Hedge funds lost money in May, but not as badly relative to traditional benchmarks, according to the Hennessee Group.

The Hennessee Hedge Fund Index declined 2.99% last month, the company announced Monday. However, May also saw the Nasdaq Composite Index down 8.29%, the Standard & Poor’s 500 fall 8.20%, and the Dow Jones Industrial Average decline 7.92%.

The Barclays Aggregate Bond Index increased 0.84% due to increases in U.S. Treasuries as investment grade and high yield bonds declined.

May was not a reassuring month for investors, kicking off May 6 with the mysterious “flash crash,” which was only exacerbated by European sovereign debt woes, the oil spill in the Gulf of Mexico and North Korean belligerence, sparking a broad sell off and a subsequent flight to U.S. Treasuries.

“I cannot remember a time when there have been so many potential global crises happening at the same time,” said Charles Gradante, co-founder of the Hennessee Group in New York, an advisor to investors about hedge funds. When you factor in domestic concerns surrounding market regulation, massive national debt, the likelihood that taxes will rise and the petering out of the Federal stimulus, “there are many things keeping hedge fund managers awake at night,” Gradante said.

That said, hedge funds’ primary role as downside protection in a portfolio seemed to hold true, to a degree at least.