It’s already been an abysmal month for hedge funds, as the Goldman Hedge Fund VIP Index clearly demonstrates…

… having just suffered its worst month on record…

… and with every passing day, it’s only getting worse as hedge funds, forced to deleverage in this chaotic market, are unable to pick a correct side of the market and stay on it.

Consider that according to Nomura’s Charlie McElligott, Monday was fifth worst one-day drawdown for his U.S. Equities Long-Short Hedge Fund model year-to-date, as the now daily shakeout continued in the form of accelerated deleveraging of legacy status quo positioning, i.e., popular shorts/underweights in “Value” and “Quality” ripping higher, while consensual longs overweights in “Growth” and “Momentum” were once again violently reduced.

Commenting on the “extreme and much-discussed” – not to mention 10 years overdue – outperformance of U.S. Equities “Value” over “Growth” yesterday, McEllgiott notes that optically it looked just as much about forced “grossing-down” (selling longs, covering shorts as higher realized volatility dictates VaR-based exposure reduction) as it did about ongoing “end-of-cycle” factor rotation catalysts or macro inputs (i.e. steeper curves benefiting “Value”)

Of note, and what to McElligott was “pretty interesting” was this: even when SPX was +1.4% and at the highs….broad “Value” factor metrics were meaningfully outperforming their “Growth” counterparts (while “1Y Momentum” was outright lower all session); or as he explains “it has been a VERY RARE occurrence to see “Value” to outperform the multi-year leadership regime of “Growth” and “Momentum” in a “gap higher” Equities tape”.