Form Pf - Reporting Form For Investment Advisers To Private Funds And Certain Commodity Pool Operators And Commodity Trading Advisors Page 35
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64Page 24 of 43
Form PF
Information about qualifying hedge funds that you advise
(to be completed by large private fund advisers only)
Section 2b
factor is not relevant to the reporting fund’s portfolio or the box in the second column
indicating that this market factor is relevant but not formally tested. For this purpose,
“formal testing” means that the adviser has models or other systems capable of simulating
the effect of a market factor on the fund's portfolio, not that the specific assumptions outlined
in the question were used in testing.)
(For each market factor, separate the effect on your portfolio into long and short components
where (i) the long component represents the aggregate result of all positions whose valuation
changes in the same direction as the market factor under a given stress scenario and (ii) the
short component represents the aggregate result of all positions whose valuation changes in
the opposite direction from the market factor under a given stress scenario.)
(Assume that changes in a market factor occur instantaneously and that all other factors are
held constant. If the specified change in any market factor would make that factor less than
zero, use zero instead.)
(Please note the following regarding the market factors identified below:
(i) A change in “equity prices” means that the prices of all equities move up or down by the
specified amount, without regard to whether the equities are listed on any exchange or
included in any index;
(ii) “Risk free interest rates” means rates of interest accruing on sovereign bonds issued by
governments having the highest credit quality, such as U.S. treasury securities;
(iii) A change in “credit spreads” means that all spreads against risk free interest rates
change by the specified amount;
(iv) A change in “currency rates” means that the values of all currencies move up or down by
the specified amount relative to the reporting fund’s base currency;
(v) A change in “commodity prices” means that the prices of all physical commodities move
up or down by the specified amount;
(vi) A change in “option implied volatilities” means that the implied volatilities of all the
options that the reporting fund holds increase or decrease by the specified number of
percentage points; and
(vii) A change in “default rates” means that the rate at which debtors default on all
instruments of the specified type increases or decreases by the specified number of percentage
points.)
Effect on
Effect on
long
short
components
components
of portfolio
of portfolio
(as % of
(as % of
Market factor – changes in market factor
NAV)
NAV)
Equity prices:
Equity prices increase 5% .........................................
Equity prices decrease 5% ........................................
Equity prices increase 20% .......................................
Equity prices decrease 20% ......................................
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