Hedge funds suffered their worst losses for 18 months in May as investors bet wrongly that stock markets would rise.
The Hennessee Hedge index said funds were down on average 2.99% last month, the heaviest fall since October 2008.
Funds were wrong-footed by factors such as the mysterious Wall Street "flash crash", when shares plunged in seconds.
But Hennessee Group founder Charles Gradante said the losses at hedge funds still beat other benchmarks such as the S&P 500 index, which fell 8.2%.
Another index tracking hedge funds' performance, from Hedge Fund Research, said average losses in May were down 2.26%, the worst fall since November 2008.
Some funds run by Paulson & Co, the world's biggest hedge fund, were among the hardest hit in May, even though most of the group's funds are up this year.
The Paulson Recovery Fund, which is backing the US economy to recover strongly, lost 8.67% in May.
Mr Gradante said: "There are many things keeping hedge fund managers awake at night, and as a result managers are operating with lower gross exposure levels."
He cited concerns about sovereign debts, the Gulf of Mexico oil spillage, Chinese monetary policy, tougher financial regulation and geopolitical worries in the Middle East and North Korea.
"I cannot remember when there have been so many potential global crises happening at the same time," Mr Gradante said.