RT Journal Article
SR Electronic
T1 The Style Drift Score
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 76
OP 83
DO 10.3905/jpm.2004.443323
VO 31
IS 1
A1 Thomas M. Idzorek
A1 Fred Bertsch
YR 2004
UL https://pm-research.com/content/31/1/76.abstract
AB A quantitative measure of style drift measures the variability of a portfolio's effective asset mix as determined by return-based style analysis around the portfolio's average effective asset mix. A style drift score eliminates examination of countless rolling-window asset allocation graphs and rolling-window style maps; it quantifies the style drift of a portfolio in a single statistic. A style drift score is ideal for screening thousands of portfolios, comparing the style consistency of portfolios, and monitoring drift in a portfolio's style.