Citadel Told the SEC Nobody Else Values Its $1.09 Trillion. Millennium Told the SEC Everybody Else Values Its $687 Billion.

Millennium answers 100% on $687.7 billion. D. E. Shaw, Elliott, and Farallon answer the identical way Citadel does, on 111 funds combined, with zero exceptions.

Citadel, D. E. Shaw, Elliott, and Farallon each answer the SEC’s independent valuation question zero percent on every private fund they report, three years after SEC staff said the correct answer for their exact fact pattern is 100 percent.

Every SEC-registered adviser to a private fund answers the same question every year: what share of the fund’s assets, by value, was priced by somebody who isn’t you. I pulled the current Form ADV for eighteen of the largest multi-strategy and quantitative managers in the business and read every answer myself, fund by fund. As far as I can tell, nobody has ever tabulated them. What I found is a split so clean it worried me at first. Fourteen houses run overwhelmingly at 97 to 100 percent, real exceptions included. Four cluster at exactly 0, on every fund they report, with no exceptions at all. And the SEC’s own staff has already told the industry, in writing, which of those two answers this fact pattern is supposed to produce.