Description
Book SynopsisThe first and only comprehensive explanation of GIPS, including how to comply with and implement them While the CFA Institute has published Global Investment Performance Standards (GIPS) for years, there has never been a serious discussion of their implementation and best use.
Table of ContentsAbout the Authors xi
Preface xiii
Acknowledgments xv
Introduction xvii
PART ONE: Explanation of the GIPS Standards
CHAPTER 1. Fundamentals of Compliance 3
Scope of the GIPS Standards 3
History of the GIPS Standards 4
Governance of the GIPS Standards 5
Organization of the GIPS Standards 7
Fundamentals of Compliance 8
Summary 12
CHAPTER 2. Defining the Firm and Composites 13
Defining the Firm 13
Defining Composites 23
Summary 50
PART TWO: The Methodology for Calculating Returns
CHAPTER 3. Portfolio Return Measurement 53
Single Period Rate of Return 54
Time Value of Money 63
Performance of the Investor: Money Weighted Returns 67
Internal Rate of Return 71
Performance of the Investment Manager: Time Weighted Returns 77
Portfolio Return Calculations for the GIPS Standards 82
Summary 90
CHAPTER 4. Composite Return Measurement 91
Composite Constituents 91
Composite Returns 93
Single Period Composite Return Considerations 97
Multi-period Composite Returns 100
Summary 107
CHAPTER 5. Dispersion and Risk Measurement 109
Internal Dispersion 109
Equal Weighted Dispersion 111
Asset Weighted Dispersion 114
Risk 119
Summary 137
PART THREE: Reporting and Maintaining Compliance with the GIPS Standards
CHAPTER 6. Disclosing and Advertising Composite Performance 141
Required Numerical Information 141
Required Disclosures 149
Length of Time for Disclosures 168
Presentation and Disclosure Recommendations 168
Supplemental Information 170
GIPS Advertising Guidelines 171
Summary 177
CHAPTER 7. Wrap-Fee/SMA, Private Equity, and Real Estate 179
Wrap-Fee/Separately Managed Accounts 180
Private Equity 188
Real Estate 198
Summary 203
CHAPTER 8. Maintaining Compliance with the GIPS Standards 205
Organization and Oversight 205
Return Calculation 211
Error Correction 215
Managing Composites and Presentations 220
Summary 226
CHAPTER 9. Verification 227
Verification 228
Performance Examinations 229
Verification Considerations 230
Required Verification Procedures 234
The Verifier’s Report 241
Preparing for Verification 241
Summary 245
Index 247
