Multi-strategy hedge funds combine several trading approaches inside one portfolio, so their statistics are best read across multiple measures. The figures below cover quarterly Form PF measures from 2022Q1 through 2024Q1, plus selected performance and asset data from Aurum and HFR. The Form PF figures refer to qualifying hedge funds, while the older HFR and Aurum figures use their own stated peer groups and periods.
Table of contents
- Key multi-strategy hedge fund figures
- Derivatives and balance-sheet scale
- Gross asset value relative to NAV
- Notional exposure and cash
- Central clearing and risk tools
- Returns, rankings, and AUM growth
- Multi-strategy assets in the wider hedge fund market
Key multi-strategy hedge fund figures
The most recent quarterly Form PF observation in this set is 2024Q1. In that quarter, the NAV-weighted average ratio of gross asset value (GAV) to net asset value (NAV) was 4.3x. The NAV-weighted average gross notional exposure-to-NAV ratio was 16.5%, and the NAV-weighted average unencumbered cash share was 1.9%. These figures describe portfolio and balance-sheet characteristics rather than investor returns.
The same quarter included 3,441 in aggregate derivatives for multi-strategy qualifying hedge funds. Separately, 13.9% of qualifying hedge funds used central clearing. Risk-tool reporting counted 524 funds using both stress testing and VaR, 432 using stress testing but not VaR, 72 using VaR but not stress testing, and 1,059 using neither tool. These counts are reported for 2024Q1 in the SEC 2024 Annual Staff Report Relating to the Use of Form PF Data.
For performance context, Aurum’s multi-strategy deep dive reported a 17.91% peer-group net return over 12 months, compared with 12.61% for the broader hedge fund composite over the same period. The same source reported $53.1 billion of multi-strategy AUM growth, including $42.5 billion attributed to performance. Because the source uses a particular peer group and evaluation period, these results should not be treated as a universal return for every multi-strategy fund.
Derivatives and balance-sheet scale
The Form PF series shows quarterly variation in aggregate derivatives rather than a steady upward path. The reported values were 3,202 in 2022Q1, 3,301 in 2022Q2, 2,774 in 2022Q3, and 3,241 in 2022Q4. In 2023, the corresponding figures were 3,307 in Q1, 3,242 in Q2, 3,471 in Q3, and 2,328 in Q4. The series then rose to 3,441 in 2024Q1.
| Measurement period | Aggregate derivatives | GAV-to-NAV ratio | Gross notional exposure-to-NAV |
|---|---|---|---|
| 2022Q1 | 3,202 | 3.1x | 14.9% |
| 2022Q2 | 3,301 | 3.0x | 13.2% |
| 2022Q3 | 2,774 | 2.9x | 11.0% |
| 2022Q4 | 3,241 | 3.5x | 14.0% |
| 2023Q1 | 3,307 | 3.6x | 14.1% |
| 2023Q2 | 3,242 | 3.9x | 14.8% |
| 2023Q3 | 3,471 | 4.0x | 15.6% |
| 2023Q4 | 2,328 | 3.9x | 14.1% |
| 2024Q1 | 3,441 | 4.3x | 16.5% |
The lowest reported aggregate-derivatives figure was 2,328 in 2023Q4, while the highest was 3,471 in 2023Q3. The source does not provide a definition in the supplied figures that would support treating this count as a notional dollar amount. It is therefore presented as the source reports it, without converting it into assets, exposure, or leverage.
Source: SEC 2024 Annual Staff Report Relating to the Use of Form PF Data. The supplied research is legacy research and was not independently verified here.
Gross asset value relative to NAV
The NAV-weighted average GAV-to-NAV ratio moved from 3.1x in 2022Q1 to 3.0x in 2022Q2 and 2.9x in 2022Q3. It then increased to 3.5x in 2022Q4. During 2023, the ratio was 3.6x in Q1, 3.9x in Q2, 4.0x in Q3, and 3.9x in Q4. It reached 4.3x in 2024Q1.
This progression places the 2024Q1 ratio above every earlier observation in the supplied series. The measure is an average weighted by NAV, so it should not be interpreted as the ratio of every fund or as a median fund-level result. It also describes gross asset value relative to NAV; it is not the same measure as the gross notional exposure-to-NAV ratio shown in the Form PF series.
For readers comparing quarters, the period from 2022Q3 to 2023Q3 is particularly notable in the supplied observations: the ratio rose from 2.9x to 4.0x. By 2024Q1, it was 4.3x. The dataset does not state which instruments or financing decisions drove each quarterly change, so no causal explanation is assigned to the movement.
