Annex IV Reporting The Alternative Investment Fund Managers’ Directive or AIFMD as it is more commonly known, is a measure drawn up by the European commission after the 2008 financial crisis to aid regulation of financial services. The European Union’s...
Expected Shortfall (or Conditional VaR or CVar) Expected Shortfall is defined as the average of all losses which are greater or equal than VaR, i.e. the average loss in the worst (1-p)% cases, where p is the confidence level. Said differently, it gives the expected...
Contribution to Potential Upside (or Component Potential Gain) The amount the segment contributes in percentage to the Potential Upside of the total portfolio. Other UCITS related termsVaR approachUnsystematic RiskUndertakings for the Collective Investment of...
VaR approach The VaR approach is a measure of the maximum potential loss due to the market risk, rather than leverage, taking into the account given confidence level (probability) and specific time period. Other UCITS related termsVaR approachUnsystematic...
SRRI (Synthetic Risk & Reward Indicator) Synthetic Risk and Reward Indicator (SRRI) is a component of the Key Investor Information Document. SRRI illustrates a fund’s risk and reward profile through an integer number between 1 and 7. The European Securities and...
