White Papers

Navigating the SEC’s New Rule 13f-2 and Its Impact on Short-Selling Compliance
The SEC’s adoption of Rule 13f-2 marks a significant shift in the way institutional investment managers must report short-selling activities.

Updates to Form PF: Sections 1 and 2
The SEC’s latest changes to Form PF are here, and they’re shaking things up in a major way for US private fund advisors.

ESG Sustainability Stress Testing
The integration of climate risk (or more generally sustainability risk) stress testing into long-term business strategy and governance is key, as it will incorporate sustainability assessments into the risk appetite framework of institutions.

Multi-Period Contribution Analysis
Download our latest whitepaper which demonstrates through worked examples how, why and where totals’ reconciliation differences can arise multi-period. Authored by Ian Thompson, PhD., Chief Performance Advisor, StatPro and Paul Giles, Owner, Teachins.

Market Liquidity Risk: A Scenario Based Approach
Dario Cintioli, Managing Director, explains the Confluence approach for measuring liquidity risk. The traditional problem of liquidity risk is that the data needed for calibrating these models is only available for liquid instruments, trading on a regular basis and for which books of bid/ask and volumes are available.

Fixed Income Methodology
Confluence uses a number of external sources for bond prices, foreign exchange and curves, including the trading desks of major investment dealers and banks. The Confluence dealer network represents the top professionals in their respective sectors.

Equity Attribution
Equity attribution quantifies the relationship between a portfolio’s excess return and the active decisions of the portfolio manager. It is an important measure to provide feedback to portfolio managers, senior management and in turn clients, on why the portfolio either outperformed or underperformed the benchmark.

Crisis Alpha
‘Irrational exuberance’ was used to describe equity markets in Dec 1996, a full three and a half years before peaking and bursting. The past nine years have seen a staggering compounded annual growth of 17% – exuberance, indeed. We now have overvalued equities, low-yields, low inflation and remarkably low volatility. Where can an investor find protection in such an environment?

Abnormal Returns Part 2
This whitepaper was originally published in the most recent volume of the Journal of Performance Measurement and was written by Carl Bacon, CIPM, Chief Advisor, Ian Thompson, Ph.D., Chief Performance Advisor , and Pierre van der Westhuizen, Head of Performance at...

Abnormal Returns Part 1
Abnormal Returns’ are defined here as a return that appears to misrepresent the true economic performance of the asset being measured. Considerable time and effort may need to be expended in providing adjustments, workarounds and/or explanation to the recipients of the performance results, adding to the performance data management overhead within investment management firms.