I have got a question regarding GIPS:
As far as I understand:
Internal dispersion is requiered: e.g. if I have a composite with a return of 10%, and the worst portfolio made 8% and the best 12% I have to calculate the internal dispersion. Different methods are allowed (easiest would be Maximum - Minimum = 4%). Disclosure is required, if there are at least 6 portfolios in the composite.
Then there is something like external dispersion, which is just ex post standard deviation of portfolio and benchmark to me. Eg. annualized volatility for the Benchmark was 14% versus 16% in the portfolio. Since 2011 disclosure is required.
Am I correct? I’m wondering because I did lot’s of practice exams and I can’t remember a single one where the standard deviation of composite and benchmark was given. And in the answer it’s never specified as missing. (Did Schweser Mock 2 in Volume 2 right now).
As far as I understand:
Internal dispersion is requiered: e.g. if I have a composite with a return of 10%, and the worst portfolio made 8% and the best 12% I have to calculate the internal dispersion. Different methods are allowed (easiest would be Maximum - Minimum = 4%). Disclosure is required, if there are at least 6 portfolios in the composite.
Then there is something like external dispersion, which is just ex post standard deviation of portfolio and benchmark to me. Eg. annualized volatility for the Benchmark was 14% versus 16% in the portfolio. Since 2011 disclosure is required.
Am I correct? I’m wondering because I did lot’s of practice exams and I can’t remember a single one where the standard deviation of composite and benchmark was given. And in the answer it’s never specified as missing. (Did Schweser Mock 2 in Volume 2 right now).