Complying with the Global Investment Performance Standards (GIPS)

Bruce J. Feibel is Managing Director of Investment Manager Products at BNY Mellon. Formerly, Mr. Feibel was Chief Strategy Officer for Eagle Investment Systems, a BNY Mellon company. Prior to this he was a principal at State Street Global Advisors. He is also the author of the book Investment Performance Measurement, published by Wiley. He earned his B.S. in accounting from the University of Florida. Feibel is a CFA charterholder, a member of the GIPS Risk Standards Working Group, and a past member of the CFA Institute Investment Performance Council. Karyn D. Vincent is the founder of Vincent Performance Services LLC, a provider of GIPS verification and consulting services. Prior to this, she was a partner at PricewaterhouseCoopers and was responsible for the firm's verification practice globally. Vincent currently chairs the GIPS Interpretations Subcommittee and is a member of the GIPS Executive Committee. Previously she chaired the GIPS Verification Subcommittee. Vincent earned her B.S. in accounting from the University of Massachusetts Dartmouth, and is a CFA charterholder and a CIPM certificant.

• About the Authors xi Preface xiiiAcknowledgments xvIntroduction xviiPART ONE: Explanation of the GIPS StandardsCHAPTER 1. Fundamentals of Compliance 3Scope of the GIPS Standards 3History of the GIPS Standards 4Governance of the GIPS Standards 5Organization of the GIPS Standards 7Fundamentals of Compliance 8Summary 12CHAPTER 2. Defining the Firm and Composites 13Defining the Firm 13Defining Composites 23Summary 50PART TWO: The Methodology for Calculating ReturnsCHAPTER 3. Portfolio Return Measurement 53Single Period Rate of Return 54Time Value of Money 63Performance of the Investor: Money Weighted Returns 67Internal Rate of Return 71Performance of the Investment Manager: Time Weighted Returns 77Portfolio Return Calculations for the GIPS Standards 82Summary 90CHAPTER 4. Composite Return Measurement 91Composite Constituents 91Composite Returns 93Single Period Composite Return Considerations 97Multi-period Composite Returns 100Summary 107CHAPTER 5. Dispersion and Risk Measurement 109Internal Dispersion 109Equal Weighted Dispersion 111Asset Weighted Dispersion 114Risk 119Summary 137PART THREE: Reporting and Maintaining Compliance with the GIPS StandardsCHAPTER 6. Disclosing and Advertising Composite Performance 141Required Numerical Information 141Required Disclosures 149Length of Time for Disclosures 168Presentation and Disclosure Recommendations 168Supplemental Information 170GIPS Advertising Guidelines 171Summary 177CHAPTER 7. Wrap-Fee/SMA, Private Equity, and Real Estate 179Wrap-Fee/Separately Managed Accounts 180Private Equity 188Real Estate 198Summary 203CHAPTER 8. Maintaining Compliance with the GIPS Standards 205Organization and Oversight 205Return Calculation 211Error Correction 215Managing Composites and Presentations 220Summary 226CHAPTER 9. Verification 227Verification 228Performance Examinations 229Verification Considerations 230Required Verification Procedures 234The Verifier’s Report 241Preparing for Verification 241Summary 245Index 247