NO.PZ2022010501000014
问题如下：
Midwest National Bank manages a domestic equity portfolio for the Springfield Municipal Employees’ Retirement Fund (SMERF), a mature defined benefit pension plan. The SMERF portfolio is included in Midwest’s Institutional Equity composite. The composite description states, “Portfolios included in the Institutional Equity composite are actively managed for long-term capital appreciation.” SMERF’s investment policy statement includes the following provisions:
All security transactions must be approved in advance by the SMERF Investment Committee. SMERF anticipates making regular net withdrawals in substantial amounts from the portfolio to meet pension liabilities. SMERF staff will prepare a schedule of withdrawals at the beginning of each fiscal year. The portfolio manager must manage liquidity so as to disburse funds in accordance with the withdrawal schedule.
In view of these restrictions, discuss whether Midwest National Bank can justify including the SMERF portfolio in the composite.
选项：
解释：
The GIPS standards prohibit including non-discretionary portfolios in composites. IPS restrictions do not necessarily render a portfolio non-discretionary. It is up to the investment management firm to define discretion and to determine whether it has the discretion to implement the investment strategy, given the restrictions of the IPS. In this case, however, it appears likely that SMERF’s policy requiring transactions to be approved in advance by the Investment Committee and the pension plan’s liquidity needs prevent Midwest National Bank from fully implementing the investment objective of achieving long-term capital appreciation through active management. If so, Midwest National Bank must classify the SMERF portfolio as non-discretionary and exclude it from all composites.
GIPS 标准禁止在组合中包含非全权委托投资组合。 IPS 限制并不一定会使投资组合成为非全权委托。鉴于 IPS 的限制，由投资管理公司定义自由裁量权并确定其是否具有实施投资策略的自由裁量权。然而，在这种情况下，SMERF 要求交易事先获得投资委员会批准的政策以及养老金计划的流动性需求似乎阻碍了中西部国家银行全面实施通过积极管理实现长期资本增值的投资目标。如果是这样，中西部国家银行必须将 SMERF 投资组合归类为非全权委托，并将其从所有composites中排除。
看了下老师之前的回答，所以只要是manager不能自己独立、迅速、及时决策，就不是discretionary是吧
