According to a new paper, while many hedge funds exhibit style drift — following a different strategy than advertised — equity hedge funds are the kings of drift:
Whereas some fund categories such as managed futures are largely consistent in their self declared strategies, others, especially so called “equity hedge” funds display no or very limited return similarities. Furthermore, we also find evidence of fund managers performing undisclosed changes of their trading style over time. Those funds which misclassified themselves once are particularly likely to change their trading style again. Although style self-declaration can therefore be quite misleading, our results indicate that hedge funds do not misdeclare their style strategically to improve their relative performance.
Translation: Equity hedge funds change styles all the time, they don’t advertise the change, and they don’t do it in a planned way to screw up competitors. Drift just happens, dude.