Source: SEC 2024 Annual Staff Report Relating to the Use of Form PF Data. The figures retain the original quarterly measurement dates.
Notional exposure and cash
The NAV-weighted average gross notional exposure-to-NAV ratio was 14.9% in 2022Q1. It declined to 13.2% in 2022Q2 and 11.0% in 2022Q3, then rose to 14.0% in 2022Q4. The 2023 readings were 14.1% in Q1, 14.8% in Q2, 15.6% in Q3, and 14.1% in Q4. The measure reached 16.5% in 2024Q1, the highest observation in the provided series.
Unencumbered cash shares were comparatively narrow across the same periods. The NAV-weighted average was 1.5% in 2022Q1, 1.9% in Q2, 1.6% in Q3, and 1.5% in Q4. In 2023, it was 1.6% in Q1, 1.5% in Q2, 1.7% in Q3, and 1.5% in Q4. The 2024Q1 reading was 1.9%.
The two measures describe different portfolio characteristics. Gross notional exposure-to-NAV reached 16.5% in 2024Q1, while unencumbered cash was 1.9% in that quarter. A small cash-share reading should not be used by itself to infer a fund’s liquidity profile, because the supplied figures do not include the full composition, maturity, financing, or redemption terms of each portfolio.
Source: SEC 2024 Annual Staff Report Relating to the Use of Form PF Data.
Central clearing and risk tools
The share of qualifying hedge funds using central clearing was 15.9% in 2022Q1. It fell to 14.2% in Q2, 13.5% in Q3, and 12.9% in Q4. In 2023, the reported shares were 12.8% in Q1, 14.0% in Q2, 14.1% in Q3, and 13.8% in Q4. The figure was 13.9% in 2024Q1.
| 2024Q1 risk-management practice | Number of qualifying hedge funds |
|---|---|
| Stress testing and VaR | 524 |
| Stress testing, but not VaR | 432 |
| VaR, but not stress testing | 72 |
| Neither stress testing nor VaR | 1,059 |
The 2024Q1 risk-tool counts distinguish combined use from use of only one tool. They also show that the largest reported group used neither stress testing nor VaR, with 1,059 funds. The source does not provide enough information here to determine whether a fund used other risk methods, how frequently tests were run, or how results affected portfolio decisions.
Source: SEC 2024 Annual Staff Report Relating to the Use of Form PF Data. Central-clearing percentages and risk-tool counts cover the qualifying-fund population described by that source.
Returns, rankings, and AUM growth
The Aurum multi-strategy deep dive reported a 12-month net return of 17.91% for its peer group. Over the same 12 months, the broader hedge fund composite returned 12.61%. Aurum also reported multi-strategy AUM growth of $53.1 billion, with $42.5 billion of that growth coming from performance.
The peer group ranked third over one year, first over three years, and first over ten years. Aurum reported compound returns of 17.9% over one year, 9.2% over three years, and 7.5% over ten years. The supplied figures include both the 17.91% 12-month net-return measure and the rounded 17.9% one-year compound-return figure; they are retained as separately reported values rather than combined or recalculated.
These rankings are period-specific. A first-place ranking over three or ten years does not establish that every multi-strategy fund outperformed every other hedge fund strategy, and the peer group’s result is not a forecast. The AUM-growth breakdown also attributes $42.5 billion to performance, but the supplied material does not identify the remaining components of the $53.1 billion increase.
Source: Aurum multi-strategy deep dive. The supplied source label and reported periods are preserved; the legacy research was not independently verified.
Multi-strategy assets in the wider hedge fund market
HFR reported that relative-value multi-strategy capital reached $495 billion in 1Q19. In the same HFR report, large credit multi-strategy led strategy inflows with $2.5 billion and posted a quarterly asset gain of $7.8 billion. Total relative-value strategy assets reached $850 billion.
HFR also reported total global hedge fund assets of $3.18 trillion in 1Q19 and a $78.8 billion increase in hedge fund capital during that quarter. These figures provide an older market-wide context for the $495 billion relative-value multi-strategy capital figure, but they should not be compared as if they were measured in the same period as the 2022Q1–2024Q1 Form PF observations or the Aurum return periods.
The HFR figures also use a different label and scope from the SEC Form PF measures. “RV: Multi-Strategy” and “large credit multi-strategy” are reported as HFR strategy classifications, while the SEC figures refer to qualifying hedge funds and specific portfolio or risk measures. The distinction matters when using these statistics to describe market size, performance, or risk practices.
Source: HFR, “Hedge Fund Assets Surge on HFRI 1Q Performance Gains.” The HFR observations refer to 1Q19, and the supplied research identifies them as legacy research that was not independently verified.