全球投资业绩标准 - GIPS

　　Category: Asia, Global

　　By Heda Bayron*

　　Latest developments in GIPS

　　Making apples-to-apples comparisons of the performance of investment managers had been problematic, with significant implications on manager selection. Further complicating matters was the existence of country-specific guidelines for performance presentation.

　　The need for practitioner-driven set of ethical principles and a standardised, industry-wide approach to calculating and reporting investment results led the Association for Investment Management and Research (now known as CFA Institute) to sponsor, develop, and publish a minimum global standard. The result is the Global Investment Performance Standards (GIPS).

　　The foundation for the GIPS standards was established in 1987 with the creation of the AIMR Performance Presentation Standards (AIMR-PPS) – voluntary performance guidelines for the North American investment management industry. The GIPS committee began work in 1995 to develop one globally accepted set of standards. AIMR published the GIPS standards for public comment in February 1998. After an extensive period of public comment, the AIMR board of governors formally endorsed the GIPS standards in February 1999.

　　Over the past 15 years, GIPS has been widely accepted in the international investment management industry. To keep GIPS standards relevant to current issues in the constantly shifting asset management industry, the GIPS standards are continuously being reviewed and updated. Recent developments include new guidance on risk, the application of the GIPS standards to pooled funds and to asset owners, and an updated guidance on verifier independence.

　　The CFA Institute board of governors and the GIPS executive committee (the governing body of the GIPS standards), in collaboration with GIPS country sponsors, have recently reviewed and restructured the GIPS standards’ governance structure. The key goals for the new GIPS governance and operating structure, include: maintaining the integrity of the GIPS standards, keeping the GIPS standards relevant to the current issues of the global asset management industry, being inclusive rather than exclusive and allowing for broader stakeholder engagement, supporting increased promotion and awareness activities, and reducing the time to market with content without sacrificing quality.

　　We asked the GIPS team of CFA Institute around the world – Annie Lo in the Asia-Pacific region, Beth Kaiser, Ken Robinson, and Anju Grover in the Americas region, and Iain McAra in the EMEA (Europe, Middle East, and Africa) region – to discuss these upcoming updates to the GIPS standards.

　　Asset owners

　　While the GIPS standards have long been the industry standard for the calculation and presentation of performance for investment managers, are they applicable to asset owners as well?

　　Beth Kaiser: The GIPS standards were not originally designed with asset owners in mind. Through exposure to the GIPS standards, some asset owners recognise their benefit and have worked to apply the same principles to their own performance calculations and presentations; while historically, some thought that only asset managers were permitted to claim compliance with the GIPS standards. An asset owner is able to claim compliance if it has discretion over the assets under management. The guidance statement on the application of the GIPS standards to pension funds, endowments, foundations, and other similar entities, scheduled to be finalised in the coming months, assists asset owners claiming compliance.

　　Who is considered to be an asset owner in this context?

　　Kaiser: Under the guidance statement, asset owners include, but are not limited to, pension funds (both public and private), endowments, foundations, family offices, provident funds, insurers and reinsurers, sovereign wealth funds, other institutional asset owners, and fiduciaries that have investment responsibility for a pool of assets. If these entities have discretion over the assets under management, they are able to claim compliance with the GIPS standards. The term “asset owner” is used to encompass all asset managers who have discretion over the assets under management, either by managing assets directly or by having the discretion to hire and fire underlying managers, but typically do not have prospective clients. It should be noted that, for the purposes of this guidance statement, the term “asset owner” applies to organisations and not to individuals.

　　How are the GIPS standards applicable to asset owner performance?

　　Kaiser: In many cases, large asset owners look and operate just like asset managers. They have investment mandates, manage discretionary assets, and can be compensated based on performance — the difference is that they typically do not have external clients. Many of these asset owners utilise third-party sub-advisers to manage some or all of their assets, while others may manage the assets entirely themselves. This is the same as any other asset manager that may use a sub-adviser to manage a specific asset class, portfolio segment, or strategy.

　　Does the guidance statement address the inherent differences in presenting performance to the prospective client of an investment manager versus to those who have direct oversight responsibility of an asset owner?

　　Kaiser: Many of the requirements and recommendations are applicable generally; however, some are intended to address the calculation and presentation of performance by asset managers to prospective clients, thereby causing some confusion for asset owners when they are applying the GIPS standards to their organisation. Recognising these challenges, this guidance statement provides interpretation of those requirements and recommendations that did not originally contemplate asset owners and, in some cases, it clarifies that specific requirements are simply not applicable.

