Data from FE Analytics showed the FTSE 100 returned 2.65 per cent in May while the FTSE All Share was the next best performer, returning 2.6 per cent.
Both comfortably outperformed the MSCI World Index return of 1.1 per cent in May.
European equities had a negative return of 1.1 per cent while emerging market equities, plagued by the stronger dollar and political turmoil in Italy, had a negative return of 2.2 per cent.
The best performing fund sector in May was US Smaller Companies because of the relative strength of the dollar and uncertainty about the outlook for most economies outside the US.
But the Sterling High Yield Corporate Bond sector was the worst performer because expectations interest rates would rise in the UK meant investors were incentivised to invest in lower risk assets such as cash rather than seek out the higher risks associated with high yield bonds.
By the end of May, interest rates hadn't risen but economic data was weak, meaning investors were less willing to invest in riskier assets such as high yield bonds.
Ben Yearsley, a director at Shore Financial Planning, said: "From a fund perspective it was a great month to be American. Seven of the top 10 best performing funds were US, and the other three are quasi-US funds as two were tech and one is tech heavy.
"Unsurprisingly both US sectors, along with technology were at the top of the fund sector charts. Latin American funds took a pounding with Brazil falling heavily last week on the back of rising oil prices and the Real falling.
"Despite the woes of the emerging markets, it was the bond sectors that dominated the foot of the fund sectors last month with only the Global Bond sector showing a positive return, on the back of sterling’s fall."
Both of the best performing funds across the Investment Association sectors in May were run by Baillie Gifford.
The £492m Baillie Gifford Global Discovery fund returned 13.8 per cent during May. Mr Yearsley said the fund has substantial exposure to US equities and in particular to US smaller companies, areas of the market that have been in particular vogue with investors of late.
The next best performing fund was the £1.4bn Baillie Gifford American, managed by Gary Robinson and others.