AI Hedge Fund SEC Probe & Exposure Diagnostic

Forensic Parameters

Stress Scenario Regime

Gross Leverage Ratio 3.4x

Top Holding Concentration 68%

Forced Liquidity Horizon 3 Days

Form ADV Disclosure Discrepancies

Omission of AI model drift safeguards in Form ADV Unregistered high-frequency cross-venue execution logic Failure to disclose concentrated founder liquidity lockups

Counterfactual Risk Guardrails

Dynamic Macro Tail-Risk Put Overlay (+$1.4B Protection) Algorithmic Execution Circuit Breaker (Max 15% Slip Cap)

Institutional Stress Engine Outputs AUM: $4,200M

NAV Drawdown

-41.8%

Post-Shock NAV: $2,444M

Fire-Sale Slippage

$684.2M

Market Impact Deficit

Prime Margin Status

MARGIN BREACH

Collateral Call: $520M Required

Required Macro Hedge

$1,428M

Tail-Risk Neutralization Notional

Liquidation Capital Waterfall Post-Stress Retained Capital: 58.2%

■ Preserved Equity ■ Liquidation Loss + Slippage

SEC Enforcement & Statutory Inquiry Matrix