　　What are the benefits for asset owners claiming compliance with the GIPS standards?

　　Kaiser: An asset owner’s compliance with the GIPS standards demonstrates to legislative bodies, oversight boards, and the general public:

　　A voluntary commitment to follow global industry standards with respect to performance calculation and presentation practices, based on the principles of fair representation and full disclosure.

　　The desire to follow best practice with respect to the valuation of investments.

　　The establishment of robust policies and procedures in the area of investment performance measurement.

　　That the asset owner is making investment decisions and monitoring assets on the basis of accurate investment performance.

　　That investment performance has been calculated and presented in a consistent, transparent, and comparable basis.

　　The commitment to adopt the same set of performance standards that are generally required of any external managers that it retains.

　　Pooled funds

　　One of the key challenges that “pooled fund” managers face in meeting all requirements of the GIPS standards is that, unlike institutional asset managers, they typically lack one-on-one relationships and meeting opportunities with prospective and existing investors in their funds. In many cases, they sell their funds through third-party distributors, such as brokerage firms, banks, and other intermediary institutions, and don’t have direct contact with their actual investors. This is significant in Asia Pacific as most asset management firms in the region are more catered to retail assets.

　　GIPS do not allow partial compliance, so how can asset managers who manage both separately managed accounts and pooled funds comply with the standards?

　　Annie Lo: Because the GIPS standards do not currently offer definitive guidance, pooled fund managers have created their own strategies for handling this requirement. Some managers feel that pooled fund investors are not “prospective clients” – the fund board is the actual client because of how the fund is legally structured. Other managers believe that regulatory requirements prevent the GIPS standards from being applicable to pooled funds and are leaving pooled fund assets outside of their firm definition.

　　Then there are those managers who actually include pooled funds in their firm definition, inserting a copy of the GIPS-compliant presentation of the composite in which the pooled fund is included in the fund prospectus or other official regulatory documents. That is because the GIPS standards require firms to include all actual, discretionary, fee-paying portfolios in at least one composite defined by investment mandate, objective, or strategy. This only leads to more questions: Which composite should include a pooled fund? Should it be a fund-specific composite, that is, each pooled fund is a composite by itself, or should it be a strategy composite, that is, the pooled fund is in a composite with other portfolios that are part of the same mandate?

　　To help provide more clarity around these important issues, about a year ago, the GIPS organisation created the pooled fund working group to develop, create, and propose guidance on applying the GIPS standards to both retail and institutional pooled funds, and recommend strategies for building greater recognition for the GIPS standards within the pooled fund market. The working group is currently finalising the proposed guidance on what pooled fund managers need to do to meet the GIPS standards requirement of “delivering a compliant presentation” as well as determining which composite should include pooled fund assets. We expect to release the proposed guidance for public comment in 2014 and encourage all industry participants to provide their feedback to us during the public comment period.

　　Risk management

　　The 2010 edition of GIPS included provisions related to risk, recognizing that understanding and interpreting returns requires the additional consideration of risk. What are the new updates in this area?

　　Iain McAra: The risk guidance statement that the risk working group is working on and is anticipated to be available for public comment this year discusses and interprets the risk related provisions contained in the 2010 edition of the standards, and additionally provides commentary on assessing and reporting risk based on observed industry practice. Recognising that some countries have well established and specific regulatory risk reporting requirements, discussion on the relationship between GIPS risk provisions and those required under regulatory authorisation is included, however, with risk regulation under continual review, the guidance statement does not make reference to specific regulatory requirements.

　　When reviewing historic returns the investor’s understanding is greatly enhanced not only by assessing those returns over time but also, crucially, through understanding the qualitative and quantitative risks and material influences that were inherent in the investment strategy.

　　While risk is a broad and complex topic with myriad definitions, views, opinions, and methodologies, the intention of the risk provisions and this guidance statement is to provide the investor with relevant, consistent, and useful quantitative and qualitative measures and descriptions of risk such that, together with the compliant presentation, they facilitate the investor in making a fully informed investment decision.

　　What is covered in the guidance?

