Keep them for five years or up to last full measurement period?
?
you keep the whole history that is was part of the composite. ( unless you have more than 10yr of historical data for your composite)
if it is terminated in the middle of a period, you can take it out for the whole period.
ex: ended january 24th 2013 , then you can take out the 2013 return, keep the whole previous string of historical data
keep historical record and up until they were removed. Dont think you are suppowed to remove anything historically.
Summer, so if it was terminated in June 15 you take out entire year? Or just keep through end of May?
Full measurement period is kind of ambigous. Since you need to measure the return on a monthly basis, my guess would be to keep the last full month of data. But I am not 100% sure if it is monthly, quaterly or yearly.
I just checked the CFAi, it would be the last full month.
interesting example from CFAi of a in/out acceptable policie :
“_ All new portfolios funded with cash or securities on or before the 15th day of the month shall be added to the appropriate composite at the beginning of the following month. All new portfolios funded with cash or securities after the 15th day of the month shall be added to the appropriate composite at the beginning of the second month after funding. All portfolios shall be deemed ‘non-discretionary’ on the date notice of termination is received and removed from the composite at the end of the month prior to notification. The historical performance of terminated portfolios shall remain in the appropriate composite.” _
_ Policies like the sample above allow firms a reasonable amount of time to implement the strategy without delaying inclusion of the portfolio in the appropriate composite. Each firm should develop a policy that conforms to its own investment process while meeting the GIPS standards’ requirement to include portfolios in composites on a timely basis. _
(Institute 284)
Institute, CFA. Level III 2013 Volume 6 Portfolio: Execution, Evaluation and Attribution, and Global Investment Performance Standards. John Wiley & Sons P&T, 6/18/2012. .
that is for inclusion.
for exlusion i would always go to the last full month unless he started liquidating asset and took a couple of months. i would include the last full month without liquidation
Note for inclusion there is some leeway but above is recommended. If a new account comes in with $500 million, it may take more than a week to invest all the securities. I think gips requires a policy that is consistently applied for each composite.
Exclusion, the above makes sense since portfolios are valued monthly.