The Style Drift Score: A Quantitative Measure

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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
ideal for screening thousands of portfolios, comparing the style consistency of portfolios, and
monitoring the drift in a portfolio’s style.


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