一、业绩展示的核心规则
任何业绩展示都必须做到：公平、准确、完整
1.1 必须遵守的规则
| 规则 | 说明 |
|---|---|
| 完整展示 | 不能只展示好时期或好账户 |
| 标注模拟 | 模拟/回测业绩必须明确标注"Simulated" |
| 扣除费用 | 业绩展示应该为扣费后净收益（或说明是否含费） |
| 风险提示 | "过往业绩不代表未来"必须在醒目位置 |
| GIPS 合规 | 建议采用 GIPS 标准，尤其是机构客户 |
1.2 模拟业绩的特殊要求
模拟业绩（Simulated Performance）的三大铁律：
1. 必须标注"模拟" → 不得与真实业绩混在一起
2. 必须披露假设 → 模拟的方法论和参数设置
3. 必须说明局限性 → 模拟不包含真实交易成本和市场冲击
二、常见违规场景
场景 1：幸存者偏差
基金公司宣传"旗下基金平均年化收益 15%" → 实际：已清盘的 5 只亏本基金被排除在计算之外
❌ 违规：业绩展示不完整。必须包含所有基金（含已清盘）。
场景 2：时段选择（Cherry-picking）
"我们过去 3 年的年化收益是 25%" → 实际：3 年前正好是市场底部，如果算 5 年就只有 8%
❌ 违规：选择性展示最好时段。应展示日历年度或至少 5 年记录。
场景 3：模型回测当真实业绩
量化基金展示"策略历史回测年化收益 30%" → 但该策略从未用真实资金运行过
⚠️ 合规前提：① 标注"回测/模拟" ② 披露假设和局限性 ③ 不与真实业绩混列
场景 4：账户挑选
"我们代表客户账户的业绩如下..." → 实际只展示了 10 个账户中表现最好的 3 个
❌ 违规：必须展示所有支付费用的全权委托账户的完整组合回报。
三、GIPS 简介
GIPS = Global Investment Performance Standards - CFA 协会制定的全球投资业绩展示标准 - 自愿采用，但强烈推荐 - 核心原则：公平代表 + 完整披露
| GIPS 关键要求 | 说明 |
|---|---|
| 至少 5 年业绩 | 或自成立以来（取短） |
| 含全部付费账户 | 不挑不选 |
| 扣除交易成本 | 真实成本 |
| 独立验证 | 推荐第三方审计 |
四、测试题
1. 基金宣传材料只展示过去 3 年业绩最好的 18 个月。这：
A) 合规——数据真实
B) 违规——选择性展示 = 误导
C) 合规——只要标明时段
D) 仅在客户投诉后违规
2. 模拟业绩展示的三大要求包括：
A) 标注模拟、披露假设、说明局限性
B) 高亮收益、隐藏风险、标注来源
C) 只需口头说明
D) 可以和真实业绩合并展示
3. 幸存者偏差（Survivorship Bias）指的是：
A) 只统计仍在运营的基金，排除已清盘的基金
B) 只统计表现最好的策略
C) 只统计大盘股
D) 只统计牛市时期
4. GIPS 的核心原则是：
A) 最大化收益展示效果
B) 公平代表与完整披露
C) 最小化合规成本
D) 只适用于大型资管公司
5. "我们选出来的股票组合历史回测年化 25%。"这句话缺少什么？
A) "Simulated" 标注、假设说明、局限性披露
B) 风险提示即可
C) 不需要补充——数据本身说明一切
D) 仅需注明时间段
答案
- B — 选择性展示 = cherry-picking，违反 I(C) + III(D) 业绩展示。
- A — 标注、假设、局限 = 模拟业绩的三要素。
- A — 幸存者偏差就是排除已清盘或已不存在的基金，导致业绩虚高。
- B — GIPS 的灵魂：Fair Representation + Full Disclosure。
- A — 回测业绩必须标明模拟，并披露假设和局限。
下一课 L036：I(C) 虚假陈述案例分析
1. Core Rules of Performance Presentation
All performance presentations must be: Fair, Accurate, and Complete
1.1 Mandatory Rules
| Rule | Detail |
|---|---|
| Complete presentation | Cannot show only good periods or good accounts |
| Label simulated | Simulated/backtested performance must be clearly marked "Simulated" |
| Net of fees | Performance should be net of fees (or clearly state if gross) |
| Risk warning | "Past performance is not indicative of future results" must be prominent |
| GIPS compliant | GIPS adoption recommended, especially for institutional clients |
1.2 Special Requirements for Simulated Performance
Three Iron Rules for Simulated Performance:
1. Must label "Simulated" → never mix with actual performance
2. Must disclose assumptions → methodology and parameter settings
3. Must explain limitations → simulations exclude real transaction costs and market impact
2. Common Violation Scenarios
Scenario 1: Survivorship Bias
A fund company advertises "average annual fund return of 15%" → In reality: 5 liquidated loss-making funds were excluded from the calculation
❌ Violation: Incomplete performance presentation. Must include all funds (including liquidated ones).
