GameStop (GME) had the lowest return in May 2020 by a large-cap US stock, returning -28.1%.

ASSET	MONTH	% RETURN
GameStop (GME)	May 2020	-28.14%
Occidental Petroleum (OXY)	May 2020	-19.16%
TechnipFMC (FTI)	May 2020	-14.65%
Reinsurance Group of America (RGA)	May 2020	-10%
ArcelorMittal SA ADR (MT)	May 2020	-9.67%
Unum (UNM)	May 2020	-9.39%
Devon Energy (DVN)	May 2020	-9.31%
HSBC Holdings PLC ADR (HSBC)	May 2020	-9.04%
Cincinnati Financial (CINF)	May 2020	-8.52%
Korea Electric Power Corp ADR (KEP)	May 2020	-7.18%
ICICI Bank (IBN)	May 2020	-6.75%
Molson Coors Beverage (TAP.A)	May 2020	-6.71%
Lloyds Banking Group PLC ADR (LYG)	May 2020	-6.62%
EQT (EQT)	May 2020	-6.58%
Cognizant Technology Solutions Corp Class A (CTSH)	May 2020	-6.45%
Natwest (NWG)	May 2020	-6.4%
US Foods (USFD)	May 2020	-6.13%
Xylem (XYL)	May 2020	-6.03%
ASE Industrial Holding Co Ltd ADR (ASX)	May 2020	-5.99%
Molson Coors Brewing (TAP)	May 2020	-5.83%
Credicorp (BAP)	May 2020	-5.76%
Banco De Chile (BCH)	May 2020	-5.75%
Tapestry (TPR)	May 2020	-5.62%
Performance Food (PFGC)	May 2020	-5.46%
American Financial (AFG)	May 2020	-5.36%

Large-cap stocks are treated as having a market cap of $10B+.