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FAIR VALUE INFORMATION SERVICE WHITE PAPER ARCHIVE
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- White Paper #13 — What trigger levels are other funds using? (August 2007): This paper utilizes public NAV data from 166 international funds, and uses the concept of “trigger levels” to estimate how often fair value practices were employed by each of these funds over a 3-year period.
- White Paper #12 — Calculating NAVs with Bid Prices; Implications of a New Process (October 2006): This paper considers the guidance set forth in Section 3855 of the Canadian Institute of Chartered Accountants Handbook, and examines the implications of using bid prices to calculate NAVs.
- White Paper #11 — Holiday Arbitrage; Exposing the Risks of Stale Prices with Public NAV Data (September 2005): This paper discusses the risks, for European-domiciled funds holding non-European securities, of using local closing prices in NAVs during market holidays.
- White Paper #10 — Using NAV to Measure the Effectiveness of Fair Value Methodologies (March 2005): This paper argues that funds should also consider monitoring the effectiveness of their fair value methodology by measuring changes in their NAVs.
- White Paper #9 — Is Fair Value Needed for Small Caps (November 2004): In light of the arbitrage opportunity in international funds, a naturally ensuing question is: are mutual funds investing in other asset classes also susceptible to arbitrage?
- White Paper #8 — Characteristics of Estimates from a Fair Value Methodology; Comparing Alternative Models (March 2004): This paper discusses the characteristics of a properly constructed fair value methodology, outlines tests that measure them, and applies those tests to the results from the FT Interactive Data Information Service model.
- White Paper #7 — What Constitutes a “Significant Event”? (October 2003): A discussion of the various means funds use to identify the occurrence of a “significant event,” including a discussion of the effects of various thresholds used to trigger a fund’s fair value pricing methodology and the resulting impact on market timers.
- White Paper #6 — Systematic Fair Value: Choosing Among the Available Aids (March 2003): A discussion of alternative fair value methodologies, including the relative performance of various models as applied to a hypothetical portfolio of the largest European and Asian equity securities.
- White Paper #5 — Testing Fair Value Prices (June 2002): A discussion to assist firms in meeting their fair value methodology testing requirements. As an example, FT Interactive Data applied three statistical tests to its Fair Value Information Service evaluations. This white paper explains these tests by applying them to a hypothetical portfolio.
- White Paper #4 — Pinpointing a “Significant Event”; Volatility Events Far Exceed Natural Disasters and Government Actions (January 2002): A review of the types of events that might constitute “significant events” requiring a fund to use its fair value pricing methodology.
- White Paper #3 — Arbitrage Opportunities Do Not Exist in Liquid Markets (November 2001): A white paper discussing whether arbitrage opportunities exist in liquid markets.
- White Paper #2 — Fair Value Controversy, Top-Down versus Bottom-Up (October 2001): A discussion on the merits of valuing individual securities as compared against valuing groups of securities. The analysis used as an example 50 randomly selected international equities.
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