practices are allowed under their
policies, and if so, were they engaged in during the reporting period. The list of practices included on
Form N-SAR is shown below.
70A:

Writing or investing in repurchase agreements.

70B:

Writing or investing in options on equities.

70C:

Writing or investing in options on debt securities.

70D:

Writing or investing in options on stock indices.

70E:

Writing or investing in interest rate futures.

70F:

Writing or investing in stock index futures.

Division of Economic and Risk Analysis

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70G:

Writing or investing in options on futures.

70H:

Writing or investing in options on stock index futures.

70I:

Writing or investing in other commodity futures.

70J:

Investments in restricted securities.

70K:

Investments in shares of other investment companies.

70L:

Investments in securities of foreign issuers.

70M:

Currency exchange transactions.

70N:

Loaning portfolio securities.

70O:

Borrowing of money.

70P:

Purchase/sales by certain exempted affiliated persons.

70Q:

Margin purchases.

70R:

Short selling.

B. Morningstar U.S. fund category groups.

Morningstar does not explicitly define its category groups beyond the names of the category groups
themselves. They note that they assign portfolios to category groups based on average holdings over the
prior three years or where they believe a fund will end up if it has existed for less than three years. We
interpret Morningstars fund category groups as follows.
US Equity:

A group of similar funds that invests in US equities based on market

capitalization and growth.

Sector Equity:

A group of similar funds that invests in US equities of specific sectors.

International Equity: A group of similar funds that invests in non-US equities based on market
capitalization and growth or specific geographic area or country.
Allocation:

A group of similar funds that invest to maintain a target mix of assets over time.
The target mix may remained fixed, or vary over time.

Taxable Bond:

A group of similar funds that invest in debt securities whose returns are taxable
at the local, state, or federal level. 32

32

Nontraditional Bond category contains funds that pursue strategies divergent in one or more ways from

Division of Economic and Risk Analysis

17

Municipal Bond:

A group of similar funds that all invest in municipal bond securities. These funds
may invest nationally, or they may invest primarily in one single state.

Alternative:

A group of funds that invest into one or more of the following three investment
types: 1) Nontraditional asset classes, 2) Nontraditional strategies, and 3) less
liquid assets.

Commodities:

A group of similar funds that have either direct, or indirect exposures to

commodity prices.

Money Market:

A group of funds that invest in short-term securities that mature in less than one
year, and are low risk enough to be considered cash equivalents.

10. References
Adam, Tim, and Andre Guettler, 2015, Pitfalls and perils of financial innovation: The use of CDS by
corporate bond funds, Journal of Banking & Finance 55, 204214.
Cao, Charles, Eric Ghysels, and Frank Hatheway, 2011, Derivatives do affect mutual fund returns:
Evidence from the financial crisis of 1998, Journal of Futures Markets 31, 629658.
Cici, Gjergji, and Luis-Felipe Palacios, 2015, On the use of options by mutual funds: Do they know what
they are doing?, Journal of Banking & Finance 50, 157168.
Deli, Daniel N., and Raj Varma, 2002, Contracting in the investment management industry: evidence
from mutual funds, Journal of Financial Economics 63, 7998.
Frino, Alex, Andrew Lepone, and Brad Wong, 2009, Derivative use, fund flows and investment manager
performance, Journal of Banking & Finance 33, 925933.

conventional practice in the broader bond-fund universe. Many funds in this group describe themselves as
"absolute return" portfolios, which seek to avoid losses and produce returns uncorrelated with the overall bond
market; they employ a variety of methods to achieve those aims. Another large subset are self-described
"unconstrained" portfolios that have more flexibility to invest tactically across a wide swath of individual sectors,
including high-yield and foreign debt, and typically with very large allocations. Funds in the latter group typically
have broad freedom to manage interest-rate sensitivity, but attempt to tactically manage those exposures in order
to minimize volatility. The category is also home to a subset of portfolios that attempt to minimize volatility by
maintaining short or ultra-short duration portfolios, but explicitly court significant credit and foreign bond market
risk in order to generate high returns. Funds within this category often will use credit default swaps and other fixed
income derivatives to a significant level within their portfolios.

Division of Economic and Risk Analysis

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Galkiewicz, Dominika Paula, 2014, Similarities and differences between US and German regulation of the
use of derivatives and leverage by mutual funds: What can regulators learn from each other?, SFB 649
Discussion Paper.
International Swaps and Derivatives Association, ISDA Product Descriptions and FAQs, .
Jiang, Wei, and Zhongyan Zhu, 2015, Mutual Fund Holdings of Credit Default Swaps: Liquidity
Management and Risk Taking. SSRN Scholarly Paper, Social Science Research Network, Rochester, NY.
Koski, Jennifer Lynch, and Jeffrey Pontiff, 1999, How Are Derivatives Used? Evidence from the Mutual
Fund Industry, The Journal of Finance 54, 791816.

Division of Economic and Risk Analysis

19

Table 1: An overview of the registered fund industry (as of June, 2015)

Panel A presents all managed investments in the United States that provided AUM in Morningstar, including Open-Ended Funds, Closed-End funds and Exchange-Traded
Funds. Insurance Product Funds are included and Money Market Funds are excluded. Alt Strategies funds include Morningstar category Alternative, Nontraditional Bond
funds and commodity funds. See Appedix for the definition of Morningstar US fund categories. Panel B shows business development companies based on EDGAR filings
10-Ks and 10-Qs.
Panel A: Invesment Companies
Open-end
ETF
Closed-end
Total
Number
Number
Number
Number
% of
Median
Median
Median
Median
AUM
AUM
AUM
AUM
of
of
of
of
Industry
AUM
AUM
AUM
AUM
Funds
Funds
Funds
Funds
Total
All
9,707
15,854,383
252
560 250,357
287
1,706 1,818,034
84
11,973 17,922,774
225
100%
US Equity
3,037
6,100,200
330
40
25,455
371
284 762,137
224
3,361
6,887,792
322 38.43%
Sector Equity
536
529,654
209
66
43,099
506
301 286,588
164
903
859,341
217 4.79%
International Equity
1,422
2,326,626
235
58
20,133
170
397 390,144
57
1,877
2,736,903
188 15.27%
Allocation
1,835
3,038,436
193
47
20,707
248
32
8,079
64
1,914
3,067,222
192 17.11%
Municipal Bond
578
572,616
270
183
62,326
246
32
16,073
101
793
651,016
248 3.63%
Taxable Bond
1,693
3,075,031
312
160
75,639
303
220 253,819
136
2,073
3,404,488
295 19.00%
Nontraditional Bond
139
154,944
101
1
697
697
17
1,048
11
157
156,688
71 0.87%
Alternative
561
180,421
49
1
154
154
332
45,303
24
894
225,878
38 1.26%
Commodities
45
31,399
109
5
2,844
301
108
55,891
18
158
90,134
35 0.50%
Alternative & Nontraditional
700
335,365
53
2
851
425
349
46,351
24
1,051
382,566
41 2.13%
Alt Strategies
745
366,764
55
7
3,695
301
457 102,242
21
1,209
472,701
40 2.64%
Panel B: Business Development Companies (BDC)
Number
Median
AUM
of
AUM
Funds
All
88
52,294
216

Division of Economic and Risk Analysis

20

Table 2: Growth in assets under management in registered funds by investment category

This table shows the growth of different fund categories from the end of 2010 to the end of 2014. The sample includes all managed investments in the United States that
provided AUM in Morningstar, including Open-Ended Funds, Closed-End funds and Exchange-Traded Funds. Insurance Product Funds are included and Money Market
Funds are excluded. Alt Strategies funds include Morningstar category Alternative, Nontraditional Bond funds and commodity funds.
2010
Number
of fund
All
US Equity
Sector Equity
International Equity
Allocation
Municipal Bond
Taxable Bond
Nontraditional Bond
Alternative
Commodities
Alternative & Nontraditional
Alt Strategies

AUM

% of
Net
Industry
Flows
AUM

8,577 10,908,529
100% 553,012
2,756 4,053,996 37.16% -43,758
696
431,701 3.96% 27,189
1,199 1,739,078 15.94% 94,730
1,235 1,657,860 15.20% 141,288
721
513,992 4.71% 12,591
1,418 2,249,571 20.62% 269,983
39
58,074 0.53% 30,834
455
113,952 1.04% 25,905
97
148,379 1.36% 25,084
494
172,026 1.58% 56,739
591
320,405 2.94% 81,823

2014
Number
of fund

AUM

11,573 17,341,434
3,291 6,806,198
883
833,265
1,764 2,453,046
1,857 2,978,522
780
645,674
2,011 3,316,353
138
160,973
831
218,147
156
90,229
969
379,120
1,125
469,349

2010-2014

% of
Industry
AUM
100%
39.25%
4.81%
14.15%
17.18%
3.72%
19.12%
0.93%
1.26%
0.52%
2.19%
2.71%

Net
Flows
575,125
73,188
76,446
155,867
109,538
32,198
108,111
24,005
22,991
-3,214
46,996
43,782

Annual Change
Annual
Growth
AUM
in % of Annual
net
in
Growth Industry net flow flow as
number
Rate
AUM
% AUM
2,996 12.29%
535 13.83%
187 17.87%
565
8.98%
622 15.77%
59
5.87%
593 10.19%
99 29.03%
376 17.63%
59 -11.69%
475 21.84%
534 10.01%

0%
2.08%
0.85%
-1.80%
1.98%
-0.99%
-1.50%
0.40%
0.21%
-0.84%
0.61%
-0.23%

513,043
8,789
51,870
109,428
138,841
5,995
171,513
24,527
30,359
-3,750
54,886
51,136

4.05%
-0.03%
9.59%
5.68%
6.97%
1.41%
6.72%
29.18%
21.49%
-2.04%
27.80%
13.57%

Division of Economic and Risk Analysis

Annual
net flow
as % of
Industry
100%
1.71%
10.11%
21.33%
27.06%
1.17%
33.43%
4.78%
5.92%
-0.73%
10.70%
9.97%

21

Table 3: Self-reported use of derivatives in form N-SAR

This table presents the percent response to questions 70A through 70R of the year ending 2014 N-SAR form for all funds. The question
contains information on whether funds are permitted and engaged in certain investment practices with responses being either yes, no, or
no response (missing). Panel A is segmented into All funds, Alternative funds, and Traditional funds. Alternative and Traditional funds are
determined based on Morningstars classification of Alternative and the funds investment strategy (See footnote 18). The last two columns
are the difference between the Alternative funds responses and the Traditional funds responses. The value in parenthesis represents the t-test
of difference assuming equal variance. Panel B presetns equity funds segmented into investment objective which is determined by the
response funds give to question 66 based on whether the fund invests in equity instruments. The six investment objectives are aggressive
capital appreciation, capital appreciation, growth, growth and income, income, and total return. Funds that do not invest in equity
instruments are not included in this table because the investment objective is conditional on investing in equity instruments.
Panel A: All funds, alternative vs. traditional
All funds
Alternative
Traditional
Alternative - Traditional
Number of fund / Missing Answer
12,360
2.20%
613
0.65%
11,747
2.28%
QuestioPermitted Engaged Permitted Engaged Permitted Engaged
Permitted
Engaged
Repurchase agreements
70A
91.92% 22.20%
97.89% 32.95%
91.61% 21.63%
6.28% (4.179)
11.32% (1.202)
Options on equities
70B
77.33%
5.45%
97.24% 19.16%
76.29%
4.74%
20.95% (10.778) 14.42% (17.033)
Options on debt securities
70C
77.07%
1.88%
85.06%
2.76%
76.65%
1.84%
8.42% (2.819)
0.92% (1.569)
Options on stock indexes
70D
76.80%
3.98%
96.59% 28.08%
75.76%
2.72%
20.83% (10.563) 25.36% (19.869)
Interest rate futures
70E
76.29% 11.80%
88.15% 15.10%
75.67% 11.63%
12.48% (5.238)
3.47% (3.492)
Stock index futures
70F
76.27% 12.86%
96.43% 30.68%
75.21% 11.93%
21.22% (10.712)
18.75% (12.54)
Options on futures
70G
81.13%
2.48%
96.75%
4.55%
80.31%
2.37%
16.44% (8.881)
2.17% (4.048)
Options on index futures
70H
74.63%
0.86%
95.62%
5.03%
73.54%
0.65%
22.08% (10.821)
4.39% (12.47)
Other commodity futures
70I
50.72%
1.66%
70.62%
9.58%
49.67%
1.24%
20.94% (7.335)
8.34% (17.187)
Restricted securities
70J
90.96% 23.97%
95.45% 12.34%
90.72% 24.58%
4.73% (2.231) -12.24% (-5.851)
Inv in otr inv comp shr
70K
94.74% 66.64%
99.19% 58.77%
94.51% 67.06%
4.68% (4.032)
-8.29% (-1.215)
Securities of foreign issuers
70L
85.09% 56.95%
96.59% 39.77%
84.49% 57.85%
12.10% (7.100) -18.07% (-6.322)
Currency exchange transactions 70M 76.54% 34.30%
88.47% 30.52%
75.92% 34.50%
12.56% (5.339)
-3.98% (-0.179)
Loaning portfolio securities
70N
83.95% 24.43%
94.16%
8.28%
83.42% 25.27%
10.74% (5.611) -17.00% (-8.551)
Borrowing money
70O
85.89%
8.40%
93.02%
9.42%
85.52%
8.34%
7.50% (3.413)
1.07% (1.689)
Purc/sales by exempted affiliates 70P
79.64% 17.20%
80.19%
5.03%
79.62% 17.84%
0.58% (-1.628) -12.81% (-7.343)
Margin purchases
70Q
27.52%
0.69%
49.03%
4.22%
26.39%
0.51%
22.64% (8.149)
3.71% (0.189)
Short selling
70R
64.13%
5.25%
93.99% 37.82%
62.56%
3.55%
31.43% (14.125) 34.28% (42.718)

