AIMR/GIPS Input Data Standards

Captools/net

"All data and information necessary to support a firm's performance presentation and to perform the required calculations must be captured and maintained" (Std. 1.A.1.)

Supports compliance.  Captools/net permits users to maintain a complete transaction and valuation history for client accounts from account inception.  (The accuracy of the data so maintained is the user's responsibility.)

"Portfolio valuations must be based upon market values (not cost basis or book values)."  (Std. 1.A.2.)

Supports compliance.  Captools/net permits users to enter, import, and/or download market pricing which are used to value all portfolio holdings. (The accuracy of such data is the user's responsibility.)

"Portfolios must be valued at least quarterly. For periods beginning 1 January 2001, portfolios must be valued at least monthly.  For periods beginning 1 January 2010, it is anticipated that firms will be required to value portfolios on the date of any external cash flow."  (Std. 1.A.3.)

Supports compliance. Captools/net permits users generate and store daily, weekly, monthly and quarterly valuations at the user's option.  If users choose not to store daily valuations, Captools/net provides the option to have mid-period valuations computed "on the fly" for dates of external cash flows when performance reports are generated.

"Firms must use trade-date accounting for periods beginning 1 January 2005".  (Std. 1.A.4.)

Supports compliance. Captools/net is designed presuming transactions are entered using trade dates.  It is incumbent upon the user to ensure that records are in fact entered with the correct dates.

"Accrual accounting must be used for fixed income securities and all other assets that accrued interest income." (Std. 1.A.5.)

Supports compliance. All Captools/net valuations compute and include accrued income for fixed-income and interest bearing securities, using generally accepted accrual computations methods, subject to the user providing the correct security interest payment specifications.

"Accrual accounting must be used for dividends (as of the ex-dividend date) for periods beginning after 1 January 2005. (Std. 1.A.6.)

Supports compliance.  Automatic dividend accrual adjustment to valuations is supported in Captools/net Level 3/higher, subject to users maintaining correct dividend payment rates and ex-dates in security records.   Lower level users can manually adjust valuations for dividend accruals, although Level 3/higher is strongly advised for those mandatorily requiring AIMR compliant reporting.

Recommendation: "Sources of exchange rates should be the same for the composite and the benchmark" (Std. 1.B.1).

Supports recommendation. This requirement is only applicable to multi currency portfolios.  Captools/net allows users to consistently apply the same exchange rates for valuing all portfolios for a single installation, regardless of whether the portfolios are actual client accounts or model benchmarks. (The accuracy of such data is the user's responsibility.)

AIMR/GIPS Calculation Methodology Standards

Captools/net

"Total return, including realized and unrealized gains, plus income must be used." (Std. 2.A.1)

Supports compliance.  Captools/net includes all income elements in return on investment computations, subject to users correctly entering pertinent data and correctly specify report setups.

"Time-weighted rates of return that adjusts for cash flows must be used. Period returns must be geometrically linked. Time weighted rates of return that adjust for daily weighted cash flows must be used for periods beginning 1 January 2005. Actual valuations at the time of external cash flows will likely be required for periods beginning 1 January 2010." (Std. 2.A.2.)

Supports compliance.  User must specify Time-Weighted ROI fields when setting up reports.   Captools/net uses the "Modified IRR" method approved in Std 2.A, which computes the internal rate of return for each sub-period, complying with the requirement for daily weighted cash flows. Sub-periods are linked geometrically.

Captools/net permits users to specify that either daily valuations or valuations on dates with external cash flows be computed at the time that ROI reports are generated, ensuring ability to comply with 2010 AIMR/GIPS requirements.

"In both the numerator and the denominator, the market values of fixed-income securities must include accrued income." (Std. 2.A.3.)

Supports compliance.  Computed or user-specified accrued income is included in fixed-income securities values and used in all Captools/net return computations.

"Composites must be asset weighted using beginning-of-period weightings or another method that reflects both beginning market value and cash flows."   (Std. 2.A.4.)

Supports compliance.  Captools/net allows users to choose between beginning of period asset weighting for composites or the aggregation of portfolio assets and cash flows, the most rigorous method allowed by the standard.  Some Captools/net composite performance related reporting is restricted to versions operating at the Level 3 or higher.

"Returns from cash and cash equivalents held in portfolios must be included in total return calculations" (Std. 2.A.5.)

Supports compliance.  All Captools/net portfolio performance computations include cash and cash equivalents unless the user specifically excludes these.

"Performance must be calculated after the deduction of all trading expenses" (Std. 2.A.6)

Supports compliance.  Captools/net optionally computes and reports "after commissions and trading fees" performance.  It also computes/reports after management fees performance and after estimated taxes performance.

"If a firm sets a minimum asset level for portfolios to be included in a composite, no portfolios below that asset level can be included in the composite." (Std. 2.A.7.)

Supports compliance.  Captools/net allows the user to specify which accounts are to be included in any multi-portfolio report including composite performance reports.  Level 3 and higher versions provide some additional account selection controls to assist the user in generating composite performance reports.

