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May was quite ugly for the capital markets around the globe. We haven't seen anything like this in a while. The last time a single calendar month pinched so many asset classes so deeply: September 2011. Last month delivered a repeat performance, with prices sliding almost everywhere, in several cases by a lot. The one exception: US stocks. The Russell 3000 posted a healthy 2.4% total return last month, leaving US equities higher by a hefty 15.6% so far in 2013. But that's where the good news ends.

Beyond domestic stocks, red ink prevailed in May. The biggest loser: foreign REITs, which tumbled a painful 8.9% in US dollar terms. Otherwise, bonds in the US and around the world led the losses. Inflation-linked Treasuries were hit particularly hard. With so much selling, the Global Market Index suffered as well, shedding 1.0% in May, or it's worst monthly slide in a year. Equally weighting GMI's asset classes—a strategy that usually fares rather well—took it especially hard last month, sinking 3.1%.

Quite a lot of the selling last month was linked to renewed fears that interest rates are destined to rise sooner rather than later, a worry that was inspired by chatter that the Fed’s quantitative easing program was set to wind down. Reasonable or not, the fear became a self-fulfilling prophecy last month. The benchmark 10-year Treasury yield popped nearly 50 basis points in May, reaching 2.16% at last month’s close--a two-month high.

Is it the end of the world? No, although it may feel like it if you were heavily weighted in bonds and/or shunned US equities in May.

Source: Major Asset Class May 2013 Performance Review