Monthly Drawdown Report: May 2026

DrawdownAlerts Monthly Report: May 2026

The data for May 2026 reveals a significant shift in market stability. We observe a notable increase in the number of assets entering high-stress territory. This month marks a period where the average severity across our entire tracking universe has reached a critical level.

Our proprietary analysis indicates that volatility is no longer confined to speculative sectors. Large-cap equities and established financial institutions are now showing signs of prolonged price decay. We are seeing a divergence between market indices and the underlying health of individual constituents.

Monthly Summary: The Distribution Breakdown

We currently track a total of 770 assets across various global exchanges. Our data categorizes these assets into three distinct zones based on their drawdown depth and duration. The current distribution shows that the majority of tracked assets are experiencing significant technical pressure.

The Red Zone currently contains 339 assets. This represents 44.0% of our total tracked universe. Assets in this zone are experiencing the most severe drawdowns relative to their historical performance. This is the largest percentage we have recorded in the Red Zone for the current calendar year.

The Yellow Zone accounts for 193 assets. This represents 25.1% of the total assets we track. These assets are in a state of transition. They have moved away from their peak values but have not yet reached the extreme exhaustion levels seen in the Red Zone.

The Green Zone remains the smallest segment of our data set. We currently count 238 assets in this category. This represents 30.9% of the tracked universe. While these assets are technically the healthiest, their shrinking share of the total market suggests a narrowing of breadth.

The average severity score across all 770 assets stands at 5.4. This number provides a bird’s eye view of the systemic stress within the market. A score above 5.0 typically indicates that drawdowns are becoming deeper and lasting longer than the historical mean.

Zone Movement: Tracking the Shift

May 2026 saw a massive amount of movement between our risk categories. The most striking data point is the influx of assets into the Yellow Zone. We recorded 243 stocks entering the Yellow Zone this month alone. This suggests a broad-based retreat from recent highs across multiple industries.

The Red Zone also saw significant turnover. We tracked 111 stocks entering the Red Zone during May. These assets have officially crossed the threshold into extreme drawdown territory. Many of these entries were driven by disappointing quarterly earnings and revised forward guidance.

Conversely, 94 stocks exited the Red Zone this month. We do not necessarily view an exit as a sign of a new bull market for these specific assets. An exit often occurs because a stock has consolidated for so long that its volatility profile shifts. Our data monitors these exits to determine if they lead to Green Zone recovery or further stagnation.

The net increase in Red Zone participants indicates that selling pressure is outstripping recovery efforts. We see a clear pattern of assets moving from Green to Yellow, and then quickly into Red. This acceleration in the transition phase is a primary focus of our current analysis.

Top Severity Scores: Deep Dive into Extreme Situations

Our severity score measures the intensity of a drawdown by combining its depth and its duration. It allows us to compare a 10% drop that lasts a decade against a 90% drop that lasts a year. The current leaders in severity represent some of the most distressed price action in the modern market.

EU (enCore Energy Corp.) holds the highest severity score in our database at 22.5. The asset is currently down -82.6% from its peak. What makes this situation extreme is the duration of the drawdown. This asset has been in a state of decline for 5585 days.

NNDM (Nano Dimension Ltd.) follows with a severity score of 19.5. The percentage drop here is even more staggering at -98.0%. This drawdown has persisted for 3670 days. The severity score reflects the near-total loss of value over a multi-year period.

AIG (American International Group, Inc.) remains a fixture in our high-severity list. It carries a score of 18.9 and is down -94.0%. The duration of this drawdown is the longest in our top ten at 9282 days. This data point highlights the long-term structural challenges that can plague even the largest financial institutions.

PYPL (PayPal Holdings, Inc.) has seen its severity score climb to 18.8. The asset is down -85.5% over a period of 1706 days. Unlike the decade-long declines of EU or AIG, PayPal’s drawdown has been more concentrated. The intensity of the price drop over a shorter timeframe contributes to its high ranking.

EPAM (EPAM Systems, Inc.) rounds out our top five with a severity score of 18.3. It is currently down -85.7% from its peak. This drawdown has lasted 1607 days. We observe a similar pattern here as we do with other high-growth technology stocks that have struggled to regain their pandemic-era valuations.

CHTR (Charter Communications, Inc.) also shares a severity score of 18.3. It is down -82.5% over 1674 days. The telecommunications sector has faced significant headwinds, and Charter’s data reflects the broader industry trend of capital-intensive businesses struggling in a high-interest-rate environment.

PCG (PG&E Corporation) shows a severity score of 18.2. It is down -76.8% over 3126 days. Utility companies often face unique regulatory and environmental risks. Our data shows that PCG has failed to recover significantly from its historical lows despite various restructuring efforts.

