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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Archived
Effective: 1 December, 2013 - 31 December, 2019Categories: Leverage/DerivativesSource: GIPS Executive CommitteeDo the GIPS standards include an example of how to value a portfolio that includes both long and short futures? Please provide an example for how to calculate a return for a portfolio that includes both long and short futures.
At the beginning of the period the portfolio consists of $130 long stocks and $30 short stocks. Then beginning value of the total portfolio is $100 (= $130 – $30). If long stocks become $142 and short stocks become $27 at the end, then ending value of the total portfolio is $115 (= $142 – $27) and there are no external cash flows for the period.
R = (115 – 100) / 100 = 15%
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