Going from cyclical with XLE to conservative, the Consumer Staples Select Sector SPDR (NYSEArca: XLP), the largest consumer staples ETF, is usually the second-best of the nine SPDRs in May. XLP also averages a May gain of just over 1%, according to CXO data.

XLP is up just 1.3% this year as investors have pondered the impact of a Federal Reserve rate hike on the rate-sensitive staples sector. In addition to the specter of higher interest rates, the rate-sensitive staples sector must also contend with tepid earnings growth due in part to the strong dollar. [Checking in on Staples ETFs]

XLE and XLP each rank among the top two sector SPDRs in three months of the year, according to CXO data.

As for the two worst SPDRs in May on a historical basis, that dubious honor goes to the Technology Select Sector SPDR (NYSEArca: XLK) and the Materials Select Sector SPDR (NYSEArca: XLB). XLB is particularly bad in May with an average loss of over 1%.

Energy Select Sector SPDR