For years, the refrain of hedge funders, and their backers, has been that all they needed was a little bit of volatility. Everyone’s a genius in a bull market. It’s when markets turn down or tumultuous that pension funds and other clients are supposed to realize the wisdom of those high fees.

That argument hasn’t played out so well this year. In February, the stock market encountered its first real big patch of volatility in years. The Cboe Volatility Index, better known as the VIX, soared as high as 4o after being around 10 for much of 2017. So hedge funds made out like bandits, right? Not so fast. The average hedge fund dropped 1.9 percent in February, according to HFR’s asset-weighted index. Some big hedge funds did much worse. The funds of David Einhorn and Bill Ackman, Greenlight Capital and Pershing Square Capital Management, respectively, were down 6.2 percent and 5.8 percent.

Of course, hedge funds have long stopped adhering to their name of being hedged, as well as contending they were somehow neutral and would rise in any market, something they used to trumpet. Instead, not going down as much as the market is somehow seen as a victory. By that lower bar, February wasn’t a huge disappointment for hedge funds. The S&P 500 Index dropped 3.7 percent. Hedge funds dropped only half as much. But those saved 1.8 percentage points are not enough to make up for the 15 percentage points hedge funds underperformed in 2017 -- which was widely reported as a good year for them when it was not. February was not even enough to make up for their underperformance just a month earlier. For the year, through February, hedge funds are up 0.6 percent compared with 1.8 percent for the S&P 500.

But what should truly worry hedge fund investors -- besides the huge fees they are wasting -- is that hedge funds appear to be providing investors a smaller cushion against market drops. In January 2016, the last month before February when the market ended significantly in the red, hedge funds dropped 1.8 percent, or about a third as much as the 5 percent drop of the S&P 500. When stocks dropped just more than 6 percent in August 2015, hedge funds again were down slightly more than a third as much, at 2.3 percent.

What’s more, there was no place to run for cover this time around. Every top category of hedge funds tracked by HFR was down last month. In January 2016, macro hedge funds, at least, lived up to their name and were actually up 0.7 percent for the month. Market neutral funds, too, were neutral. Last month, macro hedge funds dropped 2.8 percent, more than the average hedge fund, and market neutral funds fell 0.6 percent.

To be fair, HFR just this year stopped breaking out data for short-biased funds, which bet against the market, and most likely were up in February. But the reason carries its own commentary on how hedge funds are no longer in the business of zigging when the market zags: HFR says so many short-biased funds have closed that there is no longer enough of them to make an average performance measure meaningful.

Defenders of hedge funds might argue that a few weeks of volatility is too short a period to gauge whether they will prove their worth in a genuine downturn, but that just proves my point. Hedge funds have long justified their fees by saying they provide returns not associated with the market’s moves, so-called alpha. Instead, hedge funds have become followers, and not very good ones at that.

This column does not necessarily reflect the opinion of Bloomberg LP and its owners.

Stephen Gandel is a Bloomberg Gadfly columnist covering equity markets. He was previously a deputy digital editor for Fortune and an economics blogger at Time. He has also covered finance and the housing market.

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