I must be getting tired because I am really not seeing where the Wa=(30-10)/30 or Wb=(30-18)/30 is coming from in Schweser LOS 32e when calculating composite returns under GIPS. Can someone please explain where these weights come from?
The weight is to determine what weight of the return should be accumulated to the mid month cash flow.
For portfolio a, the cash flow arrived on the 10th day, so basically its weighted as being there apx 2/3 of the month
For portfolio b, the negative cash flow occured on the 18th, so it has a weight of apx. (30-18)/30 or being removed for apx 12/30th of a month.