AIFMD Annex IV Reporting

The Commission by the European Securities and Markets Authority ("ESMA") has adopted the Alternative Investment Fund Managers Directive (AIFMD) for Transparency Reporting.

StatPro Revolution Alpha provides AIFMD Annex IV risk reporting in addition to our full risk transparency platform. The Revolution Alpha service delivers the following Annex IV report data:

  • Portfolio concentration: by investment strategy, principal markets/instruments, value and turnover
  • Risk measures, liquidity and leverage of the AIF
  • Exposure, Leverage and Value-at-Risk
  • Vega, Net FX Delta, and Commodity Delta, DV01 and CS01 (both by maturity bucket)
  • Various Stresses such as: Yield Curve Stresses, Credit Stresses, Equity Stresses, Commodity Stresses, Currency Stresses and Implied Volatility Stresses

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Read the latest News: Investor Analytics Addresses Recent Updates To AIFMD Risk Reporting - Regulators Clarify that Hedge Funds are Required to Submit Detailed Risk Information

Portfolio concentration: by investment strategy, principal markets/instruments, value and turnover;
Risk measures, liquidity and leverage of the AIF;
Exposure, Leverage and Value-at-Risk;
Vega, Net FX Delta, and Commodity Delta, DV01 and CS01 (both by maturity bucket);
Various Stresses such as: Yield Curve Stresses, Credit Stresses, Equity Stresses, Commodity Stresses, Currency Stresses and Implied Volatility Stresses
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