September is here and that may not be good news for those long stocks. August was the worst month for U.S. equities since May 2012. It was also the worst month for ETF outflows since January 2010.

Bring on September, the month that is usually the worst of the year for stocks. That is right. For the S&P 500, Dow Jones Industrial Average and Nasdaq Composite, September is the 12th-best month on the calendar in terms of performance.

Related: Three ETFs To Own In August.

While August is no picnic and September has a tendency to be even worse, some sectors prove more durable than others during these months. Just as February marks the start of a strong four-month period for energy stocks, the staples and utilities sectors usually lead in August and September.

Things could be different this year because of rising interest rates. For the 14 previous years for which data is available on the sector SPDR ETFs, the Consumer Staples Select Sector SPDR XLP is the top performer of the nine SPDRs in August followed by the Utilities Select Sector SPDR XLU. In September, the two ETFs switch with XLU ranking as the best of the nine and XLP in second place.

Last month, XLP fell 5.3 percent while XLU tumbled 5.8 percent. Well-documented is the inverse correlation of some popular dividend sectors, including utilities, to rising interest rates. That scenario is playing out again Tuesday as yields on 10-year Treasuries are soaring by over five percent, while XLU is off nearly one percent.

XLU has a dividend yield of nearly four percent while the rival Vanguard Utilities ETF VPU yields 3.6 percent, alluring numbers for income investors, but ones that did not stop S&P Capital IQ from merely rating the two ETFs Marketweight last month.

As for staples, the sector is is middling at best during rising rates environments. XLP's correlation to the iShares Barclays 20+ Year Treasury Bond ETF TLT, although negative, is the second-highest among the nine sector SPDRs behind XLU.

On days that TLT has traded higher over the past decade, only XLU and the Health Care Select Sector SPDR XLV have few up days than XLP among the nine SPDRs, according to ETF Replay data. As for down days when TLT rises, XLP ranks in the middle as four other SPDRs fall more frequently when TLT rises.

Bottom line: Staples and utilities may seem like shelter from the September storm plays, but this year may not be the year to put that theory to work because of rising rates. For those wanting to know which SPDR is worst in September, that dubious honor goes to the Materials Select Sector SPDR XLB.

For more on ETFs, click here.

Disclosure: Author does not own any of the securities mentioned here.

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