'Dangerous spike' in value minus growth

Volatility clustering and trend reversals not seen since 2006

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Hedge fund performance over the past few months can at best be described as disappointing, with many funds anecdotally reporting real pain. Over the same time period, the S&P 500 has remained relatively flat, adding to investor concern and simultaneously deflating any claims that systemic risk is to blame.

Within the equity long/short sector, however, a subtle and dangerous rotation has occurred: a spike in the value minus growth (VMG) factor with accompanying characteristics that have not been s