Scenario 2: Cherry-Picking Time Periods
"Our annualized return over the past 3 years is 25%" → In reality: 3 years ago happened to be the market bottom; over 5 years it is only 8%
❌ Violation: Selectively presenting the best period. Must show calendar years or at least a 5-year record.
Scenario 3: Model Backtest Passed Off as Actual Performance
A quant fund shows "historical strategy backtest: annualized 30% return" → But the strategy was never run with real money
⚠️ Compliance prerequisites: ① Label "Backtested/Simulated" ② Disclose assumptions and limitations ③ Do not commingle with actual performance
Scenario 4: Account Selection
"Here is the performance of representative client accounts..." → Actually shows only the best 3 out of 10 accounts
❌ Violation: Must present the composite return of all fee-paying discretionary accounts.
3. Introduction to GIPS
GIPS = Global Investment Performance Standards - Established by CFA Institute for global investment performance presentation - Voluntary adoption, highly recommended - Core principles: Fair Representation + Full Disclosure
| Key GIPS Requirement | Detail |
|---|---|
| Minimum 5-year track record | Or since inception (whichever is shorter) |
| Include all fee-paying accounts | No cherry-picking |
| Deduct transaction costs | Real costs |
| Independent verification | Third-party audit recommended |
4. Practice Questions
1. Marketing materials show only the best 18 months out of the past 3 years. This:
A) Is compliant — the data is true
B) Is a violation — selective presentation = misleading
C) Is compliant — as long as the period is noted
D) Is a violation only after a client complaint
2. The three key requirements for simulated performance presentation include:
A) Label as simulated, disclose assumptions, explain limitations
B) Highlight returns, hide risks, cite sources
C) Verbal explanation only is sufficient
D) May be combined with actual performance
3. Survivorship bias refers to:
A) Only counting funds still in operation, excluding liquidated funds
B) Only counting the best-performing strategies
C) Only counting large-cap stocks
D) Only counting bull-market periods
4. The core principles of GIPS are:
A) Maximizing the appeal of performance displays
B) Fair representation and full disclosure
C) Minimizing compliance costs
D) Applicable only to large asset management firms
5. "Our selected stock portfolio historically backtests at 25% annualized." What is missing?
A) "Simulated" label, assumption disclosure, limitation disclosure
B) A risk warning is sufficient
C) Nothing — the data speaks for itself
D) Only the time period needs to be noted
Answer Key
- B — Selective presentation = cherry-picking, violating I(C) + III(D) performance presentation.
- A — Label, Assumptions, Limitations = the three essential elements of simulated performance.
- A — Survivorship bias is excluding liquidated or defunct funds, inflating reported performance.
- B — The soul of GIPS: Fair Representation + Full Disclosure.
- A — Backtested performance must be labeled as simulated and accompanied by assumption and limitation disclosures.
Next L036: I(C) Misrepresentation Case Analysis