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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Archived

Effective: 1 October, 2012 - 31 December, 2019

Categories: Alternative Investments

Source: Guidance Statement on Alternative Investment Strategies and Structures

If a hedge fund has a situation where there were 95% withdrawals in May and the manager took two months to liquidate 99% of the portfolio to pay the withdrawals, is it proper to exclude the hedge fund from the composite after April?

The firm must first determine if and when the hedge fund is no longer considered discretionary. When the firm has determined this, the firm must then follow the composite’s closed portfolio exclusion policy. In this case, if the firm determines that discretion ended in May, the fund must be excluded from the composite after April. If the firm determines that the fund continued to be discretionary despite the large withdrawals, the firm must continue to include the fund in the composite provided that the portfolio is not excluded from the composite due to the composite-specific significant cash flow policy. Terminated portfolios must be included in the historical performance of the composite up to the last full measurement period that each portfolio was under management.