For some of the world's biggest hedge funds, gyrating currencies have so far made 2011 a frustrating year.

So-called macroeconomics funds, which make wagers on currencies and global economic events, were down 0.8% on average in the year to May 19, according to data provider Hedge Fund Research, with a 3.1% loss this month. And "systematic" macro funds that use computer programs to jump on market trends have given up 4.5% since December 31. By contrast, hedge funds in general have returned 1.7%. Investors who bought US blue-chip stocks instead of hedge funds have gained about 7%.