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䓉䄖㎕䓵➺➺⭥㵗㧌
CopyRight 2009By GFEDU
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Table of Content
Preface: background of the GIPs standards I.
Introduction
A. Preamble –Why Is a Global Standard Needed?
B. Vision Statement
C. Objectives
D. Overview
E. Scope
F. Compliance
G. Implementing a Global Standard
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䓉䄖㎕䓵➺➺⭥㵗㧌CopyRight 2009By GFEDU
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II.
Provisions of the global investment performance standard 0. Fundamentals of compliance 1. Input data
2. Calculation methodology
3. Composite construction
4. Disclosures
5. Prentation and reporting
6. Real estate
7. Private equity
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III.
Verification
A. Scope and purpo of verification
B. Required verification procedures
C. Detailed examinations of investment performance prentations
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䓉䄖㎕䓵➺➺⭥㵗㧌CopyRight 2009By GFEDU
The Creation and Evolution of the GIPS Standards What is GIPS---¾GIPS contains ethical and professional standards for the prentation of investment performance results ¾GIPS are a voluntary t of standards
¾Benefits to Prospective Clients and Managers
¾The ability to make a comparison of performance by firms operating in different countries with different ts of established practices
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䓉䄖㎕䓵➺➺⭥㵗㧌CopyRight 2009By GFEDU
GIPS Objectives
GIPS Objectives
•To obtain worldwide acceptance of a standard of the calculation and prentation of investment performance in a fair ,comparable format that provides full disclosure
•To ensure accurate and consistent investment performance data for reporting, record keeping, marketing, and prentations
•To promote fair, global competition among investment management firms for all markets without creating barriers to entry for new investment management firms
•To foster the notion of industry “lf-regulation”on a global basis
GIPS Characteristics GIPS Characteristics
第一点
•The GIPS are ethical standards for investment performance prentation to ensure fair reprentation and full disclosure of an investment firm’s performance history
•The GIPS exist as a minimum world wide standard where local or country-specific laws, regulation, or industry standards may not exist for investment performance measurement and / or prentation
•The GIPS require managers to include all actual fee-paying, discretionary portfolios in composites defined according to similar strategy and/or investment objective, and require firms to show GIPS-compliant history for a minimum of five years , or since inception of the firm or composite if in existence less than five years
•After prenting at least five years of compliant history, the firm must add annual performance each year going forward up to ten years, at a minimum
GIPS Characteristics
GIPS Characteristics
•The GIPS require firm to u certain calculation and prentation methods and to make certain disclosures along with the performance record
•The GIPS rely on the integrity and accuracy of input data •The GIPS consist of requirements and recommendations. Firms must follow requirements in order to claim compliance, and are encouraged to follow recommendations
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䓉䄖㎕䓵➺➺⭥㵗㧌CopyRight 2009By GFEDU
GIPS Characteristics GIPS Characteristics
•The GIPS must be applied with the goal of full disclosure and fair reprentation of investment performance. This may involve compliance with more than just the minimum requirements of the GIPS, including the disclosure of supplemental information, especially in situations not explicitly covered by the standards •In cas in which applicable local or country-specific laws or regulations conflict with the GIPS, the standards require firms to comply with the local law or regulation and make full disclosure of the conflict
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䓉䄖㎕䓵➺➺⭥㵗㧌CopyRight 2009By GFEDU
GIPS Characteristics
GIPS Characteristics
•The GIPS are not a complete t of rules for performance calculation and prentation, and will evolve over
•Within the GIPS are supplemental real estate and private equity provisions that must be applied to the ast class
¾The GIPS must be applied on a firm wide basis in order for a firm to claim compliance ¾ A firm must state how it defines itlf as a firm when claiming compliance with GIPS ¾ A firm is defined as “an investment firm, subsidiary, or division held out to clients or potential
clients as a distinct business entity ¾The definition of the firm establishes the boundaries for what constitutes firm asts and the t
of portfolios that must be included in at least one composite
GIPS Characteristics
¾The only acceptable wording for the compliance statement under GIPS is “˄name of firm) has
prepared and prented this report in compliance with the Global Investment Performance Standards (GIPS)”. No partial compliance, or compliance except for is permissible
¾The ven categories of the GIPS are: input data, calculation methodology, composite construction, disclosures,
prentation and reporting, real estate, and private equity
¾Input data establishes the foundation for full, fair and comparable investment performance
prentations
•All reported performance records must be captured and maintained •Portfolio values must be bad on market values
•Monthly valuation is required. Quarterly valuation is acceptable for periods prior to Jan 1, 2001, but from Jan 1, 2010 valuation will be required on the date of all large external cash flows
•Trade date, not ttlement date, accounting must be ud for all periods after Jan 1, 2005•Accrual accounting must be ud for all asts that accrue interest income
Input Data
Input data establishes the foundation for full, fair and comparable investment performance prentations
•All reported performance records must be captured and maintained •Portfolio values must be bad on market values
•Monthly valuation is required. Quarterly valuation is acceptable for periods prior to Jan 1, 2001, but from Jan 1, 2010 valuation will be required on the date of all large external cash flows
•Trade date, not ttlement date, accounting must be ud for all periods after Jan 1, 2005
•Accrual accounting must be ud for all asts that accrue interest income
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䓉䄖㎕䓵➺➺⭥㵗㧌CopyRight 2009By GFEDU
什么其谈Calculation Methodology
Calculation methodology requirements are intended to assure comparability among investment management firms’performance prentations
¾Total return , including realized and unrealized gains plus income must be ud
¾Time-weighted rates of return that adjust for cash flows must be ud, and periodic returns must
be geometrically linked ¾Composite returns must be ast weighted using beginning-of-period weightings or another
method that reflects both beginning market value and external cash flows
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䓉䄖㎕䓵➺➺⭥㵗㧌CopyRight 2009By GFEDU
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Calculation Methodology
¾Cash and cash equivalent returns must be included in portfolio’s total-return calculations ¾Performance must be calculated net of all trading expens , but no estimates may be ud. If吊马子
bundled fees are charged, the component of the fee that contains trading expens must be deducted.
