Utilities Select Sector SPDR (NYSEArca: XLU) was one of the best-performing sector ETFs during the first four months of 2013 but that trend has reversed in May with a vengeance. The fund down is about 9% so far this month.

Blame rising interest rates and expectations the Federal Reserve may scale back on quantitative easing (QE) if the economy continues to slowly improve. [Treasury Bond ETFs Pressured by Fed, Improving Data]

XLU is the worst sector this month and it’s not even close. Through Tuesday, the utilities ETF was trailing the S&P 500 by more than 11 percentage points, according to StockCharts. The fund was off 1.5% on Wednesday morning.

Additionally, XLU has outperformed the S&P 500 for only three days the entire month. Another defensive sector ETF, Consumer Staples Select Sector SPDR (NYSEArca: XLP), is also trailing the S&P 500 in May. [Utilities ETFs Showing Signs Of Wear]

“Utilities, a breakout sector earlier in the year, have fallen by the wayside now that Treasury yields are back on the rise,” reports Wallace Witkowski at MarketWatch.

A chart of the utilities sector and the yield on the 10-year note are “mirror images,” said Jonathan Arnold, a Deutsche Bank analyst, in the article. “Marginal buyers [of utilities]care more and more about yield,” Arnold said. “I like to think it’s the closest thing in equities to a bond.”