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.
如果这道题问的是有没有violate GIPS, 那么应该是no.
但因为是code and stanards, 所以是yes. code & standards是不允许因为significant holdings就进行调整的,因为这样会让return不准确.