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 January, 2007 - 30 November, 2013

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?

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 market 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).

R = (102.3-100)/100 = 2.3%

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