Division of Economic and Risk Analysis

22

Panel B: Equity funds, by investment objectives

Aggressive capital
Capital
Growth and
Investment objective
Growth
Income
Total Return
appreciation
appreciation
income
Number of fund / Missing Answer
206
0.00%
3,492
0.72%
1,542
0.98%
872
0.70%
307
0.65%
1,817
0.40%
Question Permitted Engaged Permitted Engaged Permitted Engaged Permitted Engaged Permitted Engaged Permitted Engaged
Repurchase agreements
70A
99.51% 62.62%
96.39% 21.62%
95.07% 23.09%
87.06% 15.58%
88.27% 13.36%
91.58% 13.15%
Options on equities
70B
95.63%
1.94%
90.32%
6.70%
91.63%
5.90%
82.93%
9.74%
74.27%
9.45%
89.54%
8.70%
Options on debt securities
70C
68.93%
0%
79.73%
0.60%
84.18%
0.19%
75.49%
0.34%
67.43%
2.28%
81.12%
1.16%
Options on stock indexes
70D
96.12%
0.49%
89.52%
3.49%
89.88%
1.75%
81.67%
2.29%
73.62%
7.82%
89.16%
7.04%
Interest rate futures
70E
68.45%
0.49%
77.18%
2.26%
77.89%
1.49%
74.00%
5.27%
70.36% 11.07%
84.42% 10.95%
Stock index futures
70F
91.75% 29.13%
87.71% 14.26%
89.04% 17.44%
79.50% 16.04%
75.24%
9.77%
88.83% 20.03%
Options on futures
70G
90.29%
0%
85.65%
0.92%
87.87%
0.45%
78.12%
0.57%
73.62%
1.30%
87.29%
2.04%
Options on index futures
70H
89.81%
0%
85.08%
0.86%
88.07%
0.45%
77.66%
0.46%
73.62%
0.33%
87.84%
1.65%
Other commodity futures
70I
43.69%
0.97%
57.93%
1.17%
53.18%
0.52%
49.71%
0.57%
49.19%
0.33%
65.66%
4.68%
Restricted securities
70J
96.60%
9.71%
95.25% 14.98%
92.22% 21.60%
85.91% 15.69%
83.71% 23.78%
90.53% 17.06%
Inv in otr inv comp shares
70K
97.57% 42.23%
97.37% 72.22%
97.92% 71.98%
96.91% 76.98%
98.70% 80.78%
99.12% 81.29%
Securities of foreign issuers
70L
96.60% 42.23%
95.36% 67.64%
95.14% 75.55%
86.14% 57.50%
84.04% 54.72%
90.20% 52.23%
Currency exchange transactions 70M
72.82% 30.10%
86.37% 40.23%
88.72% 45.53%
78.01% 33.68%
77.52% 36.16%
88.17% 36.43%
Loaning portfolio securities
70N
93.69% 29.13%
90.92% 36.51%
88.78% 32.94%
82.59% 27.38%
77.85% 16.61%
86.52% 24.93%
Borrowing money
70O
92.72% 15.53%
89.60%
9.91%
82.36%
6.42%
86.03%
7.67%
80.78% 13.68%
88.88%
8.20%
Purc/sales by exempted affiliates 70P
84.95% 15.53%
79.52% 19.79%
84.57% 17.83%
76.75% 18.33%
73.62% 11.73%
74.74%
9.36%
Margin purchases
70Q
7.28%
0%
32.36%
0.92%
30.87%
1.04%
33.68%
0.46%
22.80%
0.33%
27.68%
1.10%
Short selling
70R
82.04%
9.71%
71.31%
6.07%
71.66%
2.92%
58.19%
1.83%
61.24%
2.61%
70.72%
8.75%

Division of Economic and Risk Analysis

23

Table 4: Self-reported market value of derivatives in form N-SAR

This table contains information on the condensed balance sheet of funds based on the responses to questions 74A through 74Y of the year ending 2014 N-SAR form for all funds. The Non-zero
represents the percentage of funds that provided a value greater than zero. The average as % NAV is conditional on funds having a value greater than zero. Finally, the unconditional average as a %
of NAV includes funds who gave a value of zero but excludes funds that didnt provide a value (missing). Due to textual size limits, funds cannot enter any values greater than 99999999 and will
therefore default to 99999999. To correct these errors, the actual values were inputted from the annual reports prior to the N-SAR submission. Also, extreme outliers were compared to the annual
statements to ensure the integrity of the data and were corrected when values were significantly different. The last two columns are the difference between the Alternative funds and the Traditional
funds with the value in parenthesis representing the t-test of difference assuming equal variance. Panel A is segmented into All funds, Alternative funds, and Traditional funds. Alternative and
Traditional funds are determined based on Morningstars classification of Alternative and the funds investment strategy (See footnote 18). Panel B presents equity funds segmented into investment
objective which is determined by the response funds give to question 66 based on whether the fund invests in equity instruments. The six investment objectives are aggressive capital appreciation,
capital appreciation, growth, growth and income, income, and total return. Funds that do not invest in equity instruments are not included in this table because the investment objective is conditional
Panel A: All funds, Nontraditional vs. traditional

Cash
Repurchase Agreements
Other Short Term Debt
Long Term Debt
Preferred Stock
Common Stock
Options On Equities
Options On All Futures
Other Investments
Portfolio Instruments
Receivable from Affiliate
Other Receivables
All Other Assets
Total Assets
Payables for Portfolio Purchases
Amounts Owed Affiliate
Senior Long Term Debt
Other liabilities
Reverse Repurchase Agreement
Short Sales
Written Options
All Other Liabilities
Senior Equity
Net Assets Shareholders
Value Segregated Accounts

Question
74A
74B
74C
74D
74E
74F
74G
74H
74I
74J
74K
74L
74M
74N
74O
74P
74Q
74R
74R1
74R2
74R3
74R4
74S
74T
74Y

Non-zero
54.2%
17.5%
30.7%
30.3%
16.2%
56.7%
3.1%
1.3%
63.8%
52.9%
22.8%
91.0%
65.7%
95.6%
57.2%
87.6%
1.1%
92.8%
1.3%
3.5%
6.1%
92.7%
1.2%
95.5%
25.4%

All
Cond.
Uncond.
Average % average as
NAV
% NAV
2.2%
1.26%
8.5%
1.57%
17.9%
5.87%
68.8%
22.29%
3.9%
0.69%
80.5%
48.23%
1.1%
0.04%
0.5%
0.01%
27.4%
18.51%
1.8%
0.98%
0.3%
0.08%
0.9%
0.85%
0.9%
0.62%
100.0%
100.0%
2.3%
1.39%
0.1%
0.12%
21.5%
0.25%
3.4%
3.31%
11.5%
0.16%
13.6%
0.51%
0.6%
0.04%
2.7%
2.61%
21.9%
0.29%
94.7%
94.68%
22.3%
6.01%

Non-zero
60.7%
28.7%
29.7%
18.3%
9.6%
49.8%
16.2%
2.6%
57.3%
38.3%
21.8%
80.8%
76.3%
90.1%
40.6%
78.9%
0.0%
89.0%
0.6%
28.2%
20.0%
88.3%
0.2%
90.1%
60.7%

Alternative
Cond.
Uncond.
Average % average as
NAV
% NAV
15.7%
11.63%
28.6%
6.49%
31.4%
9.59%
25.5%
6.10%
1.6%
0.21%
52.8%
30.57%
1.7%
0.37%
1.2%
0.04%
33.6%
24.24%
3.6%
1.69%
0.6%
0.14%
4.3%
3.89%
7.7%
6.34%
100.0%
100.00%
4.0%
1.92%
0.1%
0.11%
0.0%
0.00%
13.2%
13.08%
2.9%
0.03%
22.4%
8.24%
1.2%
0.33%
4.6%
4.55%
18.8%
0.04%
85.0%
84.98%
29.6%
19.04%

Non-zero
53.8%
16.9%
30.8%
30.9%
16.6%
57.1%
2.4%
1.2%
64.1%
53.7%
22.9%
91.5%
65.2%
95.8%
58.0%
88.0%
1.1%
93.0%
1.3%
2.2%
5.3%
92.9%
1.2%
95.8%
23.5%

Traditional
Alternative - Traditional
Cond.
Uncond.
Average % average as Cond. Average % Uncond. average
as % NAV
NAV
NAV
% NAV
1.5%
0.82%
14.25% (34.33)
10.82% (38.9)
7.5%
1.36%
21.08% (13.77)
5.12% (14.29)
17.3%
5.72%
14.05% (5.39)
3.87% (4.2)
70.1%
22.96% -44.66% (-13.65) -16.86% (-9.38)
4.0%
0.71%
-2.40% (-1.53)
-0.50% (-2.01)
81.6%
48.98% -28.86% (-16.44) -18.42% (-8.62)
0.9%
0.02%
0.81% (0.99)
0.35% (5.61)
0.4%
0.01%
0.81% (1.55)
0.04% (3.24)
27.1%
18.26%
6.51% (2.99)
5.97% (3.66)
1.7%
0.95%
1.94% (5.56)
0.74% (4.03)
0.3%
0.08%
0.27% (0.82)
0.06% (0.78)
0.8%
0.72%
3.56% (20.02)
3.17% (19.13)
0.5%
0.37%
7.12% (29.96)
5.96% (32.93)
100.0%
100.0%
0.01% (0.36)
0.01% (0.36)
2.3%
1.37%
1.70% (4.7)
0.55% (2.69)
0.1%
0.12%
0.00% (-0.03)
0.00% (-0.04)
21.5%
0.26%
0.0%
-0.26% (-2.14)
3.0%
2.90%
10.21% (28.57) 10.18% (28.91)
11.8%
0.17%
-8.81% (-1.35)
-0.14% (-1.43)
7.7%
0.18%
14.72% (13.3)
8.06% (51.77)
0.5%
0.03%
0.79% (3.86)
0.31% (11.62)
2.6%
2.53%
2.04% (6.77)
2.02% (6.85)
22.0%
0.30%
-3.13%
-0.26%
95.2%
95.09% -10.18% (-23.15) -10.12% (-22.31)
21.5%
5.45%
8.05% (0.88)
13.59% (3.68)

Division of Economic and Risk Analysis

24

Panel B: Equity funds, by investment objectives

Aggressive capital appreciation

Cash
Repurchase Agreements
Other Short Term Debt
Long Term Debt
Preferred Stock
Common Stock
Options On Equities
Options On All Futures
Other Investments
Portfolio Instruments
Receivalbe from Affiliate
Other Receivables
All Other Assets
Total Assets
Payables for Portfolio Purchases
Amounts Owed Affiliate
Senior Long Term Debt
Other liabilities
Reverse Repurchase Agreement
Short Sales
Written Options
All Other Liabilities
Senior Equity
Net Assets Shareholders
Value Segregated Accounts

QuestionNon-zero
74A
50.0%
74B
36.4%
74C
13.6%
74D
1.9%
74E
11.2%
74F
69.4%
74G
1.0%
74H
0.5%
74I
46.1%
74J
41.7%
74K
5.8%
74L
80.1%
74M
50.0%
74N
81.6%
74O
41.3%
74P
78.2%
74Q
0.0%
74R
77.2%
74R1
0.0%
74R2
1.5%
74R3
1.0%
74R4
81.1%
74S
0.0%
74T
81.6%
74Y
39.8%

Cond.
Average
% NAV
5.2%
31.0%
12.5%
7.9%
2.4%
78.7%
0.4%
0.4%
16.2%
2.1%
0.1%
2.8%
0.6%
100.0%
2.0%
0.1%
0.0%
4.0%
0.0%
9.1%
0.3%
3.9%
0.0%
94.8%
11.9%

Capital appreciation

Growth

Cond.
Average
% NAV
2.3%
4.5%
5.6%
13.0%
2.4%
89.4%
2.3%
1.4%
20.0%
1.8%
0.4%
0.6%
0.9%
100.0%
1.4%
0.1%
15.3%
3.6%
2.3%
19.3%
1.2%
2.6%
11.2%
95.6%
14.9%

Cond.
Average
% NAV
1.0%
3.2%
4.4%
12.6%
1.8%
92.3%
0.5%
0.2%
19.6%
0.9%
0.4%
0.5%
0.5%
100.0%
0.9%
0.1%
2.1%
2.4%
0.0%
19.3%
0.3%
2.0%
15.8%
97.0%
23.3%

