GIPS Portfolio limit in Composite

[Tahir]

Hi
Can anyone please guide.
Composit has limit on the portfolios whcih can be included in that composite say USD 10M. Portfolio value reduce to 9M. At which point it would be exclueded from composite? Same day its value is below or begning of month.
Thank you

 

[FrankCFA]

If below certain limit, the manager may not be able to reflect its style. For example, many bonds min piece is 200k USD. If the portfolio AUM fall below 1m USD, the portfolio manager only can buy 4~5 bonds…
Some round lot issue in Asia Equity also has this issue.

 

[Tahir]

Thanks but i am wondering at which point portfolio will be excluded and included in the composite. When the portfolio value below the set limit for composit.

 

[zulu007]

Next valuation date in my view.

 

[cgy5478]

There must be a policy in place and be followed consistently. If the portfolio value falls below the minimum due to withdraw/market impact, the policy would determine when to remove the portolio from the composite (for example, if the portolio is under the minimum in 2 consecutive quarters, remove it on the first day of the 3rd quarter). However, it is advisable to examine the impact of removal of a large number of portolios during financial crisis when most portolios fall below the min level. Minimum level can be revised and reset prospectively (not retrospectively) in such events.