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Ethics & GIPS > GIPS > Flashcards

GIPS Flashcards

1
Q

segregated account

A

tài khoản đầu tư củaKH = SMA

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2
Q

pooled fund

A

+ broad distribustion
+ limited distribution

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3
Q

distinct business entity

A

“a unit, division, department, or office that is:
+ organizationally or functionally separated from other units, divisions, departments, or offices
+ that retains discretion over the assets it manages and that should have autonomy over the investment decision-making process

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4
Q

A firm is has a distinct ?

A

(1) legal org..
(2) market & client base
(3) investment process & strategy
(4) investment staff
(5) physical location

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5
Q

settlement date

A
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6
Q

internal composite dispersion

A

phương pháp micro

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7
Q

3 ways to calculate composite return

A

(1) asset-weighting portfolio returns by beginning-of-period values
(2) asset-weighting portfolio returns by both beginning-of-period values and external cash flows
(3) the aggregate method

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8
Q

to claim under GIPS, the account include cash or not ?

A

GIPS require the returns from cash and cash equivalents held in portfolios must be included in total-return calculations as long as the portfolio manager has control over the amount of the portfolio allocated to cash.

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9
Q

Modified Dietz return

A

(1) Definition:
= (EV-BV-ECF)/(BV + adjusted ECF)
Other same term: aggregate return method
(2) Tử số: -ECF vì bản chất ECF chỉ là external cash flow, ko phải là phần lợi nhuận gia tăng, lợi nhuận gia tăng từ ECF cũng đã được tính trong EV-BV rồi
(3) Mẫu số: phải adjust Beginning value vì phần vốn gốc sinh lời có thêm phần ECF, tuy nhiên phải điều chỉnh theo trọng số

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10
Q

MIRR (Modified IRR)

A

(1) definition: internal rate of return (IRR) that adjusts for the timing of the ECFs
(2) Tính toán bằng iinterpolate + trial & error (thử sai)
Eg: 2,700 = 2,500(1 + r) + 45(1 + r)^0.77 + 25(1 + r)^0.37

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11
Q

GIPS required gross or net of performance fee ?

A

+ Under the GIPS, firm may present performance gross/ net of fee but gross of fee is recommended
+ Must disclose whether gross/net
+ must disclose other fee paid by client to firm + to the affiliate

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12
Q

GIPS required asset managed by client-appointed sub-advisor or not ?

A

(1) include:
+ Discretionary
+ Non discretionary
(2) not include:
+ asset managed by client-appointed sub-advisor

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13
Q

with a fund invest with long/short strategy, if the fund does not ever intent this strategy, it include in GIPS or not ?

A

all fee-paying discretionany account must be in a composite

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14
Q

It would be most likely that the money-weighted returns could be used instead of time-weighted returns if ?
A. the account is large.
B. the account is non-discretionary.
C. the manager can control the timing of external cash flows into and out of the portfolio

A

C. the manager can control the timing of external cash flows into and out of the portfolio

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15
Q

client has significant liquidity needs with significant cash position is:
A. Maybe included
B. Must be excluded

A

B. must be excluded because action is limit -> not qualified as discretionay

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16
Q

client does not pay fee:
A. Maybe included
B. Must be excluded

A

A. may be included because non-fee-paying that discretionay may be include
fee paying is required are required in a composite

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17
Q

client request strictly follow an index:
A. Maybe included
B. Must be excluded

A

B. Must be excluded
because significant restrict to implement investment strategy -> nondiscretionary -> must be exclude

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18
Q

if the portfolio is terminated on July 15, 2015, when be remove in report

A

must be report until the end of June, in July be remove

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19
Q

The GIPS valuation hierarchy of price selection

A
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20
Q

composites must be asset weighted using ….. of period or another method that reflect both …. market value and cash flow
A. beginning
B. ending

A

A. Beginning

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21
Q

…. weighted rates of return that adjusted for CF are used for portfolio return
A. time
b. equal

A

A. time

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22
Q

due to the change in firm client base, the firm … include fee schedule
A. did
B. Did not

A

A. did

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23
Q

GIPS: compare client vs investor

A

(1) client: invest in a firm’s strategies via a segregated account
(2) investor: invest in a firm’s pooled funds

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24
Q

who can claim compliance GIPS

A

Only investment management firms and asset owners who compete for business

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25
Q

GIPS: what is segregate account

A

= SMA (separate managed account)

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26
Q

composite

A

group of accounts have the same:
(1) mandate
(2) objective
(3) strategy

27
Q

GIPS có thể áp dụng được 1 phần doanh nghiệp ko ?

A

GIPS must be firm-wide basis

28
Q

how GIPS offer:
+ fee paying segregated account
+ limited distribution pooled fund
+ broad distribution pooled fund

A

+ fee paying segregated account -> at least 1 account
+ limited distribution pooled fund -> in composite appropriate their characteristic
+ broad distribution pooled fund -> in composite if their strategy is also offered in seperate account

29
Q

characteristics of distinct business entity in GIPS

A

(1) Legal organization
(2) market and client base
(3) investment process & strategy
(4) investment staff
(5) physical location

30
Q

under GIPS, total fair value of asset include
(1) discretionary
(2) non discretionary
(3) fee-paying
(4) non fee-paying
(5) advisory only assets
(6) uncalled, committed capital
(7) value of leveraged
(8) simulated asset

A

(1) (2) (3) (4) are included
(5) (6) (7) (8) are excluded

31
Q

initially claim compliance, minimum of …..years or since inception

A

five
Nếu cty mới thành lập thì trình bày từ lúc mới thành lập

32
Q

calculate ……. returns for non-private
market investment portfolios

A

monthly

33
Q

money weighted return (MWR) use when ?

