Do we use time-weighted or asset-weighted to calculate returns? I have seen the below in the text GIPS calculation methodology requirements: Standard 2.A.2. Time-weighted rates of return that adjust for external cash flows must be used. Periodic returns must be geometrically linked. Standard 2.A.7. For periods beginning on or after January 1, 2010, composite returns must be calculated by asset-weighting the individual portfolio returns at least monthly.
Anyone have an idea on the above?
You’re talking about different things.
TWRR must be used to calculate returns *within a portfolio*.
The returns in a *composite of portfolios* are calculated by asset weighting the individual portfolio returns.