Asset-Weighted Standard Deviation Statistic

This section includes a sample calculation of the asset-weighted standard deviation statistic.

For the Annual period, January 1 – December 31, 2001 the following steps are done in processing this statistic:

1. Get the list of member constituents that were in the Composite this entire period. The constituents must be in the composite with a start date <= 1/01/2001 and either a Null stop date or a stop date > 12/31/2001. See the enumeration sample table in "Enumeration Rules" for how constituents are determined.
2. Using the mapped weighting field and return field, calculate on the fly, the Asset Weighted Composite return for the period 1/01/2001-12/31/2001.
3. For each constituent, gather the sub-period returns for the period and link them to derive a multiperiod return for each constituent.
4. For each constituent, gather the weight value as of the beginning of the period (In this example, the weight value will be pulled for the 12/31/2000 end effective date record on PERF_SEC_RETURNS).
5. Calculate the Composite Asset Weighted Return for the period using the results from a and b.
6. Using the calculated Composite Weighted return and the linked constituent returns as inputs, calculate the Asset Weighted Standard Deviation.

In addition to the above, the field types listed in the following table are also available in this report.