CFA 三级 level III GIPS200902 新

1䓉䄖㎕䓵➺⳷➺⭥㵗㧌CopyRight 2009By GFEDU*,36Table of ContentPreface: background of the GIPs standards I.IntroductionA. Preamble –Why Is a Global Standard Needed?B. Vision StatementC. ObjectivesD. OverviewE. ScopeF. ComplianceG. Implementing a Global Standard2䓉䄖㎕䓵➺⳷➺⭥㵗㧌CopyRight 2009By GFEDU*,36II.Provisions of the global investment performance standard 0. Fundamentals of compliance 1. Input data2. Calculation methodology3. Composite construction4. Disclosures5. Presentation and reporting6. Real estate7. Private equity*,36III.VerificationA. Scope and purpose of verificationB. Required verification proceduresC. Detailed examinations of investment performance presentations*,36 WLPHWDEOH5䓉䄖㎕䓵➺⳷➺⭥㵗㧌CopyRight 2009By GFEDUThe Creation and Evolution of the GIPS Standards What is GIPS---¾GIPS contains ethical and professional standards for the presentation of investment performance results ¾GIPS are a voluntary set of standards¾Benefits to Prospective Clients and Managers¾The ability to make a comparison of performance by firms operating in different countries with different sets of established practices6䓉䄖㎕䓵➺⳷➺⭥㵗㧌CopyRight 2009By GFEDUGIPS ObjectivesGIPS Objectives•To obtain worldwide acceptance of a standard of the calculation and presentation 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 presentations•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 “self-regulation”on a global basisGIPS Characteristics GIPS Characteristics•The GIPS are ethical standards for investment performance presentation to ensure fair representation 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 presentation•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 presenting at least five years of compliant history, the firm must add annual performance each year going forward up to ten years, at a minimumGIPS CharacteristicsGIPS Characteristics•The GIPS require firm to use certain calculation and presentation 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 recommendations9䓉䄖㎕䓵➺⳷➺⭥㵗㧌CopyRight 2009By GFEDUGIPS Characteristics GIPS Characteristics•The GIPS must be applied with the goal of full disclosure and fair representation 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 cases 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 conflict10䓉䄖㎕䓵➺⳷➺⭥㵗㧌CopyRight 2009By GFEDUGIPS CharacteristicsGIPS Characteristics•The GIPS are not a complete set of rules for performance calculation and presentation, and will evolve over•Within the GIPS are supplemental real estate and private equity provisions that must be applied to these asset classes¾The 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 itself 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 potentialclients as a distinct business entity ¾The definition of the firm establishes the boundaries for what constitutes firm assets and the setof portfolios that must be included in at least one compositeGIPS Characteristics¾The only acceptable wording for the compliance statement under GIPS is “˄name of firm) hasprepared and presented this report in compliance with the Global Investment Performance Standards (GIPS)”. No partial compliance, or compliance except for is permissible¾The seven categories of the GIPS are: input data, calculation methodology, composite construction, disclosures,presentation and reporting, real estate, and private equity¾Input data establishes the foundation for full, fair and comparable investment performancepresentations•All reported performance records must be captured and maintained •Portfolio values must be based 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 settlement date, accounting must be used for all periods after Jan 1, 2005•Accrual accounting must be used for all assets that accrue interest incomeInput DataInput data establishes the foundation for full, fair and comparable investment performance presentations•All reported performance records must be captured and maintained •Portfolio values must be based 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 settlement date, accounting must be used for all periods after Jan 1, 2005•Accrual accounting must be used for all assets that accrue interest income13䓉䄖㎕䓵➺⳷➺⭥㵗㧌CopyRight 2009By GFEDUCalculation MethodologyCalculation methodology requirements are intended to assure comparability among investment management firms’performance presentations¾Total return , including realized and unrealized gains plus income must be used¾Time-weighted rates of return that adjust for cash flows must be used, and periodic returns mustbe geometrically linked ¾Composite returns must be asset weighted using beginning-of-period weightings or anothermethod that reflects both beginning market value and external cash flows14䓉䄖㎕䓵➺⳷➺⭥㵗㧌CopyRight 2009By GFEDUCalculation Methodology¾Cash and cash equivalent returns must be included in portfolio’s total-return calculations ¾Performance must be calculated net of all trading expenses , but no estimates may be used. Ifbundled fees are charged, the component of the fee that contains trading expenses must be deducted.¾If performance is being shown net of management fees then the components of the bundled feethat contains trading expenses and management fees must be deducted¾From Jan 1, 2006 firms must calculate composite returns by asset weighting the individualportfolio returns at least quarterly. For periods beginning Jan 1, 2010, this must be at least monthlyComposite ConstructionComposites are the aggregation of portfolios that follow similar strategy and/or investment objective¾All 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 aconsistent basis ¾Terminated portfolios must be included in the historical record of the appropriate composites up tothe last full measurement periodComposite Construction¾Unless client guidelines are changed, or composites are redefined, portfolios must not be movedbetween composites¾Convertible and other hybrid securities must be treated consistently across time and withincomposites¾A carve-out is a sub-set of a portfolio’s assets used to reflect the performance of a specific asset classwithin 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 appropriately¾Composites must include only asset under management and may not link simulated or