Complying with the Global Investment Performance Standards (GIPS) / Frank J. Fabozzi Series (PDF)

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

Bruce J. Feibel is Managing Director of Investment Manager
Products at BNY Mellon. Formerly, Mr. Feibel was Chief Strategy
Officer for Eagle Investment Systems, a BNY Mellon company. Prior
to this he was a principal at State Street Global Advisors. He is
also the author of the book Investment Performance
Measurement, published by Wiley. He earned his B.S. in
accounting from the University of Florida. Feibel is a CFA
charterholder, a member of the GIPS Risk Standards Working Group,
and a past member of the CFA Institute Investment Performance
Council.

Karyn D. Vincent is the founder of Vincent Performance
Services LLC, a provider of GIPS verification and consulting
services. Prior to this, she was a partner at
PricewaterhouseCoopers and was responsible for the firm's
verification practice globally. Vincent currently chairs the GIPS
Interpretations Subcommittee and is a member of the GIPS Executive
Committee. Previously she chaired the GIPS Verification
Subcommittee. Vincent earned her B.S. in accounting from the
University of Massachusetts Dartmouth, and is a CFA charterholder
and a CIPM certificant.

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