Reading 37, Section 3.12, Referencing GIPS Provision I.5.A.2
The 2010 edition of the GIPS standards newly requires that firms present information about the historical variability of composite and benchmark returns. Specifically, Provision I.5.A.2.a states that, for periods ending on or after 1 January 2011, firms must present, as of each annual period end, the three-year annualized ex post standard deviation (using monthly returns) for the composite and the benchmark. The rationale is to give prospective clients an indication of the risk of an investment strategy as executed by the firms under consideration. Because all GIPS-compliant performance presentations include the same risk measure, and that measure is based upon historical experience rather than subjective inputs, the GIPS standards allow for some degree of comparability among firms that claim compliance.
This question is based off the above section in Reading 37
Is the required 3Y ex-post annualized standard deviation calculated with monthly returns supposed to be equal weighted or asset weighted?
(I know that the section of GIPS referring to internal dispersion (5.A.1.) says that either EW or AW can be used; however, the section to which I am referring (5.A.2) does not specify.