GIPS requires time-weighted returns (TWR) to eliminate the distorting effects of external cash flows (which are controlled by the client, not the manager). The goal is to measure the manager's investment skill independent of client-directed deposits and withdrawals.
Valuation requirements. Firms must use actual (not estimated) valuations. Prior to January 1, 2010, quarterly valuation was the minimum; since then, firms must value portfolios on the date of all large external cash flows, or more frequently. Best practice (and required for many institutional composites) is daily valuation.
Large cash flow policy. Each firm must define what constitutes a "large" external cash flow and apply the definition consistently. Common thresholds are 10% of portfolio value, though firms may set lower thresholds. Portfolios must be valued on the date of any cash flow that meets the threshold.
Return calculation methods:
- True daily valuation — the gold standard. Portfolio is valued every day, and returns are calculated daily, then geometrically linked. Eliminates all cash flow timing distortion.
- Modified Dietz — an approximation method that weights cash flows by the fraction of the measurement period they were present. Acceptable when the firm does not have daily valuations, but accuracy decreases with large or frequent cash flows.
Gross-of-fees and net-of-fees returns:
- Gross-of-fees return — the total return of the portfolio reduced only by actual trading expenses (commissions, transaction costs). Gross returns reflect the manager's investment skill before the impact of advisory fees.
- Net-of-fees return — gross-of-fees return reduced by investment management/advisory fees. Net returns reflect the return actually experienced by the client (before taxes).
Firms must present at least one of gross-of-fees or net-of-fees returns in GIPS-compliant presentations. If only one is presented, it must be clearly labeled. Many institutional clients and consultants expect to see both. If model or estimated fees are used to calculate net returns (because actual fees are not deducted at the portfolio level), the methodology and fee assumptions must be disclosed.
Composite return calculation. Composite returns must be calculated by asset-weighting the individual portfolio returns, using beginning-of-period values or a method that reflects the timing of cash flows (such as beginning-of-period values plus weighted cash flows). Equal-weighted composite returns may be presented as supplemental information but cannot replace the required asset-weighted composite return.
Prohibition on linking non-actual performance. Firms must not link simulated, model, backtested, or hypothetical performance with actual performance. A firm cannot show a backtest from 2015-2019 followed by live composite returns from 2020 onward as a continuous track record. If supplemental information includes hypothetical performance, it must be clearly labeled and segregated from actual composite results.
GIPS要求使用时间加权收益率（TWR）以消除外部现金流（由客户而非经理控制）的扭曲影响。目标是独立于客户主导的存入和提取，衡量经理的投资技能。
估值要求：公司必须使用实际（而非估算）估值。2010年1月1日前，季度估值是最低要求；此后，公司必须在所有大额外部现金流发生日或更频繁地对投资组合进行估值。最佳实践（也是许多机构组合的要求）是每日估值。
大额现金流政策：每家公司必须定义何为“大额”外部现金流，并一致应用该定义。常见阈值为投资组合价值的10%，不过公司可设定更低阈值。任何达到阈值的现金流发生日，必须对投资组合进行估值。
收益率计算方法：
- 真实每日估值：黄金标准。投资组合每日估值，收益率每日计算，然后几何链接。消除所有现金流时机扭曲。
- Modified Dietz法：一种近似方法，根据现金流在计量期内存在的时间比例进行加权。当公司不具备每日估值条件时可接受，但随着现金流规模增大或频率增加，准确性会下降。
毛收益与净收益：
- 毛收益：仅扣除实际交易费用（佣金、交易成本）后的投资组合总收益。毛收益反映了扣除咨询费前经理的投资技能。
- 净收益：毛收益扣除投资管理/咨询费后的收益。净收益反映客户实际获得的收益（税前）。
公司必须在符合GIPS标准的展示材料中至少展示毛收益或净收益中的一项。如果仅展示一项，必须清晰标注。许多机构客户和咨询顾问希望同时看到两者。如果使用模型或估算费用计算净收益（因为实际费用未在投资组合层面扣除），必须披露方法和费用假设。
组合收益率计算：组合收益率必须通过对单个投资组合收益率进行资产加权计算，使用期初价值或反映现金流时机的方法（如期初价值加加权现金流）。等权组合收益率可作为补充信息展示，但不能替代要求的资产加权组合收益率。
禁止链接非实际业绩：公司不得将模拟、模型、回测或假设业绩与实际业绩链接。公司不能将2015-2019年的回测数据与2020年起的实际组合收益率作为连续业绩记录展示。如果补充信息包含假设业绩，必须清晰标注并与实际组合结果分开。