Recommendation: "Returns should be calculated net of non-reclaimable withholding taxes on dividends, interest, and capital gains.  Reclaimable withholding taxes should be accrued." (Std. 2.B.1.)

Supports recommendation.   Captools/net allows the user to specify whether the tax withholding component of a transaction is reclaimable.  Performance is computed net of non-reclaimable withholding.

Recommendation: "Performance adjustments for external cash flows should be treated in a consistent manner. Significant cash flows (i.e., 10% of the portfolio or greater) that distort performance (i.e., +/- 0.2% for the period) may required portfolio revaluation on the date of the cash flow.. Actual valuations at the time of external cash flows will likely be required for periods after 1 January 2010. (Std. 2.B.2.)

Supports recommendation. Captools/net permits users to specify that either daily valuations or valuations on dates with external cash flows be computed at the time that ROI reports are generated, ensuring ability to comply with prospective 2010 AIMR requirements.

AIMR/GIPS Composite Construction Standards

Captools/net

"All actual fee-paying discretionary portfolios must be included in at least one composite" (Std. 3.A.1)

Supports compliance.  Captools/net allows the user to specify which accounts are to be included in any multi-portfolio report including composite performance reports.

"Firm composites must be defined according to similar investment objectives and/or strategies" (Std. 3.A.2)

Supports compliance.  Captools/net allows composite reports to filter on "Investment Style" and other user specified account groupings, as well as sorting and grouping performance results by asset sub-categories.  Advanced composite performance features are supported in Level 3/higher versions.  

"Composites must include new portfolios on a timely and consistent basis after the portfolio comes under management unless specifically manadated by the client." (Std. 3.A.3)

Supports compliance. Captools/net Level 3/higher composite reporting supports portfolio specification via reporting filters and settings, giving the user control over which accounts are included in the composite as well as inclusion and exclusion time points.

"Terminated portfolios must be included in the historical record of the appropriate composites up to the last full measurement period that the portfolio was under management" (Std. 3.A.4)

Supports compliance. Captools/net Level 3/higher composite reporting supports portfolio specification  via reporting filters and settings, giving the user control over which accounts are included in the composite as well as inclusion and exclusion time points.

"Portfolios must not be switched from one composite to another unless documented changes in client guidelines or the redefinition of the composite make switching appropriate.  The historical record must remain with the appropriate composite. (Std. 3.A.5)

Supports compliance.  Captools/net Level 3/higher composite reporting supports portfolio specification via  via reporting filters and settings, giving the user control over which accounts are included in the composite as well as inclusion and exclusion time points.

"Convertible and other hybrid securities must be treated consistently across time and within composites." (Std. 3.A.6)

Supports compliance.  Captools/net users have full control over security classification.  User can comply simply by not re-defining classifications.

"Carve-out returns excluding cash cannot be used to create a stand-alone composite.  When a single asset class is carved out of a multi-asset portfolio and the returns are presented as a part of a single-asset composite, cash must be allocated to the carve-out returns... Beginning 1 January 2005, carve out returns must not be included in single asset class composite returns unless the carve outs are actually managed separately with their own cash allocations. " (Std. 3.A.7)

Supports compliance.  Captools/net Level 4 provides time weighted performance reporting fields which are computed by allocating cash flows associated with cash equivalents to non-cash equivalent assets in proportion to their dollar share of the latter to the entire portfolio.  At lower program levels users must maintain separate cash equivalent asset(s) for each asset class to be carved out.

"Composites must include only assets under management and may not link simulated or model portfolios with actual performance" (Std. 3.A.8)

Supports compliance.  Captools/net allows you to exclude hypothetical and/or non-managed portfolios from composites.

Recommendation: "Separate composites should be created to reflect different levels of exposure." (Std. 3.B.1)

Restated, this recommendation simply says that if a portfolio strategically changes its asset mix e.g. from 60/40 to 80/20, then it should be moved out of its current composite and into another.

Supports recommendation.  Captools/net Level 3/higher composite reporting supports portfolio specification via an account selection script, giving the user control over which accounts are included in the composite as well as inclusion and exclusion time points.

Recommendation: "Unless the use of hedging is negligible, portfolios that allow the use of hedging should be included in different composites from those that do not." (Std. 3.B.2)

Supports recommendation.  Captools/net Level 3/higher composite reporting supports portfolio specification  via reporting filters and settings, giving the user control over which accounts are included in the composite as well as inclusion and exclusion time points.

AIMR/GIPS Disclosure Standards (Section 4)

Captools/net

This section of the standards mostly deals with the "fine print" information that money managers must provide to clients under AIMR/GIPS standards.  Most of this information will be provided to the user in text form either at engagement, yearly or as a part of the portfolio management reporting.  See AIMR/GIPS handbook for more detail.

Supports compliance.  Captools/net provides copious room in reports for disclosure information.  This can be in the report footer or report body.   Some users may choose to provide this information to clients outside the confines of the portfolio management system as in the engagement letter or other communications.

