微信扫一扫
实时资讯全掌握
Katherine Ng, a Global Investment Performance Standards (GIPS) specialist, has been hired as a consultant to assist Rune Managers in becoming a GIPS-compliant firm. Rune is a global asset manager with several divisions around the world that invest in both stock and bond strategies. James Arnott, a performance specialist at Rune, is responsible for the project. In their first meeting, Ng and Arnott discuss the GIPS standards and the steps Rune will need to take to become compliant.Ng recommends starting with the definition of the firm. She tells Arnott how the firm is defined will affect the process for compliance and that the Standards recommend the firm be defined as broadly as possible. Arnott replies that Rune managers have been discussing the firm definition and they want their definition to include all Rune divisions except their European division, Rune Europe. Rune Europe has its own strategies and management team that are distinct from the rest of Rune. Ng replies that the Rune Europe division should be included in the definition of the firm because the division markets itself as part of Rune Managers.Ng then asks about Rune's policies for the inclusion of portfolios in composites. Arnott responds that Rune has the following policies for all composites:Policy 1: All new accounts funded with cash or securities on or before the 10th day of the month are added to the composite at the beginning of the following month. Those funded after the 10th day of the month are added at the beginning of the 2nd month after funding or at the beginning of the calendar month after the proceeds have been substantially invested in the appropriate strategy. Policy 2: All portfolios are deemed "nondiscretionary" on the date the notice of termination of the management relationship is received and removed from the composite at the end of the month of notification.The discussion then moves on to a new composite Rune is constructing. Arnott tells Ng that the marketing department has decided to target domestic Swiss investors and would like to carve out the Swiss portion of international and global accounts for the period of 1 January 2006 through 1 January 2011 and allocate cash to each carve-out segment to create a Swiss franc (CHF) composite. Ng responds that this new composite will comply with the standards, but Rune will be required to disclose the percent of composite assets that are carve-outs for each annual period end and the policy used to allocate cash to the carve-out segments.Arnott interjects that the marketing department is looking forward to claiming GIPs compliance in advertisements. He is meeting with the marketing department and asks Ng what they need to be aware of regarding the GIPs standards in advertising. Ng responds that there are several requirements in the GIPS Advertising Guidelines. Specifically, the following must be disclosed in the advertisements: the firm description, composite and benchmark descriptions, and the number of accounts in the composite.Arnott and Ng then move on to discuss one of Rune's GIPS-compliant performance presentations, which is provided in Exhibit 1. Rune Managers claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. Rune Managers has not been independently verified.Notes:1. Rune Managers is an investment manager registered with the SEC. Rune Managers has divisions in Europe, Asia, and the United States that invest in various equity and bond strategies.2. The Rune Mid-Capitalization Equity Composite includes all institutional portfolios that invest in mid-capitalization U.S. equities with the goal of providing long-term capital growth and steady income from dividends by investing in low price-to-earnings, undervalued securities.3. A complete list and description of Rune Managers composites as well as policies for valuing portfolios and preparing compliant presentations are available upon request.4. The composite was created on 30 November 2005.5. Leverage, derivatives, and short positions are not used by this strategy.6. Performance is expressed in U.S. dollars. The returns include the reinvestment of all income. Gross-of-fees returns are presented before management and custodial fees but after all trading expenses. Net-of-fees returns are calculated by deducting the actual fees of the accounts from the gross composite return.7. The management fee schedule is as follows: 0.80% on the first $10 million, 0.55% on the next $40 million, and 0.40% on assets over $50 million.8. This presentation is not required to conform to any laws or regulations that conflict with the GIPS standards.9. Internal dispersion is calculated using the asset-weighted standard deviation of annual gross returns of those portfolios that were included in the composite for the entire year.10. The three-year annualized standard deviation measures the variability of the composite and the benchmark returns over the preceding 36-month period. The standard deviation is not presented for 2006 through 2010 because monthly composite and benchmark returns were not available and it is not required for periods prior to 2011. |
暂无解析 |