Losses for U.S. stocks on Thursday, May’s first trading day, were modest but could be enough added “sell in May and go away” talk.

May is in fact the start of the weakest six-month period for stocks, but at the sector level, there are some exchange traded funds that stand tall in the fifth month of the year.

One of those ETFs, the Energy Select Sector SPDR (NYSEArca: XLE), has been standing tall for a while now. XLE trails only the Utilities Select Sector SPDR (NYSEArca: XLU) for top honors among the nine sector SPDR ETFs this year. [More Upside for Energy ETFs]

Importantly, May ends the best four-month period in which to own energy stocks, but that does not mean investors need to scurry out of XLE today. Since 1999, the first full year of trading for the sector SPDRs, XLE is the top-performer in May, averaging a gain of close to 1.5%, according to CXO Advisory.

XLE, the largest energy ETF by assets, has risen in three of the past five Mays, including a 4.5% in May 2013. The ETF is also the best SPDR in February and the second-best in December, according to CXO.

Not surprisingly, some lower beta sectors are favored by investors as summertime approaches. That includes consumer staples with the Consumer Staples Select Sector SPDR (NYSEArca: XLP) historically ranking as May’s second-best SPDR with an average gain of just over 1%.

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