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.

Content from prior Q&As was included in the GIPS Standards Handbook as much as possible and many Q&As were archived. Change the Status drop-down filter to "Archived" to see the archived Q&As.

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1 Result

Archived

Effective: 1 December, 2013 - 31 December, 2019

Categories: Overlay Strategies

Source: GIPS Executive Committee

A client hires Manager A to implement a tactical asset allocation futures overlay on a $100 million portfolio managed by another firm. Manager A is given $10 million to implement the overlay strategy. Basis of the overlay strategy = $100 million. Overlay gain/loss for the period = +$500,000. How can Manager A calculate the return and which number, $100 million or $10 million, must be included as total firm assets, before taking into account the gain/loss for the period?

R = 500,000 / 100,000,000 = 0.50%

Manager A is required to include the $10 million in the total firm assets; and, the firm may choose to also report the $100 million separately as overlay assets.

Please also see original Q&A