When all of the monthly total return data for May is aggregated by fund objective, stock funds generally outperformed fixed income -- and energy and utilities sectors rose above the rest, averaging 5.39% and 3.35% respectively.

The best energy and natural resource ETF in May is the Market Vectors Coal ETF ( KOL), returning 22.04% for the month. There were unbelievable one-month returns of 90.77% in Western Canadian Coal ( WSJXF), 71.35% in James River Coal ( JRCC), and 67.89% in Alpha Natural Resources ( ANR).

The second-best ETF fund objective for May is the utility sector. With 200% leverage to the Dow Jones U.S. Utilities Index, the Ultra Utilities ProShares ( UPW) garnered 6.06%. Making up for the underperformers, electric utility TECO Energy ( TE) generated 28.58%, energy pipeline company National Fuel Gas ( NFG - Get Report) delivered 17.84%, and gas distributor Nicor ( GAS) rose 16.26%.

Domestic growth ETFs, led by ProShares Ultra QQQ ( QLD) at 11.94%, averaged 3.12% as a group. The fund targets twice the return of the Nasdaq-100 index, which had a top-performing member in May in Marvell Technology Group ( MRVL - Get Report), Symantec ( SYMC), Activision ( ATVI), and Dell ( DELL).

An interesting global equity ETF making a comeback in May is the Market Vectors Nuclear ETF ( NLR). Mining company holdings specializing in non-ferrous metals like Aurora Energy Resources ( AUEGF), up 57.57%; Ur-Energy ( UREGF), up 51.93%; and USEC ( USU), up 50.22% celebrated a good month.

The non-U.S. equity group turned red into green, with the Market Vectors Russia ETF ( RSX) adding 17.59% to an already parade-worthy year. The four largest holdings that combine to 50.2% of assets -- Lukoil, Gazprom OAO, Sberbank, and MMC Norilsk Nickel -- are making the most of Russia's increasingly centralized economy.

Best Performing Funds in May for Each ETF Objective
Objective Avg May Perf Fund (Ticker) Rating May 2008 Total Return
Sector - Energy/Natural Res 5.39% Market Vectors Coal ETF (KOL) U 22.04%
Sector - Utilities 3.35% ProShares Ultra Utilities (UPW) E- 6.06%
Growth - Domestic 3.12% ProShares Ultra QQQ (QLD) E 11.94%
Global Equity 2.33% Market Vectors Nuclear Fund ETF (NLR) U 14.30%
Equity Income 2.03% SPDR S&P Metals & Mining ETF (XME) B+ 14.71%
Sector - Health/Biotechnology 1.83% SPDR S&P Biotech ETF (XBI) D- 7.34%
Non-US Equity 1.40% Market Vectors TR Russia ETF (RSX) C 17.59%
Emerging Market Equity 1.32% SPDR S&P Emerging Europe ETF (GUR) E 12.82%
Sector - Precious Metals 0.76% Market Vectors TR Gold Miners (GDX) D- 5.55%
Municipal - National 0.54% Market Vectors LB AMT Fr Lng Mun (MLN) U 0.81%
Emerging Market Income 0.26% PowerShares Emrg Mkt Sovereign Debt (PCY) U 0.42%
Municipal - High Yield 0.21% PowerShares VRDO Tax-Free Weekly (PVI) U 0.21%
Corporate - High Yield -0.12% SPDR Lehman High Yield Bond ETF (JNK) U 0.39%
Global Income -0.62% SPDR DB Intl Gvt Inflation Pt Bond (WIP) U 0.25%
General Mortgage -0.76% iShares Lehman MBS Fixed-Rate Bond (MBB) B -0.76%
Growth & Income -0.89% First Trust Lrg Cap Core AlphaDEX (FEX) U 2.77%
Municipal Single State -0.91% iShares S&P NY Municipal Bond (NYF) U -0.75%
General Bd - Investment Grade -1.06% Bear Stearns Current Yield Fund (YYY) U 0.43%
Corporate - Investment Grade -1.29% iShares Lehman 1-3 Year Credit Bond (CSJ) B+ -0.62%
Government Bond -1.49% Ameristock/Ryan 1 Year Treasury ETF (GKA) U 0.56%
Sector - Financial Services -3.65% ProShares Ultra Short Financials (SKF) C- 9.21%
Source: TheStreet.com Ratings

For an explanation of our ratings, click here.

Kevin Baker became the senior financial analyst for TSC Ratings upon the August 2006 acquisition of Weiss Ratings by TheStreet.com, covering mutual funds. He joined the Weiss Group in 1997 as a banking and brokerage analyst. In 1999, he created the Weiss Group's first ratings to gauge the level of risk in U.S. equities. Baker received a B.S. degree in management from Rensselaer Polytechnic Institute and an M.B.A. with a finance specialization from Nova Southeastern University.