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%
Axsome Therapeutics (AXSM)	May 2020	-16.78%
QXO (QXO)	May 2020	-16.52%
Applied Opt (AAOI)	May 2020	-14.93%
TechnipFMC (FTI)	May 2020	-14.65%
APA (APA)	May 2020	-13.12%
Embraer (EMBJ)	May 2020	-12.99%
Elanco Animal Health (ELAN)	May 2020	-11.71%
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%
Globalstar, Inc Common Stock (GSAT)	May 2020	-9.09%
HSBC Holdings PLC ADR (HSBC)	May 2020	-9.04%
Cincinnati Financial (CINF)	May 2020	-8.52%
Roku (ROKU)	May 2020	-8.4%
Lumentum (LITE)	May 2020	-7.46%
Millicom International Cellular (TIGO)	May 2020	-7.21%
Korea Electric Power Corp ADR (KEP)	May 2020	-7.18%
ICICI Bank (IBN)	May 2020	-6.75%
Lloyds Banking Group PLC ADR (LYG)	May 2020	-6.63%
EQT (EQT)	May 2020	-6.58%
Cognizant Technology Solutions Corp Class A (CTSH)	May 2020	-6.45%
Natwest (NWG)	May 2020	-6.4%

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