Louis Bacon, who has scored annual gains of about 20% on average over the past two decades, suffered losses of 9.2% in May in his largest hedge fund, according to investors.

That is the fund's weakest one-month performance in its history. While other hedge funds also had a rough May, Bacon's fund, Moore Global Investments, underperformed the industry's average decline of 2.3%, and the Dow Jones Industrial Average's 7.6% loss.