Uncertainty caused by the trade dispute between China and the US sent most equity markets tumbling in May, while UK government bonds topped the performance charts, according to data from FE Analytics.
The MSCI World Index of shares lost 4.1 per cent during May, while the emerging markets index lost 6 per cent.
The FTSE 100 was the best performing equity market, losing 2.4 per cent.
In contrast, UK government bonds, known as gilts, returned 2.7 per cent, with index linked gilts, that is gilts that move in line with inflation, returning 4.9 per cent.
Government bonds tends to perform well when investors expect economic growth and inflation to be low, meaning interest rates won’t rise and may even fall, as policy makers look to stimulate economic activity.
That is positive for government bonds, because it would mean the income available on bonds today is worth more than at a later point in time when interest rates and inflation fall.
But Peter Elston, chief investment officer at Seneca, said the strong performance of government bonds has done nothing to alter his severely negative view of the asset class.
He said: "The reasons for bond yields falling are obvious, but the speed of it happening has taken the market by surprise in terms of how rapid it is.
"But it just means bonds have gone from expensive to very expensive, on the basis of where prices are now, I cannot justify buying them for clients. I own gold in the portfolios instead of government bonds right now, as a diversifier away from equities."
Index linked gilts may perform well in the UK if there is a no deal Brexit, and the value of sterling falls.
The best performing of all funds in the IA Global sector during the month was Sanditon European Select, which returned 6.3 per cent.
This is a fund that can both go long, that is, invest in shares it thinks will rise in value, and short, that is, invest in such a way that it profits from a fall in the value of shares.
Ben Yearsley, a director at Shore Financial Planning, said: "As a long short fund it is not surprising it did well in a month when the market fell, though that hasn’t always been the case with absolute return type funds of late."
Neil Woodford runs two of the ten worst performing funds in the Investment Association universe in May, with his Woodford Equity Income fund losing 9 per cent, and his Income Focus fund losing 8.3 per cent.
The absolute worst performing fund during the month was Standard Life UK Equity Recovery, which lost 9.75 per cent.