I certainly hope this is one of the last maybe 7 or so friday’s I spend doing this crap… Lets get the ball rolling on this memorization reading, provide a list of the relevant points to know for GIPS, I will list all of them that I have written down and found relevant. GIPS MEMORIZATION ITEMS: Valuation for Portfolios: Before Jan 1, 2001 - quarterly. Jan 1, 2001 - Jan 1, 2010 - monthly, post Jan 1 2010 - date of all large external CF’s Returns for Portfolios:Prior to Jan 1 2005 (original dietz). Jan 1 2005 - must use method that approximates returns that adjust for daily wtd external CFS (modified dietz, modified IRR). Jan 1 2010 - Date of all large external CF’s Composite Returns: Jan 1 2006, Asset Weight portfolio returns using quarterly info. Jan 1 2010, Asset Weight using monthly [asset weightings use beginning FMV not ending] Trade Date accounting required post Jan 1 2005 Carve out returns - prior to Jan 1 2010 must state how cash was allocated to the carve-out portion (beg period or strategic asset). Jan 1 2006 must disclose percent composite represented by carve-outs. Jan 1 2010 can only use carve-out returns in composite if carve-out is actually managed in a separate account w/ it’s own cash balance Real estate - Quarterly valuation Begins Jan 1 2008, annual prior. Once every 3 years value by independent 3rd party professional, beg 2012 this 3rd party requirement becomes annual. Private equity - Report both gross and net Since Inception IRR (SI-IRR). SI-IRR must use daily CF’s beg Jan 1 2011, for prior periods it can be monthly but must say so if the case. Valued annually by experienced individuals under direct supervision of Sr. Mgmt. WRAP / SMA ports: must present net of the entire fee regardless of the fees contained w/in the wrap fee. If the wrap/sma is a style defined composite, must include all portfolios that fir this style regardless of the sponsor. If composite includes only sponsor ports, wrap/sma can choose to not show the presentation net of the entire fee, but must disclose the sponsor, and that the “sponsor-specific” presentation is only for use by the listed sponsor (to avoid people getting all confused thinking they can get that particular fee breakdown) < 6 portfolios means dont need to report dispersion method < 5 ports means don’t need to list # ports Beg Jan 1 2011 3 yr Standard Deviation of composite AND benchmark returns needed GIPS FORMULAS: Original dietz (pre 2005, assumes midpoint received cashflow): (emv-bmv-cf)/(bmv+0.5cf) modified dietz (2005 - 2010) (weights cfs for period held in port): (emv-bmv-cf)/(bmv+weight*cf), where weight = time held in port, example if 30 calender days and you get cashflow on day 20, you have it for 10/30 days or 0.3333 weight Modified IRR (2005 - 2010) (also weights cfs for period held in port): Sum[Fi(1+R)^wi] ---- weight calculated same as above, solve for R For daily valuation beginning Jan 1 2010, use TWRR and geometrically link sub-period returns Real Estate Capital Employed = Co +[sum (cf*wi)] ---- again, weight calc as previously said Capital Return =( MV1-MV0-Capex+Sales)/Capital Employed - because MV1 will be reduced by sales, but sales are inflows, you must add them back, likewise capex are outflows Income Return = (Inc - NRE - INT-Tp) / Capital employed Inc =gross int income, NRE = non-refundable expense, INT = int on debt, Tp = prop taxes Capital return + Income Return = Total Return
PS in return i would like someone to post something similar on the asset manager code and differences or key points vs normal ethics 
Wording of Compliance Statement = (insert firm name) has prepared and presented this report in compliance with GIPS. 1) Input Data: All necessary data must be collected and maintained, Valuations on Market Values Since 1/1/01 must be valued monthly, quarterly prior to that. 1/1/10 also on the date of any large external Cash Flow. Trade Date Accounting started on 1/1/2005 Consistent Start/end annual valuations as of 1/1/2006 Recommendations: Accrual accounting for Dividends and Management fees, monthly Valuations on last Business day or Calendar Day 2) Calculation Methodology: Time-weighted; geometrically linked returns 1/1/05 Approximite return, cash flows 1/1/10 Revalue at each large Cash Flow Asset weighted returns (not equally weighted) Must include cash / mmkts Net of actual NOT ESTIMATED trading costs 1/1/06 = at least Quarterly 1/1/10 = Monthly Recommendations: Return net of all non-reclaimable witholding taxes, reclaimable withholding taxes should be accrued Asset weighted portfolio returns at lease monthly Value portfolio at each large external Cash Flow 3) Composite Construction: All: fee-paying, discretionary portfolios must be in at least 1 composite Non-fee-paying May be included No NONDISCRETIONARY PORTFOLIOS Terminated Portfolios are included in historic record up to last FULL MEASUREMENT PERIOD No simulated or Model portfolios, no ports below minimum asset level. 4) Disclosures (26 of them) 1) How “Firm” is Defined 2) Availability of complete list and description of all composites 3) Min asset level below with ports are not included 4) Currency used to show performance 5) Presence, use and extent of leverage or derivatives 6) Weather returns are gross or net of fees 7) Details of withholding tax treatment 8) Any exchange rate inconsistencies 9) Conformity with local laws that differ from GIPS 10) Period and NATURE of non-compliance for periods pre-1/1/2000 11) Policy used to allocate cash to carve-out returns 12) Fee Schedule 13) % of assets under bundled fees 14) Content of bundled fees 15) If presented gross of fees, any fees deducted in addition to direct trading expenses 16) If net of fees, any fees deducted in addition to management fee and direct trading expenses 17) Additional information on calculating and reporting returns is available 18) Use and period of sub-advisors 19) Any significant events that could have affected performance 20) A description of the composite 21) Date and reason for "redefining of firm 22) Date and nature of composite redefinition 23) Changes to composite name 24) Composite creation DATE 25) Disclosure if last business/calendar day of month not used (until 1/1/2010) 26) Which internal dispersion measure used
Thanks.
