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 belongs to 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.
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 should classify the SMERF portfolio as nondiscretionary and exclude it from all composites. (See Section 3.7 of the reading.)
请问为何这家bank要exclude这个pension fund呢？没看懂答案。
