2011年CFA一级-ethics-GIPS全球投资业绩评价标准讲义

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Why GIPS created?
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GIPS is a set of ethical principles based on a standardized, industry‐wide approach. Investment firms can voluntarily follow GIPS in their presentation of historical investment results to prospective clients. GIPS seek to avoid misrepresentations of performance. Misleading practices included:
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2. Input data
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Portfolio valuations must be based on market value, not cost basis or book value. Accrual accounting must be used for fixed income securities and all assets that accrue interest income. Market value must include accrued income.
3. calculation methodology all return must be calculated after the deduction of the actual trading expense incurred during the period.
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posite construction
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Key Characteristics
• To claim compliance, an investment management firm must define its “firm,” and this definition should reflect the “distinct business entity” that is held out to clients and prospects as the investment firm. GIPS are ethical standards for performance presentation which ensure fair representation of results and full disclosure. Include all actual fee‐paying, discretionary portfolios in composites for a minimum of five years or since firm or composite inception. After presenting five years of compliant data, the firm must add annual performance each year going forward up to a minimum of ten years.
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Key Characteristics
• • • • There will be no partial compliance and only full compliance can be claimed. For cases in which a local or country‐specific law or regulation conflicts with GIPS, follow the local law, but disclose the conflict. Certain "recommendations" may become "requirements" in the future. Supplemental "private equity" and "real estate" provisions, contained in the GIPS standards, are to be applied to those asset classes.
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1.Fundamental of Compliance
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Definition of the Firm—Requirements: To apply GIPS on a firm‐wide basis. Firm must be defined as a distinct business unit. Total firm assets includes total market value of discretionary and non‐ discretionary assets, including fee‐paying and non‐fee‐paying assets. Include asset performance of sub‐advisors, as long as the firm has discretion over sub‐advisor selection. Changes its organization can’t alter historical composite results.
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Fundamental of Compliance
• Claim of Compliance—Requirements: Once GIPS requirements have been met, the following compliance statement must be used: • "[Insert name of firm] has prepared and presented this report in compliance with the Global Investment Performance Standards (GIPS®)." for example ..........except... prohibit: use the GIPS calculation methodology prohibit: The performance of an single, existing client "calculated in accordance with GIPS. . . etc." unless a compliant firm is reporting the performance of an individual account to the client..
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Who is affected?
Who can claim compliance? • Investment Management Firms intend to serve existing and prospective clients. Who benefits from compliance? • Investment management firm‐‐‐‐‐‐Allow clients to compare investment performance among investment firms more easily and have more confidence. • Clients and prospective clients‐‐‐‐get more fairly and complete information.
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GIPS:Learning Outcomes
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Why GIPS created? What parties the GIPS apply to and who is served? Key Characteristics Fundamental of Compliance Construction of Composite Firm Definition presentation and reporting GIPS vs. Local Regulations Eight Major Sections of the GIPS Verification
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Provision of GIPS
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Fundaments of compliance Input data Calculation methodology Composite construction Disclosure Presentation and reporting Real estate Private equity
• A composite is a grouping of individual portfolios representing a similar investment strategy, objective, or mandate. Examples of possible composites are "Large Capitalization Growth Stocks" and "Investment Grade Domestic Bonds." • • • Nondiscretionary portfolios are not permitted to included in a single firm’s composites. Terminated portfolio must included in the historical returns of the appropriate composite up to the last full measurement period. Composite must only include asset management, not include the simulated or model portfolio.
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Representative accounts—showing a top‐performing portfolio as representative of firm’s results. Survivorship bias—excluding "weak performance" accounts that have been terminated. Varying time periods—showing performance for selected time periods with outstanding returns.
2. There is no such thing as partial compliancompliance
• 1. Firm Fundamental Responsibilities—Requirements: Firms must provide a compliant presentation to all prospects (prospect must receive presentation within the previous 12 months). Provide a composite list and composite description to all prospects that make a request. List discontinued composites for at least five years. When jointly marketing with other firms, if one of the firms claims GIPS compliance, be sure it is clearly defined as separate from noncompliant firms. Firms are encouraged to comply with recommendations and must comply with all requirements. Be aware of updates, guidance statements, etc.