Q & A Database

The GIPS Standards Q&A database contains questions and answers (Q&As) on various searchable topics that provide additional interpretation on an issue. Q&As are considered to be authoritative guidance and must be followed in order to claim compliance with the GIPS standards.

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1 Result
  • Current

    Effective: 1 January, 2020
    Categories: Leverage/Derivatives
    Source: 2020 GIPS Standards

    Please provide an example for how to calculate a return for a portfolio that includes long stocks and futures.

    At the beginning of the period, a portfolio consists of $90 long stocks, $10 margin deposited for futures and long futures position with $60 notional value. At the end of the period the value of long stocks is $96 and notional value of futures is $63. Interest received from the deposited margin is $0.02. Total value of the portfolio changes from $100 (= $90 + $10) to $109.02 (= $96 + $10 +$63 – $60 + $0.02) and there are no external cash flows for the period.

    R = (109.02 – 100) / 100 = 9.02%

    Please also see the prior version