Somnigroup International (SGI) had the lowest return in January 2017 by a large-cap US stock, returning -37.3%.

ASSET	MONTH	% RETURN
Somnigroup International (SGI)	January 2017	-37.28%
Natera (NTRA)	January 2017	-24.07%
Pearson PLC ADR (PSO)	January 2017	-22.68%
Qualcomm (QCOM)	January 2017	-18.87%
Bristol-Myers Squibb (BMY)	January 2017	-15.81%
Hess (HES)	January 2017	-14.52%
Kinsale Capital (KNSL)	January 2017	-14.51%
Transdigm (TDG)	January 2017	-13.9%
T Rowe Price (TROW)	January 2017	-11.66%
Target (TGT)	January 2017	-11.26%
Cenovus Energy (CVE)	January 2017	-11.09%
Marathon Petroleum (MPC)	January 2017	-10.52%
Advanced Micro Devices (AMD)	January 2017	-9.19%
Liberty Media Corporation Series C Liberty Formula One Common Stock (FWONK)	January 2017	-9.02%
Teva Pharma Industries Ltd ADR (TEVA)	January 2017	-8.88%
AutoZone (AZO)	January 2017	-8.87%
Permian Resources (PR)	January 2017	-8.42%
Energy Transfer (ET)	January 2017	-8.37%
Verizon Communications (VZ)	January 2017	-8.2%
Northern Trust (NTRS)	January 2017	-8.17%
Performance Food (PFGC)	January 2017	-8.09%
Liberty Media Corporation Series A Liberty Formula One Common Stock (FWONA)	January 2017	-8.06%
Williams Companies (WMB)	January 2017	-8.01%
Citigroup (C)	January 2017	-7.99%
F5 Networks (FFIV)	January 2017	-7.98%

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