May proved to be a rough month for hedge funds, with the asset class taking its biggest hit since November 2008 when Lehman Brothers imploded. Through May 27, hedge funds declined an average of 2.7%, according to the HFRX Global Hedge Fund Index.
Bloomberg news reports that most strategies lost money in May—including some heavy hitters—as debt troubles brewed in Greece, Spain and Portugal. According to the news agency, Paulson & Co.'s Advantage fund dropped 6.9% through May 21 (- 3.3% YTD). Andreas Halvorsen’s Viking Global fund fell 3.4% over the same period span (-2.9% YTD), and Louis Bacon’s Moore Global fund declined 7.7% through May 20 (-4.8% YTD).
Meanwhile, Steve Cohn's SAC Capital Advisors reportedly dropped 2.9% last month through May 21 (up 4% YTD), and Ken Griffin's Citadel Investment Group lost about 2% in its biggest funds last month through May 21, sources told Bloomberg.
Across the pond, Europe's largest hedge fund Brevan Howard Asset Management remained almost flat, losing 0.1% for the month through May 21 (-0.3% YTD), an investor told Bloomberg.
May didn't rain on everyone's parade. New York-based Caxton Associates gained 1% through May 21 (4.5% YTD), and London-based Autonomy Capital Research gained 0.7% through May 21 (12.5% YTD).
And finally, May's ups and downs in the broader markets proved a boon to volatility-focused funds, with one such offering, BAM Capital, jumping 7.7% last month through May 21 (8.2% YTD).