Ken Griffins Citadel extended their gains in May, making it one of the years top performing multi-strategy hedge fund firms so far. Citadels two main funds Kensington and Wellington were up about 1.5 percent in May, bringing their full year gains to more than 10 percent. Knowledgeable sources say no one strategy accounted for the bulk of the return. In addition, Steve Cohens SAC Capital was up 9 percent through May. Otherwise, most high profile multi-strategy and macro managers lost money in May while a few others barely avoided falling into the red. Granted May was a very volatile month for the global markets. But, these are the types of environments in which these funds are expected to thrive. However, Louis Bacons Remington Investment Strategies, LP, for example, lost 2.24 percent for the month. As a result it is off 0.49 percent for the year. In addition, through May 27 (which includes all but one trading day for the month), Paul Tudor Jones IIs Tudor BVI lost 3.39 percent, putting it down 0.69 percent for the year. Bruce Kovners Caxton Global Investment was down 2.41 percent through May 27 and off 3.13 percent for the year. A couple of systematic traders also lost money in May. For example, MAN AHL lost 3.02 percent in May and is now down 4.50 percent for the year. David Hardings Winton futures fund lost 2.17 percent in May. However, it is still up 2.62 percent for the year. On the other hand, Brevan Howards Macro fund managed to eke out a 0.63 percent gains for the month, bringing its full-year profits to 3.10 percent. And as I earlier reported this week, Dan Ochs OZ Master fund broke even in May and is up 4.12 percent for the year.