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小木头 · 2020年05月11日

问一道题:NO.PZ2016040303000034

问题如下:

ABC Investment Management acquires a new, very large account with two concentrated positions. The firm’s current policy is to add new accounts for the purpose of performance calculation after the first full month of management. Cupp is responsible for calculating the firm’s performance returns. Before the end of the initial month, Cupp notices that one of the significant holdings of the new accounts is acquired by another company, causing the value of the investment to double. Because of this holding, Cupp decides to account for the new portfolio as of the date of transfer, thereby allowing ABC Investment to reap the positive impact of that month’s portfolio return.

选项:

A.

Cupp did not violate the Code and Standards because the GIPS standards allow composites to be updated on the date of large external cash flows.

B.

Cupp did not violate the Code and Standards because companies are allowed to determine when to incorporate new accounts into their composite calculation.

C.

Cupp violated the Code and Standards because the inclusion of the new account produces an inaccurate calculation of the monthly results according to the firm’s stated policies.

解释:

C is correct.

Answer Cupp violated Standard III(D) –Performance Presentations when he deviated from the firm’s stated policies solely to capture the gain from the holding being acquired. Answer A is incorrect because the firm does not claim GIPS compliance and the GIPS standards require external cash flows to be treated in a consistent manner with the firm’s documented policies. Answer B is incorrect because the firm does not state that it is updating its composite policies. If such a change were to occur, all cash flows for the month would have to be reviewed to ensure their consistent treatment under the new policy.

Before the end of the initial month, Cupp notices that one of the significant holdings of the new accounts is acquired by another company, causing the value of the investment to double.这句话没太懂是什么意思。发现账户的其中一个持仓是别的公司获得的是什么意思?然后导致投资价值翻番?

1 个答案

王暄_品职助教 · 2020年05月12日

嗨,爱思考的PZer你好:


意思是:Cupp发现新设账户里的一种重仓资产也被其他的公司买入,导致这个资产价格升高,则这个新设账户的资产市值翻了一倍。(所以如果把此新设账户纳入公司业绩计算的话,则也会给公司业绩大幅度提升。)


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