Some of the best-known and long-established hedge fund firms were among the worst performers in the sector in May, a month that saw market volatility and risk aversion return to levels not seen since the post-Lehman Brothers dark days at the end of 2008.

The average hedge fund was down 2.26% in May from the previous month according to Chicago-based data provider Hedge Fund Research's HFRI Fund Weighted Composite Index. That was the worst month since October 2008 in the aftermath of Lehman Brothers' collapse when funds fell on average by 6.84%.