Style rotation and the performance of Equity Long/Short hedge funds

Abstract

In this study, we examine the exposure of Equity Long/Short hedge funds to the momentum strategies on financial anomalies over the period January 1994 - December 2007. We find evidence for momentum investing and positive feedback trading on financial anomalies, especially on the value anomaly. The result provides a reasonable explanation for weak or negative exposure to the value anomaly, which is an active investment exposure to value/growth stocks. © 2010 Macmillan Publishers Ltd.