GIPS REQUIRED DISCLOSERS • Firms must disclose definition of “firm” used to determine the total firm assets and firm wide compliance. • Firms must disclose the availability of a complete list and description of all the firm’s composites. • Firms must disclose the minimum asset level, if any, below which portfolios are not included in a composite. Firms must also disclose any changes to the minimum asset level. • Firms must disclose the currency used to express performance • Firms must disclose the presence, use, and extent of leverage or derivatives (if material), including a sufficient description of the use, frequency and characteristics of the instruments to identify risks. • Firms must clearly label returns as gross of fees or net of fees. • Firms must disclose relevant details of the treatment of withholding tax on dividends, interest income, and capital gains. If using indices that are net of taxes, the firm must disclose the tax basis of the benchmark. • Firms must disclose and describe and known inconsistencies in the exchange rates used among the portfolios within a composite and between the composite and the benchmark. • If the presentation conforms with local laws and regulations that differ from GIPS requirements, firms must disclose this fact and disclose the manner in which the local laws and regulations conflict with the GIPS standards. • For any performance presented periods prior to Jan 2000 that does not comply with GIPS, firms must disclose the period of noncompliance and how the presentation is not in compliance with the GIPS standard. • For periods prior to Jan 2010, when a single asset class is carved out of a multiple asset portfolio and the returns are presented as part of a single asset composite, firms must disclose the policy used to allocate cash to the carve out returns. • Firms must disclose the fee schedule appropriate to the presentation. • If a composite contains portfolios with bundled fees, firms must disclose for each annual period shown the percentage of composite assets that is bundled fee portfolios. • If a composite contains portfolios with bundled fees, firms must disclose the various types of fees that are included in the bundled fee. • When presenting gross of fee returns, firms must disclose if any other fees are deducted in addition to the investment management fee and direct trading expenses. • When presenting net of fee returns, firms must disclose if any other fees are deducted in addition to the investment management fee and direct trading expenses. • Firms must disclose that additional information regarding policies for calculating and reporting returns is available upon request. • Beginning Jan 2006, firms must disclose the use of a sub-advisor and the period(s) a sub-advisor was used. • Firms must disclose all significant events that would help a prospective client interpret the performance record. • Firms must disclose the composite description, objectives, style and strategies. • If a firm is re-defined, the firm must disclose the date and reason for the de-definition. • If a firm had a re-defined composite, the firm must disclose the date and nature of the change. Changes to composites are not permitted to be applied retroactively. • Firms must disclose any changes to the name of composite. • Firms must disclose the composite creation date. • Firms must disclose if, prior to Jan 2010, calendar month-end portfolio valuations or valuations on the last business day of the month are not used • Firms must disclose the dispersion of returns of the individual portfolios in the composite and which dispersion measure is used. Year Total Return Benchmark Return # of Portfolios Composite Dispersion Total Assets (EOP) % of Firm Assets Total Firm Assets GIPS Real Estate • Real Estate investments must be valued at market value at least once every 12 months. For periods beginning Jan 2008, real estate must be valued at least quarterly. • In addition to GIPS, Real Estate must disclose the calculation methodology for component returns (1) Calculated separately using chain-linked time-weighted rates of return, (2) adjusted so the sum of the income return and the capital return is equal to the total return, or (3) income cash recognition mode. • The income and capital appreciation component returns must be presented in addition to total returns. Capital Employed CE = CO + ∑(CFi * wi) Capital Return RC = MV1 – MV0 - Ec + S CE Income Return RI = INCA - ENR - INTD - TP CE • The income and capital return components sum to the total return for each quarter (RT = RC + RI for each quarter) • The annual income and capital components DO NOT sum to the annual return (RT ≠ RC + RI for the year) *GIPS only Recommends the disclosure of income, capital and total returns for an appropriate benchmark. Real Estate Provisions Input data: • Real estate assets must be valued at market value at least annually; at least quarterly beginning Jan 2008. • Real Estate assets must be valued by an outside trained professional at least every three years. Required Disclosures: • The methodology used to calculate returns which must be chain-linked and time-weighted. • How the firm describes discretionary. • Valuation methods including all procedures used to accumulate and measure data. • Internal