GIPS clarification

[AlmostDoneIII]

CFAI 2016 PM Mock - Arcadia Section
Policy 4 - Says they use the modified dietz method… didn’t that end in 2010? As of 1/1/2010 isn’t a TWR suppose to be used at each point of cash flow?
Also can someone confirm that carve-outs are still allowed? Prior to 2010 you could, Post 2010 you could if it had its own cash account, I THOUGHT in 2013 or something they changed it so you couldn’t? but maybe I completely made that up since I can’t find it.

 

[kelvin5207]

Modified Dietz is still permisible from what I recall, however you would need to show that the results from either original or modified dietz are not materially different from TWR. Needless to say, that is a prety bold statement without executing the actual calculations:
Typically: Higher the more volatile and precense of large ECFs will render the Dietz ineffective.

 

[AlmostDoneIII]

kelvin5207 wrote:
Modified Dietz is still permisible from what I recall, however you would need to show that the results from either original or modified dietz are not materially different from TWR. Needless to say, that is a prety bold statement without executing the actual calculations:
Typically: Higher the more volatile and precense of large ECFs will render the Dietz ineffective.

Ok so it is permissable still. If cash flows are F-ing things up than you have to just take the normal TWR of all the cash flow points? Is that what you are saying?

 

[cokemicho]

AlmostDoneIII wrote:
CFAI 2016 PM Mock - Arcadia Section
Policy 4 - Says they use the modified dietz method… didn’t that end in 2010? As of 1/1/2010 isn’t a TWR suppose to be used at each point of cash flow?
Also can someone confirm that carve-outs are still allowed? Prior to 2010 you could, Post 2010 you could if it had its own cash account, I THOUGHT in 2013 or something they changed it so you couldn’t? but maybe I completely made that up since I can’t find it.

As I recall you can still use it.
Yes carve outs are allowed as long as a cash account is used for that i.e. is managed as another strategy and mandate. if you see a question with carve outs, if its 2010 nothing is needed regarding this type of structures, if it is after 2010, you need to show that a cash account has been stablished.
Jorge

 

[AlmostDoneIII]

cokemicho wrote:

AlmostDoneIII wrote:
CFAI 2016 PM Mock - Arcadia Section
Policy 4 - Says they use the modified dietz method… didn’t that end in 2010? As of 1/1/2010 isn’t a TWR suppose to be used at each point of cash flow?
Also can someone confirm that carve-outs are still allowed? Prior to 2010 you could, Post 2010 you could if it had its own cash account, I THOUGHT in 2013 or something they changed it so you couldn’t? but maybe I completely made that up since I can’t find it.

As I recall you can still use it.
Yes carve outs are allowed as long as a cash account is used for that i.e. is managed as another strategy and mandate. if you see a question with carve outs, if its 2010 nothing is needed regarding this type of structures, if it is after 2010, you need to show that a cash account has been stablished.
Jorge

Ok thanks, I don’t know where I saw the rules changed in 2013. much thanks