Style Drift

The Style Drift Score

2012-08-27 01:45:45
Stephen Berei
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Summary:

The Style Drift Score measures the change in style over time.

More information about this topic:

Style Drift

The Style Drift Score: A Quantitative Measure

Date: 
Tue, 2004-02-17

This paper introduces a quantitative measure of style drift – the Style Drift Score. The
Style Drift Score measures the variability of a portfolio’s effective asset mix as determined by
returns-based style analysis around the portfolio’s average effective asset mix. The Style Drift
Score frees one from having to examine countless rolling window asset allocation graphs and
rolling window style maps by quantifying the style drift of a portfolio in a single statistic. It is

Style Drift

Since the inception of returns-based style analysis and the ensuing development of sophisticated software that brought returns-based style analysis to the masses, investors have used rolling asset allocation graphs and style maps to gain a visual feeling for the style consistency of managers and mutual funds. The opposite of style consistency is style inconsistency or style drift.

 
 

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