Hedge funds are poised to report their worst monthly performance since November 2008, after a month in which managers underestimated the fallout from the sovereign debt crisis and a number of uncorrelated incidents took their toll on markets.

Hedge funds lost an average of 2.7% through to May 27, according to the HFRX Global Hedge Fund Index, a database of about 65 funds that report daily to data provider Hedge Fund Research and are seen as representative of the overall marketplace. This index is down 0.33% this year.