Uncond.
Nonaverage
as % NAV zero
3.17%
49.2%
14.25%
17.0%
2.11%
20.8%
0.19%
6.6%
0.34%
16.6%
67.02%
84.9%
0.00%
3.6%
0.00%
0.3%
9.14%
70.8%
1.07%
57.4%
0.00%
22.9%
2.79%
92.0%
0.38%
69.2%
100.00%
96.7%
1.00%
58.0%
0.09%
88.7%
0.00%
0.0%
3.94%
91.4%
0.00%
0.1%
0.17%
4.7%
0.00%
3.9%
3.91%
94.6%
0.00%
0.1%
94.83%
96.6%
5.81%
16.1%

Uncond.
average Nonas % NAV zero
1.19%
50.4%
0.82%
17.3%
1.25%
29.2%
0.90%
7.5%
0.42%
18.9%
78.88%
87.0%
0.09%
2.2%
0.00%
0.3%
14.72%
64.3%
1.05%
61.6%
0.11%
23.2%
0.57%
95.3%
0.65%
70.0%
100.00%
97.9%
0.87%
65.8%
0.13%
94.1%
0.00%
0.2%
3.52%
92.6%
0.00%
0.0%
0.97%
2.2%
0.05%
4.0%
2.50%
95.3%
0.01%
0.2%
95.50%
97.8%
2.54%
19.6%

Growth and income

Uncond.
average
Nonas %
zero
NAV
0.51%
47.9%
0.57%
10.9%
1.32%
29.2%
0.98%
17.4%
0.36%
16.6%
82.21%
78.9%
0.01%
1.9%
0.00%
0.1%
13.04%
64.4%
0.58%
52.5%
0.09%
25.3%
0.48%
94.4%
0.36%
62.0%
100.0%
97.7%
0.64%
59.9%
0.07%
91.9%
0.00%
0.9%
2.31%
92.3%
0.00%
0.2%
0.45%
0.8%
0.01%
7.8%
1.91%
94.3%
0.03%
0.7%
96.92%
97.7%
4.79%
22.6%

Cond.
Average
% NAV
0.8%
2.3%
4.3%
22.6%
8.2%
86.3%
0.2%
0.0%
33.1%
0.8%
0.4%
0.4%
0.2%
100.0%
1.0%
0.2%
20.2%
1.9%
25.7%
9.8%
0.9%
1.7%
8.2%
97.0%
17.9%

Uncond.
average
Nonas %
zero
NAV
0.40%
53.7%
0.28%
11.1%
1.35%
23.5%
4.12%
35.8%
1.45%
32.6%
69.74%
55.4%
0.00%
5.2%
0.00%
0.0%
22.19%
72.3%
0.46%
53.1%
0.11%
25.4%
0.41%
85.3%
0.15%
63.2%
100.0%
97.4%
0.62%
51.8%
0.16%
86.0%
0.20%
5.2%
1.89%
87.9%
0.06%
0.7%
0.08%
2.6%
0.07%
11.7%
1.66%
89.6%
0.06%
1.3%
97.01%
97.4%
4.22%
23.1%

Income

Cond.
Average
% NAV
1.4%
2.3%
18.9%
32.2%
19.1%
63.7%
0.3%
0.0%
51.0%
1.2%
0.2%
1.2%
0.5%
100.0%
2.1%
0.1%
25.4%
3.4%
16.3%
10.9%
0.8%
3.0%
11.2%
94.1%
29.3%

Total Return

Uncond.
average Nonas % NAV zero
0.80%
52.6%
0.26%
9.9%
4.67%
26.5%
11.98%
20.9%
6.48%
15.9%
36.35%
56.2%
0.02%
5.9%
0.00%
1.8%
37.99%
80.6%
0.64%
48.9%
0.05%
23.8%
1.01%
88.8%
0.33%
56.4%
100.00%
96.0%
1.10%
56.6%
0.06%
83.5%
1.39%
1.3%
3.19%
89.0%
0.11%
0.7%
0.29%
5.4%
0.10%
8.6%
2.74%
91.1%
0.15%
0.8%
94.10%
96.0%
7.07%
27.1%

Division of Economic and Risk Analysis

Cond.
Average
% NAV
4.7%
3.4%
10.1%
27.1%
4.8%
76.5%
0.7%
0.7%
47.2%
1.7%
0.2%
1.2%
1.8%
100.0%
2.1%
0.1%
19.8%
4.3%
9.7%
12.0%
0.7%
3.4%
13.8%
94.2%
25.4%

Uncond.
average
as % NAV
2.59%
0.36%
2.86%
6.03%
0.82%
45.11%
0.04%
0.01%
39.94%
0.86%
0.04%
1.13%
1.09%
100.00%
1.24%
0.09%
0.28%
4.07%
0.07%
0.69%
0.06%
3.26%
0.11%
94.24%
7.32%

25

Table 5: Summary of derivatives holdings

This table shows the summary statistics on the notional value of derivatives (as percentages of NAV) held by registered funds. The sample consists of 1,188
funds, 10% random sample of the universe of all open-end funds, closed-end funds, ETFs and BDCs registered under the 1940 Act as of April 2015. We exclude
money marke funds from our sample. We collected their usage of derivatives, financing transactions and other senior securities from their latest N-CSRs at
EDGAR. Notional amount of long and short positions are summed unless noted otherwise. Exact offsetting positons are netted out.
Unconditional
Conditional
% non-zero
mean
std
mean
std
min
q1 median
q3
max
Notional of Derivatives (as % of NAV)
NAV (M) (Number of funds: 1,188)
100%
1,390
4,964
1,390
4,964
0
54
231
978 96,793
Currency Futures
1.01%
0.56
8.81
55.85
70.76
0.10
6.46
25.49
87.56 200.18
Interest Rate Futures
10.69%
4.05
27.24
37.88
75.50
0.05
4.66
15.30
39.56 528.85
Equity Futures
11.87%
1.88
10.94
15.85
28.13
0.01
1.23
4.15
18.92 199.78
Commodity Futures
1.26%
0.74
8.95
58.32
56.53
1.37
14.58
28.76 105.91 186.70
Currency Swaps
0.34%
0.25
8.16
73.48 138.36
0.79
1.53
6.10 145.43 280.93
Interest rate swaps (Cleared/exch-trd )
4.38%
1.43
11.19
32.77
43.23
0.11
3.81
16.83
39.09 197.98
Interest rate swaps (OTC)
4.04%
1.52
15.17
37.61
66.54
0.08
2.18
8.18
43.19 293.87
CDS (Cleared)
3.11%
0.41
4.66
13.31
23.23
0.06
0.75
4.76
9.86
93.63
CDS (OTC)
4.04%
0.36
3.66
8.81
16.21
0.02
0.70
2.90
8.60
75.39
Equity swaps
4.88%
3.40
23.41
69.61
81.99
0.00
2.61
32.00 112.55 283.12
Commodity swaps
0.34%
0.07
1.43
21.72
13.37
10.17
11.15
18.92
32.30
38.89
Currency forwards
12.96%
3.33
20.16
25.67
50.74
0.00
1.84
9.71
24.51 356.36
Written Currency Option
1.52%
0.13
3.10
8.85
24.25
0.01
0.35
2.11
5.70 104.92
Written interest rate option (Cleared/exch-trd )
1.60%
0.22
2.50
13.50
14.95
0.56
4.21
10.75
15.26
60.78
Written interest rate option (OTC)
2.10%
0.30
2.83
14.35
13.66
0.05
4.55
11.09
16.92
52.16
Written CDS option (Cleared)
0.08%
0.01
0.22
7.42
7.42
7.42
7.42
7.42
7.42
Written CDS option (OTC)
0.76%
0.09
2.17
12.03
23.15
0.29
2.46
3.54
9.80
73.00
Written equity option
4.71%
1.39
10.99
29.40
42.04
0.00
1.75
12.86
43.71 204.79
Written Commodity option
0.17%
0.01
0.43
7.57
10.39
0.23
0.23
7.57
14.92
14.92
Purchased Currency option
1.09%
0.15
2.14
14.01
15.58
0.53
5.19
8.13
19.74
52.96
Purchased interest rate option (Cleared/exch-trd )
1.35%
0.28
3.80
21.05
26.03
2.76
5.51
9.46
21.90
82.31
Purchased interest rate option (OTC)
0.51%
0.07
1.18
14.42
9.10
0.14
9.40
15.89
21.68
23.54
Purchased CDS option (Cleared)
0.08%
0.26
8.81
303.54
303.54 303.54 303.54 303.54 303.54
Purchased CDS option (OTC)
0.08%
0.03
1.12
38.49
38.49
38.49
38.49
38.49
38.49
Purchased equity option
2.78%
0.80
7.55
28.95
35.68
0.05
3.59
11.51
48.22 143.44
Purchased Commodity option
0.17%
0.09
2.37
52.12
35.05
27.34
27.34
52.12
76.90
76.90
Purchased Currency swaption
0.00%
0.00
0.00
Purchased interest rate swaption (Cleared/exch-trd)
0.59%
0.06
1.14
10.89
10.96
0.93
1.61
7.10
19.32
29.89
Purchased interest rate swaption (OTC)
1.52%
0.28
3.80
18.67
25.40
0.02
1.64
5.65
28.03
84.62
Purchased CDS swaption (Cleared)
0.08%
0.00
0.14
4.90
4.90
4.90
4.90
4.90
4.90
Purchased CDS swaption (OTC)
0.17%
0.01
0.38
7.86
7.11
2.83
2.83
7.86
12.89
12.89
Purchased equity swaption
0.00%
0.00
0.00
Purchased Commodity swaption
0.00%
0.00
0.00
Reverse repo
1.60%
0.22
2.60
13.88
15.64
0.01
2.10
7.86
23.79
46.95
Short sale
4.71%
0.96
6.81
20.42
24.41
0.00
1.26
7.10
33.62
95.34
Commitment agreements
0.34%
0.02
0.53
4.78
9.01
0.13
0.24
0.35
9.33
18.30
Unfunded commitments
1.35%
0.08
1.57
6.22
12.43
0.00
0.15
1.56
6.60
49.47
When issued securities
1.68%
0.11
2.29
6.25
16.91
0.02
0.36
1.18
4.45
76.79
TBA
0.93%
0.11
2.40
11.88
22.96
0.00
0.01
0.90
10.56
66.11
Other financing
0.51%
0.06
1.28
12.27
14.46
0.73
3.76
4.25
24.92
35.75
Bank borrowings
4.21%
0.71
5.30
16.91
20.00
0.00
0.03
4.96
35.25
70.02
Margin loans
0.00%
0.00
0.00
Senior debt issuances
1.43%
0.32
3.88
22.69
24.03
0.07
4.98
18.80
26.93
72.95
Preferred shares
1.18%
0.53
4.96
44.93
10.08
21.80
41.62
48.23
50.71
57.53
Securities lending collateral
21.21%
1.77
9.14
8.33
18.44
0.00
1.07
3.28
8.94 196.11

Division of Economic and R

Table 6: Derivatives holdings by underlying assets and instruments

This table shows the notional value of derivatives (as percentages of NAV) held by mutual funds. The notional values are aggregated by derivative references
and instrument types. The sample consists of 10% random sample of the universe of all open-end funds, closed-end funds, ETFs and BDCs registered under the
1940 Act as of April 2015. We exclude money marke funds from our sample. We group Morningstar category "Alternative", "Nontraditional bond" and
"Commodities" as Alt Strategies funds. We further group them into non-index and index funds. Those funds that do not fall within the Alt Strategies funds are
called Traditional funds. Gross notional of derivatives is the sum of notional amount of derivatives that create potential future obligations, i.e. excluding
purchased options.
Panel A: All funds
Unconditional
Conditional
Notional of Derivatives (as % of NAV)
% non-zero
mean
std
mean
std
min
q1 median
q3
max
NAV (M) (Number of funds: 1,188)
100%
1,390
4,964
1,390
4,964
0
54
231
978 96,793
Currency
13.89%
4.27
24.15
30.76
58.33
0.00
1.84
10.24
28.07 356.36
Interest rate
13.47%
7.52
37.32
55.84
87.65
0.05
5.87
20.44
74.06 528.85
Interest rate (Cleared/exch-trd )
12.12%
5.70
32.06
47.02
81.08
0.05
5.40
18.70
56.12 528.85
Interest rate (OTC)
4.88%
1.82
15.61
37.31
61.04
0.08
3.17
12.83
42.59 293.87
CDS
5.39%
0.87
6.66
16.12
24.21
0.02
0.90
5.05
20.83
93.63
CDS (Cleared)
3.11%
0.42
4.67
13.51
23.16
0.06
0.75
5.03
9.86
93.63
CDS (OTC)
4.04%
0.45
4.56
11.07
20.11
0.02
0.71
3.79
9.75
85.19
Equity
17.76%
6.67
29.12
37.53
60.25
0.00
1.44
8.30
44.46 283.12
Commodity
1.43%
0.82
9.23
57.46
53.49
0.23
14.80
54.47
98.91 186.70
Futures
20.54%
7.23
39.82
35.21
82.21
0.01
2.78
11.57
32.79 859.31
Swaps
12.12%
7.44
33.02
61.41
75.58
0.00
4.65
30.76
91.26 293.87
Forwards
12.96%
3.33
20.16
25.67
50.74
0.00
1.84
9.71
24.51 356.36
Written option
7.32%
2.15
14.25
29.33
44.69
0.00
2.91
14.62
41.77 320.46
Purchased option
5.22%
1.69
12.71
32.37
46.21
0.05
6.02
15.65
38.49 303.54
Purchased swaption
2.19%
0.36
4.01
16.66
21.94
0.02
1.64
6.24
20.95
84.62
Gross notional of derivatives
32.24%
20.15
67.80
62.50 107.84
0.00
3.56
20.13
79.35 961.98
Financing
9.93%
1.56
8.33
15.72
21.89
0.00
0.90
4.18
24.21
95.34
Senior security
5.47%
1.57
8.76
28.62
25.24
0.00
0.12
31.34
52.17
80.77
Aggregate exposure incl. financing
36.36%
21.71
68.50
59.71 103.19
0.00
3.11
20.51
75.16 961.98
Aggregate exposure incl. financing & Senior Sec
37.96%
23.28
68.81
61.32 100.76
0.00
3.59
27.16
76.67 961.98

