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发表于 2012-3-24 14:40
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Eric Jicu, a highly successful portfolio manager of the EJ Fund, wishes to define the EJ Fund as a firm under the Global Investment Performance Standards (GIPS®) standards. Jicu is employed by National Investing Alliance (NIA), a small regional brokerage firm. Although he has disclosed this information to his superiors at NIA, he would like to disclose his compliance for marketing purposes by using his past actual performance results of five years, which included two years of simulated results. Jicu also managed several non-fee-paying portfolios that were non-discretionary under a different investment style. Since the results of these non-discretionary portfolios were highly successful, he wanted to include them into his EJ Fund composites for compliance. In his statement of compliance, Jicu wrote: "The EJ Fund claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. The EJ Fund has not been independently verified."In defining a firm, does the EJ Fund qualify as a firm under GIPS? A)
| Yes, since the EJ Fund is a separate entity it does qualify under GIPS. |
| B)
| No, since to claim compliance NIA must be included. |
| C)
| No, since there is no mention that Jicu is incorporated he cannot qualify as a firm. |
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No, the EJ Fund does not qualify as a firm for GIPS compliance. In order to claim compliance, NIA must be included. In order for an investment firm to claim GIPS compliance, the GIPS must be applied on a firmwide basis. The key here is the definition of the firm, because it establishes the boundaries for what constitutes firm assets, and the set of portfolios that must be included in at least one composite. According to the GIPS, firms must be defined as:
"An investment firm, subsidiary, or division held out to clients or prospective clients as a distinct business entity."
In constructing the historical results of the EJ Fund, is Jicu correct in his approach? A)
| Yes, because he included five years of actual performance data. |
| B)
| No, because GIPS requires a minimum of ten years of performance before claiming compliance. |
| C)
| No, because simulated results cannot be included with actual performance results. |
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Jicu is not correct because simulated results must not be included with actual performance results. Under GIPS, composites must include only assets under management and may not link simulated or model portfolios with actual performance. Simulated, back-tested, or model portfolios results do not represent the returns of actual assets under management and may not be included in composite performance results.
In constructing the composites, is Jicu correct in his approach? A)
| No, since fee-paying and non-fee-paying portfolios cannot be included in the same portfolio. |
| B)
| No, since the fee-paying discretionary portfolios are managed under a different investment style as the non-fee-paying non-discretionary portfolios. |
| C)
| Yes, since fee-paying and non-fee-paying portfolios can be included in the same composite as long as they have the same investment objectives. |
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Jicu is not correct in the construction of composites. They may not include any non-fee paying and non-discretionary portfolios in his composite because they have a different investment objective and style than the EJ Fund. Non-fee-paying portfolios may be included in the firm’s composites, but if they are, firms are required to disclose the percentage of composite assets represented by non-fee-paying portfolios. If the firm includes non-fee-paying portfolios in its composites, they are subject to the same rules as fee-paying portfolios. If a portfolio’s status changes from discretionary to non-discretionary, the portfolio may not be removed from a composite retroactively. However, the portfolio may be removed on a prospective basis. Composites must include all actual fee-paying discretionary portfolios. All actual fee-paying discretionary portfolios must be included in at least one composite. By including all fee-paying discretionary portfolios in at least one composite, firms cannot cherry-pick their best performing portfolios to present to prospective clients. Firms are permitted to include a portfolio in more than one composite, provided it satisfies the definition of each composite.
Firm composites must be defined according to similar investment objectives and/or strategies. Composites should be defined such that clients are able to compare the performance of one firm to another. Composites must be representative of the firm’s products and be consistent with the firm’s marketing strategy. Firms are not permitted to include portfolios with different investment strategies or objectives in the same composite. Portfolios may not be moved into and out of composites except in the case of valid, documented, client-driven changes in investment objectives or guidelines or in the case of the redefinition of the composite.
In the compliance statement, is Jicu correct is claiming compliance? A)
| No, since Jicu is not in full compliance with GIPS. |
| B)
| No, since Jicu’s GIPS compliance statement is not written correctly. |
| C)
| Yes, since Jicu is in compliance with GIPS. |
|
No, Jicu may not claim compliance for the EJ Fund for all of the above reasons. A firm must be in full compliance with the GIPS in order to claim GIPS compliance. There is no such thing as partial GIPS compliance!
If the performance presentation does not meet all of the requirements of the GIPS, firms cannot claim compliance with any exceptions. |
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