Abstract: This paper is aimed at exploring the reason for wide-spread style mismatch in Chinese equity funds. We started from the internal logic relations between market anomalies (value premium, size premium and the momentum premium) and the style drift, and employed Copula Model to conduct investigations of dynamic dependencies between market anomalies and the style drift. The empirical study showed that there were not significant dynamic dependencies between the value premium and style drift or size premium and style drift, and these two anomalies related to style drift at their low tails, while momentum premium and style drift were significant dynamic dependent with a symmetric effect. These findings suggest Chinese equity funds do not yet have mature capabilities for recognizing market anomalies, and they often evince certain features of the herd behavior.