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sliang · 2024年10月15日

GIPS

NO.PZ2022010501000010

问题如下:

A charitable foundation transfers securities in kind to Taurus Asset Management Ltd. to fund a new bank loan portfolio. Taurus estimates that after liquidating the transferred securities, it will take five months to invest the foundation’s assets in bank loans. Which statement best describes a requirement of the GIPS standards? Taurus must include the foundation’s portfolio in the appropriate composite:

选项:

A.

on a timely and consistent basis.

B.

when the assets are substantially invested.

C.

as of the beginning of the next full measurement period.

解释:

A is correct.

The GIPS standards state, “Composites must include new portfolios on a timely and consistent basis after each portfolio comes under management.” In this case, it is expected to take an extended period to invest the new client’s assets in accordance with the composite strategy. Assuming Taurus complies with the GIPS standards, its documented policy would provide for the inclusion of new bank loan portfolios in the composite on a timely basis. For example, Taurus’s policy may require new portfolios to be included in the composite as of the first full measurement period that the assets are fully invested. Taurus must apply its policy consistently.

GIPS 标准规定,“在管理每个组合后,Composites 必须及时且一致地包括新组合。”在这种情况下,根据composite策略,预计需要较长时间来投资新客户的资产。假设 Taurus 符合 GIPS 标准,其书面政策将规定及时将新的银行贷款组合纳入Composites 。例如,Taurus 的政策可能要求从资产被完全投资的第一个完整计量期开始,将新的投资组合包括在Composite中。

请问在composite中加入新的portfolio和另一个知识点 - composite中有significant cash flow怎么区分?

  1. 新的portfolio就必须在下一个period中加入composite么?不管有没有fully invest
  2. composite中有significant cash flow,就要等significant cash flow fully invest再加到composite中?
3 个答案
已采纳答案

伯恩_品职助教 · 2024年10月16日

嗨,努力学习的PZer你好:


如果说没有fully invest就不能放到composite中,那这100万在没有fully invest之前算是cash么?如果是cash的话,不是要放到composite里算return么?晕了,请老师解答,谢谢——不放,cash计算收益是指基金已经在composite里的时候要把cash的return加进去。而现在还没放到composite里,所以cash的return只能算在portfolio。

比如基金A的cash收益是基金A的,只有基金在composite里的时候基金A的所有收益都要算在composite里,没在就不算

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伯恩_品职助教 · 2024年10月15日

嗨,努力学习的PZer你好:


如果新的portfolio还没有fully invested,怎么办呢?比如投资人说要投100万买债券,那么portfolio manager可能要花3个月的时间去fully invest这100万,那在fully invest之前,应该怎么对待这100万呢?|——就先慢慢建仓,等建仓好后在放进composite里。之前和composite无关,但是在portfolio里就正常计算收益。简单说就是建仓的时候由于没有完全买入资产,会无法反应真实的业绩水准,所以等建仓好后再放入composite里正常参与计算收益

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

伯恩_品职助教 · 2024年10月15日

嗨,努力学习的PZer你好:


请问在composite中加入新的portfolio和另一个知识点 - composite中有significant cash flow怎么区分?——前者是加入一个新的portfolio,后者是因为原来的portfolio因为significant cash flow导致不能正常体会业绩,所以对这个portfolio做一些处理,例如temporarily removed from the composite.等建仓完后再加入。


  1. 新的portfolio就必须在下一个period中加入composite么?不管有没有fully invest——要fully invested才行,是指fully invested后的下一个period。
  2. composite中有significant cash flow,就要等significant cash flow fully invest再加到composite中?——也可以用use temporary new accounts to remove the effect of a significant cash flow. 



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