从CIPM转的
Internal dispersion is a measure of the range of returns within the composite within each annual period. Firms are only required to show this when the composite has more than five portfolios (firms can, of course, opt to show internal dispersion when the composite has five or fewer portfolios). The measure should only include portfolios that were in the composite for the full annual period. Firms can choose what measure of internal dispersion they show (with the exception of real estate composites, where the required measure of dispersion is the range of returns; i.e., the difference between the high and low returns). Some commonly used measures of internal dispersion are:
standard deviation
range of returns
quartiles, quintiles, deciles, interquartile ranges
Standard deviation is probably the most commonly used measure of internal dispersion.
External dispersion is also a measure of the range of returns. But in this case we are measuring the range of a given composite's past returns (over the most recent 36 months). It is meant to be a measure of the composite's risk. External dispersion is required for any periods ending on/after January 1, 2011, regardless of the number of portfolios in the composite. This is probably the single biggest misconception about the external dispersion that I have seen - many firms think they don't have to show it if the composite has five or fewer portfolios. But even for a single portfolio composite, the external dispersion must be shown. The only exception to this is for real estate composites (where section I.6 of the GIPS standards apply) and private equity composites (where section I.7 of the GIPS standards apply).
Also, external dispersion must be shown as the three-year ex-post annualized standard deviation (based on monthly returns). So firms don't have a choice in what measure they show, unless they feel the standard deviation is not relevant or appropriate. If firms feel this is the case, they must still show the three-year ex-post annualized standard deviation - and then they can show the risk measure they feel is more appropriate and/or relevant to their composite.
One more point of comparison is the return that a reader of the presentation should look at in comparison to the dispersion measure.
internal dispersion is a measure of the range of portfolio returns within the composite, and should be looked at in comparison to the composite's annual return for that period, which is really a weighted average of the portfolio returns in the composite.
external dispersion is a measure of the range of composite returns over time, and should be looked at in comparison to the three-year annualized return for that period, which is really a geometric average of the composite returns over time. Note that firms are not required to show the three-year annualized return, but it is recommended by GIPS provision 5.B.4
发表于 2013-5-15 14:20
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