GIPS: new portfolio in composite

If a portfolio is newly introduced to a composite starting Q2 of the reporting year, (1) should this portfolio be counted under “number of portfolios” in the composite performance presentation? (2) how should return of this portfolio contribute to the total return of the composite? - sticky

i could be wrong as I haven’t reviewed GIPS since L1, but I believe you need at least 12 months of performance to be able to include it in a composite.

bigwilly Wrote: ------------------------------------------------------- > i could be wrong as I haven’t reviewed GIPS since > L1, but I believe you need at least 12 months of > performance to be able to include it in a > composite. Which GIPS provision mentions this? - sticky

Like I said, I haven’t reviewed GIPS since L1, so I have no idea. Look it up.

Yes, just don’t annualize the returns. It’s included at it’s performance to date. Yes, it’s included as of the full measurement period…therefore if it came in on Exactly the Start date of Q2, it would be included IN Q2 a

Don’t quite understand. Replies below: almo Wrote: ------------------------------------------------------- > Yes, just don’t annualize the returns. I understand this point. Annualizing means projecting the return and this is not allowed in GIPS. >It’s > included at it’s performance to date. What does this mean? Is this answer question (1) or (2)? > Yes, it’s included as of the full measurement > period…therefore if it came in on Exactly the > Start date of Q2, it would be included IN Q2 I agree this point as well. But this does not seem to be answering (1) or (2) >.< More feedback on this? - sticky

To answer your questions. 1) Yes. Requirement for Composite Construction section says new portfolio need to be included in its apporiate composite in a timely and consistant manner, and that particular manner needs to be documented. 2) Not sure how the return of the new port. will contribute to the composite. I guess that will depend on when it was put into the composite.

thanks. more questions below: ws Wrote: ------------------------------------------------------- > To answer your questions. > > 1) Yes. Requirement for Composite Construction > section says new portfolio need to be included in > its apporiate composite in a timely and consistant > manner, yes, that’s 3.A.3. My question is ---- should that portfolio be COUNTED under “number of portfolio” of the composite? Let say, composite A has 10 portfolios at Jan 2007 and portfolio 1 was included starting from beginning of Q3 2007. In presenting the number of portfolios for composite A, should 10 or 11 be used? - sticky

I would say 11, the new port. needs to be included (EVENTUALLY) if it is a fee-paying and discretion account. I guess the the timing for the inclusion is spelled out in firm’s disclosure section.

ws Wrote: ------------------------------------------------------- > I would say 11, the new port. needs to be included > (EVENTUALLY) if it is a fee-paying and discretion > account. I guess the the timing for the inclusion > is spelled out in firm’s disclosure section. I think so too. 5.A.1.c says “… at the end of each annual period”. Now my next question is (2): (2) how should return of this portfolio contribute to the total return of the composite? 2.A.3 mentions “beginning-of-values” to be used in the asset weighting. In this example here, portfolio 1 was simply absent from composite at period start (it was not introduced until begin of Q3). So is the weighting of portfolio 1 = 0%? If so, it seems to be a weird situation — portfolio 1 is counted as the 11th portfolio but it contributes NOTHING to the total return of the composite. Anything wrong here? - sticky

Yes, it is pretty hairy. I would think the 11th port. won’t contribute to the current period return. But it will contribute to the next period return. Once again, it is timing of the inclusion for the port. The timing policy needs to be discloused.

ws Wrote: ------------------------------------------------------- > Yes, it is pretty hairy. I would think the 11th > port. won’t contribute to the current period > return. ok. > But it will contribute to the next period > return. oh, that’s for certain. It will be full period next year. > Once again, it is timing of the inclusion > for the port. The timing policy needs to be > discloused. agree. - sticky

I am sorry about the fact that I am not really answering your questions.