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The Journal of Portfolio Management

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Primary Article

The Style Drift Score

Thomas M. Idzorek and Fred Bertsch
The Journal of Portfolio Management Fall 2004, 31 (1) 76-83; DOI: https://doi.org/10.3905/jpm.2004.443323
Thomas M. Idzorek
The senior quantitative analyst at Zephyr Associates, Inc., in Zephyr Cove, NV.
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  • For correspondence: tom@styleadvisor.com
Fred Bertsch
A senior software engineer at Zephyr Associates, Inc.
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  • For correspondence: fred@styleadvisor.com
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Abstract

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.

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The Journal of Portfolio Management
Vol. 31, Issue 1
Fall 2004
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The Style Drift Score
Thomas M. Idzorek, Fred Bertsch
The Journal of Portfolio Management Oct 2004, 31 (1) 76-83; DOI: 10.3905/jpm.2004.443323

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The Style Drift Score
Thomas M. Idzorek, Fred Bertsch
The Journal of Portfolio Management Oct 2004, 31 (1) 76-83; DOI: 10.3905/jpm.2004.443323
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