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We had our September Performance Measurement Think Tank call earlier this week, and it was another interesting session of questions and polls.

What did we cover?

Discussion topics/questions included:

  • What are we seeing in the industry with respect to software vendor consolidation?
  • What is required/recommended with respect to intra-month valuations of alternative assets?
  • What are firms doing with respect to “strategy level tagging” of assets for multi-asset-class attribution analysis and composite tracking?
  • What is good practice for firms managing multi-asset strategies, and the introduction of carve-outs when first establishing GIPS vs. at a later date?
  • Should the legs of interest rate swaps and credit default swaps be valued using dirty prices or clean prices?

Poll questions largely tied into the discussion topics, including:

  • Has vendor consolidation impacted your firm? (100% have been affected; 60% felt the impact was negative)
  • Do you value GIPS composite assets using subjective, unobservable inputs (22% yes, but immaterial to composite; 11% yes and material)
  • Do you use strategy level tagging (11% yes, for returns, attribution and composites; 22% yes for returns and attribution only)

The above is just a sampling of what was covered during our session, which included some great discussion and live Q&A with Think Tank participants.

Our next session is scheduled for October 26th at 8:00 am Pacific (11:00 am Eastern).

Interested in trying the Think Tank?  We are offering a risk-free trial on our next session!

For more information on the Performance Measurement Think Tank, please contact Patrick Fowler (pfowler@spauldinggrp.com) or Chris Spaulding (cspaulding@spauldinggrp.com)!

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