For what it's worth, the same stocks I noted as having unusual price action last Thursday are having the same action today. Some of these stocks are up 9% in a down market, just like they were last Thursday. Are quant funds still unwinding? It looks suspicious to me, albeit less pronounced (so far). (Update: London hedge fund liquidating? Hard to say if this is rumor or joke.) (Update III: Moody's warns of potential major hedge fund collapse).
Update II from a Jon Markman article (emphasis mine):
He believes that gigantic funds focused on statistical arbitrage, such as ones run by Barclays Global Investors, quietly became the biggest owners of small-cap value stocks in the past couple of years and are now in the process of dumping them wholesale in response to unexpected performance troubles. Once the mass selling is complete, which he expects will be by the end of September, he thinks the market will catch its breath and re-evaluate the prospects of individual companies again.
From around the web:
The Aleph Blog has a good roundup.