[Some] Hedge Funds have been having a harder time, since about 2008 until today, with the last year being particularly difficult. I have been studying traditional highly cointetrated pairs (just the simplest case of two series), and watching their cointegration disintegrate in the past few years. So pairs like WMT TGT are no longer cointegrated at any lag, nor are pairs like KO and PEP. So my hypotheses is, I contend that the game has gotten much harder, and this is one of the reasons some traditional hedge funds are disappearing. One thing that begs the question then is, did the dog wag the tail, or the other way around? In other words, did stocks trade in sync more often in the past because their value was similar and their earnings generation was pretty similar, or did they just trade that way because the players themselves caused this illusion by keeping the stocks trading in a range in relation to each other? If it is the former, what economic random variable accounts for the break from cotrending? Can the current economic recession have that much effect on businesses that are in an almost identical in the way they generate revenue?