¾If performance is being shown net of management fees then the components of the bundled fee
that contains trading expens and management fees must be deducted
¾From Jan 1, 2006 firms must calculate composite returns by ast weighting the individual
portfolio returns at least quarterly. For periods beginning Jan 1, 2010, this must be at least monthly
Composite Construction
Composites are the aggregation of portfolios that follow similar strategy and/or investment objective
¾All actual, fee-paying, discretionary portfolios must be included in at least one composite. Non-fee-paying discretionary portfolios may also be included, but not nondiscretionary portfolios. Discretion is defined as the ability of the firm to implement its intended strategy ¾Unless mandated by the client, composites must include new portfolios as soon as practical on a
consistent basis ¾Terminated portfolios must be included in the historical record of the appropriate composites up to
the last full measurement period
Composite Construction
¾Unless client guidelines are changed, or composites are redefined, portfolios must not be moved
between composites
设备制造厂¾Convertible and other hybrid curities must be treated consistently across time and within
composites
¾A carve-out is a sub-t of a portfolio’s asts ud to reflect the performance of a specific ast class
within the portfolio. If a carve-out is to be included in the return calculations of a composite,then cash must be allocated to the portfolio’s carve-outs appropriately
¾Composites must include only ast under management and may not link simulated or model
portfolios with actual performance
¾No portfolio below a minimum ast level may be included in a composite that specifies such a limit.
Changes to the minimum may be applied prospectively, but not retrospectively
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䓉䄖㎕䓵➺➺⭥㵗㧌CopyRight 2009By GFEDU
Disclosure Requirements
Disclosure provide clarification to the raw numbers provided in performance prentations. Firms must disclo the following items
¾How the firm defines itlf for the purpo of measuring total firm asts and establishing firm-wide compliance
¾The availability of a complete list and description of all of the firm’s composites ¾The minimum ast level for a portfolio’s inclusion in a composite ¾The currency ud to express performance
¾The prence, u, and extent of leverage or derivatives, with enough detail to identify risks
adequately
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䓉䄖㎕䓵➺➺⭥㵗㧌CopyRight 2009By GFEDU
Disclosure Requirements
¾Whether performance results are calculated gross or net of investment management fees and
other client paid fees
¾Details of the treatment of withholding tax on dividends, interest income, and capital gains, and
the tax basis of the composite versus indexes/benchmarks that are net of taxes
¾Any known inconsistencies between the composite’s and benchmark’s exchange rate sources ¾Any conflicts between local laws and regulations and the GIPS requirements
¾For pre-2000 non-compliance reported performance, the period of non-compliance and how the
prentation is not compliant
Disclosure Requirements
¾The cash allocation method for carve-out returns ¾The fee schedule appropriate to the prentation
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¾If appropriate, the percentage of composite asts that is bundled fee portfolios, along with types
of fee within the bundle ¾If returns are shown gross of fees, other fees that are deducted in addition to direct trading
expens. If net of fees, other fees that are deducted in addition to management fees and direct trading expens ¾The availability of additional information on calculation and reporting policies ¾Form Jan 1, 2006, the u (and period of u) of subadvisors ¾All significant events to help interpret the performance record
Disclosure Requirements
¾The composite description
¾The date and reason for any redefinition of a firm ¾The date and nature of any composite’s redefinition ¾Any composite name changes ¾The composite creation date
¾For periods up to Jan 1, 2010, if calendar month-end portfolio valuations or valuations on the
last business day of the month are not ud ¾Which dispersion measure is ud
