The Investment Advisor Body of Knowledge + Test Bank. IMCA
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Название: The Investment Advisor Body of Knowledge + Test Bank
Автор: IMCA
Издательство: John Wiley & Sons Limited
Жанр: Зарубежная образовательная литература
isbn: 9781118912348
isbn:
D. The consultant should use “best efforts” to ensure that any rate-of-return comparisons are reasonable and appropriate.
E. The consultant should present annual and cumulative returns for each performance composite to clients in a format that facilitates the objective comparison of one manager with another. At a minimum, each year and each longest common time period should be included in the report. Returns for client-requested time periods, market cycles, or other time periods should be presented when needed. At a minimum, the returns for each composite should be presented from the inception of the firm, the inception of the investment product, or 10 years – whichever is shorter.
F. Rates of return for periods longer than one year should be presented in annualized form. Returns for periods shorter than one year should never be annualized.
G. Statistical measures of risk
1. In addition to rates of return, measures of risk should be presented to give the client a more complete picture of the investment manager's results. The consultant should determine the number of observations that are sufficient for risk calculations.
2. At a minimum, portfolio risk should be measured by calculation of an annualized standard deviation derived from monthly or quarterly total rates of return for a meaningful reporting period (as determined by the consultant).
3. Measures of beta, residual standard deviation, correlation, covariance, semivariance, or other measures may be presented when appropriate.
4. Presentation of fundamental portfolio characteristics such as price-earnings ratio, duration, yield, or quality is encouraged.
H. Benchmarks
1. The intent in including benchmark comparisons is to provide the client with a means of comparing the investment managers being evaluated.
2. The consultant should ensure that benchmarks are appropriate.
3. Comparisons should be made for any time periods for which performance composite results are being presented. At a minimum, annual and cumulative returns should be compared. The inclusion of other time periods (e.g., quarterly, market cycles) is encouraged.
4. Comparisons must include the presentation of appropriate measures of risk over time; these measures might include standard deviation of return and beta.
I. Sample peer comparisons
1. The consultant should determine the appropriate investment product sample or grouping, based on information analyzed by the consultant.
2. The consultant should disclose to the client the composition of any investment product sample used, including the treatment of fees.
3. The consultant should disclose to the client that biases appear in all peer group samples, such as survivor, back-fill, classification, and composition biases.
J. Information provided to the client directly by the investment manager(s) should be in compliance with GIPS. The consultant is responsible for providing the client with appropriate disclosures regarding potential conflicts of interest, relevant business relationships, and other pertinent considerations.
IV. NONTRADITIONAL ASSET CLASSES
A. Types of assets
These asset classes would include, but would not be limited to, derivative securities, municipal bonds, private investments, commodities, and real estate.
B. Treatment
Nontraditional assets should generally be handled in accordance with GIPS.
C. Disclosure
Because many nontraditional asset classes involve complex investment strategies, complete disclosure of the nature and consequences of the investment strategies being used is essential.
Section 3: Reporting Performance Results to Clients
This section presents guidelines to be followed by the consultant in monitoring the historical and ongoing investment performance results of a client's existing investment managers.
I. SOURCES OF DATA
A. The data obtained for performance measurement purposes should consist of security market values and transactions.
B. The sources of data used in monitoring the historical and ongoing investment performance of a client's investment managers should be independent of the investment manager being evaluated. The consultant should avoid using data obtained directly from the manager unless these data are the sole available source of information. In this case, the consultant should substantiate the data whenever possible and must disclose their use to the client.
C. The preferred source of data is the custodian (bank, brokerage firm, insurance company, or others providing custodial services) that provides independent valuation of all security holdings and all portfolio transactions. Performance results, where possible, should be reconciled with the manager's reported performance.
D. Whenever summary market valuations, cash flows, or returns obtained from another consultant, the custodian, or the client are used instead of the original data, the consultant should use “best efforts” to confirm the validity and accuracy of the aggregation process. Additionally, the consultant should obtain information regarding the basis of the aggregated data – for example, cash versus accrual, trade date versus settlement date, gross basis (before deduction of fees) versus net basis (after deduction of fees).
E. The client should be informed regarding the source(s) of data used for performance reporting, particularly the use of noncustodial sources.
F. For mutual funds, the consultant may use data obtained from a third-party provider. The source of the data must be disclosed to the client.
G. There are special considerations regarding the collection of historical data for a new client or portfolio:
1. For reasons such as lack of original statements or client cost constraints, historical data sometimes may have to be obtained in compiled form from a consultant, the custodian, or the client.
2. If historical data are obtained from several different sources, the consultant should use best efforts to confirm that all data being used are consistent. The consultant should avoid mixing dissimilar data and should note the potential impact to the client when historical data are obtained from more than one source.
3. If dissimilar data must be used, the consultant should ensure that adjustments are made as necessary to ensure that discrepancies or discontinuities are not introduced into the performance results.
4. The amount of historical data obtained should be consistent with the reporting goal of providing the client an accurate assessment of past performance.
H. Composite, model, or hypothetical returns should not be used for monitoring the historical and ongoing investment performance results of a client's existing investment managers.
I. Frequency of data collection
1. The interval of valuation СКАЧАТЬ