PSKY (Paramount Skydance Corporation) carries a severity score of 17.2. The asset is down -88.2% and has been in drawdown for 1831 days. The media landscape has undergone massive shifts, and this score reflects the difficulty legacy entertainment companies face in the streaming era.

LU (Lufax Holding Ltd) sits at a severity score of 16.9. It is down -94.3% over 2010 days. This asset represents the ongoing volatility and drawdown pressure within the international fintech and lending space.

ZTS (Zoetis Inc.) completes our top ten list with a severity score of 16.8. It is down -67.3% over 1547 days. While its percentage drop is the lowest in the top ten, the duration and consistency of the decline have pushed its severity score into the extreme range.

Approaching the Red Zone: Stocks to Watch

We monitor assets that are currently in the Yellow Zone but are nearing the Red Zone threshold. These assets typically have a severity score between 4.0 and 5.0. They represent the next potential wave of high-stress assets if current trends continue.

AG and SNPS both carry a severity score of 5.0. They are on the absolute edge of the Red Zone. Any further price depreciation or even continued stagnation at current levels will likely push them into our highest risk category by the next reporting period.

MEDP also sits at a severity score of 5.0. We are closely watching the healthcare and research sector as several constituents are showing similar technical profiles. The persistence of drawdowns in this sector is a relatively new development in our data.

UGI and NRG are both at a severity score of 4.9. These energy and utility-related assets are showing signs of exhaustion. While they have not yet reached the extreme levels of PCG, their trajectory is currently following a similar path.

Sector Patterns: Stress vs. Health

Our sector-level analysis reveals a clear divide in market health. The technology and fintech sectors are currently the most stressed. We see this reflected in the high severity scores of PYPL, EPAM, and LU. These sectors have the highest concentration of assets in the Red Zone.

The energy sector is showing a bifurcated pattern. While some traditional energy companies remain in the Green Zone, others like enCore Energy Corp (EU) are experiencing record-level severity. This suggests that the energy transition is creating distinct winners and losers rather than a uniform move.

The financial sector remains under significant pressure. The presence of AIG in the top three highest severity scores is a reminder of the long-tail risks in this industry. We also note that several regional banks have entered the Yellow Zone this month, contributing to the 243 new entries.

Consumer discretionary stocks are increasingly entering the Yellow Zone. As Charter Communications (CHTR) and Paramount Skydance (PSKY) show, the shift in consumer habits is having a measurable impact on long-term price stability. We expect this sector to see more Red Zone entries if the average severity continues to rise.

Month-Over-Month Trend: Increasing Market Stress

When we compare May 2026 to previous months, the trend is clear: market stress is increasing. The average severity score of 5.4 is an increase from the previous month. This rise indicates that drawdowns are becoming more entrenched across our tracked assets.

The fact that 111 stocks entered the Red Zone while only 94 exited is a bearish indicator for overall market breadth. It shows that more assets are failing than are recovering. Furthermore, the massive influx of 243 stocks into the Yellow Zone suggests that a significant portion of the market is currently losing its upward momentum.

We also track the total percentage of the market in the Green Zone. This number has decreased steadily over the last three months. In May, only 30.9% of assets remained in the Green Zone. This is a concerning sign for those looking for broad-based market strength.

The duration of drawdowns is also increasing. We see more assets crossing the 1000-day and 1500-day marks. When drawdowns last this long, they often require a fundamental catalyst to break the cycle. Our data shows no such catalyst has emerged for the majority of the Red Zone constituents.

What to Watch in June: Data-Driven Outlook

As we move into June, we will focus on the 243 assets that just entered the Yellow Zone. Their behavior over the next thirty days will determine the market's direction for the summer. If a significant portion of these assets continues to decline, we will likely see a record number of Red Zone entries in the next report.

We will also keep a close eye on the severity scores of AG, SNPS, and MEDP. These assets are the "canaries in the coal mine" for their respective sectors. Their transition into the Red Zone would signal that the current stress is moving from the periphery into more core market holdings.

The average severity score of 5.4 is a critical level. If this number moves toward 6.0, it will indicate a systemic shift in the market's risk profile. We monitor this aggregate data to understand the environment in which individual stocks operate.

Finally, we are looking for any signs of "exhaustion bottoms" in the top ten highest severity list. Assets like NNDM and AIG have been in drawdown for thousands of days. While we do not predict when a drawdown will end, we look for changes in the rate of severity increase as a sign of potential stabilization.

The data for May 2026 suggests a market that is becoming increasingly fragmented. While headline indices may not always reflect the internal decay, our drawdown data provides a clear picture of the underlying stress. We will continue to track all 770 assets to provide the most accurate assessment of market health.