Division of Economic and Risk Analysis

27

Panel B: Alt Strategies mutual funds (Non-index)

Notional of Derivatives (as % of NAV)
NAV (M) (Number of funds: 69)
Currency
Interest rate
Interest rate (Cleared/exch-trd )
Interest rate (OTC)
CDS
CDS (Cleared)
CDS (OTC)
Equity
Commodity
Futures
Swaps
Forwards
Written option
Purchased option
Purchased swaption
Gross notional of derivatives
Financing
Senior security
Aggregate exposure incl. financing
Aggregate exposure incl. financing & Senior Sec

% non-zero
100%
42.03%
30.43%
26.09%
14.49%
20.29%
10.14%
17.39%
50.72%
14.49%
52.17%
39.13%
34.78%
30.43%
31.88%
13.04%
71.01%
40.58%
0.00%
88.41%
88.41%

Unconditional
mean
std
726
3,004
33.60
75.14
44.12 109.54
38.88 106.73
5.24
18.24
5.68
18.07
1.91
11.38
3.77
14.26
32.19
53.36
11.71
34.29
60.32 137.44
29.89
58.64
21.87
61.16
15.22
46.37
14.92
42.57
1.90
6.26
127.30 193.34
11.86
21.28
0.00
0.00
139.16 188.55
139.16 188.55

mean
726
79.94
144.98
149.06
36.15
27.98
18.79
21.68
63.47
80.81
115.61
76.39
62.89
50.01
46.80
14.56
179.26
29.23

std
3,004
99.36
159.50
167.87
35.68
32.19
33.14
28.86
60.43
51.77
173.57
72.83
91.47
74.05
65.61
11.21
208.44
24.78

157.41
157.41

193.31
193.31

Conditional
min
q1 median
0
28
91
0.10
10.03
43.88
0.61
34.10
87.44
0.61
13.25 101.87
0.68
8.92
23.34
1.89
5.07
13.97
0.51
4.76
8.42
1.62
3.34
7.84
0.91
19.17
39.65
14.58
54.47
77.61
2.81
23.98
54.04
1.97
17.84
75.73
1.10
9.24
24.72
0.18
9.24
29.84
0.43
8.11
26.45
1.61
3.59
19.24
0.91
42.72
98.91
0.73
4.39
25.22
0.91
0.91

44.08
44.08

86.57
86.57

q3
374
93.01
188.63
188.63
56.18
31.07
9.29
28.53
95.49
105.91
112.17
104.33
77.13
54.96
60.85
20.95
269.41
43.97

max
24,371
356.36
528.85
528.85
97.78
93.63
93.63
85.19
265.37
186.70
859.31
280.93
356.36
320.46
303.54
29.89
961.98
95.34

186.70
186.70

961.98
961.98

Division of Economic and Risk Analysis

28

Panel C: Alt Strategies mutual funds (Index)

Notional of Derivatives (as % of NAV)
NAV (M) (Number of funds: 12)
Currency
Interest rate
Interest rate (Cleared/exch-trd )
Interest rate (OTC)
CDS
CDS (Cleared)
CDS (OTC)
Equity
Commodity
Futures
Swaps
Forwards
Written option
Purchased option
Purchased swaption
Gross notional of derivatives
Financing
Senior security
Aggregate exposure incl. financing
Aggregate exposure incl. financing & Senior Sec

% non-zero
100%
8.33%
8.33%
8.33%
0.00%
0.00%
0.00%
0.00%
58.33%
8.33%
41.67%
58.33%
8.33%
0.00%
0.00%
0.00%
83.33%
8.33%
8.33%
83.33%
83.33%

Unconditional
mean
std
26
22
2.81
9.73
2.65
9.19
2.65
9.19
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
81.35
84.62
1.23
4.27
8.64
11.40
76.59
81.17
2.81
9.73
0.00
0.00
0.00
0.00
0.00
0.00
88.04
78.35
4.76
16.48
0.00
0.00
92.80
76.34
92.80
76.34

mean
26
33.70
31.84
31.84

std
22

139.46
14.80
20.74
131.30
33.70

60.62

105.65
57.08
0.00
111.36
111.36

73.73

6.61
60.82

69.47
69.47

Conditional
min
q1 median
0
6
26
33.70
33.70
33.70
31.84
31.84
31.84
31.84
31.84
31.84

q3
39
33.70
31.84
31.84

max
64
33.70
31.84
31.84

70.34
14.80
14.80
70.34
33.70

70.63
14.80
17.43
70.63
33.70

136.06
14.80
18.44
114.85
33.70

199.83
14.80
21.20
199.83
33.70

200.16
14.80
31.84
200.16
33.70

14.80
57.08
0.00
14.80
14.80

33.70
57.08
0.00
70.34
70.34

85.14
57.08
0.00
94.28
94.28

199.52
57.08
0.00
199.52
199.52

200.16
57.08
0.00
200.16
200.16

Division of Economic and Risk Analysis

29

Panel D: Alt Strategies mutual funds (All)

Notional of Derivatives (as % of NAV)
NAV (M) (Number of funds: 81)
Currency
Interest rate
Interest rate (Cleared/exch-trd )
Interest rate (OTC)
CDS
CDS (Cleared)
CDS (OTC)
Equity
Commodity
Futures
Swaps
Forwards
Written option
Purchased option
Purchased swaption
Gross notional of derivatives
Financing
Senior security
Aggregate exposure incl. financing
Aggregate exposure incl. financing & Senior Sec

% non-zero
100%
37.04%
27.16%
23.46%
12.35%
17.28%
8.64%
14.81%
51.85%
13.58%
50.62%
41.98%
30.86%
25.93%
27.16%
11.11%
72.84%
35.80%
1.23%
87.65%
87.65%

Unconditional
mean
std
623
2,781
29.04
70.23
37.98 102.13
33.52
99.31
4.46
16.92
4.84
16.78
1.62
10.52
3.21
13.21
39.48
60.94
10.16
31.87
52.66 128.13
36.81
64.09
19.05
56.91
12.96
43.09
12.71
39.61
1.62
5.81
121.49 181.15
10.81
20.70
0.00
0.00
132.29 176.90
132.29 176.90

mean
623
78.40
139.83
142.89
36.15
27.98
18.79
21.68
76.13
74.81
104.04
87.70
61.72
50.01
46.80
14.56
166.79
30.19
0.00
150.93
150.93

std
2,781
98.00
157.52
165.34
35.68
32.19
33.14
28.86
66.24
52.99
165.39
73.21
89.73
74.05
65.61
11.21
193.84
24.88
181.42
181.42

Conditional
min
q1 median
0
25
61
0.10
10.03
43.18
0.61
31.84
87.32
0.61
13.25
87.21
0.68
8.92
23.34
1.89
5.07
13.97
0.51
4.76
8.42
1.62
3.34
7.84
0.91
23.98
59.71
14.58
14.92
60.06
2.81
22.43
39.59
1.97
29.98
81.40
1.10
10.45
26.97
0.18
9.24
29.84
0.43
8.11
26.45
1.61
3.59
19.24
0.91
40.76
98.91
0.73
4.45
25.40
0.00
0.00
0.00
0.91
44.08
88.92
0.91
44.08
88.92

q3
275
93.01
188.63
188.63
56.18
31.07
9.29
28.53
99.65
105.91
104.74
116.54
74.05
54.96
60.85
20.95
227.94
44.08
0.00
199.52
199.52

Division of Economic and Risk Analysis

max
24,371
356.36
528.85
528.85
97.78
93.63
93.63
85.19
265.37
186.70
859.31
280.93
356.36
320.46
303.54
29.89
961.98
95.34
0.00
961.98
961.98

30

Panel E: Traditional mutual funds

Notional of Derivatives (as % of NAV)
NAV (M) (Number of funds: 899)
Currency
Interest rate
Interest rate (Cleared/exch-trd )
Interest rate (OTC)
CDS
CDS (Cleared)
CDS (OTC)
Equity
Commodity
Futures
Swaps
Forwards
Written option
Purchased option
Purchased swaption
Gross notional of derivatives
Financing
Senior security
Aggregate exposure incl. financing
Aggregate exposure incl. financing & Senior Sec

% non-zero
100%
12.57%
13.68%
12.57%
4.78%
5.23%
3.23%
3.78%
14.57%
0.56%
19.58%
9.34%
11.90%
5.67%
4.23%
1.78%
28.59%
6.56%
2.00%
30.48%
31.37%

Unconditional
mean
std
1,537
5,361
2.09
10.90
5.34
24.26
4.32
19.97
1.01
8.17
0.70
5.65
0.41
4.33
0.30
3.34
1.98
12.30
0.05
1.05
4.39
20.19
3.08
17.51
1.74
8.42
0.96
7.33
1.05
7.82
0.30
4.13
10.15
35.87
0.53
4.37
0.00
0.01
10.68
36.53
10.68
36.53

mean
1,537
16.60
39.00
34.38
21.22
13.47
12.58
7.89
13.56
9.56
22.40
32.94
14.59
16.86
24.78
16.97
35.52
8.05
0.06
35.05
34.06

std
5,361
26.64
54.85
46.42
31.44
21.15
21.04
15.54
29.77
11.65
41.05
48.17
20.27
26.28
29.66
26.83
60.07
15.31
0.08
59.43
58.87

Conditional
min
q1 median
0
67
271
0.00
1.51
7.82
0.05
4.98
18.68
0.05
4.69
17.02
0.08
2.76
9.13
0.02
0.62
4.73
0.06
0.74
2.81
0.02
0.39
2.44
0.00
0.88
3.02
0.23
1.37
2.15
0.05
2.19
6.75
0.00
2.11
13.93
0.00
1.51
7.31
0.00
2.15
7.42
0.05
5.19
12.05
0.02
1.15
3.89
0.00
2.59
10.21
0.00
0.48
1.80
0.00
0.01
0.03
0.00
1.99
10.18
0.00
1.69
8.99

q3
1,205
21.41
56.29
51.76
32.13
20.64
13.56
8.61
11.97
18.62
28.14
43.24
20.28
19.23
32.42
17.78
39.01
9.49
0.10
38.43
36.14

Division of Economic and Risk Analysis

max
96,793
200.18
330.19
288.42
147.27
83.80
83.80
80.90
199.78
25.42
399.96
217.05
112.62
141.09
143.44
84.62
399.96
76.79
0.32
399.96
399.96

31

Panel F: Open-end funds (All)

Notional of Derivatives (as % of NAV)
NAV (M) (Number of funds: 980)
Currency
Interest rate
Interest rate (Cleared/exch-trd )
Interest rate (OTC)
CDS
CDS (Cleared)
CDS (OTC)
Equity
Commodity
Futures
Swaps
Forwards
Written option
Purchased option
Purchased swaption
Gross notional of derivatives
Financing
Senior security
Aggregate exposure incl. financing
Aggregate exposure incl. financing & Senior Sec

% non-zero
100%
14.59%
14.80%
13.47%
5.41%
6.22%
3.67%
4.69%
17.65%
1.63%
22.14%
12.04%
13.47%
7.35%
6.12%
2.55%
32.24%
8.98%
1.94%
35.20%
36.02%

Unconditional
mean
std
1,462
5,202
4.31
23.82
8.03
38.38
6.73
35.16
1.30
9.25
1.05
7.32
0.51
5.13
0.54
5.01
5.08
23.43
0.89
9.58
8.38
43.50
5.87
26.52
3.17
18.77
1.95
14.56
2.01
13.95
0.41
4.31
19.36
69.30
1.38
7.78
0.00
0.01
20.73
70.03
20.74
70.03

mean
1,462
29.56
54.30
50.00
24.04
16.80
13.79
11.49
28.75
54.42
37.82
48.71
23.51
26.53
32.85
16.10
60.03
15.34
0.06
58.90
57.57

std
5,202
56.20
86.52
84.03
32.46
24.60
23.43
20.45
49.39
53.70
86.35
61.47
46.38
47.55
46.89
22.21
111.70
21.56
0.08
108.17
107.30

