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It's been a really, really tough year for returns.

According to data from Societe Generale, the best-performing asset class of 2015 has been stocks, whose meager 2 percent total return (that is, including dividends) still surpasses those of long-term bonds, short-term Treasury bills and commodities. These minimal gains make 2015 the worst year for finding returns since 1937, when the cash-like 3-month Treasury bill beat out other major asset classes with a return of 0.3 percent.

Larry McDonald, head of U.S. macro strategy at Societe Generale, said the all-encompassing lag in performance is one reason why major money managers have done so badly this year. 2015 has been particularly troublesome for hedge funds, the average of which is down about 4 percent this year according to Hedge Fund Research.

"It's been an absolute meat grinder of a year," McDonald said. "Hall-of-fame legends, [Warren] Buffett, David Einhorn, Carlos Slim, those are my favorite investors of all time and they all had bad years."

Famed investor Warren Buffett is seeing his worst year since 2008, with Berkshire Hathaway shares down more than 11 percent year to date. Bill Ackman of Pershing Square Capital sent a letter to investors in December that said 2015 may be the fund's worst year since it was founded in 2004.

Read More Warren Buffett faces worst year on stock market since 2009

In other years, even bad ones, McDonald noted that investors have tended to find substantial yield in some major assets.

"2008 was a terrible year in the stock market, but bonds were up 22 percent. But this year, not one major asset class had a good year, and that's what's made it so difficult across the board," he said Wednesday on CNBC's "Power Lunch."

Comparatively, this year the U.S. 30-year Treasury note returned negative 2 percent, the 3-month Treasury bill returned 0.11 percent and the CRB commodities index fell more than 23 percent according to Societe Generale.

With one day left in 2015, the closed down on Wednesday, nearly flat on the year. But despite lackluster gains in stocks, Dennis Davitt of Harvest Volatility Advisors recommends sticking with the relative outperformer.

Out of all major asset classes, "we feel that's where the opportunity's going to be," he said Wednesday on "Power Lunch."

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