A

(1) the firm control of the timing of ECFs
(2) portfolio are close-end/ fixed life / fixed commitment/ significant amount of illiquidity assets

34
Q

MWR must be calculated and the portfolio valued at least …

A

annually

35
Q

under GIPS, partial year return …. be annualized

A

cannot

36
Q

GIPS: return of portfolio … return from cash & cash equivalent

A

include

37
Q

GIPS: net of fee return = ….

A

Gross of management fee = Total return - transaction fee
Net of fee return = Gross of management fee - management fee

38
Q

transaction fee included/ not included:
(1) brokerage commission, spreads, exchange fee
(2) legal, advisor
(3) custody fees

A

include (1), (2)
not include (3)

38
Q

transaction fee included/ not included:
(1) brokerage commission, spreads, exchange fee
(2) legal, advisor
(3) custody fees

A

include (1), (2)
not include (3)

39
Q

3 methods of calculating portfolio return

A

(1) TWRR
(2) Modified dietz return
(3) MIRR

40
Q

characteristic of segregate account

A

(1) actual
(2) fee based
(3) discretionary

41
Q

non fee based discretionary …. included in composite

A

maybe

42
Q

nếu 1 quỹ muốn đầu tư vào BĐS, nhưng không có PM chuyên, thuê sub-advisor để quản lý, loại tài khoản này được gọi là

A

segregated account

43
Q

GIPS: Portfolio inclusion

A

New portfolios should be included at the beginning of the next full measurement period
Eg: nếu bắt đầu đầu tư ngày 29/5 -> bắt đầu được báo cáo ngày 1/6
+ công ty có quyền quyết định thời điểm tiền được đưa vào tài khoản

44
Q

GIPS: Portfolio exclusion

A

Terminated portfolios should be included in a composite through the last full measurement period in which the firm had discretion
Eg: 29/5 rút tiền -> đo đến hết 30/4

45
Q

terminate

A

rời đi

46
Q

Eg:
+ 15/5 decision to terminate
+ 15/6 stop trading
+ 15/7 liquidate
vậy xác định ngày nào là ngày terminate ?
Báo cáo sẽ thực hiện đến hết ngày nào ?

A

Sẽ căn cứ ngày terminate là ngày non discretionary -> 15/6 -> báo cáo đến hết ngày 31/5

47
Q

GIPS: the case of switching portfolio

A

(1) common: A client may change the portfolio’s mandate, objective, or strategy
(2) rarely: The firm may redefine composite

48
Q

cherry picking

A

pick a good return portfolio to a bad composite to make composite has better performance

49
Q

minimum asset level

A

Eg: ngay 31/5 giá trị asset < minimum
-> hiệu quả đầu tư từ trước 31/5 vẫn phải được lưu lại

50
Q

performance history reporting problem

A

(1) annual performance
(2) initial, at least 5 years or since inception
(3) then extended each year until a 10-year GIPS compliant history

51
Q

Return and Size measures problem

A

(1) Time-weighted returns for the composite and benchmark
(2) The amount of firm assets
(3) The amount of composite assets
(4) number of port. in the composite if there are six or more
(5) no minimum number of port. for a composite to be formed

52
Q

internal composite disperson dùng để làm gì ?

A

nếu cùng 1 composite -> return phải nhất quán.
Việc tính dispersion của composite nhằm đo lường mức độ nhất quán của return

53
Q

Acceptable methods of composite dispersion

A

(1) High and low returns
(2) Range
(3) Equal-weighted standard deviation
(4) Asset-weighted standard deviation
(5) another measure chosen by the firm that fairly represents internal dispersion

54
Q

GIPS: link performance problem

A

(1) all the investment decision makers are retained
(2) intact and independent decision-making process
(3) has records that document the previous firm’s historical performance
(4) no break in the performance record (ví dụ gián đoạn 1/6 -> 1/7)

55
Q

Trường hợp Cty mẹ theo GIPS, cty con không theo GIPS, muốn total theo GIPS thì làm thế nào ?

A

yêu cầu trong 1 năm cty con phải được promote lên GIPS

56
Q

GIPS: valuation hierachy

A
  1. The quoted price for an identical asset in a liquid market on the same day.
  2. The quoted price for a similar asset in a liquid market on the same day
  3. The quoted price for identical or similar assets
    in markets that are not active
  4. A value based on market inputs (eg: P/E comparable secutities)
  5. A subjective value that is unobservable
57
Q

với các portfolio mà KH chỉ định sub-advisor thì có phải disclose không ?

A

no need to disclose in report (ko cần gộp chung với GIPS vì ko đảm bảo tính discretionary
Với portfolio mà do PM chỉ định sub advisor -> must disclose in composite vì vẫn đảm bảo discreationary do PM vẫn đang sai khiến sub-advisor

58
Q

it most likely use MWR cho TWR when ?

A

the manager can control the timing of ECF into/out of the portfolio

59
Q

the portfolio that the client does not pay fee can be add to composite ?

A

can be add to composite

60
Q

What is the minimum number of portfolios that a composite must contain to comply with the GIPS standards? Must a firm disclose the number of portfolios in a composite?

A

+ there is no minimum or maximum number of portfolios that a composite may include.
+ The GIPS standards require that firms disclose the number of portfolios in each composite as of the end of each annual period presented, unless there are five or fewer portfolios.

61
Q

how many year composite must compliance GIPS

A

+ minimum of five years of GIPS-compliant performance
+ after that, the firm must present an additional year of performance each year, building up to a minimum of 10 years of GIPS-compliant performance

62
Q

Fair value should include accrued income for bonds

A

Ethics & GIPS (3 decks)

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