dispersion measures for gips

do i have this correct:

Required: 3 year internal dispresion using monthly portfolio returns about the composite aggregate return (choice of standard deviation across equally weighted portfolios or standard deviation with asset weighted composites)

Required iIf management feels standard deviation is inappropriate: an additional 3 year internal dispersion measure other than standard deviation (choice of range of annual returns, high low, interquartile)

Recommended: an external measure, such as standard deviation of composite returns

right/wrong/missing anything? standard 5.A.2 on schweser book 5 page 208 is so unclear.

standard 5.A.2 says from Jan 1, 2011, firms must present for each annual period:

  • 3yr annualised ex-post stand dev using monthly returns for the composite and benchmark

  • an additional 3yr ex-post measure if mgmt feels stand dev is inappropriate. acceptable would be range of annual returns, high and low annual returns, interquartile range, asset-weighted stand dev.


standard 4.A.8 - firms must disclose which measure of internal dispersion is used

standard 5.A.1 - if a composite contains five portfolios or less for the full year, a measure of dispersion is not required