It’s a measure of statistical dispersion, being equal to the difference between the third and first quartiles. Highest score (highest return) - Lowest Score (highest return)
Asset weighted standard deviation series#
Or the value of the sorted series of observations (returns) having the position x = round(0.75*(N+1)) This section includes a sample calculation of the asset-weighted standard deviation statistic. Third Quartile (Q3) = (higher quartile) = the middle of the top half of the scores (returns) Annual composite dispersion is calculated through the use of an asset weighted standard deviation for portfolios included in a composite for the entire year. Or the value of the sorted series of observations (returns) having the position x = round(0.25*(N+1)) Composite dispersion represents the consistency of the Company’s composite performance results with respect to the individual portfolio returns within the composite. Where p i is the weight of portfolio i in compositeĪnd is the composite’s weighted return in period of calculation.įirst Quartile (Q1) = (lower quartile) = the middle of the bottom half of the scores (returns)
Asset weighted standard deviation full#
N is number of portfolios that are in composite for the full period,Īnd μ is the composite’s equal weighted return in period of calculation. Where x i is return of portfolio i in year of calculation, This statistic measures the variability (dispersion) of the asset weighted account return around the asset-weighted mean composite return. Standard deviation is a measure of variability that is often used in the investment industry as an indicator of risk. An equal weighted portfolio (that is, 50 of each) will have returns of 4.5 each year, for a standard deviation of 0 In reality, we can rarely find assets that behave so differently from each other (most assets, for example will increase in value as the overall economy improves), so there is a limit to the benefits of diversification. We’ll use the weighted standard deviation as the dispersion calculation method. A firm could present the standard deviation, a range (i.e., high and low), quartiles, or any other appropriate method of central dispersion. The GIPS standards do not require a specific formula for dispersion. If the firm has less than five portfolios in a composite, a measure of dispersion is not required.
The specific measure of dispersion presented is a required disclosure. The internal dispersion measure is then calculated using these portfolio-level annual returns. Second, the firm must calculate the annual return for each of the portfolios that were included in the composite for the full year. First, the firm must identify which portfolios were in the composite for the full year.
4 3-Year annualized EX-Post Standard Deviation is not presented because 36 monthly returns were not available.
3 Portfolio Strategy 3-Year EX-Post Standard Deviation calculated using gross-of-fee returns. The composite internal dispersion is a measure of the variability of portfolio-level returns for only those portfolios that are included in the composite for the full year around the composite return. 2 Annual Portfolio Strategy Asset Weighted Dispersion calculated using gross-of-fee returns.
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