　　McAra: While it is important for prospective clients to be able to determine and assess all risks associated with investing with a firm and in a specific investment mandate, objective, or strategy, the guidance statement focuses on risks related to the construction and ongoing management of a strategy. Broader, enterprise-wide risks such as reputational and organisational risks are mentioned tangentially, but the guidance does not reference general business risks other than to reaffirm that regulation requires sound governance practices and a robust risk management oversight framework.

　　The discussion of risk includes both qualitative descriptions as well as quantitative measures of risk. Systemic or generic risks are generally more descriptive in nature yet certain risks such as liquidity are readily quantifiable and may alternatively or additionally be presented quantitatively. Where this is the case, disclosure of both qualitative descriptions and quantitative measures are encouraged, and in some cases required, to be presented in compliant presentations. This guidance statement explains in detail when and where it is appropriate, required, and recommended for firms to include information related to risk within compliant presentations, it provides guidance on the inclusion of risk descriptions within the composite description, discusses record keeping requirements as they relate to the support and provision of risk measures and also the policies and procedures that need to be in place regarding risk.

　　Specifically addressing selection of risk measures, the guidance statement discusses the selection of an appropriate risk free rate and various associated risk adjusted return measures, it compares the required risk measures and additional risk measures which must not be considered as alternatives to the required risk measures, and discusses ex-ante measures which can only be presented as supplemental information.

　　It will also include a section on how to apply the guidance to typical questions that a firm could have when addressing the risk related requirements within GIPS, formulae for some of the more widely recognised risk measures, and an example of a presentation that includes the risk requirement.

　　Verifier independence

　　What is verification and how does it work?

　　Ken Robinson: Investment management firms that claim compliance with the GIPS standards can voluntarily undergo verification. An independent third-party verifier assesses whether the firm has complied with all of the composite construction requirements of the GIPS standards on a firm-wide basis, and whether the firm’s policies and procedures are designed to calculate and present performance in compliance with the GIPS standards.

　　Verification does not confirm the accuracy of performance results presented in any specific composite presentation. To do that, a firm may also choose to have a specifically focused performance examination of a particular composite’s compliant presentation. A performance examination is not required for a firm to be verified. Firms that claim compliance with the GIPS standards must now indicate in the GIPS compliance statement whether or not they have been verified. As prospective clients and investment consultants evaluate investment managers, it is hoped that this additional disclosure will prompt them to not only question when an investment management firm is not GIPS compliant, but also to ask why a GIPS compliant firm has chosen not to undergo verification. A guide to assist firms in their selection of a verifier has been updated in March 2014.

　　The GIPS verification/practitioner subcommittee is also currently working on updating the guidance statement on verifier independence, which it hopes to complete by the end of the year. Upon completion, it is likely that the revised document will be released for public comment.

　　Reporting compliance

　　Despite the apparent widespread industry acceptance and popularity among investors, the exact reach and impact of the standards has been difficult to gauge. Organisations in 37 countries/regions have since been formally endorsed as sponsors of the standards, but the number of firms claiming compliance with the GIPS standards within those countries is still unknown. Independent and third-party surveys as well as consultant databases indicate that approximately 80% of investment firms claim compliance, but that is based on sampling and targeted surveys. The lack of conclusive data on the subject has been a source of frustration for many across the industry.

　　Should firms notify CFA Institute of their compliance?

　　Anju Grover: The GIPS executive committee will soon be seeking comments on the proposed requirement for firms that claim compliance with the GIPS standards to notify CFA Institute of such claim. The data will help stakeholders of the GIPS standards understand the trends that indicate where growth in the adoption of the GIPS standards is taking place, which markets need more resources, where more promotional efforts should be focused, etc.

　　Among other items, the required notification form will collect information such as firm type, country, firm assets, asset classes managed, investment vehicles offered, and verification status. While the firm specific information gathered through the notification will be kept confidential, the summary information or statistics from the database may be released publically. The proposal also states that a list of the names and website addresses of all firms that claim compliance with the GIPS standards will be posted on the GIPS standards website, unless otherwise requested. That may potentially motivate firms not currently claiming compliance to do so resulting in broader adoption.

　　The expected effective date of the requirement is January 1, 2015, and firms will be required to submit their notification form by March 31, 2015, with data as of December 31, 2014. The proposal suggests that firms be required to update this information on an annual basis. The release of the exposure draft for a 90-day public comment is anticipated in the second quarter of 2014.

　　For more information on these updates, visit the GIPS website: www.gipsstandards.org

　　* Heda Bayron is a communications specialist at CFA Institute

 　　　　

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