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.

The GIPS Standards Helpdesk is available for individual questions and typically responds to inquiries within 3 business days.

Search by category, status, date range, and/or keyword.

Category

Advertising Aggregate Method Alternative Investments Asset Owner Assimilating Assets Benchmarks Calculation Methodology Carve-Outs Cash Cash Flow Changes to the Standards: 2006 GIPS Client Reporting Client Updates Composite Calculations Composite Changes Composite Construction Consultant Questionnaires Corrections to the 2006 GIPS standards Creation Date Currency Definition of the Firm Disclosures Discretion Dispersion Early Adoption Effective Dates Error Correction Fees FINRA Firm Assets Firm Notification Requirement Fixed Income Fundamentals of Compliance General/Miscellaneous GIPS Reports Inception Date Incubator Funds Information Outside of GIPS Reports Leverage/Derivatives List of Composite Descriptions Lists of Composites and Pooled Funds Minimum Asset Level Model Results New Portfolios/Accounts Non-fee-paying Portfolios Overlay Strategies Partial Period Returns Performance Examinations Performance History/Track Record Pooled Funds Portability Private Equity Providing GIPS Reports Real Estate Recordkeeping Risk Securities Lending Sub-Advised Assets Sub-Advisors Supplemental/Additional Information Terminated Portfolios Total Asset Owner Assets Total Fund Definition Trade-Date Accounting Valuation Verification Wrap Fee Portfolios

Status

Organization Type

Effective

Keyword

1 Result

Archived

Effective: 1 December, 2013 - 31 December, 2019

Categories: Leverage/Derivatives

Source: GIPS Executive Committee

Do the GIPS standards include an example of how to value a portfolio that employs a market neutral strategy? Please provide an example for how to calculate a return for a portfolio that employs a market neutral strategy.

A client provided a hedge fund manager with capital of $100 at the beginning of the first month. The hedge fund manager deposited $100 with a prime broker and constructed positions of $100 long stocks and $100 short stocks. At the end of the first month, values of long stocks and short stocks are $109 and $107, respectively. The fund manager received interests of $0.30 (annual rate of 3.6%) from the prime broker. The value of the total portfolio changes from $100 (= $100 + $100 – $100) to $102.30 (= $100 + $109 – $107 + $0.30) and there are no external cash flows for the period.

R = (102.3 – 100) / 100 = 2.3%

Please also see original Q&A
Please also see updated Q&A