It has been a lousy month and miserable quarter for investors. Everything was down in September except long government bonds, according to data compiled by Aronson Johnson Ortiz, the money management firm. For example, the total return of the S&P 500 for September is -7.03%.

Global investors are taking money out of risky assets like stocks and seeking safety in U.S. Treasuries.

Hard to believe, but that performance means that the U.S. stock market has been a relative safe haven among global stock markets. The MSCI World stock market index (excluding the U.S. market) is down 10.01% and the MSCI emerging markets index -14.56.

The comparable numbers for the quarter are dreadful, again, with the notable exception of U.S. Treasury bonds. The long bond returned 24.66% over the past three months. The total return on the S&P 500 was -13.87, the MSCI World (excluding U.S.) -18.94, and the MSCI emerging markets -22.46.

What’s next? October is famous for its market crashes:1907, 1929, 1987, 2008. Of course, those dates also mean there have been plenty of Octobers without a wild ride down. Let’s hope this is one of them.