Conditional
min
q1 median
0
58
241
0.00
1.84
10.31
0.05
5.87
22.25
0.05
5.40
19.88
0.08
2.91
10.24
0.02
0.75
6.83
0.06
0.74
5.69
0.02
0.70
4.12
0.00
1.38
5.20
0.23
14.69
39.95
0.05
2.98
13.01
0.00
4.01
28.69
0.00
1.92
9.52
0.00
2.55
10.42
0.05
5.62
15.65
0.02
1.64
5.38
0.00
3.37
17.87
0.00
0.89
4.14
0.00
0.01
0.02
0.00
3.25
18.68
0.00
2.85
17.22

q3
1,081
28.07
71.51
57.68
36.47
21.02
11.71
10.70
32.42
97.03
36.14
72.77
24.46
30.09
43.36
19.41
65.98
24.62
0.10
70.34
67.63

Division of Economic and Risk Analysis

max
96,793
356.36
528.85
528.85
147.27
93.63
93.63
85.19
265.37
186.70
859.31
280.93
356.36
320.46
303.54
84.62
961.98
95.34
0.32
961.98
961.98

32

Panel G: Closed-end funds

Notional of Derivatives (as % of NAV)
NAV (M) (Number of funds: 58)
Currency
Interest rate
Interest rate (Cleared/exch-trd )
Interest rate (OTC)
CDS
CDS (Cleared)
CDS (OTC)
Equity
Commodity
Futures
Swaps
Forwards
Written option
Purchased option
Purchased swaption
Gross notional of derivatives
Financing
Senior security
Aggregate exposure incl. financing
Aggregate exposure incl. financing & Senior Sec

% non-zero
100%
18.97%
17.24%
17.24%
1.72%
5.17%
1.72%
3.45%
22.41%
0.00%
15.52%
12.07%
18.97%
22.41%
1.72%
1.72%
46.55%
34.48%
65.52%
67.24%
86.21%

Unconditional
mean
std
430
524
1.53
3.92
3.54
11.65
2.83
7.45
0.72
5.46
0.11
0.54
0.06
0.47
0.05
0.27
8.96
20.86
0.00
0.00
1.64
4.41
1.56
5.55
1.53
3.92
9.41
21.18
0.19
1.45
0.53
4.01
14.15
23.26
4.18
11.52
24.74
24.07
18.32
26.69
43.06
28.59

mean
430
8.07
20.55
16.39
41.59
2.17
3.61
1.45
39.97

std
524
5.44
21.71
10.21

10.59
12.92
8.07
41.99
11.03
30.52
30.39
12.11
37.76
27.25
49.95

5.65
11.01
5.44
25.46

1.26
0.25
26.91

25.95
17.24
19.69
28.62
24.48

Conditional
min
q1 median
5
137
261
0.43
3.27
9.88
4.97
9.15
14.65
4.97
9.15
14.65
41.59
41.59
41.59
1.27
1.27
1.63
3.61
3.61
3.61
1.27
1.27
1.45
1.78
25.59
42.01

q3
456
10.36
20.49
20.49
41.59
3.61
3.61
1.63
48.66

max
3,198
18.86
79.00
37.41
41.59
3.61
3.61
1.63
91.22

2.02
0.95
0.43
0.83
11.03
30.52
0.43
0.07
0.02
0.07
0.20

14.00
20.49
10.36
48.66
11.03
30.52
46.92
23.16
53.28
45.30
63.46

19.74
28.85
18.86
91.22
11.03
30.52
91.22
46.95
66.42
124.78
124.78

5.61
1.27
3.27
25.83
11.03
30.52
9.90
0.22
24.22
2.02
41.43

12.15
16.00
9.88
42.01
11.03
30.52
22.03
1.65
41.12
21.07
52.17

Division of Economic and Risk Analysis

33

Panel H: Alt Strategies ETFs

Notional of Derivatives (as % of NAV)
NAV (M) (Number of funds: 22)
Currency
Interest rate
Interest rate (Cleared/exch-trd )
Interest rate (OTC)
CDS
CDS (Cleared)
CDS (OTC)
Equity
Commodity
Futures
Swaps
Forwards
Written option
Purchased option
Purchased swaption
Gross notional of derivatives
Financing
Senior security
Aggregate exposure incl. financing
Aggregate exposure incl. financing & Senior Sec

% non-zero
100%
9.09%
18.18%
4.55%
18.18%
0.00%
0.00%
0.00%
68.18%
4.55%
36.36%
81.82%
9.09%
4.55%
4.55%
0.00%
95.45%
4.55%
0.00%
95.45%
95.45%

Unconditional
mean
std
197
369
6.04
22.21
38.70
90.97
0.13
0.60
38.57
90.83
0.00
0.00
0.00
0.00
0.00
0.00
103.10 102.53
4.83
22.64
8.11
22.65
136.11 104.25
6.04
22.21
2.41
11.32
1.13
5.31
0.00
0.00
152.66
90.91
4.04
18.96
0.00
0.00
156.71
86.67
156.71
86.67

mean
197
66.39
212.84
2.82
212.13

std
369
48.44
92.23

151.22
106.18
22.30
166.35
66.39
53.12
24.91

89.29

93.05

34.32
89.98
48.44

Conditional
min
q1 median
3
7
55
32.13
32.13
66.39
132.90 132.97 212.29
2.82
2.82
2.82
130.08 131.56 212.29

q3
176
100.64
292.71
2.82
292.71

max
1,626
100.64
293.87
2.82
293.87

15.99
106.18
2.82
15.99
32.13
53.12
24.91

53.12
106.18
5.93
106.45
32.13
53.12
24.91

199.88
106.18
12.45
191.60
66.39
53.12
24.91

200.49
106.18
16.31
207.32
100.64
53.12
24.91

283.12
106.18
106.18
293.87
100.64
53.12
24.91

159.93
88.94

86.35

15.99
88.94

106.18
88.94

133.04
88.94

200.49
88.94

293.87
88.94

164.17
164.17

81.25
81.25

15.99
15.99

110.35
110.35

133.04
133.04

200.49
200.49

293.87
293.87

Division of Economic and Risk Analysis

34

Panel I: Traditional ETFs

Notional of Derivatives (as % of NAV)
NAV (M) (Number of funds: 118)
Currency
Interest rate
Interest rate (Cleared/exch-trd )
Interest rate (OTC)
CDS
CDS (Cleared)
CDS (OTC)
Equity
Commodity
Futures
Swaps
Forwards
Written option
Purchased option
Purchased swaption
Gross notional of derivatives
Financing
Senior security
Aggregate exposure incl. financing
Aggregate exposure incl. financing & Senior Sec

% non-zero
100%
7.63%
0.85%
0.85%
0.00%
0.00%
0.00%
0.00%
8.47%
0.00%
8.47%
0.85%
7.63%
0.85%
0.00%
0.00%
16.10%
0.85%
0.00%
16.10%
16.10%

Unconditional
mean
std
1,521
4,745
5.31
32.70
0.04
0.43
0.04
0.43
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1.33
10.36
0.00
0.00
0.93
9.20
0.08
0.90
5.31
32.70
0.36
3.95
0.00
0.00
0.00
0.00
6.69
34.08
0.12
1.33
0.00
0.00
6.81
34.11
6.81
34.11

Conditional
min
q1 median
2
18
116
0.54
0.99
6.08
4.69
4.69
4.69
4.69
4.69
4.69

mean
1,521
69.68
4.69
4.69

std
4,745
102.91

15.73

33.82

0.01

0.10

10.93
9.82
69.68
42.92

31.30

0.01
9.82
0.54
42.92

102.91

q3
708
102.02
4.69
4.69

max
38,555
311.77
4.69
4.69

0.46

2.28

99.90

0.10
9.82
0.99
42.92

0.46
9.82
6.08
42.92

2.28
9.82
102.02
42.92

99.90
9.82
311.77
42.92

41.53
14.44

77.62

0.01
14.44

0.16
14.44

1.20
14.44

99.90
14.44

311.77
14.44

42.29
42.29

77.32
77.32

0.01
0.01

0.16
0.16

1.20
1.20

99.90
99.90

311.77
311.77

Division of Economic and Risk Analysis

35

Panel J: ETFs (All)

Notional of Derivatives (as % of NAV)
NAV (M) (Number of funds: 140)
Currency
Interest rate
Interest rate (Cleared/exch-trd )
Interest rate (OTC)
CDS
CDS (Cleared)
CDS (OTC)
Equity
Commodity
Futures
Swaps
Forwards
Written option
Purchased option
Purchased swaption
Gross notional of derivatives
Financing
Senior security
Aggregate exposure incl. financing
Aggregate exposure incl. financing & Senior Sec

% non-zero
100%
7.86%
3.57%
1.43%
2.86%
0.00%
0.00%
0.00%
17.86%
0.71%
12.86%
13.57%
7.86%
1.43%
0.71%
0.00%
28.57%
1.43%
0.00%
28.57%
28.57%

Unconditional
mean
std
1,313
4,382
5.43
31.22
6.11
38.07
0.05
0.46
6.06
38.01
0.00
0.00
0.00
0.00
0.00
0.00
17.33
55.32
0.76
8.97
2.05
12.48
21.46
64.11
5.43
31.22
0.69
5.75
0.18
2.11
0.00
0.00
29.63
71.20
0.74
7.61
0.00
0.00
30.36
71.50
30.36
71.50

mean
1,313
69.08
171.21
3.76
212.13

std
4,382
93.32
122.65
1.33
93.05

97.02
106.18
15.98
158.11
69.08
48.02
24.91

98.33
32.21
94.53
93.32
7.21

Conditional
min
q1 median
2
17
103
0.54
0.99
32.13
4.69 132.90 133.04
2.82
2.82
3.76
130.08 131.56 212.29

q3
585
102.02
291.54
4.69
292.71

max
38,555
311.77
293.87
4.69
293.87

0.01
106.18
0.01
9.82
0.54
42.92
24.91

1.20
106.18
0.16
98.18
0.99
42.92
24.91

53.12
106.18
2.95
186.28
32.13
48.02
24.91

200.00
106.18
13.73
207.32
102.02
53.12
24.91

283.12
106.18
106.18
293.87
311.77
53.12
24.91

103.69
51.69

100.95
52.68

0.01
14.44

2.01
14.44

101.12
51.69

199.94
88.94

311.77
88.94

106.28
106.28

99.72
99.72

0.01
0.01

2.01
2.01

101.81
101.81

199.94
199.94

311.77
311.77

Division of Economic and Risk Analysis

36

Panel K: Business development companies

Notional of Derivatives (as % of NAV)
NAV (M) (Number of funds: 10)
Currency
Interest rate
Interest rate (Cleared/exch-trd )
Interest rate (OTC)
CDS
CDS (Cleared)
CDS (OTC)
Equity
Commodity
Futures
Swaps
Forwards
Written option
Purchased option
Purchased swaption
Gross notional of derivatives
Financing
Senior security
Aggregate exposure incl. financing
Aggregate exposure incl. financing & Senior Sec

% non-zero
100%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
80.00%
80.00%
80.00%
80.00%

Unconditional
mean
std
973
1,256
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
15.95
23.10
42.44
28.84
15.95
23.10
58.39
39.55

mean
973

std
1,256

19.94
53.05
19.94
72.99

24.40
20.65
24.40
28.17

Conditional
min
q1 median
1
157
504

1.54
24.52
1.54
37.77

5.72
36.66
5.72
55.28

10.72
51.40
10.72
70.66

q3
1,084

max
3,695

25.35
71.48
25.35
82.13

74.39
80.77
74.39
129.97

Division of Economic and Risk Analysis

37

Figure 1: Cumulative growth of registered funds by investment category groups (2011-2014)

Division of Economic and Risk Analysis

38

Division of Economic and Risk Analysis

39

Division of Economic and Risk Analysis

40

Figure 2: Growth of Alt Strategies funds by Morningstar categories

Division of Economic and Risk Analysis

41

Division of Economic and Risk Analysis

42

Division of Economic and Risk Analysis

43

Figure 3: Gross Notional Exposure by Derivative Reference: Individual funds

F3.1 Alt Strategies mutual funds (Non-index)

1 Managed Futures
2 Managed Futures
3 Multialternative
4 Managed Futures
5 Multicurrency
6 Nontraditional Bond
7 Nontraditional Bond
8 Nontraditional Bond
9 Multialternative
10 Nontraditional Bond
11 Nontraditional Bond
12 Multialternative
13 Bear Market
14 Managed Futures
15 Multialternative
16 Commodities Broad Basket
17 T rading-Inverse Debt
18 Multialternative
19 Long/Short Equity
20 Multicurrency
21 Commodities Broad Basket
22 Multialternative
23 Commodities Broad Basket
24 Commodities Broad Basket
25 Commodities Precious Metals
26 Managed Futures
27 Long/Short Equity
28 Market Neutral
29 Commodities Precious Metals
30 Nontraditional Bond
31 Long/Short Equity
32 Bear Market
33 Market Neutral
34 Market Neutral
35 Long/Short Equity
36 Nontraditional Bond
37 Nontraditional Bond
38 Nontraditional Bond
39 Multialternative
40 Bear Market
41 Multialternative
42 Multicurrency
43 Long/Short Equity
44 Market Neutral
45 Nontraditional Bond
46 Long/Short Equity
47 Market Neutral
48 Long/Short Equity
49 Nontraditional Bond
50 Multialternative
51 Multialternative
52 Long/Short Equity
53 Multialternative
54 Long/Short Equity
55 Long/Short Equity
56 Multialternative
57 Long/Short Equity
58 Long/Short Equity
59 Multialternative
60 Market Neutral
61 Long/Short Equity
62 Long/Short Equity
63 Multialternative
64 Nontraditional Bond
65 Nontraditional Bond
66 Multialternative
67 Multialternative
68 Managed Futures
69 Long/Short Equity

