Drift (Portfolio)

Is an indicator for the deviation of your portfolio’s holdings from their target weightings. Drift occurs as individual securities in your portfolio appreciate or depreciate in value and veer off of their original allocations over time. For instance an asset that started with a 5% holding can eventually make up much more than 5% of a portfolio if it’s returns have considerably outperformed other assets.

A higher value means there is a larger deviation from the portfolio’s actual weighting and the target weighting and it’s probably time to rebalance your portfolio!

Drift is calculated as the absolute value of the security's difference from the initial weight given to the position and the actual weighting divided by 2.

Difference = absolute value ( target weighting - actual weighting )

Drift = ( Security 1 difference + Security 2 difference + … Security n difference ) / 2