接着上一帖的题 After reviewing the presentation, Walsh again meets with Bill Klecko. She identifies several violations of GIPS, including: - The lack of a notation that composite definitions are available upon request.
- Inclusion in the equity composite of carve-outs that are not managed separately with their own cash balance.
- Failure to list the minimum asset value for portfolio inclusion in the composite.
- The lack of a fee schedule and disclosure of what fees are deducted.
- No disclosure of dispersion of portfolio returns relative to the composite.
Using the modified Dietz method, the portfolio return for the March 2005 quarter is closest to:
Answer and Explanation
To calculate returns using the modified Dietz method, subtract the beginning value from the ending value, then subtract any cash flows. Divide that value by the beginning value plus the sum of each cash flow, multiplied by its weight. To calculate the weight, subtract the date on which the cash flow occurred from the number of days in the period, then divide by the number of days in the period.
January return = ($217,008 - $182,567 - $35,000) / ($182,567 + (31-16)/31 × $35,000) = -0.28%.
February return = ($85,183 - $217,008 (-$140,000)) / ($217,008 + (28 8)/28 × (-$140,000)) = 6.99%.
March return = ($102,989 - $85,183) / $85,183 = 20.90%.
Quarterly return = (1 0.28%) × (1 + 6.99%) × (1 + 20.90%) 1 = 28.99%.
To calculate returns using the modified Dietz method, subtract the beginning value from the ending value, then subtract any cash flows. Divide that value by the beginning value plus the sum of each cash flow, multiplied by its weight. To calculate the weight, subtract the date on which the cash flow occurred from the number of days in the period, then divide by the number of days in the period.
January return = ($217,008 - $182,567 - $35,000) / ($182,567 + (31-16)/31 × $35,000) = -0.28%.
February return = ($85,183 - $217,008 (-$140,000)) / ($217,008 + (28 8)/28 × (-$140,000)) = 6.99%.
March return = ($102,989 - $85,183) / $85,183 = 20.90%.
Quarterly return = (1 0.28%) × (1 + 6.99%) × (1 + 20.90%) 1 = 28.99%.
In order to meet the definition of a firm, Klecko Investments must, in its performance presentation: | A) | include the hedge-fund division in the composites. |
| | B) | separate the different asset-management styles into company subsidiaries. |
| C) | differentiate the portfolio-management styles of the equity and hedge-fund managers. |
| | D) | do nothing. The composite already satisfies the GIPS requirements to be a firm. |
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Answer and Explanation
The composites appear to reflect all equity portfolios except hedge funds. Since the hedge funds are operated by different people using a different management style and by law are marketed to a different group of clients, the remainder of Klecko Investments should represent a firm in its own right. But in order to establish this, Klecko must disclose why the two units are different, specifically the difference in the way they manage assets and who manages those assets.
Regarding accounting for cash flows, Bill Klecko should be most concerned about the firms: A) | treatment of dividends and interest. |
| | B) | adjustment for daily external cash flows. |
| | C) | lack of ability to exactly reflect cash flows. |
| | D) | use of two different calculation methods. |
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Answer and Explanation
Dividends and interest are not usually considered cash flows that need adjustment because they remain in the portfolio, so Klecko should not be adjusting for either of them. The other three policies are in keeping with GIPS requirements.
Which of the following characteristics did Walsh misidentify as a GIPS violation in Klecko Investments performance presentation? | A) | Failure to list the minimum asset value for portfolio inclusion in the composite. |
| B) | Inclusion in the equity composite of carve-outs that are not managed separately with their own cash balance. |
| | C) | The lack of a fee schedule and disclosure of what fees are deducted. |
| | D) | The lack of a notation that composite definitions are available upon request. |
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Answer and Explanation
Carve-outs can be included in a composite as long as they are reported with their share of the cash balance in the account from which they are pulled. Carve-outs being managed separately with their own cash balance is a recommendation, not a requirement. The other characteristics represent GIPS violations.
Klecko Investments violated GIPS by: | A) | not providing portfolio values on the dates of large cash flows. |
| B) | not recalculating historical performance data based on trade-date accounting. |
| | C) | failing to disclose that nonrealized gains are included as part of the total return. |
| | D) | failing to provide a risk measure for the composite. |
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Answer and Explanation
Trade-date accounting became required in 2005. While older numbers need not be restated, Klecko must recalculate its 2005 performance. Values on the dates of large cash flows will not be required until 2010. While GIPS requires the inclusion of nonrealized gains in returns, it does not require that the company make a statement to that effect. Inclusion of an overall risk measure of the composite such as beta or volatility or any other relevant risk measure is a recommendation but not required. This is a different risk measure than the required internal dispersion measure of individual portfolio returns comprising the composite for each annual period of.
Walsh forgot to point out the GIPS violation involving: | A) | frequency of portfolio asset-weighting. |
| | B) | exclusion of non-fee-paying portfolios. |
| C) | failure to disclose treatment of withholding tax on capital gains. |
| | D) | lack of disclosure about fiscal year end. |
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Answer and Explanation
Monthly asset-weighting is a recommendation, not a requirement. Non-fee-paying portfolios are not required to be in the composite. GIPS requires the use of a standard reporting period, but does not require that nonstandard fiscal years be disclosed. But GIPS does require that firms disclose how they treat withholding taxes on dividends, interest income, and capital gains. | 
发表于 2008-9-18 15:03
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