GIPS SUMMARY FOR REVIEW
- Thread starter Data_Monkey
- Start date
Data_Monkey You have an error in the above it should be Less than 6 not less than 5, Its fixed:
• # of portfolios (unless there are less than 6 portfolios for the full year – then not required) | Amount of Assets in composite | composite percentage of the total firms assets or the amount of the Total Firms assets at the end of a period.
• Measure of dispersion of individual portfolios returns for each annual period (unless there are less than 6 portfolios for the full year – then not required)
• # of portfolios (unless there are less than 6 portfolios for the full year – then not required) | Amount of Assets in composite | composite percentage of the total firms assets or the amount of the Total Firms assets at the end of a period.
• Measure of dispersion of individual portfolios returns for each annual period (unless there are less than 6 portfolios for the full year – then not required)
bigwilly Wrote:
——————————————————-
> Data_Monkey You have an error in the above it
> should be Less than 6 not less than 5, Its fixed:
>
> • # of portfolios (unless there are less than 6
> portfolios for the full year – then not required)
> | Amount of Assets in composite | composite
> percentage of the total firms assets or the amount
> of the Total Firms assets at the end of a period.
>
> • Measure of dispersion of individual portfolios
> returns for each annual period (unless there are
> less than 6 portfolios for the full year – then
> not required)
Bigwilly 5.A.1 d. actually says “5 portfolios or less” but since that is same as <6 mathematically it works for me. Perhaps that is how Datamonkey’s otherwise splendid review was slightly askew on that point.
COULD SOMEBODY PLEASE KINDLY ANSWER THIS…AT LEAST ONE PERSON BESIDE ME IS WONDERING. MANY THANKS?:
Is it true that for Asset Manager Code of Professional Conduct BOTH gross- and net-of-fees must be disclosed but for GIPS gross- OR net-of-fees must be disclosed? Isn’t this an inconsistency or am I missing something? Can someone kindly clarify this a little bit for me. Many thanks.
——————————————————-
> Data_Monkey You have an error in the above it
> should be Less than 6 not less than 5, Its fixed:
>
> • # of portfolios (unless there are less than 6
> portfolios for the full year – then not required)
> | Amount of Assets in composite | composite
> percentage of the total firms assets or the amount
> of the Total Firms assets at the end of a period.
>
> • Measure of dispersion of individual portfolios
> returns for each annual period (unless there are
> less than 6 portfolios for the full year – then
> not required)
Bigwilly 5.A.1 d. actually says “5 portfolios or less” but since that is same as <6 mathematically it works for me. Perhaps that is how Datamonkey’s otherwise splendid review was slightly askew on that point.
COULD SOMEBODY PLEASE KINDLY ANSWER THIS…AT LEAST ONE PERSON BESIDE ME IS WONDERING. MANY THANKS?:
Is it true that for Asset Manager Code of Professional Conduct BOTH gross- and net-of-fees must be disclosed but for GIPS gross- OR net-of-fees must be disclosed? Isn’t this an inconsistency or am I missing something? Can someone kindly clarify this a little bit for me. Many thanks.
Someone can advise on this point below. Last full mean last reported period or last full Fiscal year period. Eg. Full year is Jan to Dec. On 31 Dec Firm A terminated Portfolio A1. Last reported is up to 30 Sept. So for Oct to Dec they should still include Portfolio A1 in its composite since it is the full measurement period (i.e it as terminated on the last day of the last quarter)? Thanks.
From GIPS :
4. Include the performance of Terminated portfolios in historical returns in the appropriate composites UP TO the LAST FULL measurement period
From GIPS :
4. Include the performance of Terminated portfolios in historical returns in the appropriate composites UP TO the LAST FULL measurement period
If on June 15th I get notice that my client is pulling his money, then the last full measurement period is May 31st, regardless of when the client gets his money back. Also, the performance will remain in the composite from Inception of the account until May 31st. You will not remove this historical performance or else you will have survivorship bias.
bigwilly Wrote:
——————————————————-
> If on June 15th I get notice that my client is
> pulling his money, then the last full measurement
> period is May 31st, regardless of when the client
> gets his money back. Also, the performance will
> remain in the composite from Inception of the
> account until May 31st. You will not remove this
> historical performance or else you will have
> survivorship bias.
A bit tricky…just wondering if your client pulled out on 31 May should you report that port return in the composite since it did contribute to the performance for the full quarter.
But this is clear for me….if he terminate on 15 May then we should exclude that port for that quarter.
——————————————————-
> If on June 15th I get notice that my client is
> pulling his money, then the last full measurement
> period is May 31st, regardless of when the client
> gets his money back. Also, the performance will
> remain in the composite from Inception of the
> account until May 31st. You will not remove this
> historical performance or else you will have
> survivorship bias.
A bit tricky…just wondering if your client pulled out on 31 May should you report that port return in the composite since it did contribute to the performance for the full quarter.
But this is clear for me….if he terminate on 15 May then we should exclude that port for that quarter.
Data_Monkey
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- May 10, 2008
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UPDATE ON DISPERSION:
* Firm CAN choose one of the three but don’t have to, they can choose another method - but it must be representative and they must disclose how it is done.
Dispersion types recommended include (including but not limited to
• High and Low annual returns: High value - Low Value = Difference
+ Easy to perform
- Outliers can skew figures
• Interquartile Range 1-24% | 25%-75% |76-100% <-focus on values in the 25-75% range
+ Not skewed by outliers
- Not readily understood
• Standard Deviation of (equal or asset weighted annual returns)
+ Widely accepted
+ Readily easy to perform (spreadsheet programs can do it)
* Firm CAN choose one of the three but don’t have to, they can choose another method - but it must be representative and they must disclose how it is done.
Dispersion types recommended include (including but not limited to
• High and Low annual returns: High value - Low Value = Difference
+ Easy to perform
- Outliers can skew figures
• Interquartile Range 1-24% | 25%-75% |76-100% <-focus on values in the 25-75% range
+ Not skewed by outliers
- Not readily understood
• Standard Deviation of (equal or asset weighted annual returns)
+ Widely accepted
+ Readily easy to perform (spreadsheet programs can do it)