Can model returns be included in performance presentation iwth full disclosure? What Standard states this specifically? Thanks,
No. I think it’s in GIPs
I’m not much of an expert of GIPS but hypothetical performance is okay with all govt agencies as long as it is clearly labeled with all the required stuff. How else would you try to get investment in a new model-based trading program? You can’t call it your performance but you can call it a very important characteristic of your model.
kleine Wrote: ------------------------------------------------------- > Can model returns be included in performance > presentation iwth full disclosure? > > What Standard states this specifically? > > Thanks, Don’t think so. 3.A.8 does not allow model portfolios to be included in a composite (whether that is disclosed or not) - sticky