NO.PZ2022010601000011
问题如下：
GTA is an investment management company. They set a minimum asset level of 50 million euros for a composite of mid-cap stocks. When GTA's investment manager Johnson managed this portfolio, due to market volatility caused by the Fed's interest rate hike, the value of this mid-cap stock portfolio below the composite-specific minimum asset level for 3 months. At this time, considering that it is the prime time for value investment, the client made additional contributions and his assets regained more than 50 million euros. Within 3 months of the investment portfolio being below the composite minimum asset level, Johnson must:
选项：
A.
temporarily switch the Johnson portfolio to the firm’s miscellaneous composite.
B.
include the Johnson portfolio in the mid-cap stocks composite in all measurement periods.
C.
exclude the Johnson portfolio from the mid-cap stocks composite for the period it was below the minimum asset level.
解释：
C is correct.
GIPS 标准规定，“如果公司为要包含在 composite中的投资组合设定了最低资产水平，则公司不得在该 composite中包含低于最低资产水平的投资组合。”但是，公司可以设定一个最低资产水平的添加值，在该水平上将投资组合添加到composite中，然后设置另一个不同于添加值的移除值，投资组合必须从 composite中移除（打个比方，移入的最小资产水平是500万，移除的资产水平是400万）。除非Johnson的政策为从composite中添加和删除投资组合指定不同的最低资产水平，否则当投资组合的资产低于最低值时，Johnson必须将这个已经低于最低资产值的中盘股投资组合从这个composite中移除，并在再次符合条件时将其返回到 composite中。 A 不正确，因为必须根据类似的投资指令、目标和/或策略来定义组合；不应有“杂项”组合。
3.A.11 If the firm sets a minimum asset level for portfolios to be included in a composite, the firm:
Must not include portfolios below the composite-specific minimum asset level in that composite.
Must not apply retroactively any changes to that composite-specific minimum asset level.
暂时移除之后这个portfolio有没有可能没有包含在任何composite中，那规定“所有满足discretionary fee- paying和actual的SMA账户都要加入composite要怎么满足呢？另外三个月移除期间，需不需要单独写附录说明这个问题，毕竟原composite业绩计算方法不一样了