dispersion; the range of returns for individual accounts in the composite. • Whether valuations are performed internally or externally. • The percentage of total market value of the composite that has been determined by outside valuators. • The frequency at which outside valuators are used to value investments in the composite. Presenting and Reporting: • In addition to the total return, the capital return and income return components must be disclosed and must sum to the total return. GIPS Private Equity Presentation and Reporting Requirements • Firms must present both net of fees and gross of fees annualized SI-IRR of the composite for each year since inception. • For each period presented, firms must report: a. Paid in capital to date b. Total current invested capital c. Cumulative distributions to date • For each period presented, firms must report the following multiples: a. Total value paid in capital (Investment Multiple / TVPI) b. Cumulative distributions to paid in capital (Realization / DPI) c. Paid in capital to committed capital (PIC) d. Residual value to paid in capital (RVPI) • If a benchmark is shown, the cumulative annualized SI-IRR for the benchmark that reflects the same strategy and vintage year of the composite must be presented to the same periods for which the composite in shown, the presentation must explain why no benchmark is shown. Presentation and Reporting Recommendations • Firms should present the average holding period of the investment over the life of the composite. Valuation • Valuations must be prepared with integrity and in a professional manner. • Valuations must be prepared by individuals with the necessary experience and ability. • Individuals performing the valuation must be under direct supervision of senior management. • Valuation review procedures must be documented. • Valuation should be transparent. • Methodologies used for the most recent private equity valuations must be fully disclosed. • Fair value bases is recommended for all valuations but any valuations must recognize when any portfolio asset has fallen in value. • Valuations must be performed and presented in a consistent manner. • Any changes in valuation method or basis must be explained. If material, effects of the change must be reported. • At minimum, valuations must be prepared annually. Recommended Valuation Hierarchy • Market Transaction • Market based multiple • Discounted Cash Flows Equity Provisions Input Data: • Private Equity assets must be valued at least annually according to GIPS Private Equity valuation Principles. Calculation Methodology: • Annualized since-inception internal rate of return (SI-IRR) • SI-IRR must be calculated using daily of monthly cash flows and end of period valuations. • Net of fees returns must be calculated with considerations given to management fees, carried interest, and transaction expenses. • For presentation by investment advisors: Presented net of fees returns must consider all partnership fees, fund fees, carried interest and advisor fees. Composite Construction: • All closed end private equity investments including fund of funds, partnerships, or other direct investments must be included in a composite defined by strategy and vintage year. • Open end private equity investments must be in a separate composite. Required Disclosures: • Vintage year of composite • Date of closing for any closed composite • Unrealized appreciation or depreciation of the composite for the period • Total committed capital for the composite • Valuation methodology used, any changes in methodology since the prior year, and reasons for any changes. • Disclosure of local guidelines that have been followed in addition to or instead of GIPS guidelines. • Valuations procedures used and that written procedures are available upon request • The composite investment strategy • The benchmark used (if any) and the return calculation methodology applied to the benchmark • If a basis other than fair value is used for assets in the composite, firms must disclose why a fair value methodology was not used. Also they must disclose: a. The value of non-fair value investments as a percent of total fund value b. The number of investments carried at other then fair value c. The total value of investments carried at other then fair value • Whether daily or monthly cash flows are used in calculating SI-IRR • Period end, if other than calendar year end. Presentation and Reporting: • Both net of fees and gross of fees composite SI-IRR for each year since inception. • For every period presented for the composite a. Paid in Capital b. Total Invested Capital c. Cumulative distributions to date • For every period presented for the composite, the firm must present multiples: a. Total value to paid in capital b. Cumulative distributions to date to paid in capital c. Residual value to paid in capital • The cumulative annualized SI-IRR for the benchmark. The benchmark must reflect the same vintage year and strategy as the composite. Explanation in no benchmark is used.
Sorry some of the symbols in Word don’t come across on here
woo hoo - thank you
Does anyone have something nice as this for Economics list ? I am going mental with that one !
answered my own question.
Great thanks MGG!
analystforum is replacing schweser