Complying with the Global Investment Performance Standards (GIPS)

The first and only comprehensive explanation of GIPS, including how to comply with and implement them While the CFA Institute has published Global Investment Performance Standards (GIPS) for years, there has never been a serious discussion of their implementation and best use. In this new book, that void is filled, and you'll quickly discover how to calculate, present, and interpret investment performance conforming to standards that are currently used in over thirty countries worldwide. Covering both the mathematics of relevant investment statistics and the policies and procedures for achieving and maintaining compliance, this book is a comprehensive guide to successfully using GIPS standards in today's turbulent investment environment. Chapters include information on GIPS fundamentals, performance composites, risk and dispersion measurement, and much more Examples are provided throughout, and supplemental formulas make the book usable as a reference Provides the detailed knowledge currently needed by a large group of investment professionals If you're in the field of finance, Complying with the Global Investment Performance Standards (GIPS) is a book you need to read.

Table of Contents:
About the Authors xi Preface xiii Acknowledgments xv Introduction xvii PART ONE: Explanation of the GIPS Standards CHAPTER 1. Fundamentals of Compliance 3 Scope of the GIPS Standards 3 History of the GIPS Standards 4 Governance of the GIPS Standards 5 Organization of the GIPS Standards 7 Fundamentals of Compliance 8 Summary 12 CHAPTER 2. Defining the Firm and Composites 13 Defining the Firm 13 Defining Composites 23 Summary 50 PART TWO: The Methodology for Calculating Returns CHAPTER 3. Portfolio Return Measurement 53 Single Period Rate of Return 54 Time Value of Money 63 Performance of the Investor: Money Weighted Returns 67 Internal Rate of Return 71 Performance of the Investment Manager: Time Weighted Returns 77 Portfolio Return Calculations for the GIPS Standards 82 Summary 90 CHAPTER 4. Composite Return Measurement 91 Composite Constituents 91 Composite Returns 93 Single Period Composite Return Considerations 97 Multi-period Composite Returns 100 Summary 107 CHAPTER 5. Dispersion and Risk Measurement 109 Internal Dispersion 109 Equal Weighted Dispersion 111 Asset Weighted Dispersion 114 Risk 119 Summary 137 PART THREE: Reporting and Maintaining Compliance with the GIPS Standards CHAPTER 6. Disclosing and Advertising Composite Performance 141 Required Numerical Information 141 Required Disclosures 149 Length of Time for Disclosures 168 Presentation and Disclosure Recommendations 168 Supplemental Information 170 GIPS Advertising Guidelines 171 Summary 177 CHAPTER 7. Wrap-Fee/SMA, Private Equity, and Real Estate 179 Wrap-Fee/Separately Managed Accounts 180 Private Equity 188 Real Estate 198 Summary 203 CHAPTER 8. Maintaining Compliance with the GIPS Standards 205 Organization and Oversight 205 Return Calculation 211 Error Correction 215 Managing Composites and Presentations 220 Summary 226 CHAPTER 9. Verification 227 Verification 228 Performance Examinations 229 Verification Considerations 230 Required Verification Procedures 234 The Verifier’s Report 241 Preparing for Verification 241 Summary 245 Index 247