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 May, 2010 - 31 October, 2012

Categories: Risk

Source: GIPS Executive Committee

For periods ending on or after 1 January 2011, firms must present, as of each annual period end, the three-year annualized ex-post standard deviation (using monthly returns) of both the composite and the benchmark. If the firm determines that the three-year annualized ex-post standard deviation is not relevant or appropriate, the firm must present a three-year ex-post risk measure in addition to the three-year annualized ex-post standard deviation. We believe that standard deviation is not appropriate for our composite strategy; therefore we will present an additional three-year ex-post measure of risk. We would like to present an additional ex-post risk measure that uses a different periodicity than monthly periods. How should we present this additional risk measure that uses a different periodicity?

If a firm does not believe that standard deviation is relevant or appropriate for the strategy, the firm must present a three-year ex-post measure of risk in addition to the three-year annualized ex-post standard deviation. The firm must describe why ex-post standard deviation is not relevant or appropriate, the additional risk measure that is presented and why it was selected. The additional risk measure that is presented must have the same periodicity for both the composite and the benchmark, but is not required to be calculated using 36 monthly returns. The firm must determine that there are enough data points for the selected measure to be statistically significant so as not to be misleading. When describing the risk measure and why the additional risk measure was selected, the firm should ensure that the different periodicity is adequately explained.

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