It is still the top performer of the nine sector SPDR exchange traded funds this year with a 12% gain, but the Utilities Select Sector SPDR (NYSEArca: XLU) has fallen on hard times this month.

The same goes for rival utilities ETFs, though the declines for these once high-flying ETFs are receiving scant attention. XLU, the largest utilities ETF, has lost almost 4.4% since May 1. The iShares U.S. Utilities ETF (NYSEArca: IDU) and the Vanguard Utilities ETF (NYSEArca: VPU) are each down almost 4% since the start of May. [Utilities ETFs for Defense]

That is a sharp reversal of fortune from what was seen in the first four months of 2014 when XLU surged 16.5% while IDU and VPU posted an average gain of 15.5%. Several factors make the May woes being endured by utilities ETFs potential alarming.

First, the S&P 500 has traded slightly lower this month, indicating low beta utilities, which have one of lowest correlations to the broader market, have betrayed conservative investors. [Other ETFs Benefit From Utilities Strength]

Second, 10-year Treasury yields are down almost 4%. That should be a boon for rate-sensitive utilities stocks and ETFs, which are often framed as bond alternatives.

But even as the iShares 7-10 Year Treasury Bond ETF (NYSEArca: IEF) and the iShares 20+ Year Treasury Bond ETF (NYSEArca: TLT) have each gained about 1% this month, XLU and friends have wilted.

Then there is seasonality. Whether or not investors subscribe to seasonal trends is a debate for another day. The fact is XLU is faltering in May, ahead of June, the month in which XLU is historically the best performer of the nine SPDRs.