Style Box and Style Drift

CFA Level III
#1

  1. When the styles and assets under management are given, we still need to know each indivudual investment or holding that each investmnt manager has selected, in order to create and interpret a style box?

  2. The return based analysis shows the portflolio has a 0.95 beta to value style, and 0.65 beta to growth style, but the current holdings hava a higher proportion of growth stocks. Can we say the manager is having a drift from value to growth style? Can we say the current holdings reflect the most updated style of the manager?

#2

  1. The style box is another measure to identify style drifts, and it places securities in categories based on size and growth, I’m not sure though, probably you should, and weigh them according to size.

  2. I don’t think so either, the beta is pretty close to the value style, and pretty far from the growth style, even though the holdings themselves are mostly growth stocks. Based on just that, it’s a value style fund. You can’t say that if you are using a long term (>36-month) beta, the higher proportion on growth stocks can also signal a recent style drift.