Client Portfolio Reporting and Performance Attribution Flashcards
6 factors included in GIPS Standards
- Information about a firm
- Composite requirements
- Data to determine performance
- Calculation methodologies
- Presentation and reporting guidelines
- Information about a firm’s responsibilities
presents investment performance fairly and ethically to current and potential clients.
Global Investment Performance Standards (GIPS)
GIPS standards require that each composite show at least ___ years of performance data.
Five
document of record that an institutional client refers to for information on a firm’s holdings and performance.
portfolio management report
the process of confirming and matching security trade details
Clearing
Settlement
the moment of irrevocable exchange of cash and securities.
An institutional trade involves at least three parties:
- investment manager
- Dealer who executes the trades
- Custodian who holds the assets
details to facilitate the settlement of the trade
trade-matching elements
three aspects of the clearing and settlement process that sometimes cause errors and delays,
- Inadequate Technology
- Timing of activities
- Incorrect data and Accounting Issues
Evaluation of a manager’s performance by attributing a portfolio’s success or failure to specific decisions
performance attribution
Portfolio performance attribution involves four steps,
- Step 1: Calculating the managed portfolio’s return.
- Step 2: Calculating the benchmark portfolio’s return.
- Step 3: Calculating the managed portfolio’s excess return.
- Step 4: Explaining the difference in returns based on asset/component allocation and security selection
constructs a set of portfolio weights for the style indexes such that the composite index’s return maximizes the correlation to the fund’s return.
Returns Based Analysis
Examines each stock in a portfolio and maps it to a style at a specific point in time,
Holdings-based style analysis
Once the matching has taken place and the custodian has confirmed the trade, 4 steps are taken
- Manager advises dealer & custodian how securities are allocated
- Dealer reports and confirms the trade details to manager & clearing agency.
- custodian verifies trade details and settlement instructions against available securities or funds held for the investor.
- both sides agree on the trade details, the manager instructs the custodian to release the funds or securities, to the dealer through the clearing agency
What kind of calculation methodolgy must be used?
Total return. includes relaized and unrealized gain, and losses plus income.
