A new report from Morningstar looking at May’s fund flows adds further evidence that investors are growing less enchanted with equities in favor of more conservative assets.

The report found that for the first time this year, U.S. equity funds suffered an outflow. The net decline was $4.5 billion. The amount of funds flowing into U.S. equities has been dropping since January’s $30 billion high-water mark, but May represented the first foray into negative territory.

International stock funds were net gainers, showing a small $1.5 billion inflow to funds, but the increase was still much less than previous months.

Nearly all the inflow was into emerging market equities. 

The report notes that for the past year, emerging markets have accounted for 75% of the estimated $42 billion in international stock flows, doubling the assets in emerging markets to a total of $216 billion. 

Ironically though, while many of these emerging markets have been growing at a rapid pace, developed foreign equities markets have actually done better than emerging equities markets, appreciating by an average of 35.6% over the past year compared to just 28.6% for emerging equities markets.

The big gainer this year so far though has not been equities, but U.S. corporate bond funds, which showed an inflow of $20.8 billion in new money. This represented the fifth straight month of rising inflows into corporate bonds. Within that category of funds, Morningstar reports that there is a shift under way away from junk debt into higher-rated, but lower-yield bonds of shorter durations. 

Bank loan and high-yield funds took in a net $3 billion and $1.3 billion in new money in May, continuing a decline from highs reached in January. Meanwhile relatively conservative intermediate term bond funds showed a net inflow of $4.4 billion and short-term funds picked up a net $2.4 billion in inflows.

Even tax-exempt municipal bonds, which had been getting a lot of negative publicity with talk of looming defaults, seem to be returning to favor in investors’ eyes.

After six months of outflows, which peaked in December when $13.2 billion was pulled out of the market by investors, May was flat. Within the broad mini-bond market, several muni categories even showed positive inflows, including muni short funds, which picket up $520 million in inflows, and muni intermediate and high-yield funds, which each took in $200 million. Even with the muni-long funds, which had a net outflow in May of $310 million, most of the redemptions were in single-state funds, where specific concerns may have trumped a general return to favor of muni-funds.

Taken together Morningstar’s survey of May’s fund flows suggests a growing risk aversion on the part of U.S. investors.