StyleADVISOR

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Returns-Based Style Analysis and
Rebalancing Jill Adrogue Zephyr
Associates, Inc. www.styleadvisor.com
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Style BM
The Style Benchmark shows the style of a manager
and provides a performance benchmark.
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Style Map and R2
The Style Map represents the managers average
style over the five year period
The R-Squared tells you how well the Style
Benchmark fits the manager returns
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Rolling Window SB
The Rolling Window Style Benchmark shows how a
managers style has changed and is a dynamic
performance benchmark.
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So?
So, How can StyleADVISOR help me create and
maintain my portfolio?
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Objective
Objective To create and maintain a portfolio of
domestic equity managers that will track the
Russell 3000
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Select Style Consistent Managers
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And Re-Optimize to Avoid Style Drift
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Style Inconsistency
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Can lead to costly rebalancing
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Style Analysis
Returns-Based Style Analysis
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Inputs
Inputs
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Model
The Model
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Model 2
The Model
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StyleADVISOR
StyleADVISOR
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