Managers who started the year well but took a bit off the table also survived well in May.

The multi-strategy $750 million Serengeti Overseas Ltd. Fund lost less than 2% in May and is still up 13.5% this year, according to a letter the firm sent to investors.

"We reduced gross exposure in April when markets were up despite growing macro concerns and maintained low nets throughout the year," said Serengeti in the letter. The fund, which is run by former Goldman Sachs Group Inc. partner Joseph Lanasa, had been making money on bank investments earlier this year.

Kevin Quirk, a partner at money management consulting firm Casey Quirk & Associates LLC, said many hedge funds perform better in down markets because they've hedged positions with downside protection, or "their investment strategy has very low correlation to the equity markets."

Funds following a "market neutral" strategy in the equity markets were slightly up in both the HFR and Hennessee indexes. Market-neutral funds, even more than other strategies, look to invest in a way that's uncorrelated to the rest of the stock market.

Besides short-bias and equity-market neutral funds, the only up strategy in the HFRI Index was fixed income-asset backed, which was up 1.1%.

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