I just found the tricky point in the presentation requirement: 2005 CFA Exam - Composite market values must be end of period values, not beginning of period. (When in the report) I don’t remember where - Portfolio’s market values must be beginning of period values, or beginning of period values adjusted for cash flows (when calculating composite returns) Please, correct me if I am wrong

Yep, I noticed that too - so for presentation of annual data (the usual chart) we have to show composite mkt values based on end of period data, but for calculating composite returns we have to use beg period values (possibly adjusted for cash flows).

i believe what tanyusha said is correct

To be precise, cal of composite return is computed by asset weighting the individual portfolio return based on beginning of period market value OR a method that reflect both beginning of period market value and external cash flows.

What about % of firm’s assets in composite - should it be also calculated as of the end year?

tanyusha Wrote: ------------------------------------------------------- > Yep, I noticed that too - so for presentation of > annual data (the usual chart) we have to show > composite mkt values based on end of period data, > but for calculating composite returns we have to > use beg period values (possibly adjusted for cash > flows). i’m not sure abt this. let me check. bec all i can remember is use beg values. GIPS are revised, maybe its an older version of gips… dunno.

rbaranov Wrote: ------------------------------------------------------- > What about % of firm’s assets in composite - > should it be also calculated as of the end year? yes. Remember that you can calculate this % direct from within the table (which shows all asset values at period-end) and put that % as one of the columns

Weighting is done with beginning of period values, if you can incorporate cash flows with something like modified dietz it is even better. You will do weighting every three months (quarterly). Using this weightings for the portfolios, composite returns must be calculated monthly. When you give composite value or total asset value, or their proportion, you will use end of period market value (just market value)

^ gr8 explanation hiya. wts are beg values are end

Hiya Turkiya Wrote: ------------------------------------------------------- > You will do weighting every three months > (quarterly). Using this weightings for the > portfolios, composite returns must be calculated > monthly. MUST monthly? I think during 2006-2010 you can have quarterly composite returns (2A6)

sticky Wrote: ------------------------------------------------------- > Hiya Turkiya Wrote: > -------------------------------------------------- > ----- > > You will do weighting every three months > > (quarterly). Using this weightings for the > > portfolios, composite returns must be > calculated > > monthly. > > MUST monthly? I think during 2006-2010 you can > have quarterly composite returns (2A I remember as monthly asset weighting is recommended, quarterly asset weighting is ok but return calculation at least monthly. (even real estate is valued quarterly, right?)

Hiya Turkiya Wrote: > I remember as monthly asset weighting is > recommended, quarterly asset weighting is ok monthly composite returns are recommended. quarterly COMPOSITE RETURNS (by weighting portfolio returns) is minimal. > but return calculation at least monthly. It does not mandate monthly portfolio returns, though highly recommended. Note that monthly (portfolio) VALUATION is mandatory NOW. > (even real estate is valued quarterly, right?) Yes, starting 2008. (I have to report the latest value of my house to my wife every quarter now … )