作者garyddt (潜水)
看板CFAiafeFSA
标题[问题] GIPS不太懂3.A.8
时间Sat Apr 2 11:11:00 2011
在准备L3时,看不太懂Standard 3.A.8
原文如下(2011 Schweser):
For periods beginning on or after January 1, 2010,
carve-outs must not be included in a composite unless the carve-out
is actually managed separately with its own cash balance.
Discussion: For periods prior to January 1, 2010, if carve-outs are included
in a composite, cash must be allocated to the carve-out in a timely and
consistent manner. A carve out is a sub-set of a portfolio's assets used
to create a track record that reflects the performance of a specific asset
class (e.g., the equity component of a balanced portfolio). This requirement
assures that the effects of the cash allocation on the returns of a portfolio
are realized.
以下则是GIPS对carve-outs的定义
A portion of a PORTFOLIO that is by itself representative of a distinct
investment strategy. It is used to create a track record for a narrower
mandate from a multiple-strategy PORTFOLIO managed to a broader mandate. For
periods beginning on or after 1 January 2010, a CARVE-OUT MUST be
managed separately with its own cash balance.
想询问:
1.这边的carve-outs,指的是多重策略型投资组合之下的次分类项,例如平衡型投资组合
下的权益项目?
2.所谓carve-outs与现金帐分别管理,指的是?
先谢过各位!
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