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ArchivedEffective: 1 January, 2014 - 31 December, 2019Categories: DispersionSource: GIPS Executive Committee
Please clarify how to calculate the required internal dispersion measure.
The 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. First, the firm must identify which portfolios were in the composite for the full year. Second, the firm must calculate the annual return for each of the portfolios that were included in the composite for the full year. The internal dispersion measure is then calculated using these portfolio-level annual returns. Which specific measure of internal dispersion is presented is determined by the firm. Firms must disclose which measure of internal dispersion is used. If the firm has five or fewer portfolios in a composite for the full year, a measure of internal dispersion is not required. However, because firms must include some information about the internal dispersion of individual portfolio returns, firms must indicate that the internal dispersion measure is not applicable or include similar language. The firm may instead choose to present an internal dispersion measure.
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