great list thanks guys
Keep posting cpepin. Know’s not the time to get lazy. 
cpepin Wrote: ------------------------------------------------------- > Wording of Compliance Statement = (insert firm > name) has prepared and presented this report in > compliance with GIPS. > > 1) Input Data: All necessary data must be > collected and maintained, Valuations on Market > Values > Since 1/1/01 must be valued monthly, quarterly > prior to that. > 1/1/10 also on the date of any large external Cash > Flow. > Trade Date Accounting started on 1/1/2005 > Consistent Start/end annual valuations as of > 1/1/2006 > Recommendations: Accrual accounting for Dividends > and Management fees, monthly Valuations on last > Business day or Calendar Day > > 2) Calculation Methodology: > > Time-weighted; geometrically linked returns > 1/1/05 Approximite return, cash flows > 1/1/10 Revalue at each large Cash Flow > Asset weighted returns (not equally weighted) > Must include cash / mmkts > Net of actual NOT ESTIMATED trading costs > 1/1/06 = at least Quarterly > 1/1/10 = Monthly > Recommendations: Return net of all non-reclaimable > witholding taxes, reclaimable withholding taxes > should be accrued > Asset weighted portfolio returns at lease monthly > Value portfolio at each large external Cash Flow > > 3) Composite Construction: > All: fee-paying, discretionary portfolios must be > in at least 1 composite > Non-fee-paying May be included > No NONDISCRETIONARY PORTFOLIOS > Terminated Portfolios are included in historic > record up to last FULL MEASUREMENT PERIOD > No simulated or Model portfolios, no ports below > minimum asset level. > > 4) Disclosures (26 of them) > 1) How “Firm” is Defined > 2) Availability of complete list and description > of all composites > 3) Min asset level below with ports are not > included > 4) Currency used to show performance > 5) Presence, use and extent of leverage or > derivatives > 6) Weather returns are gross or net of fees > 7) Details of withholding tax treatment > 8) Any exchange rate inconsistencies > 9) Conformity with local laws that differ from > GIPS > 10) Period and NATURE of non-compliance for > periods pre-1/1/2000 > 11) Policy used to allocate cash to carve-out > returns > 12) Fee Schedule > 13) % of assets under bundled fees > 14) Content of bundled fees > 15) If presented gross of fees, any fees deducted > in addition to direct trading expenses > 16) If net of fees, any fees deducted in addition > to management fee and direct trading expenses > 17) Additional information on calculating and > reporting returns is available > 18) Use and period of sub-advisors > 19) Any significant events that could have > affected performance > 20) A description of the composite > 21) Date and reason for "redefining of firm > 22) Date and nature of composite redefinition > 23) Changes to composite name > 24) Composite creation DATE > 25) Disclosure if last business/calendar day of > month not used (until 1/1/2010) > 26) Which internal dispersion measure used 2011 GIPS is significantly different for FY2010. The above is from FY2010 GIPS, so Reader beware
Just a clarification for markCFAIL list: Need to disclose number of portfolios if 6 or more portfolios, also need internal dispersion measure if six or more portfolios (pg 314 CFAI) Just wasn’t obvious
i’ve found 2 things to be kinda helpful w. GIPS 1. if you take a step back and ask “what would i want to know as an investor about this performance evaluation” - that actually helps a surprising amount 2. i noticed that the rules over time changed along w development & spread of PCs. seriously, you didnt used to be able to handle daily CF accounting, but now you can. that kind of helps. also, I seriously doubt that CFAI is going to test on the timeline of GIPS. I just can’t picture it. I see them testing on substance: like … are you showing the right info in substance. i just don’t see them setting a problem back to 2005 and asking for the required CF accounting method. does anyone know what the approximate GIPS exam weight is? Also, does anyone know how many ffin years you’re supposed to show? My notes say “at least five up to 10” when are you required to show 5 versus 10? mucho gracias.
I would agree, except for the fact that the end of chapter problems are basically Modified Dietz and asset weighted cash flow calculations.
i can totally see a RE calculation on income and capital also
I made a large fold out GIPS calendar with all those stupid dates on there. Good Post
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Up! Are all 26 Disclosures in the above post a must, reccommendations, or they’re mixed?
Thanks!