50

100

150

200

250

300

350

400

450

500

550

600

650

700

750

800

850

900

950 1000

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

Division of Economic and Risk Analysis

44

F3.2 Alt Strategies mutual funds (Index)

1 T rading-Leveraged Equity

2 Bear Market

3 T rading-Inverse Equity

4 T rading-Leveraged Equity

5 Bear Market

6 Bear Market

7 T rading-Leveraged Equity

8 T rading-Leveraged Equity

9 Multicurrency

10 Commodities Broad Basket

11 Long/Short Equity

12 Commodities Broad Basket

50

100

150

200

250

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

Division of Economic and Risk Analysis

45

F3.3 Traditional mutual funds (Top 60)

1 Japan Stock
2 World Bond
3 Intermediate-T erm Bond
4 Long-T erm Bond
5 Intermediate-T erm Bond
6 Short-T erm Bond
7 Inflation-Protected Bond
8 Convertibles
9 World Bond
10 Large Blend
11 Intermediate-T erm Bond
12 Emerging Markets Bond
13 Inflation-Protected Bond
14 High Yield Bond
15 Large Blend
16 Intermediate-T erm Bond
17 Corporate Bond
18 T actical Allocation
19 World Allocation
20 T actical Allocation
21 T actical Allocation
22 T actical Allocation
23 Inflation-Protected Bond
24 Intermediate-T erm Bond
25 Intermediate Government
26 T echnology
27 High Yield Bond
28 Muni National Interm
29 World Bond
30 World Bond
31 Inflation-Protected Bond
32 Emerging Markets Bond
33 High Yield Bond
34 Inflation-Protected Bond
35 Short-T erm Bond
36 Emerging Markets Bond
37 Moderate Allocation
38 Intermediate Government
39 Intermediate Government
40 Intermediate Government
41 Large Blend
42 Conservative Allocation
43 Multisector Bond
44 Multisector Bond
45 Short-T erm Bond
46 World Allocation
47 World Bond
48 Muni National Short
49 World Allocation
50 Short-T erm Bond
51 Corporate Bond
52 Inflation-Protected Bond
53 T actical Allocation
54 Intermediate-T erm Bond
55 Large Blend
56 Muni National Interm
57 Ultrashort Bond
58 T actical Allocation
59 Multisector Bond
60 Moderate Allocation

50

100

150

200

250

300

350

400

450

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

Division of Economic and Risk Analysis

46

F3.4 Closed-end funds

1 Corporate Bond
2 T actical Allocation
3 World Stock
4 Energy Limited Partnership
5 Muni National Long
6 Large Growth
7 Muni New York Long
8 High Yield Muni
9 Preferred Stock
10 T echnology
11 Muni New York Long
12 Bank Loan
13 Muni New York Long
14 Multisector Bond
15 Real Estate
16 Muni National Long
17 High Yield Bond
18 Muni National Long
19 Large Value
20 High Yield Muni
21 Muni Single State Long
22 High Yield Bond
23 Muni Ohio
24 Bank Loan
25 Muni National Long
26 High Yield Bond
27 World Bond
28 High Yield Bond
29 Muni California Long
30 Large Value
31 Emerging Markets Bond
32 High Yield Bond
33 World Stock
34 High Yield Bond
35 Bank Loan
36 Multisector Bond
37 Foreign Large Blend
38 High Yield Bond
39 High Yield Bond
40 Bank Loan
41 Energy Limited Partnership
42 World Stock
43 T echnology
44 Energy Limited Partnership
45 Muni New York Intermediate
46 Large Value
47 Large Blend
48 Real Estate
49 Diversified Emerging Mkts
50 Miscellaneous Region
51 Miscellaneous Region
52 Convertibles
53 China Region
54 China Region
55 Corporate Bond
56 Muni California Long
57 Miscellaneous Region
58 Long-T erm Bond

50

100

150

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

Division of Economic and Risk Analysis

47

F3.5 Alt Strategies ETFs

1 T rading-Leveraged Debt
2 T rading-Inverse Debt
3 T rading-Leveraged Equity
4 T rading-Leveraged Equity
5 T rading-Leveraged Equity
6 T rading-Inverse Equity
7 T rading-Inverse Equity
8 T rading-Inverse Equity
9 T rading-Inverse Equity
10 T rading-Inverse Equity
11 T rading-Miscellaneous
12 T rading-Leveraged Debt
13 T rading-Leveraged Equity
14 T rading-Leveraged Equity
15 T rading-Leveraged Equity
16 Market Neutral
17 Commodities Broad Basket
18 Single Currency
19 Market Neutral
20 Long/Short Equity
21 Long/Short Equity
22 Nontraditional Bond

50

100

150

200

250

300

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

Division of Economic and Risk Analysis

48

F3.6 Traditional ETFs (Top 20)

1 Japan Stock
2 Miscellaneous Region
3 Europe Stock
4 Latin America Stock
5 China Region
6 Miscellaneous Sector
7 Short-T erm Bond
8 Ultrashort Bond
9 Foreign Large Value
10 Miscellaneous Region
11 Diversified Emerging Mkt
12 Global Real Estate
13 World Bond
14 Large Value
15 Small Growth
16 Large Growth
17 Large Blend
18 Mid-Cap Growth
19 Large Blend
20 Japan Stock

50

100

150

200

250

300

350

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

Division of Economic and Risk Analysis

49

F3.7 Business development company

10

50

100

150

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

Division of Economic and Risk Analysis

50

Figure 4: Gross Notional Exposure by Derivative instrument: Individual funds

F4.1 Alt Strategies mutual funds (Non-index)

1 Managed Futures
2 Managed Futures
3 Multialternative
4 Managed Futures
5 Multicurrency
6 Nontraditional Bond
7 Nontraditional Bond
8 Nontraditional Bond
9 Multialternative
10 Nontraditional Bond
11 Nontraditional Bond
12 Multialternative
13 Bear Market
14 Managed Futures
15 Multialternative
16 Commodities Broad Basket
17 T rading-Inverse Debt
18 Multialternative
19 Long/Short Equity
20 Multicurrency
21 Commodities Broad Basket
22 Multialternative
23 Commodities Broad Basket
24 Commodities Broad Basket
25 Commodities Precious Metals
26 Managed Futures
27 Long/Short Equity
28 Market Neutral
29 Commodities Precious Metals
30 Nontraditional Bond
31 Long/Short Equity
32 Bear Market
33 Market Neutral
34 Market Neutral
35 Long/Short Equity
36 Nontraditional Bond
37 Nontraditional Bond
38 Nontraditional Bond
39 Multialternative
40 Bear Market
41 Multialternative
42 Multicurrency
43 Long/Short Equity
44 Market Neutral
45 Nontraditional Bond
46 Long/Short Equity
47 Market Neutral
48 Long/Short Equity
49 Nontraditional Bond
50 Multialternative
51 Multialternative
52 Long/Short Equity
53 Multialternative
54 Long/Short Equity
55 Long/Short Equity
56 Multialternative
57 Long/Short Equity
58 Long/Short Equity
59 Multialternative
60 Market Neutral
61 Long/Short Equity
62 Long/Short Equity
63 Multialternative
64 Nontraditional Bond
65 Nontraditional Bond
66 Multialternative
67 Multialternative
68 Managed Futures
69 Long/Short Equity

50

100

150

200

250

300

350

400

450

500

550

600

650

700

750

800

850

900

950 1000

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

Division of Economic and Risk Analysis

51

F4.2 Alt Strategies mutual funds (Index)

1 T rading-Leveraged Equity

2 Bear Market

3 T rading-Inverse Equity

4 T rading-Leveraged Equity

5 Bear Market

6 Bear Market

7 T rading-Leveraged Equity

8 T rading-Leveraged Equity

9 Multicurrency

10 Commodities Broad Basket

11 Long/Short Equity

12 Commodities Broad Basket

50

100

150

200

250

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

Division of Economic and Risk Analysis

52

F4.3 Traditional mutual funds (Top 60)

1 Japan Stock
2 World Bond
3 Intermediate-T erm Bond
4 Long-T erm Bond
5 Intermediate-T erm Bond
6 Short-T erm Bond
7 Inflation-Protected Bond
8 Convertibles
9 World Bond
10 Large Blend
11 Intermediate-T erm Bond
12 Emerging Markets Bond
13 Inflation-Protected Bond
14 High Yield Bond
15 Large Blend
16 Intermediate-T erm Bond
17 Corporate Bond
18 T actical Allocation
19 World Allocation
20 T actical Allocation
21 T actical Allocation
22 T actical Allocation
23 Inflation-Protected Bond
24 Intermediate-T erm Bond
25 Intermediate Government
26 T echnology
27 High Yield Bond
28 Muni National Interm
29 World Bond
30 World Bond
31 Inflation-Protected Bond
32 Emerging Markets Bond
33 High Yield Bond
34 Inflation-Protected Bond
35 Short-T erm Bond
36 Emerging Markets Bond
37 Moderate Allocation
38 Intermediate Government
39 Intermediate Government
40 Intermediate Government
41 Large Blend
42 Conservative Allocation
43 Multisector Bond
44 Multisector Bond
45 Short-T erm Bond
46 World Allocation
47 World Bond
48 Muni National Short
49 World Allocation
50 Short-T erm Bond
51 Corporate Bond
52 Inflation-Protected Bond
53 T actical Allocation
54 Intermediate-T erm Bond
55 Large Blend
56 Muni National Interm
57 Ultrashort Bond
58 T actical Allocation
59 Multisector Bond
60 Moderate Allocation

50

100

150

200

250

300

350

400

450

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

Division of Economic and Risk Analysis

53

F4.4 Closed-end funds

1 Corporate Bond
2 T actical Allocation
3 World Stock
4 Energy Limited Partnership
5 Muni National Long
6 Large Growth
7 Muni New York Long
8 High Yield Muni
9 Preferred Stock
10 T echnology
11 Muni New York Long
12 Bank Loan
13 Muni New York Long
14 Multisector Bond
15 Real Estate
16 Muni National Long
17 High Yield Bond
18 Muni National Long
19 Large Value
20 High Yield Muni
21 Muni Single State Long
22 High Yield Bond
23 Muni Ohio
24 Bank Loan
25 Muni National Long
26 High Yield Bond
27 World Bond
28 High Yield Bond
29 Muni California Long
30 Large Value
31 Emerging Markets Bond
32 High Yield Bond
33 World Stock
34 High Yield Bond
35 Bank Loan
36 Multisector Bond
37 Foreign Large Blend
38 High Yield Bond
39 High Yield Bond
40 Bank Loan
41 Energy Limited Partnership
42 World Stock
43 T echnology
44 Energy Limited Partnership
45 Muni New York Intermediate
46 Large Value
47 Large Blend
48 Real Estate
49 Diversified Emerging Mkts
50 Miscellaneous Region
51 Miscellaneous Region
52 Convertibles
53 China Region
54 China Region
55 Corporate Bond
56 Muni California Long
57 Miscellaneous Region
58 Long-T erm Bond

50

100

150

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

Division of Economic and Risk Analysis

54

F4.5 Alt Strategies ETFs

1 T rading-Leveraged Debt
2 T rading-Inverse Debt
3 T rading-Leveraged Equity
4 T rading-Leveraged Equity
5 T rading-Leveraged Equity
6 T rading-Inverse Equity
7 T rading-Inverse Equity
8 T rading-Inverse Equity
9 T rading-Inverse Equity
10 T rading-Inverse Equity
11 T rading-Miscellaneous
12 T rading-Leveraged Debt
13 T rading-Leveraged Equity
14 T rading-Leveraged Equity
15 T rading-Leveraged Equity
16 Market Neutral
17 Commodities Broad Basket
18 Single Currency
19 Market Neutral
20 Long/Short Equity
21 Long/Short Equity
22 Nontraditional Bond

50

100

150

200

250

300

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

Division of Economic and Risk Analysis

55

F4.6 Traditional ETFs (Top 20)

1 Japan Stock
2 Miscellaneous Region
3 Europe Stock
4 Latin America Stock
5 China Region
6 Miscellaneous Sector
7 Short-T erm Bond
8 Ultrashort Bond
9 Foreign Large Value
10 Miscellaneous Region
11 Diversified Emerging Mkt
12 Global Real Estate
13 World Bond
14 Large Value
15 Small Growth
16 Large Growth
17 Large Blend
18 Mid-Cap Growth
19 Large Blend
20 Japan Stock

