It was not exactly “sell in May and go away” as the S&P 500 climbed 1.1% this month while the Nasdaq Composite climbed almost 2.6%, but U.S. stocks finished the fifth month of the year on a somber note as the last week of May brought the first weekly decline in four for U.S. equities.

Now June is here and with the arrival of the sixth month of the year comes a potentially tricky time for investors opting to remain long equities. The potential for June gloom is confirmed by the fact that over its lifespan, the SPDR S&P 500 ETF (NYSEArca: SPY) averages negative returns in the sixth month of the year.

At the sector level, the pickings are slim for investors looking for upside. June is usually the worst month of the year for the Energy Select Sector SPDR (NYSEArca: XLE), but XLE is not one of the two worst of the nine sector SPDRs this month. That dubious distinction belongs to the Financial Select Sector SPDR (NYSEArca: XLF) and the Industrial Select Sector SPDR (NYSEArca: XLI). [Calendar Cautious With Energy ETFs]

In fact, only one of the nine sector SPDRs has averaged positive June returns since the ETF suite’s first full year of trading in 1999, according to CXO Advisory. That honor goes to the Utilities Select Sector SPDR (NYSEArca: XLU).

Perhaps that is not surprising as XLU, the largest utilities ETF, shows a 0.61 reading, the lowest correlation to the S&P 500. XLU’s sort of decent June showings could also be attributable to investors knowing June is a rough month for stocks and/or a desire to grab some yield.

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