modelportfolios with actual performance¾No portfolio below a minimum asset level may be included in a composite that specifies such a limit.Changes to the minimum may be applied prospectively, but not retrospectively17䓉䄖㎕䓵➺⳷➺⭥㵗㧌CopyRight 2009By GFEDUDisclosure RequirementsDisclosure provide clarification to the raw numbers provided in performance presentations. Firms must disclose the following items¾How the firm defines itself for the purpose of measuring total firm assets and establishing firm-wide compliance¾The availability of a complete list and description of all of the firm’s composites ¾The minimum asset level for a portfolio’s inclusion in a composite ¾The currency used to express performance¾The presence, use, and extent of leverage or derivatives, with enough detail to identify risksadequately18䓉䄖㎕䓵➺⳷➺⭥㵗㧌CopyRight 2009By GFEDUDisclosure Requirements¾Whether performance results are calculated gross or net of investment management fees andother client paid fees¾Details of the treatment of withholding tax on dividends, interest income, and capital gains, andthe tax basis of the composite versus indexes/benchmarks that are net of taxes¾Any known inconsistencies between the composite’s and benchmark’s exchange rate sources ¾Any conflicts between local laws and regulations and the GIPS requirements¾For pre-2000 non-compliance reported performance, the period of non-compliance and how thepresentation is not compliantDisclosure Requirements¾The cash allocation method for carve-out returns ¾The fee schedule appropriate to the presentation¾If appropriate, the percentage of composite assets that is bundled fee portfolios, along with typesof fee within the bundle ¾If returns are shown gross of fees, other fees that are deducted in addition to direct tradingexpenses. If net of fees, other fees that are deducted in addition to management fees and direct trading expenses ¾The availability of additional information on calculation and reporting policies ¾Form Jan 1, 2006, the use (and period of use) of subadvisors ¾All significant events to help interpret the performance recordDisclosure Requirements¾The composite description¾The 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 date¾For periods up to Jan 1, 2010, if calendar month-end portfolio valuations or valuations on thelast business day of the month are not used ¾Which dispersion measure is used21䓉䄖㎕䓵➺⳷➺⭥㵗㧌CopyRight 2009By GFEDUPresentation and Reporting Requirements¾At least five years of GIPS compliant performance , or since firm inception if inception is lessthan five years. Each subsequent year, one additional year of GIPS-compliant performance, until ten years are shown ¾Annual returns for all years¾For each composite: number of portfolios (unless fewer than five), amount of assets, percentageor amount of total firm assets, measure of dispersion (unless fewer than five portfolios)¾If required, non-GIPS compliant data for periods before Jan 1, 2000, provided it is linked to atleast five years of GIPS compliant data ¾Performance for periods of less than one year must not be annualized¾Ordinarily, performance results of a past firm or affiliation can only be linked to or used torepresent the historical record of a new firm or affiliation if decision makers and the decision process are substantially the same in the new firm. The linkage must be disclosed22䓉䄖㎕䓵➺⳷➺⭥㵗㧌CopyRight 2009By GFEDUPresentation and Reporting Requirements¾Compliant firms have one year to bring the acquired assets of non-compliant firms intocompliance¾Form Jan 1,2006, if a composite included or is formed using single asset class carve-outs, includethe percentage of the composite that is composed of carve-outs prospectively for each period ¾The total return for a like-strategy or client-mandated benchmark, and if no benchmark ispresented, why not. If a benchmark is changed, disclose when and why¾The percentage of composite assets represented by non-fee-paying portfolios, if anyReal Estate StandardsThe real estate standards cover investments in real estate other than publicly traded real estate securities (including REITs), CMBSs and debt investments –these excluded assets fall under the general GIPS standards¾Market values must be used , with valuations at least annually. From Jan 1, 2008, valuations mustbe at least quarterly¾The calculation methodology for returns must be disclosed. Returns must be calculated usingchain-linked TWRRs , with income return (as measured suing cash recognition) plus capital return adding to total return¾The income and capital returns must be presented in addition to total returnPrivate Equity Standards¾Firms must present both the net-of-fees and gross-of-fees annualized SI-IRR of the compositefor each year since inception¾For each period, firm must report paid-in capital to date, total current invested capital andcumulative distributions. Ratios to be reported include: total value to paid-in capital, cumulative distributions to paid-in capital, paid-in capital to committed capital, and residual value to paid-in capital¾If an appropriate benchmark is shown, disclose the cumulative annualized SI-IRR for thatbenchmark. If no benchmark is shown, explain why not25䓉䄖㎕䓵➺⳷➺⭥㵗㧌CopyRight2009By GFEDU26䓉䄖㎕䓵➺⳷➺⭥㵗㧌CopyRight2009By GFEDU29䓉䄖㎕䓵➺⳷➺⭥㵗㧌CopyRight2009By GFEDU30䓉䄖㎕䓵➺⳷➺⭥㵗㧌CopyRight2009By GFEDU¾55. A company has a table of period from Dec 2005 to Dec 2007, withvalue at the end of each quarter without external cash flow, under GIPSrequirement, which return should be report?¾A. annual return for 2006 ***% and annual return for 2007 ***%¾B. annual return for 2006 ***% and annual return for 2007 ***% (thefigure is not correct)¾C. cumulative return for 2005-2007 at **% (the figure is correct) (5.B.1--recommended)¾D. geometric return for 2005-2007 at **% (the figure is correct)¾5.A.b—annual returns for all years33䓉䄖㎕䓵➺⳷➺⭥㵗㧌CopyRight2009By GFEDU¾57. If trading expense increase, what\'s the most possibleresult to the portfolio return performance?gross-of-fee net-of-feeA. decrease decreaseB. decrease the sameC. the same decreaseD. the same the same¾Glossary—gross of fee: return reduced by trading expenses34䓉䄖㎕䓵➺⳷➺⭥㵗㧌CopyRight2009By GFEDU0RFN0RFN0RFN37䓉䄖㎕䓵➺⳷➺⭥㵗㧌CopyRight2009By GFEDU0RFN38䓉䄖㎕䓵➺⳷➺⭥㵗㧌CopyRight2009By GFEDU0RFN0RFN0RFN0RFN。