50

100

150

200

250

300

350

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

Division of Economic and Risk Analysis

56

F4.7 Business development company

10

50

100

150

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

Division of Economic and Risk Analysis

57

Figure 5: Gross Notional Exposure by Derivative Reference: fund category group

F5.1 All funds

Alternative

Commodities

Taxable Bond

Municipal Bond

International Equity

Allocation

Sector Equity

U.S. Equity
0

10

20

30

40

50

60

70

80

90

100

110

120

130

140

150

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

F5.2 Alt Strategies mutual funds (Non-index)

Managed Futures

Trading-Inverse Debt

Multicurrency

Nontraditional Bond

Bear Market

Commodities Broad Basket

Multialternative

Commodities Precious Metals

Market Neutral

Long/Short Equity
0

50

100

150

200

250

300

350

400

450

500

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

Division of Economic and Risk Analysis

58

F5.3 Alt Strategies mutual funds (Index)

Trading-Inverse Equity

Bear Market

Trading-Leveraged Equity

Multicurrency

Commodities Broad Basket

Long/Short Equity
0

50

150

100

200

250

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

F5.4 Traditional mutual funds

Taxable Bond

Allocation

International Equity

Municipal Bond

U.S. Equity

Sector Equity
0

10

20

30

40

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

Division of Economic and Risk Analysis

59

F5.5 Closed-end funds

Municipal Bond

Taxable Bond

Allocation

Sector Equity

U.S. Equity

International Equity
0

10

20

30

40

50

60

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

F5.6 Alt Strategies ETFs

Trading-Inverse Debt

Trading-Leveraged Debt

Trading-Inverse Equity

Trading-Leveraged Equity

Trading-Miscellaneous

Commodities Broad Basket

Single Currency

Market Neutral

Long/Short Equity

Nontraditional Bond
0

1
0

2
0

3
0

4
0

5
0

6
0

7
0

8
0

9
0

1
0
0

1
1
0

1
2
0

1
3
0

1
4
0

1
5
0

1
6
0

1
7
0

1
8
0

1
9
0

2
0
0

2
1
0

2
2
0

2
3
0

2
4
0

2
5
0

2
6
0

2
7
0

2
8
0

2
9
0

3
0
0

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

Division of Economic and Risk Analysis

60

F5.7 Traditional ETFs

International Equity

Sector Equity

Taxable Bond

U.S. Equity

Allocation

Municipal Bond
0

10

20

30

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

Division of Economic and Risk Analysis

61

Figure 6: Gross Notional Exposure by Derivative Instrument: fund category group

F6.1 All funds

Alternative

Commodities

Taxable Bond

Municipal Bond

International Equity

Allocation

Sector Equity

U.S. Equity
0

10

20

30

40

50

60

70

80

90

100

110

120

130

140

150

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

F6.2 Alt Strategies mutual funds (Non-index)

Managed Futures

Trading-Inverse Debt

Multicurrency

Nontraditional Bond

Bear Market

Commodities Broad Basket

Multialternative

Commodities Precious Metals

Market Neutral

Long/Short Equity
0

50

100

150

200

250

300

350

400

450

500

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

Division of Economic and Risk Analysis

62

F6.3 Alt Strategies mutual funds (Index)

Trading-Inverse Equity

Bear Market

Trading-Leveraged Equity

Multicurrency

Commodities Broad Basket

Long/Short Equity
0

50

100

150

200

250

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

F6.4 Traditional mutual funds

Taxable Bond

Allocation

International Equity

Municipal Bond

U.S. Equity

Sector Equity
0

10

20

30

40

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

Division of Economic and Risk Analysis

63

F6.5 Closed-end funds

Municipal Bond

Taxable Bond

Allocation

Sector Equity

U.S. Equity

International Equity
0

10

20

30

40

50

60

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

F6.6 Alt Strategies ETFs

Trading-Inverse Debt

Trading-Leveraged Debt

Trading-Inverse Equity

Trading-Leveraged Equity

Trading-Miscellaneous

Commodities Broad Basket

Single Currency

Market Neutral

Long/Short Equity

Nontraditional Bond
0

1
0

2
0

3
0

4
0

5
0

6
0

7
0

8
0

9
0

1
0
0

1
1
0

1
2
0

1
3
0

1
4
0

1
5
0

1
6
0

1
7
0

1
8
0

1
9
0

2
0
0

2
1
0

2
2
0

2
3
0

2
4
0

2
5
0

2
6
0

2
7
0

2
8
0

2
9
0

3
0
0

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

Division of Economic and Risk Analysis

64

F6.7 Traditional ETFs

International Equity

Sector Equity

Taxable Bond

U.S. Equity

Allocation

Municipal Bond
0

10

20

30

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

Division of Economic and Risk Analysis

65

Figure 7: Gross Notional Exposure by Derivative Reference: fund size quintile (4=largest)
F7.1 All funds

4
0

10

20

30

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

F7.2 Alt Strategies mutual funds (Non-index)

Size Quintile

Size Quintile

4
0

10

20

30

40

50

60

70

80

90

100

110

120

130

140

150

160

170

180

190

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

Division of Economic and Risk Analysis

66

F7.3 Alt Strategies mutual funds (Index)

Size Quintile

4
0

10

20

30

40

50

60

70

80

90

100

110

120

130

140

150

160

13

14

170

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

F7.4 Traditional mutual funds

Size Quintile

4
0

10

11

12

15

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

Division of Economic and Risk Analysis

67

F7.5 Closed-end funds

Size Quintile

4
0

10

20

30

40

50

60

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

F7.6 Alt Strategies ETFs

Size Quintile

4
0

10

20

30

40

50

60

70

80

90

100

110

120

130

140

150

160

170

180

190

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

Division of Economic and Risk Analysis

68

F7.7 Traditional ETFs

Size Quintile

4
0

10

11

12

13

14

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

F7.8 Business development companies

Size Quintile

4
0

10

20

30

40

50

60

70

80

90

100

110

Aggregate Exposure as percentage of NAV

CDS
Financing

Commodity
Interest rate

Currency
Senior security

Equity

Division of Economic and Risk Analysis

69

Figure 8: Gross Notional Exposure by Derivative Instrument: fund size quintile (4=largest)
F8.1 All funds

Size Quintile

4
0

10

20

30

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

F8.2 Alt Strategies mutual funds (Non-index)

Size Quintile

4
0

10

20

30

40

50

60

70

80

90

100

110

120

130

140

150

160

170

180

190

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

Division of Economic and Risk Analysis

70

F8.3 Alt Strategies mutual funds (Index)

Size Quintile

4
0

10

20

30

40

50

60

70

80

90

100

110

120

130

140

150

160

13

14

170

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

F8.4 Traditional mutual funds

Size Quintile

4
0

10

11

12

15

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

Division of Economic and Risk Analysis

71

F8.5 Closed-end funds

Size Quintile

4
0

10

20

40

30

50

60

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

F8.6 Alt Strategies ETFs

Size Quintile

4
0

10

20

30

40

50

60

70

80

90

100

110

120

130

140

150

160

170

180

190

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

Division of Economic and Risk Analysis

72

F8.7 Traditional ETFs

Size Quintile

4
0

10

11

12

13

14

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

F8.8 Business development companies

Size Quintile

4
0

10

20

30

40

50

60

70

80

90

100

110

Aggregate Exposure as percentage of NAV

Financing
Senior security

Forward
Swap

Future
Written option

Division of Economic and Risk Analysis

73

Figure 9: The distribution of aggregate exposure: number of fund

F9.1 All funds

800
62.04%

737

700

Number of funds

600

500

400

300

200

13.72%

163

7.15%

100

4.63%

55

5.39%

64

85

3.20%

38

1.85%

1.01%

12

22

0.67%

0.34%

150<200

200<300

300<400

>=400

0
=0

0<10

10<25

25<50

50<100

100<150

Aggregate Exposure: Derivatives + Financing + Senior

Alt Strategies ETFs
Alt Strategies mutual funds(Non-index)
Closed-end funds
Traditional mutual funds

Fund_Type

Alt Strategies mutual funds(Index)

Business development companies
Traditional ETFs

F9.2 Alt Strategies mutual funds (Non-index)

28.99%

20

20

20.29%

Number of funds

14

10
11.59%

8.70%

7.25%

5.80%

5.80%

100<150

150<200

5.80%

4.35%

1.45%

0
=0

0<10

10<25

25<50

50<100

200<300

300<400

>=400

Aggregate Exposure: Derivatives + Financing + Senior

Division of Economic and Risk Analysis

74

F9.3 Alt Strategies mutual funds (Index)

33.33%

Number of funds

16.67%

16.67%

8.33%

8.33%

8.33%

8.33%

0
=0

10<25

25<50

50<100

100<150

150<200

200<300

Aggregate Exposure: Derivatives + Financing + Senior

F9.4 Alt Strategies mutual funds (All)

30

29.63%

24

Number of funds

20

18.52%

15

12.35%

10

10

8.64%
7.41%
6.17%

6.17%

4.94%

3.70%
2.47%

0
=0

0<10

10<25

25<50

50<100

100<150

150<200

200<300

300<400

>=400

Aggregate Exposure: Derivatives + Financing + Senior

Fund_Type

Alt Strategies mutual funds(Index)

Alt Strategies mutual funds(Non-index)

Division of Economic and Risk Analysis

75

F9.5 Traditional mutual funds

700
68.63%

617

600

Number of funds

500

400

300

200
15.91%

143

100
5.45%

49

3.67%

2.67%

33

2.22%

24

20

0.56%

0.67%

0.22%

200<300

300<400

0
=0

0<10

10<25

25<50

50<100

100<150

150<200

Aggregate Exposure: Derivatives + Financing + Senior

F9.6 Open-end funds (All)

700
63.98%

627

600

Number of funds

500

400

300

200
14.90%

146

100
5.20%

51

4.90%

48

4.90%

48

2.55%

25

1.33%

1.12%

13

0.71%

200<300

300<400

11

0.41%

0
=0

0<10

10<25

25<50

50<100

100<150

150<200

>=400

Aggregate Exposure: Derivatives + Financing + Senior

Fund_Type

Alt Strategies mutual funds(Index)

Traditional mutual funds

Alt Strategies mutual funds(Non-index)

Division of Economic and Risk Analysis

76

F9.7 Closed-end funds

30
46.55%

27

Number of funds

20

25.86%

15

10
13.79%

8.62%

3.45%

1.72%

0
=0

0<10

10<25

25<50

50<100

100<150

Aggregate Exposure: Derivatives + Financing + Senior

F9.8 Alt Strategies ETFs

40.91%

9
36.36%

Number of funds

3
9.09%

4.55%

4.55%

=0

10<25

4.55%

0
50<100

100<150

150<200

200<300

Aggregate Exposure: Derivatives + Financing + Senior

Division of Economic and Risk Analysis

77

F9.9 Traditional ETFs

83.90%

100

99

90

80

Number of funds

70

60

50

40

30

20
10.17%

12

10
2.54%

0.85%

1.69%

0.85%

10<25

50<100

100<150

300<400

0
=0

0<10

Aggregate Exposure: Derivatives + Financing + Senior

F9.10 ETFs (All)

71.43%

100

100

90

80

Number of funds

70

60

50

40

30

20
8.57%

7.86%

12

11

10
1.43%

6.43%

2.86%

0.71%

0.71%

0
=0

0<10

10<25

50<100

100<150

150<200

200<300

300<400

Aggregate Exposure: Derivatives + Financing + Senior

Fund_Type

Alt Strategies ETFs

Traditional ETFs

Division of Economic and Risk Analysis

78

F9.11 Business development companies

60.00%

Number of funds

20.00%

10.00%

10.00%

0
=0

25<50

50<100

100<150

Aggregate Exposure: Derivatives + Financing + Senior

Division of Economic and Risk Analysis

79

Figure 10: The distribution of aggregate exposure: AUM

F10.1 All funds
AUM(M)
48.11%

794,223

800,000

700,000

600,000

32.73%

540,413
500,000

400,000

300,000

200,000
4.79%

100,000

3.20%

79,034

52,888

4.43%

73,070
1.62%

26,770

1.96%

32,400

0.58%

2.50%

41,252
0.08%

9,649

1,247

0
=0

0<10

10<25

25<50

50<100

100<150

150<200

200<300

300<400

>=400

Aggregate Exposure: Derivatives + Financing + Senior

Alt Strategies ETFs
Alt Strategies mutual funds(Non-index)
Closed-end funds
Traditional mutual funds

Fund_Type

Alt Strategies mutual funds(Index)

Business development companies
Traditional ETFs

F10.2 Alt Strategies mutual funds (Non-index)

AUM(M)
58.36%

30,000

29,252

20,000

10,000
13.06%

6,548

11.39%

5,708

9.00%

4,512

3.65%

1,829
0.65%

324

0.01%

0<10

10<25

0
=0

0.90%

25<50

50<100

454

0.49%

100<150

150<200

2.49%

1,247

248

200<300

300<400

>=400

Aggregate Exposure: Derivatives + Financing + Senior

Division of Economic and Risk Analysis

80

F10.3 Alt Strategies mutual funds (Index)

