alterlab-hedgefund-monitor

name	alterlab-hedgefund-monitor
description	Queries the OFR (Office of Financial Research) Hedge Fund Monitor API for time series on hedge fund size, leverage, counterparties, liquidity, complexity, and risk management, including SEC Form PF aggregated statistics, CFTC Traders in Financial Futures, FICC Sponsored Repo volumes, and FRB SCOOS dealer financing terms (no API key or registration required). Use when working with hedge fund data, systemic risk monitoring, financial stability research, hedge fund leverage or leverage ratios, counterparty concentration, Form PF statistics, repo market data, or OFR financial research data. Part of the AlterLab Academic Skills suite.
license	MIT
allowed-tools	Read WebFetch Bash(curl:*) Bash(python:*)
compatibility	No API key or registration required. Queries the open OFR Hedge Fund Monitor REST API; needs network access.
metadata	{"skill-author":"AlterLab","version":"1.1.0"}

OFR Hedge Fund Monitor API

Free, open REST API from the U.S. Office of Financial Research (OFR) providing aggregated hedge fund time series data. No API key or registration required.

Base URL: https://data.financialresearch.gov/hf/v1

Quick Start

import requests
import pandas as pd

BASE = "https://data.financialresearch.gov/hf/v1"

# List all available datasets
resp = requests.get(f"{BASE}/series/dataset")
datasets = resp.json()
# Returns: {"ficc": {...}, "fpf": {...}, "scoos": {...}, "tff": {...}}

# Search for series by keyword
resp = requests.get(f"{BASE}/metadata/search", params={"query": "*leverage*"})
results = resp.json()
# Each result: {mnemonic, dataset, field, value, type}

# Fetch a single time series
resp = requests.get(f"{BASE}/series/timeseries", params={
    "mnemonic": "FPF-STRATEGY_EQUITY_LEVERAGERATIO_GAVWMEAN",
    "start_date": "2015-01-01"
})
series = resp.json()  # [[date, value], ...]
df = pd.DataFrame(series, columns=["date", "value"])
df["date"] = pd.to_datetime(df["date"])

Mnemonics are exact — guessing fails. The API rejects unknown identifiers with a plain Invalid mnemonic string (HTTP 200, not JSON). Always discover real mnemonics via /metadata/search or /metadata/mnemonics before requesting data. Note in particular that there is no FPF-ALLQHF_LEVERAGERATIO_* series: aggregate leverage is published per gross-asset cohort (see below), while the GAVWMEAN/NAVWMEAN asset-weighted leverage means exist only at the strategy level.

Authentication

None required. The API is fully open and free.

Datasets

Key	Dataset	Update Frequency
fpf	SEC Form PF — aggregated stats from qualifying hedge fund filings	Quarterly
tff	CFTC Traders in Financial Futures — futures market positioning	Monthly
scoos	FRB Senior Credit Officer Opinion Survey on Dealer Financing Terms	Quarterly
ficc	FICC Sponsored Repo Service Volumes	Daily

The /series/dataset index returns long_name: "FormPF" for every dataset (an upstream API label quirk); the real source names are above. Confirm a series' true cadence via schedule/observation_frequency in its metadata.

Data Categories

The HFM organizes data into six categories (each downloadable as CSV):

• size — Hedge fund industry size (AUM, count of funds, net/gross assets)
• leverage — Leverage ratios, borrowing, gross notional exposure
• counterparties — Counterparty concentration, prime broker lending
• liquidity — Financing maturity, investor redemption terms, portfolio liquidity
• complexity — Open positions, strategy distribution, asset class exposure
• risk_management — Stress test results (CDS, equity, rates, FX scenarios)

Core Endpoints

Metadata

Endpoint	Path	Description
List mnemonics	GET /metadata/mnemonics	All series identifiers
Query series info	GET /metadata/query?mnemonic=	Full metadata for one series
Search series	GET /metadata/search?query=	Text search with wildcards (*, ?)

Series Data

Endpoint	Path	Description
Single timeseries	GET /series/timeseries?mnemonic=	Date/value pairs for one series
Full single	GET /series/full?mnemonic=	Data + metadata for one series
Multi full	GET /series/multifull?mnemonics=A,B	Data + metadata for multiple series
Dataset	GET /series/dataset?dataset=fpf	All series in a dataset
Category CSV	GET /categories?category=leverage	CSV download for a category
Spread	GET /calc/spread?x=MNE1&y=MNE2	Difference between two series

Common Parameters

Parameter	Description	Example
start_date	Start date YYYY-MM-DD	2020-01-01
end_date	End date YYYY-MM-DD	2024-12-31
periodicity	Resample frequency	Q, M, A, D, W
how	Aggregation method	last (default), first, mean, median, sum
remove_nulls	Drop null values	true
time_format	Date format	date (YYYY-MM-DD) or ms (epoch ms)

Key FPF Mnemonic Patterns

Mnemonics follow the pattern FPF-{SCOPE}_{METRIC}_{STAT}:

• Scope: ALLQHF (all qualifying hedge funds), or a strategy such as STRATEGY_CREDIT, STRATEGY_EQUITY, STRATEGY_MACRO, STRATEGY_RV (relative value), STRATEGY_FUTURES, etc. ALLQHF leverage/cash metrics carry a gross-asset cohort segment: GAVN10 (10 largest funds), GAVN11TO50, GAVN51 (rest).
• Metrics: GAV (gross assets), NAV (net assets), GNE (gross notional exposure), LEVERAGERATIO, CASHRATIO, COUNT, plus stress-test scenarios (CDSUP250BPS, etc.)
• Stats: SUM, AVERAGE (equal-weighted, used for ALLQHF cohorts), GAVWMEAN/NAVWMEAN (asset-weighted, strategy-level only), P5, P50, P95, PCTCHANGE

# Verified series examples (all return data as of 2026)
mnemonics = [
    "FPF-ALLQHF_GAVN10_LEVERAGERATIO_AVERAGE",    # 10 largest funds: leverage (equal-weighted)
    "FPF-STRATEGY_EQUITY_LEVERAGERATIO_GAVWMEAN", # Equity strategy: leverage (GAV-weighted)
    "FPF-ALLQHF_GAV_SUM",                         # All funds: gross assets (total $)
    "FPF-ALLQHF_NAV_SUM",                         # All funds: net assets (total $)
    "FPF-ALLQHF_GNE_SUM",                         # All funds: gross notional exposure
    "FICC-SPONSORED_REPO_VOL",                    # FICC: sponsored repo volume (daily)
]

Reference Files

• references/api-overview.md — Base URL, versioning, protocols, response format
• references/endpoints-metadata.md — Mnemonics, query, and search endpoints with full parameter details
• references/endpoints-series-data.md — Timeseries, spread, and full data endpoints
• references/endpoints-combined.md — Full, multifull, dataset, and category endpoints
• references/datasets.md — Dataset descriptions (fpf, tff, scoos, ficc) and dataset-specific notes
• references/parameters.md — Complete parameter reference with periodicity codes, how values
• references/examples.md — Python examples: discovery, bulk download, spread analysis, DataFrame workflows