AIMR/GIPS Presentation and Reporting Standards

Captools/net

Must report: "At least five years of performance (or a record for the firm since inception, if inception is less than five years) that is GIPS compliant.  After presenting five years performance, firms must present additional annual performance up to 10 years... (Std. 5.A.1(a)).

Supports compliance.  Captools/net support reporting performance over any time periods for which data has been provided.  It additionally provides a number of reports that facilitate reporting multiple time periods within a single report.

Must report: "Annual returns for all years"

(Std 5.A.1(b))

Supports compliance.  See above.

Must report: "The number of portfolios and amounts of assets in the composite and the percentage of the firm's total assets represented by the composite at the end of each period." (Std. 5.A.1(c)).

Supports compliance.  Captools/net Level 3/higher provide relevant statistics in composite reports.

Must report: "A measure of dispersion of individual component portfolio returns around the aggregate composite returns" (Std. 5.A.1(d))  (standard deviation statistic is recommended)

Supports compliance.  Captools/net Level 3/higher provide relevant statistics (standard deviation of portfolio returns) in composite reports.

Must report: "The standard Compliance Statement indicating firm wide compliance with GIPS".  (Std. 5.A.1(e))

Supports compliance.  Captools/net provides copious room in reports for disclosure information (see Disclosure section above).

Must report: "The composite creation date".  (Std. 5.A.1(f))

Supports compliance.  Captools/net report header/footers provide report generation dates.

"Firms may link non-GIPS-compliant performance to their compliant history so long as firms meet the disclosure requirements..and non-compliant performance is presented for periods after 1 January 2000..  (Std. 5.A.2)

Supports compliance.   Captools/net provides method(s) to enter condensed prior transaction and/or ROI history into portfolios in order to support historical reporting.

"Performance for periods of less than one year must not be annualized" (Std. 5.A.3)

Supports compliance.  Is a performance reporting option.

"Performance results of a past firm or affiliation can only be linked to or used to represent the historical record of a new firm or new affliliation if..a) a change only in firm name or ownership occurs or b) the firm has all of the supporting performance records to calculate the performance and sustantially all the assets transfer to the new firm and the investment decision making process remains substantially unchanged." (Std. 5.A.4)

Supports compliance.  This is primarily an administrative requirement.  Captools/net reports provide adequate room for disclosure.

"If a compliant firm acquires or is acquired by a non-compliant firm, the firms have one year to bring the non-compliant firm's assets into compliance".  (Std. 5.A.5)

Supports compliance.  This is primarily an administrative requirement.  Captools/net reports provide adequate room for disclosure.

"If a composite is formed using single-asset carve-outs from multiple asset-class composites, the presentation must include: a) a list of the underlying composites from which the carve-out was drawn, b) the percentage of each composite the carve-out represents." (Std. 5.A.6)

Supports compliance.  Such carve-outs can be generated by using report filtering and using account group or investment style categories to identify the source of the carve-outs.  All performance reports provide percentage reporting to support this requirement.

"The total return for the benchmark (or benchmarks) that reflects the investment strategy or mandate represented by the composite must be presented for the same periods for which the composite return is presented.  If no benchmark is presented, the presentation must explain why no benchmark is disclosed. If the firm changes the benchmark that is used for a given composite in the performance presentation, the firm must disclose both the date and the reason for the change.  If a custom benchmark or combination of multiple benchmarks is used, the firm must describe the benchmark creating and the rebalancing process. (Std. 5.A.7)

Supports compliance.  Captools/net Level 3 composite reporting supports benchmark specification at the report level (in addition to the account level supported in client reports) via the report settings.  In addition to standard market indices, Captools/net supports the generation of both static and dynamic "synthetic" benchmark indices that may be used for composite benchmarks.

Recommendation: "The following items should be included in the composite presentation or disclosed as supplemental information:

a) Composite performance gross of investment management fees  and custody fees and before taxes (except non-reclaimable withholding taxes)

b) Cumulative returns for composites and benchmarks for all periods

c) Equal-weighted means and median returns for each composite.

d) Volatility over time of the aggregate composite return

e) Inconsistencies among portfolios within a composite in the use of exchange rates.

(Std 5.B1)

Supports recommendation.  Captools/net can report time-weighted  ROI both before and after management fees and taxes, and in cumulative form for the composites and benchmarks.  Level 3/higher versions provide relevant statistics (means and median returns, standard deviation of portfolio returns) in composite reports.  Level 4 supports accrual of estimated management and incentive fees and for the optional inclusion of the accrual fee amounts in the performance figures.

Captools/net reports provide adequate room for disclosure of inconsistencies in the source data.

Recommendation: "Relevant risk measures - such as volatility, tracking error, beta, modified duration, etc. - should be presented along with total return for both benchmarks and composites. (Std. 5.B.2)

Supports recommendation.  Captools/net performance reports provide options to report alpha, beta, standard deviation, correlation as well as risk adjusted performance ratios (sharpe & treynor) and fixed income measures such as modified duration and yield to maturity.