AUM(M)
110

34.20%

107

100

27.29%

90

86

80

70

20.54%

64

60

50

40
10.31%

32

30
5.85%

18

20

1.79%

10

0.02%

0
=0

10<25

25<50

50<100

100<150

150<200

200<300

Aggregate Exposure: Derivatives + Financing + Senior

F10.4 Alt Strategies mutual funds (All)

AUM(M)
57.99%

30,000

29,252

20,000

10,000
13.19%

6,655

11.33%

5,713

9.12%

4,598

3.69%

1,862
0.64%

324

0.01%

0<10

10<25

0
=0

1.03%

25<50

50<100

518

0.53%

100<150

150<200

2.47%

1,247

266

200<300

300<400

>=400

Aggregate Exposure: Derivatives + Financing + Senior

Fund_Type

Alt Strategies mutual funds(Index)

Alt Strategies mutual funds(Non-index)

Division of Economic and Risk Analysis

81

F10.5 Traditional mutual funds

AUM(M)
700,000

48.30%

667,543

600,000

35.43%

489,651

500,000

400,000

300,000

200,000

100,000
3.72%

51,370

4.38%

3.74%

60,577

51,710

1.71%

23,590

2.01%

0.68%

27,730

0.04%

9,361

558

0
=0

0<10

10<25

25<50

50<100

100<150

150<200

200<300

300<400

Aggregate Exposure: Derivatives + Financing + Senior

F10.6 Open-end funds (All)

AUM(M)
700,000

47.06%

674,198

600,000

34.20%

489,975

500,000

400,000

300,000

200,000

100,000

3.59%

51,375

4.63%

66,291

3.93%

56,308
1.68%

24,108

2.07%

0.67%

29,592

2.08%

29,810

9,627

=0

0<10

10<25

25<50

50<100

100<150

150<200

0.09%

1,247

0
200<300

300<400

>=400

Aggregate Exposure: Derivatives + Financing + Senior

Fund_Type

Alt Strategies mutual funds(Index)

Traditional mutual funds

Alt Strategies mutual funds(Non-index)

Division of Economic and Risk Analysis

82

F10.7 Closed-end funds

AUM(M)
43.01%

11,000

10,718
40.11%

9,997

10,000

9,000

8,000

7,000

6,000

5,000

4,000

3,000

2,000
4.99%

1,244

5.03%

1,252

5.21%

1,298

1,000

1.65%

412

0
=0

0<10

10<25

25<50

50<100

100<150

Aggregate Exposure: Derivatives + Financing + Senior

F10.8 Alt Strategies ETFs

AUM(M)
3,000

64.67%

2,808

2,000

32.83%

1,425

1,000

1.73%
0.11%

=0

75

0.16%

10<25

50<100

0.51%

22

100<150

150<200

200<300

Aggregate Exposure: Derivatives + Financing + Senior

Division of Economic and Risk Analysis

83

F10.9 Traditional ETFs

AUM(M)
65.77%

120,000

118,008

110,000
100,000
90,000
80,000
70,000
60,000
27.41%

49,185

50,000
40,000
30,000
20,000

6.38%

11,442
10,000
0
=0

0<10

0.08%

0.33%

140

586

10<25

50<100

0.03%

62

100<150

300<400

Aggregate Exposure: Derivatives + Financing + Senior

F10.10 ETFs (All)

AUM(M)
64.22%

120,000

118,013

110,000
100,000
90,000
80,000
70,000
60,000
26.77%

49,185

50,000
40,000
30,000
20,000

6.23%

11,442
10,000
0.81%

0.32%

593

1,487

0.01%

2,808

10<25

50<100

100<150

150<200

200<300

215

0
=0

0<10

1.53%

0.12%

22

300<400

Aggregate Exposure: Derivatives + Financing + Senior

Fund_Type

Alt Strategies ETFs

Traditional ETFs

Division of Economic and Risk Analysis

84

F10.11 Business development companies

AUM(M)
6,000
56.03%

5,451

5,000

4,000

3,000

28.23%

2,746

2,000

1,000

7.89%

7.85%

763

768

0
=0

25<50

50<100

100<150

Aggregate Exposure: Derivatives + Financing + Senior

Division of Economic and Risk Analysis

85

Figure 11: The Distribution of gross notional amounts of derivatives: number of funds
F11.1 All funds

900
67.76%

805

800

700

Number of funds

600

500

400

300

200

12.46%

148

5.30%

100

63

3.79%

45

3.96%

47

2.86%

34

1.01%

1.94%

12

23

0.59%

0.34%

150<200

200<300

300<400

>=400

0
=0

0<10

10<25

25<50

50<100

100<150

Gross notional of derivatives

Alt Strategies ETFs
Alt Strategies mutual funds(Non-index)
Closed-end funds
Traditional mutual funds

Fund_Type

Alt Strategies mutual funds(Index)

Business development companies
Traditional ETFs

F11.2 Alt Strategies mutual funds (Non-index)

28.99%

20

20

Number of funds

17.39%

12

10
11.59%

10.14%

5.80%

5.80%

5.80%

100<150

150<200

5.80%

5.80%

300<400

>=400

2.90%

0
=0

0<10

10<25

25<50

50<100

200<300

Gross notional of derivatives

Division of Economic and Risk Analysis

86

F11.3 Alt Strategies mutual funds (Index)

25.00%

16.67%

16.67%

16.67%

Number of funds

8.33%

8.33%

8.33%

0
=0

10<25

25<50

50<100

100<150

150<200

200<300

Gross notional of derivatives

F11.4 Alt Strategies mutual funds (All)

30

27.16%

22

Number of funds

20

18.52%

15

12.35%

10

10

9.88%

7.41%
6.17%

6.17%

4.94%

4.94%

300<400

>=400

2.47%

0
=0

0<10

10<25

25<50

50<100

100<150

150<200

200<300

Gross notional of derivatives

Fund_Type

Alt Strategies mutual funds(Index)

Alt Strategies mutual funds(Non-index)

Division of Economic and Risk Analysis

87

F11.5 Traditional mutual funds

700
71.41%

642

600

Number of funds

500

400

300

200
14.02%

126

100
5.34%

48

3.11%

2.56%

28

2.11%

23

19

0.56%

0.67%

0.22%

200<300

300<400

0
=0

0<10

10<25

25<50

50<100

100<150

150<200

Gross notional of derivatives

F11.6 Open-end funds (All)

700

67.76%

664

600

Number of funds

500

400

300

200
13.06%

128

100

5.41%

53

3.88%

38

3.88%

38

2.45%

24

1.12%

11

1.43%

14

0.61%

0.41%

200<300

300<400

>=400

0
=0

0<10

10<25

25<50

50<100

100<150

150<200

Gross notional of derivatives

Fund_Type

Alt Strategies mutual funds(Index)

Traditional mutual funds

Alt Strategies mutual funds(Non-index)

Division of Economic and Risk Analysis

88

F11.7 Closed-end funds

40

53.45%

31

Number of funds

30

20

10

13.79%

12.07%

12.07%

8.62%

0
=0

0<10

10<25

25<50

50<100

Gross notional of derivatives

F11.8 Alt Strategies ETFs

40.91%

8
31.82%

Number of funds

3
9.09%

9.09%

4.55%

4.55%

0
=0

10<25

50<100

100<150

150<200

200<300

Gross notional of derivatives

Division of Economic and Risk Analysis

89

F11.9 Traditional ETFs

83.90%

100

99

90

80

Number of funds

70

60

50

40

30

20
11.02%

13

10
2.54%

1.69%

0.85%

50<100

100<150

300<400

0
=0

0<10

Gross notional of derivatives

F11.10 ETFs (All)

71.43%

100

100

90

80

Number of funds

70

60

50

40

30

20
9.29%

13

7.14%

6.43%

10

10
1.43%

2.86%

0.71%

0.71%

0
=0

0<10

10<25

50<100

100<150

150<200

200<300

300<400

Gross notional of derivatives

Fund_Type

Alt Strategies ETFs

Traditional ETFs

Division of Economic and Risk Analysis

90

F11.11 Business development companies

100.00%

10

10

Number of funds

0
=0

Gross notional of derivatives

Division of Economic and Risk Analysis

91

Figure 12: The Distribution of gross notional amounts of derivatives: AUM

F12.1 All funds
AUM(M)
900,000

52.97%

874,492

800,000

700,000

600,000
29.47%

486,479

500,000

400,000

300,000

200,000

100,000

3.43%

56,621

3.95%

65,178

3.56%

58,766

2.08%

1.51%

0.58%

24,861

9,649

34,272

2.39%

39,380

=0

0<10

10<25

25<50

50<100

100<150

150<200

0.08%

1,247

0
200<300

300<400

>=400

Gross notional of derivatives

Alt Strategies ETFs
Alt Strategies mutual funds(Non-index)
Closed-end funds
Traditional mutual funds

Fund_Type

Alt Strategies mutual funds(Index)

Business development companies
Traditional ETFs

F12.2 Alt Strategies mutual funds (Non-index)

AUM(M)
30,000
54.62%

27,380

20,000

10,000
15.18%

7,609

7.58%

5.98%

3,798

2,999

7.38%

3,701

5.24%

2,626

2.49%

0.90%

0.13%

63

454

0.49%

100<150

150<200

1,247

248

0
=0

0<10

10<25

25<50

50<100

200<300

300<400

>=400

Gross notional of derivatives

Division of Economic and Risk Analysis

92

F12.3 Alt Strategies mutual funds (Index)

AUM(M)
110

34.20%

107

100

90
25.19%

79

80

70

20.54%

64

60

50

40
10.31%

32

30
5.85%

18

20
3.89%

12

10
0.02%

0
=0

10<25

25<50

50<100

100<150

150<200

200<300

Gross notional of derivatives

F12.4 Alt Strategies mutual funds (All)

AUM(M)
30,000
54.28%

27,380

20,000

10,000
15.30%

7,717

7.55%

5.95%

2,999

3,810

7.40%

3,734

5.36%

2,705

2.47%

1.03%

0.13%

63

518

0.53%

100<150

150<200

1,247

266

0
=0

0<10

10<25

25<50

50<100

200<300

300<400

>=400

Gross notional of derivatives

Fund_Type

Alt Strategies mutual funds(Index)

Alt Strategies mutual funds(Non-index)

Division of Economic and Risk Analysis

93

F12.5 Traditional mutual funds

AUM(M)
800,000
52.81%

729,830
700,000

600,000

500,000
31.44%

434,523
400,000

300,000

200,000

100,000

3.67%

50,692

3.93%

3.77%

54,381

52,151

1.65%

22,863

0.68%

9,361

2.01%

27,730

0.04%

558

0
=0

0<10

10<25

25<50

50<100

100<150

150<200

200<300

300<400

Gross notional of derivatives

F12.6 Open-end funds (All)

AUM(M)
800,000
51.49%

737,547
700,000

600,000

500,000
30.34%

434,587
400,000

300,000

200,000

100,000

3.75%

53,692

4.06%

58,191

3.83%

54,856

2.20%

1.63%

0.67%

23,381

9,627

31,464

1.95%

27,938

=0

0<10

10<25

25<50

50<100

100<150

150<200

0.09%

1,247

0
200<300

300<400

>=400

Gross notional of derivatives

Fund_Type

Alt Strategies mutual funds(Index)

Traditional mutual funds

Alt Strategies mutual funds(Non-index)

Division of Economic and Risk Analysis

94

F12.7 Closed-end funds

AUM(M)
10,000
36.93%

9,204

9,000

8,000
28.03%

6,986

7,000

6,000

5,000

4,000
13.31%

3,317

11.43%

3,000

10.30%

2,847

0<10

10<25

2,567

2,000

1,000

0
=0

25<50

50<100

Gross notional of derivatives

F12.8 Alt Strategies ETFs

AUM(M)
3,000

64.67%

2,808

2,000

32.67%

1,419

1,000

1.88%

0.11%

82

=0

10<25

0.51%

0.16%

22

50<100

100<150

150<200

200<300

Gross notional of derivatives

Division of Economic and Risk Analysis

95

F12.9 Traditional ETFs

AUM(M)
65.77%

120,000

118,008

110,000
100,000
90,000
80,000
70,000
60,000
27.49%

49,325

50,000
40,000
30,000
20,000

6.38%

11,442
10,000
0.33%

0.03%

586

62

0
=0

0<10

50<100

100<150

300<400

Gross notional of derivatives

F12.10 ETFs (All)

AUM(M)
64.22%

120,000

118,013

110,000
100,000
90,000
80,000
70,000
60,000
26.84%

49,325

50,000
40,000
30,000
20,000

6.23%

11,442
10,000
0
=0

0<10

0.81%

1.53%

0.04%

0.32%

82

593

1,480

0.01%

2,808

10<25

50<100

100<150

150<200

200<300

22

300<400

Gross notional of derivatives

Fund_Type

Alt Strategies ETFs

Traditional ETFs

Division of Economic and Risk Analysis

96

F12.11 Business development companies

AUM(M)
10,000

100.00%

9,729

9,000

8,000

7,000

6,000

5,000

4,000

3,000

2,000

1,000

0
=0

Gross notional of derivatives

Division of Economic and Risk Analysis

97